| Consolidated Schedule of Investments (unaudited) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
1 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| 2 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
3 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| 4 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
5 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| 6 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
7 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| 8 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
9 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| 10 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
11 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| 12 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
13 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| 14 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
15 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| 16 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
17 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
| 18 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. (Percentages shown are based on Net Assets) |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended September 30, 2020, for purposes of Section 2(a)(3) of the Investment CompanyAct of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 12/31/19 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 09/30/20 |
Shares Held at 09/30/20 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
| BlackRock Liquidity Funds, T-Fund, Institutional Class |
$ | 4,456,999$ | 26,474,874 | (a)$ | — | $ | — | $ | — | $ | 30,931,873 | 30,931,873 | $ | 42,972 | $ | — | ||||||||||||||||||||
| iShares China Large-Cap ETF(b) |
455,585 | 587,026 | (973,644 | ) | (51,967 | ) | (17,000 | ) | — | — | — | |||||||||||||||||||||||||
| iShares iBoxx $ High Yield Corporate Bond ETF |
— | 32,466,695 | (3,956,365 | ) | 109,801 | 268,653 | 28,888,784 | 344,324 | 141,686 | — | ||||||||||||||||||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF |
— | 5,916,674 | (3,556,120 | ) | 63,741 | 350 | 2,424,645 | 17,999 | 11,090 | — | ||||||||||||||||||||||||||
| iShares JP Morgan USD Emerging Markets Bond ETF |
1,999,187 | — | (1 | ) | — | (64,045 | ) | 1,935,141 | 17,451 | 51,368 | — | |||||||||||||||||||||||||
| iShares MSCI Brazil ETF |
— | 268,749 | — | — | (26,364 | ) | 242,385 | 8,763 | — | |||||||||||||||||||||||||||
| iShares MSCI Emerging Markets ETF |
1,452,980 | — | (480,044 | ) | (120,118 | ) | 16,681 | 869,499 | 19,721 | 4,542 | — | |||||||||||||||||||||||||
| iShares Nasdaq Biotechnology ETF |
— | 83,949 | — | — | 16,119 | 100,068 | 739 | 140 | — | |||||||||||||||||||||||||||
| iShares Russell 2000 ETF |
960,886 | 1,453,717 | (869,662 | ) | (255,702 | ) | (16,024 | ) | 1,273,215 | 8,500 | 6,592 | — | ||||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
19 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
Affiliates (continued)
| Affiliated Issuer | Value at 12/31/19 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 09/30/20 |
Shares Held at 09/30/20 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
| iShares S&P 500 Value E |
$ | 364,902 | $ | — | $ | — | $ | — | $ | (49,480 | ) | $ | 315,422 | 2,805 | $ | 6,304 | $ | — | ||||||||||||||||||
| iShares U.S. Preferred Stock ETF(b) |
— | 419,640 | (353,291 | ) | (66,349 | ) | — | — | — | 1,764 | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (320,594 | ) | $ | 128,890 | $ | 66,981,032 | $ | 266,458 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (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) | |||||||||||||||||
| JPMorgan Chase Bank N.A |
0.16 | %(b) | 11/06/19 | Open | $ | 932,325 | $ | 938,906 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||
| BNP Paribas S.A |
1.15 | (b) | 07/31/20 | Open | 155,851 | 156,144 | Corporate Bonds | Open/Demand | ||||||||||||||||
| BNP Paribas S.A |
0.45 | (b) | 09/09/20 | Open | 936,250 | 936,496 | Corporate Bonds | Open/Demand | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $ | 2,024,426 | $ | 2,031,546 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| (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 BTP |
87 | 12/08/20 | $ | 15,054 | $ | 155,014 | ||||||||||
| Euro OAT Futures |
102 | 12/08/20 | 20,157 | 131,459 | ||||||||||||
| German Euro Schatz Futures |
32 | 12/08/20 | 4,213 | 1,098 | ||||||||||||
| 10-Year Japan Bond |
1 | 12/14/20 | 1,442 | 1,893 | ||||||||||||
| 90-Day Euro-Dollar. |
60 | 12/14/20 | 14,963 | 58,042 | ||||||||||||
| 10-Year Korea T-Bond. |
44 | 12/15/20 | 5,008 | 44,583 | ||||||||||||
| 10-Year Canada Bond |
57 | 12/18/20 | 6,499 | (4,374 | ) | |||||||||||
| FTSE/MIB Index |
3 | 12/18/20 | 334 | (13,619 | ) | |||||||||||
| 10-Year U.S. Treasury Note. |
135 | 12/21/20 | 18,837 | (19,113 | ) | |||||||||||
| 10-Year U.S. Ultra Note |
81 | 12/21/20 | 12,954 | 225 | ||||||||||||
| U.S. Long Treasury Bond |
52 | 12/21/20 | 9,167 | 1,741 | ||||||||||||
| U.S. Ultra Treasury Bond |
39 | 12/21/20 | 8,651 | (66,393 | ) | |||||||||||
| Long Gilt. |
93 | 12/29/20 | 16,334 | 3,446 | ||||||||||||
| 2-Year U.S. Treasury Note |
131 | 12/31/20 | 28,946 | 15,477 | ||||||||||||
|
|
|
|||||||||||||||
| 309,479 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts |
||||||||||||||||
| Euro Bund |
9 | 12/08/20 | 1,842 | 2,862 | ||||||||||||
| Euro Buxl Futures |
8 | 12/08/20 | 2,089 | (37,973 | ) | |||||||||||
| EURO-BOBL Future. |
286 | 12/08/20 | 45,325 | (27,286 | ) | |||||||||||
| Short Term Euro BTP. |
45 | 12/08/20 | 5,976 | (7,609 | ) | |||||||||||
| 10-Year Australian T-Bond |
4 | 12/15/20 | 428 | (2,815 | ) | |||||||||||
| 3-Year Korea T-Bond |
153 | 12/15/20 | 14,663 | (47,751 | ) | |||||||||||
| DAX Index |
4 | 12/18/20 | 1,498 | 14,984 | ||||||||||||
| Euro Stoxx 50 Index. |
16 | 12/18/20 | 599 | (8,549 | ) | |||||||||||
| MSCI Emerging Markets E-Mini Index |
4 | 12/18/20 | 218 | 2,169 | ||||||||||||
| NASDAQ 100 E-Mini Index |
11 | 12/18/20 | 2,510 | (86,618 | ) | |||||||||||
| Russell 2000 E-Mini Index |
19 | 12/18/20 | 1,429 | (14,397 | ) | |||||||||||
| S&P 500 E-Mini Index |
154 | 12/18/20 | 25,810 | (164,435 | ) | |||||||||||
| 5-Year U.S. Treasury Note |
562 | 12/31/20 | 70,830 | (55,502 | ) | |||||||||||
| 20 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
Futures Contracts (continued)
| Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
(Value/ Unrealized Appreciation Depreciation) |
||||||||||||
| Short Contracts (continued) |
||||||||||||||||
| 90-Day Euro-Dollar. |
60 | 03/15/21 | $ | 14,971 | $ | (95,518 | ) | |||||||||
| 90-Day Euro-Dollar. |
65 | 09/13/21 | 16,219 | (480,242 | ) | |||||||||||
|
|
|
|||||||||||||||
| (1,008,680 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| $ | (699,201 | ) | ||||||||||||||
|
|
|
|||||||||||||||
Forward Foreign Currency Exchange Contracts
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| BRL | 3,891,500 | USD | 689,897 | Barclays Bank PLC | 10/02/20 | $ | 3,047 | |||||||||||||
| BRL | 4,415,670 | USD | 782,823 | Barclays Bank PLC | 10/02/20 | 3,457 | ||||||||||||||
| BRL | 4,939,323 | USD | 875,658 | BNP Paribas S.A. | 10/02/20 | 3,867 | ||||||||||||||
| BRL | 1,969,905 | USD | 349,231 | Citibank N.A. | 10/02/20 | 1,542 | ||||||||||||||
| BRL | 2,066,854 | USD | 368,000 | Citibank N.A. | 10/02/20 | 36 | ||||||||||||||
| BRL | 3,031,488 | USD | 537,431 | Citibank N.A. | 10/02/20 | 2,373 | ||||||||||||||
| BRL | 3,031,488 | USD | 537,431 | Citibank N.A. | 10/02/20 | 2,373 | ||||||||||||||
| BRL | 3,947,003 | USD | 699,736 | Citibank N.A. | 10/02/20 | 3,090 | ||||||||||||||
| BRL | 3,947,003 | USD | 699,736 | Citibank N.A. | 10/02/20 | 3,090 | ||||||||||||||
| BRL | 4,927,461 | USD | 873,555 | Citibank N.A. | 10/02/20 | 3,858 | ||||||||||||||
| BRL | 5,050,656 | USD | 895,395 | Citibank N.A. | 10/02/20 | 3,954 | ||||||||||||||
| BRL | 8,087,688 | USD | 1,440,000 | Citibank N.A. | 10/02/20 | 141 | ||||||||||||||
| BRL | 14,934,141 | USD | 2,659,000 | Citibank N.A. | 10/02/20 | 260 | ||||||||||||||
| USD | 724,000 | BRL | 3,891,500 | Barclays Bank PLC | 10/02/20 | 31,057 | ||||||||||||||
| USD | 815,000 | BRL | 4,415,670 | Barclays Bank PLC | 10/02/20 | 28,720 | ||||||||||||||
| USD | 921,000 | BRL | 4,939,323 | BNP Paribas S.A. | 10/02/20 | 41,475 | ||||||||||||||
| USD | 365,000 | BRL | 1,969,905 | Citibank N.A. | 10/02/20 | 14,227 | ||||||||||||||
| USD | 554,000 | BRL | 3,031,488 | Citibank N.A. | 10/02/20 | 14,196 | ||||||||||||||
| USD | 554,000 | BRL | 3,031,488 | Citibank N.A. | 10/02/20 | 14,196 | ||||||||||||||
| USD | 737,000 | BRL | 3,947,003 | Citibank N.A. | 10/02/20 | 34,173 | ||||||||||||||
| USD | 737,000 | BRL | 3,947,003 | Citibank N.A. | 10/02/20 | 34,173 | ||||||||||||||
| USD | 913,000 | BRL | 4,927,461 | Citibank N.A. | 10/02/20 | 35,587 | ||||||||||||||
| USD | 923,000 | BRL | 5,050,656 | Citibank N.A. | 10/02/20 | 23,651 | ||||||||||||||
| KRW | 1,703,920,000 | USD | 1,444,000 | Bank of America N.A. | 10/06/20 | 12,965 | ||||||||||||||
| KRW | 1,703,920,000 | USD | 1,444,000 | Bank of America N.A. | 10/06/20 | 12,965 | ||||||||||||||
| USD | 1,456,964 | KRW | 1,703,920,000 | Bank of America N.A. | 10/06/20 | — | ||||||||||||||
| USD | 1,456,964 | KRW | 1,703,920,000 | Bank of America N.A. | 10/06/20 | — | ||||||||||||||
| AUD | 1,049,000 | USD | 738,681 | Barclays Bank PLC | 10/14/20 | 12,684 | ||||||||||||||
| AUD | 1,049,000 | USD | 738,681 | Barclays Bank PLC | 10/14/20 | 12,684 | ||||||||||||||
| CLP | 718,759,250 | USD | 913,000 | Citibank N.A. | 10/14/20 | 2,665 | ||||||||||||||
| EUR | 785,000 | USD | 917,610 | Bank of America N.A. | 10/14/20 | 2,991 | ||||||||||||||
| EUR | 785,000 | USD | 918,088 | Deutsche Bank AG | 10/14/20 | 2,513 | ||||||||||||||
| JPY | 71,494,461 | AUD | 922,000 | Bank of America N.A. | 10/14/20 | 17,586 | ||||||||||||||
| JPY | 151,557,402 | AUD | 1,954,500 | Bank of America N.A. | 10/14/20 | 37,280 | ||||||||||||||
| JPY | 85,399,784 | USD | 802,900 | HSBC Bank USA N.A. | 10/14/20 | 6,950 | ||||||||||||||
| JPY | 85,399,784 | USD | 802,900 | HSBC Bank USA N.A. | 10/14/20 | 6,950 | ||||||||||||||
| KRW | 1,718,328,150 | USD | 1,473,000 | JPMorgan Chase Bank N.A. | 10/14/20 | 694 | ||||||||||||||
| KRW | 1,718,328,150 | USD | 1,473,000 | JPMorgan Chase Bank N.A. | 10/14/20 | 694 | ||||||||||||||
| MXN | 16,382,004 | USD | 739,000 | Barclays Bank PLC | 10/14/20 | 841 | ||||||||||||||
| RUB | 45,186,780 | USD | 573,000 | BNP Paribas S.A. | 10/14/20 | 7,970 | ||||||||||||||
| RUB | 45,186,780 | USD | 573,000 | BNP Paribas S.A. | 10/14/20 | 7,970 | ||||||||||||||
| USD | 1,024,194 | AUD | 1,393,000 | BNP Paribas S.A. | 10/14/20 | 26,433 | ||||||||||||||
| USD | 913,000 | CLP | 701,412,250 | Citibank N.A. | 10/14/20 | 19,434 | ||||||||||||||
| USD | 727,000 | COP | 2,664,455,000 | Citibank N.A. | 10/14/20 | 31,198 | ||||||||||||||
| USD | 913,000 | COP | 3,400,012,000 | JPMorgan Chase Bank N.A. | 10/14/20 | 25,113 | ||||||||||||||
| USD | 913,520 | EUR | 774,000 | HSBC Bank USA N.A. | 10/14/20 | 5,819 | ||||||||||||||
| USD | 1,279,400 | EUR | 1,084,000 | HSBC Bank USA N.A. | 10/14/20 | 8,149 | ||||||||||||||
| USD | 432,383 | EUR | 365,000 | JPMorgan Chase Bank N.A. | 10/14/20 | 4,333 | ||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
21 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 1,009,422 | EUR | 850,000 | Morgan Stanley & Co. International PLC | 10/14/20 | $ | 12,592 | |||||||||||||
| USD | 332,134 | EUR | 280,000 | UBS AG | 10/14/20 | 3,767 | ||||||||||||||
| USD | 337,824 | EUR | 285,000 | UBS AG | 10/14/20 | 3,593 | ||||||||||||||
| USD | 913,000 | HUF | 279,304,960 | Bank of America N.A. | 10/14/20 | 12,228 | ||||||||||||||
| USD | 913,000 | HUF | 279,304,960 | Bank of America N.A. | 10/14/20 | 12,228 | ||||||||||||||
| USD | 923,000 | JPY | 96,498,173 | UBS AG | 10/14/20 | 7,903 | ||||||||||||||
| USD | 920,000 | KRW | 1,071,156,000 | Barclays Bank PLC | 10/14/20 | 1,342 | ||||||||||||||
| USD | 920,000 | KRW | 1,071,156,000 | Barclays Bank PLC | 10/14/20 | 1,342 | ||||||||||||||
| USD | 70,000 | MXN | 1,506,267 | Citibank N.A. | 10/14/20 | 1,974 | ||||||||||||||
| USD | 70,000 | MXN | 1,506,267 | Citibank N.A. | 10/14/20 | 1,974 | ||||||||||||||
| USD | 329,205 | MXN | 7,284,746 | Citibank N.A. | 10/14/20 | 213 | ||||||||||||||
| USD | 918,000 | MXN | 19,390,547 | Citibank N.A. | 10/14/20 | 42,288 | ||||||||||||||
| USD | 918,000 | MXN | 19,390,547 | Citibank N.A. | 10/14/20 | 42,288 | ||||||||||||||
| USD | 860,000 | MXN | 18,482,260 | Deutsche Bank AG | 10/14/20 | 25,308 | ||||||||||||||
| USD | 860,000 | MXN | 18,482,260 | Deutsche Bank AG | 10/14/20 | 25,308 | ||||||||||||||
| USD | 430,000 | MXN | 9,248,380 | HSBC Bank USA N.A. | 10/14/20 | 12,326 | ||||||||||||||
| USD | 430,000 | MXN | 9,248,380 | HSBC Bank USA N.A. | 10/14/20 | 12,326 | ||||||||||||||
| USD | 486,000 | MXN | 10,459,935 | HSBC Bank USA N.A. | 10/14/20 | 13,610 | ||||||||||||||
| USD | 486,000 | MXN | 10,459,935 | HSBC Bank USA N.A. | 10/14/20 | 13,610 | ||||||||||||||
| USD | 1,843,000 | MXN | 39,024,051 | HSBC Bank USA N.A. | 10/14/20 | 80,603 | ||||||||||||||
| USD | 595,795 | MXN | 13,192,350 | UBS AG | 10/14/20 | 5 | ||||||||||||||
| USD | 730,000 | PLN | 2,759,181 | Bank of America N.A. | 10/14/20 | 16,168 | ||||||||||||||
| USD | 730,000 | PLN | 2,759,181 | Bank of America N.A. | 10/14/20 | 16,168 | ||||||||||||||
| USD | 554,000 | RUB | 42,308,980 | Bank of America N.A. | 10/14/20 | 10,030 | ||||||||||||||
| USD | 554,000 | RUB | 42,308,980 | Bank of America N.A. | 10/14/20 | 10,030 | ||||||||||||||
| USD | 155,000 | RUB | 11,742,025 | Citibank N.A. | 10/14/20 | 4,032 | ||||||||||||||
| USD | 178,000 | RUB | 13,506,551 | Citibank N.A. | 10/14/20 | 4,345 | ||||||||||||||
| USD | 1,666,000 | RUB | 126,207,830 | Citibank N.A. | 10/14/20 | 43,336 | ||||||||||||||
| USD | 1,682,000 | RUB | 127,629,319 | Citibank N.A. | 10/14/20 | 41,060 | ||||||||||||||
| USD | 551,000 | ZAR | 9,044,500 | BNP Paribas S.A. | 10/14/20 | 11,823 | ||||||||||||||
| USD | 918,000 | ZAR | 15,068,695 | BNP Paribas S.A. | 10/14/20 | 19,698 | ||||||||||||||
| ZAR | 9,432,023 | USD | 553,000 | BNP Paribas S.A. | 10/14/20 | 9,279 | ||||||||||||||
| ZAR | 9,432,023 | USD | 553,000 | BNP Paribas S.A. | 10/14/20 | 9,279 | ||||||||||||||
| ZAR | 10,744,430 | USD | 634,796 | BNP Paribas S.A. | 10/14/20 | 5,720 | ||||||||||||||
| ZAR | 15,324,066 | USD | 913,000 | BNP Paribas S.A. | 10/14/20 | 526 | ||||||||||||||
| ZAR | 9,733,666 | USD | 573,000 | Citibank N.A. | 10/14/20 | 7,261 | ||||||||||||||
| ZAR | 9,733,666 | USD | 573,000 | Citibank N.A. | 10/14/20 | 7,261 | ||||||||||||||
| USD | 559,000 | BRL | 3,092,220 | BNP Paribas S.A. | 11/04/20 | 8,836 | ||||||||||||||
| USD | 759,000 | BRL | 4,198,560 | BNP Paribas S.A. | 11/04/20 | 11,997 | ||||||||||||||
| USD | 2,509,046 | COP | 9,304,673,290 | Barclays Bank PLC | 12/04/20 | 85,759 | ||||||||||||||
| USD | 670,718 | EUR | 563,000 | Bank of America N.A. | 12/04/20 | 9,756 | ||||||||||||||
| USD | 1,396,757 | EUR | 1,172,436 | Bank of America N.A. | 12/04/20 | 20,316 | ||||||||||||||
| USD | 501,357 | MXN | 10,751,405 | Deutsche Bank AG | 12/04/20 | 18,630 | ||||||||||||||
| USD | 10,052,812 | RUB | 760,962,713 | Citibank N.A. | 12/04/20 | 315,201 | ||||||||||||||
| CNH | 7,805,000 | USD | 1,135,405 | HSBC Bank USA N.A. | 12/16/20 | 9,988 | ||||||||||||||
| CNH | 40,904,640 | USD | 6,000,000 | Natwest Markets PLC | 12/16/20 | 2,803 | ||||||||||||||
| CNY | 11,402 | AUD | 2,278 | State Street Bank and Trust Co. | 12/16/20 | 42 | ||||||||||||||
| CNY | 34,679 | JPY | 534,673 | State Street Bank and Trust Co. | 12/16/20 | 15 | ||||||||||||||
| CNY | 31,287,458 | USD | 4,550,000 | State Street Bank and Trust Co. | 12/16/20 | 42,299 | ||||||||||||||
| EUR | 1,843,672 | AUD | 3,004,085 | Westpac Banking Corp. | 12/16/20 | 13,149 | ||||||||||||||
| EUR | 120,000 | USD | 140,462 | Barclays Bank PLC | 12/16/20 | 469 | ||||||||||||||
| EUR | 1,972,846 | USD | 2,310,249 | Barclays Bank PLC | 12/16/20 | 6,713 | ||||||||||||||
| EUR | 290,000 | USD | 340,189 | BNP Paribas S.A. | 12/16/20 | 395 | ||||||||||||||
| EUR | 390,000 | USD | 457,417 | BNP Paribas S.A. | 12/16/20 | 609 | ||||||||||||||
| EUR | 150,000 | USD | 175,063 | Deutsche Bank AG | 12/16/20 | 1,101 | ||||||||||||||
| GBP | 889,422 | EUR | 970,000 | BNP Paribas S.A. | 12/16/20 | 9,014 | ||||||||||||||
| GBP | 890,302 | EUR | 960,000 | BNP Paribas S.A. | 12/16/20 | 21,894 | ||||||||||||||
| GBP | 895,897 | EUR | 970,000 | BNP Paribas S.A. | 12/16/20 | 17,372 | ||||||||||||||
| GBP | 5,858,992 | EUR | 6,322,998 | State Street Bank and Trust Co. | 12/16/20 | 137,822 | ||||||||||||||
| IDR | 11,327,129,000 | USD | 745,000 | Barclays Bank PLC | 12/16/20 | 10,650 | ||||||||||||||
| IDR | 16,620,000,000 | USD | 1,107,631 | JPMorgan Chase Bank N.A. | 12/16/20 | 1,115 | ||||||||||||||
| INR | 33,500,000 | USD | 450,647 | Deutsche Bank AG | 12/16/20 | 1,356 | ||||||||||||||
| 22 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold |
Counterparty | Settlement Date |
Unrealized (Depreciation) |
||||||||||||||||
| JPY | 222,926,654 | AUD | 2,888,467 | Commonwealth Bank of Australia | 12/16/20 | $ | 46,607 | |||||||||||||
| JPY | 308,712,760 | AUD | 4,000,000 | Commonwealth Bank of Australia | 12/16/20 | 64,543 | ||||||||||||||
| JPY | 1,215,635,869 | EUR | 9,666,501 | State Street Bank and Trust Co. | 12/16/20 | 185,502 | ||||||||||||||
| JPY | 47,600,000 | USD | 449,219 | UBS AG | 12/16/20 | 2,572 | ||||||||||||||
| KRW | 712,229,160 | USD | 600,000 | UBS AG | 12/16/20 | 10,883 | ||||||||||||||
| MYR | 1,800,000 | USD | 431,406 | Barclays Bank PLC | 12/16/20 | 966 | ||||||||||||||
| RUB | 43,901,711 | USD | 550,000 | BNP Paribas S.A. | 12/16/20 | 11,064 | ||||||||||||||
| SGD | 2,461,972 | USD | 1,800,000 | State Street Bank and Trust Co. | 12/16/20 | 3,753 | ||||||||||||||
| TWD | 31,889,000 | USD | 1,100,000 | JPMorgan Chase Bank N.A. | 12/16/20 | 12,930 | ||||||||||||||
| USD | 1,771,592 | AUD | 2,434,000 | Commonwealth Bank of Australia | 12/16/20 | 27,889 | ||||||||||||||
| USD | 1,043,928 | BRL | 5,551,609 | Goldman Sachs International | 12/16/20 | 57,450 | ||||||||||||||
| USD | 9,200,000 | CNH | 62,515,702 | HSBC Bank USA N.A. | 12/16/20 | 25,749 | ||||||||||||||
| USD | 297,975 | EUR | 250,000 | Bank of America N.A. | 12/16/20 | 4,369 | ||||||||||||||
| USD | 309,894 | EUR | 260,000 | Bank of America N.A. | 12/16/20 | 4,544 | ||||||||||||||
| USD | 332,613 | EUR | 280,000 | Bank of America N.A. | 12/16/20 | 3,773 | ||||||||||||||
| USD | 332,893 | EUR | 280,000 | Bank of America N.A. | 12/16/20 | 4,053 | ||||||||||||||
| USD | 435,338 | EUR | 370,000 | Bank of America N.A. | 12/16/20 | 800 | ||||||||||||||
| USD | 7,979,242 | EUR | 6,696,000 | Bank of America N.A. | 12/16/20 | 115,286 | ||||||||||||||
| USD | 226,274 | EUR | 190,000 | Barclays Bank PLC | 12/16/20 | 3,133 | ||||||||||||||
| USD | 297,729 | EUR | 250,000 | Barclays Bank PLC | 12/16/20 | 4,123 | ||||||||||||||
| USD | 319,949 | EUR | 270,000 | Barclays Bank PLC | 12/16/20 | 2,854 | ||||||||||||||
| USD | 493,434 | EUR | 420,000 | Barclays Bank PLC | 12/16/20 | 175 | ||||||||||||||
| USD | 190,948 | EUR | 160,000 | Citibank N.A. | 12/16/20 | 3,040 | ||||||||||||||
| USD | 320,306 | EUR | 270,000 | Citibank N.A. | 12/16/20 | 3,211 | ||||||||||||||
| USD | 446,822 | EUR | 380,000 | Citibank N.A. | 12/16/20 | 540 | ||||||||||||||
| USD | 740,167 | EUR | 628,000 | Citibank N.A. | 12/16/20 | 2,628 | ||||||||||||||
| USD | 7,814,184 | EUR | 6,630,000 | Citibank N.A. | 12/16/20 | 27,741 | ||||||||||||||
| USD | 10,731,794 | EUR | 9,048,887 | Commonwealth Bank of Australia | 12/16/20 | 104,548 | ||||||||||||||
| USD | 1,539,411 | EUR | 1,290,735 | Deutsche Bank AG | 12/16/20 | 23,538 | ||||||||||||||
| USD | 486,527 | EUR | 410,000 | Goldman Sachs International | 12/16/20 | 5,012 | ||||||||||||||
| USD | 2,371,960 | EUR | 2,000,000 | Morgan Stanley & Co. International PLC | 12/16/20 | 23,108 | ||||||||||||||
| USD | 18,920,848 | EUR | 16,000,000 | Natwest Markets PLC | 12/16/20 | 130,034 | ||||||||||||||
| USD | 1,233,367 | EUR | 1,040,000 | UBS AG | 12/16/20 | 11,964 | ||||||||||||||
| USD | 348,562 | JPY | 36,500,000 | Citibank N.A. | 12/16/20 | 2,126 | ||||||||||||||
| USD | 200,000 | NOK | 1,810,576 | Bank of America N.A. | 12/16/20 | 5,851 | ||||||||||||||
| USD | 53,189 | PLN | 200,000 | Citibank N.A. | 12/16/20 | 1,437 | ||||||||||||||
| USD | 113,969 | SEK | 1,000,000 | Westpac Banking Corp. | 12/16/20 | 2,206 | ||||||||||||||
| USD | 310,000 | SEK | 2,719,163 | Westpac Banking Corp. | 12/16/20 | 6,098 | ||||||||||||||
| USD | 168,000 | ZAR | 2,838,038 | State Street Bank and Trust Co. | 12/17/20 | 75 | ||||||||||||||
| USD | 18,571,890 | ZAR | 313,740,000 | State Street Bank and Trust Co. | 12/17/20 | 8,101 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 2,813,845 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| BRL | 3,089,817 | USD | 559,000 | BNP Paribas S.A. | 10/02/20 | (8,809 | ) | |||||||||||||
| BRL | 4,195,297 | USD | 759,000 | BNP Paribas S.A. | 10/02/20 | (11,961 | ) | |||||||||||||
| BRL | 3,847,662 | USD | 729,000 | Citibank N.A. | 10/02/20 | (43,863 | ) | |||||||||||||
| BRL | 3,847,662 | USD | 729,000 | Citibank N.A. | 10/02/20 | (43,863 | ) | |||||||||||||
| USD | 547,772 | BRL | 3,089,817 | BNP Paribas S.A. | 10/02/20 | (2,419 | ) | |||||||||||||
| USD | 743,755 | BRL | 4,195,297 | BNP Paribas S.A. | 10/02/20 | (3,284 | ) | |||||||||||||
| USD | 366,418 | BRL | 2,066,854 | Citibank N.A. | 10/02/20 | (1,618 | ) | |||||||||||||
| USD | 682,125 | BRL | 3,847,662 | Citibank N.A. | 10/02/20 | (3,012 | ) | |||||||||||||
| USD | 682,125 | BRL | 3,847,662 | Citibank N.A. | 10/02/20 | (3,012 | ) | |||||||||||||
| USD | 1,433,809 | BRL | 8,087,688 | Citibank N.A. | 10/02/20 | (6,332 | ) | |||||||||||||
| USD | 2,647,569 | BRL | 14,934,140 | Citibank N.A. | 10/02/20 | (11,692 | ) | |||||||||||||
| AUD | 969,000 | USD | 708,291 | UBS AG | 10/14/20 | (14,227 | ) | |||||||||||||
| AUD | 1,287,000 | USD | 940,733 | UBS AG | 10/14/20 | (18,896 | ) | |||||||||||||
| COP | 2,729,158,000 | USD | 727,000 | Citibank N.A. | 10/14/20 | (14,301 | ) | |||||||||||||
| COP | 3,384,491,000 | USD | 913,000 | Citibank N.A. | 10/14/20 | (29,166 | ) | |||||||||||||
| EUR | 2,315,000 | USD | 2,742,280 | Bank of America N.A. | 10/14/20 | (27,385 | ) | |||||||||||||
| EUR | 255,000 | USD | 300,980 | Citibank N.A. | 10/14/20 | (1,931 | ) | |||||||||||||
| EUR | 795,000 | USD | 938,350 | Citibank N.A. | 10/14/20 | (6,022 | ) | |||||||||||||
| EUR | 2,315,000 | USD | 2,742,321 | UBS AG | 10/14/20 | (27,427 | ) | |||||||||||||
| HUF | 222,036,215 | USD | 730,377 | Bank of America N.A. | 10/14/20 | (14,299 | ) | |||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
23 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| HUF | 222,036,215 | USD | 730,377 | Bank of America N.A. | 10/14/20 | $ | (14,299 | ) | ||||||||||||
| HUF | 55,560,564 | USD | 182,623 | Citibank N.A. | 10/14/20 | (3,437 | ) | |||||||||||||
| HUF | 55,560,564 | USD | 182,623 | Citibank N.A. | 10/14/20 | (3,437 | ) | |||||||||||||
| JPY | 76,210,696 | AUD | 1,011,000 | Deutsche Bank AG | 10/14/20 | (1,438 | ) | |||||||||||||
| JPY | 76,210,696 | AUD | 1,011,000 | Deutsche Bank AG | 10/14/20 | (1,438 | ) | |||||||||||||
| MXN | 38,871,158 | USD | 1,826,000 | Citibank N.A. | 10/14/20 | (70,508 | ) | |||||||||||||
| MXN | 23,061,020 | USD | 1,051,000 | Deutsche Bank AG | 10/14/20 | (9,522 | ) | |||||||||||||
| MXN | 5,910,449 | USD | 276,709 | UBS AG | 10/14/20 | (9,782 | ) | |||||||||||||
| MXN | 27,596,862 | USD | 1,292,000 | UBS AG | 10/14/20 | (45,676 | ) | |||||||||||||
| MXN | 59,551,122 | USD | 2,788,000 | UBS AG | 10/14/20 | (98,563 | ) | |||||||||||||
| PLN | 4,077,962 | USD | 1,090,000 | Bank of America N.A. | 10/14/20 | (34,984 | ) | |||||||||||||
| PLN | 4,077,962 | USD | 1,090,000 | Bank of America N.A. | 10/14/20 | (34,984 | ) | |||||||||||||
| RUB | 11,671,763 | USD | 155,000 | Citibank N.A. | 10/14/20 | (4,935 | ) | |||||||||||||
| RUB | 13,403,703 | USD | 178,000 | Citibank N.A. | 10/14/20 | (5,668 | ) | |||||||||||||
| RUB | 125,452,632 | USD | 1,666,000 | Citibank N.A. | 10/14/20 | (53,046 | ) | |||||||||||||
| RUB | 126,657,459 | USD | 1,682,000 | Citibank N.A. | 10/14/20 | (53,555 | ) | |||||||||||||
| USD | 1,752,209 | EUR | 1,501,000 | JPMorgan Chase Bank N.A. | 10/14/20 | (8,075 | ) | |||||||||||||
| USD | 1,752,209 | EUR | 1,501,000 | JPMorgan Chase Bank N.A. | 10/14/20 | (8,075 | ) | |||||||||||||
| USD | 901,000 | JPY | 95,964,284 | BNP Paribas S.A. | 10/14/20 | (9,034 | ) | |||||||||||||
| USD | 901,000 | JPY | 95,964,284 | BNP Paribas S.A. | 10/14/20 | (9,034 | ) | |||||||||||||
| USD | 553,000 | KRW | 645,185,100 | Bank of America N.A. | 10/14/20 | (332 | ) | |||||||||||||
| USD | 553,000 | KRW | 645,185,100 | Bank of America N.A. | 10/14/20 | (332 | ) | |||||||||||||
| USD | 722,156 | MXN | 16,267,647 | Morgan Stanley & Co. International PLC | 10/14/20 | (12,520 | ) | |||||||||||||
| USD | 572,844 | MXN | 12,916,984 | UBS AG | 10/14/20 | (10,510 | ) | |||||||||||||
| USD | 415,000 | RUB | 32,988,350 | Bank of America N.A. | 10/14/20 | (9,134 | ) | |||||||||||||
| USD | 415,000 | RUB | 32,988,350 | Bank of America N.A. | 10/14/20 | (9,134 | ) | |||||||||||||
| USD | 158,000 | RUB | 12,543,146 | BNP Paribas S.A. | 10/14/20 | (3,268 | ) | |||||||||||||
| USD | 158,000 | RUB | 12,543,146 | BNP Paribas S.A. | 10/14/20 | (3,268 | ) | |||||||||||||
| USD | 554,000 | RUB | 43,549,940 | Citibank N.A. | 10/14/20 | (5,925 | ) | |||||||||||||
| USD | 554,000 | RUB | 43,549,940 | Citibank N.A. | 10/14/20 | (5,925 | ) | |||||||||||||
| USD | 573,000 | ZAR | 9,749,022 | Bank of America N.A. | 10/14/20 | (8,176 | ) | |||||||||||||
| USD | 573,000 | ZAR | 9,749,022 | Bank of America N.A. | 10/14/20 | (8,176 | ) | |||||||||||||
| USD | 2,410,000 | ZAR | 40,791,178 | BNP Paribas S.A. | 10/14/20 | (21,717 | ) | |||||||||||||
| USD | 2,900,000 | ZAR | 48,979,347 | UBS AG | 10/14/20 | (19,845 | ) | |||||||||||||
| ZAR | 18,170,327 | USD | 1,102,000 | Bank of America N.A. | 10/14/20 | (18,798 | ) | |||||||||||||
| KZT | 53,608,135 | USD | 126,330 | Citibank N.A. | 10/23/20 | (3,320 | ) | |||||||||||||
| USD | 223,844 | EUR | 198,926 | UBS AG | 11/27/20 | (9,657 | ) | |||||||||||||
| IDR | 28,405,000,000 | USD | 1,916,925 | BNP Paribas S.A. | 12/04/20 | (18,738 | ) | |||||||||||||
| RUB | 24,042,965 | USD | 312,547 | Bank of America N.A. | 12/04/20 | (4,882 | ) | |||||||||||||
| RUB | 24,006,840 | USD | 313,782 | Barclays Bank PLC | 12/04/20 | (6,580 | ) | |||||||||||||
| RUB | 24,006,840 | USD | 312,635 | Barclays Bank PLC | 12/04/20 | (5,433 | ) | |||||||||||||
| RUB | 12,012,565 | USD | 155,898 | Credit Suisse International | 12/04/20 | (2,180 | ) | |||||||||||||
| RUB | 13,549,303 | USD | 176,386 | Credit Suisse International | 12/04/20 | (3,004 | ) | |||||||||||||
| RUB | 27,165,927 | USD | 352,742 | Credit Suisse International | 12/04/20 | (5,115 | ) | |||||||||||||
| RUB | 33,255,408 | USD | 434,124 | Credit Suisse International | 12/04/20 | (8,573 | ) | |||||||||||||
| RUB | 40,647,879 | USD | 530,554 | Credit Suisse International | 12/04/20 | (10,406 | ) | |||||||||||||
| RUB | 40,757,269 | USD | 528,683 | Credit Suisse International | 12/04/20 | (7,136 | ) | |||||||||||||
| RUB | 43,362,141 | USD | 562,929 | Credit Suisse International | 12/04/20 | (8,048 | ) | |||||||||||||
| USD | 3,250,720 | CNH | 22,353,000 | Barclays Bank PLC | 12/04/20 | (32,267 | ) | |||||||||||||
| USD | 20,767,899 | CNH | 142,744,000 | Citibank N.A. | 12/04/20 | (196,929 | ) | |||||||||||||
| USD | 718,778 | CNH | 4,938,000 | HSBC Bank USA N.A. | 12/04/20 | (6,467 | ) | |||||||||||||
| USD | 7,202,535 | IDR | 109,031,968,898 | Standard Chartered Bank | 12/04/20 | (83,618 | ) | |||||||||||||
| AUD | 1,900,000 | JPY | 146,849,670 | Royal Bank of Canada | 12/16/20 | (32,661 | ) | |||||||||||||
| CAD | 447,235 | USD | 340,000 | Bank of America N.A. | 12/16/20 | (4,013 | ) | |||||||||||||
| CAD | 1,106,933 | USD | 840,000 | Natwest Markets PLC | 12/16/20 | (8,412 | ) | |||||||||||||
| CAD | 3,600,000 | USD | 2,731,915 | Natwest Markets PLC | 12/16/20 | (27,399 | ) | |||||||||||||
| CHF | 45,325 | USD | 50,000 | UBS AG | 12/16/20 | (679 | ) | |||||||||||||
| CZK | 11,897,954 | USD | 530,000 | Citibank N.A. | 12/16/20 | (14,083 | ) | |||||||||||||
| EUR | 190,000 | GBP | 175,373 | BNP Paribas S.A. | 12/16/20 | (3,258 | ) | |||||||||||||
| EUR | 970,000 | GBP | 901,140 | BNP Paribas S.A. | 12/16/20 | (24,141 | ) | |||||||||||||
| EUR | 780,000 | GBP | 719,605 | Citibank N.A. | 12/16/20 | (12,927 | ) | |||||||||||||
| EUR | 960,000 | GBP | 890,918 | Citibank N.A. | 12/16/20 | (22,690 | ) | |||||||||||||
| 24 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
Forward Foreign Currency Exchange Contracts (continued)
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| EUR | 250,000 | USD | 297,051 | Bank of America N.A. | 12/16/20 | $ | (3,445 | ) | ||||||||||||
| EUR | 380,000 | USD | 450,398 | Bank of America N.A. | 12/16/20 | (4,116 | ) | |||||||||||||
| EUR | 390,000 | USD | 460,214 | Bank of America N.A. | 12/16/20 | (2,188 | ) | |||||||||||||
| EUR | 525,883 | USD | 618,173 | Bank of America N.A. | 12/16/20 | (562 | ) | |||||||||||||
| EUR | 650,000 | USD | 764,678 | Bank of America N.A. | 12/16/20 | (1,301 | ) | |||||||||||||
| EUR | 1,946,017 | USD | 2,291,219 | Bank of America N.A. | 12/16/20 | (5,766 | ) | |||||||||||||
| EUR | 380,000 | USD | 447,301 | Barclays Bank PLC | 12/16/20 | (1,019 | ) | |||||||||||||
| EUR | 390,000 | USD | 460,239 | Barclays Bank PLC | 12/16/20 | (2,213 | ) | |||||||||||||
| EUR | 390,000 | USD | 459,849 | Barclays Bank PLC | 12/16/20 | (1,823 | ) | |||||||||||||
| EUR | 390,000 | USD | 458,078 | Barclays Bank PLC | 12/16/20 | (52 | ) | |||||||||||||
| EUR | 260,000 | USD | 308,502 | BNP Paribas S.A. | 12/16/20 | (3,151 | ) | |||||||||||||
| EUR | 114,117 | USD | 134,142 | Citibank N.A. | 12/16/20 | (121 | ) | |||||||||||||
| EUR | 130,000 | USD | 154,285 | Citibank N.A. | 12/16/20 | (1,610 | ) | |||||||||||||
| EUR | 140,913 | USD | 166,440 | Citibank N.A. | 12/16/20 | (948 | ) | |||||||||||||
| EUR | 179,087 | USD | 211,529 | Citibank N.A. | 12/16/20 | (1,204 | ) | |||||||||||||
| EUR | 250,000 | USD | 296,703 | Citibank N.A. | 12/16/20 | (3,096 | ) | |||||||||||||
| EUR | 320,000 | USD | 378,791 | Citibank N.A. | 12/16/20 | (2,975 | ) | |||||||||||||
| EUR | 380,000 | USD | 448,788 | Citibank N.A. | 12/16/20 | (2,506 | ) | |||||||||||||
| EUR | 490,000 | USD | 579,773 | Citibank N.A. | 12/16/20 | (4,305 | ) | |||||||||||||
| EUR | 658,300 | USD | 786,105 | HSBC Bank USA N.A. | 12/16/20 | (12,980 | ) | |||||||||||||
| EUR | 650,000 | USD | 763,955 | JPMorgan Chase Bank N.A. | 12/16/20 | (578 | ) | |||||||||||||
| MXN | 58,289,127 | USD | 2,708,000 | State Street Bank and Trust Co. | 12/16/20 | (94,182 | ) | |||||||||||||
| MYR | 2,283,765 | USD | 550,000 | Barclays Bank PLC | 12/16/20 | (1,424 | ) | |||||||||||||
| NOK | 12,737,859 | CAD | 1,854,366 | Morgan Stanley & Co. International PLC | 12/16/20 | (27,214 | ) | |||||||||||||
| PLN | 3,647,589 | USD | 970,000 | State Street Bank and Trust Co. | 12/16/20 | (26,151 | ) | |||||||||||||
| RUB | 66,718,256 | USD | 880,000 | Citibank N.A. | 12/16/20 | (27,341 | ) | |||||||||||||
| THB | 14,400,000 | USD | 461,760 | Barclays Bank PLC | 12/16/20 | (7,365 | ) | |||||||||||||
| THB | 14,400,000 | USD | 461,686 | Barclays Bank PLC | 12/16/20 | (7,291 | ) | |||||||||||||
| TRY | 1,720,341 | USD | 222,000 | State Street Bank and Trust Co. | 12/16/20 | (4,094 | ) | |||||||||||||
| USD | 8,980,195 | CNH | 61,750,000 | Citibank N.A. | 12/16/20 | (81,689 | ) | |||||||||||||
| USD | 3,556,777 | CNH | 24,450,000 | HSBC Bank USA N.A. | 12/16/20 | (31,288 | ) | |||||||||||||
| USD | 113,344 | EUR | 96,515 | Royal Bank of Canada | 12/16/20 | (5 | ) | |||||||||||||
| USD | 120,407 | EUR | 102,529 | Royal Bank of Canada | 12/16/20 | (6 | ) | |||||||||||||
| USD | 226,402 | EUR | 192,786 | Royal Bank of Canada | 12/16/20 | (11 | ) | |||||||||||||
| USD | 452,804 | EUR | 385,572 | Royal Bank of Canada | 12/16/20 | (22 | ) | |||||||||||||
| USD | 645,459 | GBP | 500,000 | Bank of America N.A. | 12/16/20 | (20 | ) | |||||||||||||
| USD | 6,393,425 | GBP | 4,995,000 | UBS AG | 12/16/20 | (54,911 | ) | |||||||||||||
| USD | 58,027 | HKD | 450,000 | UBS AG | 12/16/20 | (22 | ) | |||||||||||||
| USD | 97,258 | IDR | 1,475,120,000 | Citibank N.A. | 12/16/20 | (1,149 | ) | |||||||||||||
| USD | 601,337 | IDR | 9,023,058,798 | JPMorgan Chase Bank N.A. | 12/16/20 | (605 | ) | |||||||||||||
| USD | 3,481,688 | INR | 258,820,000 | Deutsche Bank AG | 12/16/20 | (10,477 | ) | |||||||||||||
| USD | 270,000 | INR | 20,028,087 | UBS AG | 12/16/20 | (232 | ) | |||||||||||||
| USD | 3,987,053 | JPY | 422,760,000 | Bank of America N.A. | 12/16/20 | (25,533 | ) | |||||||||||||
| USD | 22,090,950 | JPY | 2,342,374,119 | Bank of America N.A. | 12/16/20 | (141,469 | ) | |||||||||||||
| USD | 225,543 | JPY | 23,800,000 | Barclays Bank PLC | 12/16/20 | (352 | ) | |||||||||||||
| USD | 225,145 | JPY | 23,800,000 | Citibank N.A. | 12/16/20 | (750 | ) | |||||||||||||
| USD | 1,479,920 | MXN | 33,216,804 | Morgan Stanley & Co. International PLC | 12/16/20 | (9,598 | ) | |||||||||||||
| USD | 188,815 | MYR | 790,000 | Goldman Sachs International | 12/16/20 | (949 | ) | |||||||||||||
| USD | 241,453 | MYR | 1,010,000 | Goldman Sachs International | 12/16/20 | (1,155 | ) | |||||||||||||
| ZAR | 182,533,450 | USD | 11,000,000 | BNP Paribas S.A. | 12/17/20 | (199,617 | ) | |||||||||||||
| USD | 1,741,000 | TRY | 13,974,833 | JPMorgan Chase Bank N.A. | 12/29/20 | (21,035 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| (2,304,601 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| $ | 509,244 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Exchange-Traded Options Purchased
| Description | Number of Contracts |
Expiration Date |
Exercise Price |
Notional Amount (000) |
Value | |||||||||||||||||||
| Call | ||||||||||||||||||||||||
| SPDR S&P 500 ETF Trust |
175 | 10/07/20 | USD | 340.00 | USD | 5,861 | $ | 28,437 | ||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
25 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
Exchange-Traded Options Purchased (continued)
| Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||
| Call (continued) |
||||||||||||||||||
| SPDR S&P 500 ETF Trust |
132 | 10/09/20 | USD | 340.00 | USD | 4,421 | $28,974 | |||||||||||
| SPDR S&P 500 ETF Trust |
141 | 10/09/20 | USD | 342.00 | USD | 4,722 | 22,631 | |||||||||||
| Deutsche Telekom AG |
93 | 10/16/20 | EUR | 16.20 | EUR | 133 | 1,690 | |||||||||||
| Invesco Ltd. |
54 | 10/16/20 | USD | 315.00 | USD | 1,500 | 270 | |||||||||||
| Invesco Ltd. |
120 | 10/16/20 | USD | 285.00 | USD | 3,334 | 36,660 | |||||||||||
| NVIDIA Corp. |
4 | 10/16/20 | USD | 520.00 | USD | 216 | 13,480 | |||||||||||
| PayPal Holdings, Inc. |
19 | 10/16/20 | USD | 210.00 | USD | 374 | 3,468 | |||||||||||
| PayPal Holdings, Inc. |
14 | 10/16/20 | USD | 192.50 | USD | 276 | 12,145 | |||||||||||
| SPDR S&P 500 ETF Trust |
102 | 10/16/20 | USD | 333.00 | USD | 3,416 | 71,655 | |||||||||||
| SPDR S&P 500 ETF Trust |
379 | 10/16/20 | USD | 350.00 | USD | 12,692 | 36,763 | |||||||||||
| SPDR S&P 500 ETF Trust |
84 | 10/16/20 | USD | 335.00 | USD | 2,813 | 49,350 | |||||||||||
| Union Pacific Corp |
6 | 10/16/20 | USD | 202.50 | USD | 118 | 1,422 | |||||||||||
| Walmart, Inc. |
28 | 10/16/20 | USD | 145.00 | USD | 392 | 2,954 | |||||||||||
| Wells Fargo & Co. |
77 | 10/16/20 | USD | 35.00 | USD | 181 | 116 | |||||||||||
| Invesco Ltd. |
45 | 10/23/20 | USD | 290.00 | USD | 1,250 | 12,330 | |||||||||||
| Merck & Co., Inc. |
75 | 11/20/20 | USD | 87.50 | USD | 622 | 11,550 | |||||||||||
| Micron Technology, Inc. |
59 | 11/20/20 | USD | 52.50 | USD | 277 | 7,464 | |||||||||||
| Southwest Airlines Co. |
56 | 11/20/20 | USD | 40.00 | USD | 210 | 12,068 | |||||||||||
| SPDR S&P 500 ETF Trust |
60 | 11/20/20 | USD | 350.00 | USD | 2,009 | 32,010 | |||||||||||
| SPDR S&P 500 ETF Trust |
27 | 11/20/20 | USD | 41.00 | USD | 98 | 270 | |||||||||||
| SPDR S&P 500 ETF Trust |
27 | 11/20/20 | USD | 38.00 | USD | 98 | 1,890 | |||||||||||
| T MOBILE USA, Inc. |
37 | 11/20/20 | USD | 125.00 | USD | 423 | 6,771 | |||||||||||
| Walmart, Inc. |
49 | 11/20/20 | USD | 150.00 | USD | 686 | 13,524 | |||||||||||
| Bank of America Corp. |
148 | 12/18/20 | USD | 27.00 | USD | 357 | 10,656 | |||||||||||
| Charter Communications, Inc. |
5 | 12/18/20 | USD | 670.00 | USD | 312 | 8,225 | |||||||||||
| Health Care Select Sector SPDR |
113 | 12/18/20 | USD | 111.00 | USD | 1,192 | 24,464 | |||||||||||
| Ishares Latin Amarica ETF. |
146 | 12/18/20 | USD | 25.00 | USD | 307 | 4,380 | |||||||||||
| JPMorgan Chase & Co |
34 | 12/18/20 | USD | 110.00 | USD | 327 | 6,545 | |||||||||||
| Mcdonald’S Corp |
9 | 12/18/20 | USD | 230.00 | USD | 198 | 5,738 | |||||||||||
| Merck & Co., Inc. |
54 | 12/18/20 | USD | 90.00 | USD | 448 | 7,695 | |||||||||||
| Slack Technologies, Inc |
44 | 12/18/20 | USD | 42.00 | USD | 118 | 1,496 | |||||||||||
| SPDR S&P 500 ETF Trust |
91 | 12/18/20 | USD | 340.00 | USD | 3,047 | 120,529 | |||||||||||
| SPDR S&P 500 ETF Trust |
92 | 12/18/20 | USD | 360.00 | USD | 3,081 | 45,678 | |||||||||||
| SPDR S&P 500 ETF Trust |
59 | 12/18/20 | USD | 350.00 | USD | 1,976 | 49,619 | |||||||||||
| SPDR S&P 500 ETF Trust |
56 | 12/18/20 | USD | 365.00 | USD | 1,875 | 21,028 | |||||||||||
| SPDR S&P 500 ETF Trust |
43 | 12/31/20 | USD | 350.00 | USD | 1,440 | 38,571 | |||||||||||
| DR Horton, Inc. |
55 | 01/15/21 | USD | 80.00 | USD | 416 | 28,187 | |||||||||||
| VanEck Vectors Semiconductor ETF |
69 | 01/15/21 | USD | 170.00 | USD | 1,202 | 102,120 | |||||||||||
| VanEck Vectors Semiconductor ETF |
16 | 01/15/21 | USD | 180.00 | USD | 279 | 15,400 | |||||||||||
| VanEck Vectors Semiconductor ETF |
18 | 01/15/21 | USD | 185.00 | USD | 314 | 13,770 | |||||||||||
| Walt Disney Co |
17 | 01/15/21 | USD | 140.00 | USD | 211 | 5,355 | |||||||||||
| SPDR S&P 500 ETF Trust |
68 | 12/17/21 | USD | 305.00 | USD | 2,277 | 345,338 | |||||||||||
| SPDR S&P 500 ETF Trust |
14 | 12/17/21 | USD | 360.00 | USD | 469 | 26,586 | |||||||||||
|
| ||||||||||||||||||
| 1,289,272 | ||||||||||||||||||
|
| ||||||||||||||||||
| Put |
||||||||||||||||||
| CARNIVAL Corp |
73 | 10/16/20 | USD | 15.00 | USD | 111 | 7,008 | |||||||||||
| Chewy, Inc. |
17 | 10/16/20 | USD | 45.00 | USD | 93 | 425 | |||||||||||
| Exxon Mobil Corp |
89 | 10/16/20 | USD | 37.50 | USD | 306 | 29,815 | |||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF |
1,813 | 10/16/20 | USD | 134.00 | USD | 24,423 | 138,694 | |||||||||||
| BJ’s Wholesale Club Holdings, Inc. |
43 | 11/20/20 | USD | 30.00 | USD | 179 | 1,290 | |||||||||||
| Slack Technologies, Inc. |
44 | 12/18/20 | USD | 25.00 | USD | 118 | 9,152 | |||||||||||
| 186,384 | ||||||||||||||||||
| $1,475,656 | ||||||||||||||||||
OTC Barrier Options Purchased
| Description | Type of Option | Counterparty | Number of Contracts |
Expiration Date |
Exercise Price |
Barrier Price/Range |
Notional Amount (000) |
Value | ||||||||||||||||||||
| Call |
||||||||||||||||||||||||||||
| Euro Stoxx 50 Index |
One-touch | Deutsche Bank Ag | 123,231 | 10/02/20 | USD | 3,562.75 | USD 1.1639 | 123 | $ | — | ||||||||||||||||||
| 26 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
OTC Barrier Options Purchased (continued)
| Description | Type of Option | Counterparty | Number of Contracts |
Expiration Date |
Exercise Price |
Barrier Price/Range |
Notional Amount (000) |
Value | ||||||||||||||||||||
| Call (continued) |
||||||||||||||||||||||||||||
| USD Currency |
One-touch | HSBC Bank USA N.A. | — | 10/08/20 | BRL | 4.90 | BRL | 4.9 | USD | 107 | $ | 10 | ||||||||||||||||
| EUR Currency |
Up-and-out | BANK OF AMERICA, N.A. | — | 10/09/20 | USD | 1.18 | USD | 1.23 | EUR | 5,590 | 6,285 | |||||||||||||||||
| AUD Currency |
One-touch | Bank of America N.A. | — | 10/12/20 | JPY | 71.00 | JPY | 71 | AUD | 392 | 3,757 | |||||||||||||||||
| EUR Currency |
One-touch | Bank of America N.A. | — | 10/13/20 | AUD | 1.70 | AUD | 1.7 | EUR | 186 | 4,806 | |||||||||||||||||
| USD Currency |
One-touch | Deutsche Bank AG | — | 10/13/20 | BRL | 4.90 | BRL | 4.9 | USD | 107 | 128 | |||||||||||||||||
| Euro Stoxx 50 Index |
One-touch | Goldman Sachs International | 123,231 | 10/16/20 | USD | 3,562.75 | USD | 1.1639 | 123 | 407 | ||||||||||||||||||
| EUR Currency |
One-touch | Morgan Stanley & Co. International PLC | — | 10/29/20 | USD | 1.22 | USD | 1.218 | EUR | 212 | 6,185 | |||||||||||||||||
| USD Currency |
Down-and-in | Bank of America N.A. | — | 10/30/20 | ZAR | 16.50 | ZAR | 15.65 | USD | 3,682 | 895 | |||||||||||||||||
| USD Currency |
Down-and-in | BNP PARIBAS SA | — | 11/02/20 | ZAR | 16.58 | ZAR | 15.68 | USD | 3,381 | 1,075 | |||||||||||||||||
| USD Currency |
Down-and-in | BANK OF AMERICA, N.A. | — | 11/02/20 | ZAR | 17.03 | ZAR | 16.13 | USD | 3,839 | 4,530 | |||||||||||||||||
| Morgan Stanley & Co. | ||||||||||||||||||||||||||||
| USD Currency |
Down-and-in | International PLC | — | 11/02/20 | MXN | 21.40 | MXN | 20.4 | USD | 7,220 | 1,307 | |||||||||||||||||
| USD Currency |
One-touch | Bank of America N.A. | — | 11/03/20 | CAD | 1.40 | CAD | 1.4 | USD | 275 | 6,759 | |||||||||||||||||
| AUD Currency |
One-touch | Bank of America N.A. | — | 11/12/20 | JPY | 70.00 | JPY | 70 | AUD | 392 | 14,565 | |||||||||||||||||
| USD Currency |
One-touch | BNP Paribas S.A. | — | 02/18/21 | JPY | 100.00 | JPY | 100 | USD | 320 | 81,737 | |||||||||||||||||
| EUR Currency |
One-touch | BNP Paribas S.A. | — | 06/28/21 | USD | 1.25 | USD | 1.25 | EUR | 180 | 31,054 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| 163,500 | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Put |
||||||||||||||||||||||||||||
| NZD Currency |
One-touch | Bank of America N.A. | — | 10/27/20 | USD | 0.62 | USD | 0.62 | NZD | 671 | 11,707 | |||||||||||||||||
| USD Currency |
Down-and-out | Goldman Sachs International | — | 11/20/20 | MXN | 21.90 | MXN | 21.25 | USD | 1,911 | 9,387 | |||||||||||||||||
| S&P 500 Index |
Down-and-out | Bank of America N.A. | 414 | 12/18/20 | USD | 2,900.00 | USD | 2200 | — | 8,734 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| 29,828 | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| $ | 193,328 | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
OTC Options Purchased
| Description | Counterparty | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | ||||||||||||||||
| Call |
||||||||||||||||||||||
| EUR Currency |
JPMorgan Chase Bank N.A. | — | 10/09/20 | USD | 1.22 | EUR | 5,580 | $ | 183 | |||||||||||||
| EUR Currency |
Barclays Bank PLC | — | 10/13/20 | USD | 1.18 | EUR | 18,585 | 52,078 | ||||||||||||||
| EUR Currency |
Goldman Sachs International | — | 10/13/20 | AUD | 1.65 | EUR | 5,589 | 16,014 | ||||||||||||||
| EUR Currency |
Goldman Sachs International | — | 10/13/20 | USD | 1.18 | EUR | 14,755 | 41,346 | ||||||||||||||
| USD Currency |
Bank of America N.A. | — | 10/15/20 | ZAR | 17.00 | USD | 2,696 | 25,057 | ||||||||||||||
| EUR Currency |
JPMorgan Chase Bank N.A. | — | 10/22/20 | USD | 1.17 | EUR | 2,912 | 34,163 | ||||||||||||||
| USD Currency |
Deutsche Bank AG | — | 10/22/20 | BRL | 6.00 | USD | 1,497 | 7,094 | ||||||||||||||
| USD Currency |
JPMorgan Chase Bank N.A. | — | 10/23/20 | IDR | 15,000.00 | USD | 2,848 | 23,391 | ||||||||||||||
| USD Currency |
Citibank N.A. | — | 10/30/20 | MXN | 22.50 | USD | 1,469 | 23,527 | ||||||||||||||
| USD Currency |
Bank of America N.A. | — | 11/03/20 | CAD | 1.36 | USD | 9,109 | 17,188 | ||||||||||||||
| USD Currency |
Citibank N.A. | — | 11/03/20 | CNH | 7.05 | USD | 6,831 | 8,355 | ||||||||||||||
| USD Currency |
Deutsche Bank AG | — | 11/03/20 | CLP | 775.00 | USD | 3,502 | 79,131 | ||||||||||||||
| USD Currency |
JPMorgan Chase Bank N.A. | — | 11/03/20 | TWD | 30.00 | USD | 2,234 | 1,193 | ||||||||||||||
| USD Currency |
Citibank N.A. | — | 11/06/20 | TRY | 7.70 | USD | 1,127 | 34,207 | ||||||||||||||
| Societe Generale SA |
Goldman Sachs International | 59 | 12/18/20 | EUR | 11.50 | EUR | 67 | 7,367 | ||||||||||||||
| UniCredit SpA. |
Morgan Stanley & Co. International PLC | 28 | 12/18/20 | EUR | 7.60 | EUR | 99 | 6,434 | ||||||||||||||
| SPDR S&P 500 ETF Trust |
Morgan Stanley & Co. International PLC | 8,400 | 06/18/21 | USD | 360.00 | USD | 2,813 | 110,026 | ||||||||||||||
| 486,754 | ||||||||||||||||||||||
| Put |
||||||||||||||||||||||
| USD Currency |
Citibank N.A. | — | 10/01/20 | MXN | 21.50 | USD | 2,888 | 101 | ||||||||||||||
| USD Currency |
Citibank N.A. | — | 10/02/20 | RUB | 73.50 | USD | 5,236 | 5 | ||||||||||||||
| USD Currency |
Bank of America N.A. | — | 10/07/20 | BRL | 5.30 | USD | 2,474 | 596 | ||||||||||||||
| USD Currency |
Bank of America N.A. | — | 10/08/20 | BRL | 5.25 | USD | 2,279 | 376 | ||||||||||||||
| USD Currency |
Bank of America N.A. | — | 10/09/20 | MXN | 23.80 | USD | 1,496 | 112,595 | ||||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 10/09/20 | MXN | 21.30 | USD | 2,558 | 3,924 | ||||||||||||||
| AUD Currency |
Morgan Stanley & Co. International PLC | — | 10/12/20 | JPY | 72.50 | AUD | 6,051 | 2,353 | ||||||||||||||
| AUD Currency |
Morgan Stanley & Co. International PLC | — | 10/13/20 | JPY | 73.00 | AUD | 6,051 | 4,057 | ||||||||||||||
| USD Currency |
Bank of America N.A. | — | 10/13/20 | BRL | 5.20 | USD | 2,267 | 780 | ||||||||||||||
| USD Currency |
Deutsche Bank AG | — | 10/22/20 | BRL | 5.45 | USD | 2,993 | 25,048 | ||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
27 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
OTC Options Purchased (continued)
| Description | Counterparty | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | ||||||||||||||||
| Put (continued) |
||||||||||||||||||||||
| USD Currency |
Bank of America N.A. | — | 10/30/20 | ZAR | 17.00 | USD | 2,294 | $ | 63,702 | |||||||||||||
| USD Currency |
BNP Paribas S.A. | — | 10/30/20 | RUB | 79.00 | USD | 2,294 | 64,957 | ||||||||||||||
| USD Currency |
Citibank N.A. | — | 10/30/20 | MXN | 21.50 | USD | 1,844 | 14,855 | ||||||||||||||
| USD Currency |
Goldman Sachs International | — | 10/30/20 | JPY | 104.50 | USD | 2,212 | 7,238 | ||||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 10/30/20 | MXN | 20.70 | USD | 2,335 | 4,411 | ||||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 10/30/20 | MXN | 21.80 | USD | 2,775 | 35,218 | ||||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 10/30/20 | MXN | 20.90 | USD | 2,938 | 8,182 | ||||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 10/30/20 | MXN | 21.70 | USD | 4,526 | 49,680 | ||||||||||||||
| USD Currency |
Citibank N.A. | — | 11/09/20 | RUB | 75.00 | USD | 2,922 | 22,415 | ||||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 11/13/20 | BRL | 5.10 | USD | 4,714 | 13,482 | ||||||||||||||
| USD Currency |
Bank of America N.A. | — | 11/27/20 | JPY | 102.70 | USD | 3,170 | 15,000 | ||||||||||||||
|
|
|
|||||||||||||||||||||
| 448,975 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| $935,729 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||
OTC Interest Rate Swaptions Purchased
|
|
Paid by the Fund |
Received by the Fund |
|
Expiration Date |
Exercise Rate |
Notional Amount (000) |
|
|||||||||||||||||||
| Description | Rate | Frequency | Rate | Frequency | Counterparty | Value | ||||||||||||||||||||
| Call |
||||||||||||||||||||||||||
| 30-Year Interest Rate Swap, 10/21/50 |
3-Month LIBOR, 0.23% | Quarterly | 0.72% | Semi-Annual | Citibank N.A. | 10/19/20 | 0.72 | % | USD | 2,377 | $ | 332 | ||||||||||||||
| 30-Year Interest Rate Swap, 10/23/50 |
3-Month LIBOR, 0.23% | Quarterly | 0.93% | Semi-Annual | Morgan Stanley & Co. International PLC | 10/21/20 | 0.93 | USD | 4,524 | 12,610 | ||||||||||||||||
| 30-Year Interest Rate Swap, 10/29/50 |
3-Month LIBOR, 0.23% | Quarterly | 0.58% | Semi-Annual | Goldman Sachs International | 10/27/20 | 0.58 | USD | 5,908 | 711 | ||||||||||||||||
| 30-Year Interest Rate Swap, 12/20/50 |
3-Month LIBOR, 0.23% | Quarterly | 0.85% | Semi-Annual | Goldman Sachs International | 12/18/20 | 0.85 | USD | 7,691 | 111,020 | ||||||||||||||||
| 30-Year Interest Rate Swap, 06/06/51 |
3-Month LIBOR, 0.23% | Quarterly | 1.00% | Semi-Annual | JPMorgan Chase Bank N.A. | 06/04/21 | 1.00 | USD | 6,264 | 320,850 | ||||||||||||||||
| 30-Year Interest Rate Swap, 06/13/51 |
3-Month LIBOR, 0.23% | Quarterly | 1.00% | Semi-Annual | BNP Paribas S.A. | 06/11/21 | 1.00 | USD | 2,043 | 106,070 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| 551,593 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Put | ||||||||||||||||||||||||||
| 10-Year Interest Rate Swap, 10/04/30 |
0.75% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | JPMorgan Chase Bank N.A. | 10/02/20 | 0.75 | USD | 4,233 | 732 | ||||||||||||||||
| 30-Year Interest Rate Swap, 10/28/50 |
1.15% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Deutsche Bank AG | 10/26/20 | 1.14 | USD | 11,826 | 167,861 | ||||||||||||||||
| 30-Year Interest Rate Swap, 10/28/50 |
1.17% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Citibank N.A. | 10/26/20 | 1.17 | USD | 6,800 | 79,341 | ||||||||||||||||
| 30-Year Interest Rate Swap, 10/29/50 |
0.98% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Goldman Sachs International | 10/27/20 | 0.98 | USD | 5,908 | 241,852 | ||||||||||||||||
| 10-Year Interest Rate Swap, 11/21/30 |
0.81% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Citibank N.A. | 11/19/20 | 0.81 | USD | 5,481 | 22,739 | ||||||||||||||||
| 30-Year Interest Rate Swap, 11/26/50 |
1.22% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Citibank N.A. | 11/24/20 | 1.22 | USD | 6,800 | 123,201 | ||||||||||||||||
| 30-Year Interest Rate Swap, 12/26/50 |
1.27% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Citibank N.A. | 12/24/20 | 1.27 | USD | 6,800 | 167,073 | ||||||||||||||||
| 30-Year Interest Rate Swap, 02/10/51 |
0.89% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Citibank N.A. | 02/08/21 | 0.89 | USD | 3,789 | 334,604 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| 1,137,403 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| $ | 1,688,996 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| 28 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
Exchange-Traded Options Written
| Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||||
| Call (continued) | ||||||||||||||||||
| Adobe, Inc. |
1 | 10/16/20 | USD | 470.00 | USD | 49 | $(2,730) | |||||||||||
| Applied Materials, Inc. |
6 | 10/16/20 | USD | 72.50 | USD | 36 | $(24) | |||||||||||
| NVIDIA Corp. |
4 | 10/16/20 | USD | 600.00 | USD | 216 | (1,680) | |||||||||||
| Paypal Holdings, Inc. |
19 | 10/16/20 | USD | 240.00 | USD | 374 | (238) | |||||||||||
| Walmart, Inc. |
28 | 10/16/20 | USD | 160.00 | USD | 392 | (196) | |||||||||||
| Western Digital Corp. |
8 | 10/16/20 | USD | 57.50 | USD | 29 | (16) | |||||||||||
| Charter Communications, Inc. |
1 | 11/20/20 | USD | 680.00 | USD | 62 | (820) | |||||||||||
| Facebook, Inc. |
1 | 11/20/20 | USD | 285.00 | USD | 26 | (900) | |||||||||||
| Intel Corp. |
5 | 11/20/20 | USD | 55.00 | USD | 26 | (723) | |||||||||||
| NVIDIA Corp. |
9 | 11/20/20 | USD | 650.00 | USD | 487 | (11,520) | |||||||||||
| US Bancorp. |
10 | 11/20/20 | USD | 42.50 | USD | 36 | (390) | |||||||||||
| Xilinx, Inc. |
4 | 11/20/20 | USD | 110.00 | USD | 42 | (1,690) | |||||||||||
| Citigroup, Inc. |
7 | 12/18/20 | USD | 57.50 | USD | 30 | (214) | |||||||||||
| Johnson & Johnson |
2 | 12/18/20 | USD | 165.00 | USD | 30 | (247) | |||||||||||
| Mcdonald’S Corp. |
9 | 12/18/20 | USD | 250.00 | USD | 198 | (1,787) | |||||||||||
| Slack Technologies, Inc. |
44 | 12/18/20 | USD | 35.00 | USD | 118 | (3,960) | |||||||||||
| Uber Technologies, Inc. |
9 | 12/18/20 | USD | 40.00 | USD | 33 | (2,084) | |||||||||||
| DR Horton, Inc. |
55 | 01/15/21 | USD | 95.00 | USD | 416 | (8,387) | |||||||||||
| VanEck Vectors Semiconductor ETF |
16 | 01/15/21 | USD | 205.00 | USD | 279 | (4,016) | |||||||||||
| VanEck Vectors Semiconductor ETF |
18 | 01/15/21 | USD | 210.00 | USD | 314 | (3,294) | |||||||||||
|
| ||||||||||||||||||
| (44,916) | ||||||||||||||||||
|
| ||||||||||||||||||
| Put | ||||||||||||||||||
| Apple, Inc. |
56 | 10/16/20 | USD | 100.00 | USD | 649 | (1,904) | |||||||||||
| Apple, Inc. |
50 | 10/16/20 | USD | 105.00 | USD | 579 | (3,850) | |||||||||||
| Chewy, Inc. |
17 | 10/16/20 | USD | 35.00 | USD | 93 | (94) | |||||||||||
| Deutsche Telekom Ag |
93 | 10/16/20 | EUR | 14.00 | EUR | 133 | (1,036) | |||||||||||
| Exxon Mobil Corp. |
89 | 10/16/20 | USD | 35.00 | USD | 306 | (12,949) | |||||||||||
| Invesco Qqq Trust Series 1 |
99 | 10/16/20 | USD | 245.00 | USD | 2,751 | (6,385) | |||||||||||
| Invesco Qqq Trust Series 1 |
139 | 10/16/20 | USD | 258.00 | USD | 3,862 | (23,560) | |||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF. |
1,813 | 10/16/20 | USD | 129.00 | USD | 24,423 | (28,101) | |||||||||||
| Microsoft Corp. |
28 | 10/16/20 | USD | 195.00 | USD | 589 | (2,856) | |||||||||||
| Nvidia Corp. |
4 | 10/16/20 | USD | 420.00 | USD | 216 | (146) | |||||||||||
| Paypal Holdings, Inc. |
14 | 10/16/20 | USD | 165.00 | USD | 276 | (434) | |||||||||||
| salesforce.com, Inc. |
30 | 10/16/20 | USD | 210.00 | USD | 754 | (1,590) | |||||||||||
| SPDR S&P 500 ETF Trust |
45 | 10/16/20 | USD | 300.00 | USD | 1,507 | (2,768) | |||||||||||
| SPDR S&P 500 ETF Trust |
31 | 10/16/20 | USD | 310.00 | USD | 1,038 | (3,906) | |||||||||||
| Union Pacific Corp. |
6 | 10/16/20 | USD | 190.00 | USD | 118 | (1,272) | |||||||||||
| Walmart, Inc. |
28 | 10/16/20 | USD | 130.00 | USD | 392 | (1,036) | |||||||||||
| Health Care Select Sector SPDR. |
52 | 10/23/20 | USD | 100.00 | USD | 548 | (3,250) | |||||||||||
| Unitedhealth Group, Inc. |
13 | 10/30/20 | USD | 290.00 | USD | 405 | (5,258) | |||||||||||
| Amazon.Com, Inc. |
3 | 11/20/20 | USD | 2,460.00 | USD | 945 | (8,242) | |||||||||||
| Bj’S Wholesale Club Holdings, Inc. |
43 | 11/20/20 | USD | 25.00 | USD | 179 | (1,290) | |||||||||||
| Invesco Qqq Trust Series 1 |
75 | 11/20/20 | USD | 219.00 | USD | 2,084 | (12,787) | |||||||||||
| Micron Technology, Inc. |
59 | 11/20/20 | USD | 40.00 | USD | 277 | (4,277) | |||||||||||
| Nvidia Corp. |
9 | 11/20/20 | USD | 400.00 | USD | 487 | (3,983) | |||||||||||
| Southwest Airlines Co. |
56 | 11/20/20 | USD | 35.00 | USD | 210 | (11,900) | |||||||||||
| SPDR S&P 500 ETF Trust |
95 | 11/20/20 | USD | 300.00 | USD | 3,181 | (40,850) | |||||||||||
| T MOBILE USA, Inc. |
130 | 11/20/20 | USD | 95.00 | USD | 1,487 | (11,635) | |||||||||||
| VanEck Vectors Semiconductor ETF |
19 | 11/20/20 | USD | 165.00 | USD | 331 | (10,545) | |||||||||||
| Visa, Inc. |
24 | 11/20/20 | USD | 180.00 | USD | 480 | (7,740) | |||||||||||
| Walmart, Inc. |
49 | 11/20/20 | USD | 130.00 | USD | 686 | (13,132) | |||||||||||
| Charter Communications, Inc |
5 | 12/18/20 | USD | 590.00 | USD | 312 | (10,175) | |||||||||||
| Mcdonald’S Corp. |
9 | 12/18/20 | USD | 210.00 | USD | 198 | (6,975) | |||||||||||
| Merck & Co., Inc. |
54 | 12/18/20 | USD | 70.00 | USD | 448 | (4,401) | |||||||||||
| Visa, Inc. |
24 | 12/18/20 | USD | 175.00 | USD | 480 | (8,340) | |||||||||||
| SPDR S&P 500 ETF Trust |
43 | 12/31/20 | USD | 250.00 | USD | 1,440 | (8,428) | |||||||||||
| Dr Horton, Inc. |
55 | 01/15/21 | USD | 60.00 | USD | 416 | (11,220) | |||||||||||
| VanEck Vectors Semiconductor ETF |
16 | 01/15/21 | USD | 145.00 | USD | 279 | (6,360) | |||||||||||
| VanEck Vectors Semiconductor ETF |
18 | 01/15/21 | USD | 150.00 | USD | 314 | (9,045) | |||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
29 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
Exchange-Traded Options Written (continued)
| Description | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | |||||||||||
| Put (continued) | ||||||||||||||||
| Walt Disney Co. |
17 | 01/15/21 | USD 110.00 | USD | 211 | $(6,290) | ||||||||||
| SPDR S&P 500 ETF Trust |
8 | 12/17/21 | USD 270.00 | USD | 268 | (13,088) | ||||||||||
|
| ||||||||||||||||
| (311,098) | ||||||||||||||||
|
| ||||||||||||||||
| $(356,014) | ||||||||||||||||
|
| ||||||||||||||||
OTC Barrier Options Written
| Description | Type of Option | Counterparty | Expiration Date |
Exercise Price | Barrier Price/Range |
Notional Amount (000) |
Value | |||||||||||||||||
| Call |
||||||||||||||||||||||||
| USD Currency |
One-touch | JPMorgan Chase Bank N.A. | 10/30/20 | MXN | 22.75 | MXN | 22.75 | USD | 37 | $ | (11,870 | ) | ||||||||||||
| USD Currency |
One-touch | BNP Paribas S.A. | 11/13/20 | BRL | 5.50 | BRL | 5.5 | USD | 79 | (50,285 | ) | |||||||||||||
| USD Currency |
One-touch | HSBC BANK USA | 11/19/20 | JPY | 100.00 | JPY | 100 | USD | 320 | (29,923 | ) | |||||||||||||
|
|
|
|||||||||||||||||||||||
| (92,078 | ) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Put | ||||||||||||||||||||||||
| USD Currency |
Down-and-out | Goldman Sachs International | 11/20/20 | MXN | 21.40 | MXN | 21.25 | USD | 1,911 | (4,084 | ) | |||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | (96,162 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
OTC Options Written
| Description | Counterparty | Number of Contracts |
Expiration Date |
Exercise Price | Notional Amount (000) |
Value | ||||||||||||||||
| Call | ||||||||||||||||||||||
| USD Currency |
Bank of America N.A. | — | 10/07/20 | BRL | 5.45 | USD | 2,474 | $ | (82,090 | ) | ||||||||||||
| EUR Currency |
JPMorgan Chase Bank N.A. | — | 10/09/20 | USD | 1.23 | EUR | 5,580 | (78 | ) | |||||||||||||
| EUR Currency |
Barclays Bank PLC | — | 10/13/20 | USD | 1.20 | EUR | 11,220 | (4,341 | ) | |||||||||||||
| EUR Currency |
Barclays Bank PLC | — | 10/13/20 | USD | 1.20 | EUR | 7,365 | (2,850 | ) | |||||||||||||
| EUR Currency |
Goldman Sachs International | — | 10/13/20 | USD | 1.20 | EUR | 14,755 | (5,709 | ) | |||||||||||||
| EUR Currency |
Goldman Sachs International | — | 10/13/20 | AUD | 1.71 | EUR | 5,589 | (708 | ) | |||||||||||||
| USD Currency |
Deutsche Bank AG | — | 10/22/20 | BRL | 5.65 | USD | 1,497 | (29,464 | ) | |||||||||||||
| USD Currency |
JPMorgan Chase Bank N.A. | — | 10/23/20 | IDR | 15,500.00 | USD | 4,272 | (9,706 | ) | |||||||||||||
| USD Currency |
Bank of America N.A. | — | 10/30/20 | ZAR | 18.00 | USD | 2,294 | (9,827 | ) | |||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 10/30/20 | MXN | 22.50 | USD | 2,938 | (47,055 | ) | |||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 10/30/20 | MXN | 22.50 | USD | 2,335 | (37,397 | ) | |||||||||||||
| USD Currency |
Deutsche Bank AG | — | 11/03/20 | CLP | 810.00 | USD | 4,204 | (27,965 | ) | |||||||||||||
| USD Currency |
Citibank N.A. | — | 11/09/20 | RUB | 78.00 | USD | 2,192 | (50,602 | ) | |||||||||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF |
UBS AG | 37,300 | 11/20/20 | USD | 140.00 | USD | 5,025 | (4,849 | ) | |||||||||||||
| STMicroelectronics NV |
UBS AG | 20 | 11/20/20 | EUR | 28.00 | EUR | 52 | (2,767 | ) | |||||||||||||
| Societe Generale SA. |
Goldman Sachs International | 59 | 12/18/20 | EUR | 13.00 | EUR | 67 | (3,839 | ) | |||||||||||||
|
|
|
|||||||||||||||||||||
| (319,247 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Put | ||||||||||||||||||||||
| USD Currency |
Citibank N.A. | — | 10/02/20 | RUB | 70.50 | USD | 3,839 | (4 | ) | |||||||||||||
| USD Currency |
Bank of America N.A. | — | 10/08/20 | BRL | 5.05 | USD | 3,418 | (21 | ) | |||||||||||||
| USD Currency |
Bank of America N.A. | — | 10/09/20 | MXN | 22.80 | USD | 2,393 | (80,414 | ) | |||||||||||||
| AUD Currency |
Morgan Stanley & Co. International PLC | — | 10/13/20 | JPY | 69.50 | AUD | 6,051 | (260 | ) | |||||||||||||
| USD Currency |
Bank of America N.A. | — | 10/13/20 | BRL | 5.00 | USD | 3,401 | (92 | ) | |||||||||||||
| USD Currency |
Bank of America N.A. | — | 10/30/20 | ZAR | 16.25 | USD | 3,440 | (25,363 | ) | |||||||||||||
| USD Currency |
BNP Paribas S.A. | — | 10/30/20 | RUB | 76.80 | USD | 3,440 | (43,599 | ) | |||||||||||||
| USD Currency |
Goldman Sachs International | — | 10/30/20 | JPY | 102.50 | USD | 2,212 | (1,805 | ) | |||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 10/30/20 | MXN | 21.00 | USD | 4,526 | (15,226 | ) | |||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 10/30/20 | MXN | 20.20 | USD | 2,938 | (2,027 | ) | |||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 10/30/20 | MXN | 20.10 | USD | 2,802 | (1,575 | ) | |||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 10/30/20 | MXN | 21.20 | USD | 2,775 | (13,445 | ) | |||||||||||||
| USD Currency |
Deutsche Bank AG | — | 11/03/20 | CLP | 740.00 | USD | 1,752 | (2,053 | ) | |||||||||||||
| USD Currency |
Citibank N.A. | — | 11/06/20 | TRY | 7.25 | USD | 1,127 | (2,705 | ) | |||||||||||||
| USD Currency |
Morgan Stanley & Co. International PLC | — | 11/13/20 | BRL | 4.85 | USD | 4,714 | (2,923 | ) | |||||||||||||
| 30 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
OTC Options Written (continued)
| Description | Counterparty | Number of Contracts |
Expiration Date |
Exercise Price |
Notional |
Value | ||||||||||||||||
| Put (continued) |
||||||||||||||||||||||
| Societe Generale SA. |
Goldman Sachs International | 59 | 12/18/20 | EUR | 9.60 | EUR | 67 | $ | (3,493 | ) | ||||||||||||
| Unicredit SPA |
Morgan Stanley & Co. International PLC | 28 | 12/18/20 | EUR | 6.00 | EUR | 99 | (4,072 | ) | |||||||||||||
|
|
|
|||||||||||||||||||||
| (199,077 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | (518,324 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
OTC Interest Rate Swaptions Written
|
|
Paid by the Fund |
Received by the Fund |
|
Expiration Date |
Exercise Rate |
|
|
|
||||||||||||||||||||||
| Description | Rate | Frequency | Rate | Frequency | Counterparty | Notional Amount (000) |
Value | |||||||||||||||||||||||
| Call |
||||||||||||||||||||||||||||||
| 5-Year Interest Rate Swap, 10/29/25 |
0.17% | Quarterly | 3-Month LIBOR, 0.23% | Quarterly | Goldman Sachs International | 10/27/20 | 0.17 | % | USD | 29,907 | $ | (665 | ) | |||||||||||||||||
| 10-Year Interest Rate Swap, 11/21/30 |
0.51% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Citibank N.A. | 11/19/20 | 0.51 | USD | 5,481 | (7,805 | ) | |||||||||||||||||||
| 10-Year Interest Rate Swap, 12/17/30 |
0.47% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Citibank N.A. | 12/15/20 | 0.47 | USD | 3,764 | (9,434 | ) | |||||||||||||||||||
| 30-Year Interest Rate Swap, 12/20/50 |
0.60% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Goldman Sachs International | 12/18/20 | 0.60 | USD | 7,691 | (41,555 | ) | |||||||||||||||||||
| 30-Year Interest Rate Swap, 01/13/51 |
0.71% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Citibank N.A. | 01/11/21 | 0.71 | USD | 4,651 | (58,885 | ) | |||||||||||||||||||
| 30-Year Interest Rate Swap, 03/26/51 |
0.87% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Citibank N.A. | 03/24/21 | 0.87 | USD | 9,600 | (295,747 | ) | |||||||||||||||||||
| 30-Year Interest Rate Swap, 06/06/51 |
0.50% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | JPMorgan Chase Bank N.A. | 06/04/21 | 0.50 | USD | 6,264 | (105,038 | ) | |||||||||||||||||||
| 30-Year Interest Rate Swap, 06/13/51 |
0.50% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | BNP Paribas S.A. | 06/11/21 | 0.50 | USD | 2,043 | (35,184 | ) | |||||||||||||||||||
| 10-Year Interest Rate Swap, 09/17/31 |
0.55% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Citibank N.A. | 09/15/21 | 0.55 | USD | 3,764 | (47,965 | ) | |||||||||||||||||||
| 10-Year Interest Rate Swap, 09/22/31 |
0.55% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | Morgan Stanley & Co. International PLC | 09/20/21 | 0.55 | USD | 3,740 | (47,987 | ) | |||||||||||||||||||
| 5-Year Interest Rate Swap, 04/10/27(0.02%) |
Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | Barclays Bank PLC | 04/08/22 | (0.02 | ) | EUR | 10,850 | (255,550 | ) | |||||||||||||||||||
| 5-Year Interest Rate Swap, 04/21/27(0.15%) |
Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | Barclays Bank PLC | 04/19/22 | (0.15 | ) | EUR | 2,861 | (50,505 | ) | |||||||||||||||||||
| 5-Year Interest Rate Swap, 04/21/27(0.13%) |
Annual | 6-Month EURIBOR, (0.48%) | Semi-Annual | Barclays Bank PLC | 04/19/22 | (0.13 | ) | EUR | 7,160 | (132,969 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| (1,089,289 | ) | |||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| Put | ||||||||||||||||||||||||||||||
| 2-Year Interest Rate Swap, 10/07/22 |
3-Month LIBOR, 0.23% | Quarterly | 3.55% | Semi-Annual | Bank of America N.A. | 10/05/20 | 3.55 | USD | 20,809 | — | ||||||||||||||||||||
| 2-Year Interest Rate Swap, 10/15/22 |
3-Month LIBOR, 0.23% | Quarterly | 3.75% | Semi-Annual | Bank of America N.A. | 10/13/20 | 3.75 | USD | 36,833 | — | ||||||||||||||||||||
| 30-Year Interest Rate Swap, 10/21/50 |
3-Month LIBOR, 0.23% | Quarterly | 1.07% | Semi-Annual | Citibank N.A. | 10/19/20 | 1.07 | USD | 2,377 | (50,867 | ) | |||||||||||||||||||
| 30-Year Interest Rate Swap, 10/23/50 |
3-Month LIBOR, 0.23% | Quarterly | 1.19% | Semi-Annual | Morgan Stanley & Co. International PLC | 10/21/20 | 1.19 | USD | 4,524 | (36,850 | ) | |||||||||||||||||||
| 5-Year Interest Rate Swap, 10/29/25 |
3-Month LIBOR, 0.23% | Quarterly | 0.37% | Semi-Annual | Goldman Sachs International | 10/27/20 | 0.37 | USD | 29,907 | (34,166 | ) | |||||||||||||||||||
| 5-Year Interest Rate Swap, 11/27/25 |
3-Month LIBOR, 0.23% | Quarterly | 0.49% | Semi-Annual | Citibank N.A. | 11/25/20 | 0.48 | USD | 34,625 | (21,500 | ) | |||||||||||||||||||
| 10-Year Interest Rate Swap, 12/17/30 |
3-Month LIBOR, 0.23% | Quarterly | 1.07% | Semi-Annual | Citibank N.A. | 12/15/20 | 1.07 | USD | 11,292 | (21,838 | ) | |||||||||||||||||||
| 30-Year Interest Rate Swap, 12/20/50 |
3-Month LIBOR, 0.23% | Quarterly | 1.20% | Semi-Annual | Goldman Sachs International | 12/18/20 | 1.20 | USD | 7,691 | (222,788 | ) | |||||||||||||||||||
| 30-Year Interest Rate Swap, 02/10/51 |
3-Month LIBOR, 0.23% | Quarterly | 1.24% | Semi-Annual | Citibank N.A. | 02/08/21 | 1.24 | USD | 5,684 | (212,889 | ) | |||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
31 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
OTC Interest Rate Swaptions Written (continued)
| Put | ||||||||||||||||||||||||||||||
|
|
Paid by the Fund |
Received by the Fund |
|
Expiration | Exercise |
|
Notional |
|
||||||||||||||||||||||
| Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||
| Put (continued) |
||||||||||||||||||||||||||||||
| 5-Year Interest Rate Swap, 02/10/26 |
3-Month LIBOR, 0.23% | Quarterly | 0.39% | Semi-Annual | Citibank N.A. | 02/08/21 | 0.39 | % | USD | 20,840 | $ | (89,106 | ) | |||||||||||||||||
| 10-Year Interest Rate Swap, 09/17/31 |
3-Month LIBOR, 0.23% | Quarterly | 1.40% | Semi-Annual | Citibank N.A. | 09/15/21 | 1.40 | USD | 7,528 | (50,551 | ) | |||||||||||||||||||
| 10-Year Interest Rate Swap, 09/22/31 |
3-Month LIBOR, 0.23% | Quarterly | 1.40% | Semi-Annual | Morgan Stanley & Co. International PLC | 09/20/21 | 1.40 | USD | 7,480 | (51,104 | ) | |||||||||||||||||||
| 10-Year Interest Rate Swap, 02/13/32 |
3-Month LIBOR, 0.23% | Quarterly | 2.00% | Semi-Annual | JPMorgan Chase Bank N.A. | 02/11/22 | 2.00 | USD | 8,100 | (30,500 | ) | |||||||||||||||||||
| 5-Year Interest Rate Swap, 04/10/27 |
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.02%) | Annual | Barclays Bank PLC | 04/08/22 | (0.02 | ) | EUR | 10,850 | (46,454 | ) | ||||||||||||||||||
| 5-Year Interest Rate Swap, 04/21/27 |
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.15%) | Annual | Barclays Bank PLC | 04/19/22 | (0.15 | ) | EUR | 2,861 | (17,898 | ) | ||||||||||||||||||
| 5-Year Interest Rate Swap, 04/21/27 |
6-Month EURIBOR, (0.48%) | Semi-Annual | (0.13%) | Annual | Barclays Bank PLC | 04/19/22 | (0.13 | ) | EUR | 7,160 | (42,307 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| (928,818 | ) | |||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| $ | (2,018,107 | ) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
Centrally Cleared Credit Default Swaps — Buy Protection
| Reference Obligation/Index | Financing Rate Paid by the Fund |
Payment Frequency |
Termination Date |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
| CDX.NA.IG.35.V1. |
1.00% | Quarterly | 12/20/25 | USD | 3,328 | $ | (70,284 | ) | $ | (80,862 | ) | $ | 10,578 | |||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
Centrally Cleared Credit Default Swaps — Sell Protection
| Reference Obligation/Index | Financing Rate Received by the Fund |
Payment Frequency |
Termination Date |
Credit Rating(a) |
Notional |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| ITRAXX.FINSR.28.V2 |
1.00% | Quarterly | 12/20/22 | CC- | EUR | 1,318 | $ | 24,603 | $ | 9,794 | $ | 14,809 | ||||||||||||||
| CDX.NA.IG.30.V1 |
1.00 | Quarterly | 06/20/23 | B+ | USD | 830 | 5,964 | 6,900 | (936 | ) | ||||||||||||||||
| ITRAXX.FINSR.29.V2 |
1.00 | Quarterly | 06/20/23 | CC+ | EUR | 1,020 | 20,996 | 12,121 | 8,875 | |||||||||||||||||
| CDX.NA.HY.34.V9 |
5.00 | Quarterly | 06/20/25 | B- | USD | 9,200 | 464,948 | 374,287 | 90,661 | |||||||||||||||||
| CDX.NA.HY.35.V1 |
5.00 | Quarterly | 12/20/25 | B+ | USD | 410 | 17,369 | 16,638 | 731 | |||||||||||||||||
| ITRAXX.XO.34.V1 |
0.00 | Quarterly | 12/20/25 | B | EUR | 1,832 | 156,665 | 145,387 | 11,278 | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 690,545 | $ | 565,127 | $ | 125,418 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (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 Fund 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 Fund |
Received by the Fund | Effective Date |
Termination Date |
|
|
Upfront (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | Notional Amount (000) |
Value | |||||||||||||||||||||||||||
| 3-Month CAD BA, 0.61% | Semi-Annual | 1.91% | Semi-Annual | N/A | 07/09/21 | CAD | 9,280 | $ | 97,087 | $ | 55 | $ | 97,032 | |||||||||||||||||||
| 3-Month CAD BA, 0.61% | Semi-Annual | 1.91% | Semi-Annual | N/A | 07/09/21 | CAD | 720 | 7,519 | 4 | 7,515 | ||||||||||||||||||||||
| 2.46% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 07/25/21 | USD | 19,070 | (425,467 | ) | 132 | (425,599 | ) | ||||||||||||||||||||
| 2.18% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 08/01/21 | USD | 29,547 | (576,317 | ) | 209 | (576,526 | ) | ||||||||||||||||||||
| 2.34% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 08/02/21 | USD | 38,983 | (822,731 | ) | 276 | (823,007 | ) | ||||||||||||||||||||
| 2.20% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 08/09/21 | USD | 29,591 | (582,491 | ) | 214 | (582,705 | ) | ||||||||||||||||||||
| 2.16% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 08/12/21 | USD | 17,394 | (336,694 | ) | 127 | (336,821 | ) | ||||||||||||||||||||
| 1.16% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 10/03/21 | USD | 500 | (7,290 | ) | 2 | (7,292 | ) | ||||||||||||||||||||
| 32 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
Centrally Cleared Interest Rate Swaps (continued)
| Paid by the Fund |
Received by the Fund | Effective Date |
Termination Date |
Notional |
|
Upfront (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | Amount (000) | Value | |||||||||||||||||||||||||||
| 6-Month CHF LIBOR, (0.63%) | Semi-Annual | (0.62%) | Annual | 01/07/21 | (a) | 01/07/22 | CHF | 1,304 | $ | 1,529 | $ | 23 | $ | 1,506 | ||||||||||||||||||
| 6-Month CHF LIBOR, (0.63%) | Semi-Annual | (0.62%) | Annual | 01/08/21 | (a) | 01/08/22 | CHF | 2,897 | 3,410 | 51 | 3,359 | |||||||||||||||||||||
| 6-Month CHF LIBOR, (0.63%) | Semi-Annual | (0.60%) | Annual | 01/15/21 | (a) | 01/15/22 | CHF | 1,666 | 2,371 | 30 | 2,341 | |||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.07% | Semi-Annual | N/A | 02/28/22 | USD | 11,100 | 308,712 | 70 | 308,642 | ||||||||||||||||||||||
| 1.06% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 03/27/22 | USD | 53,900 | (687,920 | ) | 681 | (688,601 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.21% | Semi-Annual | N/A | 03/27/22 | USD | 15,648 | 234,974 | 198 | 234,776 | ||||||||||||||||||||||
| 6-Month CHF LIBOR, (0.63%) | Semi-Annual | (0.64%) | Annual | 04/06/21 | (a) | 04/06/22 | CHF | 7,550 | 7,217 | 134 | 7,083 | |||||||||||||||||||||
| 1.90% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 04/29/22 | USD | 17,926 | (613,171 | ) | 238 | (613,409 | ) | ||||||||||||||||||||
| 0.88% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 08/17/22 | USD | 21,242 | (281,306 | ) | 337 | (281,643 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.16% | Semi-Annual | N/A | 09/29/22 | USD | 1,860 | 72,740 | — | 72,740 | ||||||||||||||||||||||
| 1-Month MXIBOR, 4.55% | Semi-Annual | 4.51% | Annual | N/A | 09/29/22 | MXN | 263,823 | (5,679 | ) | 198 | (5,877 | ) | ||||||||||||||||||||
| 2.02% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 10/30/22 | USD | 2,000 | (91,363 | ) | 3,063 | (94,426 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.12% | Semi-Annual | N/A | 10/30/22 | USD | 3,500 | 168,649 | (2,060 | ) | 170,709 | |||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.26% | Semi-Annual | N/A | 12/14/22 | USD | 1,735 | 89,506 | 14 | 89,492 | ||||||||||||||||||||||
| 6-Month CHF LIBOR, (0.63%) | Semi-Annual | (0.66%) | Annual | 05/09/22 | (a) | 05/09/23 | CHF | 691 | 84 | 12 | 72 | |||||||||||||||||||||
| 6-Month CHF LIBOR, (0.63%) | Semi-Annual | (0.69%) | Annual | 05/16/22 | (a) | 05/16/23 | CHF | 933 | (188 | ) | 17 | (205 | ) | |||||||||||||||||||
| 6-Month CHF LIBOR, (0.63%) | Semi-Annual | (0.68%) | Annual | 05/18/22 | (a) | 05/18/23 | CHF | 951 | (146 | ) | 17 | (163 | ) | |||||||||||||||||||
| 6-Month CHF LIBOR, (0.63%) | Semi-Annual | (0.68%) | Annual | 05/23/22 | (a) | 05/23/23 | CHF | 2,757 | (456 | ) | 49 | (505 | ) | |||||||||||||||||||
| 6-Month CHF LIBOR, (0.63%) | Semi-Annual | (0.62%) | Annual | 06/07/22 | (a) | 06/07/23 | CHF | 2,729 | 1,324 | 49 | 1,275 | |||||||||||||||||||||
| 6-Month CHF LIBOR, (0.63%) | Semi-Annual | (0.62%) | Annual | 06/07/22 | (a) | 06/07/23 | CHF | 2,771 | 1,153 | 50 | 1,103 | |||||||||||||||||||||
| 6-Month CHF LIBOR, (0.63%) | Semi-Annual | (0.58%) | Annual | 06/09/22 | (a) | 06/09/23 | CHF | 2,771 | 2,480 | 50 | 2,430 | |||||||||||||||||||||
| 6-Month GBP LIBOR, 0.09% | Semi-Annual | (0.12%) | Semi-Annual | 09/29/22 | (a) | 09/29/23 | GBP | 5,993 | (2,706 | ) | 133 | (2,839 | ) | |||||||||||||||||||
| 6-Month GBP LIBOR, 0.09% | Semi-Annual | (0.12%) | Semi-Annual | 09/29/22 | (a) | 09/29/23 | GBP | 6,084 | (2,511 | ) | 135 | (2,646 | ) | |||||||||||||||||||
| 6-Month GBP LIBOR, 0.09% | Semi-Annual | (0.11%) | Semi-Annual | 09/29/22 | (a) | 09/29/23 | GBP | 6,084 | (2,118 | ) | 135 | (2,253 | ) | |||||||||||||||||||
| 3.00% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 10/25/23 | USD | 3,313 | (320,209 | ) | 38 | (320,247 | ) | ||||||||||||||||||||
| 3.13% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 11/16/23 | USD | 9,596 | (969,275 | ) | 112 | (969,387 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.09% | Semi-Annual | N/A | 11/27/23 | USD | 3,756 | 374,853 | 44 | 374,809 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.86% | Semi-Annual | N/A | 11/30/23 | USD | 21,500 | 1,222,497 | 298 | 1,222,199 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.08% | Semi-Annual | N/A | 12/04/23 | USD | 2,986 | 296,901 | 35 | 296,866 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.06% | Semi-Annual | N/A | 12/20/23 | USD | 18,445 | 1,818,007 | 222 | 1,817,785 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.05% | Semi-Annual | N/A | 12/28/23 | USD | 14,605 | 1,434,864 | 177 | 1,434,687 | ||||||||||||||||||||||
| 1-Month MXIBOR, 4.55% | Semi-Annual | 6.00% | Annual | N/A | 03/29/24 | MXN | 85,000 | 155,996 | 55 | 155,941 | ||||||||||||||||||||||
| 0.53% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 06/06/22 | (a) | 06/06/24 | USD | 12,667 | (49,637 | ) | 213 | (49,850 | ) | |||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.72% | Semi-Annual | N/A | 06/27/24 | USD | 7,468 | 434,725 | 102 | 434,623 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.76% | Semi-Annual | N/A | 07/02/24 | USD | 798 | 47,225 | 11 | 47,214 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.72% | Semi-Annual | N/A | 07/05/24 | USD | 2,320 | 133,442 | 32 | 133,410 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.72% | Semi-Annual | N/A | 07/05/24 | USD | 780 | 44,849 | 11 | 44,838 | ||||||||||||||||||||||
| 2.34% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 07/26/24 | USD | 19,050 | (1,568,182 | ) | 267 | (1,568,449 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.64% | Semi-Annual | N/A | 07/26/24 | USD | 5,230 | 493,220 | 73 | 493,147 | ||||||||||||||||||||||
| 2.15% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 08/09/24 | USD | 7,694 | (572,771 | ) | 109 | (572,880 | ) | ||||||||||||||||||||
| 2.16% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 08/09/24 | USD | 12,872 | (965,955 | ) | 182 | (966,137 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.30% | Semi-Annual | N/A | 08/09/24 | USD | 2,397 | 192,808 | 34 | 192,774 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.31% | Semi-Annual | N/A | 08/09/24 | USD | 3,995 | 323,740 | 56 | 323,684 | ||||||||||||||||||||||
| 2.13% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 08/12/24 | USD | 7,136 | (525,481 | ) | 101 | (525,582 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.28% | Semi-Annual | N/A | 08/12/24 | USD | 2,349 | 187,063 | 33 | 187,030 | ||||||||||||||||||||||
| 1-Month MXIBOR, 4.55% | Semi-Annual | 6.67% | Annual | N/A | 08/12/24 | MXN | 28,395 | 84,923 | 22 | 84,901 | ||||||||||||||||||||||
| 1-Month MXIBOR, 4.55% | Semi-Annual | 6.72% | Annual | N/A | 08/13/24 | MXN | 24,432 | 74,843 | 18 | 74,825 | ||||||||||||||||||||||
| 1.51% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 08/28/24 | USD | 19,731 | (966,602 | ) | 282 | (966,884 | ) | ||||||||||||||||||||
| 1.52% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 09/12/24 | USD | 2,775 | (136,785 | ) | 40 | (136,825 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.26% | Semi-Annual | N/A | 10/25/24 | USD | 10,653 | 949,277 | 158 | 949,119 | ||||||||||||||||||||||
| 1.56% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 11/08/24 | USD | 10,807 | (619,061 | ) | 162 | (619,223 | ) | ||||||||||||||||||||
| 1-Month MXIBOR, 4.55% | Semi-Annual | 6.59% | Annual | N/A | 11/08/24 | MXN | 17,860 | 52,234 | 14 | 52,220 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.28% | Semi-Annual | N/A | 11/29/24 | USD | 5,130 | 230,049 | 78 | 229,971 | ||||||||||||||||||||||
| 1.53% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 12/02/24 | USD | 10,260 | (575,357 | ) | 156 | (575,513 | ) | ||||||||||||||||||||
| 1-Month MXIBOR, 4.55% | Semi-Annual | 5.50% | Annual | N/A | 04/30/25 | MXN | 61,640 | 58,934 | 42 | 58,892 | ||||||||||||||||||||||
| 0.35% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 08/27/25 | USD | 10,469 | (1,180 | ) | 189 | (1,369 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.49% | Semi-Annual | N/A | 09/30/25 | USD | 18,750 | 1,996,608 | 278 | 1,996,330 | ||||||||||||||||||||||
| 1.70% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 05/05/26 | USD | 6,150 | (486,130 | ) | 28 | (486,158 | ) | ||||||||||||||||||||
| 1.71% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 05/05/26 | USD | 92 | (7,300 | ) | 1 | (7,301 | ) | ||||||||||||||||||||
| 1.72% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 05/25/26 | USD | 220 | (17,548 | ) | 2 | (17,550 | ) | ||||||||||||||||||||
| 1.73% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 05/25/26 | USD | 290 | (23,256 | ) | — | (23,256 | ) | ||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
33 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
Centrally Cleared Interest Rate Swaps (continued)
| Paid by the Fund |
Received by the Fund | Effective | Termination |
|
Notional |
|
Upfront Premium Paid |
Unrealized Appreciation |
||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | Date | Date | Amount (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||||
| 1.74% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 05/25/26 | USD | 210 | $ | (16,984 | ) | $ | — | $ | (16,984 | ) | |||||||||||||||||
| 1.73% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 05/26/26 | USD | 740 | (59,667 | ) | 8 | (59,675 | ) | ||||||||||||||||||||
| 1.76% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 11/10/26 | USD | 1,363 | (118,465 | ) | 17 | (118,482 | ) | ||||||||||||||||||||
| 1.74% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 11/16/26 | USD | 6,380 | (544,675 | ) | 15,219 | (559,894 | ) | ||||||||||||||||||||
| 2.37% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 12/15/26 | USD | 920 | (115,734 | ) | — | (115,734 | ) | ||||||||||||||||||||
| 1.80% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 01/30/27 | USD | 2,520 | (220,008 | ) | 19,937 | (239,945 | ) | ||||||||||||||||||||
| 1.80% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 01/31/27 | USD | 2,600 | (227,175 | ) | 18,504 | (245,679 | ) | ||||||||||||||||||||
| 2.31% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 07/28/27 | USD | 2,570 | (326,385 | ) | 38 | (326,423 | ) | ||||||||||||||||||||
| 2.39% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 10/31/27 | USD | 1,300 | (184,320 | ) | 3,399 | (187,719 | ) | ||||||||||||||||||||
| 3.06% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 11/15/27 | USD | 5,500 | (1,052,025 | ) | 85 | (1,052,110 | ) | ||||||||||||||||||||
| 2.28% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 12/08/27 | USD | 2,354 | (312,307 | ) | 36 | (312,343 | ) | ||||||||||||||||||||
| 3.09% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 04/27/28 | USD | 540 | (110,034 | ) | 8 | (110,042 | ) | ||||||||||||||||||||
| 3.05% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 04/30/28 | USD | 2,235 | (448,070 | ) | 35 | (448,105 | ) | ||||||||||||||||||||
| 3.07% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 06/14/28 | USD | 2,140 | (428,997 | ) | 34 | (429,031 | ) | ||||||||||||||||||||
| 3.05% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 06/18/28 | USD | 1,410 | (281,586 | ) | (8,792 | ) | (272,794 | ) | |||||||||||||||||||
| 2.94% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 07/17/28 | USD | 4,726 | (894,404 | ) | 79 | (894,483 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.08% | Semi-Annual | N/A | 09/04/28 | USD | 1,600 | 318,388 | 27 | 318,361 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.06% | Semi-Annual | N/A | 09/05/28 | USD | 1,560 | 307,471 | 26 | 307,445 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.10% | Semi-Annual | N/A | 09/06/28 | USD | 1,641 | 328,727 | 28 | 328,699 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.10% | Semi-Annual | N/A | 09/06/28 | USD | 1,638 | 327,477 | 28 | 327,449 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.17% | Semi-Annual | N/A | 11/20/28 | USD | 1,155 | 252,666 | 20 | 252,646 | ||||||||||||||||||||||
| 3.08% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 12/19/28 | USD | 6,410 | (1,348,821 | ) | 112 | (1,348,933 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.13% | Semi-Annual | N/A | 01/04/29 | USD | 8,275 | 1,767,698 | 142 | 1,767,556 | ||||||||||||||||||||||
| 3.28% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 01/04/29 | USD | 2,420 | (547,525 | ) | 42 | (547,567 | ) | ||||||||||||||||||||
| 2.80% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 01/11/29 | USD | 1,320 | (244,603 | ) | 23 | (244,626 | ) | ||||||||||||||||||||
| 3.04% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 02/16/29 | USD | 1,435 | (293,711 | ) | 25 | (293,736 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.72% | Semi-Annual | N/A | 02/21/29 | USD | 10,900 | 1,935,548 | 190 | 1,935,358 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.75% | Semi-Annual | N/A | 02/21/29 | USD | 9,350 | 1,687,869 | 163 | 1,687,706 | ||||||||||||||||||||||
| 2.82% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 02/21/29 | USD | 7,650 | (1,422,859 | ) | 133 | (1,422,992 | ) | ||||||||||||||||||||
| 2.85% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 02/21/29 | USD | 2,640 | (498,807 | ) | 46 | (498,853 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.70% | Semi-Annual | N/A | 03/13/29 | USD | 3,842 | 675,014 | 67 | 674,947 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.61% | Semi-Annual | N/A | 04/10/29 | USD | 3,842 | 689,453 | 68 | 689,385 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.30% | Semi-Annual | N/A | 05/28/29 | USD | 2,454 | 368,983 | 44 | 368,939 | ||||||||||||||||||||||
| 2.21% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 06/26/29 | USD | 8,155 | (1,157,263 | ) | 148 | (1,157,411 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.96% | Semi-Annual | N/A | 06/27/29 | USD | 2,645 | 315,114 | 48 | 315,066 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.99% | Semi-Annual | N/A | 06/28/29 | USD | 1,654 | 202,090 | 30 | 202,060 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.97% | Semi-Annual | N/A | 07/02/29 | USD | 868 | 103,783 | 16 | 103,767 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.59% | Semi-Annual | N/A | 07/25/29 | USD | 8,590 | 1,495,653 | 158 | 1,495,495 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.73% | Semi-Annual | N/A | 08/02/29 | USD | 4,473 | 833,690 | 81 | 833,609 | ||||||||||||||||||||||
| 2.01% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 09/06/29 | USD | 2,957 | (358,503 | ) | 55 | (358,558 | ) | ||||||||||||||||||||
| 2.02% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 09/09/29 | USD | 2,958 | (359,949 | ) | 55 | (360,004 | ) | ||||||||||||||||||||
| 1.76% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 09/27/29 | USD | 2,536 | (249,640 | ) | 47 | (249,687 | ) | ||||||||||||||||||||
| 1.79% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 09/30/29 | USD | 1,560 | (157,670 | ) | 29 | (157,699 | ) | ||||||||||||||||||||
| 1.78% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 10/02/29 | USD | 3,104 | (335,977 | ) | 58 | (336,035 | ) | ||||||||||||||||||||
| 2.34% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 10/25/29 | USD | 10,653 | (1,706,602 | ) | 201 | (1,706,803 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.75% | Semi-Annual | N/A | 11/08/29 | USD | 2,360 | 246,232 | 45 | 246,187 | ||||||||||||||||||||||
| 1.09% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 03/27/30 | USD | 12,183 | (460,450 | ) | 244 | (460,694 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.29% | Semi-Annual | N/A | 03/27/30 | USD | 2,813 | 159,029 | 56 | 158,973 | ||||||||||||||||||||||
| 0.69% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 06/23/30 | USD | 3,151 | (1,811 | ) | 64 | (1,875 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 1.08% | Semi-Annual | N/A | 08/17/30 | USD | 4,248 | 155,656 | 88 | 155,568 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 0.64% | Semi-Annual | N/A | 08/21/30 | USD | 3,566 | (24,428 | ) | 74 | (24,502 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 0.68% | Semi-Annual | N/A | 09/14/30 | USD | 783 | (3,178 | ) | 16 | (3,194 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 0.66% | Semi-Annual | N/A | 09/25/30 | USD | 1,243 | (7,170 | ) | 26 | (7,196 | ) | ||||||||||||||||||||
| 0.71% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 09/25/30 | USD | 1,243 | 1,108 | 26 | 1,082 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 0.69% | Semi-Annual | N/A | 09/29/30 | USD | 994 | (2,616 | ) | 21 | (2,637 | ) | ||||||||||||||||||||
| 0.76% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 09/29/30 | USD | 994 | (4,338 | ) | 21 | (4,359 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 2.92% | Semi-Annual | N/A | 05/15/44 | USD | 3,150 | 1,279,659 | 75 | 1,279,584 | ||||||||||||||||||||||
| 2.62% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 05/11/47 | USD | 1,724 | (641,842 | ) | — | (641,842 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.12% | Semi-Annual | N/A | 04/27/48 | USD | 870 | 443,063 | 21 | 443,042 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.18% | Semi-Annual | N/A | 05/18/48 | USD | 770 | 402,111 | 19 | 402,092 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% | Quarterly | 3.01% | Semi-Annual | N/A | 07/13/48 | USD | 3,035 | 1,450,248 | 79 | 1,450,169 | ||||||||||||||||||||||
| 34 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
Centrally Cleared Interest Rate Swaps (continued)
| Paid by the Fund | Received by the Fund |
Effective Date |
Termination Date |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||||
| 3-Month LIBOR, 0.23% |
Quarterly | 3.27% | Semi-Annual | N/A | 11/20/48 | USD | 575 | $ | 318,438 | $ | 15 | $ | 318,423 | |||||||||||||||||||
| 6-Month JPY LIBOR, (0.05%) |
Semi-Annual | 0.27% | Semi-Annual | N/A | 09/19/49 | JPY | 265,000 | (43,315 | ) | 79 | (43,394 | ) | ||||||||||||||||||||
| 0.38% | Semi-Annual | 6-Month JPY LIBOR, (0.05%) | Semi-Annual | N/A | 01/10/50 | JPY | 20,000 | (2,608 | ) | 6 | (2,614 | ) | ||||||||||||||||||||
| 0.40% | Semi-Annual | 6-Month JPY LIBOR, (0.05%) | Semi-Annual | N/A | 01/10/50 | JPY | 20,000 | (3,784 | ) | 6 | (3,790 | ) | ||||||||||||||||||||
| 0.92% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 05/26/50 | USD | 2,262 | 117,980 | 62 | 117,918 | ||||||||||||||||||||||
| 0.89% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 07/02/50 | USD | 2,377 | 146,938 | 65 | 146,873 | ||||||||||||||||||||||
| 1.04% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 07/16/50 | USD | 619 | 13,460 | 17 | 13,443 | ||||||||||||||||||||||
| 0.88% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | N/A | 07/21/50 | USD | 1,585 | 102,746 | 44 | 102,702 | ||||||||||||||||||||||
| 3-Month LIBOR, 0.23% |
Quarterly | 1.08% | Semi-Annual | N/A | 09/28/50 | USD | 828 | (9,688 | ) | 23 | (9,711 | ) | ||||||||||||||||||||
| 3-Month LIBOR, 0.23% |
Quarterly | 0.97% | Semi-Annual | 10/28/20 | (a) | 10/28/50 | USD | 1,982 | (82,746 | ) | 56 | (82,802 | ) | |||||||||||||||||||
| 1.15% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 06/08/21 | (a) | 06/08/51 | USD | 1,566 | (2,240 | ) | 43 | (2,283 | ) | |||||||||||||||||||
| 1.18% | Semi-Annual | 3-Month LIBOR, 0.23% | Quarterly | 06/15/21 | (a) | 06/15/51 | USD | 511 | (4,286 | ) | 14 | (4,300 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 491,556 | $ | 60,340 | $ | 431,216 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Forward Swap. |
Centrally Cleared Inflation Swaps
| Paid by the Fund | Received by the Fund |
Termination Date |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||
| UK Retail Price Index All Items Monthly |
Quarterly | 3.41% | Semi-Annual | 12/15/24 | GBP | 110 | $ | (2,454 | ) | $ | 5 | $ | (2,459 | ) | ||||||||||||||
| UK Retail Price Index All Items Monthly |
Quarterly | 3.45% | Semi-Annual | 12/15/24 | GBP | 545 | (13,767 | ) | 26 | (13,793 | ) | |||||||||||||||||
| UK Retail Price Index All Items Monthly |
Quarterly | 3.51% | Semi-Annual | 12/15/24 | GBP | 550 | (16,237 | ) | 26 | (16,263 | ) | |||||||||||||||||
| UK Retail Price Index All Items Monthly |
Semi-Annual | 3.35% | Quarterly | 01/15/25 | GBP | 270 | (4,815 | ) | 13 | (4,828 | ) | |||||||||||||||||
| UK Retail Price Index All Items Monthly |
Semi-Annual | 3.30% | Quarterly | 02/15/25 | GBP | 620 | (6,073 | ) | 29 | (6,102 | ) | |||||||||||||||||
| UK Retail Price Index All Items Monthly |
Semi-Annual | 3.17% | Quarterly | 04/15/25 | GBP | 1,710 | 5,319 | 81 | 5,238 | |||||||||||||||||||
| UK Retail Price Index All Items Monthly |
Quarterly | 3.14% | Semi-Annual | 05/15/25 | GBP | 320 | 2,084 | 14 | 2,070 | |||||||||||||||||||
| 3.51% | Semi-Annual | UK Retail Price Index All Items Monthly | Quarterly | 12/15/29 | GBP | 110 | 2,670 | 6 | 2,664 | |||||||||||||||||||
| 3.53% | Quarterly | UK Retail Price Index All Items Monthly | Semi-Annual | 12/15/29 | GBP | 545 | 15,126 | 29 | 15,097 | |||||||||||||||||||
| 3.58% | Quarterly | UK Retail Price Index All Items Monthly | Semi-Annual | 12/15/29 | GBP | 550 | 20,071 | 30 | 20,041 | |||||||||||||||||||
| 3.48% | Semi-Annual | UK Retail Price Index All Items Monthly | Quarterly | 01/15/30 | GBP | 270 | 5,300 | 14 | 5,286 | |||||||||||||||||||
| 3.41% | Semi-Annual | UK Retail Price Index All Items Monthly | Quarterly | 02/15/30 | GBP | 620 | 1,416 | 33 | 1,383 | |||||||||||||||||||
| 3.34% | Semi-Annual | UK Retail Price Index All Items Monthly | Quarterly | 04/15/30 | GBP | 1,710 | (20,130 | ) | 86 | (20,216 | ) | |||||||||||||||||
| 3.35% | Quarterly | UK Retail Price Index All Items Monthly | Semi-Annual | 05/15/30 | GBP | 320 | (4,181 | ) | 16 | (4,197 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | (15,671 | ) | $ | 408 | $ | (16,079 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
35 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
OTC Credit Default Swaps — Buy Protection
| Reference Obligations/Index | Financing Rate Paid by the Fund |
Payment Frequency |
Counterparty | Termination Date |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Hess Corp |
1.00 | % | Quarterly | BNP Paribas S.A. | 06/20/24 | USD | 150 | $ | 3,022 | $ | (784 | ) | $ | 3,806 | ||||||||||||||||||
| Federal Republic of Brazil |
1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 3,732 | 264,317 | 238,378 | 25,939 | |||||||||||||||||||||||
| Federal Republic of Brazil |
1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 2,750 | 194,781 | 164,555 | 30,226 | |||||||||||||||||||||||
| Federal Republic of Brazil |
1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 690 | 48,872 | 38,046 | 10,826 | |||||||||||||||||||||||
| Federal Republic of Brazil |
1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 690 | 48,873 | 39,016 | 9,857 | |||||||||||||||||||||||
| Federal Republic of Brazil |
1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 616 | 43,630 | 34,831 | 8,799 | |||||||||||||||||||||||
| Republic of Chile |
1.00 | Quarterly | Citibank N.A. | 12/20/25 | USD | 850 | (14,226 | ) | (11,686 | ) | (2,540 | ) | ||||||||||||||||||||
| Republic of Colombia |
1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 400 | 9,804 | 6,870 | 2,934 | |||||||||||||||||||||||
| Republic of Colombia |
1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 400 | 9,803 | 7,266 | 2,537 | |||||||||||||||||||||||
| Republic of Colombia |
1.00 | Quarterly | Citibank N.A. | 12/20/25 | USD | 8,110 | 198,772 | 157,282 | 41,490 | |||||||||||||||||||||||
| Republic of Colombia |
1.00 | Quarterly | Goldman Sachs International | 12/20/25 | USD | 1,460 | 35,784 | 27,199 | 8,585 | |||||||||||||||||||||||
| Republic of Colombia |
1.00 | Quarterly | Goldman Sachs International | 12/20/25 | USD | 596 | 14,608 | 13,692 | 916 | |||||||||||||||||||||||
| Republic of Colombia |
1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 240 | 5,882 | 4,241 | 1,641 | |||||||||||||||||||||||
| Republic of Colombia |
1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 360 | 8,823 | 6,674 | 2,149 | |||||||||||||||||||||||
| Republic of Indonesia |
1.00 | Quarterly | Citibank N.A. | 12/20/25 | USD | 3,866 | 29,538 | 3,885 | 25,653 | |||||||||||||||||||||||
| Republic of Indonesia |
1.00 | Quarterly | Citibank N.A. | 12/20/25 | USD | 590 | 4,507 | 1,096 | 3,411 | |||||||||||||||||||||||
| Republic of Indonesia |
1.00 | Quarterly | Citibank N.A. | 12/20/25 | USD | 620 | 4,737 | 1,463 | 3,274 | |||||||||||||||||||||||
| Republic of Indonesia |
1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/25 | USD | 786 | 6,005 | 1,579 | 4,426 | |||||||||||||||||||||||
| Republic of Philippines |
1.00 | Quarterly | Goldman Sachs International | 12/20/25 | USD | 3,946 | (90,499 | ) | (93,095 | ) | 2,596 | |||||||||||||||||||||
| Republic of Russia |
1.00 | Quarterly | Bank of America N.A. | 12/20/25 | USD | 1,512 | 19,023 | 14,546 | 4,477 | |||||||||||||||||||||||
| Republic of Russia |
1.00 | Quarterly | Bank of America N.A. | 12/20/25 | USD | 1,672 | 21,036 | 12,154 | 8,882 | |||||||||||||||||||||||
| Republic of Russia |
1.00 | Quarterly | Bank of America N.A. | 12/20/25 | USD | 1,996 | 25,113 | 15,366 | 9,747 | |||||||||||||||||||||||
| Republic of Russia |
1.00 | Quarterly | Citibank N.A. | 12/20/25 | USD | 682 | 8,583 | 4,565 | 4,018 | |||||||||||||||||||||||
| Republic of South Aftrica |
1.00 | Quarterly | Goldman Sachs International | 12/20/25 | USD | 1,574 | 161,501 | 149,151 | 12,350 | |||||||||||||||||||||||
| Republic of South Aftrica |
1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 617 | 63,318 | 59,318 | 4,000 | |||||||||||||||||||||||
| Republic of South Aftrica |
1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 2,638 | 270,666 | 253,569 | 17,097 | |||||||||||||||||||||||
| Republic of South Aftrica |
1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 5,288 | 542,547 | 508,276 | 34,271 | |||||||||||||||||||||||
| Republic of South Aftrica |
1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 2,750 | 282,174 | 264,350 | 17,824 | |||||||||||||||||||||||
| Republic of South Aftrica |
1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 1,996 | 204,795 | 187,185 | 17,610 | |||||||||||||||||||||||
| United Mexican States |
1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 5,575 | 137,802 | 102,976 | 34,826 | |||||||||||||||||||||||
| United Mexican States |
1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 660 | 16,314 | 10,272 | 6,042 | |||||||||||||||||||||||
| United Mexican States |
1.00 | Quarterly | Barclays Bank PLC | 12/20/25 | USD | 660 | 16,314 | 11,254 | 5,060 | |||||||||||||||||||||||
| United Mexican States |
1.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | USD | 676 | 16,709 | 11,694 | 5,015 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 2,612,928 | $ | 2,245,184 | $ | 367,744 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
OTC Credit Default Swaps — Sell Protection
| Reference Obligation/Index | Financing Rate Received by the Fund |
Payment Frequency |
Counterparty | Termination Date |
Credit Rating (a) |
Notional Amount |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||||
| CMBX.NA.9 |
3.00 | % | Monthly | Deutsche Bank AG | 09/17/58 | NR | USD | 1,350 | $ | (354,685 | ) | $ | (136,684 | ) | $ | (218,001 | ) | |||||||||||||||||||
| CMBX.NA.9 |
3.00 | Monthly | Goldman Sachs International | 09/17/58 | NR | USD | 70 | (18,392 | ) | (355 | ) | (18,037 | ) | |||||||||||||||||||||||
| CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | NR | USD | 265 | (69,623 | ) | (1,081 | ) | (68,542 | ) | |||||||||||||||||||||||
| CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | NR | USD | 190 | (49,919 | ) | (586 | ) | (49,333 | ) | |||||||||||||||||||||||
| CMBX.NA.9 |
3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | NR | USD | 70 | (18,391 | ) | (354 | ) | (18,037 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | (511,010 | ) | $ | (139,060 | ) | $ | (371,950 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| (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 Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
| 36 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
OTC Interest Rate Swaps
| Paid by the Fund | Received by the Fund |
|
Effective Date |
Termination Date |
|
|
Upfront Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | Counterparty | Notional Amount (000) |
Value | ||||||||||||||||||||||||||
| 1-Day BZDIOVER, 0.01% |
Semi-Annual | 3.10% | Semi-Annual | Citibank N.A. | N/A | 01/03/22 | BRL | 38,821 | $ | 8,403 | $ | — | $ | 8,403 | ||||||||||||||||||
| 3-Month KRW CDC, 0.68% |
Quarterly | 0.87% | Quarterly | Bank of America N.A. | 09/15/21 | (a) | 09/15/22 | KRW | 3,734,876 | 1,692 | — | 1,692 | ||||||||||||||||||||
| 3-Month KRW CDC, 0.68% |
Quarterly | 0.89% | Quarterly | BNP Paribas S.A. | 09/15/21 | (a) | 09/15/22 | KRW | 3,734,876 | 2,276 | — | 2,276 | ||||||||||||||||||||
| 3-Month KRW CDC, 0.68% |
Quarterly | 0.89% | Quarterly | Bank of America N.A. | 09/15/21 | (a) | 09/15/22 | KRW | 3,450,938 | 2,293 | — | 2,293 | ||||||||||||||||||||
| 1-Day BZDIOVER, 0.01% |
Semi-Annual | 4.52% | Semi-Annual | BNP Paribas S.A. | N/A | 01/03/23 | BRL | 42,596 | 13,791 | — | 13,791 | |||||||||||||||||||||
| 1-Day BZDIOVER, 0.01% |
Semi-Annual | 5.13% | Semi-Annual | JPMorgan Chase Bank N.A. | N/A | 01/03/23 | BRL | 6,048 | 28,618 | — | 28,618 | |||||||||||||||||||||
| 1-Day BZDIOVER, 0.01% |
Semi-Annual | 7.44% | Semi-Annual | Citibank N.A. | N/A | 01/04/27 | BRL | 15,391 | 100,849 | — | 100,849 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 157,922 | $ | — | $ | 157,922 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Forward Swap. |
FairValue Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| • | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund 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) |
| • | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Fund’s investments 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 |
$ | — | $ | 18,877,020 | $ | 247,175 | $ | 19,124,195 | ||||||||
| Common Stocks |
||||||||||||||||
| Canada |
8,366 | — | — | 8,366 | ||||||||||||
| France. |
— | 728,817 | — | 728,817 | ||||||||||||
| Germany |
10,813 | 368,775 | — | 379,588 | ||||||||||||
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
37 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
FairValue Hierarchy as of Period End (continued)
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Hong Kong. |
$ | — | $ | 42,417 | $ | — | $ | 42,417 | ||||||||
| Italy |
— | 50,447 | — | 50,447 | ||||||||||||
| Netherlands. |
125,684 | 593,729 | — | 719,413 | ||||||||||||
| Spain |
— | 18,683 | — | 18,683 | ||||||||||||
| Sweden. |
— | 527,541 | — | 527,541 | ||||||||||||
| Switzerland |
— | 105,160 | — | 105,160 | ||||||||||||
| Taiwan. |
365,869 | — | — | 365,869 | ||||||||||||
| United Kingdom |
— | 141,070 | — | 141,070 | ||||||||||||
| United States |
5,964,927 | — | — | 5,964,927 | ||||||||||||
| Corporate Bonds. |
— | 229,346,241 | 2,573 | 229,348,814 | ||||||||||||
| Floating Rate Loan Interests. |
— | — | 75,905 | 75,905 | ||||||||||||
| Foreign Agency Obligations |
— | 176,688,705 | — | 176,688,705 | ||||||||||||
| Investment Companies |
37,359,632 | — | — | 37,359,632 | ||||||||||||
| Municipal Bonds |
— | 184,434 | — | 184,434 | ||||||||||||
| Non-Agency Mortgage-Backed Securities |
— | 20,282,955 | — | 20,282,955 | ||||||||||||
| Preferred Securities |
||||||||||||||||
| Capital Trusts |
— | 5,346,261 | — | 5,346,261 | ||||||||||||
| Preferred Stocks |
||||||||||||||||
| United States. |
6,100 | 345,758 | — | 351,858 | ||||||||||||
| U.S. Government Sponsored Agency Securities |
— | 85,087,910 | — | 85,087,910 | ||||||||||||
| U.S. Treasury Obligations |
— | 42,771,442 | — | 42,771,442 | ||||||||||||
| Warrants |
— | 3,000 | — | 3,000 | ||||||||||||
| Short-Term Securities |
||||||||||||||||
| Money Market Funds. |
30,931,873 | — | — | 30,931,873 | ||||||||||||
| Options Purchased |
||||||||||||||||
| Equity Contracts |
1,489,457 | 119,167 | — | 1,608,624 | ||||||||||||
| Foreign Currency Exchange Contracts |
— | 996,089 | — | 996,089 | ||||||||||||
| Interest Rate Contracts. |
— | 1,688,996 | — | 1,688,996 | ||||||||||||
| Liabilities |
||||||||||||||||
| Investments |
||||||||||||||||
| TBA Sale Commitments. |
— | (22,571,592 | ) | — | (22,571,592 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 76,262,721 | $ | 561,743,025 | $ | 325,653 | $ | 638,331,399 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivative Financial Instruments(a) |
||||||||||||||||
| Assets |
||||||||||||||||
| Credit Contracts |
$ | — | $ | 507,216 | $ | — | $ | 507,216 | ||||||||
| Equity Contracts |
17,153 | 51,779 | — | 68,932 | ||||||||||||
| Foreign Currency Exchange Contracts. |
— | 2,813,845 | — | 2,813,845 | ||||||||||||
| Interest Rate Contracts |
415,840 | 28,207,806 | — | 28,623,646 | ||||||||||||
| Liabilities |
||||||||||||||||
| Credit Contracts |
— | (375,426 | ) | — | (375,426 | ) | ||||||||||
| Equity Contracts |
(657,803 | ) | (72,707 | ) | — | (730,510 | ) | |||||||||
| Foreign Currency Exchange Contracts. |
— | (2,900,067 | ) | — | (2,900,067 | ) | ||||||||||
| Interest Rate Contracts |
(844,576 | ) | (29,636,775 | ) | — | (30,481,351 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | (1,069,386 | ) | $ | (1,404,329 | ) | $ | — | $ | (2,473,715 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
The Fund 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 $2,031,546 are categorized as Level 2 within the disclosure hierarchy.
| 38 |
| Consolidated Schedule of Investments (unaudited) (continued) September 30, 2020 |
BlackRock Strategic Global Bond Fund, Inc. |
| CONSOLIDATED SCHEDULE OF INVESTMENTS |
39 |