BLACKROCK ENHANCED CAPITAL & INCOME FUND, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-21506

Name of Fund: BlackRock Enhanced Capital and Income Fund, Inc. (CII)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Enhanced Capital

              and Income Fund, Inc., 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 12/31/2017

Date of reporting period: 06/30/2017


 

Item 1 – Report to Stockholders

 


JUNE 30, 2017

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

 

BlackRock Energy and Resources Trust (BGR)

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

BlackRock Enhanced Equity Dividend Trust (BDJ)

BlackRock Enhanced Global Dividend Trust (BOE)

BlackRock Enhanced International Dividend Trust (BGY)

BlackRock Health Sciences Trust (BME)

BlackRock Resources & Commodities Strategy Trust (BCX)

BlackRock Science and Technology Trust (BST)

BlackRock Utility and Infrastructure Trust (BUI)

 

 

 

 

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

 

Dear Shareholder,

In the 12 months ended June 30, 2017, risk assets, such as stocks and high-yield bonds, delivered strong performance. These markets showed great resilience during a period with big surprises, including the aftermath of the U.K.’s vote to leave the European Union and the outcome of the U.S. presidential election, which brought only brief spikes in equity market volatility. However, interest rates rose, which worked against high-quality assets with more interest rate sensitivity. Aside from the shortest-term Treasury bills, most U.S. Treasuries posted negative returns, as rising energy prices, modest wage increases and steady job growth led to expectations of higher inflation and anticipation of interest rate increases by the U.S. Federal Reserve (the “Fed”).

The global reflationary theme — rising nominal growth, wages and inflation — was the dominant driver of asset returns during the period, outweighing significant political upheavals and economic uncertainty. Reflationary expectations accelerated after the U.S. election in November 2016 and continued into the beginning of 2017, stoked by expectations that the new administration’s policies would provide an extra boost to U.S. growth.

The Fed has responded to these positive developments by increasing interest rates three times in the last six months, setting expectations for additional interest rate increases and moving toward normalizing monetary policy. For its part, the European Central Bank also began to signal its intent to wind down asset purchases and begin the long move toward policy normalization, contingent upon further improvement in economic growth.

In recent months, growing skepticism about the near-term likelihood of significant U.S. tax reform and infrastructure spending has tempered enthusiasm around the reflation trade. Similarly, renewed concern about oversupply has weighed on energy prices. Nonetheless, financial markets — and to an extent the Fed — have adopted a “wait-and-see” approach to the economic data and potential fiscal stimulus. Although uncertainty has persisted, benign credit conditions, modest inflation and the outlook for economic growth have kept markets relatively tranquil.

In the fifth edition of our Global Investor Pulse Survey, we heard from 28,000 individuals across 18 countries, including more than 4,000 respondents from the United States. While retirement remains the single most important issue for American investors, only a third of respondents feel confident that they will have enough retirement income, and nearly 40% of respondents have yet to begin saving for retirement. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of June 30, 2017  
    6-month     12-month  

U.S. large cap equities
(S&P 500® Index)

    9.34     17.90

U.S. small cap equities
(Russell 2000® Index)

    4.99       24.60  

International equities
(MSCI Europe, Australasia,
Far East Index)

    13.81       20.27  

Emerging market equities
(MSCI Emerging Markets Index)

    18.43       23.75  

3-month Treasury bills
(BofA Merrill Lynch 3-Month
U.S. Treasury Bill Index)

    0.31       0.49  

U.S. Treasury securities
(BofA Merrill Lynch
10-Year U.S. Treasury
Index)

    2.08       (5.58

U.S. investment grade bonds
(Bloomberg Barclays U.S.
Aggregate Bond Index)

    2.27       (0.31

Tax-exempt municipal
bonds (S&P Municipal
Bond Index)

    3.26       (0.28

U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer
Capped Index)

    4.92       12.69  
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.  

 

                
2    THIS PAGE NOT PART OF YOUR FUND REPORT      


      

 

Section 19(a) Notices

BlackRock Energy and Resources Trust’s (BGR), BlackRock Enhanced Capital and Income Fund, Inc.’s (CII), BlackRock Enhanced Equity Dividend Trust’s (BDJ), BlackRock Enhanced Global Dividend Trust’s (BOE), BlackRock Enhanced International Dividend Trust’s (BGY), BlackRock Health Sciences Trust’s (BME), BlackRock Resources & Commodities Strategy Trust’s (BCX), BlackRock Science and Technology Trust’s (BST) and BlackRock Utility and Infrastructure Trust’s (BUI) (each, a “Trust” and collectively, the “Trusts”), amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the fiscal year and may be subject to changes based on tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.

 

June 30, 2017                                                                      
    Total Cumulative Distributions
for the Fiscal Period
    % Breakdown of the Total Cumulative
Distributions for the Fiscal Period
 
     Net Investment
Income
   

Net Realized

Capital Gains

Short-Term

   

Net Realized

Capital Gains

Long-Term

    Return of
Capital
   

Total Per

Common
Share

    Net Investment
Income
   

Net Realized
Capital Gains

Short-Term

   

Net Realized

Capital Gains

Long-Term

    Return of
Capital
    Total Per
Common
Share
 

BGR*

  $ 0.129255                 $ 0.336345     $ 0.465600       28%       0%       0%       72%       100%  

CII*

  $ 0.070837                 $ 0.425963     $ 0.496800       14%       0%       0%       86%       100%  

BDJ

  $ 0.079221     $ 0.018831     $ 0.182147           $ 0.280200       28%       7%       65%       0%       100%  

BOE

  $ 0.046257     $ 0.421743                 $ 0.468000       10%       90%       0%       0%       100%  

BGY*

  $ 0.047393                 $ 0.180607     $ 0.228000       21%       0%       0%       79%       100%  

BME

  $ 0.022815                 $ 1.177185     $ 1.200000       2%       0%       0%       98%       100%  

BCX*

  $ 0.076095                 $ 0.219505     $ 0.295600       26%       0%       0%       74%       100%  

BST*

                    $ 0.600000     $ 0.600000       0%       0%       0%       100%       100%  

BUI*

  $ 0.290489           $ 0.284039     $ 0.151472     $ 0.726000       40%       0%       39%       21%       100%  

 

  *   Certain Trusts estimate that they have distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trust’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce the Trust’s net asset value per share.

Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website http://www.blackrock.com.

 

Section 19(b) Disclosure

The Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s Board of Trustees/Directors (the “Board”), each have adopted a plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, the Trusts distribute the following fixed amounts per share on a monthly basis as of June 30, 2017:

 

Exchange Symbol   Amount Per
Common Share
 
BGR   $ 0.0776  
CII   $ 0.0828  
BDJ   $ 0.0467  
BOE   $ 0.0780  
BGY   $ 0.0380  
BME   $ 0.2000  
BCX   $ 0.0516  
BST   $ 0.1000  
BUI   $ 0.1210  

The fixed amounts distributed per share are subject to change at the discretion of each Trust’s Board. Under its Plan, each Trust will distribute all available investment income to its shareholders, consistent with its primary investment objectives and as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient investment income is not available on a monthly basis, the Trusts will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board, except for extraordinary distributions and potential distribution rate increases or decreases to enable the Trusts to comply with the distribution requirements imposed by the Code.

Shareholders should not draw any conclusions about each Trust’s investment performance from the amount of these distributions or from the terms of the Plan. Each Trust’s total return performance on net asset value is presented in its financial highlights table.

The Board may amend, suspend or terminate a Trust’s Plan at any time without prior notice to the Trust’s shareholders if it deems such actions to be in the best interests of the Trust or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Trust’s stock is trading at or above net asset value) or widening an existing trading discount. The Trusts are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code. Please refer to each Trust’s prospectus for a more complete description of its risks.

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    3


Table of Contents     

 

     Page  

The Markets in Review

    2  

Section 19(a) Notices

    3  

Section 19(b) Disclosure

    3  

Semi-Annual Report:

 

The Benefits and Risks of Option Over-Writing

    5  

Trust Summaries

    6  

Derivative Financial Instruments

    24  
Financial Statements:  

Schedules of Investments

    25  

Statements of Assets and Liabilities

    87  

Statements of Operations

    89  

Statements of Changes in Net Assets

    91  

Statements of Cash Flows

    100  

Financial Highlights

    102  

Notes to Financial Statements

    111  

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

    123  

Officers and Trustees

    130  

Additional Information

    131  

 

                
4    SEMI-ANNUAL REPORT    JUNE 30, 2017   


The Benefits and Risks of Option Over-Writing

 

In general, the goal of each of the Trusts is to provide total return through a combination of current income and realized and unrealized gains (capital appreciation). The Trusts seek to pursue this goal primarily by investing in a portfolio of equity securities and utilizing an option over-writing strategy in an effort to enhance the Trusts’ distribution rate and total return performance. However, these objectives cannot be achieved in all market conditions.

The Trusts primarily write single stock covered call options, and may also from time to time write single stock put options. When writing (selling) a covered call option, the Trust holds an underlying equity security and enters into an option transaction which allows the counterparty to purchase the equity security at an agreed-upon price (“strike price”) within an agreed-upon time period. The Trusts receive cash premiums from the counterparties upon writing (selling) the option, which along with net investment income and net realized gains, if any, are generally available to support current or future distributions paid by the Trusts. During the option term, the counterparty may elect to exercise the option if the market value of the equity security rises above the strike price, and the Trust is obligated to sell the equity security to the counterparty at the strike price, realizing a gain or loss. Premiums received increase gains or reduce losses realized on the sale of the equity security. If the option remains unexercised upon its expiration, the Trusts realize gains equal to the premiums received. Alternatively, an option may be closed out by an offsetting purchase or sale of an option prior to expiration. The Trust realizes a capital gain from a closing purchase or sale transaction if the premium paid is less than the premium received from writing the option. The Trust realizes a capital loss from a closing purchase or sale transaction if the premium received is less than the premium paid to purchase the option.

Writing covered call options entails certain risks, which include, but are not limited to, the following: an increase in the value of the underlying equity security above the strike price can result in the exercise of a written option (sale by the Trust to the counterparty) when the Trust might not otherwise have sold the security; exercise of the option by the counterparty may result in a sale below the current market value and a gain or loss being realized by the Trust; and limiting the potential appreciation that could be realized on the underlying equity security to the extent of the strike price of the option. As such, an option over-writing strategy may outperform the general equity market in flat or falling markets but underperform in rising markets.

Each Trust employs a plan to support a level distribution of income, capital gains and/or return of capital. The goal of the plan is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of the Trusts. Such distributions, under certain circumstances, may exceed a Trust’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Trust’s total assets and net asset value per share (“NAV”) and, therefore, could have the effect of increasing the Trust’s expense ratio and reducing the amount of assets,

the Trust has available for long term investment. In order to make these distributions, a Trust may have to sell portfolio securities at less than opportune times.

The final tax characterization of distributions is determined after the fiscal year and is reported in the Trust’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. The Trust’s taxable net investment income or net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Trust’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital. Distributions that exceed a Trust’s taxable income but do not exceed the Trust’s current and accumulated earnings and profits, may be classified as ordinary income which are taxable to shareholders. Such distributions are reported as distributions in excess of net investment income.

A return of capital distribution does not necessarily reflect a Trust’s investment performance and should not be confused with ‘yield’ or ‘income.’ A return of capital is a return of a portion of an investor’s original investment. A return of capital is not taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital or as distributions in excess of net investment income for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.

To illustrate these concepts, assume the following: (1) a common stock purchased at and currently trading at $37.15 per share; (2) a three-month call option is written by a Trust with a strike price of $40 (i.e., 7.7% higher than the current market price); and (3) the Trust receives $2.45, or 6.6% of the common stock’s value, as a premium. If the stock price remains unchanged, the option expires and there would be a 6.6% return for the three-month period. If the stock were to decline in price by 6.6% (i.e., decline to $34.70 per share), the option strategy would “break-even” from an economic perspective resulting in neither a gain nor a loss. If the stock were to climb to a price of $40 or above, the option would be exercised and the stock would return 7.7% coupled with the option premium received of 6.6% for a total return of 14.3%. Under this scenario, the Trust loses the benefit of any appreciation of the stock above $40, and thus is limited to a 14.3% total return. The premium from writing the call option serves to offset some of the unrealized loss on the stock in the event that the price of the stock declines, but if the stock were to decline more than 6.6% under this scenario, the Trust’s downside protection is eliminated and the stock could eventually become worthless.

Each Trust intends to write covered call options to varying degrees depending upon market conditions. Please refer to each Trust’s Schedule of Investments and the Notes to Financial Statements for details of written options.

 

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    5


Trust Summary as of June 30, 2017    BlackRock Energy and Resources Trust

 

Trust Overview

BlackRock Energy and Resources Trust’s (BGR) (the “Trust”) investment objective is to provide total return through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities of energy and natural resources companies and equity derivatives with exposure to the energy and natural resources industry. The Trust may invest directly in such securities or synthetically through the use of derivatives. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and utilizing an option over-writing strategy in an effort to seek total return performance and enhance distributions.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information

 

Symbol on New York Stock Exchange (“NYSE”)

  BGR

Initial Offering Date

  December 29, 2004

Current Distribution Rate on Closing Market Price as of June 30, 2017 ($13.00)1

  7.16%

Current Monthly Distribution per Common Share2

  $0.0776

Current Annualized Distribution per Common Share2

  $0.9312

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended June 30, 2017 were as follows:

 

    Returns Based On  
     Market Price     Net Asset Value  

BGR1,2

    (6.87 )%      (10.55 )% 

Lipper Natural Resources Funds3

    (2.89 )%      (7.32 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 

  2   

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3  

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

 

 

Despite gains for the broader world equity markets, natural resources stocks generally lost ground in the first half of 2017. The downturn largely stemmed from the weakness in energy stocks, which lagged as an unfavorable balance of supply and demand put significant downward pressure on oil prices. In this environment, the Trust produced a negative absolute return at net asset value in the six-month period.

 

 

The investment adviser positioned the portfolio based on its expectation for rising oil prices. Given that oil in fact fell in the first half of the year, this aspect of the Trust’s positioning was a headwind to performance. Specifically, the Trust’s significant exposure to the exploration and production (“E&P”) sub-sector weighed on results.

 

 

The Trust’s position in the pressure pumping and service provider Superior Energy Services, Inc. detracted from absolute performance. The oil services companies Schlumberger Ltd. and Weatherford International Ltd.

   

announced a joint venture focused on pressure pumping, which could potentially increase competition in this area.

 

 

Anadarko Petroleum Corp., which fell due to the company’s possible link to two operational incidents that involved fatalities, also detracted from absolute performance.

 

 

Tesoro Corp. contributed to absolute performance, as refiners outperformed on the strength of solid demand for petroleum products and weakening oil prices (their major input cost). The company also benefited from its recent acquisition of Western Refining Corp., as the market sees the potential for synergies from the deal.

 

 

A position in Cabot Oil and Gas Corp. made a positive contribution, as well. Natural gas prices held up better than oil, and the market responded positively to increased visibility regarding the expansion of pipelines near the areas in which the company operates. The major North American energy company TransCanada Corp., which rallied following the approval for the Keystone XL pipeline, also added value.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The option overlay strategy had a positive impact on results at a time of weakness in the overall sector.

Describe recent portfolio activity.

 

 

The investment adviser increased the Trust’s exposure to U.S. onshore energy services companies and funded the purchases by taking profits in certain E&P holdings. The investment edviser also used the pullback in the broader energy sector to increase the portfolio’s beta somewhat, reflecting its belief that the fundamentals of the oil market could improve in the coming months. The investment adviser focused on companies that can be expected to generate earnings even with oil at $50 per barrel.

 

 

                
6    SEMI-ANNUAL REPORT    JUNE 30, 2017   


     BlackRock Energy and Resources Trust

 

Performance and Portfolio Management Commentary (concluded)

 

Describe portfolio positioning at period end.

 

 

The E&P sector represented the Trust’s largest allocation, followed by the integrated, oil services, distribution and refining & marketing industries,

   

respectively. The investment adviser positioned the Trust with a higher-quality bias, focusing on companies with robust balance sheets, below-average costs and higher-quality management teams.

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

Market Price and Net Asset Value Per Share Summary

 

    

6/30/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 13.00      $ 14.44        (9.97 )%     $ 14.87      $ 12.60  

Net Asset Value

  $ 14.12      $ 16.33        (13.53 )%     $ 16.57      $ 13.83  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Ten Largest Holdings   6/30/17  

Exxon Mobil Corp.

    10

Royal Dutch Shell PLC-ADR, Class A

    9  

BP PLC

    7  

Chevron Corp.

    6  

EOG Resources, Inc.

    5  

ConocoPhillips

    5  

TransCanada Corp.

    4  

Pioneer Natural Resources Co.

    4  

Anadarko Petroleum Corp.

    3  

Baker Hughes, Inc.

    3  

 

  *   Excludes option positions and money market funds.
Industry Allocation  

6/30/17

    

12/31/16

 

Oil, Gas & Consumable Fuels

    89      91

Energy Equipment & Services

    11      9

 

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

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    7


Trust Summary as of June 30, 2017    BlackRock Enhanced Capital and Income Fund, Inc.

 

Trust Overview

BlackRock Enhanced Capital and Income Fund, Inc.’s (CII) (the “Trust”) investment objective is to provide investors with a combination of current income and capital appreciation. The Trust seeks to achieve its investment objective by investing in a portfolio of equity securities of U.S. and foreign issuers. The Trust may invest directly in such securities or synthetically through the use of derivatives. The Trust also seeks to achieve its investment policy by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information

 

Symbol on NYSE

  CII

Initial Offering Date

  April 30, 2004

Current Distribution Rate on Closing Market Price as of June 30, 2017 ($14.89)1

  6.67%

Current Monthly Distribution per Common Share2

  $0.0828

Current Annualized Distribution per Common Share2

  $0.9936

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended June 30, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

CII1,2

    12.36%        9.01%  

S&P 500® Index

    N/A        9.34%  

 

  1  

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 

  2   

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

 

 

In sector terms, information technology (“IT”) was the prime contributor to relative performance due to strength among semiconductor and software holdings. Consumer discretionary also aided results, in particular household durables and hotels, restaurants & leisure. Selection in materials and underweight exposure to telecommunication services benefited as well. The main detractor from performance was health care due to weakness in biotechnology and pharmaceuticals. Financials and consumer staples were also a drag, namely capital markets and food & staples retailing.

 

 

On a stock-specific basis, IT holdings Lam Research Corp. and Activision Blizzard Inc. were the top individual contributors. Lam performed very well on the back of strong execution and growing demand for its products, driven by the build-out of 3D NAND capacity, for which the company is a key supplier. The valuation remained reasonable, reflecting ongoing concerns that this may be the peak of the cycle, resulting in strong stock performance while the fundamentals continued to improve. Activision

   

outperformed amid consistently strong earnings results, allaying investor worries earlier in the period about weak Call of Duty sales. Investor excitement continued to grow around the company’s new content like Overwatch and Destiny 2, and the secular shifts in the industry such as the movement to digital monetization and eSports.

 

 

Cruise operator Carnival Corp. also added value. Carnival outperformed early in the period after a report from competitor Royal Caribbean confirmed strengthening demand in both the Caribbean and Mediterranean markets. Later, the company delivered strong earnings results, which indicated ongoing favorable supply/demand dynamics in all of the developed cruise markets, leading to continued improvement in pricing power.

 

 

Conversely, underweights to Facebook Inc. and Amazon.com Inc., two of the so-called “FANG” stocks, detracted from relative results as both posted gains of more than 25% during the six months.

 

 

The position in Goldman Sachs Group Inc. also weighed. The stock underperformed after the company reported an uncharacteristically weak quarter reflecting poor performance in its core FICC (fixed income, currencies and commodities) trading business.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced returns while continuing to participate in the performance of the underlying equities. The Trust’s option writing strategy had a negative impact on performance during the reporting period.

Describe recent portfolio activity.

 

 

Due to a combination of portfolio trading activity and market movement during the six-month period, the Trust’s exposure to the health care sector considerably increased, particularly within equipment & supplies and pharmaceuticals. Exposure to IT, industrials and materials increased as well. The largest reduction was in consumer staples, largely with respect to beverages and tobacco. Energy exposure also declined.

 

 

                
8    SEMI-ANNUAL REPORT    JUNE 30, 2017   


     BlackRock Enhanced Capital and Income Fund, Inc.

 

 

Performance and Portfolio Management Commentary (concluded)

 

Describe portfolio positioning at period end.

 

 

Relative to the S&P 500® Index, the Trust ended the period with its largest overweights in the IT and consumer discretionary sectors. The Trust’s largest relative underweights were in industrials, consumer staples and real estate.

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

Market Price and Net Asset Value Per Share Summary

 

    

6/30/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 14.89      $ 13.71        8.61    $ 15.02      $ 13.63  

Net Asset Value

  $ 15.89      $ 15.08        5.37    $ 15.98      $ 15.08  

 

Market Price and Net Asset Value History For the Past Five Years

LOGO

 

Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    6/30/17

Apple, Inc.

       5 %

Alphabet, Inc., Class A

       4

JPMorgan Chase & Co.

       4

Microsoft Corp.

       4

Comcast Corp., Class A

       3

Bank of America Corp.

       3

Pfizer, Inc.

       3

Carnival Corp.

       3

Dow Chemical Co.

       2

Home Depot, Inc.

       2

 

  *   Excludes option positions and money market funds.
Sector Allocation   

6/30/17

 

12/31/16

Information Technology

       26 %       26 %

Health Care

       16       14

Financials

       16       17

Consumer Discretionary

       16       15

Industrials

       7       6

Energy

       6       8

Consumer Staples

       6       9

Materials

       5       4

Utilities

       2       1

 

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

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    9


Trust Summary as of June 30, 2017    BlackRock Enhanced Equity Dividend Trust

 

Trust Overview

BlackRock Enhanced Equity Dividend Trust’s (BDJ) (the “Trust”) primary investment objective is to provide current income and current gains, with a secondary investment objective of long-term capital appreciation. The Trust seeks to achieve its investment objectives by investing in common stocks that pay dividends and have the potential for capital appreciation and by utilizing an option writing (selling) strategy to seek total return performance and enhance distributions. The Trust invests, under normal market conditions, at least 80% of its total assets in dividend paying equities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.

 

Trust Information

 

Symbol on NYSE

  BDJ

Initial Offering Date

  August 31, 2005

Current Distribution Rate on Closing Market Price as of June 30, 2017 ($8.80)1

  6.37%

Current Monthly Distribution per Common Share2

  $0.0467

Current Annualized Distribution per Common Share2

  $0.5604

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended June 30, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BDJ1,2

    11.53%        6.32%  

Russell 1000® Value Index

    N/A        4.66%  

 

  1   

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 

  2  

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

 

 

The largest contribution to performance for the six-month period came from an overweight to the health care sector. Most notably, an overweight to the health care providers & services industry provided strong relative returns. Within information technology, an overweight to software and stock selection in technology hardware, storage, & peripherals added to relative performance. Lastly, an underweight to telecommunication services (“telecom”) as well as stock selection within the sector contributed to performance, as did stock selection within financials, consumer discretionary and materials.

 

The largest detractor from relative return came from stock selection in the consumer staples sector. In particular, selection within the food & staples retailing industry detracted, as non-benchmark holding Kroger Co. sold off on concerns over increasing competition in the wake of the acquisition of Whole Foods by Amazon. Additionally, stock selection in utilities weighed on performance, mainly within the multi-utilities industry. Stock selection in the industrials sector detracted from returns as well, as a significant underweight to the machinery industry proved unfavorable.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The Trust’s option writing strategy had a negative effect on performance.

Describe recent portfolio activity.

 

 

During the six-month period, the Trust’s exposure to the industrials, information technology (“IT”), health care, utilities and telecom sectors was increased. Conversely, exposure to consumer staples, consumer discretionary, energy, financials and real estate was decreased.

Describe portfolio positioning at period end.

 

 

The Trust’s largest allocations were in the financials, health care and industrials sectors. Relative to the benchmark, the Trust’s largest overweight positions were in the industrials, financials, IT, health care, materials and energy sectors. The Trust’s largest underweights were in the real estate, consumer staples, consumer discretionary, telecom and utilities segments.

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
10    SEMI-ANNUAL REPORT    JUNE 30, 2017   


     BlackRock Enhanced Equity Dividend Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

    

6/30/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 8.80      $ 8.15        7.98    $ 8.84      $ 8.13  

Net Asset Value

  $ 9.49      $ 9.22        2.93    $ 9.54      $ 9.16  

 

Market Price and Net Asset Value History For the Past Five Years

LOGO

 

Overview of the Trust’s Total Investments*

 

Ten Largest Holdings   

6/30/17

JPMorgan Chase & Co.

       4 %

Citigroup, Inc.

       4

Bank of America Corp.

       4

Pfizer, Inc.

       3

Oracle Corp.

       3

Dow Chemical Co.

       3

Wells Fargo & Co.

       3

Anthem, Inc.

       2

General Electric Co.

       2

Merck & Co., Inc.

       2

 

  *   Excludes option positions and money market funds.
Sector Allocation   

6/30/17

 

12/31/16

Financials

       28 %       30 %

Health Care

       16       14

Industrials

       12       12

Energy

       11       12

Information Technology

       11       9

Consumer Staples

       6       7

Utilities

       5       5

Consumer Discretionary

       5       6

Materials

       4       3

Telecommunication Services

       2       2

 

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

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    11


Trust Summary as of June 30, 2017    BlackRock Enhanced Global Dividend Trust

 

Trust Overview

BlackRock Enhanced Global Dividend Trust’s (BOE) (the “Trust”) primary investment objective is to provide current income and current gains, with a secondary investment objective of long-term capital appreciation. The Trust seeks to achieve its investment objectives by investing primarily in equity securities issued by companies located in countries throughout the world and utilizing an option writing (selling) strategy to seek total return performance and enhance distributions. Under normal circumstances, the Trust invests at least 80% of its net assets in dividend-paying equity securities and at least 40% of its assets outside of the U.S. (unless market conditions are not deemed favorable by Trust management, in which case the Trust would invest at least 30% of its assets outside of the U.S.). The Trust may invest in securities of companies of any market capitalization, but intends to invest primarily in securities of large capitalization companies.

On March 22, 2017, the Trust’s Board approved a change to the Trust’s name from “BlackRock Global Opportunities Equity Trust” to “BlackRock Enhanced Global Dividend Trust.” The Board also approved changes to certain of the Trust’s non-fundamental investment policies. Please refer to the Additional Information section. These changes became effective on June 12, 2017.

No assurance can be given that the Trust’s investment objectives will be achieved.

 

Trust Information

 

Symbol on NYSE

  BOE

Initial Offering Date

  May 31, 2005

Current Distribution Rate on Closing Market Price as of June 30, 2017 ($13.25)1

  7.06%

Current Monthly Distribution per Common Share2

  $0.0780

Current Annualized Distribution per Common Share2

  $0.9360

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended June 30, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BOE1,2

    18.78%        12.24%  

MSCI All Country World Index

    N/A        11.48%  

 

  1   

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 

  2  

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

 

 

Positive stock selection within the financials sector led contributors for the period, in particular the Trust’s position in Federal Bank Ltd., an Indian retail bank, which benefited from an earnings report that exceeded analysts’ forecasts. Performance was also helped by the Trust’s positioning and security selection within the information technology (“IT”) sector, the top-performing segment during the period. Within IT, holdings in Skyworks Solutions, Inc., a mobile communications semiconductor company that reported favorable earnings, was a notable contributor.

 

 

Conversely, stock selection within the industrials and consumer discretionary sectors detracted from performance. Within industrials, the Trust’s

 

position in Acuity Brands, Inc., a manufacturer of energy efficient lighting solutions, led detractors due to a weak earnings report. The company’s management has continued to cite the negative impact of macroeconomic uncertainty on its business, particularly with the recent U.S. election result. Unfavorable stock selection in the consumer discretionary sector was driven by the Trust’s position in Jasper Infotech Private Ltd., a private Indian e-commerce company, which saw its valuation negatively impacted by a more competitive business environment and challenged funding terms.

 

 

Also, during the period, the Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The Trust’s options writing strategy detracted from performance.

Describe recent portfolio activity.

 

 

The Trust increased exposure to the consumer staples and health care sectors, funded by reductions to holdings in information technology and consumer discretionary. Regionally, these changes resulted in added exposure to Europe and reduced exposure within the emerging markets, the Pacific Basin and North America.

Describe portfolio positioning at period end.

 

 

The Trust’s largest sector overweights were in the consumer staples, health care and telecommunication services sectors, funded by underweights to financials and IT. Regionally, the Trust was significantly overweight in Europe funded by underweight exposures to Emerging Markets and the Pacific Basin.

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
12    SEMI-ANNUAL REPORT    JUNE 30, 2017   


     BlackRock Enhanced Global Dividend Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

    

6/30/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 13.25      $ 11.57        14.52    $ 13.48      $ 11.57  

Net Asset Value

  $ 14.48      $ 13.38        8.22    $ 14.61      $ 13.38  

 

Market Price and Net Asset Value History For the Past Five Years

LOGO

 

Overview of the Trust’s Total Investments*

 

Ten Largest Holdings   

6/30/17

Altria Group, Inc.

       4 %

British American Tobacco PLC

       4

AstraZeneca PLC

       4

Imperial Brands PLC

       3

Johnson & Johnson

       3

Novartis AG, Registered Shares

       3

Pfizer, Inc.

       3

Rogers Communications, Inc., Class B

       3

TELUS Corp.

       3

Philip Morris International, Inc.

       3

 

  *   Excludes option positions and money market funds.
Geographic Allocation    6/30/17  

12/31/16

United States

       46 %       59 %

United Kingdom

       17       6

Switzerland

       10       2

Canada

       6       1

Taiwan

       3      

France

       3       2

Germany

       3       2

Australia

       2      

Finland

       2      

Belgium

       2       2

Japan

       1       6

China

       1       3

India

             3

Italy

             2

Spain

             1

Other

       4 1       11 2

 

  1  

Other includes a 1% holding or less in each of the following countries: Denmark, Hong Kong, Netherlands and Sweden.

 

  2   

Other includes a 1% holding or less in each of the following countries: Australia, Denmark, Hong Kong, Indonesia, Ireland, Israel, Mexico, Netherlands, New Zealand, Norway, Peru, Philippines, Portugal, South Africa, South Korea, Sweden, Taiwan and Thailand.

 

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    13


Trust Summary as of June 30, 2017    BlackRock Enhanced International Dividend Trust

 

Trust Overview

BlackRock Enhanced International Dividend Trust’s (BGY) (the “Trust”) primary investment objective is to provide current income and current gains, with a secondary objective of long-term capital appreciation. The Trust seeks to achieve its investment objectives by investing primarily in equity securities issued by companies of any market capitalization located in countries throughout the world and utilizing an option writing (selling) strategy to seek total return performance and enhance distributions. The Trust invests, under normal circumstances, at least 80% of its net assets in dividend-paying equity securities issued by non-U.S. companies of any market capitalization, but intends to invest primarily in securities of large capitalization companies.

On March 22, 2017, the Trust’s Board approved a change to the Trust’s name from “BlackRock International Growth & Income Trust” to “BlackRock Enhanced International Dividend Trust.” The Board also approved changes to certain of the Trust’s non-fundamental investment policies. Please refer to the Additional Information section. These changes became effective on June 12, 2017.

No assurance can be given that the Trust’s investment objectives will be achieved.

 

Trust Information

 

Symbol on NYSE

  BGY

Initial Offering Date

  May 30, 2007

Current Distribution Rate on Closing Market Price as of June 30, 2017 ($6.28)1

  7.26%

Current Monthly Distribution per Common Share2

  $0.0380

Current Annualized Distribution per Common Share2

  $0.4560

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended June 30, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BGY1,2

    18.36%        12.28%  

MSCI All Country World Index ex-USA

    N/A        14.10%  

 

  1   

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 

  2  

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

 

 

Unfavorable stock selection within the internet & direct marketing retail sub-industry of the consumer discretionary sector detracted from performance during the period. This was led by the Trust’s position in Jasper Infotech Private Ltd., a private Indian e-commerce company, which saw its valuation negatively impacted by a more competitive business environment and challenged funding terms. In addition, the Trust’s overweight position in Shire PLC, a global biotechnology company, detracted after the FDA approved a generic equivalent for one of Shire’s popular brand-name therapies.

 

 

For the period, favorable stock selection within the diversified banks sub-industry of the financials sector led relative gains. This was driven by

   

the Trust’s position in HDFC Bank Ltd., India’s second largest private bank, after HDFC’s shares rallied following a strong earnings report. The next largest contribution came from stock selection in the technology hardware & equipment sub-industry group, most notably holdings of Catcher Technology Co., Ltd., an important supplier of parts for Apple’s iPhone. The stock has performed well year to date on news of strong demand from additional smartphone providers, including Google and Samsung.

 

 

Also, during the period, the Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The Trust’s options writing strategy detracted from relative returns.

Describe recent portfolio activity.

 

 

Over the six-month period, the Trust added to positions in the health care and consumer staples sectors, funded by reductions in the Trust’s financials and consumer discretionary holdings. Regionally, these changes resulted in increased exposure to North America and Europe, and reduced exposure to the emerging markets and the Pacific Basin.

Describe portfolio positioning at period end.

 

 

Relative to the MSCI All Country World Index ex-US, the Trust’s largest sector overweights were in health care and consumer staples, while the largest underweight positions were in financials and consumer discretionary. Regionally, the Trust’s largest overweights were in Europe and North America, while the largest regional underweights were in the Pacific Basin and the emerging markets.

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
14    SEMI-ANNUAL REPORT    JUNE 30, 2017   


     BlackRock Enhanced International Dividend Trust

 

Market Price and Net Asset Value Per Share Summary

 

    

6/30/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 6.28      $ 5.51        13.97    $ 6.45      $ 5.45  

Net Asset Value

  $ 6.79      $ 6.28        8.12    $ 6.89      $ 6.28  

 

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    6/30/17  

British American Tobacco PLC

     5

Imperial Brands PLC

     4  

AstraZeneca PLC

     4  

Novartis AG, Registered Shares

     4  

Rogers Communications, Inc., Class B

     4  

TELUS Corp.

     4  

Nestle SA, Registered Shares

     3  

Deutsche Post AG, Registered Shares

     3  

Sanofi

     3  

WisdomTree Japan Hedged Equity Fund

     3  

 

  *   Excludes option positions and money market funds.
Geographic Allocation    6/30/17    

12/31/16

 

United Kingdom

     23     16

Switzerland

     13       5  

United States

     8       8  

Canada

     7       5  

France

     5       9  

Netherlands

     5       6  

Germany

     5       6  

China

     5       5  

Japan

     4       8  

Taiwan

     3        

Sweden

     3       1  

Australia

     3        

Finland

     3        

Hong Kong

     2       2  

South Korea

     2       3  

Belgium

     2       2  

India

     2       4  

Ireland

     1       2  

Italy

     1       6  

Spain

           1  

Mexico

           1  

Other

     3 1       10 2  

 

  1  

Other includes a 1% holding or less in each of the following countries: Denmark, Norway, Portugal and South Africa.

 

  2   

Other includes a 1% holding or less in each of the following countries: Australia, Denmark, Indonesia, Israel, New Zealand, Norway, Peru, Philippines, Portugal, South Africa, Taiwan and Thailand.

 

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    15


Trust Summary as of June 30, 2017    BlackRock Health Sciences Trust

 

Trust Overview

BlackRock Health Sciences Trust’s (BME) (the “Trust”) investment objective is to provide total return through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities of companies engaged in the health sciences and related industries and equity derivatives with exposure to the health sciences industry. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and utilizing an option over-writing strategy in an effort to seek total return performance and enhance distributions.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information

 

Symbol on NYSE

  BME

Initial Offering Date

  March 31, 2005

Current Distribution Rate on Closing Market Price as of June 30, 2017 ($36.65)1

  6.55%

Current Monthly Distribution per Common Share2

  $0.2000

Current Annualized Distribution per Common Share2

  $2.4000

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended June 30, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BME1,2

    19.59%        16.71%  

Russell 3000® Healthcare Index

    N/A        16.82%  

 

  1   

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 

  2   

The Trust’s premium to NAV widened during the period, which accounts for the difference between performance based on price and performance based on NAV.

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

 

 

Underweight positions in the outperforming pharmaceutical stocks Johnson & Johnson and Eli Lilly & Co. detracted from Trust results during the period. Out-of-benchmark positions in the European companies Roche Holding AG and Sanofi SA, which lagged the overall pharmaceutical industry, were additional detractors. In addition, several small- to medium-capitalization holdings in the biotechnology sector hurt performance for the full period despite their strong showing in June.

 

 

On the positive side, the Trust’s positioning in all four health care sub-sectors contributed to relative performance, led by the health care providers & services, biotechnology and pharmaceuticals sub-sectors.

 

 

In healthcare providers & services, the Trust benefited from stock selection in the managed care and healthcare services industries. In the latter group, Amedisys, Inc. and Quest Diagnostics, Inc. reported strong financial results and were leading contributors to performance.

 

In biotechnology, the Trust benefited from the outperformance of Vertex Pharmaceuticals, Inc. and AveXis, Inc., both of which reported positive clinical developments. An underweight in Gilead Sciences, Inc., which was hampered by mixed financial results, and the lack of a position in Alexion Pharmaceuticals, Inc., which was pressured by an investigation into its sales practices, also aided performance.

 

 

Jazz Pharmaceuticals PLC — which was boosted by positive clinical results — was a top contributor in the pharmaceuticals industry. A position in AstraZeneca PLC and an underweight in Pfizer, Inc. also aided the Trust’s return in this sub-sector.

 

 

The health care equipment industry was the key source of outperformance in the medical devices area. Several holdings generated positive returns thanks to their solid earnings, including C.R. Bard, Inc. (which was bid for by Becton Dickinson & Co.), Baxter International, Inc., Intuitive Surgical, Inc., Masimo Corp. and Boston Scientific Corp.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. This strategy detracted from performance given the double-digit absolute return for health care stocks during the six-month period. The Trust also owned private securities during the time period, although this is not a principal strategy.

Describe recent portfolio activity.

 

 

The Trust increased its allocation in the medical devices & supplies sub-sector, while slightly reducing its weightings in the health care providers & services and pharmaceutical sub-sectors.

Describe portfolio positioning at period end.

 

 

The Trust continued to employ a bottom-up, fundamental investment process in an effort to construct a balanced, diversified portfolio of health care stocks.

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
16    SEMI-ANNUAL REPORT    JUNE 30, 2017   


     BlackRock Health Sciences Trust

 

Market Price and Net Asset Value Per Share Summary

 

    

6/30/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 36.65      $ 31.75        15.43    $ 36.73      $ 31.75  

Net Asset Value

  $ 35.26      $ 31.30        12.65    $ 35.72      $ 31.30  

 

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Ten Largest Holdings   

6/30/17

 

UnitedHealth Group, Inc.

     8

Medtronic PLC

     5  

Celgene Corp

     4  

Amgen, Inc.

     3  

Boston Scientific Corp.

     3  

Stryker Corp.

     3  

Anthem, Inc.

     3  

Humana, Inc.

     3  

Allergan PLC

     3  

Johnson & Johnson

     3  

 

  *   Excludes option positions and money market funds.
Industry Allocation    6/30/17    

12/31/16

 

Health Care Providers & Services

     28     30

Health Care Equipment & Supplies

     25       21  

Biotechnology

     24       24  

Pharmaceuticals

     21       23  

Life Sciences Tools & Services

     2       1  

Diversified Consumer Services

           1  

 

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

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    17


Trust Summary as of June 30, 2017    BlackRock Resources & Commodities Strategy Trust

 

Trust Overview

BlackRock Resources & Commodities Strategy Trust’s (BCX) (the “Trust”) primary investment objective is to seek high current income and current gains, with a secondary objective of capital appreciation. The Trust will seek to achieve its investment objectives, under normal market conditions, by investing at least 80% of its total assets in equity securities issued by commodity or natural resources companies, derivatives with exposure to commodity or natural resources companies or investments in securities and derivatives linked to the underlying price movement of commodities or natural resources. While permitted, the Trust does not currently expect to invest in securities and derivatives linked to the underlying price movement of commodities or natural resources. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and utilizing an option overwriting strategy in an effort to seek total return performance and enhance distributions.

No assurance can be given that the Trust’s investment objectives will be achieved.

 

Trust Information

 

Symbol on NYSE

  BCX

Initial Offering Date

  March 30, 2011

Current Distribution Rate on Closing Market Price as of June 30, 2017 ($8.01)1

  7.73%

Current Monthly Distribution per Common Share2

  $0.0516

Current Annualized Distribution per Common Share2

  $0.6192

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended June 30, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BCX1,2

    0.28%        (3.19)%  

Lipper Natural Resources Funds3

    (2.89)%        (7.32)%  

 

  1   

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 

  2   

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3  

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

 

 

Despite gains for the broader world equity markets, natural resources stocks generally lost ground in the first half of 2017. The downturn largely stemmed from the weakness in energy stocks, which lagged as an unfavorable balance of supply and demand put significant downward pressure on oil prices. In this environment, the Trust produced a negative absolute return at net asset value in the six-month period.

 

 

At a time of weak returns for the broader natural resources sector, only certain stocks contributed positively to the Trust’s absolute performance. A position in Packaging Corp of America, which was boosted by an improving demand outlook for U.S. packaging — as demonstrated by increasing utilization rates across the industry — made the largest

   

contribution at the individual stock level. The Trust’s position in the agriculture science company Monsanto Co. also performed well. Monsanto was bid for in 2016 by the German pharmaceutical company Bayer AG, and its share price subsequently increased toward the bid price as the market grew more confident the deal would receive regulatory approval.

 

 

The Trust’s position in energy stocks was the most significant drag on absolute performance. The oil & gas exploration & production companies Anadarko Petroleum Corp., Cimarex Energy Co. and Devon Energy Corp. were the largest detractors. Anadarko’s stock price was also hurt by the company’s possible link to two operational incidents that involved fatalities.

 

 

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The option overlay strategy had a positive impact on results at a time of weakness in the overall sector.

Describe recent portfolio activity.

 

 

The investment adviser sought to capitalize on the downturn in the energy sector by modestly increasing the Trust’s exposure to higher-quality exploration & production companies. The Trust also initiated a position in the diversified mining company BHP Billiton Ltd. on the belief that the company can generate cash and de-lever its balance sheet with iron ore prices in their current range.

Describe portfolio positioning at period end.

 

 

The energy sector represented the Trust’s largest allocation, followed by mining and agriculture, respectively.

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
18    SEMI-ANNUAL REPORT    JUNE 30, 2017   


     BlackRock Resources & Commodities Strategy Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

    

6/30/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 8.01      $ 8.27        (3.14 )%     $ 8.99      $ 7.76  

Net Asset Value

  $ 9.22      $ 9.86        (6.49 )%     $ 10.50      $ 9.00  

 

Market Price and Net Asset Value History For Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Ten Largest Holdings   6/30/17  

Royal Dutch Shell PLC, A Shares — ADR

    6

BP PLC — ADR

    5  

Monsanto Co.

    5  

Glencore PLC

    5  

Rio Tinto PLC — ADR

    4  

BHP Billiton PLC

    3  

Exxon Mobil Corp.

    3  

Newcrest Mining Ltd.

    3  

Packaging Corp. of America

    3  

Chevron Corp.

    3  

 

  *   Excludes option positions and money market funds.
Industry Allocation   6/30/17     

12/31/16

 

Oil, Gas & Consumable Fuels

    36      34

Metals & Mining

    34        30  

Chemicals

    14        18  

Food Products

    5        5  

Energy Equipment & Services

    4        3  

Containers & Packaging

    3        6  

Real Estate Investment Trusts (REITs)

    2         

Paper & Forest Products

    1        1  

Machinery

    1         

Food & Staples Retailing

           2  

Other

           1 1  

 

  1   

Other includes less than 1% in each of the following industries: Building Products, Electric Utilities, Electrical Equipment, Electronic Equipment, Independent Power and Renewable Electricity Producers, Instruments & Components, Machinery, Multi-Utilities, Real Estate Investment Trusts (REITs), Semiconductors & Semiconductor Equipment and Water Utilities.

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

 

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    19


Trust Summary as of June 30, 2017    BlackRock Science and Technology Trust

 

Trust Overview

BlackRock Science and Technology Trust’s (BST) (the “Trust”) investment objective is to provide income and total return through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities of science and technology companies. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and utilizing an option over-writing strategy in an effort to seek total return performance and enhance distributions.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information

 

Symbol on NYSE

  BST

Initial Offering Date

  October 30, 2014

Current Distribution Rate on Closing Market Price as of June 30, 2017 ($22.21)1

  5.40%

Current Monthly Distribution per Common Share2

  $0.1000

Current Annualized Distribution per Common Share2

  $1.2000

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 

  2   

The monthly distribution per Common Share, declared on July 3, 2017, was increased to $0.1100 per share. The current distribution rate on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended June 30, 2017 were as follows:

 

    Returns Based On  
     Market Price     Net Asset Value  

BST1,2

    27.34%       22.88%  

MSCI World Information Technology Index

    N/A       17.71%  

 

  1   

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 

  2  

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

 

 

Within software & services, the Trust’s positions in the internet software companies Alibaba Group Holding Ltd. and Tencent Holdings Ltd. led contributors for the period. Both operate as e-commerce companies in China, and benefited from strong earnings reports.

 

 

Conversely, the Trust’s position in Jasper Infotech Private Ltd., a private Indian e-commerce company, led detractors for the period, as the company’s valuation was negatively impacted by a more competitive business environment and challenged funding terms. Within the internet & direct marketing retail sub-industry, shares of NetShoes, a

 

Brazilian online retailer of sporting goods, also meaningfully detracted following the company’s initial public stock offering amid heightened political turmoil in the region.

 

 

During the period, the Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The Trust’s options writing strategy detracted from returns.

Describe recent portfolio activity.

 

 

The Trust added to positions in the technology hardware & equipment sub-sector, and reduced its holdings in the real estate and consumer durables & apparel sub-sectors. Regionally, the Trust added to positions in the emerging markets, funded by reductions within Europe, the Pacific Basin and North America.

Describe portfolio positioning at period end.

 

 

The Trust held its largest allocation within the software & services industry group, particularly idiosyncratic opportunities within the internet software & services and application software sub-industries. The Trust also held large allocations in more stable cash flow businesses within the semiconductor & semiconductor equipment and technology hardware & equipment industries segments. Regionally, the Trust maintained most of its exposure in North America, followed by notable weights to the emerging markets and Europe.

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
20    SEMI-ANNUAL REPORT    JUNE 30, 2017   


     BlackRock Science and Technology Trust

 

Market Price and Net Asset Value Per Share Summary

 

    

6/30/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 22.21      $ 17.94        23.80    $ 23.67      $ 17.94  

Net Asset Value

  $ 24.01      $ 20.10        19.45    $ 25.01      $ 20.10  

 

Market Price and Net Asset Value History Since Inception

 

LOGO

 

  1 

Commencement of operations.

 

Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    6/30/17

Alphabet, Inc., Class A

       6 %

Apple, Inc.

       6

Microsoft Corp.

       5

Tencent Holdings Ltd.

       5

Amazon.com, Inc.

       5

Facebook, Inc., Class A

       4

Alibaba Group Holding Ltd. — ADR

       4

Broadcom Ltd.

       3

Visa, Inc., A Shares

       2

Mastercard, Inc., Class A

       2

 

  *   Excludes option positions and money market funds.
Industry Allocation   6/30/17     

12/31/16

 

Internet Software & Services

    23      23

Software

    21        21  

Semiconductors & Semiconductor Equipment

    20        19  

Internet & Direct Marketing Retail

    11        7  

Technology Hardware, Storage & Peripherals

    9        7  

IT Services

    8        11  

Real Estate Investment Trusts (REITs)

    3         

Electronic Equipment, Instruments & Components

    2        2  

Media

    2        2  

Communications Equipment

    1         

Equity Real Estate Investment Trusts (REITs)

           4  

Diversified Telecommunication Services

           1  

Other

           3 1  

 

  1   

Other includes a 1% holding or less in each of the following industries; Communications Equipment, Hotels, Restaurants & Leisure, Professional Services, Household Durables and Wireless Telecommunication Services.

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

 

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    21


Trust Summary as of June 30, 2017    BlackRock Utility and Infrastructure Trust

 

Trust Overview

BlackRock Utility and Infrastructure Trust’s (BUI) (the “Trust”) investment objective is to provide total return through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing primarily in equity securities issued by companies that are engaged in the Utilities and Infrastructure business segments anywhere in the world and by utilizing an option writing (selling) strategy in an effort to seek total return performance and enhance distributions. The Trust considers the “Utilities” business segment to include products, technologies and services connected to the management, ownership, operation, construction, development or financing of facilities used to generate, transmit or distribute electricity, water, natural resources or telecommunications and the “Infrastructure” business segment to include companies that own or operate infrastructure assets or that are involved in the development, construction, distribution or financing of infrastructure assets. Under normal circumstances, the Trust invests a substantial amount of its total assets in foreign issuers, issuers that primarily trade in a market located outside the United States or issuers that do a substantial amount of business outside the United States. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information

 

Symbol on NYSE

  BUI

Initial Offering Date

  November 25, 2011

Current Distribution Rate on Closing Market Price as of June 30, 2017 ($20.55)1

  7.07%

Current Monthly Distribution per Common Share2

  $0.1210

Current Annualized Distribution per Common Share2

  $1.4520

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. See the Financial Highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 

  2   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended June 30, 2017 were as follows:

 

    Returns Based On  
     Market Price      Net Asset Value  

BUI1,2

    15.67%        10.51%  

Lipper Utility Funds3

    17.89%        10.24%  

 

  1   

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 

  2  

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

 

 

The largest contributor to absolute return was the Trust’s stock selection in utilities. Utilities performed strongly during the period, as investors continued to seek higher-yielding equities. From an industry standpoint, stock selection in electric utilities and independent power & renewable electricity producers were the most noteworthy contributors to performance. Within the electric utilities industry, the Trust’s performance benefitted from its lack of exposure to Southern Co., as well as from overweight positions in NextEra Energy, Inc. and Italian utility operator Enel SpA.

 

 

The largest detractor from absolute returns was the Trust’s overweight position in the energy sector, which has been negatively impacted by

   

weak crude oil prices. The Trust’s stock selection in the oil, gas, & consumable fuels industry detracted from performance, especially among midstream master limited partnerships Plains All American Pipeline, L.P., Energy Transfer Partners, L.P., and Dominion Energy Midstream Partners, LP. Also detracting from the Trust’s return was an underweight position in the industrials sector, particularly among transportation infrastructure industry stocks including airport services providers Aena, S.A. in Spain and Grupo Aeroportuario del Sureste, S.A.B. de C.V. in Mexico.

 

 

Also, during the period, the Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The Trust’s option writing strategy detracted from performance during the period.

Describe recent portfolio activity.

 

 

During the period, the Trust made few changes to its sector and industry allocations. In terms of individual positions, notable changes included adding to existing positions in Enel SpA and FirstEnergy Corp., while exiting the Trust’s position in Spanish renewable electricity company EDP Renovaveis S.A. and trimming exposure to multi-utility provider CMS Energy Corp.

Describe portfolio positioning at period end.

 

 

The utilities sector accounted for approximately 63% of the Trust’s assets, with holdings concentrated in U.S. electric and multi-utilities. Against a backdrop of historically low interest rates, the demand for equity yield has led to valuations for U.S. utilities that are high relative to their historical

 

 

                
22    SEMI-ANNUAL REPORT    JUNE 30, 2017   


     BlackRock Utility and Infrastructure Trust

 

 

Performance and Portfolio Management Commentary (concluded)

 

 

levels, placing even greater importance on stock selection. As such, the Trust was focused on owning companies with strong management teams that offer the potential for above-sector growth in earnings and dividends.

   

The Trust had a preference for regulated utilities over their non-regulated counterparts given their existing barriers to entry, strong balance sheets, and lower sensitivity to commodity prices.

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

Market Price and Net Asset Value Per Share Summary

 

    

6/30/17

    

12/31/16

     Change      High      Low  

Market Price

  $ 20.55      $ 18.41        11.62    $ 21.40      $ 18.36  

Net Asset Value

  $ 20.71      $ 19.42        6.64    $ 21.24      $ 19.42  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Ten Largest Holdings    6/30/17

NextEra Energy, Inc.

       9 %

Dominion Resources, Inc.

       5

Enel SpA

       5

Atlantia SpA

       4

NextEra Energy Partners LP

       4

National Grid PLC

       4

Duke Energy Corp.

       3

Exelon Corp.

       3

Public Service Enterprise Group, Inc.

       3

Transurban Group

       3

 

  *   Excludes option positions and money market funds.
Industry Allocation   

6/30/17

 

12/31/16

Electric Utilities

       32 %       28 %

Multi-Utilities

       22       22

Transportation Infrastructure

       16       14

Oil, Gas & Consumable Fuels

       15       20

Independent Power and Renewable Electricity Producers

       6       4

Construction & Engineering

       3       3

Gas Utilities

       2       1

Water Utilities

       2       2

Real Estate Investment Trusts (REITs)

       2       3

Diversified Telecommunication Services

             2

Other

             1 1

 

  1   

Other includes a 1% holding or less in each of the following industries: Road & Rail and Wireless Telecommunication Services.

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

 

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    23


Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the

transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

                
24    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments June 30, 2017 (Unaudited)

  

BlackRock Energy and Resources Trust (BGR)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares     Value  
Energy Equipment & Services — 11.3%  

Baker Hughes, Inc. (a)

     253,400     $ 13,812,834  

Halliburton Co. (a)

     312,600       13,351,146  

Precision Drilling Corp. (b)

     849,830       2,903,105  

Schlumberger Ltd. (a)

     187,224       12,326,828  

Superior Energy Services, Inc. (a)(b)

     517,100       5,393,353  
    

 

 

 
               47,787,266  
Oil, Gas & Consumable Fuels — 87.9%  

Anadarko Petroleum Corp. (a)

     308,783       14,000,221  

BP PLC

     4,732,250       27,315,359  

Cabot Oil & Gas Corp. (a)

     283,900       7,120,212  

Cairn Energy PLC (b)

     1,810,176       4,064,182  

Canadian Natural Resources Ltd.

     428,484       12,364,182  

Chevron Corp. (a)(c)

     229,800       23,975,034  

Cimarex Energy Co.

     118,900       11,177,789  

ConocoPhillips (a)

     493,050       21,674,478  

Devon Energy Corp. (a)

     311,050       9,944,268  

Enbridge, Inc.

     206,450       8,224,250  

Encana Corp.

     1,141,000       10,039,181  

Eni SpA

     533,450       8,016,613  

EOG Resources, Inc. (a)

     247,900       22,439,908  

EQT Corp. (a)

     115,900       6,790,581  

Exxon Mobil Corp. (a)

     531,800       42,932,214  

Hess Corp. (a)

     205,150       8,999,931  

International Petroleum Corp. (b)

     48,925       145,183  

Kosmos Energy Ltd. (b)

     721,207       4,622,937  

Marathon Oil Corp. (a)

     706,300       8,369,655  

Noble Energy, Inc. (a)(c)

     287,292       8,130,364  

Oil Search Ltd.

     1,085,763       5,685,688  

Phillips 66 (a)

     56,700       4,688,523  

Pioneer Natural Resources Co. (a)

     94,550       15,088,289  
Common Stocks    Shares     Value  
Oil, Gas & Consumable Fuels (continued)  

Royal Dutch Shell PLC — ADR, Class A (a)

     698,200     $ 37,137,258  

Royal Dutch Shell PLC, Class A

     511,048       13,577,881  

Tesoro Corp. (a)

     82,050       7,679,880  

TransCanada Corp.

     324,450       15,466,918  

Valero Energy Corp. (a)

     156,200       10,537,252  
    

 

 

 
               370,208,231  
Total Long-Term Investments
(Cost — $437,491,469) — 99.2%
             417,995,497  
    
                  
Short-Term Securities  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.84% (d)(e)

     6,214,460       6,214,460  

Total Short-Term Securities

(Cost — $6,214,460) — 1.5%

 

 

    6,214,460  

Total Investments Before Options Written

(Cost — $443,705,929) — 100.7%

 

 

    424,209,957  
    
                  
Options Written
(Premiums Received — $3,341,898) — (0.5)%
      (2,193,235

Total Investments, Net of Options Written

(Cost — $440,364,031) — 100.2%

 

 

    422,016,722  

Liabilities in Excess of Other Assets — (0.2)%

 

    (872,218
    

 

 

 

Net Assets — 100.0%

 

  $ 421,144,504  
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

(b)   Non-income producing security.

 

(c)   All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(d)   Current yield as of period end.

 

(e)   During the period ended June 30, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
December 31, 2016
     Net
Activity
     Shares
Held at
June 30, 2017
   

Value at
June 30,

2017

     Income      Net Realized
Gain
     Change in
Unrealized
Appreciation
(Depreciation)
        

BlackRock Liquidity Funds, T-Fund, Institutional Class

     3,936,617        2,277,843        6,214,460     $ 6,214,460      $ 16,781                  

SL Liquidity Series, LLC, Money Market Series

                                22,641 1                       

Total

           $ 6,214,460      $ 39,422                  
          

 

 

 

1   Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

    

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

 

Portfolio Abbreviations

 

ADR    American Depositary Receipts
AUD    Australian Dollar
CAD    Canadian Dollar
CHF    Swiss Franc
EUR    Euro
GBP    British Pound
GDR    Global Depositary Receipt
HKD    Hong Kong Dollar
JPY    Japanese Yen
KRW    Korean Won
NOK    Norwegian Krone
NZD    New Zealand Dollar
OTC    Over-the-Counter
SEK    Swedish Krona
TWD    Taiwan Dollar
USD    U.S. Dollar
ZAR    South African Rand
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    25


Schedule of Investments (continued)

  

BlackRock Energy and Resources Trust (BGR)

 

 

Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

Marathon Oil Corp.

  Call      7/06/17      USD     15.50          58     $  

Anadarko Petroleum Corp.

  Call      7/07/17      USD     53.50          176       (704

Baker Hughes, Inc.

  Call      7/07/17      USD     56.00          102       (6,630

Cabot Oil & Gas Corp.

  Call      7/07/17      USD     23.00          548       (117,820

Chevron Corp.

  Call      7/07/17      USD     107.00          218       (981

ConocoPhillips

  Call      7/07/17      USD     46.00          159       (477

Devon Energy Corp.

  Call      7/07/17      USD     37.50          21       (84

EOG Resources, Inc.

  Call      7/07/17      USD     94.00          43       (430

Exxon Mobil Corp.

  Call      7/07/17      USD     82.00          129       (1,290

Marathon Oil Corp.

  Call      7/07/17      USD     14.00          244       (488

Pioneer Natural Resources Co.

  Call      7/07/17      USD     172.50          45       (3,600

Royal Dutch Shell PLC — ADR, Class A

  Call      7/07/17      USD     55.95          514       (240

Schlumberger Ltd.

  Call      7/07/17      USD     70.00          86       (172

Valero Energy Corp.

  Call      7/07/17      USD     67.00          32       (2,816

Chevron Corp.

  Call      7/13/17      USD     107.50          218       (4,121

Anadarko Petroleum Corp.

  Call      7/14/17      USD     52.50          208       (832

Baker Hughes, Inc.

  Call      7/14/17      USD     56.00          198       (7,920

Devon Energy Corp.

  Call      7/14/17      USD     35.00          52       (416

EOG Resources, Inc.

  Call      7/14/17      USD     91.50          103       (10,867

Exxon Mobil Corp.

  Call      7/14/17      USD     81.00          378       (24,570

Hess Corp.

  Call      7/14/17      USD     46.00          203       (6,800

Pioneer Natural Resources Co.

  Call      7/14/17      USD     170.00          177       (7,522

Valero Energy Corp.

  Call      7/14/17      USD     66.00          130       (25,220

Baker Hughes, Inc.

  Call      7/21/17      USD     56.25          102       (6,736

Canadian Natural Resources Ltd.

  Call      7/21/17      CAD     38.00          367       (16,414

ConocoPhillips

  Call      7/21/17      USD     46.00          290       (7,830

Devon Energy Corp.

  Call      7/21/17      USD     33.00          86       (4,988

Encana Corp.

  Call      7/21/17      CAD     13.00          994       (6,132

Encana Corp.

  Call      7/21/17      CAD     15.00          290       (1,118

EOG Resources, Inc.

  Call      7/21/17      USD     97.50          21       (357

EQT Corp.

  Call      7/21/17      USD     55.00          202       (86,860

Exxon Mobil Corp.

  Call      7/21/17      USD     80.00          342       (50,445

Exxon Mobil Corp.

  Call      7/21/17      USD     85.00          216       (1,188

Halliburton Co.

  Call      7/21/17      USD     43.50          142       (9,727

Halliburton Co.

  Call      7/21/17      USD     48.00          245       (857

Hess Corp.

  Call      7/21/17      USD     52.50          288       (576

Noble Energy, Inc.

  Call      7/21/17      USD     30.00          580       (11,600

Precision Drilling Corp.

  Call      7/21/17      CAD     6.00          520       (2,005

Royal Dutch Shell PLC — ADR, Class A

  Call      7/21/17      USD     55.95          514       (4,210

Schlumberger Ltd.

  Call      7/21/17      USD     72.50          135       (877

Tesoro Corp.

  Call      7/21/17      USD     90.00          87       (38,715

TransCanada Corp.

  Call      7/21/17      CAD     64.00          240       (1,758

Valero Energy Corp.

  Call      7/21/17      USD     65.00          197       (58,411

Valero Energy Corp.

  Call      7/21/17      USD     67.50          33       (4,026

Exxon Mobil Corp.

  Call      7/25/17      USD     83.25          192       (4,596

Baker Hughes, Inc.

  Call      7/28/17      USD     57.00          101       (22,422

Cabot Oil & Gas Corp.

  Call      7/28/17      USD     23.00          220       (53,350

Canadian Natural Resources Ltd.

  Call      7/28/17      CAD     38.00          765       (44,244

Chevron Corp.

  Call      7/28/17      USD     108.00          185       (11,008

Devon Energy Corp.

  Call      7/28/17      USD     33.00          265       (20,008

EOG Resources, Inc.

  Call      7/28/17      USD     92.00          178       (27,590

Exxon Mobil Corp.

  Call      7/28/17      USD     82.50          200       (12,000

Halliburton Co.

  Call      7/28/17      USD     44.00          143       (11,583

Marathon Oil Corp.

  Call      7/28/17      USD     13.00          502       (7,028

Pioneer Natural Resources Co.

  Call      7/28/17      USD     167.50          47       (8,812

Schlumberger Ltd.

  Call      7/28/17      USD     70.00          189       (6,048

Valero Energy Corp.

  Call      7/28/17      USD     65.50          65       (18,850

Royal Dutch Shell PLC — ADR, Class A

  Call      8/01/17      USD     55.50          1,415       (31,683

Anadarko Petroleum Corp.

  Call      8/04/17      USD     47.50          233       (21,320

Baker Hughes, Inc.

  Call      8/04/17      USD     55.00          165       (23,100

Chevron Corp.

  Call      8/04/17      USD     107.00          183       (20,039

Devon Energy Corp.

  Call      8/04/17      USD     31.00          49       (9,947

 

See Notes to Financial Statements.      
                
26    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Energy and Resources Trust (BGR)

 

Exchange-Traded Options Written (continued)  
Description   Put/
Call
       Expiration
Date
       Strike
Price
       Contracts     Value  

EOG Resources, Inc.

    Call          8/04/17          USD       89.00          522     $ (194,445

Marathon Oil Corp.

    Call          8/04/17          USD       12.00          913       (49,759

Tesoro Corp.

    Call          8/04/17          USD       94.50          113       (28,476

Valero Energy Corp.

    Call          8/04/17          USD       68.50          89       (12,327

Anadarko Petroleum Corp.

    Call          8/11/17          USD       46.50          310       (44,330

Cabot Oil & Gas Corp.

    Call          8/11/17          USD       26.00          225       (19,800

ConocoPhillips

    Call          8/11/17          USD       45.00          319       (30,305

Halliburton Co.

    Call          8/11/17          USD       43.00          244       (36,600

Hess Corp.

    Call          8/11/17          USD       43.50          227       (53,118

Phillips 66

    Call          8/11/17          USD       82.50          198       (43,560

Schlumberger Ltd.

    Call          8/11/17          USD       67.50          176       (21,648

Exxon Mobil Corp.

    Call          8/14/17          USD       83.00          254       (13,836

Halliburton Co.

    Call          8/16/17          USD       46.10          320       (16,597

Anadarko Petroleum Corp.

    Call          8/18/17          USD       50.00          153       (8,491

Baker Hughes, Inc.

    Call          8/18/17          USD       55.00          218       (40,330

Canadian Natural Resources Ltd.

    Call          8/18/17          CAD       38.00          367       (32,829

ConocoPhillips

    Call          8/18/17          USD       45.00          320       (33,920

ConocoPhillips

    Call          8/18/17          USD       47.00          290       (14,065

Devon Energy Corp.

    Call          8/18/17          USD       33.00          615       (77,490

Enbridge, Inc.

    Call          8/18/17          CAD       54.00          250       (5,783

Exxon Mobil Corp.

    Call          8/18/17          USD       85.00          150       (3,975

Marathon Oil Corp.

    Call          8/18/17          USD       13.00          332       (9,628

Noble Energy, Inc.

    Call          8/18/17          USD       30.00          425       (23,375

Pioneer Natural Resources Co.

    Call          8/18/17          USD       170.00          60       (18,750

Schlumberger Ltd.

    Call          8/18/17          USD       70.00          69       (4,243

Tesoro Corp.

    Call          8/18/17          USD       95.00          87       (24,795

ConocoPhillips

    Call          8/30/17          USD       47.60          347       (17,711

Superior Energy Services, Inc.

    Call          9/15/17          USD       10.00          220       (34,650

Total

                     $ (1,807,294
                    

 

 

 

 

OTC Options Written                                      
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
   

Contracts

    Value  

BP PLC

  Call   Credit Suisse International     07/06/17       GBP       4.75       450,000     $ (434

Royal Dutch Shell PLC — ADR, Class A

  Call   Citibank N.A.     07/06/17       GBP       21.26       138,900       (1,592

Encana Corp.

  Call   Deutsche Bank AG     07/07/17       CAD       16.05       17,900       (1

EQT Corp.

  Call   Credit Suisse International     07/07/17       USD       60.07       20,300       (8,360

Cimarex Energy Co.

  Call   UBS AG     07/10/17       USD       119.70       4,300        

Superior Energy Services, Inc.

  Call   UBS AG     07/10/17       USD       12.61       20,000       (518

Oil Search Ltd.

  Call   Deutsche Bank AG     07/18/17       AUD       7.19       100,000       (3,217

BP PLC

  Call   Credit Suisse International     07/19/17       GBP       4.69       180,800       (2,006

Enbridge, Inc.

  Call   Citibank N.A.     07/19/17       CAD       53.16       22,200       (3,376

Eni SpA

  Call   Credit Suisse International     07/19/17       EUR       14.06       87,000       (1,576

Royal Dutch Shell PLC — ADR, Class A

  Call   Goldman Sachs International     07/26/17       GBP       20.95       40,000       (8,127

BP PLC

  Call   Credit Suisse International     07/27/17       GBP       4.73       363,000       (7,241

TransCanada Corp.

  Call   Morgan Stanley & Co. International PLC     07/31/17       CAD       63.99       46,500       (30,270

Superior Energy Services, Inc.

  Call   Royal Bank of Canada     08/02/17       USD       10.84       27,600       (19,572

BP PLC

  Call   Credit Suisse International     08/04/17       GBP       4.75       363,000       (9,618

Eni SpA

  Call   Goldman Sachs International     08/04/17       EUR       14.34       12,800       (425

Oil Search Ltd.

  Call   Deutsche Bank AG     08/04/17       AUD       7.08       215,000       (20,417

Cimarex Energy Co.

  Call   Goldman Sachs International     08/07/17       USD       98.61       15,500       (26,560

Encana Corp.

  Call   Citibank N.A.     08/08/17       CAD       11.49       39,000       (19,144

Encana Corp.

  Call   Morgan Stanley & Co. International PLC     08/08/17       CAD       13.81       62,000       (6,724

BP PLC

  Call   Goldman Sachs International     08/09/17       GBP       4.54       299,500       (26,643

Eni SpA

  Call   Morgan Stanley & Co. International PLC     08/09/17       EUR       13.80       87,000       (11,543

Superior Energy Services, Inc.

  Call   UBS AG     08/09/17       USD       10.80       39,600       (34,751

TransCanada Corp.

  Call   Citibank N.A.     08/15/17       CAD       63.48       43,000       (13,804

Superior Energy Services, Inc.

  Call   Goldman Sachs International     08/16/17       USD       10.90       27,500       (23,590

Encana Corp.

  Call   Citibank N.A.     08/22/17       CAD       12.04       32,500       (12,412

Encana Corp.

  Call   Royal Bank of Canada     08/22/17       CAD       11.33       42,000       (26,602

Cimarex Energy Co.

  Call   Goldman Sachs International     08/23/17       USD       98.61       15,500       (35,478

Enbridge, Inc.

  Call   Goldman Sachs International     08/31/17       CAD       54.10       25,000       (6,405

Encana Corp.

  Call   Royal Bank of Canada     09/06/17       CAD       11.89       47,600       (25,535

Total

              $ (385,941
             

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    27


Schedule of Investments (continued)

  

BlackRock Energy and Resources Trust (BGR)

 

 

Transactions in Options Written for the Period Ended June 30, 2017

 

    Calls  
    

Contracts

       Premiums
Received
 

Outstanding options, beginning of period

      3,570,352        $ 4,804,608  

Options written

      12,778,126          13,413,684  

Options exercised

                

Options expired

      (8,735,561        (6,859,698

Options closed

      (4,705,074        (8,016,696
   

 

 

 

Outstanding options, end of period

      2,907,843        $ 3,341,898  
   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $140,124,445.

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Options written

   Options written, at value               $ 2,193,235                       $ 2,193,235  
                
For the six month ended June 30, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:  
                
Net Realized Gain (Loss) from:                                                       

Options written

              $ 9,048,883                       $ 9,048,883  
Net Change in Unrealized Appreciation on:                                                 

Options written

              $ 2,496,409                       $ 2,496,409  

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:  

Average value of option contracts written

  $ 2,447,757  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) are as follows:

 

Derivative Financial Instruments   Assets        Liabilities  

Options

           $ 2,193,235  
 

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

           $ (1,807,294
 

 

 

 

Total derivative assets and liabilities subject to an MNA

           $ 385,941  
 

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of the related collateral received by the Trust:

 

Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged1
       Cash
Collateral
Pledged
       Net Amount of
Derivative
Liabilities2
               

Citibank N.A.

  $ 50,328                 $ (50,328                      

Credit Suisse International

    29,235                                   $ 29,235      

Deutsche Bank AG

    23,635                                     23,635      

Goldman Sachs International

    127,228                                     127,228      

Morgan Stanley & Co. International PLC

    48,537                   (48,537                      

Royal Bank of Canada

    71,709                                     71,709      

UBS AG

    35,269                                     35,269      
 

 

 

   

Total

  $ 385,941                 $ (98,865               $ 287,076      
 

 

 

   

1    Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

2    Net amount represents the net amount payable due to the counterparty in the event of default. Net Amount may be offset further by net options written receivable/payable on the Statements of Assets and Liabilities.

 

See Notes to Financial Statements.      
                
28    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (concluded)

  

BlackRock Energy and Resources Trust (BGR)

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1     Level 2     Level 3     Total  

Assets:

       
Investments:        

Long-Term Investments:

       

Energy Equipment & Services

  $ 47,787,266                 $ 47,787,266  

Oil, Gas & Consumable Fuels

    311,548,508     $ 58,659,723             370,208,231  

Short-Term Securities

    6,214,460                   6,214,460  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 365,550,234     $ 58,659,723           $ 424,209,957  
 

 

 

   

 

 

   

 

 

   

 

 

 
       
Derivative Financial Instruments1                                

Liabilities:

       

Equity contracts

  $ (1,706,445   $ (486,790         $ (2,193,235

1  Derivative financial instruments are options written, which are shown at value.

   

During the six months ended June 30, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    29


Schedule of Investments June 30, 2017 (Unaudited)

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares     Value  
Airlines — 1.9%             

Delta Air Lines, Inc. (a)(b)

     232,835     $ 12,512,553  

Southwest Airlines Co. (a)

     14,810       920,293  
    

 

 

 
               13,432,846  
Auto Components — 2.4%             

Goodyear Tire & Rubber Co. (a)

     270,397       9,453,079  

Lear Corp. (a)

     50,102       7,118,492  
    

 

 

 
               16,571,571  
Banks — 12.3%             

Bank of America Corp. (a)(b)

     842,001       20,426,944  

Citigroup, Inc. (a)

     91,993       6,152,492  

JPMorgan Chase & Co. (a)(b)

     305,724       27,943,174  

Regions Financial Corp. (a)

     310,429       4,544,681  

SunTrust Banks, Inc. (a)

     218,766       12,408,407  

U.S. Bancorp (a)

     288,037       14,954,881  
    

 

 

 
               86,430,579  
Biotechnology — 4.1%             

Biogen, Inc. (a)(c)

     54,407       14,763,884  

Gilead Sciences, Inc. (a)

     201,321       14,249,500  
    

 

 

 
               29,013,384  
Capital Markets — 1.9%             

Goldman Sachs Group, Inc. (a)

     60,296       13,379,682  
Chemicals — 2.4%             

Dow Chemical Co. (a)

     267,847       16,893,110  
Communications Equipment — 2.0%             

Cisco Systems, Inc. (a)

     456,067       14,274,897  
Construction & Engineering — 0.4%             

EMCOR Group, Inc. (a)

     38,519       2,518,372  
Consumer Finance — 1.1%             

SLM Corp. (a)(c)

     667,970       7,681,655  
Containers & Packaging — 1.9%             

Avery Dennison Corp. (a)

     49,267       4,353,725  

Packaging Corp. of America (a)

     79,712       8,879,120  
    

 

 

 
               13,232,845  
Diversified Telecommunication Services — 0.2%             

AT&T, Inc. (a)

     37,700       1,422,421  
Electric Utilities — 1.1%             

FirstEnergy Corp. (a)

     273,587       7,977,797  
Electronic Equipment, Instruments &
Components — 2.0%
            

CDW Corp. (a)

     108,840       6,805,765  

Flex Ltd. (a)(c)

     458,631       7,480,272  
    

 

 

 
               14,286,037  
Food & Staples Retailing — 4.1%             

CVS Health Corp. (a)(b)

     138,171       11,117,239  

Wal-Mart Stores, Inc. (a)

     80,756       6,111,614  

Walgreens Boots Alliance, Inc. (a)

     150,485       11,784,480  
    

 

 

 
               29,013,333  
Health Care Equipment & Supplies — 1.2%             

Baxter International, Inc. (a)

     140,986       8,535,293  
Health Care Providers & Services — 7.4%             

Aetna, Inc. (a)

     8,732       1,325,780  

Anthem, Inc. (a)

     18,397       3,461,028  

Centene Corp. (a)(c)

     92,304       7,373,243  

Humana, Inc. (a)

     64,918       15,620,569  

Laboratory Corp. of America Holdings (a)(c)

     37,064       5,713,045  

McKesson Corp. (a)

     18,519       3,047,116  

UnitedHealth Group, Inc. (a)

     83,455       15,474,226  
    

 

 

 
               52,015,007  
Common Stocks    Shares     Value  
Hotels, Restaurants & Leisure — 2.6%             

Carnival Corp. (a)

     275,660     $ 18,075,026  
Household Durables — 2.6%             

D.R. Horton, Inc.

     322,419       11,146,025  

Lennar Corp., Class A (a)

     60,253       3,212,690  

NVR, Inc. (c)

     1,453       3,502,616  
    

 

 

 
               17,861,331  
Insurance — 0.6%             

Hartford Financial Services Group, Inc. (a)

     80,016       4,206,441  
Internet Software & Services — 4.4%             

Alphabet, Inc., Class A (a)(b)(c)

     33,504       31,147,999  
IT Services — 2.7%             

Amdocs Ltd. (a)

     99,436       6,409,645  

Cognizant Technology Solutions Corp., Class A (a)

     186,628       12,392,099  
    

 

 

 
               18,801,744  
Machinery — 2.0%             

Stanley Black & Decker, Inc. (a)

     79,957       11,252,349  

WABCO Holdings, Inc. (a)(c)

     22,204       2,831,232  
    

 

 

 
               14,083,581  
Media — 3.3%             

Comcast Corp., Class A (a)(b)

     589,266       22,934,233  
Metals & Mining — 1.0%             

Rio Tinto PLC, ADR (a)

     157,091       6,646,520  
Multi-Utilities — 0.5%             

Public Service Enterprise Group, Inc.

     88,510       3,806,815  
Oil, Gas & Consumable Fuels — 6.3%             

Anadarko Petroleum Corp. (a)

     35,386       1,604,401  

BP PLC — ADR (a)

     211,505       7,328,648  

Chevron Corp. (a)

     130,394       13,604,006  

Marathon Oil Corp. (a)

     131,595       1,559,401  

Statoil ASA, ADR (a)

     142,350       2,353,046  

Suncor Energy, Inc. (a)

     367,356       10,726,795  

TOTAL SA — ADR (a)

     90,924       4,508,921  

Valero Energy Corp. (a)

     34,800       2,347,608  
    

 

 

 
               44,032,826  
Pharmaceuticals — 3.8%             

Merck & Co., Inc. (a)

     101,505       6,505,455  

Pfizer, Inc. (a)

     591,440       19,866,470  
    

 

 

 
               26,371,925  
Professional Services — 0.8%             

Robert Half International, Inc. (a)

     111,106       5,325,311  
Road & Rail — 2.0%             

Norfolk Southern Corp. (a)

     115,132       14,011,564  
Semiconductors & Semiconductor Equipment — 2.8%             

Intel Corp. (a)(b)

     266,433       8,989,449  

Lam Research Corp. (a)

     56,881       8,044,680  

Qorvo, Inc. (a)(c)

     40,771       2,581,620  
    

 

 

 
               19,615,749  
Software — 7.6%             

Activision Blizzard, Inc. (a)

     199,362       11,477,270  

Dell Technologies, Inc., Class V (a)(c)

     92,419       5,647,725  

Microsoft Corp. (a)

     400,742       27,623,146  

Oracle Corp. (a)

     167,147       8,380,751  
    

 

 

 
               53,128,892  
Specialty Retail — 4.9%             

Home Depot, Inc. (a)(b)

     102,046       15,653,856  

Lowe’s Cos., Inc. (a)(b)

     187,711       14,553,234  

Urban Outfitters, Inc. (a)(c)

     226,753       4,204,001  
    

 

 

 
               34,411,091  
 

 

See Notes to Financial Statements.      
                
30    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

Common Stocks    Shares     Value  
Technology Hardware, Storage & Peripherals — 5.2%             

Apple, Inc. (a)(b)

     251,629     $ 36,239,609  
Tobacco — 1.7%             

Altria Group, Inc. (a)(b)

     162,564       12,106,141  
Total Long-Term Investments
(Cost — $595,730,513) — 101.2%
             709,485,627  
    
                  
Short-Term Securities               

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.84% (d)(e)

     815,956       815,956  
Total Short-Term Securities
(Cost — $815,956) — 0.1%
             815,956  
Total Short-Term Securities — 0.1%              815,956  
Total Investments Before TBA Sale Commitments and Options Written
(Cost — $596,546,469) — 101.3%
             710,301,583  
    
                  
Options Written
(Premiums Received — $7,476,756) — (1.1)%
          (8,011,076)  
Common Stocks           Value  
Total Investments, Net of Options Written
(Cost — $589,069,713) — 100.2%
     $ 702,290,507  

Liabilities in Excess of Other Assets — (0.2)%

       (1,138,914
    

 

 

 

Net Assets — 100.0%

     $ 701,151,593  
    

 

 

 
 
Notes to Schedule of Investments

 

 

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

 

(b)   All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(c)   Non-income producing security.

 

(d)   Current yield as of period end.

 

(e)   During the six months ended June 30, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
December 31, 2016
     Net
Activity
     Shares
Held at
June 30, 2017
    Value at
June 30,
2017
     Income      Net Realized
Gain
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     24,715,046        (23,899,090      815,956     $ 815,956      $ 51,867                

SL Liquidity Series, LLC, Money Market Series.

     695,518        (695,518                   1,191 1            $ (54

Total

           $ 815,956      $ 53,058             $ (54
          

 

 

    

 

 

    

 

 

    

 

 

 

1    Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

     

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

 

Derivative Financial Instruments Outstanding as of Period End  
Exchange-Traded Options Written                                       
Description   Put/
Call
     Expiration
Date
     Strike
Price
      

Contracts

    Value  

Lam Research Corp.

  Call      7/05/17      USD     150.01          299     $ (2,595

JPMorgan Chase & Co.

  Call      7/06/17      USD     87.50          188       (65,199

Marathon Oil Corp.

  Call      7/06/17      USD     15.50          14        

Alphabet, Inc., Class A

  Call      7/07/17      USD     1,010.00          28       (280

Anadarko Petroleum Corp.

  Call      7/07/17      USD     53.50          52       (208

Anthem, Inc.

  Call      7/07/17      USD     182.50          37       (21,183

Bank of America Corp.

  Call      7/07/17      USD     24.00          606       (25,755

Bank of America Corp.

  Call      7/07/17      USD     24.25          375       (12,433

BP PLC — ADR

  Call      7/07/17      USD     36.00          91       (182

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    31


Schedule of Investments (continued)

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

Exchange-Traded Options Written (continued)                                       
Description   Put/
Call
     Expiration
Date
     Strike
Price
      

Contracts

    Value  

Chevron Corp.

  Call      7/07/17      USD     107.00          130     $ (585

Cisco Systems, Inc.

  Call      7/07/17      USD     32.00          308       (616

Citigroup, Inc.

  Call      7/07/17      USD     61.00          37       (22,478

Citigroup, Inc.

  Call      7/07/17      USD     61.50          24       (13,080

D.R. Horton, Inc.

  Call      7/07/17      USD     33.50          435       (54,158

Flex Ltd.

  Call      7/07/17      USD     17.50          475       (17,100

Goldman Sachs Group, Inc.

  Call      7/07/17      USD     225.00          148       (11,026

Goodyear Tire & Rubber Co.

  Call      7/07/17      USD     32.50          210       (52,500

Humana, Inc.

  Call      7/07/17      USD     235.00          63       (41,895

Intel Corp.

  Call      7/07/17      USD     36.50          221       (442

Marathon Oil Corp.

  Call      7/07/17      USD     14.00          69       (138

Merck & Co., Inc.

  Call      7/07/17      USD     64.50          147       (4,483

Suncor Energy, Inc.

  Call      7/07/17      USD     31.50          55       (1,925

U.S. Bancorp

  Call      7/07/17      USD     53.00          572       (4,004

UnitedHealth Group, Inc.

  Call      7/07/17      USD     177.50          38       (30,685

Valero Energy Corp.

  Call      7/07/17      USD     67.00          14       (1,232

Walgreens Boots Alliance, Inc.

  Call      7/07/17      USD     81.00          259       (1,813

Lennar Corp., Class A

  Call      7/10/17      USD     52.10          151       (25,079

Bank of America Corp.

  Call      7/11/17      USD     24.25          188       (7,804

Chevron Corp.

  Call      7/13/17      USD     107.50          130       (2,457

Alphabet, Inc., Class A

  Call      7/14/17      USD     997.50          28       (1,610

Altria Group, Inc.

  Call      7/14/17      USD     76.00          467       (7,939

Anadarko Petroleum Corp.

  Call      7/14/17      USD     52.50          24       (96

Bank of America Corp.

  Call      7/14/17      USD     23.00          205       (28,085

Bank of America Corp.

  Call      7/14/17      USD     23.50          478       (43,976

BP PLC — ADR

  Call      7/14/17      USD     36.00          92       (506

Cisco Systems, Inc.

  Call      7/14/17      USD     31.50          456       (8,664

D.R. Horton, Inc.

  Call      7/14/17      USD     34.00          160       (13,600

Dow Chemical Co.

  Call      7/14/17      USD     65.50          729       (6,925

Flex Ltd.

  Call      7/14/17      USD     16.50          105       (1,995

Goldman Sachs Group, Inc.

  Call      7/14/17      USD     220.00          153       (68,468

Intel Corp.

  Call      7/14/17      USD     36.50          250       (500

Goodyear Tire & Rubber Co.

  Call      7/14/17      USD     36.00          214       (4,280

Merck & Co., Inc.

  Call      7/14/17      USD     64.50          89       (4,761

Norfolk Southern Corp.

  Call      7/14/17      USD     121.00          304       (68,400

Pfizer, Inc.

  Call      7/14/17      USD     33.00          680       (49,980

Suncor Energy, Inc.

  Call      7/14/17      USD     32.00          55       (1,045

UnitedHealth Group, Inc.

  Call      7/14/17      USD     182.50          48       (19,800

Valero Energy Corp.

  Call      7/14/17      USD     66.00          40       (7,760

Walgreens Boots Alliance, Inc.

  Call      7/14/17      USD     82.00          373       (5,968

Delta Air Lines, Inc.

  Call      7/18/17      USD     49.51          518       (254,884

Qorvo, Inc.

  Call      7/18/17      USD     75.55          75       (37

Activision Blizzard, Inc.

  Call      7/21/17      USD     60.00          256       (15,488

Alphabet, Inc., Class A

  Call      7/21/17      USD     945.00          27       (30,375

Alphabet, Inc., Class A

  Call      7/21/17      USD     950.00          14       (14,280

Amdocs Ltd.

  Call      7/21/17      USD     65.00          247       (17,290

Anthem, Inc.

  Call      7/21/17      USD     190.00          17       (3,995

Apple, Inc.

  Call      7/21/17      USD     149.00          333       (27,639

Avery Dennison Corp.

  Call      7/21/17      USD     85.00          185       (60,588

Avery Dennison Corp.

  Call      7/21/17      USD     90.00          61       (3,507

Bank of America Corp.

  Call      7/21/17      USD     23.00          665       (95,428

Bank of America Corp.

  Call      7/21/17      USD     25.00          187       (5,142

Baxter International, Inc.

  Call      7/21/17      USD     57.50          562       (186,865

Biogen, Inc.

  Call      7/21/17      USD     265.00          174       (167,910

BP PLC — ADR

  Call      7/21/17      USD     36.00          175       (2,187

BP PLC — ADR

  Call      7/21/17      USD     37.00          61       (244

Carnival Corp.

  Call      7/21/17      USD     62.50          510       (173,400

CDW Corp.

  Call      7/21/17      USD     65.00          350       (11,375

Chevron Corp.

  Call      7/21/17      USD     110.00          162       (1,620

Cisco Systems, Inc.

  Call      7/21/17      USD     32.00          307       (4,451

Citigroup, Inc.

  Call      7/21/17      USD     62.50          162       (76,140

Comcast Corp., Class A

  Call      7/21/17      USD     38.75          522       (44,370

CVS Health Corp.

  Call      7/21/17      USD     80.00          254       (39,370

D.R. Horton, Inc.

  Call      7/21/17      USD     34.00          305       (29,128

Dell Technologies, Inc., Class V

  Call      7/21/17      USD     65.00          285       (5,700

 

See Notes to Financial Statements.      
                
32    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

Exchange-Traded Options Written (continued)                                       
Description   Put/
Call
     Expiration
Date
     Strike
Price
      

Contracts

    Value  

Dell Technologies, Inc., Class V

  Call      7/21/17      USD     70.00          45     $ (450

Dow Chemical Co.

  Call      7/21/17      USD     64.00          99       (5,742

EMCOR Group, Inc.

  Call      7/21/17      USD     65.00          114       (21,660

FirstEnergy Corp.

  Call      7/21/17      USD     29.00          225       (11,812

FirstEnergy Corp.

  Call      7/21/17      USD     30.00          711       (10,665

Flex Ltd.

  Call      7/21/17      USD     17.00          924       (9,702

Gilead Sciences, Inc.

  Call      7/21/17      USD     67.50          462       (168,630

Goodyear Tire & Rubber Co.

  Call      7/21/17      USD     36.00          300       (9,750

Home Depot, Inc.

  Call      7/21/17      USD     160.00          172       (4,128

Humana, Inc.

  Call      7/21/17      USD     235.00          98       (79,870

Laboratory Corp. of America Holdings

  Call      7/21/17      USD     145.00          75       (73,875

Lam Research Corp.

  Call      7/21/17      USD     160.00          125       (2,187

Lear Corp.

  Call      7/21/17      USD     145.00          70       (11,900

Lennar Corp., Class A

  Call      7/21/17      USD     55.00          175       (5,512

Lowe’s Cos., Inc.

  Call      7/21/17      USD     80.00          120       (5,820

Merck & Co., Inc.

  Call      7/21/17      USD     65.00          56       (3,416

Microsoft Corp.

  Call      7/21/17      USD     70.00          295       (32,745

Norfolk Southern Corp.

  Call      7/21/17      USD     125.00          160       (15,200

Oracle Corp.

  Call      7/21/17      USD     46.00          418       (175,560

Packaging Corp. of America

  Call      7/21/17      USD     110.00          136       (39,440

Pfizer, Inc.

  Call      7/21/17      USD     33.00          26       (2,067

Qorvo, Inc.

  Call      7/21/17      USD     75.00          150       (1,500

Rio Tinto PLC — ADR

  Call      7/21/17      USD     42.50          340       (34,000

SLM Corp.

  Call      7/21/17      USD     11.00          1,370       (92,475

Stanley Black & Decker, Inc.

  Call      7/21/17      USD     140.00          399       (100,748

Statoil ASA — ADR

  Call      7/21/17      USD     17.70          392       (1,530

SunTrust Bank, Inc.

  Call      7/21/17      USD     55.00          210       (51,135

U.S. Bancorp

  Call      7/21/17      USD     52.50          896       (58,688

UnitedHealth Group, Inc.

  Call      7/21/17      USD     180.00          63       (45,833

UnitedHealth Group, Inc.

  Call      7/21/17      USD     185.00          49       (18,253

Valero Energy Corp.

  Call      7/21/17      USD     65.00          59       (17,494

Valero Energy Corp.

  Call      7/21/17      USD     67.50          15       (1,830

Walgreens Boots Alliance, Inc.

  Call      7/21/17      USD     82.50          150       (3,150

Dell Technologies, Inc., Class V

  Call      7/24/17      USD     62.01          134       (15,184

Activision Blizzard, Inc.

  Call      7/28/17      USD     57.00          235       (49,233

Alphabet, Inc., Class A

  Call      7/28/17      USD     962.50          28       (46,620

Bank of America Corp.

  Call      7/28/17      USD     24.00          507       (41,067

BP PLC — ADR

  Call      7/28/17      USD     36.00          87       (1,566

Chevron Corp.

  Call      7/28/17      USD     108.00          107       (6,366

Cisco Systems, Inc.

  Call      7/28/17      USD     32.00          203       (4,466

Citigroup, Inc.

  Call      7/28/17      USD     65.00          24       (6,540

Cognizant Technology Solutions Corp.

  Call      7/28/17      USD     66.50          182       (23,660

Comcast Corp., Class A

  Call      7/28/17      USD     40.00          776       (42,292

CVS Health Corp.

  Call      7/28/17      USD     78.00          218       (66,272

D.R. Horton, Inc.

  Call      7/28/17      USD     34.50          280       (27,440

Delta Air Lines, Inc.

  Call      7/28/17      USD     52.00          128       (33,856

Dow Chemical Co.

  Call      7/28/17      USD     65.00          300       (18,750

Flex Ltd.

  Call      7/28/17      USD     17.00          105       (2,572

Goodyear Tire & Rubber Co.

  Call      7/28/17      USD     34.00          365       (62,963

Hartford Financial Services Group, Inc.

  Call      7/28/17      USD     53.00          400       (38,600

Home Depot, Inc.

  Call      7/28/17      USD     157.50          172       (15,910

JPMorgan Chase & Co.

  Call      7/28/17      USD     89.00          292       (89,498

JPMorgan Chase & Co.

  Call      7/28/17      USD     91.50          385       (60,830

Marathon Oil Corp.

  Call      7/28/17      USD     13.00          130       (1,820

Merck & Co., Inc.

  Call      7/28/17      USD     66.50          34       (1,547

Microsoft Corp.

  Call      7/28/17      USD     70.00          345       (43,815

Microsoft Corp.

  Call      7/28/17      USD     70.50          700       (74,200

Norfolk Southern Corp.

  Call      7/28/17      USD     120.00          50       (21,750

Pfizer, Inc.

  Call      7/28/17      USD     32.50          411       (52,814

Pfizer, Inc.

  Call      7/28/17      USD     34.50          146       (2,044

Suncor Energy, Inc.

  Call      7/28/17      USD     30.50          1,297       (36,316

U.S. Bancorp

  Call      7/28/17      USD     52.00          56       (5,936

UnitedHealth Group, Inc.

  Call      7/28/17      USD     182.50          170       (96,475

UnitedHealth Group, Inc.

  Call      7/28/17      USD     185.00          49       (20,703

Urban Outfitters, Inc.

  Call      7/28/17      USD     19.00          262       (13,755

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    33


Schedule of Investments (continued)

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

Exchange-Traded Options Written (continued)                                       
Description   Put/
Call
     Expiration
Date
     Strike
Price
      

Contracts

    Value  

Valero Energy Corp.

  Call      7/28/17      USD     65.50          20     $ (5,800

Wal-Mart Stores, Inc.

  Call      7/28/17      USD     77.00          248       (16,244

Cisco Systems, Inc.

  Call      7/31/17      USD     32.25          503       (11,701

Pfizer, Inc.

  Call      7/31/17      USD     34.25          144       (2,431

SunTrust Bank, Inc.

  Call      7/31/17      USD     57.50          132       (19,141

Public Service Enterprise Group, Inc.

  Call      8/01/17      USD     44.40          132       (3,415

Activision Blizzard, Inc.

  Call      8/04/17      USD     59.00          235       (39,363

Alphabet, Inc., Class A

  Call      8/04/17      USD     965.00          14       (24,710

Anadarko Petroleum Corp.

  Call      8/04/17      USD     47.50          23       (2,104

Apple, Inc.

  Call      8/04/17      USD     150.00          219       (43,910

Biogen, Inc.

  Call      8/04/17      USD     280.00          98       (56,840

BP PLC — ADR

  Call      8/04/17      USD     35.00          174       (11,310

Carnival Corp.

  Call      8/04/17      USD     66.50          358       (41,170

Chevron Corp.

  Call      8/04/17      USD     107.00          122       (13,359

Cisco Systems, Inc.

  Call      8/04/17      USD     32.00          252       (6,804

Citigroup, Inc.

  Call      8/04/17      USD     65.50          34       (8,347

CVS Health Corp.

  Call      8/04/17      USD     82.50          218       (16,677

D.R. Horton, Inc.

  Call      8/04/17      USD     34.50          316       (35,866

Dow Chemical Co.

  Call      8/04/17      USD     64.50          10       (845

Flex Ltd.

  Call      8/04/17      USD     17.00          104       (3,120

Gilead Sciences, Inc.

  Call      8/04/17      USD     72.50          544       (81,056

Home Depot, Inc.

  Call      8/04/17      USD     155.00          166       (36,188

Intel Corp.

  Call      8/04/17      USD     35.00          247       (10,003

JPMorgan Chase & Co.

  Call      8/04/17      USD     92.50          385       (48,895

Lowe’s Cos., Inc.

  Call      8/04/17      USD     79.50          215       (20,210

Marathon Oil Corp.

  Call      8/04/17      USD     12.00          164       (8,938

Merck & Co., Inc.

  Call      8/04/17      USD     65.00          34       (3,536

Microsoft Corp.

  Call      8/04/17      USD     70.50          212       (25,758

Norfolk Southern Corp.

  Call      8/04/17      USD     119.00          111       (57,720

Suncor Energy, Inc.

  Call      8/04/17      USD     29.50          123       (9,102

Urban Outfitters, Inc.

  Call      8/04/17      USD     18.00          310       (34,875

Valero Energy Corp.

  Call      8/04/17      USD     68.50          26       (3,601

Wal-Mart Stores, Inc.

  Call      8/04/17      USD     77.00          155       (12,865

Comcast Corp., Class A

  Call      8/09/17      USD     39.90          131       (9,043

Anadarko Petroleum Corp.

  Call      8/11/17      USD     46.50          66       (9,438

Apple, Inc.

  Call      8/11/17      USD     146.00          373       (151,811

Bank of America Corp.

  Call      8/11/17      USD     25.00          1,175       (55,813

Carnival Corp.

  Call      8/11/17      USD     66.00          510       (79,050

Cisco Systems, Inc.

  Call      8/11/17      USD     32.00          251       (8,534

Citigroup, Inc.

  Call      8/11/17      USD     68.00          35       (4,025

Cognizant Technology Solutions Corp., Class A

  Call      8/11/17      USD     66.50          440       (94,600

Dow Chemical Co.

  Call      8/11/17      USD     64.50          151       (14,194

JPMorgan Chase & Co.

  Call      8/11/17      USD     91.50          186       (35,898

Lowe’s Cos., Inc.

  Call      8/11/17      USD     77.50          298       (58,408

Microsoft Corp.

  Call      8/11/17      USD     70.41          140       (19,175

Urban Outfitters, Inc.

  Call      8/11/17      USD     19.50          280       (14,560

Activision Blizzard, Inc.

  Call      8/18/17      USD     60.00          270       (46,305

Aetna, Inc.

  Call      8/18/17      USD     155.00          43       (12,449

Alphabet, Inc., Class A

  Call      8/18/17      USD     1,000.00          28       (28,700

Anadarko Petroleum Corp.

  Call      8/18/17      USD     50.00          11       (610

Anthem, Inc.

  Call      8/18/17      USD     200.00          37       (5,920

Apple, Inc.

  Call      8/18/17      USD     150.00          333       (81,086

Bank of America Corp.

  Call      8/18/17      USD     24.00          507       (50,954

BP PLC — ADR

  Call      8/18/17      USD     36.00          180       (6,030

Centene Corp.

  Call      8/18/17      USD     80.00          461       (172,875

Citigroup, Inc.

  Call      8/18/17      USD     65.00          5       (1,477

Cognizant Technology Solutions Corp.

  Call      8/18/17      USD     67.91          311       (49,623

D.R. Horton, Inc.

  Call      8/18/17      USD     34.00          140       (21,210

D.R. Horton, Inc.

  Call      8/18/17      USD     35.00          140       (13,160

Delta Air Lines, Inc.

  Call      8/18/17      USD     55.00          518       (68,894

EMCOR Group, Inc.

  Call      8/18/17      USD     65.00          78       (20,280

FirstEnergy Corp.

  Call      8/18/17      USD     30.00          310       (10,850

Flex Ltd.

  Call      8/18/17      USD     17.00          105       (3,622

Goodyear Tire & Rubber Co.

  Call      8/18/17      USD     35.00          262       (35,370

Humana, Inc.

  Call      8/18/17      USD     240.00          50       (42,250

 

See Notes to Financial Statements.      
                
34    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

Exchange-Traded Options Written (continued)                                             
Description   Put/
Call
       Expiration
Date
       Strike
Price
      

Contracts

    Value  

Intel Corp.

    Call          8/18/17          USD       36.30          364     $ (7,649

JPMorgan Chase & Co.

    Call          8/18/17          USD       90.00          244       (70,272

Lear Corp.

    Call          8/18/17          USD       145.00          63       (24,570

Lowe’s Cos., Inc.

    Call          8/18/17          USD       82.50          305       (15,555

Marathon Oil Corp.

    Call          8/18/17          USD       13.00          127       (3,683

McKesson Corp.

    Call          8/18/17          USD       165.00          92       (50,140

Merck & Co., Inc.

    Call          8/18/17          USD       65.00          147       (18,743

Microsoft Corp.

    Call          8/18/17          USD       72.50          311       (23,636

Regions Financial Corp.

    Call          8/18/17          USD       14.60          456       (30,006

Rio Tinto PLC — ADR

    Call          8/18/17          USD       42.50          170       (24,990

SLM Corp.

    Call          8/18/17          USD       11.00          500       (42,750

SLM Corp.

    Call          8/18/17          USD       12.00          250       (8,250

Southwest Airlines Co.

    Call          8/18/17          USD       62.10          74       (18,796

Suncor Energy, Inc.

    Call          8/18/17          USD       31.00          78       (2,730

SunTrust Bank, Inc.

    Call          8/18/17          USD       56.82          131       (23,187

TOTAL SA — ADR

    Call          8/18/17          USD       51.25          454       (29,943

Urban Outfitters, Inc.

    Call          8/18/17          USD       20.00          281       (18,265

WABCO Holdings, Inc

    Call          8/18/17          USD       130.00          55       (17,710

Citigroup, Inc.

    Call          8/25/17          USD       63.95          113       (44,840

Comcast Corp., Class A

    Call          8/30/17          USD       41.22          497       (26,804

Pfizer, Inc.

    Call          9/01/17          USD       34.17          325       (13,820

Altria Group, Inc.

    Call          9/15/17          USD       76.42          345       (36,129

Citigroup, Inc.

    Call          9/15/17          USD       67.50          25       (4,925

Comcast Corp., Class A

    Call          9/15/17          USD       41.25          522       (31,581

Oracle Corp.

    Call          9/15/17          USD       51.30          418       (44,387

Pfizer, Inc.

    Call          9/15/17          USD       34.00          814       (46,398

Total

                     $ (6,800,610
                    

 

 

 

 

OTC Options Written  
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Contracts     Value  

Baxter International, Inc.

  Call   Bank of America N.A.     07/06/17       USD       56.46       14,200     $ (59,558

Lear Corp.

  Call   Goldman Sachs International     07/06/17       USD       146.63       11,700       (2,781

SunTrust Bank, Inc.

  Call   Goldman Sachs International     07/06/17       USD       57.22       41,500       (22,875

CDW Corp.

  Call   Société Générale     07/07/17       USD       59.65       19,400       (58,510

Packaging Corp. of America

  Call   Deutsche Bank AG     07/07/17       USD       99.50       6,200       (73,871

Regions Financial Corp.

  Call   UBS AG     07/07/17       USD       14.42       25,100       (9,672

Amdocs Ltd.

  Call   JPMorgan Chase Bank N.A.     07/10/17       USD       63.50       25,000       (32,360

Laboratory Corp. of America Holdings

  Call   Deutsche Bank AG     07/11/17       USD       139.81       11,000       (158,898

Public Service Enterprise Group, Inc.

  Call   Morgan Stanley & Co. International PLC     07/11/17       USD       43.54       31,000       (7,098

Humana, Inc.

  Call   Barclays Bank PLC     07/12/17       USD       228.00       11,300       (148,616

Rio Tinto PLC — ADR

  Call   Barclays Bank PLC     07/13/17       USD       41.68       10,200       (12,473

Robert Half International, Inc.

  Call   Barclays Bank PLC     07/13/17       USD       47.77       40,000       (51,318

Regions Financial Corp.

  Call   Citibank N.A.     07/14/17       USD       14.43       42,300       (20,409

SLM Corp.

  Call   Morgan Stanley & Co. International PLC     07/14/17       USD       10.87       87,000       (62,089

SunTrust Bank, Inc.

  Call   Barclays Bank PLC     07/14/17       USD       56.55       20,800       (26,695

WABCO Holdings, Inc

  Call   Bank of America N.A.     07/14/17       USD       123.00       5,600       (32,822

Robert Half International, Inc.

  Call   Barclays Bank PLC     07/25/17       USD       48.38       15,500       (22,856

Statoil ASA — ADR

  Call   JPMorgan Chase Bank N.A.     07/26/17       USD       17.29       31,900       (4,926

BP PLC — ADR

  Call   UBS AG     07/31/17       USD       35.85       10,900       (1,670

BP PLC — ADR

  Call   UBS AG     07/31/17       USD       36.53       8,800       (980

Pfizer, Inc.

  Call   Citibank N.A.     07/31/17       USD       33.32       41,200       (28,086

Packaging Corp. of America

  Call   Bank of America N.A.     08/02/17       USD       100.00       20,000       (239,709

Regions Financial Corp.

  Call   Barclays Bank PLC     08/02/17       USD       14.09       42,200       (36,607

Flex Ltd.

  Call   Citibank N.A.     08/10/17       USD       17.26       47,500       (12,712

SLM Corp.

  Call   Citibank N.A.     08/10/17       USD       10.80       62,900       (64,637

Rio Tinto PLC — ADR

  Call   UBS AG     08/11/17       USD       41.83       17,300       (18,238

Total

              $ (1,210,466
             

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    35


Schedule of Investments (continued)

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

 

Transactions in Options Written for the Period Ended June 30, 2017

 

    Calls  
    

Contracts

    Premiums
Received
 

Outstanding options, beginning of period

      1,129,789     $ 8,212,203  

Options written

      3,109,166       31,004,653  

Options exercised

      (10,682     (5,957,395

Options expired

      (1,069,231     (76,895

Options closed

      (2,403,303     (25,705,810
   

 

 

   

 

 

 

Outstanding options, end of period

      755,739     $ 7,476,756  
   

 

 

   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $380,711,463.

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Options written

   Options written, at value               $ 8,011,076                       $ 8,011,076  
                
For the six months ended June 30, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:  

 

Net Realized Gain (Loss) from:          Commodity
Contracts
     Credit
Contracts
       Equity
Contracts
       Foreign
Currency
Exchange
Contracts
       Interest
Rate
Contracts
       Other
Contracts
       Total         

Futures contracts

                  $ 529,712                                   $ 529,712    

Options purchased1

                    (84                                   (84  

Options written

                    (11,633,153                                   (11,633,153  
   

 

 

Total

                  $ (11,103,525                                 $ (11,103,525  
   

 

 

1    Options purchased are included in net realized gain (loss) from investments.

     

 
                                   
Net Change in Unrealized Appreciation on:                                                                   

Futures contracts

                  $ 128,627                                   $ 128,627    

Options written

                    1,555,959                                     1,555,959    
   

 

 

Total

                  $ 1,684,586                                   $ 1,684,586    
   

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:  

Average notional value of contracts — long

  $ 6,193,031  
Options:  

Average market value of option contracts purchased

  $ 68 1 

Average value of option contracts written

  $ 7,150,396  

1   Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

    

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) are as follows:

 

     Assets        Liabilities  

Derivative Financial Instruments:

      

Options

           $ 8,011,076  
 

 

 

      

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

             (6,800,610
 

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

           $ 1,210,466  
 

 

 

      

 

 

 

 

See Notes to Financial Statements.      
                
36    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (concluded)

  

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of the related collateral received by the Trust:

 

Counterparty  

Derivative Liabilities
Subject to an MNA
by Counterparty

       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged1
       Cash
Collateral
Pledged
       Net Amount of
Derivative
Liabilities2
 

Bank of America N.A.

    $ 332,089                                   $ 332,089  

Barclays Bank PLC

      298,565                          $ (5,000        293,565  

Citibank N.A.

      125,844                 $ (119,537                 6,307  

Deutsche Bank AG

      232,769                            (70,000        162,769  

Goldman Sachs International

      25,656                                     25,656  

JPMorgan Chase Bank N.A.

      37,286                                     37,286  

Morgan Stanley & Co. International PLC

      69,187                   (69,187                  

Société Générale

      58,510                                     58,510  

UBS AG

      30,560                   (30,560                  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total

    $ 1,210,466                 $ (219,284      $ (75,000      $ 916,182  
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

1    Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

     

2    Net amount represents the net amount payable due to the counterparty in the event of default. Net Amount may be offset further by net options written receivable/payable on the Statements of Assets and Liabilities.

     

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivatives financial instruments. For information about the Trust’s policy regarding valuation of investments and derivatives financial instruments refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1     Level 2     Level 3     Total  

Assets:

 

Investments:  

Long-Term Investments:

 

Common Stocks1

  $ 709,485,627                 $ 709,485,627  

Short-Term Securities

    815,956                   815,956  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 710,301,583                 $ 710,301,583  
 

 

 

   

 

 

   

 

 

   

 

 

 
       

Derivative Financial Instruments2

 

Liabilities:

 

Equity contracts

  $ (6,014,152   $ (1,996,924         $ (8,011,076

1    See above Schedule of Investments for values in each industry.

     

2    Derivative financial instruments are options written, which are shown at value.

     

During the six months ended June 30, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    37


Schedule of Investments June 30, 2017 (Unaudited)

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares     Value  
Aerospace & Defense — 2.9%             

Lockheed Martin Corp. (a)

     81,930     $ 22,744,587  

Northrop Grumman Corp. (a)

     108,800       27,930,048  
    

 

 

 
               50,674,635  
Air Freight & Logistics — 0.7%             

United Parcel Service, Inc., Class B (a)

     109,170       12,073,110  
Banks — 18.0%             

Bank of America Corp. (a)(b)

     2,802,680       67,993,017  

Citigroup, Inc. (a)

     1,047,020       70,024,698  

JPMorgan Chase & Co. (a)(b)

     838,228       76,614,039  

KeyCorp (a)

     585,860       10,979,016  

SunTrust Banks, Inc. (a)

     337,240       19,128,253  

U.S. Bancorp (a)

     532,143       27,628,865  

Wells Fargo & Co. (a)

     869,791       48,195,119  
    

 

 

 
               320,563,007  
Beverages — 1.7%             

Coca-Cola Co. (a)

     283,760       12,726,636  

Diageo PLC — ADR

     613,300       18,124,084  
    

 

 

 
               30,850,720  
Capital Markets — 3.6%             

Goldman Sachs Group, Inc. (a)

     107,120       23,769,928  

Invesco Ltd. (a)

     251,864       8,863,094  

Morgan Stanley & Co. LLC (a)

     718,670       32,023,935  
    

 

 

 
               64,656,957  
Chemicals — 3.2%             

Dow Chemical Co. (a)

     817,000       51,528,190  

Praxair, Inc. (a)

     41,900       5,553,845  
    

 

 

 
               57,082,035  
Communications Equipment — 0.8%             

Motorola Solutions, Inc. (a)

     171,600       14,884,584  
Diversified Telecommunication Services — 1.5%        

BCE, Inc. (a)

     103,700       4,670,648  

Verizon Communications, Inc. (a)

     503,600       22,490,776  
    

 

 

 
               27,161,424  
Electric Utilities — 3.0%             

Exelon Corp. (a)

     300,100       10,824,607  

FirstEnergy Corp. (a)

     464,075       13,532,427  

NextEra Energy, Inc. (a)

     211,150       29,588,449  
    

 

 

 
               53,945,483  
Energy Equipment & Services — 0.4%             

Halliburton Co. (a)

     164,300       7,017,253  
Food & Staples Retailing — 0.8%             

Kroger Co. (a)

     595,990       13,898,487  
Food Products — 0.3%             

Mondelez International, Inc., Class A (a)

     132,225       5,710,798  
Health Care Equipment & Supplies — 1.0%             

Becton Dickinson & Co. (a)

     66,700       13,013,837  

Smith & Nephew PLC

     304,550       5,259,117  
    

 

 

 
               18,272,954  
Health Care Providers & Services — 7.5%             

Aetna, Inc. (a)

     249,056       37,814,173  

Anthem, Inc. (a)

     221,710       41,710,302  

Cardinal Health, Inc. (a)

     49,060       3,822,755  

McKesson Corp. (a)

     95,880       15,776,095  

Quest Diagnostics, Inc. (a)

     128,330       14,265,163  

UnitedHealth Group, Inc. (a)

     104,500       19,376,390  
    

 

 

 
               132,764,878  
Hotels, Restaurants & Leisure — 0.0%             

Hilton Worldwide Holdings, Inc.

     10,241       633,406  
Common Stocks    Shares     Value  
Household Products — 1.0%             

Procter & Gamble Co. (a)

     209,320     $ 18,242,238  
Industrial Conglomerates — 6.0%             

3M Co. (a)

     63,200       13,157,608  

General Electric Co. (a)

     1,498,000       40,460,980  

Honeywell International, Inc. (a)

     189,600       25,271,784  

Koninklijke Philips NV

     769,060       27,377,517  
    

 

 

 
               106,267,889  
Insurance — 6.7%             

Allstate Corp. (a)

     96,000       8,490,240  

American International Group, Inc. (a)

     571,320       35,718,926  

Marsh & McLennan Cos., Inc. (a)

     171,547       13,373,804  

MetLife, Inc. (a)

     478,500       26,288,790  

Prudential Financial, Inc. (a)

     217,900       23,563,706  

Travelers Cos., Inc. (a)

     95,700       12,108,921  
    

 

 

 
               119,544,387  
Machinery — 0.3%             

Pentair PLC (a)

     72,400       4,817,496  
Media — 2.5%             

Comcast Corp., Class A (a)

     762,770       29,687,009  

Publicis Groupe SA

     188,010       14,012,949  
    

 

 

 
               43,699,958  
Multi-Utilities — 2.3%             

Dominion Resources, Inc. (a)

     157,100       12,038,573  

PG&E Corp. (a)

     199,400       13,234,178  

Public Service Enterprise Group, Inc. (a)

     378,600       16,283,586  
    

 

 

 
               41,556,337  
Multiline Retail — 0.8%             

Dollar General Corp. (a)

     202,847       14,623,240  
Oil, Gas & Consumable Fuels — 10.7%             

Anadarko Petroleum Corp. (a)

     81,600       3,699,744  

Chevron Corp. (a)

     241,100       25,153,963  

Enbridge, Inc. (a)

     189,699       7,551,917  

Exxon Mobil Corp. (a)

     187,400       15,128,802  

Hess Corp. (a)

     411,110       18,035,396  

Marathon Oil Corp. (a)

     682,660       8,089,521  

Marathon Petroleum Corp. (a)

     279,400       14,621,002  

Occidental Petroleum Corp. (a)

     453,500       27,151,045  

Royal Dutch Shell PLC — ADR, Class A (a)

     299,330       15,921,363  

Suncor Energy, Inc. (a)

     961,240       28,068,208  

TOTAL SA — ADR (a)

     526,600       26,114,094  
    

 

 

 
               189,535,055  
Paper & Forest Products — 0.6%             

International Paper Co. (a)

     177,700       10,059,597  
Personal Products — 1.3%             

Unilever NV — NY Shares (a)

     426,900       23,594,763  
Pharmaceuticals — 8.1%             

AstraZeneca PLC

     482,236       32,301,864  

Johnson & Johnson (a)

     84,600       11,191,734  

Merck & Co., Inc. (a)

     607,500       38,934,675  

Pfizer, Inc. (a)(b)

     1,856,990       62,376,294  
    

 

 

 
               144,804,567  
Professional Services — 1.4%             

Experian PLC

     723,400       14,846,218  

Nielsen Holdings PLC (a)

     260,150       10,057,399  
    

 

 

 
               24,903,617  
Real Estate Investment Trusts (REITs) — 0.4%             

Weyerhaeuser Co. (a)

     220,200       7,376,700  
Road & Rail — 0.6%             

Union Pacific Corp. (a)

     96,000       10,455,360  
 

 

See Notes to Financial Statements.      
                
38    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Common Stocks    Shares     Value  
Semiconductors & Semiconductor Equipment — 4.0%  

QUALCOMM, Inc. (a)

     189,300     $ 10,453,146  

Samsung Electronics Co. Ltd. — GDR (c)

     32,600       33,798,562  

Taiwan Semiconductor Manufacturing Co. Ltd. — ADR (a)

     740,700       25,894,872  
    

 

 

 
               70,146,580  
Software — 5.4%             

Constellation Software, Inc.

     7,300       3,818,933  

Microsoft Corp. (a)

     522,330       36,004,207  

Oracle Corp. (a)

     1,111,700       55,740,638  
    

 

 

 
               95,563,778  
Specialty Retail — 1.3%             

Gap, Inc. (a)

     323,200       7,107,168  

Home Depot, Inc. (a)

     106,400       16,321,760  
    

 

 

 
               23,428,928  
Technology Hardware, Storage & Peripherals — 0.5%  

Lenovo Group Ltd.

     13,220,000       8,343,562  
Tobacco — 0.9%             

Altria Group, Inc. (a)

     105,290       7,840,946  

Philip Morris International, Inc. (a)

     69,800       8,198,010  
    

 

 

 
               16,038,956  
Common Stocks    Shares     Value  
Wireless Telecommunication Services — 0.6%             

SK Telecom Co. Ltd. — ADR (a)

     400,700     $ 10,285,969  
Total Long-Term Investments
(Cost — $1,356,693,370) — 100.8%
      1,793,478,708  
    
                  
Short-Term Securities               

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.84% (d)(e)

     1,218,990       1,218,990  
Total Short-Term Securities
(Cost — $1,218,990) — 0.1%
      1,218,990  
Total Investments Before Options Written
(Cost — $1,357,912,360) — 100.9%
      1,794,697,698  
    
                  
Options Written
(Premiums Received — $17,058,110) — (1.1)%
      (18,689,806
Total Investments, Net of Options Written
(Cost — $1,340,854,250) — 99.8%
      1,776,007,892  

Other Assets Less Liabilities — 0.2%

 

    2,974,279  
    

 

 

 

Net Assets — 100.0%

 

  $ 1,778,982,171  
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

(b)   All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(c)   Non-income producing security.

 

(d)   Current yield as of period end.

 

(e)   During the period ended June 30, 2017, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
December 31,
2016
     Net
Activity
     Shares
Held at
June 30,
2017
    Value at
June 30,
2017
    Income      Net Realized
Gain
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     3,630,472        (2,411,482      1,218,990     $ 1,218,990     $ 22,544                

SL Liquidity Series, LLC, Money Market Series

                               1,508 1               

Total

           $ 1,218,990     $ 24,052                
          

 

 

   

 

 

    

 

 

    

 

 

 

1    Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

     

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

 

Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

JPMorgan Chase & Co.

  Call      7/06/17      USD     87.50          292     $ (101,266

Marathon Oil Corp.

  Call      7/06/17      USD     15.50          188        

Anthem, Inc.

  Call      7/07/17      USD     182.50          383       (219,268

Bank of America Corp.

  Call      7/07/17      USD     24.00          1,217       (51,723

Bank of America Corp.

  Call      7/07/17      USD     24.25          949       (31,464

Chevron Corp.

  Call      7/07/17      USD     107.00          309       (1,390

Citigroup, Inc.

  Call      7/07/17      USD     61.00          499       (303,143

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    39


Schedule of Investments (continued)

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

Citigroup, Inc.

  Call      7/07/17      USD     61.50          331     $ (180,395

Enbridge, Inc.

  Call      7/07/17      USD     38.98          463       (48,351

Exxon Mobil Corp.

  Call      7/07/17      USD     82.00          116       (1,160

General Electric Co.

  Call      7/07/17      USD     28.50          114       (228

General Electric Co.

  Call      7/07/17      USD     29.00          1,704       (1,704

Goldman Sachs Group, Inc.

  Call      7/07/17      USD     225.00          279       (20,785

KeyCorp

  Call      7/07/17      USD     18.50          360       (13,680

Lockheed Martin Corp.

  Call      7/07/17      USD     282.50          96       (2,640

Marathon Oil Corp.

  Call      7/07/17      USD     14.00          608       (1,216

Marathon Petroleum Corp.

  Call      7/07/17      USD     53.00          566       (23,780

Merck & Co., Inc.

  Call      7/07/17      USD     64.50          457       (13,938

MetLife, Inc.

  Call      7/07/17      USD     52.00          513       (155,952

Mondelez International, Inc., Class A

  Call      7/07/17      USD     47.00          153       (1,377

Morgan Stanley & Co. LLC

  Call      7/07/17      USD     43.00          518       (85,988

Northrop Grumman Corp.

  Call      7/07/17      USD     257.50          181       (21,267

Occidental Petroleum Corp.

  Call      7/07/17      USD     61.50          120       (1,140

Royal Dutch Shell PLC — ADR, Class A

  Call      7/07/17      USD     55.95          587       (274

Suncor Energy, Inc.

  Call      7/07/17      USD     31.50          253       (8,855

U.S. Bancorp

  Call      7/07/17      USD     53.00          355       (2,485

Union Pacific Corp.

  Call      7/07/17      USD     110.00          123       (4,858

Union Pacific Corp.

  Call      7/07/17      USD     111.00          124       (2,108

UnitedHealth Group, Inc.

  Call      7/07/17      USD     177.50          94       (75,905

Verizon Communications, Inc.

  Call      7/07/17      USD     45.50          122       (244

Wells Fargo & Co.

  Call      7/07/17      USD     53.50          1,453       (293,506

Wells Fargo & Co.

  Call      7/07/17      USD     55.00          449       (34,573

Weyerhaeuser Co.

  Call      7/07/17      USD     33.50          403       (12,090

Becton Dickinson & Co.

  Call      7/10/17      USD     187.00          239       (203,947

Bank of America Corp.

  Call      7/11/17      USD     24.25          476       (19,759

Exelon Corp.

  Call      7/12/17      USD     36.51          499       (11,165

Chevron Corp.

  Call      7/13/17      USD     107.50          308       (5,822

Altria Group, Inc.

  Call      7/14/17      USD     76.00          275       (4,675

American International Group, Inc.

  Call      7/14/17      USD     64.00          463       (7,871

Anadarko Petroleum Corp.

  Call      7/14/17      USD     52.50          99       (396

Bank of America Corp.

  Call      7/14/17      USD     23.00          667       (91,379

Bank of America Corp.

  Call      7/14/17      USD     23.50          1,282       (117,944

Dow Chemical Co.

  Call      7/14/17      USD     65.50          743       (7,058

Exxon Mobil Corp.

  Call      7/14/17      USD     81.00          263       (17,095

General Electric Co.

  Call      7/14/17      USD     28.00          1,030       (4,120

General Electric Co.

  Call      7/14/17      USD     28.50          82       (123

Goldman Sachs Group, Inc.

  Call      7/14/17      USD     220.00          94       (42,065

Merck & Co., Inc.

  Call      7/14/17      USD     64.50          855       (45,743

Mondelez International, Inc., Class A

  Call      7/14/17      USD     46.50          157       (706

Morgan Stanley & Co. LLC

  Call      7/14/17      USD     45.50          291       (9,748

Pfizer, Inc.

  Call      7/14/17      USD     33.00          1,190       (87,465

Philip Morris International, Inc.

  Call      7/14/17      USD     123.00          174       (1,566

Suncor Energy, Inc.

  Call      7/14/17      USD     32.00          253       (4,807

Union Pacific Corp.

  Call      7/14/17      USD     111.00          233       (11,650

United Parcel Service, Class B

  Call      7/14/17      USD     109.00          190       (41,895

UnitedHealth Group, Inc.

  Call      7/14/17      USD     182.50          144       (59,400

Verizon Communications, Inc.

  Call      7/14/17      USD     47.00          427       (640

Wells Fargo & Co.

  Call      7/14/17      USD     52.00          1,361       (500,168

Weyerhaeuser Co.

  Call      7/14/17      USD     34.00          53       (1,192

Marsh & McLennan Cos., Inc.

  Call      7/20/17      USD     78.50          394       (38,516

Pentair PLC

  Call      7/20/17      USD     67.00          294       (27,051

3M Co.

  Call      7/21/17      USD     200.00          60       (54,300

3M Co.

  Call      7/21/17      USD     206.40          193       (86,561

Aetna, Inc.

  Call      7/21/17      USD     140.00          340       (400,350

Allstate Corp.

  Call      7/21/17      USD     86.10          480       (145,302

American International Group, Inc.

  Call      7/21/17      USD     62.50          214       (18,511

Anthem, Inc.

  Call      7/21/17      USD     190.00          263       (61,805

Bank of America Corp.

  Call      7/21/17      USD     23.00          335       (48,073

Bank of America Corp.

  Call      7/21/17      USD     25.00          475       (13,062

Chevron Corp.

  Call      7/21/17      USD     110.00          335       (3,350

Citigroup, Inc.

  Call      7/21/17      USD     62.50          1,122       (527,340

Comcast Corp., Class A

  Call      7/21/17      USD     38.75          863       (73,355

 

See Notes to Financial Statements.      
                
40    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

Dominion Resources, Inc.

  Call      7/21/17      USD     80.00          1,211     $ (12,110

Dow Chemical Co.

  Call      7/21/17      USD     64.00          317       (18,386

Enbridge, Inc.

  Call      7/21/17      USD     40.00          485       (29,100

Exelon Corp.

  Call      7/21/17      USD     37.00          187       (2,805

Exxon Mobil Corp.

  Call      7/21/17      USD     80.00          243       (35,842

Exxon Mobil Corp.

  Call      7/21/17      USD     85.00          208       (1,144

FirstEnergy Corp.

  Call      7/21/17      USD     29.00          550       (28,875

FirstEnergy Corp.

  Call      7/21/17      USD     30.00          1,021       (15,315

Gap, Inc.

  Call      7/21/17      USD     24.00          880       (4,840

Hess Corp.

  Call      7/21/17      USD     52.50          459       (918

Home Depot, Inc.

  Call      7/21/17      USD     160.00          157       (3,768

Honeywell International, Inc.

  Call      7/21/17      USD     132.05          328       (98,012

Invesco Ltd.

  Call      7/21/17      USD     33.00          741       (179,693

Invesco Ltd.

  Call      7/21/17      USD     35.00          644       (48,300

Johnson & Johnson

  Call      7/21/17      USD     127.52          272       (150,970

KeyCorp

  Call      7/21/17      USD     18.00          255       (24,097

Kroger Co.

  Call      7/21/17      USD     24.00          740       (25,900

Kroger Co.

  Call      7/21/17      USD     31.00          109       (545

Marathon Petroleum Corp.

  Call      7/21/17      USD     52.50          311       (35,765

McKesson Corp.

  Call      7/21/17      USD     162.25          60       (25,238

Merck & Co., Inc.

  Call      7/21/17      USD     65.00          447       (27,267

MetLife, Inc.

  Call      7/21/17      USD     52.50          315       (86,625

Microsoft Corp.

  Call      7/21/17      USD     70.00          643       (71,373

Mondelez International, Inc., Class A

  Call      7/21/17      USD     46.00          175       (2,712

Morgan Stanley & Co. LLC

  Call      7/21/17      USD     43.00          498       (102,339

Motorola Solutions, Inc.

  Call      7/21/17      USD     85.00          429       (117,761

NextEra Energy, Inc.

  Call      7/21/17      USD     140.00          186       (37,200

NextEra Energy, Inc.

  Call      7/21/17      USD     145.00          243       (6,075

Nielsen Holdings PLC

  Call      7/21/17      USD     40.00          711       (24,885

Northrop Grumman Corp.

  Call      7/21/17      USD     256.30          179       (64,509

Oracle Corp.

  Call      7/21/17      USD     45.00          1,015       (527,800

Oracle Corp.

  Call      7/21/17      USD     46.00          262       (110,040

Pfizer, Inc.

  Call      7/21/17      USD     33.00          1,416       (112,572

Pfizer, Inc.

  Call      7/21/17      USD     34.00          814       (17,094

PG&E Corp.

  Call      7/21/17      USD     70.00          401       (4,010

Philip Morris International, Inc.

  Call      7/21/17      USD     120.00          175       (16,187

Praxair, Inc.

  Call      7/21/17      USD     130.00          137       (54,115

Procter & Gamble Co.

  Call      7/21/17      USD     87.50          578       (37,859

Prudential Financial, Inc

  Call      7/21/17      USD     110.00          1,255       (138,678

Public Service Enterprise Group, Inc.

  Call      7/21/17      USD     45.00          292       (2,190

QUALCOMM, Inc.

  Call      7/21/17      USD     60.00          300       (6,750

Quest Diagnostics, Inc.

  Call      7/21/17      USD     110.00          409       (74,643

Royal Dutch Shell PLC — ADR, Class A

  Call      7/21/17      USD     55.95          587       (4,808

SK Telecom Co. Ltd. — ADR

  Call      7/21/17      USD     25.00          923       (76,148

Travelers Cos., Inc.

  Call      7/21/17      USD     125.00          237       (66,360

U.S. Bancorp

  Call      7/21/17      USD     52.50          1,577       (103,294

Unilever NV — NY Shares

  Call      7/21/17      USD     57.50          1,300       (32,500

United Parcel Service, Class B

  Call      7/21/17      USD     110.00          140       (25,690

UnitedHealth Group, Inc.

  Call      7/21/17      USD     185.00          142       (52,895

Verizon Communications, Inc.

  Call      7/21/17      USD     46.00          686       (6,517

Wells Fargo & Co.

  Call      7/21/17      USD     52.50          661       (211,520

Weyerhaeuser Co.

  Call      7/21/17      USD     34.00          520       (16,900

Exxon Mobil Corp.

  Call      7/25/17      USD     83.25          118       (2,825

Exelon Corp.

  Call      7/27/17      USD     37.01          312       (6,140

Honeywell International, Inc.

  Call      7/27/17      USD     135.12          310       (45,962

SK Telecom Co. Ltd. — ADR

  Call      7/27/17      USD     25.01          556       (48,118

American International Group, Inc.

  Call      7/28/17      USD     64.00          638       (25,520

Bank of America Corp.

  Call      7/28/17      USD     24.00          1,278       (103,518

Chevron Corp.

  Call      7/28/17      USD     108.00          253       (15,053

Citigroup, Inc.

  Call      7/28/17      USD     65.00          337       (91,833

Dow Chemical Co.

  Call      7/28/17      USD     65.00          962       (60,125

General Electric Co.

  Call      7/28/17      USD     29.50          1,703       (5,109

Halliburton Co.

  Call      7/28/17      USD     44.00          821       (66,501

Home Depot, Inc.

  Call      7/28/17      USD     157.50          200       (18,500

JPMorgan Chase & Co.

  Call      7/28/17      USD     89.00          1,255       (384,658

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    41


Schedule of Investments (continued)

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

JPMorgan Chase & Co.

  Call      7/28/17      USD     91.50          772     $ (121,976

Lockheed Martin Corp.

  Call      7/28/17      USD     282.50          159       (44,043

Marathon Oil Corp.

  Call      7/28/17      USD     13.00          563       (7,882

McKesson Corp.

  Call      7/28/17      USD     167.50          62       (18,755

Merck & Co., Inc.

  Call      7/28/17      USD     66.50          414       (18,837

MetLife, Inc.

  Call      7/28/17      USD     52.50          648       (186,948

Microsoft Corp.

  Call      7/28/17      USD     70.00          245       (31,115

Microsoft Corp.

  Call      7/28/17      USD     70.50          496       (52,576

Mondelez International, Inc., Class A

  Call      7/28/17      USD     45.50          176       (5,984

Morgan Stanley & Co. LLC

  Call      7/28/17      USD     46.00          290       (16,095

Pfizer, Inc.

  Call      7/28/17      USD     32.50          339       (43,562

Pfizer, Inc.

  Call      7/28/17      USD     33.00          549       (47,763

Pfizer, Inc.

  Call      7/28/17      USD     33.50          607       (32,474

Pfizer, Inc.

  Call      7/28/17      USD     34.50          408       (5,712

Procter & Gamble Co.

  Call      7/28/17      USD     89.00          98       (2,793

Public Service Enterprise Group, Inc.

  Call      7/28/17      USD     45.01          856       (10,126

QUALCOMM, Inc.

  Call      7/28/17      USD     57.00          215       (22,145

Suncor Energy, Inc.

  Call      7/28/17      USD     30.50          1,293       (36,204

U.S. Bancorp

  Call      7/28/17      USD     52.00          168       (17,808

United Parcel Service, Class B

  Call      7/28/17      USD     112.00          251       (37,023

UnitedHealth Group, Inc.

  Call      7/28/17      USD     182.50          158       (89,665

UnitedHealth Group, Inc.

  Call      7/28/17      USD     185.00          141       (59,573

Verizon Communications, Inc.

  Call      7/28/17      USD     47.00          214       (1,926

Wells Fargo & Co.

  Call      7/28/17      USD     54.50          150       (26,400

Pfizer, Inc.

  Call      7/31/17      USD     34.25          406       (6,855

PG&E Corp.

  Call      7/31/17      USD     68.50          402       (18,190

SunTrust Bank, Inc.

  Call      7/31/17      USD     57.50          426       (61,774

Taiwan Semiconductor Manufacturing Co. Ltd. — ADR

  Call      7/31/17      USD     36.00          1,151       (63,820

Unilever NV — NY Shares

  Call      7/31/17      USD     56.50          405       (30,980

Coca-Cola Co.

  Call      8/01/17      USD     45.40          615       (26,760

Public Service Enterprise Group, Inc.

  Call      8/01/17      USD     44.40          305       (7,890

Royal Dutch Shell PLC — ADR, Class A

  Call      8/01/17      USD     55.50          154       (3,448

Royal Dutch Shell PLC — ADR, Class A

  Call      8/01/17      USD     53.25          168       (18,357

Anadarko Petroleum Corp.

  Call      8/04/17      USD     47.50          101       (9,241

Bank of America Corp.

  Call      8/04/17      USD     23.50          1,507       (181,594

Cardinal Health, Inc.

  Call      8/04/17      USD     80.50          122       (12,505

Citigroup, Inc.

  Call      8/04/17      USD     65.50          474       (116,367

Dollar General Corp.

  Call      8/04/17      USD     72.50          602       (118,895

Dow Chemical Co.

  Call      8/04/17      USD     64.50          945       (79,853

Gap, Inc.

  Call      8/04/17      USD     23.00          736       (25,024

Hess Corp.

  Call      8/04/17      USD     43.00          853       (207,279

Home Depot, Inc.

  Call      8/04/17      USD     155.00          334       (72,812

Johnson & Johnson

  Call      8/04/17      USD     134.00          277       (44,874

JPMorgan Chase & Co.

  Call      8/04/17      USD     92.50          771       (97,917

KeyCorp

  Call      8/04/17      USD     18.50          1,916       (138,910

Lockheed Martin Corp.

  Call      8/04/17      USD     282.50          154       (50,820

Marathon Oil Corp.

  Call      8/04/17      USD     12.00          1,400       (76,300

Marathon Petroleum Corp.

  Call      8/04/17      USD     51.50          100       (22,250

Merck & Co., Inc.

  Call      8/04/17      USD     65.00          408       (42,432

Microsoft Corp.

  Call      8/04/17      USD     70.50          478       (58,077

Occidental Petroleum Corp.

  Call      8/04/17      USD     62.50          344       (24,596

Procter & Gamble Co.

  Call      8/04/17      USD     90.00          271       (7,452

QUALCOMM, Inc.

  Call      8/04/17      USD     58.00          144       (12,240

Suncor Energy, Inc.

  Call      8/04/17      USD     29.50          830       (61,420

Union Pacific Corp.

  Call      8/04/17      USD     110.00          144       (35,352

Verizon Communications, Inc.

  Call      8/04/17      USD     45.00          855       (47,880

Weyerhaeuser Co.

  Call      8/04/17      USD     34.00          54       (2,970

Aetna, Inc.

  Call      8/08/17      USD     141.90          417       (406,856

Exelon Corp.

  Call      8/08/17      USD     37.01          313       (9,265

Honeywell International, Inc.

  Call      8/08/17      USD     135.12          310       (60,612

Comcast Corp., Class A

  Call      8/09/17      USD     39.90          1,550       (107,001

Taiwan Semiconductor Manufacturing Co. Ltd. — ADR

  Call      8/09/17      USD     35.78          1,045       (86,321

American International Group, Inc.

  Call      8/11/17      USD     63.00          684       (93,708

Anadarko Petroleum Corp.

  Call      8/11/17      USD     46.50          104       (14,872

Bank of America Corp.

  Call      8/11/17      USD     25.00          4,551       (216,173

 

See Notes to Financial Statements.      
                
42    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

Citigroup, Inc.

  Call      8/11/17      USD     68.00          472     $ (54,280

Dollar General Corp.

  Call      8/11/17      USD     72.50          12       (2,520

Dow Chemical Co.

  Call      8/11/17      USD     64.50          483       (45,402

Goldman Sachs Group, Inc.

  Call      8/11/17      USD     232.50          162       (41,958

Hess Corp.

  Call      8/11/17      USD     43.50          743       (173,862

International Paper Co.

  Call      8/11/17      USD     56.00          267       (52,332

JPMorgan Chase & Co.

  Call      8/11/17      USD     91.50          286       (55,198

KeyCorp

  Call      8/11/17      USD     19.00          175       (8,662

MetLife, Inc.

  Call      8/11/17      USD     56.00          404       (44,844

Microsoft Corp.

  Call      8/11/17      USD     70.41          371       (50,814

United Parcel Service, Inc., Class B

  Call      8/11/17      USD     111.00          128       (28,800

Wells Fargo & Co.

  Call      8/11/17      USD     56.00          274       (29,318

Exxon Mobil Corp.

  Call      8/14/17      USD     83.00          156       (8,498

Coca-Cola Co.

  Call      8/15/17      USD     45.40          615       (35,342

Travelers Cos., Inc.

  Call      8/15/17      USD     125.38          385       (136,283

Praxair, Inc.

  Call      8/16/17      USD     135.25          136       (29,834

3M Co.

  Call      8/18/17      USD     212.90          63       (14,656

Aetna, Inc.

  Call      8/18/17      USD     155.00          488       (141,276

Anadarko Petroleum Corp.

  Call      8/18/17      USD     50.00          104       (5,772

Anthem, Inc.

  Call      8/18/17      USD     200.00          129       (20,640

Bank of America Corp.

  Call      8/18/17      USD     24.00          1,276       (128,238

BCE, Inc.

  Call      8/18/17      USD     45.00          251       (21,962

Cardinal Health, Inc.

  Call      8/18/17      USD     82.50          122       (7,930

Citigroup, Inc.

  Call      8/18/17      USD     65.00          229       (67,670

Dollar General Corp.

  Call      8/18/17      USD     75.00          400       (53,000

Dow Chemical Co.

  Call      8/18/17      USD     65.00          473       (48,956

Exelon Corp.

  Call      8/18/17      USD     37.00          189       (8,505

Exxon Mobil Corp.

  Call      8/18/17      USD     85.00          136       (3,604

FirstEnergy Corp.

  Call      8/18/17      USD     29.00          448       (35,840

FirstEnergy Corp.

  Call      8/18/17      USD     30.00          154       (5,390

General Electric Co.

  Call      8/18/17      USD     28.40          2,395       (49,380

International Paper Co.

  Call      8/18/17      USD     56.15          888       (164,885

JPMorgan Chase & Co.

  Call      8/18/17      USD     90.00          815       (234,720

Kroger Co.

  Call      8/18/17      USD     24.00          696       (45,240

Marathon Oil Corp.

  Call      8/18/17      USD     13.00          326       (9,454

Marathon Petroleum Corp.

  Call      8/18/17      USD     53.55          420       (52,500

Marsh & McLennan Cos., Inc.

  Call      8/18/17      USD     79.80          240       (18,813

McKesson Corp.

  Call      8/18/17      USD     165.00          357       (194,565

Merck & Co., Inc.

  Call      8/18/17      USD     65.00          456       (58,140

MetLife, Inc.

  Call      8/18/17      USD     52.50          512       (166,400

Microsoft Corp.

  Call      8/18/17      USD     72.50          1,162       (88,312

Morgan Stanley & Co. LLC

  Call      8/18/17      USD     45.00          1,400       (175,000

Nielsen Holdings PLC

  Call      8/18/17      USD     40.00          589       (73,625

Northrop Grumman Corp.

  Call      8/18/17      USD     260.00          184       (85,560

Occidental Petroleum Corp.

  Call      8/18/17      USD     62.50          344       (32,508

Oracle Corp.

  Call      8/18/17      USD     50.00          2,405       (289,803

Pentair PLC

  Call      8/18/17      USD     70.00          68       (4,420

Pfizer, Inc.

  Call      8/18/17      USD     34.00          801       (35,244

PG&E Corp.

  Call      8/18/17      USD     70.00          194       (5,335

Quest Diagnostics, Inc.

  Call      8/18/17      USD     107.75          425       (211,198

Suncor Energy, Inc.

  Call      8/18/17      USD     31.00          765       (26,775

SunTrust Bank, Inc.

  Call      8/18/17      USD     56.82          425       (75,225

Taiwan Semiconductor Manufacturing Co. Ltd. — ADR

  Call      8/18/17      USD     36.00          566       (45,280

Taiwan Semiconductor Manufacturing Co. Ltd. — ADR

  Call      8/18/17      USD     37.00          941       (44,698

TOTAL SA — ADR

  Call      8/18/17      USD     51.25          1,612       (106,316

Unilever NV — NY Shares

  Call      8/18/17      USD     57.50          429       (22,522

Verizon Communications, Inc.

  Call      8/18/17      USD     47.00          214       (4,494

Weyerhaeuser Co.

  Call      8/18/17      USD     35.00          18       (630

Motorola Solutions, Inc.

  Call      8/22/17      USD     85.85          429       (158,388

Citigroup, Inc.

  Call      8/25/17      USD     63.95          1,435       (569,432

Comcast Corp., Class A

  Call      8/30/17      USD     41.22          707       (38,130

Coca-Cola Co.

  Call      9/01/17      USD     45.40          615       (42,276

Pfizer, Inc.

  Call      9/01/17      USD     34.17          1,602       (68,123

Oracle Corp.

  Call      9/07/17      USD     51.50          1,014       (98,275

Altria Group, Inc.

  Call      9/15/17      USD     76.42          251       (26,285

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    43


Schedule of Investments (continued)

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Exchange-Traded Options Written (continued)  
Description   Put/
Call
       Expiration
Date
       Strike
Price
       Contracts     Value  

Citigroup, Inc.

    Call          9/15/17          USD       67.50          336     $ (66,192

Comcast Corp., Class A

    Call          9/15/17          USD       41.25          1,209       (73,145

Morgan Stanley & Co. LLC

    Call          9/15/17          USD       46.00          596       (71,222

Oracle Corp.

    Call          9/15/17          USD       51.30          862       (91,534

Pfizer, Inc.

    Call          9/15/17          USD       34.00          815       (46,455

Total

                     $ (17,116,741
                    

 

 

 

 

OTC Options Written                          
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Contracts     Value  

NextEra Energy, Inc.

  Call   Bank of America N.A.     07/06/17       USD       137.76       31,300     $ (87,238

SunTrust Bank, Inc.

  Call   Goldman Sachs International     07/06/17       USD       57.22       83,500       (46,025

Public Service Enterprise Group, Inc.

  Call   Morgan Stanley & Co. International PLC     07/11/17       USD       43.54       44,000       (10,075

Publicis Groupe SA

  Call   UBS AG     07/12/17       EUR       68.64       26,600       (4,808

Samsung Electronics Co. Ltd. — GDR

  Call   UBS AG     07/12/17       USD       1,049.51       3,300       (40,325

KeyCorp

  Call   Barclays Bank PLC     07/13/17       USD       18.39       22,300       (13,008

Koninklijke Philips N.V.

  Call   Credit Suisse International     07/18/17       EUR       32.12       113,200       (28,000

NextEra Energy, Inc.

  Call   Bank of America N.A.     07/18/17       USD       137.76       31,300       (112,547

Publicis Groupe SA

  Call   Deutsche Bank AG     07/18/17       EUR       68.98       26,500       (7,381

Samsung Electronics Co. Ltd. — GDR

  Call   UBS AG     07/18/17       USD       1,049.51       3,300       (54,180

Smith & Nephew PLC

  Call   Credit Suisse International     07/18/17       GBP       13.60       51,500       (3,646

AstraZeneca PLC

  Call   Morgan Stanley & Co. International PLC     07/19/17       GBP       53.39       7,700       (13,645

Experian PLC

  Call   Morgan Stanley & Co. International PLC     07/19/17       GBP       15.99       69,600       (13,480

Samsung Electronics Co. Ltd. — GDR

  Call   UBS AG     07/25/17       USD       1,049.51       3,300       (67,724

AstraZeneca PLC

  Call   Credit Suisse International     07/26/17       GBP       53.58       94,200       (200,327

AstraZeneca PLC

  Call   Morgan Stanley & Co. International PLC     07/26/17       GBP       54.54       66,900       (116,991

Diageo PLC — ADR

  Call   Credit Suisse International     07/26/17       GBP       23.63       142,000       (14,230

Koninklijke Philips N.V.

  Call   HSBC Bank PLC     07/26/17       EUR       32.68       100,000       (20,027

Kroger Co.

  Call   Citibank N.A.     07/26/17       USD       30.48       54,000       (1,016

Diageo PLC — ADR

  Call   Morgan Stanley & Co. International PLC     07/27/17       GBP       23.70       71,000       (6,617

Lenovo Group Ltd.

  Call   Morgan Stanley & Co. International PLC     07/27/17       HKD       5.21       3,300,000       (5,915

SK Telecom Co. Ltd. — ADR

  Call   Citibank N.A.     07/27/17       USD       24.53       52,400       (38,304

BCE, Inc.

  Call   Citibank N.A.     07/31/17       USD       45.34       26,700       (13,749

Pfizer, Inc.

  Call   Citibank N.A.     07/31/17       USD       33.32       33,800       (23,041

Diageo PLC — ADR

  Call   Morgan Stanley & Co. International PLC     08/04/17       GBP       23.82       71,000       (10,806

Experian PLC

  Call   Goldman Sachs International     08/04/17       GBP       16.42       118,000       (11,125

Lenovo Group Ltd.

  Call   Morgan Stanley & Co. International PLC     08/04/17       HKD       5.24       3,300,000       (5,209

Publicis Groupe SA

  Call   Morgan Stanley & Co. International PLC     08/08/17       EUR       68.35       19,000       (14,850

Samsung Electronics Co. Ltd. — GDR

  Call   HSBC Bank PLC     08/08/17       USD       1,029.28       3,700       (135,398

Experian PLC

  Call   Morgan Stanley & Co. International PLC     08/09/17       GBP       16.55       108,000       (8,935

Koninklijke Philips N.V.

  Call   Morgan Stanley & Co. International PLC     08/09/17       EUR       33.50       47,600       (12,538

Publicis Groupe SA

  Call   Morgan Stanley & Co. International PLC     08/10/17       EUR       66.17       21,900       (36,702

Becton Dickinson & Co.

  Call   JPMorgan Chase Bank N.A.     08/14/17       USD       193.10       19,400       (115,052

Diageo PLC — ADR

  Call   Morgan Stanley & Co. International PLC     08/16/17       GBP       23.58       52,000       (8,488

Experian PLC

  Call   Morgan Stanley & Co. International PLC     08/16/17       GBP       16.64       108,000       (8,922

Samsung Electronics Co. Ltd. — GDR

  Call   Credit Suisse International     08/16/17       USD       1,022.79       3,600       (156,843

U.S. Bancorp

  Call   Morgan Stanley & Co. International PLC     08/21/17       USD       51.93       56,000       (94,699

Smith & Nephew PLC

  Call   Credit Suisse International     08/22/17       GBP       13.95       75,500       (11,199

Total

              $ (1,573,065
             

 

 

 

 

Transactions in Options Written for the Period Ended June 30, 2017

 

    Calls  
    

Contracts

    Premiums
Received
 

Outstanding options, beginning of period

      2,828,869     $ 20,925,252  

Options written

      22,166,287       72,604,907  

Options exercised

      (3,054,938     (15,098,985

Options expired

      (451     (40,348

Options closed

      (13,335,351     (61,332,716
   

 

 

   

 

 

 

Outstanding options, end of period

      8,604,416     $ 17,058,110  
   

 

 

   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $884,128,147.

 

See Notes to Financial Statements.      
                
44    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Options written

   Options written, at value               $ 18,689,806                       $ 18,689,806  

For the six months ended June 30, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:          Commodity
Contracts
       Credit
Contracts
       Equity
Contracts
       Foreign
Currency
Exchange
Contracts
       Interest
Rate
Contracts
       Other
Contracts
       Total         

Futures Contract

                      $ 1,196                                   $ 1,196    

Options purchased1

                        (1,002                                   (1,002  

Options written

                        (14,543,346                                   (14,543,346  
   

 

 

 

Total

                      $ (14,543,152                                 $ (14,543,152  
   

 

 

 

1    Options purchased are included in net realized gain (loss) from investments.

     

 
                                   
Net Change in Unrealized Appreciation on:         

Options written

                      $ 6,910,289                                   $ 6,910,289    
   

 

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:  

Average market value of option contracts purchased

  $ 816 1 

Average value of option contracts written

  $ 16,427,897  

1   Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

    

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) are as follows:

 

Derivative Financial Instruments:   Assets        Liabilities  

Options

           $ 18,689,806  
 

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

             (17,116,741
 

 

 

 

Total derivative assets and liabilities subject to an MNA

           $ 1,573,065  
 

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of the related collateral received by the Trust:

 

Counterparty  

Derivative Liabilities
Subject to an MNA
by Counterparty

     Derivatives
Available
for Offset
     Non-cash
Collateral
Pledged1
     Cash
Collateral
Pledged
    Net Amount of
Derivative
Liabilities2
 

Bank of America N.A.

    $ 199,785                          $ 199,785  

Barclays Bank PLC

      13,008                            13,008  

Citibank N.A.

      76,110             $ (61,832    $ (14,278      

Credit Suisse International

      414,245               (414,245             

Deutsche Bank AG

      7,381                            7,381  

Goldman Sachs International

      57,150                            57,150  

HSBC Bank PLC

      155,425                      (155,425      

JPMorgan Chase Bank N.A.

      115,052                            115,052  

Morgan Stanley & Co. International PLC

      367,872               (367,872             

UBS AG

      167,037               (167,037             
   

 

 

 

Total

    $ 1,573,065             $ (1,010,986    $ (169,703   $ 392,376  
   

 

 

 

1    Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

2   Net amount represents the net amount payable due to the counterparty in the event of default. Net Amount may be offset further by net options written receivable/payable on the Statements of Assets and Liabilities.

     

    

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    45


Schedule of Investments (concluded)

  

BlackRock Enhanced Equity Dividend Trust (BDJ)

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivatives financial instruments. For information about the Trust’s policy regarding valuation of investments and derivatives financial instruments refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1     Level 2     Level 3     Total  

Assets:

       
Investments:        

Long-Term Investments:

       

Common Stocks

       

Aerospace & Defense

  $ 50,674,635                 $ 50,674,635  

Air Freight & Logistics

    12,073,110                   12,073,110  

Banks

    320,563,007                   320,563,007  

Beverages

    12,726,636     $ 18,124,084             30,850,720  

Capital Markets

    64,656,957                   64,656,957  

Chemicals

    57,082,035                   57,082,035  

Communications Equipment

    14,884,584                   14,884,584  

Diversified Telecommunication Services

    27,161,424                   27,161,424  

Electric Utilities

    53,945,483                   53,945,483  

Energy Equipment & Services

    7,017,253                   7,017,253  

Food & Staples Retailing

    13,898,487                   13,898,487  

Food Products

    5,710,798                   5,710,798  

Health Care Equipment & Supplies

    13,013,837       5,259,117             18,272,954  

Health Care Providers & Services

    132,764,878                   132,764,878  

Hotels, Restaurants & Leisure

    633,406                   633,406  

Household Products

    18,242,238                   18,242,238  

Industrial Conglomerates

    78,890,372       27,377,517             106,267,889  

Insurance

    119,544,387                   119,544,387  

Machinery

    4,817,496                   4,817,496  

Media

    29,687,009       14,012,949             43,699,958  

Multi-Utilities

    41,556,337                   41,556,337  

Multiline Retail

    14,623,240                   14,623,240  

Oil, Gas & Consumable Fuels

    189,535,055                   189,535,055  

Paper & Forest Products

    10,059,597                   10,059,597  

Personal Products

    23,594,763                   23,594,763  

Pharmaceuticals

    112,502,703       32,301,864             144,804,567  

Professional Services

    10,057,399       14,846,218             24,903,617  

Real Estate Investment Trusts (REITs)

    7,376,700                   7,376,700  

Road & Rail

    10,455,360                   10,455,360  

Semiconductors & Semiconductor Equipment

    36,348,018       33,798,562             70,146,580  

Software

    95,563,778                   95,563,778  

Specialty Retail

    23,428,928                   23,428,928  

Technology Hardware, Storage & Peripherals

          8,343,562             8,343,562  

Tobacco

    16,038,956                   16,038,956  

Wireless Telecommunication Services

    10,285,969                   10,285,969  

Short-Terms Securities

    1,218,990                   1,218,990  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 1,640,633,825     $ 154,063,873           $ 1,794,697,698  
 

 

 

   

 

 

   

 

 

   

 

 

 
       

Derivative Financial Instruments1

                               

Liabilities:

       

Equity contracts

  $ (12,962,457   $ (5,727,349         $ (18,689,806

1    Derivative financial instruments are options written, which are shown at value.

     

During the six months ended June 30, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.      
                
46    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments June 30, 2017 (Unaudited)

  

BlackRock Enhanced Global Dividend Trust (BOE)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares     Value  
Australia — 2.1%             

Ansell Ltd.

     581,649     $ 10,607,044  

Ensogo, Ltd. (a)

     418,198       3  

Sonic Healthcare Ltd.

     573,678       10,681,187  
    

 

 

 
               21,288,234  
Belgium — 1.5%             

Anheuser-Busch InBev SA

     93,835       10,363,931  

bpost SA

     208,197       5,028,450  
    

 

 

 
               15,392,381  
Canada — 5.7%             

Rogers Communications, Inc., Class B

     600,492       28,362,226  

TELUS Corp.

     820,119       28,313,331  
    

 

 

 
               56,675,557  
China — 0.8%             

ANTA Sports Products Ltd.

     2,405,000       7,945,247  
Denmark — 1.1%             

Novo Nordisk A/S, Class B

     254,434       10,932,337  
Finland — 1.9%             

Kone OYJ, Class B

     378,629       19,262,773  
France — 2.5%             

Sanofi SA

     264,646       25,358,355  
Germany — 2.5%             

Deutsche Post AG, Registered Shares

     675,301       25,349,614  
Hong Kong — 1.1%             

Sands China Ltd.

     2,282,000       10,445,936  
Japan — 1.3%             

Japan Tobacco, Inc.

     358,400       12,597,070  
Netherlands — 1.2%             

Heineken NV

     126,700       12,319,624  
Sweden — 1.4%             

Svenska Handelsbanken AB, Class A

     937,035       13,420,329  
Switzerland — 9.9%             

Givaudan SA, Registered Shares

     7,300       14,627,732  

Nestle SA, Registered Shares

     302,545       26,387,264  

Novartis AG, Registered Shares

     382,027       31,909,419  

Roche Holding AG

     54,260       13,864,236  

SGS SA, Registered Shares

     5,070       12,293,152  
    

 

 

 
               99,081,803  
Taiwan — 2.6%             

Far EasTone Telecommunications Co. Ltd.

     3,304,000       8,415,224  

Taiwan Semiconductor Manufacturing Co. Ltd.

     2,590,000       17,695,432  
    

 

 

 
               26,110,656  
United Kingdom — 16.8%             

AstraZeneca PLC

     525,120       35,174,385  

British American Tobacco PLC

     553,688       37,729,893  

Diageo PLC

     498,054       14,718,363  

GlaxoSmithKline PLC

     872,498       18,573,082  

Imperial Brands PLC

     746,764       33,557,423  

Lloyds Banking Group PLC

     9,630,811       8,299,604  

Unilever PLC

     357,490       19,346,596  
    

 

 

 
               167,399,346  
United States — 42.9%             

3M Co.

     88,255       18,373,834  

AbbVie, Inc. (b)

     200,328       14,525,783  

Altria Group, Inc. (c)

     535,210       39,857,089  

Cisco Systems, Inc. (b)

     829,702       25,969,673  

Citizens Financial Group, Inc.

     297,440       10,612,659  

Coca-Cola Co. (b)(c)

     525,688       23,577,107  

Genuine Parts Co.

     287,055       26,627,222  

H&R Block, Inc. (b)

     722,343       22,327,622  
Common Stocks    Shares     Value  
United States (continued)             

International Paper Co. (b)

     430,158     $ 24,351,244  

Johnson & Johnson (b)

     246,336       32,587,789  

M&T Bank Corp.

     96,920       15,696,194  

Microsoft Corp. (b)

     249,977       17,230,915  

PepsiCo, Inc.

     128,351       14,823,257  

Pfizer, Inc. (b)(c)

     863,614       29,008,794  

Philip Morris International, Inc. (c)

     239,400       28,117,530  

Procter & Gamble Co. (b)

     170,124       14,826,307  

Reynolds American, Inc.

     163,592       10,640,024  

Strategic Growth Bancorp, (Acquired 3/10/14, cost $5,461,692) (a)(d)(e)

     120,312       4,206,107  

U.S. Bancorp

     296,914       15,415,775  

United Parcel Service, Inc., Class B (b)

     103,122       11,404,262  

United Technologies Corp. (b)

     92,228       11,261,961  

Wells Fargo & Co.(b)

     291,584       16,156,669  
    

 

 

 
               427,597,817  
Total Common Stocks — 95.3%       951,177,079  
    
                  
Preferred Stocks               
India — 0.1%             

Jasper Infotech Private Ltd., Series F, (Acquired 5/7/14, cost $1,888,464), 0.00% (a)(d)(e)

     266       923,307  

Jasper Infotech Private Ltd., Series G, (Acquired 10/29/14, cost $741,913), 0.00% (a)(d)(e)

     88       373,394  
    

 

 

 
               1,296,701  
United States — 1.8%             

Palantir Technologies, Inc., Series I (Acquired 2/7/14, cost $3,118,944), 0.00% (a)(d)(e)

     508,800       4,075,488  

Uber Technologies, Inc., Series D (Acquired 6/06/14, cost $3,845,800), 0.00% (a)(d)(e)

     247,908       13,357,283  
    

 

 

 
               17,432,771  
Total Preferred Stocks — 1.9%              18,729,472  
Total Long-Term Investments
(Cost — $949,493,685) — 97.2%
      969,906,551  
    
                  
Short-Term Securities               

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.84% (f)(g)

     31,045,510       31,045,510  
Total Short-Term Securities
(Cost — $31,045,510) — 3.1%
      31,045,510  
Total Investments Before Options Written
(Cost — $980,539,195) — 100.3%
      1,000,952,061  
    
                  
Options Written
(Premiums Received — $6,038,342) — (0.5)%
             (4,970,133
Total Investments, Net of Options Written (Cost — $974,500,853) — 99.8%       995,981,928  

Other Assets Less Liabilities — 0.2%

 

    1,703,625  
 

 

 

 

Net Assets — 100.0%

 

  $ 997,685,553  
 

 

 

 
 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    47


Schedule of Investments (continued)

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

 

Notes to Schedule of Investments

 

(a)   Non-income producing security.

 

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

 

(c)   All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(d)   Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $22,935,579 and an original cost of $15,056,813, which was 1.9% of its net assets.

 

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

 

(f)   During the six months ended June 30, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
December 31, 2016
     Net
Activity
     Shares
Held at
June 30, 2017
    Value at
June 30,
2017
    Income      Net Realized
Gain
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock T-Fund, Institutional Class

     11,863,116        19,182,394        31,045,510     $ 31,045,510     $ 68,091                

SL Liquidity Series, LLC, Money Market Series

                               32,561 1               

Total

             $ 100,652                
   

 

 

 

1    Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

     

 

(g)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written  
Description   Put/
Call
       Expiration
Date
       Strike
Price
       Contracts     Value  

Cisco Systems, Inc.

    Call          7/21/17          USD       32.00          1,106     $ (16,037

H&R Block, Inc.

    Call          7/21/17          USD       32.00          722       (23,465

International Paper Co.

    Call          7/21/17          USD       57.50          574       (32,431

Microsoft Corp.

    Call          7/21/17          USD       72.50          333       (12,487

Pfizer, Inc.

    Call          7/21/17          USD       33.00          754       (59,943

Pfizer, Inc.

    Call          7/21/17          USD       34.00          195       (4,095

United Parcel Service, Inc., Class B

    Call          7/21/17          USD       110.00          206       (37,801

AbbVie, Inc.

    Call          7/28/17          USD       70.50          400       (96,600

Cisco Systems, Inc.

    Call          7/28/17          USD       32.00          1,106       (24,332

International Paper Co.

    Call          7/28/17          USD       57.00          574       (65,723

Johnson & Johnson

    Call          7/28/17          USD       134.00          329       (48,363

Pfizer, Inc.

    Call          7/28/17          USD       33.50          145       (7,757

Pfizer, Inc.

    Call          7/28/17          USD       34.50          97       (1,358

Procter & Gamble Co.

    Call          7/28/17          USD       89.00          340       (9,690

United Technologies Corp.

    Call          7/28/17          USD       122.00          184       (38,364

Wells Fargo & Co.

    Call          7/28/17          USD       53.50          950       (238,925

Pfizer, Inc.

    Call          7/31/17          USD       34.25          98       (1,655

Coca-Cola Co.

    Call          8/01/17          USD       45.40          700       (30,459

Microsoft Corp.

    Call          8/11/17          USD       70.25          333       (47,852

Coca-Cola Co.

    Call          8/15/17          USD       45.40          700       (40,226

Johnson & Johnson

    Call          8/17/17          USD       134.00          329       (65,357

AbbVie, Inc.

    Call          8/18/17          USD       70.51          400       (107,246

Cisco Systems, Inc.

    Call          8/18/17          USD       32.00          1,106       (61,383

H&R Block, Inc.

    Call          8/18/17          USD       32.00          361       (25,270

International Paper Co.

    Call          8/18/17          USD       57.50          574       (72,037

Microsoft Corp.

    Call          8/18/17          USD       70.25          333       (47,481

Pfizer, Inc.

    Call          8/18/17          USD       34.00          192       (8,448

Procter & Gamble Co.

    Call          8/18/17          USD       90.00          340       (14,110

United Parcel Service, Inc., Class B

    Call          8/18/17          USD       110.00          206       (59,740

United Technologies Corp.

    Call          8/18/17          USD       122.10          184       (42,794

Wells Fargo & Co.

    Call          8/18/17          USD       57.50          126       (7,623

Coca-Cola Co.

    Call          9/01/17          USD       45.40          700       (48,119

Pfizer, Inc.

    Call          9/01/17          USD       34.17          403       (17,137

Johnson & Johnson

    Call          9/05/17          USD       134.00          329       (65,535

Pfizer, Inc.

    Call          9/15/17          USD       34.00          1,571       (89,547

Total

                     $ (1,569,390
                    

 

 

 

 

See Notes to Financial Statements.      
                
48    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

 

OTC Options Written  
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Contracts     Value  

GlaxoSmithKline PLC

  Call   Morgan Stanley & Co. International PLC     07/06/17     GBP     16.23       236,400     $ (67,559

AstraZeneca PLC

  Call   Deutsche Bank AG     07/18/17     GBP     54.34       150,000       (204,218

GlaxoSmithKline PLC

  Call   Deutsche Bank AG     07/18/17     GBP     17.42       135,000       (845

Unilever PLC

  Call   Goldman Sachs International     07/18/17     GBP     44.68       35,000       (3,282

AstraZeneca PLC

  Call   Morgan Stanley & Co. International PLC     07/19/17     GB{     53.39       90,100       (159,665

bpost SA

  Call   Morgan Stanley & Co. International PLC     07/26/17     EUR     22.40       41,500       (2,830

British American Tobacco PLC

  Call   Goldman Sachs International     07/26/17     GBP     55.53       110,500       (25,886

Heineken NV

  Call   Deutsche Bank AG     07/26/17     EUR     88.34       25,000       (9,758

Imperial Brands PLC

  Call   Credit Suisse International     07/26/17     GBP     36.79       100,000       (5,552

Kone OYJ, Class B

  Call   Credit Suisse International     07/26/17     EUR     47.39       80,500       (24,346

Llyods Banking Group PLC

  Call   Credit Suisse International     07/26/17     GBP     0.71       1,925,000       (474

Nestle SA, Registered Shares

  Call   Morgan Stanley & Co. International PLC     07/26/17     CHF     82.37       60,000       (134,318

Novartis AG, Registered Shares

  Call   Credit Suisse International     07/26/17     CHF     79.66       152,000       (282,209

Novo Nordisk A/S, Class B

  Call   Goldman Sachs International     07/26/17     DKK     297.67       50,500       (13,963

Sanofi SA

  Call   Goldman Sachs International     07/26/17     EUR     87.10       52,800       (40,822

SGS SA, Registered Shares

  Call   Morgan Stanley & Co. International PLC     07/26/17     CHF     2,353.79       1,000       (30,047

Svenska Handelsbanken AB, Class A

  Call   Morgan Stanley & Co. International PLC     07/26/17     SEK     125.87       187,000       (10,955

Taiwan Semiconductor Manufacturing Co. Ltd.

  Call   Deutsche Bank AG     07/26/17     USD     211.55       1,159,000       (71,661

Unilever PLC

  Call   HSBC Bank PLC     07/26/17     GBP     43.92       128,000       (43,670

Diageo PLC

  Call   Morgan Stanley & Co. International PLC     07/27/17     GBP     23.70       100,000       (9,320

Deutsche Post AG, Registered Shares

  Call   Morgan Stanley & Co. International PLC     07/27/17     EUR     33.99       138,000       (33,638

Rogers Communications, Inc., Class B

  Call   Deutsche Bank AG     07/27/17     CAD     64.09       80,000       (13,042

3M Co.

  Call   Deutsche Bank AG     08/01/17     USD     209.98       17,700       (54,692

Japan Tobacco, Inc.

  Call   Goldman Sachs International     08/01/17     JPY     4,163.13       71,700       (12,261

M&T Bank Corp.

  Call   UBS AG     08/01/17     USD     166.52       19,400       (43,219

U.S. Bancorp

  Call   Bank of America N.A.     08/01/17     USD     53.57       59,400       (26,650

Altria Group, Inc.

  Call   UBS AG     08/02/17     USD     76.11       71,400       (46,697

Anheuser-Busch InBev SA

  Call   Morgan Stanley & Co. International PLC     08/02/17     EUR     103.44       33,300       (15,326

Sands China Ltd.

  Call   JPMorgan Chase Bank N.A.     08/02/17     HKD     38.19       456,400       (14,211

Reynolds American, Inc.

  Call   Morgan Stanley & Co. International PLC     08/03/17     USD     65.62       32,700       (19,442

ANTA Sports Products Ltd.

  Call   Citibank N.A.     08/04/17     HKD     23.77       481,000       (139,740

bpost SA

  Call   Morgan Stanley & Co. International PLC     08/04/17     EUR     22.40       41,500       (2,852

British American Tobacco PLC

  Call   Goldman Sachs International     08/04/17     GBP     55.80       110,500       (34,576

Diageo PLC

  Call   Morgan Stanley & Co. International PLC     08/04/17     GBP     23.82       100,000       (15,220

Deutsche Post AG, Registered Shares

  Call   Morgan Stanley & Co. International PLC     08/04/17     EUR     34.15       138,000       (49,334

Givaudan SA, Registered Shares

  Call   Bank of America N.A.     08/04/17     CHF     2,009.00       1,500       (15,312

Heineken NV

  Call   Credit Suisse International     08/04/17     EUR     88.77       25,000       (13,701

Kone OYJ, Class B

  Call   Credit Suisse International     08/04/17     EUR     47.62       80,500       (18,336

Llyods Banking Group PLC

  Call   Goldman Sachs International     08/04/17     GBP     0.71       1,925,000       (11,626

Nestle SA, Registered Shares

  Call   Morgan Stanley & Co. International PLC     08/04/17     CHF     82.37       60,000       (146,646

Novo Nordisk A/S, Class B

  Call   Deutsche Bank AG     08/04/17     DKK     298.39       50,500       (26,997

PepsiCo, Inc.

  Call   UBS AG     08/04/17     USD     117.16       25,700       (32,133

Sanofi SA

  Call   Goldman Sachs International     08/04/17     EUR     87.53       52,800       (51,333

SGS SA, Registered Shares

  Call   Morgan Stanley & Co. International PLC     08/04/17     CHF     2,365.38       1,000       (24,897

Svenska Handelsbanken AB, Class A

  Call   Morgan Stanley & Co. International PLC     08/04/17     SEK     126.49       187,000       (9,800

Citizens Financial Group, Inc.

  Call   Barclays Bank PLC     08/07/17     USD     37.57       59,500       (39,039

Ansell Ltd.

  Call   Deutsche Bank AG     08/08/17     AUD     24.21       116,400       (51,244

TELUS CORP.

  Call   Citibank N.A.     08/08/17     CAD     45.23       109,300       (36,532

Genuine Parts Co.

  Call   Goldman Sachs International     08/09/17     USD     95.54       39,700       (43,008

Philip Morris International, Inc.

  Call   JPMorgan Chase Bank N.A.     08/09/17     USD     119.60       48,000       (71,226

Sonic Healthcare Ltd.

  Call   Deutsche Bank AG     08/09/17     AUD     24.67       114,800       (29,251

3M Co.

  Call   Deutsche Bank AG     08/11/17     USD     209.98       17,700       (64,980

Far Eastone Telecommunications Co. Ltd.

  Call   Goldman Sachs International     08/11/17     USD     79.23       661,000       (7,053

Altria Group, Inc.

  Call   UBS AG     08/16/17     USD     76.11       71,400       (63,065

Anheuser-Busch InBev SA

  Call   Goldman Sachs International     08/16/17     EUR     103.08       4,300       (3,461

Rogers Communications, Inc., Class B

  Call   Deutsche Bank AG     08/16/17     CAD     64.09       80,000       (26,582

Genuine Parts Co.

  Call   Goldman Sachs International     08/17/17     USD     95.54       39,700       (50,456

M&T Bank Corp.

  Call   UBS AG     08/17/17     USD     166.52       19,400       (59,216

TELUS CORP.

  Call   Citibank N.A.     08/17/17     CAD     45.23       109,300       (42,596

Roche Holding AG

  Call   Credit Suisse International     08/18/17     CHF     258.91       10,800       (12,064

U.S. Bancorp

  Call   Bank of America N.A.     08/21/17     USD     53.57       59,400       (42,419

Japan Tobacco, Inc.

  Call   Goldman Sachs International     08/22/17     JPY     4,163.13       71,700       (24,121

ANTA Sports Products Ltd.

  Call   JPMorgan Chase Bank N.A.     08/23/17     HKD     23.77       481,000       (149,905

Reynolds American, Inc.

  Call   Morgan Stanley & Co. International PLC     08/23/17     USD     65.62       32,700       (27,047

Sands China Ltd.

  Call   JPMorgan Chase Bank N.A.     08/23/17     HKD     38.19       456,400       (25,388

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    49


Schedule of Investments (continued)

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

OTC Options Written (continued)  
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Contracts     Value  

PepsiCo, Inc.

  Call   UBS AG     08/24/17       USD       117.16       25,700     $ (45,532

Ansell Ltd.

  Call   JPMorgan Chase Bank N.A.     08/25/17       AUD       24.21       116,400       (50,741

Philip Morris International, Inc.

  Call   JPMorgan Chase Bank N.A.     08/25/17       USD       119.60       48,000       (93,223

TELUS CORP.

  Call   Citibank N.A.     08/28/17       CAD       45.23       109,300       (49,353

Altria Group, Inc.

  Call   UBS AG     08/29/17       USD       76.11       71,400       (76,356

Genuine Parts Co.

  Call   Goldman Sachs International     08/29/17       USD       95.54       39,700       (60,624

Sonic Healthcare Ltd.

  Call   JPMorgan Chase Bank N.A.     08/29/17       AUD       24.67       114,800       (37,845

Citizens Financial Group, Inc.

  Call   Barclays Bank PLC     08/30/17       USD       37.57       59,500       (59,421

Rogers Communications, Inc., Class B

  Call   Deutsche Bank AG     08/31/17       CAD       64.09       80,000       (35,874

Far Eastone Telecommunications Co. Ltd.

  Call   Goldman Sachs International     09/01/17       USD       79.23       USD 661,000       (10,060

Total

              $ (3,400,743
             

 

 

 

 

Transactions in Options Written for the Period Ended June 30, 2017

 

    Calls     Puts  
     Contracts     Premiums
Received
    Contracts        Premiums
Received
 

Outstanding options, beginning of period

    12,951,795     $ 11,575,998       505        $ 32,198  

Options written

    65,215,133       41,244,037       114          44,148  

Options exercised

    (456,475     (2,621,253               

Options expired

    (26,411,505     (12,826,720     (505        (32,198

Options closed

    (38,274,348     (31,333,720     (114        (44,148
 

 

 

   

 

 

   

 

 

      

 

 

 

Outstanding options, end of period

    13,024,600     $ 6,038,342                 
 

 

 

   

 

 

   

 

 

      

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $364,029,799.

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments         Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Options written

   Options written, at value               $ 4,970,133                       $ 4,970,133  

For the six months ended June 30, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:          Commodity
Contracts
       Credit
Contracts
       Equity
Contracts
       Foreign
Currency
Exchange
Contracts
       Interest
Rate
Contracts
       Other
Contracts
       Total  

Futures contracts

                      $ 39,453                                   $ 39,453  

Options purchased1

                        36,539                                     36,539  

Options written

                        (12,010,415                                   (12,010,415
   

 

 

 

Total

                      $ (11,934,423                                 $ (11,934,423
   

 

 

 
                                 
Net Change in Unrealized Appreciation (Depreciation) on:  

Options written

                            $ 670,609                                   $ 670,609  

1   Options purchased are included in net realized gain (loss) from investments.

    

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts::  

Average notional value of contracts — long

  $ 100,175,625 1 
Options:  

Average value of option contracts purchased

  $ 569,027 1  

Average value of option contracts written

  $ 8,378,440  

1   Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

    

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

See Notes to Financial Statements.      
                
50    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) are as follows:

 

Derivative Financial Instruments   Assets        Liabilities  

Options

           $ 4,970,133  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

             (1,569,390
 

 

 

 

Total derivative assets and liabilities subject to an MNA

           $ 3,400,743  
 

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral pledged by the Trust:

 

Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged1
       Cash
Collateral
Pledged
       Net Amount of
Derivative
Liabilities2
        

Bank of America N.A.

  $ 84,381                          $ (84,381           

Barclays Bank PLC

    98,460                 $ (98,460                    

Citibank N.A.

    268,221                            (20,000      $ 248,221    

Credit Suisse International

    356,682                   (356,682                    

Deutsche Bank AG

    589,144                   (589,144                    

Goldman Sachs International

    392,532                   (392,532                    

HSBC Bank PLC

    43,670                                     43,670    

JPMorgan Chase Bank N.A.

    442,539                   (314,150                 128,389    

Morgan Stanley & Co. International PLC

    758,896                   (758,896                    

UBS AG

    366,218                   (366,218                    
 

 

 

 

Total

  $ 3,400,743                 $ (2,876,082      $ (104,381      $ 420,280    
 

 

 

 

1   Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

    

 

2   Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

    

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1     Level 2     Level 3     Total  

Assets:

       
Investments:        

Common Stocks:

       

Australia

        $ 21,288,231     $ 3     $ 21,288,234  

Belgium

          15,392,381             15,392,381  

Canada

  $ 56,675,557                   56,675,557  

China

          7,945,247             7,945,247  

Denmark

          10,932,337             10,932,337  

Finland

          19,262,773             19,262,773  

France

          25,358,355             25,358,355  

Germany

          25,349,614             25,349,614  

Hong Kong

          10,445,936             10,445,936  

Japan

          12,597,070             12,597,070  

Netherlands

          12,319,624             12,319,624  

Sweden

          13,420,329             13,420,329  

Switzerland

          99,081,803             99,081,803  

Taiwan

          26,110,656             26,110,656  

United Kingdom

          167,399,346             167,399,346  

United States

    423,391,710             4,206,107       427,597,817  

Preferred Stocks

                18,729,472       18,729,472  

Short-Term Securities

    31,045,510                   31,045,510  
 

 

 

 

Total

  $ 511,112,777     $ 466,903,702     $ 22,935,582     $ 1,000,952,061  
 

 

 

 
       
Derivative Financial Instruments1                                

Liabilities:

       

Equity contracts

    (1,055,530     (3,914,603           (4,970,133

1    Derivative financial instruments are options written, which are shown at value.

     

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    51


Schedule of Investments (concluded)

  

BlackRock Enhanced Global Dividend Trust (BOE)

 

Transfers between Level 1 and Level 2 were as follow:

 

    

Transfers into

Level 1

    Transfers out
of Level 11
   

Transfers into

Level 21

    Transfers out
of Level 2
 

Assets:

       
Long-Term Investments:        

Common Stocks

        $ (16,689,746   $ 16,689,746        

1    External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

     

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

 

    

Common

Stocks

   

Preferred

Stocks

    Total  

Assets:

     

Opening Balance, as of December 31, 2016

  $ 4,421,995     $ 24,994,450     $ 29,416,445  

Transfers into Level 3

                 

Transfers out of Level 3

                 

Accrued discounts/premiums

                 

Net realized gain (loss)

                 

Net change in unrealized appreciation (depreciation)1,2

    (215,885     (6,264,978     (6,480,863

Purchases

                 

Sales

                 
 

 

 

   

 

 

   

 

 

 

Closing Balance, as of June 30, 2017

  $ 4,206,110     $ 18,729,472     $ 22,935,582  
 

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 20172

  $ (215,885   $ (6,264,978   $ (6,480,863
 

 

 

   

 

 

   

 

 

 

1   Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

    

2    Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on derivative financial instruments still held at June 30, 2017 is generally due to derivative financial instruments no longer held or categorized as Level 3 at period end.

     

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end.

 

     Value      Valuation Approach   Unobservable Inputs   Range of
unobservable
Inputs Utilized
  Weighted
Average of
Unobservable Inputs

Assets:

          

Common Stocks

  $ 4,206,107      Market   Tangible Book Value Multiple1   1.75x  
       Illiquidity Discount2   1.46%  

Preferred Stocks3

    18,729,472      Market    Revenue Growth Rate1   131.00%  
       Revenue Multiple1   8.25x — 10.75x   8.83x
       Time to Exit 2   1 year  
       Volatility1   29.00%  
 

 

 

 

 

Total

  $ 22,935,579           
 

 

 

          

1   Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

2   Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

3   For the six months ended June 30, 2017, the valuation technique for investments classified as preferred stocks with a total value of $1,296,701 changed to an Option Pricing Model (“OPM”). The investments were previously valued utilizing Probability-Weighted Expected Return Model (“PWERM”). The change was due to consideration of liquidation preferences and exit strategy.

 

See Notes to Financial Statements.      
                
52    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments June 30, 2017 (Unaudited)

  

BlackRock Enhanced International Dividend Trust (BGY)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares     Value  
Australia — 2.6%  

Ansell Ltd.

     523,055     $ 9,538,514  

Sonic Healthcare Ltd.

     515,888       9,605,207  
    

 

 

 
        19,143,721  
Belgium — 1.9%  

Anheuser-Busch InBev SA

     84,953       9,382,928  

bpost SA

     188,771       4,559,266  
    

 

 

 
        13,942,194  
Canada — 7.1%  

Canadian Pacific Railway Ltd.

     8,600       1,383,706  

Rogers Communications, Inc., Class B

     541,912       25,595,396  

TELUS Corp.

     740,272       25,556,738  
    

 

 

 
        52,535,840  
China — 3.9%  

Alibaba Group Holding Ltd. — ADR (a)(b)

     77,678       10,944,830  

ANTA Sports Products Ltd.

     2,169,600       7,167,571  

Tencent Holdings Ltd.

     290,400       10,418,082  
    

 

 

 
        28,530,483  
Denmark — 1.3%  

Novo Nordisk A/S, Class B

     230,350       9,897,513  
Finland — 2.5%  

Kone OYJ, Class B

     365,441       18,591,833  
France — 5.3%  

AXA SA

     10,400       284,787  

BNP Paribas SA

     79,064       5,692,031  

Dassault Aviation SA

     5,063       7,075,547  

Sanofi SA

     239,046       22,905,365  

Societe Generale SA

     54,570       2,942,722  
    

 

 

 
        38,900,452  
Germany — 5.1%  

Continental AG

     1,400       302,862  

Deutsche Post AG, Registered Shares

     624,361       23,437,416  

Innogy SE (c)

     22,900       901,262  

KION Group AG

     30,360       2,322,312  

SAP SE

     96,900       10,142,652  

Wacker Chemie AG

     4,100       446,235  
    

 

 

 
        37,552,739  
Hong Kong — 2.3%  

AIA Group Ltd.

     998,400       7,304,653  

Melco Resorts & Entertainment Ltd. — ADR (a)

     19,163       430,210  

Sands China Ltd.

     2,052,000       9,393,103  
    

 

 

 
        17,127,966  
India — 1.4%  

Federal Bank, Ltd.

     1,063,500       1,854,172  

HDFC Bank Ltd.

     338,302       8,703,369  
    

 

 

 
        10,557,541  
Ireland — 0.9%  

Ryanair Holdings PLC — ADR (a)(b)

     64,436       6,933,958  
Italy — 0.3%  

Azimut Holding SpA

     23,400       470,757  

Buzzi Unicem SpA

     68,931       1,718,793  
    

 

 

 
        2,189,550  
Japan — 3.7%  

FANUC Corp.

     22,900       4,432,198  

Japan Tobacco, Inc.

     323,600       11,373,917  

Nintendo Co. Ltd.

     21,300       7,131,056  

SMC Corp.

     12,800       3,912,860  

Sumitomo Mitsui Financial Group, Inc.

     22,900       894,118  
    

 

 

 
        27,744,149  
Common Stocks    Shares     Value  
Netherlands — 5.1%  

Aalberts Industries NV

     114,252     $ 4,546,343  

ASML Holding NV

     64,680       8,431,209  

Heineken NV

     114,502       11,133,556  

Koninklijke Philips NV

     186,400       6,635,593  

Royal Dutch Shell PLC, Class B

     261,584       7,022,588  
    

 

 

 
        37,769,289  
Norway — 0.0%  

Statoil ASA

     17,000       281,896  
Portugal — 1.0%  

Galp Energia SGPS SA

     486,604       7,373,879  
South Africa — 1.4%  

Naspers Ltd., Class N

     53,619       10,559,335  
South Korea — 2.0%  

LG Chem Ltd.

     7,645       1,945,449  

Samsung Electronics Co. Ltd.

     6,000       12,496,922  
    

 

 

 
        14,442,371  
Sweden — 2.8%  

Hexagon AB, Class B

     188,266       8,944,451  

Svenska Handelsbanken AB, Class A

     846,390       12,122,100  
    

 

 

 
        21,066,551  
Switzerland — 12.3%  

Givaudan SA, Registered Shares

     6,583       13,191,009  

Nestle SA, Registered Shares

     280,396       24,455,480  

Novartis AG, Registered Shares

     345,282       28,840,234  

Roche Holding AG

     48,966       12,511,540  

SGS SA, Registered Shares

     4,584       11,114,755  

UBS Group AG, Registered Shares (b)

     37,100       630,918  
    

 

 

 
        90,743,936  
Taiwan — 3.2%  

Far EasTone Telecommunications Co. Ltd.

     2,971,000       7,567,080  

Taiwan Semiconductor Manufacturing Co. Ltd.

     2,342,000       16,001,043  
    

 

 

 
        23,568,123  
United Kingdom — 21.6%  

AstraZeneca PLC

     436,880       29,263,759  

BAE Systems PLC

     563,600       4,652,673  

British American Tobacco PLC

     506,741       34,530,790  

CNH Industrial NV

     55,267       626,769  

Diageo PLC — ADR

     449,115       13,272,131  

GlaxoSmithKline PLC

     788,359       16,781,994  

Imperial Brands PLC

     686,880       30,866,408  

Lloyds Banking Group PLC

     8,673,254       7,474,404  

Metro Bank PLC (b)

     53,870       2,517,893  

Rio Tinto PLC

     58,502       2,477,665  

Unilever PLC

     322,806       17,469,571  
    

 

 

 
        159,934,057  
United States — 4.6%  

3M Co. (d)

     79,801       16,613,770  

Microsoft Corp. (a)

     226,034       15,580,524  

Pfizer, Inc. (a)(d)

     16,200       544,158  

Shire PLC — ADR (a)

     8,700       1,437,849  
    

 

 

 
        34,176,301  
Total Common Stocks — 92.3%       683,563,677  
    
                  
Investment Companies — 2.9%  
United States — 2.9%  

WisdomTree Japan Hedged Equity Fund (a)(d)

     420,310       21,856,120  
 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    53


Schedule of Investments (continued)

  

BlackRock Enhanced International Dividend Trust (BGY)

 

Preferred Stocks    Shares     Value  
China — 0.5%  

Xiaoju Kuaizhi, Inc., Series A-17 (Acquired 7/28/15, cost $2,106,332), 0.00% (b)(e)(f)

     76,800     $ 3,911,424  
India — 0.3%  

Jasper Infotech Private Ltd., Series F, (Acquired 5/7/14, cost $2,825,580), 0.00% (b)(e)(f)

     398       1,381,490  

Jasper Infotech Private Ltd., Series G, (Acquired 10/29/14, cost $1,112,870), 0.00% (b)(e)(f)

     132       560,091  
    

 

 

 
        1,941,581  
Total Preferred Stocks — 0.8%       5,853,005  
Total Long-Term Investments
(Cost — $633,209,527) — 96.0%
      711,272,802  
Short-Term Securities    Shares     Value  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.84% (g)(h)

     30,845,879     $ 30,845,879  
Total Short-Term Securities
(Cost — $30,845,879) — 4.2%
      30,845,879  
Total Investments Before Options Written
(Cost — $664,055,406) — 100.2%
      742,118,681  
    
                  
Options Written
(Premiums Received — $4,751,142) — (0.5)%
      (3,858,188
Total Investments, Net of Options Written
(Cost — $659,304,264) — 99.7%
      738,260,493  

Other Assets Less Liabilities — 0.3%

 

    2,130,911  
    

 

 

 

Net Assets — 100.0%

 

  $ 740,391,404  
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

(b)   Non-income producing security.

 

(c)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(d)   All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(e)   Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $5,853,005 and an original cost of $6,044,782, which was 0.8% of its net assets.

 

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

 

(g)   During the six months ended June 30, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares
Held at
December 31, 2016
     Net
Activity
     Shares
Held at
June 30,
2017
    Value at
June 30,
2017
     Income      Net Realized
Gain
   Change in
Unrealized
Appreciation
(Depreciation)

BlackRock Liquidity Funds, T-Fund, Institutional Class

    22,641,400        8,204,479        30,845,879     $ 30,845,879      $ 77,705        

SL Liquidity Series, LLC, Money Market Series

                               501 1       

Total

          $ 30,845,879      $ 78,206        
         

 

 

1    Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

(h)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written        
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value         

Alibaba Group Holding Ltd. — ADR

  Call      7/07/17      USD     124.00          73     $ (125,013  

WisdomTree Japan Hedged Equity Fund

  Call      7/14/17      USD     52.00          410       (19,885  

Alibaba Group Holding Ltd. — ADR

  Call      7/21/17      USD     120.00          52       (109,980  

Canadian Pacific Railway Ltd.

  Call      7/21/17      CAD     215.00          34       (3,474  

Microsoft Corp.

  Call      7/21/17      USD     72.50          301       (11,287  

Pfizer, Inc.

  Call      7/21/17      USD     34.00          17       (357  

Ryanair Holdings PLC — ADR

  Call      7/21/17      USD     110.00          400       (51,000  

WisdomTree Japan Hedged Equity Fund

  Call      7/21/17      USD     52.00          410       (24,600  

Pfizer, Inc.

  Call      7/28/17      USD     33.50          13       (695  

Pfizer, Inc.

  Call      7/28/17      USD     34.50          8       (112  

Shire PLC — ADR

  Call      7/28/17      USD     182.50          34       (2,975  

WisdomTree Japan Hedged Equity Fund

  Call      7/28/17      USD     52.00          410       (30,955  

Pfizer, Inc.

  Call      7/31/17      USD     34.25          9       (152  

 

See Notes to Financial Statements.      
                
54    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Enhanced International Dividend Trust (BGY)

 

Exchange-Traded Options Written (continued)        
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value         

Microsoft Corp.

  Call      8/11/17      USD     70.25          301     $ (43,254  

Alibaba Group Holding Ltd. — ADR

  Call      8/18/17      USD     140.00          185       (139,213  

Melco Resorts & Entertainment Ltd. — ADR

  Call      8/18/17      USD     26.00          76       (1,710  

Microsoft Corp.

  Call      8/18/17      USD     70.25          301       (42,918  

Pfizer, Inc.

  Call      8/18/17      USD     34.00          17       (748  

WisdomTree Japan Hedged Equity Fund

  Call      8/18/17      USD     52.00          900       (94,050        

Total

 

  $ (702,378  
                    

 

 

 

 

OTC Options Written  
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Contracts     Value  

Innogy SE

  Call   Deutsche Bank AG     07/07/17     EUR     34.11       22,900     $ (16,651

Hexagon AB, Class B

  Call   Bank of America N.A.     07/12/17     SEK     388.85       14,600       (25,185

Roche Holding AG

  Call   Credit Suisse International     07/12/17     CHF     269.27       11,000       (22

AstraZeneca PLC

  Call   Deutsche Bank AG     07/18/17     GBP     54.34       92,000       (125,254

Diageo PLC — ADR

  Call   Goldman Sachs International     07/18/17     GBP     24.10       38,000       (613

GlaxoSmithKline PLC

  Call   Deutsche Bank AG     07/18/17     GBP     17.42       60,000       (375

Novartis AG, Registered Shares

  Call   Credit Suisse International     07/18/17     CHF     80.95       33,000       (30,446

Unilever PLC

  Call   Goldman Sachs International     07/18/17     GBP     44.68       14,000       (1,313

Metro Bank PLC

  Call   Credit Suisse International     07/19/17     GBP     38.40       10,400       (1,482

Aalberts Industries NV

  Call   Goldman Sachs International     07/26/17     EUR     36.35       25,500       (2,941

AIA Group Ltd.

  Call   Morgan Stanley & Co. International PLC     07/26/17     HKD     55.86       620,000       (135,947

AstraZeneca PLC

  Call   Goldman Sachs International     07/26/17     GBP     55.00       30,000       (47,329

bpost SA

  Call   Morgan Stanley & Co. International PLC     07/26/17     EUR     22.40       37,500       (2,557

British American Tobacco PLC

  Call   Goldman Sachs International     07/26/17     GBP     55.53       97,500       (22,841

Diageo PLC — ADR

  Call   Credit Suisse International     07/26/17     GBP     23.63       195,800       (19,621

GlaxoSmithKline PLC

  Call   Credit Suisse International     07/26/17     GBP     17.38       146,000       (3,591

Heineken NV

  Call   Deutsche Bank AG     07/26/17     EUR     88.34       22,500       (8,782

Imperial Brands PLC

  Call   Credit Suisse International     07/26/17     GBP     36.79       40,000       (2,221

Kone OYJ, Class B

  Call   Credit Suisse International     07/26/17     EUR     47.39       73,000       (22,078

Koninklijke Philips N.V.

  Call   HSBC Bank PLC     07/26/17     EUR     32.68       74,500       (14,920

Llyods Banking Group PLC

  Call   Credit Suisse International     07/26/17     GBP     0.71       1,735,000       (427

Naspers Ltd., Class N

  Call   Credit Suisse International     07/26/17     ZAR     2,648.44       24,500       (93,327

Nestle SA, Registered Shares

  Call   Morgan Stanley & Co. International PLC     07/26/17     CHF     82.37       54,500       (122,005

Novartis AG, Registered Shares

  Call   Credit Suisse International     07/26/17     CHF     79.66       55,800       (103,600

Novo Nordisk A/S, Class B

  Call   Goldman Sachs International     07/26/17     DKK     297.67       46,000       (12,719

Sanofi SA

  Call   Goldman Sachs International     07/26/17     EUR     87.10       38,800       (29,998

SGS SA, Registered Shares

  Call   Morgan Stanley & Co. International PLC     07/26/17     CHF     2,353.79       900       (27,043

Svenska Handelsbanken AB, Class A

  Call   Morgan Stanley & Co. International PLC     07/26/17     SEK     125.87       169,000       (9,901

Taiwan Semiconductor Manufacturing Co. Ltd.

  Call   Deutsche Bank AG     07/26/17     USD     211.55       1,328,000       (82,110

Unilever PLC

  Call   HSBC Bank PLC     07/26/17     GBP     43.92       93,000       (31,729

Dassault Aviation SA

  Call   Goldman Sachs International     07/27/17     EUR     1,339.66       1,000       (486

Deutsche Post AG, Registered Shares

  Call   Morgan Stanley & Co. International PLC     07/27/17     EUR     33.99       124,500       (30,347

Rogers Communications, Inc., Class B

  Call   Deutsche Bank AG     07/27/17     CAD     64.09       72,000       (11,738

Royal Dutch Shell PLC, Class B

  Call   Credit Suisse International     07/27/17     GBP     22.37       65,000       (1,637

Unilever PLC

  Call   Goldman Sachs International     07/27/17     GBP     43.65       22,000       (8,284

3M Co.

  Call   Deutsche Bank AG     08/01/17     USD     209.98       16,000       (49,439

Imperial Brands PLC

  Call   Bank of America N.A.     08/01/17     GBP     37.40       50,000       (4,178

Japan Tobacco, Inc.

  Call   Goldman Sachs International     08/01/17     JPY     4,163.13       64,700       (11,064

Anheuser-Busch InBev SA

  Call   Morgan Stanley & Co. International PLC     08/02/17     EUR     103.44       6,200       (2,853

Sands China Ltd.

  Call   JPMorgan Chase Bank N.A.     08/02/17     HKD     38.19       410,400       (12,779

ANTA Sports Products Ltd.

  Call   Citibank N.A.     08/04/17     HKD     23.77       434,000       (126,086

AstraZeneca PLC

  Call   Deutsche Bank AG     08/04/17     GBP     54.32       52,000       (86,614

BNP Paribas SA

  Call   Goldman Sachs International     08/04/17     EUR     65.46       43,400       (46,556

bpost SA

  Call   Morgan Stanley & Co. International PLC     08/04/17     EUR     22.40       37,500       (2,577

British American Tobacco PLC

  Call   Goldman Sachs International     08/04/17     GBP     55.80       97,500       (30,508

Buzzi Unicem SpA

  Call   Goldman Sachs International     08/04/17     EUR     24.10       27,500       (3,187

Dassault Aviation SA

  Call   Credit Suisse International     08/04/17     EUR     1,335.87       1,000       (1,344

Deutsche Post AG, Registered Shares

  Call   Morgan Stanley & Co. International PLC     08/04/17     EUR     34.15       124,500       (44,508

Givaudan SA, Registered Shares

  Call   Bank of America N.A.     08/04/17     CHF     2,009.00       1,300       (13,270

Heineken NV

  Call   Credit Suisse International     08/04/17     EUR     88.77       22,500       (12,331

Kone OYJ, Class B

  Call   Credit Suisse International     08/04/17     EUR     47.62       73,000       (16,628

Llyods Banking Group PLC

  Call   Goldman Sachs International     08/04/17     GBP     0.71       1,735,000       (10,478

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    55


Schedule of Investments (continued)

  

BlackRock Enhanced International Dividend Trust (BGY)

 

OTC Options Written (continued)  
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Contracts     Value  

Nestle SA, Registered Shares

  Call   Morgan Stanley & Co. International PLC     08/04/17     CHF     82.37       54,500     $ (133,203

Nintendo Co. Ltd.

  Call   Goldman Sachs International     08/04/17     JPY     35,976.60       8,600       (196,453

Novartis AG, Registered Shares

  Call   Morgan Stanley & Co. International PLC     08/04/17     CHF     80.38       49,300       (70,187

Novo Nordisk A/S, Class B

  Call   Deutsche Bank AG     08/04/17     DKK     298.39       46,000       (24,591

Royal Dutch Shell PLC, Class B

  Call   Goldman Sachs International     08/04/17     GBP     22.37       65,000       (3,391

Sanofi SA

  Call   Goldman Sachs International     08/04/17     EUR     87.53       38,800       (37,722

SGS SA, Registered Shares

  Call   Morgan Stanley & Co. International PLC     08/04/17     CHF     2,365.38       900       (22,407

Svenska Handelsbanken AB, Class A

  Call   Morgan Stanley & Co. International PLC     08/04/17     SEK     126.49       169,000       (8,857

Tencent Holdings Ltd.

  Call   JPMorgan Chase Bank N.A.     08/04/17     HKD     282.19       37,000       (30,276

Ansell Ltd.

  Call   Deutsche Bank AG     08/08/17     AUD     24.21       104,600       (46,049

ASML Holding NV

  Call   Bank of America N.A.     08/08/17     EUR     120.28       35,600       (62,741

BAE Systems PLC

  Call   Credit Suisse International     08/08/17     GBP     6.69       225,400       (10,082

Galp Energia SGPS SA

  Call   Goldman Sachs International     08/08/17     EUR     13.77       50,000       (6,956

SAP SE

  Call   Goldman Sachs International     08/08/17     EUR     96.74       38,700       (25,683

Sanofi SA

  Call   Credit Suisse International     08/08/17     EUR     87.34       18,000       (19,671

Societe Generale SA

  Call   Credit Suisse International     08/08/17     EUR     47.89       20,000       (30,870

TELUS CORP.

  Call   Citibank N.A.     08/08/17     CAD     45.23       98,700       (32,989

LG Chem Ltd.

  Call   Goldman Sachs International     08/09/17     USD     284,707.50       3,000       (35,488

Metro Bank PLC

  Call   Goldman Sachs International     08/09/17     GBP     37.86       11,100       (6,195

Sonic Healthcare Ltd.

  Call   Deutsche Bank AG     08/09/17     AUD     24.67       103,200       (26,296

Hexagon AB, Class B

  Call   Morgan Stanley & Co. International PLC     08/10/17     SEK     390.97       30,000       (69,024

3M Co.

  Call   Deutsche Bank AG     08/11/17     USD     209.98       16,000       (58,739

Far EasTone Telecommunications Co. Ltd.

  Call   Goldman Sachs International     08/11/17     USD     79.23       594,000       (6,338

Anheuser-Busch InBev SA

  Call   Goldman Sachs International     08/16/17     EUR     103.08       27,800       (22,373

CNH Industrial NV

  Call   Credit Suisse International     08/16/17     EUR     10.47       22,200       (8,638

Galp Energia SGPS SA

  Call   Bank of America N.A.     08/16/17     EUR     13.44       50,000       (15,567

GlaxoSmithKline PLC

  Call   Goldman Sachs International     08/16/17     GBP     17.39       109,300       (5,557

Kion Group AG

  Call   Goldman Sachs International     08/16/17     EUR     70.14       12,000       (12,457

Rio Tinto PLC

  Call   Credit Suisse International     08/16/17     GBP     32.48       23,500       (31,970

Rogers Communications, Inc., Class B

  Call   Deutsche Bank AG     08/16/17     CAD     64.09       72,000       (23,924

SMC Corp.

  Call   Bank of America N.A.     08/16/17     JPY     36,159.67       5,100       (23,110

TELUS CORP.

  Call   Citibank N.A.     08/17/17     CAD     45.23       98,700       (38,465

Tencent Holdings Ltd.

  Call   UBS AG     08/17/17     HKD     283.00       79,000       (74,915

Aalberts Industries NV

  Call   Morgan Stanley & Co. International PLC     08/18/17     EUR     37.25       20,000       (3,765

FANUC Corp.

  Call   Morgan Stanley & Co. International PLC     08/18/17     JPY     22,242.14       8,100       (33,586

Hexagon AB, Class B

  Call   Credit Suisse International     08/18/17     SEK     426.25       30,000       (27,990

Japan Tobacco, Inc.

  Call   Goldman Sachs International     08/22/17     JPY     4,163.13       64,700       (21,766

ANTA Sports Products Ltd.

  Call   JPMorgan Chase Bank N.A.     08/23/17     HKD     23.77       434,000       (135,258

Sands China Ltd.

  Call   JPMorgan Chase Bank N.A.     08/23/17     HKD     38.19       410,400       (22,830

Ansell Ltd.

  Call   JPMorgan Chase Bank N.A.     08/25/17     AUD     24.21       104,600       (45,597

TELUS CORP.

  Call   Citibank N.A.     08/28/17     CAD     45.23       98,700       (44,566

Sonic Healthcare Ltd.

  Call   JPMorgan Chase Bank N.A.     08/29/17     AUD     24.67       103,200       (34,021

Rogers Communication, Inc.

  Call   Deutsche Bank AG     08/31/17     CAD     64.09       72,000       (32,286

Far EasTone Telecommunications Co. Ltd.

  Call   Goldman Sachs International     09/01/17     USD     79.23       594,000       (9,041

Total

    $ (3,155,810
             

 

 

 

 

Transactions in Options Written for the Period Ended June 30, 2017

 

    Calls  
    

Contracts

    Notional
(000)
       Premiums
Received
 

Outstanding options, beginning of period

      26,890,966              $ 7,043,095  

Options written

      115,196,708       537,000          28,950,499  

Options exercised

      (45,368,196              (270,455

Options expired

      (41,710              (11,883,854

Options closed

      (83,732,417     (537,000        (19,088,143
   

 

 

   

 

 

      

 

 

 

Outstanding options, end of period

      12,945,351              $ 4,751,142  
   

 

 

   

 

 

      

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $269,002,467.

 

See Notes to Financial Statements.      
                
56    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Enhanced International Dividend Trust (BGY)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
  Credit
Contracts
  Equity
Contracts
    Foreign
Currency
Exchange
Contracts
  Interest
Rate
Contracts
  Other
Contracts
  Total  

Options written

   Options written, at value       $ 3,858,188           $ 3,858,188  

For the six months ended June 30, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:          Commodity
Contracts
   Credit
Contracts
   Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
   Other
Contracts
   Total  

Forward foreign currency exchange contracts

                 $ (2          $ (2

Futures contracts

          $ 344,941                     344,941  

Options purchased1

            (21,287                   (21,287

Options written

            (11,548,380                   (11,548,380
   

 

  

 

  

 

 

    

 

 

    

 

  

 

  

 

 

 

Total

          $ (11,224,726    $ (2          $ (11,224,728
   

 

  

 

  

 

 

    

 

 

    

 

  

 

  

 

 

 
                     
Net Change in Unrealized Appreciation (Depreciation) on:                              

Options written

                $ 2,512,044                   $ 2,512,044  

1   Options purchased are included in net realized gain (loss) from investments.

    

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:  

Average notional value of contracts — long

  $ 28,250,695 1 
Forward foreign currency exchange contracts:  

Average amounts sold — in USD

  $ 4,828 1  
Options:  

Average value of option contracts purchased

  $ 464,884 1  

Average value of option contracts written

  $ 6,612,031  

1   Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

    

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) are as follows:

 

Derivative Financial Instruments   Assets      Liabilities  

Options

       $ 3,858,188  
 

 

    

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

         (702,378
 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

       $ 3,155,810  
 

 

    

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral pledged by the Trust:

 

Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
       Derivatives
Available
for Offset
     Non-cash
Collateral
Pledged1
       Cash
Collateral
Pledged
       Net Amount of
Derivative
Liabilities2
        

Bank of America N.A.

  $ 144,051                      $ (90,000      $ 54,051    

Citibank N.A.

    242,106                        (242,000        106    

Credit Suisse International

    437,976             $ (437,976                    

Deutsche Bank AG

    592,848               (592,848                    

Goldman Sachs International

    617,737               (617,737                    

HSBC Bank PLC

    46,649                                 46,649    

JPMorgan Chase Bank N.A.

    280,761                        (260,000        20,761    

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    57


Schedule of Investments (continued)

  

BlackRock Enhanced International Dividend Trust (BGY)

 

Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
       Derivatives
Available
for Offset
     Non-cash
Collateral
Pledged1
       Cash
Collateral
Pledged
       Net Amount of
Derivative
Liabilities2
        

Morgan Stanley & Co. International PLC

  $ 718,767             $ (718,767                    

UBS AG

    74,915               (17,551      $ (57,364           
 

 

 

 

Total

  $ 3,155,810             $ (2,384,879      $ (649,364      $ 121,567    
 

 

 

 

1   Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

    

 

2   Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

    

 

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1     Level 2     Level 3     Total  

Assets:

       
Investments:        

Common Stocks:

       

Australia

        $ 19,143,721           $ 19,143,721  

Belgium

          13,942,194             13,942,194  

Canada

  $ 52,535,840                   52,535,840  

China

    10,944,830       17,585,653             28,530,483  

Denmark

          9,897,513             9,897,513  

Finland

          18,591,833             18,591,833  

France

          38,900,452             38,900,452  

Germany

          37,552,739             37,552,739  

Hong Kong

    430,210       16,697,756             17,127,966  

India

          10,557,541             10,557,541  

Ireland

    6,933,958                   6,933,958  

Italy

          2,189,550             2,189,550  

Japan

          27,744,149             27,744,149  

Netherlands

          37,769,289             37,769,289  

Norway

          281,896             281,896  

Portugal

          7,373,879             7,373,879  

South Africa

          10,559,335             10,559,335  

South Korea

          14,442,371             14,442,371  

Sweden

          21,066,551             21,066,551  

Switzerland

          90,743,936             90,743,936  

Taiwan

          23,568,123             23,568,123  

United Kingdom

          159,934,057             159,934,057  

United States

    34,176,301                   34,176,301  

Investment Companies

    21,856,120                   21,856,120  

Preferred Stocks

              $ 5,853,005       5,853,005  

Short-Term Securities

    30,845,879                   30,845,879  
 

 

 

 

Total

  $ 157,723,138     $ 578,542,538     $ 5,853,005     $ 742,118,681  
 

 

 

 
       
Derivative Financial Instruments1  

Liabilities:

 

Equity contracts

    (616,054     (3,242,134           (3,858,188

1    Derivative financial instruments are options written, which are shown at value.

     

Transfers between Level 1 and Level 2 were as follow:

 

    

Transfers into

Level 1

   

Transfers out of

Level 11

   

Transfers into

Level 21

   

Transfers out of

Level 2

 

Assets:

 

Long-Term Investments:  

Common Stocks

        $ (18,063,836   $ 18,063,836        

1    External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

     

 

See Notes to Financial Statements.      
                
58    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (concluded)

  

BlackRock Enhanced International Dividend Trust (BGY)

 

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

 

    

Preferred

Stocks

    Total  

Assets:

   

Opening Balance, as of December 31, 2016

  $ 15,855,374     $ 15,855,374  

Transfers into Level 3

           

Transfers out of Level 3

           

Accrued discounts/premiums

           

Net realized gain (loss)

           

Net change in unrealized appreciation (depreciation)1,2

    (10,002,369     (10,002,369

Purchases

           

Sales

           
 

 

 

 

Closing Balance, as of June 30, 2017

  $ 5,853,005     $ 5,853,005  
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 20172

  $ (10,002,369   $ (10,002,369
 

 

 

 

1   Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

    

2    Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on derivative financial instruments still held at June 30, 2017 is generally due to derivative financial instruments no longer held or categorized as Level 3 at period end.

     

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    59


Schedule of Investments June 30, 2017 (Unaudited)

  

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares     Value  
Biotechnology — 23.5%  

AbbVie, Inc. (a)

     39,586     $ 2,870,381  

Acceleron Pharma, Inc. (a)(b)

     46,400       1,410,096  

Acerta Pharma BV, Series B, (Acquired 2/01/16, cost $986,402) (c)(d)

     17,146,440       1,462,591  

Agios Pharmaceuticals, Inc. (a)(b)

     9,600       493,920  

Alder Biopharmaceuticals, Inc. (b)

     5,829       66,742  

Alkermes PLC (a)(b)

     17,800       1,031,866  

Alnylam Pharmaceuticals, Inc. (a)(b)

     19,000       1,515,440  

Amgen, Inc. (a)

     61,422       10,578,711  

Aquinox Pharmaceuticals, Inc. (a)(b)

     17,531       246,661  

Audentes Therapeutics, Inc. (b)

     10,083       192,888  

Avexis, Inc. (a)(b)

     17,252       1,417,424  

Biogen, Inc. (a)(b)

     24,048       6,525,665  

Biohaven Pharmaceutical Holding Co. Ltd. (b)

     13,650       341,250  

BioMarin Pharmaceutical, Inc. (a)(b)

     18,200       1,652,924  

Bioverativ, Inc. (a)(b)

     11,674       702,425  

Celgene Corp. (a)(b)

     97,986       12,725,442  

Galapagos NV — ADR (a)(b)

     4,200       321,384  

Genomic Health, Inc. (a)(b)

     16,500       537,075  

Gilead Sciences, Inc. (a)

     67,200       4,756,416  

Global Blood Therapeutics, Inc. (a)(b)

     16,088       440,007  

Halozyme Therapeutics, Inc. (a)(b)

     49,200       630,744  

Incyte Corp. (a)(b)

     14,500       1,825,695  

Iovance Biotherapeutics, Inc. (b)

     62,723       461,014  

Karyopharm Therapeutics, Inc. (a)(b)

     6,500       58,825  

Myovant Sciences, Ltd. (b)

     29,453       344,600  

Otonomy, Inc. (b)

     9,400       177,190  

Ovid therapeutics, Inc. (b)

     4,600       48,254  

Prothena Corp. PLC (b)

     2,244       121,445  

PTC Therapeutics, Inc. (a)(b)

     15,700       287,781  

Regeneron Pharmaceuticals, Inc. (a)(b)

     9,358       4,596,088  

REGENXBIO, Inc. (b)

     36,250       715,938  

Sage Therapeutics, Inc. (a)(b)

     15,752       1,254,489  

Sarepta Therapeutics, Inc. (a)(b)

     37,450       1,262,440  

Seattle Genetics, Inc. (a)(b)

     22,767       1,177,965  

Spark Therapeutics, Inc. (a)(b)

     4,600       274,804  

Syndax Pharmaceuticals, Inc. (b)

     52,584       734,598  

TESARO, Inc. (a)(b)

     18,431       2,577,760  

Tocagen, Inc. (b)

     11,583       139,343  

Ultragenyx Pharmaceutical, Inc. (a)(b)

     15,100       937,861  

Vertex Pharmaceuticals, Inc. (a)(b)

     60,905       7,848,827  
    

 

 

 
        74,764,969  
Diversified Consumer Services — 0.5%  

Service Corp. International

     43,300       1,448,385  
Health Care Equipment & Supplies — 24.8%  

Abbott Laboratories (a)

     110,500       5,371,405  

Baxter International, Inc. (a)

     138,900       8,409,006  

Becton Dickinson & Co. (a)

     22,233       4,337,881  

Boston Scientific Corp. (a)(b)

     368,184       10,206,060  

C.R. Bard, Inc.

     23,653       7,476,950  

Edwards Lifesciences Corp. (a)(b)

     14,300       1,690,832  

Hologic, Inc. (a)(b)

     84,500       3,834,610  

Intuitive Surgical, Inc. (a)(b)

     5,700       5,331,609  

iRhythm Technologies, Inc. (a)(b)

     7,183       305,206  

Masimo Corp. (a)(b)

     21,500       1,960,370  

Medtronic PLC (a)

     194,100       17,226,375  

ResMed, Inc.

     20,000       1,557,400  

Stryker Corp. (a)

     68,300       9,478,674  

Varian Medical Systems, Inc. (a)(b)

     15,100       1,558,169  
    

 

 

 
        78,744,547  
Health Care Providers & Services — 28.6%  

Aetna, Inc. (a)

     44,311       6,727,739  

Amedisys, Inc. (b)

     58,660       3,684,434  

AmerisourceBergen Corp. (a)

     15,300       1,446,309  

Anthem, Inc.

     50,300       9,462,939  
Common Stocks    Shares     Value  
Health Care Providers & Services (continued)  

Cardinal Health, Inc. (a)

     36,830     $ 2,869,794  

Centene Corp. (b)

     35,300       2,819,764  

Cigna Corp. (a)

     46,100       7,716,679  

DaVita, Inc. (a)(b)

     64,994       4,209,011  

HCA Holdings, Inc. (a)(b)

     35,894       3,129,957  

HealthEquity, Inc. (b)

     12,500       622,875  

Humana, Inc. (a)

     39,200       9,432,304  

McKesson Corp. (a)

     16,100       2,649,094  

Quest Diagnostics, Inc. (a)

     57,300       6,369,468  

Teladoc, Inc. (a)(b)

     20,900       725,230  

UnitedHealth Group, Inc. (a)

     136,402       25,291,659  

Universal Health Services, Inc., Class B (a)

     19,500       2,380,560  

WellCare Health Plans, Inc. (a)(b)

     6,300       1,131,228  
    

 

 

 
        90,669,044  
Life Sciences Tools & Services — 2.1%  

Agilent Technologies, Inc.

     38,500       2,283,435  

Thermo Fisher Scientific, Inc. (a)

     23,100       4,030,257  

Wuxi Biologics Cayman, Inc. (b)(e)

     134,500       505,616  
    

 

 

 
        6,819,308  
Pharmaceuticals — 20.6%  

Allergan PLC (a)

     37,185       9,039,302  

AstraZeneca PLC

     38,776       2,597,353  

Bristol-Myers Squibb Co. (a)

     97,162       5,413,867  

Chugai Pharmaceutical Co. Ltd.

     8,100       303,474  

Dermira, Inc. (a)(b)

     22,100       643,994  

Eli Lilly & Co. (a)

     92,100       7,579,830  

GlaxoSmithKline PLC

     75,300       1,602,930  

Intra-Cellular Therapies, Inc. (b)

     13,701       170,166  

Jazz Pharmaceuticals PLC (a)(b)

     11,400       1,772,700  

Johnson & Johnson (a)

     63,770       8,436,133  

Mallinckrodt PLC (a)(b)

     16,200       725,922  

Merck & Co., Inc. (a)

     91,000       5,832,190  

Merck KGaA

     28,400       3,436,362  

Mylan NV (a)(b)

     66,400       2,577,648  

Novartis AG — ADR

     9,900       826,353  

Pacira Pharmaceuticals, Inc. (a)(b)

     7,800       372,060  

Pfizer, Inc. (a)

     118,398       3,976,989  

Roche Holding AG

     14,500       3,704,965  

Sanofi SA

     15,400       1,475,626  

Sanofi SA — ADR (a)

     37,000       1,772,670  

Theravance Biopharma, Inc. (a)(b)

     4,700       187,248  

Zoetis, Inc. (a)

     47,600       2,969,288  
    

 

 

 
        65,417,070  
Total Common Stocks — 100.1%       317,863,323  
    
                  
Preferred Stock  
Biotechnology — 0.1%  

Ovid Therapeutics Inc., (Acquired 8/7/15, Cost $503,166), 0.00% (b)(c)(d)

     37,565       380,484  
Total Preferred Stocks — 0.1%       380,484  
    
                  
Rights               
Biotechnology — 0.1%  

Dyax Corp., CVR (b)(d)

     61,727       141,355  
Total Long-Term Investments
(Cost — $210,031,572) — 100.3%
      318,385,162  
    
 

 

See Notes to Financial Statements.      
                
60    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Health Sciences Trust (BME)

 

Short-Term Securities    Shares     Value  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.84% (f)(g)

     2,281,623     $ 2,281,623  
Total Short-Term Securities
(Cost — $2,281,623) — 0.7%
      2,281,623  

Total Investments Before Options Written

(Cost — $212,313,195) — 101.0%

 

 

    320,666,785  
    
                  

Options Written

(Premiums Received — $2,322,880) — (1.1)%

             (3,438,994

Total Investments, Net of Options Written

(Cost — $209,990,315) — 99.9%

 

 

    317,227,791  

Other Assets Less Liabilities — 0.1%

 

    308,005  
    

 

 

 

Net Assets — 100.0%

 

  $ 317,535,796  
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

(b)   Non-income producing security.

 

(c)   Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $1,843,075 and an original cost of $1,489,568, which was 0.6% of its net assets.

 

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

 

(e)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(f)   During the six months ended June 30, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate  

Shares

Held at

December 31, 2016

    Net
Activity
    Shares
Held at
June 30,
2017
    Value at
June 30,
2017
    Income     Net Realized
Gain
    Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

    8,611,967       (6,330,344     2,281,623     $ 2,281,623     $ 16,585              

SL Liquidity Series, LLC, Money Market Series

    126,889       (126,889                 1,584 1             

Total

          $ 18,169              
         

 

 

   

 

 

   

 

 

 

1   Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

    

 

(g)   Current yield as of period end.

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

 

Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

Abbott Laboratories

  Call      7/07/17      USD     44.00          113     $ (51,133

Allergan PLC

  Call      7/07/17      USD     225.00          63       (115,290

Baxter International, Inc.

  Call      7/07/17      USD     59.50          134       (16,415

Bristol-Myers Squibb Co.

  Call      7/07/17      USD     55.50          165       (12,292

Celgene Corp.

  Call      7/07/17      USD     118.00          226       (257,640

Eli Lilly & Co.

  Call      7/07/17      USD     82.00          112       (9,800

Humana, Inc.

  Call      7/07/17      USD     235.00          22       (14,630

Medtronic PLC

  Call      7/07/17      USD     86.00          309       (86,366

Merck & Co., Inc.

  Call      7/07/17      USD     64.50          45       (1,372

UnitedHealth Group, Inc.

  Call      7/07/17      USD     177.50          70       (56,525

Becton Dickinson & Co.

  Call      7/10/17      USD     187.00          75       (64,000

Dermira, Inc.

  Call      7/12/17      USD     29.01          77       (7,831

Amgen, Inc.

  Call      7/14/17      USD     157.50          87       (129,195

Celgene Corp.

  Call      7/14/17      USD     117.00          39       (52,065

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    61


Schedule of Investments (continued)

  

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

Cigna Corp.

  Call      7/14/17      USD     170.00          101     $ (12,120

Eli Lilly & Co.

  Call      7/14/17      USD     82.50          113       (9,605

Merck & Co., Inc.

  Call      7/14/17      USD     64.50          55       (2,942

Thermo Fisher Scientific, Inc.

  Call      7/14/17      USD     172.40          38       (14,518

UnitedHealth Group, Inc.

  Call      7/14/17      USD     182.50          40       (16,500

Acceleron Pharma, Inc.

  Call      7/21/17      USD     30.00          162       (38,475

Aetna, Inc.

  Call      7/21/17      USD     140.00          30       (35,325

Alkermes PLC

  Call      7/21/17      USD     60.00          49       (5,512

Alnylam Pharmaceuticals, Inc.

  Call      7/21/17      USD     80.00          17       (5,780

Amgen, Inc.

  Call      7/21/17      USD     165.00          75       (61,500

Avexis, Inc.

  Call      7/21/17      USD     85.00          60       (15,450

Biogen, Inc.

  Call      7/21/17      USD     265.00          24       (23,160

BioMarin Pharmaceutical, Inc.

  Call      7/21/17      USD     95.00          61       (10,370

Bioverativ Inc.

  Call      7/21/17      USD     55.00          40       (23,000

Boston Scientific Corp.

  Call      7/21/17      USD     27.00          287       (27,409

Celgene Corp.

  Call      7/21/17      USD     120.00          38       (39,900

DaVita, Inc.

  Call      7/21/17      USD     67.50          227       (8,512

Edwards Lifesciences Corp.

  Call      7/21/17      USD     115.00          50       (22,500

Eli Lilly & Co.

  Call      7/21/17      USD     80.00          87       (24,621

Galapagos NV — ADR

  Call      7/21/17      USD     90.00          14       (7,000

Gilead Sciences, Inc.

  Call      7/21/17      USD     67.50          177       (64,605

Global Blood Therapeutics, Inc.

  Call      7/21/17      USD     30.00          56       (5,180

Hologic, Inc.

  Call      7/21/17      USD     45.00          295       (30,238

Humana, Inc.

  Call      7/21/17      USD     235.00          53       (43,195

Incyte Corp.

  Call      7/21/17      USD     125.00          50       (26,000

Intuitive Surgical, Inc.

  Call      7/21/17      USD     865.00          19       (144,115

Jazz Pharmaceuticals PLC

  Call      7/21/17      USD     155.00          13       (5,590

Johnson & Johnson

  Call      7/21/17      USD     127.52          108       (59,944

Karyopharm Therapeutics, Inc.

  Call      7/21/17      USD     10.00          22       (550

Medtronic PLC

  Call      7/21/17      USD     87.50          132       (22,308

Pacira Pharmaceuticals, Inc.

  Call      7/21/17      USD     45.00          27       (10,665

Pfizer, Inc.

  Call      7/21/17      USD     33.00          56       (4,452

PTC Therapeutics, Inc.

  Call      7/21/17      USD     17.00          54       (10,530

Quest Diagnostics, Inc.

  Call      7/21/17      USD     110.00          97       (17,703

Sage Therapeutics, Inc.

  Call      7/21/17      USD     90.00          55       (8,525

Sanofi SA — ADR

  Call      7/21/17      USD     50.00          108       (3,240

Spark Therapeutics, Inc.

  Call      7/21/17      USD     60.00          20       (6,250

Stryker Corp.

  Call      7/21/17      USD     140.00          122       (17,385

Teladoc, Inc.

  Call      7/21/17      USD     35.00          73       (9,490

Theravance Biopharma, Inc.

  Call      7/21/17      USD     40.00          16       (2,960

Thermo Fisher Scientific, Inc.

  Call      7/21/17      USD     175.00          42       (10,710

Ultragenyx Pharmaceutical, Inc.

  Call      7/21/17      USD     65.00          52       (11,310

UnitedHealth Group, Inc.

  Call      7/21/17      USD     180.00          113       (82,208

UnitedHealth Group, Inc.

  Call      7/21/17      USD     185.00          41       (15,273

Universal Health Services, Inc., Class B

  Call      7/21/17      USD     120.00          70       (26,600

Vertex Pharmaceuticals, Inc.

  Call      7/21/17      USD     125.00          63       (44,730

WellCare Health Plans, Inc.

  Call      7/21/17      USD     175.00          25       (16,000

Zoetis, Inc.

  Call      7/21/17      USD     60.35          62       (14,811

Genomic Health, Inc.

  Call      7/25/17      USD     33.01          57       (5,707

Abbott Laboratories

  Call      7/28/17      USD     48.00          121       (15,670

AmerisourceBergen Corp.

  Call      7/28/17      USD     98.00          33       (2,887

Baxter International, Inc.

  Call      7/28/17      USD     60.01          133       (16,601

Boston Scientific Corp.

  Call      7/28/17      USD     28.00          321       (19,581

HCA Holdings, Inc

  Call      7/28/17      USD     86.00          81       (22,680

Jazz Pharmaceuticals PLC

  Call      7/28/17      USD     155.00          26       (11,960

Mallinckrodt PLC

  Call      7/28/17      USD     46.00          56       (9,100

McKesson Corp.

  Call      7/28/17      USD     167.50          53       (16,033

Merck & Co., Inc.

  Call      7/28/17      USD     66.50          59       (2,684

Regeneron Pharmaceuticals, Inc.

  Call      7/28/17      USD     525.00          16       (10,240

UnitedHealth Group, Inc.

  Call      7/28/17      USD     182.50          172       (97,610

UnitedHealth Group, Inc.

  Call      7/28/17      USD     185.00          41       (17,323

Vertex Pharmaceuticals, Inc.

  Call      7/28/17      USD     129.00          129       (79,980

Zoetis, Inc.

  Call      7/31/17      USD     63.00          100       (7,258

AbbVie, Inc.

  Call      8/04/17      USD     73.00          66       (7,161

Amgen, Inc.

  Call      8/04/17      USD     177.50          52       (12,090

 

See Notes to Financial Statements.      
                
62    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)        
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value         

Biogen, Inc.

  Call      8/04/17        USD       280.00          57     $ (33,060  

Boston Scientific Corp.

  Call      8/04/17        USD       28.00          83       (5,851  

Bristol-Myers Squibb Co.

  Call      8/04/17        USD       57.00          175       (24,238  

Cardinal Health, Inc.

  Call      8/04/17        USD       80.50          64       (6,560  

Gilead Sciences, Inc.

  Call      8/04/17        USD       72.50          58       (8,642  

Johnson & Johnson

  Call      8/04/17        USD       134.00          115       (18,630  

Medtronic PLC

  Call      8/04/17        USD       89.50          245       (25,725  

Merck & Co., Inc.

  Call      8/04/17        USD       65.00          114       (11,856  

Mylan NV

  Call      8/04/17        USD       39.50          232       (22,620  

Aetna, Inc.

  Call      8/08/17        USD       141.90          104       (101,470  

Allergan PLC

  Call      8/11/17        USD       252.50          67       (19,363  

AmerisourceBergen Corp.

  Call      8/11/17        USD       97.00          20       (3,750  

Abbott Laboratories

  Call      8/18/17        USD       49.00          152       (14,896  

AbbVie, Inc.

  Call      8/18/17        USD       70.00          78       (23,946  

Agios Pharmaceuticals, Inc.

  Call      8/18/17        USD       60.00          33       (3,712  

Alkermes PLC

  Call      8/18/17        USD       65.00          13       (1,592  

Alnylam Pharmaceuticals, Inc.

  Call      8/18/17        USD       70.00          49       (59,045  

Aquinox Pharmaceuticals, Inc.

  Call      8/18/17        USD       15.00          61       (5,490  

Baxter International, Inc.

  Call      8/18/17        USD       60.00          177       (35,046  

Boston Scientific Corp.

  Call      8/18/17        USD       27.00          514       (69,647  

Boston Scientific Corp.

  Call      8/18/17        USD       28.00          83       (6,391  

Cardinal Health, Inc.

  Call      8/18/17        USD       82.50          64       (4,160  

Celgene Corp.

  Call      8/18/17        USD       135.00          39       (9,789  

Cigna Corp.

  Call      8/18/17        USD       175.00          60       (13,200  

Halozyme Therapeutics, Inc.

  Call      8/18/17        USD       14.00          172       (6,880  

HCA Holdings, Inc

  Call      8/18/17        USD       87.50          44       (11,770  

Humana, Inc.

  Call      8/18/17        USD       240.00          19       (16,055  

iRhythm Technologies, Inc.

  Call      8/18/17        USD       40.00          25       (10,250  

Masimo Corp.

  Call      8/18/17        USD       100.00          11       (1,787  

McKesson Corp.

  Call      8/18/17        USD       165.00          3       (1,635  

Merck & Co., Inc.

  Call      8/18/17        USD       65.00          45       (5,737  

Quest Diagnostics, Inc.

  Call      8/18/17        USD       107.75          103       (51,184  

Regeneron Pharmaceuticals, Inc.

  Call      8/18/17        USD       515.00          16       (25,760  

Sarepta Therapeutics, Inc.

  Call      8/18/17        USD       36.00          131       (29,672  

TESARO, Inc.

  Call      8/18/17        USD       155.00          64       (38,400  

Varian Medical System, Inc.

  Call      8/18/17        USD       105.00          28       (6,930  

Vertex Pharmaceuticals, Inc.

  Call      8/18/17        USD       135.00          21       (12,495  

Pfizer, Inc.

  Call      9/01/17        USD       34.17          362       (15,394        

Total

 

  $ (3,110,513  
                    

 

 

   

 

OTC Options Written  
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
  Contracts     Value  

Baxter International, Inc.

  Call   Bank of America N.A.     07/06/17     USD   56.46     4,200     $ (17,616

Humana, Inc.

  Call   Barclays Bank PLC     07/12/17     USD   228.00     4,300       (56,553

Stryker Corp.

  Call   Barclays Bank PLC     07/12/17     USD   137.75     11,700       (29,800

Agilent Technologies, Inc.

  Call   Barclays Bank PLC     07/13/17     USD   56.00     13,000       (45,833

Sanofi SA — ADR

  Call   Morgan Stanley & Co. International PLC     07/14/17     EUR   90.04     5,300       (197

AstraZeneca PLC

  Call   Morgan Stanley & Co. International PLC     07/19/17     GBP   53.39     13,200       (23,391

Masimo Corp.

  Call   Credit Suisse International     07/20/17     USD   87.00     6,400       (35,162

Service Corp. International

  Call   Barclays Bank PLC     07/24/17     USD   32.15     14,700       (24,828

Amedisys, Inc.

  Call   Deutsche Bank AG     07/31/17     USD   63.52     20,000       (29,934

HealthEquity, Inc.

  Call   Citibank N.A.     07/31/17     USD   51.72     5,000       (5,768

Novartis AG — ADR

  Call   Citibank N.A.     07/31/17     USD   81.34     3,400       (10,841

Syndax Pharmaceuticals, Inc.

  Call   Morgan Stanley & Co. International PLC     08/03/17     USD   15.90     18,400       (16,683

GlaxoSmithKline PLC

  Call   Goldman Sachs International     08/16/17     GBP   17.39     26,300       (1,337

Merck & Co., Inc.

  Call   Goldman Sachs International     08/16/17     EUR   111.09     9,600       (14,188

Roche Holding AG

  Call   Credit Suisse International     08/18/17     CHF   258.91     2,500       (2,793

REGENXBIO, Inc.

  Call   Citibank N.A.     08/28/17     USD   22.80     12,600       (13,557

Total

 

  $ (328,481
               

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    63


Schedule of Investments (continued)

  

BlackRock Health Sciences Trust (BME)

 

 

Transactions in Options Written for the Period Ended June 30, 2017

 

           Calls  
            Contracts     Premiums
Received
 

Outstanding options, beginning of period

      190,155     $ 2,428,175  

Options written

      761,116       10,262,111  

Options exercised

      (339     (34,224

Options expired

      (126,496     (2,135,113

Options closed

      (643,493     (8,198,069
   

 

 

   

 

 

 

Outstanding options, end of period

      180,943     $ 2,322,880  
   

 

 

   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $97,564,375.

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Options written

   Options written, at value               $ 3,438,994                       $ 3,438,994  

For the six months ended June 30, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:   Commodity
Contracts
       Credit
Contracts
       Equity
Contracts
       Foreign
Currency
Exchange
Contracts
       Interest
Rate
Contracts
       Other
Contracts
       Total  

Options purchased1

                      $ (280                                 $ (280

Options written

                        (4,475,585                                   (4,475,585
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total

                      $ (4,475,865                                 $ (4,475,865
   

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
                                 

1   Options purchased are included in net realized gain (loss) from investments.

    

                                 
Net Change in Unrealized Appreciation (Depreciation) on:  

Options written

                            $ (1,617,344                                 $ (1,617,344

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:  

Average value of option contracts purchased

  $ 228 1  

Average value of option contracts written

  $ 2,792,921  

1   Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

    

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) are as follows:

 

Derivative Financial Instruments   Assets        Liabilities  

Options

           $ 3,438,994  
 

 

 

      

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

             (3,110,513
 

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

           $ 328,481  
 

 

 

      

 

 

 

 

See Notes to Financial Statements.      
                
64    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (concluded)

  

BlackRock Health Sciences Trust (BME)

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral pledged by the Trust:

 

Counterparty  

Derivative Liabilities
Subject to an MNA
by Counterparty

       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
       Net Amount of
Derivative
Liabilities1
        

Bank of America N.A.

  $ 17,616                                   $ 17,616    

Barclays Bank PLC

    157,014                                     157,014    

Citibank N.A.

    30,166                                     30,166    

Credit Suisse International

    37,955                                     37,955    

Deutsche Bank AG

    29,934                                     29,934    

Goldman Sachs International

    15,525                                     15,525    

Morgan Stanley & Co. International PLC

    40,271                                     40,271    
 

 

 

 

Total

  $ 328,481                                   $ 328,481    
 

 

 

 

1   Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

    

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1     Level 2     Level 3     Total  

Assets:

       
Investments:        

Long-Term Investments:

       

Common Stocks:

       

Biotechnology

  $ 73,302,378           $ 1,462,591     $ 74,764,969  

Diversified Consumer Services

    1,448,385                   1,448,385  

Health Care Equipment & Supplies

    78,744,547                   78,744,547  

Health Care Providers & Services

    90,669,044                   90,669,044  

Life Sciences Tools & Services

    6,819,308                   6,819,308  

Pharmaceuticals

    52,296,360     $ 13,120,710             65,417,070  

Preferred Stock

                380,484       380,484  

Rights

                141,355       141,355  

Short-Term Securities

    2,281,623                   2,281,623  
 

 

 

 

Total

  $ 305,561,645     $ 13,120,710     $ 1,984,430     $ 320,666,785  
 

 

 

 
       
Derivative Financial Instruments1                                

Liabilities:

       

Equity contracts

  $ (2,751,795   $ (687,199         $ (3,438,994

1   Derivative financial instruments are options written, which are shown at value.

    

During the six months ended June 30, 2017, there were no transfers between Level 1 and Level 2.

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

 

    

Common

Stocks

   

Preferred

Stocks

    Rights     Total  

Assets:

  $ 1,452,303     $ 503,166     $ 68,517     $ 2,023,986  

Opening Balance, as of December 31, 2016

                       

Transfers into Level 3

                       

Transfers out of Level 3

                       

Accrued discounts/premiums

                       

Net realized gain (loss)

                       

Net change in unrealized appreciation (depreciation)1,2

    10,288       (122,682     72,838       (39,556

Purchases

                       

Sales

                       
 

 

 

   

 

 

   

 

 

   

 

 

 

Closing Balance, as of June 30, 2017

  $ 1,462,591     $ 380,484     $ 141,355     $ 1,984,430  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 20172

  $ 10,288     $ (122,682   $ 72,838     $ (39,556
 

 

 

   

 

 

   

 

 

   

 

 

 

1   Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 

2    Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on derivative financial instruments still held at June 30, 2017 is generally due to derivative financial instruments no longer held or categorized as Level 3 at period end.

    

     

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    65


Consolidated Schedule of Investments June 30, 2017 (Unaudited)

  

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares     Value  
Chemicals — 13.5%             

Agrium, Inc.

     234,401     $ 21,243,955  

CF Industries Holdings, Inc. (a)

     850,336       23,775,395  

Monsanto Co. (b)

     364,970       43,197,849  

Mosaic Co. (a)

     219,733       5,016,504  

Potash Corp. of Saskatchewan, Inc. (a)

     1,149,440       18,735,872  

Yara International ASA

     266,000       10,002,199  
    

 

 

 
               121,971,774  
Containers & Packaging — 2.8%             

Packaging Corp. of America (a)

     227,819       25,376,758  
Energy Equipment & Services — 4.4%             

Baker Hughes, Inc. (a)

     213,777       11,652,984  

Halliburton Co. (a)(b)

     347,800       14,854,538  

Precision Drilling Corp. (c)

     1,749,350       5,975,957  

Superior Energy Services, Inc. (a)(b)(c)

     654,550       6,826,956  
    

 

 

 
               39,310,435  
Food Products — 4.6%             

AGT Food & Ingredients, Inc.

     46,482       834,439  

BRF SA — ADR

     997,160       11,756,516  

Bunge Ltd. (a)

     85,461       6,375,391  

Elders, Ltd. (c)

     1,246,695       5,126,422  

Glanbia PLC

     407,065       7,961,912  

Origin Enterprises PLC

     1,342,955       9,790,600  
    

 

 

 
               41,845,280  
Machinery — 1.2%             

Deere & Co. (a)

     89,759       11,093,315  
Metals & Mining — 33.2%             

Barrick Gold Corp. (a)

     398,909       6,346,642  

BHP Billiton PLC

     1,950,000       29,875,362  

Boliden AB

     328,757       8,986,547  

Detour Gold Corp. (c)

     422,269       4,942,970  

First Quantum Minerals Ltd.

     1,804,555       15,265,244  

Fortescue Metals Group Ltd.

     1,944,962       7,785,862  

Franco-Nevada Corp.

     72,000       5,195,126  

Fresnillo PLC

     691,401       13,402,621  

Glencore PLC (c)

     11,085,484       41,539,811  

Lundin Mining Corp.

     2,417,438       13,738,833  

Neo Lithium Corp. (c)(d)

     3,000,000       2,660,395  

Nevsun Resources, Ltd.

     3,527,285       8,513,573  

Newcrest Mining Ltd.

     1,665,137       25,842,510  

Newmont Mining Corp. (a)

     333,240       10,793,644  

Public Joint Stock Company Polyus

     144,076       4,840,954  

Rio Tinto PLC — ADR (a)

     841,129       35,588,168  

South32 Ltd.

     5,060,093       10,421,291  

Teck Resources Ltd., Class B

     995,607       17,253,869  

Vale SA — ADR (a)

     1,942,546       16,997,278  

Wheaton Precious Metals Corp.

     1,011,384       20,116,428  
    

 

 

 
               300,107,128  
Oil, Gas & Consumable Fuels — 35.6%             

Anadarko Petroleum Corp. (a)

     297,675       13,496,584  

BP PLC — ADR (a)

     1,389,155       48,134,221  

Cairn Energy PLC (c)

     2,536,430       5,694,758  

Canadian Natural Resources Ltd.

     468,500       13,518,870  

Chevron Corp. (a)

     241,802       25,227,203  
Common Stocks    Shares     Value  
Oil, Gas & Consumable Fuels (continued)             

Cimarex Energy Co.

     120,067     $ 11,287,499  

ConocoPhillips (a)(b)

     546,444       24,021,678  

Devon Energy Corp. (a)

     392,750       12,556,217  

Encana Corp.

     1,318,600       11,601,809  

Eni SpA — ADR

     416,520       12,520,591  

EOG Resources, Inc. (a)

     275,926       24,976,822  

Exxon Mobil Corp. (a)(b)

     339,196       27,383,293  

Hess Corp. (a)

     216,422       9,494,433  

Kosmos Energy Ltd. (c)

     1,258,200       8,065,062  

Pioneer Natural Resources Co. (a)

     97,750       15,598,945  

Royal Dutch Shell PLC — ADR, Class A (a)

     1,091,674       58,066,140  
    

 

 

 
               321,644,125  
Paper & Forest Products — 1.4%             

International Paper Co. (a)

     187,940       10,639,283  

Precious Woods Holding AG (c)

     20,000       127,229  

Quintis, Ltd. (d)

     7,903,565       2,186,885  
    

 

 

 
               12,953,397  
Real Estate Investment Trusts (REITs) — 2.1%             

Weyerhaeuser Co. (a)

     555,764       18,618,094  
Total Common Stocks — 98.8%              892,920,306  
    
                  
Corporate Bonds — 1.0%   

Par  

(000)

        
Metals & Mining — 1.0%             

Pilgangoora Operations Pty Ltd, 12.00%, 6/21/22

   $ 9,000       9,000,000  
Total Long-Term Investments
(Cost — $828,279,183) — 99.8%
      901,920,306  
    
                  
    
Short-Term Securities    Shares         

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.84% (e)(f)

     11,869,538       11,869,538  

SL Liquidity Series, LLC, Money Market Series, 1.27% (e)(f)(g)

     1,169,967       1,170,084  
Total Short-Term Securities
(Cost — $13,039,589) — 1.4%
      13,039,622  
Total Investments Before and Options Written
(Cost — $841,318,772) — 101.2%
      914,959,928  
    
                  
    
Options Written
(Premiums Received — $7,411,352) — (0.7)%
      (6,017,340
Total Investments, Net of Options Written
(Cost — $833,907,420) — 100.5%
      908,942,588  

Liabilities in Excess of Other Assets — (0.5)%

 

    (4,726,810
    

 

 

 

Net Assets — 100.0%

 

  $ 904,215,778  
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

(b)   All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(c)   Non-income producing security.

 

(d)   Security, or a portion of the security, is on loan.

 

See Notes to Financial Statements.      
                
66    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

 

(e)   During the six months ended June 30, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
December 31, 2016
     Net
Activity
     Shares
Held at
June 30,
2017
    Value at
June 30,
2017
     Income      Realized
Gain
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     12,603,929        (734,391      11,869,538     $ 11,869,538      $ 37,097                

SL Liquidity Series, LLC, Money Market Series

     3,936,869        (2,766,902      1,169,967       1,170,084        98,570 1            $ (171

Total

           $ 13,039,622      $ 135,667             $ (171
          

 

 

    

 

 

    

 

 

    

 

 

 

1    Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

     

 

(f)   Current yield as of period end.

 

(g)   Security was purchased with the cash collateral from loaned securities.

 

Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

Anadarko Petroleum Corp.

  Call      7/07/17      USD     53.50          87     $ (348

Baker Hughes, Inc.

  Call      7/07/17      USD     56.00          62       (4,030

BP PLC — ADR

  Call      7/07/17      USD     36.00          630       (1,260

CF Industries Holdings, Inc.

  Call      7/07/17      USD     28.00          850       (35,275

Chevron Corp.

  Call      7/07/17      USD     107.00          174       (783

ConocoPhillips

  Call      7/07/17      USD     46.00          89       (267

Deere & Co.

  Call      7/07/17      USD     128.00          112       (672

Devon Energy Corp.

  Call      7/07/17      USD     37.50          59       (236

EOG Resources, Inc.

  Call      7/07/17      USD     94.00          74       (740

Exxon Mobil Corp.

  Call      7/07/17      USD     82.00          61       (610

Newmont Mining Corp.

  Call      7/07/17      USD     35.50          135       (270

Pioneer Natural Resources Co.

  Call      7/07/17      USD     172.50          115       (9,200

Potash Corp. of Saskatchewan, Inc.

  Call      7/07/17      USD     16.50          688       (5,504

Royal Dutch Shell PLC — ADR, Class A

  Call      7/07/17      USD     55.95          1,976       (923

Vale SA — ADR

  Call      7/07/17      USD     9.50          778       (1,556

Chevron Corp.

  Call      7/13/17      USD     107.50          174       (3,289

Anadarko Petroleum Corp.

  Call      7/14/17      USD     52.50          243       (972

Baker Hughes, Inc.

  Call      7/14/17      USD     56.00          494       (19,760

Barrick Gold Corp.

  Call      7/14/17      USD     17.00          315       (1,890

BP PLC — ADR

  Call      7/14/17      USD     36.00          630       (3,465

CF Industries Holdings, Inc.

  Call      7/14/17      USD     29.50          850       (18,275

Deere & Co.

  Call      7/14/17      USD     128.00          113       (2,260

Devon Energy Corp.

  Call      7/14/17      USD     35.00          459       (3,672

EOG Resources, Inc.

  Call      7/14/17      USD     91.50          143       (15,086

Exxon Mobil Corp.

  Call      7/14/17      USD     81.00          202       (13,130

Pioneer Natural Resources Co.

  Call      7/14/17      USD     170.00          26       (1,105

Potash Corp. of Saskatchewan, Inc.

  Call      7/14/17      USD     17.00          1,101       (6,055

Vale SA — ADR

  Call      7/14/17      USD     8.50          1,676       (70,392

Weyerhaeuser Co.

  Call      7/14/17      USD     33.50          916       (38,930

Weyerhaeuser Co.

  Call      7/14/17      USD     34.00          124       (2,790

Agrium, Inc.

  Call      7/21/17      CAD     125.00          183       (1,341

Baker Hughes, Inc.

  Call      7/21/17      USD     56.25          62       (4,094

Barrick Gold Corp.

  Call      7/21/17      USD     16.00          410       (15,170

Barrick Gold Corp.

  Call      7/21/17      USD     17.00          870       (8,265

BP PLC — ADR

  Call      7/21/17      USD     36.00          800       (10,000

BP PLC — ADR

  Call      7/21/17      USD     37.00          410       (1,640

Bunge Ltd.

  Call      7/21/17      USD     85.00          115       (4,887

Bunge Ltd.

  Call      7/21/17      USD     87.50          115       (5,462

Canadian Natural Resources Ltd.

  Call      7/21/17      CAD     38.00          634       (28,356

CF Industries Holdings, Inc.

  Call      7/21/17      USD     27.50          850       (98,600

Chevron Corp.

  Call      7/21/17      USD     110.00          18       (180

ConocoPhillips

  Call      7/21/17      USD     46.00          319       (8,613

Detour Gold Corp.

  Call      7/21/17      CAD     15.00          469       (23,689

Detour Gold Corp.

  Call      7/21/17      CAD     18.00          500       (2,699

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    67


Consolidated Schedule of Investments (continued)

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

Exchange-Traded Options Written (continued)  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

Devon Energy Corp.

  Call      7/21/17      USD     33.00          459     $ (26,622

Encana Corp.

  Call      7/21/17      CAD     13.00          192       (1,184

Encana Corp.

  Call      7/21/17      CAD     15.00          380       (1,465

EOG Resources, Inc.

  Call      7/21/17      USD     97.50          74       (1,258

Exxon Mobil Corp.

  Call      7/21/17      USD     80.00          162       (23,895

Exxon Mobil Corp.

  Call      7/21/17      USD     83.00          175       (4,112

Exxon Mobil Corp.

  Call      7/21/17      USD     83.50          175       (2,800

Exxon Mobil Corp.

  Call      7/21/17      USD     85.00          102       (561

Franco-Nevada Corp.

  Call      7/21/17      CAD     100.00          144       (4,386

Halliburton Co.

  Call      7/21/17      USD     43.50          271       (18,564

Halliburton Co.

  Call      7/21/17      USD     48.00          290       (1,015

Hess Corp.

  Call      7/21/17      USD     52.50          246       (492

International Paper Co.

  Call      7/21/17      USD     57.50          250       (14,125

Lundin Mining Corp.

  Call      7/21/17      CAD     8.00          3,819       (11,780

Newmont Mining Corp.

  Call      7/21/17      USD     35.00          300       (2,700

Packaging Corp. of America

  Call      7/21/17      USD     110.00          300       (87,000

Potash Corp. of Saskatchewan, Inc.

  Call      7/21/17      USD     17.00          726       (8,349

Precision Drilling Corp.

  Call      7/21/17      CAD     6.00          1,280       (4,935

Rio Tinto PLC — ADR

  Call      7/21/17      USD     42.50          1,460       (146,000

Royal Dutch Shell PLC — ADR, Class A

  Call      7/21/17      USD     55.95          1,976       (16,185

Vale SA — ADR

  Call      7/21/17      USD     9.00          1,676       (38,548

Weyerhaeuser Co.

  Call      7/21/17      USD     34.00          896       (29,120

Exxon Mobil Corp.

  Call      7/25/17      USD     83.25          68       (1,628

Baker Hughes, Inc.

  Call      7/28/17      USD     57.00          62       (13,764

BP PLC — ADR

  Call      7/28/17      USD     36.00          400       (7,200

Canadian Natural Resources Ltd.

  Call      7/28/17      CAD     38.00          606       (35,048

CF Industries Holdings, Inc.

  Call      7/28/17      USD     29.50          850       (44,625

Chevron Corp.

  Call      7/28/17      USD     108.00          155       (9,222

Devon Energy Corp.

  Call      7/28/17      USD     33.00          385       (29,068

EOG Resources, Inc.

  Call      7/28/17      USD     92.00          266       (41,230

Exxon Mobil Corp.

  Call      7/28/17      USD     82.50          68       (4,080

Halliburton Co.

  Call      7/28/17      USD     44.00          269       (21,789

International Paper Co.

  Call      7/28/17      USD     58.00          250       (18,500

Mosaic Co.

  Call      7/28/17      USD     23.50          570       (27,645

Newmont Mining Corp.

  Call      7/28/17      USD     33.50          597       (32,537

Pioneer Natural Resources Co.

  Call      7/28/17      USD     167.50          93       (17,438

Pioneer Natural Resources Co.

  Call      7/28/17      USD     175.00          157       (10,205

Potash Corp. of Saskatchewan, Inc.

  Call      7/28/17      USD     17.00          1,000       (17,500

Vale SA — ADR

  Call      7/28/17      USD     8.00          1,552       (139,680

Royal Dutch Shell PLC — ADR, Class A

  Call      8/01/17      USD     55.50          753       (16,860

Anadarko Petroleum Corp.

  Call      8/04/17      USD     47.50          634       (58,011

Baker Hughes, Inc.

  Call      8/04/17      USD     55.00          17       (2,380

BP PLC — ADR

  Call      8/04/17      USD     35.00          523       (33,995

Chevron Corp.

  Call      8/04/17      USD     107.00          219       (23,981

Deere & Co.

  Call      8/04/17      USD     124.00          59       (14,514

Devon Energy Corp.

  Call      8/04/17      USD     31.00          308       (62,524

EOG Resources, Inc.

  Call      8/04/17      USD     89.00          313       (116,593

Exxon Mobil Corp.

  Call      8/04/17      USD     83.50          190       (8,740

Hess Corp.

  Call      8/04/17      USD     43.00          285       (69,255

International Paper Co.

  Call      8/04/17      USD     58.00          251       (22,967

Mosaic Co.

  Call      8/04/17      USD     23.50          310       (20,460

Newmont Mining Corp.

  Call      8/04/17      USD     33.50          300       (19,800

Vale SA — ADR

  Call      8/04/17      USD     9.00          522       (17,226

Weyerhaeuser Co.

  Call      8/04/17      USD     34.00          123       (6,765

Anadarko Petroleum Corp.

  Call      8/11/17      USD     46.50          226       (32,318

ConocoPhillips

  Call      8/11/17      USD     45.00          449       (42,655

Halliburton Co.

  Call      8/11/17      USD     43.00          286       (42,900

Hess Corp.

  Call      8/11/17      USD     43.50          334       (78,156

Vale SA — ADR

  Call      8/11/17      USD     9.50          522       (12,006

Exxon Mobil Corp.

  Call      8/14/17      USD     83.00          90       (4,903

Halliburton Co.

  Call      8/16/17      USD     46.10          275       (14,263

Agrium, Inc.

  Call      8/18/17      CAD     120.00          214       (31,849

Baker Hughes, Inc.

  Call      8/18/17      USD     55.00          158       (29,230

BP PLC — ADR

  Call      8/18/17      USD     36.00          1,025       (34,338

Canadian Natural Resources Ltd.

  Call      8/18/17      CAD     38.00          634       (56,712

 

See Notes to Financial Statements.      
                
68    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

Exchange-Traded Options Written (continued)  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

Chevron Corp.

  Call      8/18/17      USD     110.00          227     $ (12,144

ConocoPhillips

  Call      8/18/17      USD     45.00          449       (47,594

ConocoPhillips

  Call      8/18/17      USD     47.00          318       (15,423

Deere & Co.

  Call      8/18/17      USD     125.00          75       (24,938

EOG Resources, Inc.

  Call      8/18/17      USD     92.50          233       (55,454

Exxon Mobil Corp.

  Call      8/18/17      USD     85.00          63       (1,669

Potash Corp. of Saskatchewan, Inc.

  Call      8/18/17      USD     17.00          1,082       (33,542

Rio Tinto PLC — ADR

  Call      8/18/17      USD     42.50          133       (19,551

Weyerhaeuser Co.

  Call      8/18/17      USD     35.00          41       (1,435

ConocoPhillips

  Call      8/30/17      USD     47.60          561       (28,634

Superior Energy Services, Inc.

  Call      9/15/17      USD     10.00          300       (47,250

Total

 

  $ (2,553,031
                    

 

 

 

 

OTC Options Written  
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Contracts     Value  

Elders Ltd.

  CALL   JPMorgan Chase Bank N.A.     07/06/17     AUD     4.49       25,000     $ (16,556

Glanbia PLC

  Call   UBS AG     07/06/17     EUR     18.78       25,000       (1

Encana Corp.

  Call   Deutsche Bank AG     07/07/17     CAD     16.05       77,300       (4

Packaging Corp. of America

  Call   Deutsche Bank AG     07/07/17     USD     99.50       22,600       (269,271

Cimarex Energy Co.

  Call   UBS AG     07/10/17     USD     119.70       9,900        

Detour Gold Corp.

  Call   Credit Suisse International     07/10/17     CAD     19.05       72,000       (145

Superior Energy Services, Inc.

  Call   UBS AG     07/10/17     USD     12.61       28,000       (726

Eni SpA — ADR

  Call   Deutsche Bank AG     07/11/17     USD     33.99       55,000       (1

Lundin Mining Corp.

  Call   Citibank N.A.     07/11/17     CAD     7.80       320,000       (10,695

Elders Ltd.

  Call   Citibank N.A.     07/12/17     AUD     4.48       75,000       (50,151

Glanbia PLC

  Call   Bank of America N.A.     07/12/17     EUR     18.06       37,000       (497

Glanbia PLC

  Call   UBS AG     07/12/17     EUR     18.71       11,100       (6

Rio Tinto PLC — ADR

  Call   Barclays Bank PLC     07/13/17     USD     41.68       92,800       (113,476

South32 Ltd.

  Call   Citibank N.A.     07/13/17     AUD     2.82       916,000       (6,814

Fortescue Metals Group Ltd.

  Call   JPMorgan Chase Bank N.A.     07/18/17     AUD     5.26       190,000       (27,264

Fresnillo PLC

  Call   Credit Suisse International     07/18/17     GBP     16.47       65,000       (1,414

Glanbia PLC

  Call   UBS AG     07/18/17     EUR     17.76       20,000       (1,565

Newcrest Mining Ltd.

  Call   Deutsche Bank AG     07/18/17     AUD     22.04       200,000       (12,141

Elders Ltd.

  Call   Deutsche Bank AG     07/19/17     AUD     4.48       35,000       (23,385

Eni SpA — ADR

  Call   Barclays Bank PLC     07/19/17     USD     31.46       55,000       (5,200

Elders Ltd.

  Call   UBS AG     07/26/17     AUD     4.54       35,000       (21,875

Fresnillo PLC

  Call   Credit Suisse International     07/26/17     GBP     17.23       89,300       (587

Glanbia PLC

  Call   Morgan Stanley & Co. International PLC     07/26/17     EUR     18.46       25,000       (580

Glanbia PLC

  Call   Morgan Stanley & Co. International PLC     07/26/17     EUR     18.23       20,000       (847

Glencore PLC

  Call   Bank of America N.A.     07/26/17     GBP     2.96       375,000       (28,570

Newcrest Mining Ltd.

  Call   Citibank N.A.     07/26/17     AUD     21.84       233,000       (32,273

Newcrest Mining Ltd.

  Call   JPMorgan Chase Bank N.A.     07/26/17     AUD     22.24       116,000       (10,405

Yara International ASA

  Call   Credit Suisse International     07/26/17     NOK     310.02       35,500       (51,580

Eni SpA — ADR

  Call   Barclays Bank PLC     07/27/17     USD     31.46       56,000       (9,144

Agrium, Inc.

  Call   Deutsche Bank AG     07/31/17     CAD     124.74       27,000       (5,237

BP PLC — ADR

  Call   UBS AG     07/31/17     USD     35.85       73,800       (11,308

BP PLC — ADR

  Call   UBS AG     07/31/17     USD     36.53       40,000       (4,454

Franco-Nevada Corp.

  Call   UBS AG     07/31/17     CAD     98.00       14,400       (11,690

Boliden AB

  Call   Deutsche Bank AG     08/02/17     SEK     242.55       33,100       (11,446

Fortescue Metals Group Ltd.

  Call   JPMorgan Chase Bank N.A.     08/02/17     AUD     4.97       396,000       (131,800

Packaging Corp. of America

  Call   Bank of America N.A.     08/02/17     USD     100.00       38,500       (461,440

Superior Energy Services, Inc.

  Call   Royal Bank of Canada     08/02/17     USD     10.84       44,500       (31,556

Agrium, Inc.

  Call   Citibank N.A.     08/04/17     CAD     123.69       27,000       (12,263

Boliden AB

  Call   Deutsche Bank AG     08/04/17     SEK     244.32       38,500       (11,775

Elders Ltd.

  Call   Morgan Stanley & Co. International PLC     08/04/17     AUD     5.37       47,000       (4,465

Elders Ltd.

  Call   UBS AG     08/04/17     AUD     5.40       47,000       (3,935

Glencore PLC

  Call   Goldman Sachs International     08/04/17     GBP     3.05       1,154,000       (58,863

Newcrest Mining Ltd.

  Call   Deutsche Bank AG     08/04/17     AUD     22.61       117,000       (13,437

Cimarex Energy Co.

  Call   Goldman Sachs International     08/07/17     USD     98.61       13,300       (22,790

BHP Billiton PLC

  Call   Morgan Stanley & Co. International PLC     08/08/17     GBP     11.70       327,500       (260,177

Encana Corp.

  Call   Citibank N.A.     08/08/17     CAD     11.49       54,000       (26,507

Encana Corp.

  Call   Morgan Stanley & Co. International PLC     08/08/17     CAD     13.81       115,000       (12,471

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    69


Consolidated Schedule of Investments (continued)

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

OTC Options Written (continued)  
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Contracts     Value  

Fresnillo PLC

  Call   Morgan Stanley & Co. International PLC     08/08/17     GBP     16.20       145,800     $ (30,491

Glanbia PLC

  Call   Goldman Sachs International     08/08/17     EUR     18.19       16,100       (1,464

Glencore PLC

  Call   Credit Suisse International     08/08/17     GBP     3.04       236,100       (14,246

Glencore PLC

  Call   Goldman Sachs International     08/08/17     GBP     3.06       616,000       (36,200

Yara International ASA

  Call   Credit Suisse International     08/08/17     NOK     320.07       35,400       (42,602

Boliden AB

  Call   Goldman Sachs International     08/09/17     SEK     236.82       60,000       (38,595

Superior Energy Services, Inc.

  Call   UBS AG     08/09/17     USD     10.80       62,400       (54,759

Elders Ltd.

  Call   UBS AG     08/10/17     AUD     4.94       35,000       (11,771

Bunge Ltd.

  Call   Goldman Sachs International     08/11/17     USD     79.24       11,100       (19,407

Rio Tinto PLC — ADR

  Call   UBS AG     08/11/17     USD     41.83       84,300       (88,872

South32 Ltd.

  Call   Deutsche Bank AG     08/11/17     AUD     2.62       1,108,000       (123,405

Lundin Mining Corp.

  Call   Citibank N.A.     08/14/17     CAD     7.57       265,000       (62,946

BHP Billiton PLC

  Call   Credit Suisse International     08/16/17     GBP     12.12       125,000       (76,615

Elders Ltd.

  Call   UBS AG     08/16/17     AUD     5.29       50,000       (7,157

Fortescue Metals Group Ltd.

  Call   JPMorgan Chase Bank N.A.     08/16/17     AUD     4.97       396,000       (146,781

Glanbia PLC

  Call   Morgan Stanley & Co. International PLC     08/16/17     EUR     18.18       20,000       (2,462

Superior Energy Services, Inc.

  Call   Goldman Sachs International     08/16/17     USD     10.90       37,500       (32,169

Yara International ASA

  Call   Credit Suisse International     08/16/17     NOK     310.84       35,500       (64,226

BHP Billiton PLC

  Call   Morgan Stanley & Co. International PLC     08/18/17     GBP     11.75       327,500       (274,840

Glencore PLC

  Call   Credit Suisse International     08/18/17     GBP     2.95       153,000       (18,640

Encana Corp.

  Call   Citibank N.A.     08/22/17     CAD     12.04       96,000       (36,662

Encana Corp.

  Call   Royal Bank of Canada     08/22/17     CAD     11.33       19,000       (12,034

Cimarex Energy Co.

  Call   Goldman Sachs International     08/23/17     USD     98.61       13,300       (30,443

Elders Ltd.

  Call   UBS AG     08/24/17     AUD     5.23       32,000       (5,772

Elders Ltd.

  Call   JPMorgan Chase Bank N.A.     08/30/17     AUD     5.31       50,000       (7,728

Precision Drilling Corp.

  Call   Royal Bank of Canada     08/31/17     CAD     4.62       75,000       (17,781

Glencore PLC

  Call   Goldman Sachs International     09/01/17     GBP     2.89       1,900,000       (343,702

Encana Corp.

  Call   Royal Bank of Canada     09/06/17     CAD     11.89       126,800       (68,022

Elders Ltd.

  Call   UBS AG     09/12/17     AUD     5.61       50,000       (3,730

Total

    $ (3,464,309
             

 

 

 

 

Transactions in Options Written for the Period Ended June 30, 2017

 

    Calls  
    

Contracts

       Premiums
Received
 

Outstanding options, beginning of period

      24,528,515        $ 10,175,756  

Options written

      65,228,188          34,344,619  

Options exercised

      (91,144        (179,786

Options expired

      (52,093,776        (14,185,969

Options closed

      (25,411,569        (22,743,268
   

 

 

 

Outstanding options, end of period

      12,160,214        $ 7,411,352  
   

 

 

 

As of period end, the value of portfolio securities subject to covered call options written was $295,942,327.

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Options written

   Options written, at value               $ 6,017,340                       $ 6,017,340  
                

 

See Notes to Financial Statements.      
                
70    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

For the six months ended June 30, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:    
                  
     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total         
Net Realized Gain (Loss) from:                                                              

Options purchased1

                 $ (15,519                     $ (15,519  

Options written

                   10,323,615                         10,323,615    
    

 

 

 

Total

                 $ 10,308,096                       $ 10,308,096    
    

 

 

 
                  
Net Change in Unrealized Appreciation (Depreciation) on:                                                        

Options written

                   $ 1,363,941                       $ 1,363,941          

1    Options purchased are included in net realized gain (loss) from investments.

     

 
 

 

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:  

Average value of option contracts purchased

  $ 13,052 1 

Average value of option contracts written

  $ 5,520,294  

1   Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

    

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Derivative Financial Instruments — Offsetting as of Period End

 

The Trust’s derivative asset and liabilities (by type) are as follows:

 

 

Derivative Financial Instruments:    Assets      Liabilities  

Options

          $ 6,017,340  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

            (2,553,031
  

 

 

 

Total derivative assets and liabilities subject to an MNA

          $ 3,464,309  
  

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of the related collateral received by the Trust:

 

    

Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities

and Subject to an MNA

        
Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
       Derivatives
Available for
Offset
       Non-cash
Collateral
Pledged1
       Cash
Collateral
Pledged
       Net Amount of
Derivative
Liabilities2
        

Bank of America N.A.

  $ 490,507                 $ (435,446               $ 55,061    

Barclays Bank PLC

    127,820                                     127,820    

Citibank N.A.

    238,311                   (238,311                    

Credit Suisse International

    270,055                   (270,055                    

Deutsche Bank AG

    470,102                   (302,987                 167,115    

Goldman Sachs International

    583,633                   (583,633                    

JPMorgan Chase Bank N.A.

    340,534                   (340,534                    

Morgan Stanley & Co. International PLC

    586,333                   (510,443                 75,890    

Royal Bank of Canada

    129,393                                     129,393    

UBS AG

    227,621                   (124,849                 102,772    
 

 

 

 

Total

  $ 3,464,309                 $ (2,806,258               $ 658,051    
 

 

 

 

1   Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

    

 

2   Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

    

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    71


Consolidated Schedule of Investments (concluded)

  

BlackRock Resources & Commodities Strategy Trust (BCX)

 

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1     Level 2     Level 3     Total  

Assets:

 

Long-Term Investments:  

Common Stocks:

 

Chemicals

  $ 111,969,575     $ 10,002,199           $ 121,971,774  

Containers & Packaging

    25,376,758                   25,376,758  

Energy Equipment & Services

    39,310,435                   39,310,435  

Food Products

    41,845,280                   41,845,280  

Machinery

    11,093,315                   11,093,315  

Metals & Mining

    162,253,124       137,854,004             300,107,128  

Oil, Gas & Consumable Fuels

    315,949,367       5,694,758             321,644,125  

Paper & Forest Products

    10,639,283       2,314,114             12,953,397  

Real Estate Investment Trusts (REITs)

    18,618,094                   18,618,094  

Corporate Bonds

              $ 9,000,000       9,000,000  

Short-Term Securities

    11,869,538                   11,869,538  
 

 

 

   

 

 

   

 

 

   

 

 

 

Subtotal

  $ 748,924,769     $ 155,865,075     $ 9,000,000     $ 913,789,844  
 

 

 

   

 

 

   

 

 

   

 

 

 

Investments Valued at NAV1

                    $ 1,170,084  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $ 748,924,769     $ 155,865,075     $ 9,000,000     $ 914,959,928  
 

 

 

   

 

 

   

 

 

   

 

 

 
       
Derivative Financial Instruments2  

Liabilities:

 

Equity contracts

  $ (2,460,786   $ (3,556,554         $ (6,017,340

1    As of June 30, 2017, certain of the Trust’s investments were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

     

2    Derivative financial instruments are options written, which are shown at value.

     

During the six months ended June 30, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.      
                
72    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments June 30, 2017 (Unaudited)

  

BlackRock Science and Technology Trust (BST)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares     Value  
Communications Equipment — 0.8%             

Quantenna Communications, Inc. (a)

     1004,673     $ 1,988,787  

Viavi Solutions, Inc. (a)(b)

     228,000       2,400,840  
    

 

 

 
               4,389,627  
Electronic Equipment, Instruments & Components — 2.6%  

Coherent, Inc. (a)(b)

     18,800       4,229,812  

Flex Ltd. (a)(b)

     185,400       3,023,874  

Largan Precision Co. Ltd.

     21,000       3,343,506  

Samsung SDI Co. Ltd.

     24,000       3,602,963  
    

 

 

 
               14,200,155  
Internet & Direct Marketing Retail — 11.4%             

Alibaba Group Holding Ltd. — ADR (a)(b)

     136,200       19,190,580  

Amazon.com, Inc. (a)(b)

     27,700       26,813,600  

Boozt AB (a)(c)

     161,423       1,590,337  

Ensogo, Ltd. (a)(d)

     173,282        

Expedia, Inc. (b)

     22,000       3,276,900  

Netflix, Inc. (a)(b)

     40,120       5,994,330  

Priceline Group, Inc. (a)(b)

     2,200       4,115,144  
    

 

 

 
               60,980,891  
Internet Software & Services — 20.6%             

58.com, Inc. — ADR (a)(b)

     58,000       2,558,380  

Alphabet, Inc., Class A (a)(b)(e)

     37,300       34,677,064  

Alteryx, Inc., Class A (a)

     53,455       1,043,442  

Delivery Hero AG, (a)(c)

     88,837       2,820,731  

Facebook, Inc., Class A (a)(b)

     127,900       19,310,342  

LogMeIn, Inc. (b)

     26,100       2,727,450  

MercadoLibre, Inc. (b)

     18,600       4,666,368  

Momo, Inc. — ADR (a)

     71,400       2,638,944  

MuleSoft, Inc., Class A (a)(b)

     54,900       1,369,206  

Okta, Inc. (a)

     55,050       1,255,140  

Shopify, Inc., Class A (a)(b)

     53,600       4,657,840  

Takeaway.com Holding BV (a)(c)

     47,800       2,035,838  

Tencent Holdings Ltd.

     764,300       27,419,213  

Yandex NV, Class A (a)(b)

     124,600       3,269,504  
    

 

 

 
               110,449,462  
IT Services — 8.2%             

DXC Technology Co. (b)

     46,900       3,598,168  

InterXion Holding NV (a)(b)

     87,800       4,019,484  

Mastercard, Inc., Class A (b)

     96,200       11,683,490  

PayPal Holdings, Inc. (a)(b)

     94,300       5,061,081  

Square, Inc., Class A (a)

     297,800       6,986,388  

Visa, Inc., Class A (b)

     136,000       12,754,080  
    

 

 

 
               44,102,691  
Media — 1.8%             

Comcast Corp., Class A (b)

     77,000       2,996,840  

Naspers Ltd., Class N

     34,400       6,774,485  
    

 

 

 
               9,771,325  
Real Estate Investment Trusts (REITs) — 3.2%  

Crown Castle International Corp. (b)

     33,900       3,396,102  

CyrusOne, Inc. (b)

     80,600       4,493,450  

Equinix, Inc.

     21,051       9,034,247  
    

 

 

 
               16,923,799  
Semiconductors & Semiconductor Equipment — 19.6%  

Advanced Micro Devices, Inc. (a)(b)

     317,000       3,956,160  

Advanced Semiconductor Engineering, Inc.

     2,133,639       2,734,792  

Applied Materials, Inc. (b)

     139,900       5,779,269  

ASML Holding NV

     65,900       8,590,239  

ASPEED Technology, Inc.

     81,000       1,798,879  

Broadcom Ltd. (b)

     63,996       14,914,268  

Cirrus Logic, Inc. (a)(b)

     27,500       1,724,800  

Lam Research Corp. (b)

     55,200       7,806,936  

MagnaChip Semiconductor Corp. (a)(b)(f)

     243,300       2,384,340  
Common Stocks    Shares     Value  
Semiconductors & Semiconductor Equipment (continued)  

Megachips Corp.

     116,100     $ 2,870,365  

Microchip Technology, Inc. (b)

     27,400       2,114,732  

Micron Technology, Inc. (a)(b)

     125,100       3,735,486  

Monolithic Power Systems, Inc. (b)

     18,600       1,793,040  

Novatek Microelectronics Corp.

     558,000       2,253,201  

NVIDIA Corp. (b)

     40,900       5,912,504  

ON Semiconductor Corp. (a)(b)

     217,300       3,050,892  

Renesas Electronics Corp. (a)

     258,300       2,258,399  

Silicon Laboratories, Inc. (a)(b)

     32,600       2,228,210  

Skyworks Solutions, Inc. (b)

     39,200       3,761,240  

SOITEC (a)

     92,375       5,635,080  

STMicroelectronics NV

     357,000       5,133,488  

Taiwan Semiconductor Manufacturing Co. Ltd.

     1,201,000       8,205,488  

Tower Semiconductor Ltd. (a)(b)(g)

     127,900       3,050,415  

Ulvac, Inc.

     75,700       3,652,703  
    

 

 

 
               105,344,926  
Software — 20.7%             

Activision Blizzard, Inc. (b)

     144,700       8,330,379  

Adobe Systems, Inc. (a)(b)

     59,100       8,359,104  

Altium, Ltd.

     239,900       1,579,921  

Autodesk, Inc. (a)(b)

     64,400       6,492,808  

Blackline, Inc. (a)(b)

     46,815       1,673,168  

Electronic Arts, Inc. (a)(b)

     61,800       6,533,496  

ESI Group (a)

     29,100       1,694,730  

Guidewire Software, Inc. (a)(b)

     42,000       2,885,820  

HubSpot, Inc. (a)(b)

     40,700       2,676,025  

Intuit, Inc. (b)

     17,900       2,377,299  

Microsoft Corp. (b)

     401,500       27,675,395  

Nintendo Co. Ltd.

     27,200       9,106,325  

Proofpoint, Inc. (a)(b)

     45,900       3,985,497  

PTC, Inc. (a)(b)

     58,900       3,246,568  

salesforce.com, Inc. (a)(b)

     121,500       10,521,900  

Take-Two Interactive Software, Inc. (a)(b)

     81,300       5,965,794  

UbiSoft Entertainment SA (a)

     64,300       3,650,386  

Xero Ltd. (a)

     120,200       2,220,024  

Zendesk, Inc. (a)(b)

     83,100       2,308,518  
    

 

 

 
               111,283,157  
Technology Hardware, Storage & Peripherals — 8.7%  

Apple, Inc. (b)

     222,800       32,087,656  

BlackBerry Ltd. (a)(b)

     285,200       2,849,148  

Catcher Technology Co. Ltd.

     453,000       5,399,047  

Samsung Electronics Co. Ltd.

     3,200       6,665,026  
    

 

 

 
               47,000,877  
Total Common Stocks — 97.6%              524,446,910  
    
                  
Preferred Stocks               
Internet & Direct Marketing Retail — 0.2%             

Jasper Infotech Private Ltd., Series I, (Acquired 8/18/15, cost $1,998,435), 0.00% (a)(d)(g)

     1,054       1,033,974  
Internet Software & Services — 2.7%             

Uber Technologies, Inc., Series E, (Acquired 12/04/14, cost $3,000,048), 0.00% (a)(d)(g)

     90,044       4,851,571  

Xiaoju Kuaizhi, Inc., Series A-17 (Acquired 7/28/15, cost $3,016,964), 0.00% (a)(d)(g)

     110,003       5,602,453  

Zuora, Inc., (Acquired 1/16/15, cost $3,894,522), 0.00% (a)(d)(g)

     1,025,063       4,069,500  
    

 

 

 
               14,523,524  
Total Preferred Stocks — 2.9%              15,557,498  

Total Long-Term Investments

(Cost — $340,311,051) — 100.5%

             540,004,408  
 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    73


Schedule of Investments (continued)

  

BlackRock Science and Technology Trust (BST)

 

Short-Term Securities — 0.2%    Shares     Value  

SL Liquidity Series, LLC, Money Market Series, 1.27% (h)(i)(j)

     1,060,611     $ 1,060,717  
Total Short-Term Securities
(Cost — $1,060,822) — 0.2%
             1,060,717  
Total Investments Before Options Written
(Cost — $341,371,873) — 100.7%
             541,065,125  
    
                  

Options Written

(Premiums Received — $6,051,919) — (0.8)%

             (4,529,173

Total Investments, Net of Options Written

(Cost — $335,319,954) — 99.9%

 

 

    536,535,952  

Other Assets Less Liabilities — 0.1%

       581,180  
    

 

 

 

Net Assets — 100.0%

     $ 537,117,132  
    

 

 

 
 
Notes to Schedule of Investments

 

(a)   Non-income producing security.

 

(b)   All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

 

(c)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

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

 

(e)   All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(f)   Security, or a portion of the security, is on loan.

 

(g)   Restricted security as to resale, excluding 144A securities. As of report date, the Trust held restricted securities with a current value of $15,557,498 and an original cost of $11,909,969, which was 2.9% of its net assets.

 

(h)   Security was purchased with the cash collateral from loaned securities.

 

(i)   Current yield as of period end.

 

(j)   During the period ended June 30, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   

Shares

Held at
December 31,

2016

     Net
Activity
    

Shares

Held at
June 30,

2017

   

Value at
June 30,

2017

     Income      Realized
Gain
    

Change in
Unrealized

Appreciation
(Depreciation)

 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     2,902,077        (2,902,077                 $ 4,620                

SL Liquidity Series, LLC, Money Market Series

     128,952        932,659        1,061,611     $ 1,060,717        37,676 1            $ (117

Total

 

  $ 1,060,717      $ 42,296             $ (117
 

 

 

    

 

 

    

 

 

    

 

 

 

1    Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

     

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

 

Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

Lam Research Corp.

  Call      7/05/17      USD     150.01          97     $ (842

Advanced Micro Devices, Inc.

  Call      7/07/17      USD     12.00          132       (8,448

Alphabet, Inc., Class A

  Call      7/07/17      USD     1,010.00          15       (150

Amazon.com, Inc.

  Call      7/07/17      USD     995.00          50       (7,700

Facebook, Inc., Class A

  Call      7/07/17      USD     152.50          103       (8,343

Mastercard, Inc., Class A

  Call      7/07/17      USD     124.00          151       (1,585

Netflix, Inc.

  Call      7/07/17      USD     165.00          76       (304

NVIDIA Corp.

  Call      7/07/17      USD     150.00          75       (6,975

 

See Notes to Financial Statements.      
                
74    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Science and Technology Trust (BST)

 

Exchange-Traded Options Written (continued)  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

salesforce.com, Inc.

  Call      7/07/17      USD     92.00          185     $ (4,995

Advanced Micro Devices, Inc.

  Call      7/14/17      USD     11.00          303       (47,874

Alibaba Group Holding Ltd. — ADR

  Call      7/14/17      USD     124.00          131       (225,320

Alphabet, Inc., Class A

  Call      7/14/17      USD     997.50          25       (1,437

Amazon.com, Inc.

  Call      7/14/17      USD     1,015.00          33       (7,310

Facebook, Inc., Class A

  Call      7/14/17      USD     152.50          38       (6,251

Flex Ltd.

  Call      7/14/17      USD     16.50          72       (1,368

PayPal Holdings, Inc.

  Call      7/14/17      USD     53.00          171       (23,000

salesforce.com, Inc.

  Call      7/14/17      USD     90.00          57       (1,339

Visa, Inc., Class A

  Call      7/14/17      USD     94.00          225       (20,588

58.com, Inc. — ADR

  Call      7/21/17      USD     45.00          203       (19,285

Activision Blizzard, Inc.

  Call      7/21/17      USD     60.00          136       (8,228

Adobe Systems, Inc.

  Call      7/21/17      USD     145.00          206       (26,059

Advanced Micro Devices, Inc.

  Call      7/21/17      USD     13.00          265       (13,648

Advanced Micro Devices, Inc.

  Call      7/21/17      USD     14.00          231       (5,544

Alibaba Group Holding Ltd. — ADR

  Call      7/21/17      USD     120.00          53       (112,095

Alibaba Group Holding Ltd. — ADR

  Call      7/21/17      USD     145.00          90       (17,550

Alphabet, Inc., Class A

  Call      7/21/17      USD     945.00          16       (18,000

Alphabet, Inc., Class A

  Call      7/21/17      USD     950.00          9       (9,180

Amazon.com, Inc.

  Call      7/21/17      USD     980.00          20       (28,700

Amazon.com, Inc.

  Call      7/21/17      USD     995.00          51       (44,370

Apple, Inc.

  Call      7/21/17      USD     149.00          210       (17,430

Applied Materials, Inc.

  Call      7/21/17      USD     42.00          211       (18,357

Applied Materials, Inc.

  Call      7/21/17      USD     45.00          68       (1,292

Autodesk, Inc.

  Call      7/21/17      USD     115.00          121       (1,512

Broadcom Ltd.

  Call      7/21/17      USD     250.00          124       (14,570

Comcast Corp., Class A

  Call      7/21/17      USD     38.75          65       (5,525

Crown Castle International Corp.

  Call      7/21/17      USD     100.00          64       (10,720

CyrusOne, Inc.

  Call      7/21/17      USD     60.00          443       (5,537

DXC Technology Co.

  Call      7/21/17      USD     80.00          164       (6,970

Electronic Arts, Inc.

  Call      7/21/17      USD     110.00          67       (7,571

Expedia, Inc.

  Call      7/21/17      USD     145.00          44       (25,520

Facebook, Inc., Class A

  Call      7/21/17      USD     150.00          102       (35,700

Flex Ltd.

  Call      7/21/17      USD     17.00          360       (3,780

InterXion Holding NV

  Call      7/21/17      USD     45.00          237       (34,958

InterXion Holding NV

  Call      7/21/17      USD     46.00          36       (2,880

Intuit, Inc.

  Call      7/21/17      USD     130.00          24       (9,360

Intuit, Inc.

  Call      7/21/17      USD     140.00          74       (2,405

Lam Research Corp.

  Call      7/21/17      USD     160.00          97       (1,697

LogMeIn, Inc.

  Call      7/21/17      USD     115.00          91       (2,730

Mastercard, Inc., Class A

  Call      7/21/17      USD     120.00          55       (14,108

Microchip Technology, Inc.

  Call      7/21/17      USD     82.50          100       (3,250

Microsoft Corp.

  Call      7/21/17      USD     70.00          270       (29,970

Momo, Inc. — ADR

  Call      7/21/17      USD     40.00          77       (6,352

Monolithic Power Systems, Inc.

  Call      7/21/17      USD     100.00          54       (5,940

MuleSoft, Inc., Class A

  Call      7/21/17      USD     25.00          200       (22,500

NVIDIA Corp.

  Call      7/21/17      USD     140.00          33       (27,390

On Semiconductor Corp.

  Call      7/21/17      USD     16.00          286       (2,860

PayPal Holdings, Inc.

  Call      7/21/17      USD     52.50          173       (35,552

Proofpoint, Inc.

  Call      7/21/17      USD     90.00          208       (30,160

PTC, Inc.

  Call      7/21/17      USD     55.00          102       (22,185

PTC, Inc.

  Call      7/21/17      USD     57.50          104       (13,520

Shopify, Inc., Class A

  Call      7/21/17      USD     85.00          106       (58,830

Silicon Laboratories, Inc.

  Call      7/21/17      USD     75.00          114       (5,130

Skyworks Solutions, Inc.

  Call      7/21/17      USD     105.00          26       (1,885

Take-Two Interactive Software, Inc.

  Call      7/21/17      USD     75.00          142       (20,945

Tower Semiconductor Ltd.

  Call      7/21/17      USD     24.00          223       (13,380

Viavi Solutions, Inc.

  Call      7/21/17      USD     11.66          400       (2,168

Visa, Inc., Class A

  Call      7/21/17      USD     95.00          256       (29,952

Yandex NV, Class A

  Call      7/21/17      USD     27.00          44       (2,508

Zendesk, Inc.

  Call      7/21/17      USD     26.10          130       (26,925

Activision Blizzard, Inc.

  Call      7/28/17      USD     57.00          92       (19,274

Advanced Micro Devices, Inc.

  Call      7/28/17      USD     13.00          362       (23,711

Alphabet, Inc., Class A

  Call      7/28/17      USD     962.50          29       (48,285

Applied Materials, Inc.

  Call      7/28/17      USD     44.00          350       (15,750

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    75


Schedule of Investments (continued)

  

BlackRock Science and Technology Trust (BST)

 

Exchange-Traded Options Written (continued)  
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

BlackBerry Ltd.

  Call      7/28/17      USD     11.50          498     $ (2,988

Broadcom Ltd.

  Call      7/28/17      USD     245.00          49       (14,210

Cirrus Logic, Inc.

  Call      7/28/17      USD     65.00          96       (13,200

Comcast Corp., Class A

  Call      7/28/17      USD     40.00          132       (7,194

Electronic Arts, Inc.

  Call      7/28/17      USD     115.00          81       (6,925

Facebook, Inc., Class A

  Call      7/28/17      USD     152.50          99       (32,670

Flex Ltd.

  Call      7/28/17      USD     17.00          72       (1,764

Micron Technology, Inc.

  Call      7/28/17      USD     32.00          283       (18,678

Microsoft Corp.

  Call      7/28/17      USD     70.00          201       (25,527

Microsoft Corp.

  Call      7/28/17      USD     70.50          408       (43,248

PayPal Holdings, Inc.

  Call      7/28/17      USD     53.00          174       (37,497

Priceline Group, Inc.

  Call      7/28/17      USD     1,885.00          4       (12,460

salesforce.com, Inc.

  Call      7/28/17      USD     90.00          127       (9,017

Skyworks Solutions, Inc.

  Call      7/28/17      USD     112.00          71       (2,307

Yandex NV, Class A

  Call      7/28/17      USD     28.50          27       (1,282

Zendesk, Inc.

  Call      7/31/17      USD     28.01          160       (18,627

Activision Blizzard, Inc.

  Call      8/04/17      USD     59.00          93       (15,578

Advanced Micro Devices, Inc.

  Call      8/04/17      USD     14.50          450       (18,450

Alphabet, Inc., Class A

  Call      8/04/17      USD     965.00          9       (15,885

Apple, Inc.

  Call      8/04/17      USD     150.00          169       (33,885

Facebook, Inc., Class A

  Call      8/04/17      USD     155.00          99       (32,175

Facebook, Inc., Class A

  Call      8/04/17      USD     160.00          6       (1,032

Flex Ltd.

  Call      8/04/17      USD     17.00          72       (2,160

Mastercard, Inc., Class A

  Call      8/04/17      USD     124.00          20       (3,290

Microsoft Corp.

  Call      8/04/17      USD     70.50          158       (19,197

Netflix, Inc.

  Call      8/04/17      USD     155.00          64       (34,080

Apple, Inc.

  Call      8/11/17      USD     146.00          190       (77,330

Applied Materials, Inc.

  Call      8/11/17      USD     42.50          140       (16,660

Broadcom Ltd.

  Call      8/11/17      USD     240.00          50       (31,000

Microsoft Corp.

  Call      8/11/17      USD     70.41          109       (14,929

salesforce.com, Inc.

  Call      8/11/17      USD     87.50          56       (12,096

Skyworks Solutions, Inc.

  Call      8/11/17      USD     99.00          118       (41,300

Guidewire Software, Inc.

  Call      8/14/17      USD     67.45          147       (50,798

Activision Blizzard, Inc.

  Call      8/18/17      USD     60.00          185       (31,728

Alibaba Group Holding Ltd. — ADR

  Call      8/18/17      USD     125.00          57       (101,460

Alibaba Group Holding Ltd. — ADR

  Call      8/18/17      USD     140.00          57       (42,893

Alphabet, Inc., Class A

  Call      8/18/17      USD     1,000.00          29       (29,725

Apple, Inc.

  Call      8/18/17      USD     150.00          210       (51,135

Blackline, Inc.

  Call      8/18/17      USD     35.00          257       (60,395

Coherent, Inc.

  Call      8/18/17      USD     245.00          108       (90,180

Crown Castle International Corp.

  Call      8/18/17      USD     105.00          123       (8,918

Electronic Arts, Inc.

  Call      8/18/17      USD     115.00          75       (13,538

Flex Ltd.

  Call      8/18/17      USD     17.00          72       (2,484

HubSpot, Inc.

  Call      8/18/17      USD     70.00          142       (36,565

InterXion Holding NV

  Call      8/18/17      USD     47.00          36       (3,960

MagnaChip Semiconductor Corp.

  Call      8/18/17      USD     10.00          850       (55,250

Mastercard, Inc., Class A

  Call      8/18/17      USD     123.10          110       (29,565

MercadoLibre, Inc.

  Call      8/18/17      USD     270.00          114       (94,050

Micron Technology, Inc.

  Call      8/18/17      USD     32.00          154       (17,094

Microsoft Corp.

  Call      8/18/17      USD     72.50          272       (20,672

Momo, Inc. — ADR

  Call      8/18/17      USD     45.00          315       (26,775

Monolithic Power Systems, Inc.

  Call      8/18/17      USD     100.00          48       (11,400

NVIDIA Corp.

  Call      8/18/17      USD     151.75          116       (91,467

Priceline Group, Inc.

  Call      8/18/17      USD     1,880.00          4       (25,080

Proofpoint, Inc.

  Call      8/18/17      USD     90.00          44       (17,820

Shopify, Inc., Class A

  Call      8/18/17      USD     90.00          91       (60,970

Yandex NV, Class A

  Call      8/18/17      USD     28.00          43       (4,386

Comcast Corp., Class A

  Call      8/30/17      USD     41.22          7       (378

Alibaba Group Holding Ltd. — ADR

  Call      9/15/17      USD     140.00          44       (38,830

Alibaba Group Holding Ltd. — ADR

  Call      9/15/17      USD     145.00          44       (28,490

Comcast Corp., Class A

  Call      9/15/17      USD     41.25          65       (3,932

Total

 

  $ (3,034,111
                    

 

 

 

 

See Notes to Financial Statements.      
                
76    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Science and Technology Trust (BST)

 

 

OTC Options Written  
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Contracts     Value  

Samsung Electronics Co. Ltd.

  Call   UBS AG     07/06/17     USD     2,306,840.00       1,100     $ (72,445

Tencent Holdings Ltd.

  Call   JPMorgan Chase Bank N.A.     07/06/17     HKD     279.97       186,600       (92,675

Quantenna Communications, Inc.

  Call   Barclays Bank PLC     07/07/17     USD     21.65       30,300       (866

Take-Two Interactive Software, Inc.

  Call   Barclays Bank PLC     07/07/17     USD     70.21       14,200       (49,460

BlackBerry Ltd.

  Call   Barclays Bank PLC     07/10/17     USD     9.67       50,000       (23,630

Equinix, Inc.

  Call   Citibank N.A.     07/11/17     USD     428.00       7,400       (50,743

SOITEC

  Call   Morgan Stanley & Co. International PLC     07/12/17     EUR     53.89       16,200       (30,587

Xero Ltd.

  Call   Bank of America N.A.     07/12/17     NZD     24.73       8,000       (4,451

Alphabet, Inc., Class A

  Call   Credit Suisse International     07/14/17     USD     20.60       9,300       (3,213

Square, Inc., Class A

  Call   Bank of America N.A.     07/17/17     USD     20.34       52,100       (169,211

ESI Group

  Call   UBS AG     07/18/17     EUR     61.80       2,500       (2

Naspers Ltd., Class N

  Call   Morgan Stanley & Co. International PLC     07/18/17     ZAR     2,775.85       8,300       (5,302

STMicroelectronics NV

  Call   UBS AG     07/18/17     EUR     15.70       70,000       (144

Xero Ltd.

  Call   Bank of America N.A.     07/18/17     NZD     24.98       4,000       (2,099

Takeaway.com Holding BV

  Call   HSBC Bank PLC     07/19/17     EUR     38.72       4,200       (3,151

Ulvac, Inc.

  Call   JPMorgan Chase Bank N.A.     07/19/17     JPY     6,489.00       28,500       (456

Advanced Semiconductor Engineering, Inc.

  Call   Citibank N.A.     07/26/17     USD     38.83       176,000       (4,590

Advanced Semiconductor Engineering, Inc.

  Call   JPMorgan Chase Bank N.A.     07/26/17     USD     38.15       350,000       (14,056

Altium Ltd.

  Call   Citibank N.A.     07/26/17     AUD     8.98       41,900       (1,786

Catcher Technology Co. Ltd.

  Call   Goldman Sachs International     07/26/17     USD     358.96       90,000       (37,748

Catcher Technology Co. Ltd.

  Call   Morgan Stanley & Co. International PLC     07/26/17     USD     362.05       68,000       (24,919

ESI Group

  Call   HSBC Bank PLC     07/26/17     EUR     58.58       6,200       (320

Naspers Ltd., Class N

  Call   Credit Suisse International     07/26/17     ZAR     2,648.44       1,100       (4,190

Okta, Inc.

  Call   UBS AG     07/26/17     USD     28.00       9,600       (908

SOITEC

  Call   Goldman Sachs International     07/26/17     EUR     59.76       16,100       (14,344

Taiwan Semiconductor Manufacturing Co. Ltd.

  Call   Deutsche Bank AG     07/26/17     USD     211.55       90,000       (5,565

Takeaway.com Holding BV

  Call   HSBC Bank PLC     07/26/17     EUR     39.04       4,200       (3,481

Xero Ltd.

  Call   Deutsche Bank AG     07/26/17     NZD     26.49       10,000       (1,824

Xero Ltd.

  Call   Deutsche Bank AG     07/26/17     NZD     24.60       10,000       (7,677

UbiSoft Entertainment SA

  Call   Morgan Stanley & Co. International PLC     07/27/17     EUR     51.41       11,200       (13,344

Alphabet, Inc., Class A

  Call   Goldman Sachs International     07/31/17     USD     20.35       9,400       (6,085

Tower Semiconductor Ltd.

  Call   UBS AG     07/31/17     USD     24.62       22,400       (11,007

InterXion Holding NV

  Call   UBS AG     08/02/17     USD     44.32       24,500       (54,720

Advanced Semiconductor Engineering, Inc.

  Call   JPMorgan Chase Bank N.A.     08/04/17     TWD     38.28       221,000       (8,471

ASML Holding NV

  Call   Goldman Sachs International     08/04/17     EUR     119.75       21,100       (36,682

Largan Precision Co. Ltd.

  Call   UBS AG     08/04/17     USD     4,873.56       11,000       (38,378

Nintendo Co. Ltd.

  Call   Goldman Sachs International     08/04/17     JPY     35,976.60       8,400       (191,885

Novatek Microelectronics Corp.

  Call   UBS AG     08/04/17     USD     123.99       200,000       (14,634

Taiwan Semiconductor Manufacturing Co. Ltd.

  Call   Goldman Sachs International     08/04/17     USD     212.26       330,000       (23,136

UbiSoft Entertainment SA

  Call   Morgan Stanley & Co. International PLC     08/04/17     EUR     51.66       11,300       (13,410

Altium Ltd.

  Call   UBS AG     08/08/17     AUD     8.83       42,000       (4,236

ASML Holding NV

  Call   Bank of America N.A.     08/08/17     EUR     120.28       3,400       (5,992

ESI Group

  Call   Goldman Sachs International     08/08/17     EUR     59.04       1,500       (169

Megachips Corp.

  Call   Citibank N.A.     08/08/17     JPY     2,573.66       20,300       (53,806

STMicroelectronics NV

  Call   Credit Suisse International     08/08/17     EUR     14.05       61,500       (13,147

Takeaway.com Holding BV

  Call   Morgan Stanley & Co. International PLC     08/08/17     EUR     37.52       2,700       (5,059

Xero Ltd.

  Call   Citibank N.A.     08/08/17     NZD     25.25       12,500       (7,652

Quantenna Communications, Inc.

  Call   Barclays Bank PLC     08/10/17     USD     19.89       22,000       (19,260

On Semiconductor Corp.

  Call   Morgan Stanley & Co. International PLC     08/15/17     USD     15.60       28,700       (5,956

Nintendo Co. Ltd.

  Call   Goldman Sachs International     08/16/17     JPY     34,935.00       1,100       (34,220

Samsung CDI Co., Ltd.

  Call   UBS AG     08/16/17     KRW     183,040.00       8,400       (28,059

Tencent Holdings Ltd.

  Call   Deutsche Bank AG     08/16/17     HKD     294.63       49,400       (24,348

Xero Ltd.

  Call   UBS AG     08/16/17     NZD     25.68       13,300       (7,075

Aspeed Technology, Inc.

  Call   Goldman Sachs International     08/17/17     USD     690.56       28,000       (40,956

Tencent Holdings Ltd.

  Call   UBS AG     08/17/17     HKD     283.00       34,000       (32,242

Megachips Corp.

  Call   Citibank N.A.     08/18/17     JPY     2,810.83       20,000       (33,878

Xero Ltd.

  Call   Citibank N.A.     08/18/17     NZD     26.18       8,300       (3,471

Autodesk, Inc.

  Call   Deutsche Bank AG     08/21/17     USD     107.55       10,400       (25,280

Square, Inc., Class A

  Call   Morgan Stanley & Co. International PLC     08/21/17     USD     23.50       52,100       (70,755

Viavi Solutions, Inc.

  Call   UBS AG     08/22/17     USD     11.02       45,600       (21,832

On Semiconductor Corp.

  Call   Citibank N.A.     08/29/17     USD     16.00       18,700       (3,369

Takeaway.com Holding BV

  Call   Morgan Stanley & Co. International PLC     08/29/17     EUR     37.69       5,600       (12,705

Total

      $ (1,495,062
             

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    77


Schedule of Investments (continued)

  

BlackRock Science and Technology Trust (BST)

 

 

Transactions in Options Written for the Period Ended June 30, 2017            

 

          Calls  
            Contracts     Premiums
Received
 

Outstanding options, beginning of period

      2,032,322     $ 4,136,623  

Options written

      11,220,648       22,245,783  

Options exercised

      (296     (25,978

Options expired

      (4,124,397     (2,959,230

Options closed

      (6,384,816     (17,345,279
   

 

 

 

Outstanding options, end of period

      2,743,461     $ 6,051,919  
   

 

 

 

 

          Puts  
            Contracts     Premiums
Received
 

Outstanding options, beginning of period

             

Options written

      274     $ 37,745  

Options exercised

             

Options expired

             

Options closed

      (274   $ (37,745
   

 

 

 

Outstanding options, end of period

             
   

 

 

 

As of period end, the fair value of portfolios securities subject to covered call options was $198,672,933.

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Options written

   Options written, at value               $ 4,529,173                       $ 4,529,173  

For the six months ended June 30, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:          Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Options purchased1

        $ 28,663           $ 28,663  

Options written

                  (19,688,226                       (19,688,226
   

 

 

 

Total

        $ (19,659,563         $ (19,659,563
   

 

 

 
               
Net Change in Unrealized Appreciation (Depreciation) on:                                                        

Options written

                      $ 836,470                       $ 836,470  

1    Options purchased are included in net realized gain (loss) from investments.

     

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Options:  

Average value of option contracts purchased

     $ 51,317 1 

Average value of option contracts written

     $ 5,298,551  

1    Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

     

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

See Notes to Financial Statements.      
                
78    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Science and Technology Trust (BST)

 

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative asset and liabilities (by type) are as follows:

 

Derivative Financial Instruments:      Assets        Liabilities  

Options

              $ 4,529,173  
                

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

                (3,034,111
                

 

 

 

Total derivative assets and liabilities subject to an MNA

              $ 1,495,062  
                

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of the related collateral received by the Trust:

 

     Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
and Subject to an MNA
        
Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged1
       Cash
Collateral
Pledged
       Net Amount of
Derivative
Liabilities2
        

Bank of America N.A.

  $ 181,753                          $ (90,000      $ 91,753    

Barclays Bank PLC

    93,216                            (93,216           

Citibank N.A.

    159,295                            (80,000        79,295    

Credit Suisse International

    20,550                                     20,550    

Deutsche Bank AG

    64,694                            (64,694           

Goldman Sachs International

    385,225                 $ (385,225                    

HSBC Bank PLC

    6,952                                     6,952    

JPMorgan Chase Bank N.A.

    115,658                            (115,658           

Morgan Stanley & Co. International PLC

    182,037                            (182,037           

UBS AG

    285,682                            (285,682           
 

 

 

 

Total

  $ 1,495,062                 $ (385,225      $ (911,287      $ 198,550    
 

 

 

 

1    Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

 

2    Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

     

     

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1     Level 2     Level 3     Total  

Assets:

       
Investments:        

Long-Term Investments:

       

Common Stocks:

       

Communications Equipment

  $ 4,389,627                 $ 4,389,627  

Electronic Equipment, Instruments & Components

    7,253,686     $ 6,946,469             14,200,155  

IT Services

    44,102,691                   44,102,691  

Internet & Direct Marketing Retail

    60,980,891                   60,980,891  

Internet Software & Services

    83,030,249       27,419,213             110,449,462  

Media

    2,996,840       6,774,485             9,771,325  

Real Estate Investment Trusts (REITs)

    16,923,799                   16,923,799  

Semiconductors & Semiconductor Equipment

    67,847,372       37,497,554             105,344,926  

Software

    93,031,771       18,251,386             111,283,157  

Technology Hardware, Storage & Peripherals

    34,936,804       12,064,073             47,000,877  

Preferred Stocks

              $ 15,557,498       15,557,498  
 

 

 

 

Subtotal

  $ 415,493,730     $ 108,953,180     $ 15,557,498     $ 540,004,408  
 

 

 

 

Investments Valued at NAV1

          1,060,717  
       

 

 

 

Total

  $ 415,493,730     $ 108,953,180     $ 15,557,498     $ 541,065,125  
 

 

 

 
       
Derivative Financial Instruments2                                

Liabilities:

       

Equity contracts

  $ (2,798,411   $ (1,730,762         $ (4,529,173

1    As of June 30, 2017, certain of the Trust’s investments were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

2    Derivative financial instruments are options written, which are shown at value.

     

     

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    79


Schedule of Investments (concluded)

  

BlackRock Science and Technology Trust (BST)

 

During the six months ended June 30, 2017, there were no transfers between Level 1 and Level 2.

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

 

     Preferred
Stocks
    Total  

Assets:

   

Opening balance, as of December 31, 2016

  $ 15,957,843     $ 15,957,843  

Transfers into Level 3

           

Transfers out of Level 3

           

Accrued discounts/premiums

           

Net realized gain (loss)

           

Net change in unrealized

appreciation (depreciation)1,2

    1,099,656       1,099,656  

Purchases

           

Sales

    (1,500,001     (1,500,001
 

 

 

 

Closing Balance, as of June 30, 2017

  $ 15,557,498     $ 15,557,498  
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 20172

  $ 1,041,851     $ 1,041,851  
 

 

 

 

1    Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

     

2    Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2017 is generally due to derivative financial instruments no longer held or categorized as Level 3 at period end.

     

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end.

 

     Value      Valuation Approach   Unobservable Inputs   Range of
Unobservable Inputs
Utilized
 

Weighted

Average of
Unobservable
Inputs

Assets:

          

Preferred Stocks1

  $ 15,557,498      Market   Discount Rate2   25.00%  
       Revenue Growth Rate3   23.00%  
       Revenue Multiple3   5.50x — 8.25x   6.84x
       Exit Scenario Probability3   5% — 50%  
       Time to Exit2   1 — 2 years  
       Volatility3   29%  
 

 

 

 

 

Total

  $ 15,557,498           
 

 

 

          

1   For the six months ended June 30, 2017, the valuation technique for investments classified as preferred stocks with a total value of $1,033,974 changed to an Option Pricing Model (“OPM”). The investments were previously valued utilizing Probability-Weighted Expected Return Model (“PWERM”). The change was due to consideration of liquidation preferences and exit strategy.

2   Decrease in unobservable input may result in a significant increase to value, while an increase in unobservable input may result in a significant decrease to value.

3    Increase in unobservable input may result in a significant increase to value, while a decrease in unobservable input may result in a significant decrease to value

 

See Notes to Financial Statements.      
                
80    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments June 30, 2017 (Unaudited)

  

BlackRock Utility and Infrastructure Trust (BUI)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares     Value  
Construction & Engineering — 3.4%  

Ferrovial SA

     236,106     $ 5,244,663  

Vinci SA

     80,050       6,828,382  
    

 

 

 
               12,073,045  
Electric Utilities — 31.8%  

American Electric Power Co., Inc. (a)

     96,220       6,684,403  

Duke Energy Corp. (a)

     133,268       11,139,872  

Edison International

     108,740       8,502,381  

El Paso Electric Co.

     36,680       1,896,356  

Enel SpA

     2,947,617       15,809,518  

Eversource Energy (a)

     80,420       4,882,298  

Exelon Corp. (a)

     304,760       10,992,693  

FirstEnergy Corp. (a)

     202,980       5,918,897  

Iberdrola SA

     197,410       1,564,359  

NextEra Energy, Inc. (a)(b)

     223,550       31,326,062  

Pinnacle West Capital Corp. (a)

     46,720       3,978,675  

PPL Corp. (a)

     114,710       4,434,689  

Xcel Energy, Inc.

     91,150       4,181,962  
    

 

 

 
               111,312,165  
Gas Utilities — 2.2%  

Italgas SpA

     679,900       3,433,893  

New Jersey Resources Corp.

     56,660       2,249,402  

Spire, Inc. (a)

     27,240       1,899,990  
    

 

 

 
               7,583,285  
Independent Power and Renewable Electricity Producers — 6.1%  

NextEra Energy Partners LP (a)(b)

     345,740       12,788,923  

NRG Yield, Inc., Class A (a)

     172,360       2,940,462  

NRG Yield, Inc., Class C (a)

     172,360       3,033,536  

Pattern Energy Group, Inc. (a)

     102,880       2,452,659  
    

 

 

 
               21,215,580  
Multi-Utilities — 21.5%  

CMS Energy Corp.

     207,950       9,617,688  

Dominion Resources, Inc. (a)

     213,810       16,384,260  

DTE Energy Co. (a)

     46,620       4,931,930  

National Grid PLC

     986,024       12,217,310  

NiSource, Inc.

     133,100       3,375,416  

NorthWestern Corp. (a)

     45,522       2,777,753  

Public Service Enterprise Group, Inc. (a)

     239,616       10,305,884  

Sempra Energy (a)

     83,300       9,392,075  

Veolia Environnement SA

     101,190       2,140,832  

WEC Energy Group, Inc. (a)

     70,180       4,307,648  
    

 

 

 
               75,450,796  
Oil, Gas & Consumable Fuels — 15.3%  

Antero Midstream Partners LP

     75,740       2,513,053  

Dominion Midstream Partners LP (a)

     274,911       7,931,183  

Enbridge, Inc. (a)

     93,240       3,711,885  

Energy Transfer Partners LP (a)

     276,869       5,645,359  
Common Stocks    Shares     Value  
Oil, Gas & Consumable Fuels (continued)  

Enterprise Products Partners LP (a)

     171,814     $ 4,652,723  

EQT Midstream Partners LP

     27,730       2,069,490  

Genesis Energy LP (a)

     111,299       3,531,517  

MPLX LP (a)

     104,789       3,499,953  

ONEOK Partners LP

     70,915       3,621,629  

Phillips 66 Partners LP

     40,950       2,023,749  

Plains All American Pipeline LP (a)

     195,890       5,146,030  

Shell Midstream Partners LP (b)

     237,251       7,188,705  

Targa Resources Corp. (a)

     44,430       2,008,236  
    

 

 

 
               53,543,512  
Real Estate Investment Trusts (REITs) — 1.5%  

Crown Castle International Corp. (a)

     53,190       5,328,574  
Transportation Infrastructure — 16.1%  

Abertis Infraestructuras SA

     399,000       7,396,051  

Aeroports de Paris

     24,070       3,879,909  

Atlantia SpA

     523,924       14,737,666  

Flughafen Zuerich AG

     14,110       3,465,417  

Fraport AG Frankfurt Airport Services Worldwide

     28,930       2,560,090  

Groupe Eurotunnel SE

     356,050       3,798,879  

Japan Airport Terminal Co. Ltd.

     63,100       2,422,384  

Sydney Airport (c)

     1,482,826       8,077,385  

Transurban Group (c)

     1,112,890       10,135,533  
    

 

 

 
               56,473,314  
Water Utilities — 1.6%  

American Water Works Co., Inc. (a)

     70,220       5,473,649  
Total Long-Term Investments
(Cost — $272,970,188) — 99.5%
      348,453,920  
    
                  
Short-Term Securities             

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.84% (d)(e)

     3,540,431       3,540,431  
Total Short-Term Securities
(Cost — $3,540,431) — 1.0%
      3,540,431  
Total Investments Before Options Written
(Cost — $276,510,619) — 100.5%
      351,994,351  
    
                  
Options Written
(Premiums Received — $2,106,243) — (0.5)%
    (1,673,342)  
Total Investments, Net of Options Written
(Cost — $274,404,376) — 100.0%
      350,321,009  

Other Assets Less Liabilities — 0.0%

 

    43,209  
    

 

 

 

Net Assets — 100.0%

 

  $ 350,364,218  
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

(b)   All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(c)   A security contractually bound to one or more other securities to form a single saleable unit which cannot be sold separately.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    81


Schedule of Investments (continued)

  

BlackRock Utility and Infrastructure Trust (BUI)

 

 

(d)   During the period ended June 30, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
December 31,
2016
     Net
Activity
     Shares
Held at
June 30,
2017
    Value at
June 30,
2017
     Income      Realized
Gain
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     4,151,064        (610,633      3,540,431     $ 3,540,431      $ 11,856                

SL Liquidity Series, LLC, Money Market Series

     456,105        (456,105                   4,125 1            $ (45

Total

           $ 3,540,431      $ 15,981             $ (45
          

 

 

 

1    Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

     

 

(e)   Current yield as of period end.

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

 

Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written                                       
Description   Put/
Call
     Expiration
Date
     Strike
Price
       Contracts     Value  

American Water Works Co., Inc.

  Call      7/06/17      USD     76.25          123     $ (23,896

Pattern Energy Group, Inc.

  Call      7/06/17      USD     22.01          70       (13,006

Enbridge, Inc.

  Call      7/07/17      USD     38.98          176       (18,380

American Electric Power Co., Inc.

  Call      7/10/17      USD     68.40          108       (15,624

Eversource Energy

  Call      7/11/17      USD     62.01          157       (3,285

Exelon Corp.

  Call      7/12/17      USD     36.51          204       (4,564

American Electric Power Co., Inc.

  Call      7/21/17      USD     72.50          230       (2,300

Crown Castle International Corp.

  Call      7/21/17      USD     100.00          157       (26,298

Dominion Midstream Partners LP

  Call      7/21/17      USD     30.00          295       (9,587

Dominion Resources, Inc.

  Call      7/21/17      USD     80.00          748       (7,480

DTE Energy Co.

  Call      7/21/17      USD     110.00          63       (1,102

Duke Energy Corp.

  Call      7/21/17      USD     83.58          158       (16,736

Enbridge, Inc.

  Call      7/21/17      USD     40.00          150       (9,000

Energy Transfer Partners LP

  Call      7/21/17      USD     21.00          514       (12,850

Enterprise Products Partners LP

  Call      7/21/17      USD     27.00          444       (19,980

Eversource Energy

  Call      7/21/17      USD     60.00          124       (16,430

Exelon Corp.

  Call      7/21/17      USD     37.00          77       (1,155

FirstEnergy Corp.

  Call      7/21/17      USD     29.00          279       (14,647

FirstEnergy Corp.

  Call      7/21/17      USD     30.00          431       (6,465

Genesis Energy LP

  Call      7/21/17      USD     30.00          89       (16,243

Genesis Energy LP

  Call      7/21/17      USD     32.50          300       (8,250

MPLX LP

  Call      7/21/17      USD     34.00          55       (2,337

MPLX LP

  Call      7/21/17      USD     36.00          197       (1,970

NextEra Energy Partners LP

  Call      7/21/17      USD     35.00          260       (61,100

NextEra Energy, Inc.

  Call      7/21/17      USD     140.00          216       (43,200

NextEra Energy, Inc.

  Call      7/21/17      USD     145.00          68       (1,700

NRG Yield, Inc., Class A

  Call      7/21/17      USD     17.50          260       (53,300

Pinnacle West Capital Corp.

  Call      7/21/17      USD     85.00          81       (11,542

Pinnacle West Capital Corp.

  Call      7/21/17      USD     90.00          82       (1,640

Plains All American Pipeline LP

  Call      7/21/17      USD     26.00          230       (18,975

PPL Corp.

  Call      7/21/17      USD     39.00          172       (5,590

PPL Corp.

  Call      7/21/17      USD     40.00          164       (1,230

Public Service Enterprise Group, Inc.

  Call      7/21/17      USD     45.00          8       (60

Sempra Energy

  Call      7/21/17      USD     115.00          208       (7,800

Spire, Inc.

  Call      7/21/17      USD     72.25          95       (16,153

Targa Resources Corp.

  Call      7/21/17      USD     45.00          112       (14,560

Targa Resources Corp.

  Call      7/21/17      USD     55.00          43       (430

WEC Energy Group, Inc.

  Call      7/25/17      USD     63.51          106       (4,181

Exelon Corp.

  Call      7/27/17      USD     37.01          355       (6,987

Enterprise Products Partners LP

  Call      7/28/17      USD     26.00          157       (19,233

Public Service Enterprise Group, Inc.

  Call      7/28/17      USD     45.01          100       (1,183

 

See Notes to Financial Statements.      
                
82    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Utility and Infrastructure Trust (BUI)

 

Exchange-Traded Options Written (continued)                                             
Description   Put/
Call
       Expiration
Date
       Strike
Price
       Contracts     Value  

Pattern Energy Group, Inc.

    Call          7/31/17          USD       23.25          69     $ (7,557

Public Service Enterprise Group, Inc.

    Call          8/01/17          USD       44.40          484       (12,520

Exelon Corp.

    Call          8/08/17          USD       37.01          354       (10,479

Duke Energy Corp.

    Call          8/14/17          USD       86.40          308       (6,831

Crown Castle International Corp.

    Call          8/18/17          USD       105.00          29       (2,102

Energy Transfer Partners LP

    Call          8/18/17          USD       20.00          283       (26,178

Exelon Corp.

    Call          8/18/17          USD       37.00          76       (3,420

NRG Yield, Inc., Class A

    Call          8/18/17          USD       17.50          337       (23,590

Plains All American Pipeline LP

    Call          8/18/17          USD       26.00          455       (51,188

PPL Corp.

    Call          8/18/17          USD       39.00          65       (4,225

Total

                     $ (668,539
                    

 

 

 

 

OTC Options Written  
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Contracts     Value  

Aeroports de Paris

  Call   Citibank N.A.     07/06/17     EUR     132.51       8,400     $ (83,246

Enel SpA

  Call   Citibank N.A.     07/06/17     EUR     4.82       200,000       (2,993

Energy Transfer Partners LP

  Call   Bank of America N.A.     07/06/17     USD     23.36       17,200        

NextEra Energy, Inc.

  Call   Bank of America N.A.     07/06/17     USD     137.76       24,900       (69,400

NRG Yield, Inc., Class C

  Call   UBS AG     07/06/17     USD     17.51       26,600       (6,248

ONEOK Partners LP

  Call   Citibank N.A.     07/06/17     USD     51.12       12,400       (8,304

Atlanta SpA

  Call   Bank of America N.A.     07/07/17     EUR     25.73       56,800       (231

Iberdrola SA

  Call   HSBC Bank PLC     07/07/17     EUR     6.79       34,600       (5,807

Phillips 66 Partners LP

  Call   UBS AG     07/10/17     USD     52.85       6,100       (63

Shell Midstream Partners LP

  Call   Bank of America N.A.     07/10/17     USD     33.25       41,200       (120

WEC Energy Group, Inc.

  Call   Citibank N.A.     07/10/17     USD     61.70       13,900       (8,156

Italgas SpA

  Call   Bank of America N.A.     07/11/17     EUR     4.31       50,100       (8,230

Public Service Enterprise Group, Inc.

  Call   Morgan Stanley & Co. International PLC     07/11/17     USD     43.54       24,600       (5,633

Atlanta SpA

  Call   Morgan Stanley & Co. International PLC     07/12/17     EUR     24.83       78,500       (19,500

DTE Energy Co.

  Call   Deutsche Bank AG     07/12/17     USD     105.95       10,000       (9,417

EQT Midstream Partners LP

  Call   Credit Suisse International     07/12/17     USD     75.05       9,700       (8,153

Ferrovial SA

  Call   UBS AG     07/12/17     EUR     20.29       50,700       (1,456

Groupe Eurotunnel SE

  Call   UBS AG     07/12/17     EUR     10.63       53,300       (20

Vinci SA

  Call   Credit Suisse International     07/12/17     EUR     77.77       1,800       (374

Enel SpA

  Call   Morgan Stanley & Co. International PLC     07/13/17     EUR     4.73       308,800       (23,960

New Jersey Resources Corp.

  Call   Barclays Bank PLC     07/14/17     USD     42.20       10,000       (166

El Paso Electric Co.

  Call   Morgan Stanley & Co. International PLC     07/18/17     USD     54.59       12,800       (1,222

Italgas SpA

  Call   Goldman Sachs International     07/18/17     EUR     4.94       148,000       (69

NextEra Energy, Inc.

  Call   Bank of America N.A.     07/18/17     USD     137.76       24,900       (89,534

National Grid PLC

  Call   UBS AG     07/18/17     GBP     10.98       59,000        

Sydney Airport

  Call   Citibank N.A.     07/18/17     AUD     7.68       288,000       (222

Veolia Environnement SA

  Call   Credit Suisse International     07/18/17     EUR     20.36       9,800       (40

Vinci SA

  Call   Deutsche Bank AG     07/19/17     EUR     77.54       6,100       (2,751

Transurban Group

  Call   Deutsche Bank AG     07/19/17     AUD     12.65       145,200       (915

Xcel Energy, Inc.

  Call   Citibank N.A.     07/19/17     USD     47.33       15,900       (105

Xcel Energy, Inc.

  Call   Barclays Bank PLC     07/21/17     USD     46.50       16,000       (5,760

Dominion Midstream Partners LP

  Call   Barclays Bank PLC     07/26/17     USD     29.52       29,400       (16,186

Enel SpA

  Call   Credit Suisse International     07/26/17     EUR     4.80       85,100       (3,108

Iberdrola SA

  Call   Deutsche Bank AG     07/26/17     EUR     7.29       34,500       (518

Japan Airport Terminal Co. Ltd.

  Call   UBS AG     07/26/17     JPY     4,612.50       12,700       (2,941

NiSource, Inc.

  Call   Citibank N.A.     07/26/17     USD     25.10       26,800       (16,518

ONEOK Partners LP

  Call   Citibank N.A.     07/26/17     USD     51.12       12,400       (17,688

Sydney Airport

  Call   UBS AG     07/26/17     AUD     7.35       230,900       (7,628

Veolia Environnement SA

  Call   Deutsche Bank AG     07/26/17     EUR     19.83       25,700       (1,144

Abertis Infraestructuras SA

  Call   Morgan Stanley & Co. International PLC     07/27/17     EUR     16.53       112,500       (19,600

CMS Energy Corp.

  Call   Citibank N.A.     07/27/17     USD     48.52       72,700       (12,648

NRG Yield, Inc., Class C

  Call   UBS AG     07/27/17     USD     17.45       15,000       (35,416

New Jersey Resources Corp.

  Call   Bank of America N.A.     07/31/17     USD     42.86       9,800       (537

NiSource, Inc.

  Call   JPMorgan Chase Bank N.A.     07/31/17     USD     26.03       19,700       (2,713

NRG Yield, Inc., Class C

  Call   UBS AG     07/31/17     USD     17.45       19,300       (48,970

NextEra Energy, Inc.

  Call   UBS AG     08/01/17     USD     35.46       22,600       (45,538

Sempra Energy

  Call   UBS AG     08/01/17     USD     116.54       8,300       (4,310

Pattern Energy Group, Inc.

  Call   UBS AG     08/02/17     USD     23.63       22,100       (18,943

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    83


Schedule of Investments (continued)

  

BlackRock Utility and Infrastructure Trust (BUI)

 

OTC Options Written (continued)        
Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Contracts     Value         

Enel SpA

  Call   Morgan Stanley & Co. International PLC     08/03/17     EUR     5.03       232,000     $ (2,009  

Italgas SpA

  Call   Goldman Sachs International     08/04/17     EUR     4.70       148,000       (4,236  

Japan Airport Terminal Co. Ltd.

  Call   UBS AG     08/04/17     JPY     4,542.30       9,300       (4,395  

National Grid PLC

  Call   Morgan Stanley & Co. International PLC     08/04/17     GBP     9.95       135,500       (7,158  

Vinci SA

  Call   Goldman Sachs International     08/04/17     EUR     80.78       6,400       (1,473  

Vinci SA

  Call   Morgan Stanley & Co. International PLC     08/04/17     EUR     78.35       13,700       (8,503  

Abertis Infraestructuras SA

  Call   Credit Suisse International     08/08/17     EUR     16.49       27,200       (8,372  

Atlanta SpA

  Call   Credit Suisse International     08/08/17     EUR     26.81       48,000       (2,324  

Enel SpA

  Call   Credit Suisse International     08/08/17     EUR     4.97       85,200       (1,170  

Ferrovial SA

  Call   Deutsche Bank AG     08/08/17     EUR     20.90       43,300       (3,268  

Flughafen Zürich AG

  Call   Deutsche Bank AG     08/08/17     CHF     241.54       5,000       (10,784  

Transurban Group

  Call   UBS AG     08/08/17     AUD     13.10       144,400       (1,190  

American Water Works Co., Inc.

  Call   Barclays Bank PLC     08/09/17     USD     80.82       12,200       (5,754  

Antero Midstream Partners LP

  Call   UBS AG     08/09/17     USD     34.52       26,500       (9,579  

Fraport AG Frankfurt Airport Services Worldwide

  Call   Goldman Sachs International     08/09/17     EUR     78.98       10,200       (15,515  

NextEra Energy, Inc.

  Call   UBS AG     08/09/17     USD     35.46       22,600       (41,527  

National Grid PLC

  Call   Credit Suisse International     08/10/17     GBP     9.95       133,000       (8,772  

Phillips 66 Partners LP

  Call   Bank of America N.A.     08/10/17     USD     51.20       8,200       (4,512  

Shell Midstream Partners LP

  Call   Royal Bank of Canada     08/10/17     USD     30.62       41,800       (32,813  

NextEra Energy, Inc.

  Call   Citibank N.A.     08/14/17     USD     34.98       25,900       (64,965  

Northwestern Corp.

  Call   Bank of America N.A.     08/14/17     USD     61.62       15,900       (19,692  

Dominion Midstream Partners LP

  Call   Bank of America N.A.     08/15/17     USD     27.57       20,500       (30,145  

Edison International

  Call   Morgan Stanley & Co. International PLC     08/16/17     USD     82.00       38,000       (16,055  

Enel SpA

  Call   Credit Suisse International     08/16/17     EUR     4.83       120,500       (7,380  

Ferrovial SA

  Call   Goldman Sachs International     08/16/17     EUR     20.31       24,400       (5,402  

Groupe Eurotunnel SE

  Call   Bank of America N.A.     08/16/17     EUR     9.95       71,300       (7,037  

Transurban Group

  Call   Deutsche Bank AG     08/29/17     AUD     12.67       100,000       (6,139  

Dominion Midstream Partners LP

  Call   UBS AG     09/01/17     USD     26.79       16,800       (36,150  

NextEra Energy, Inc.

  Call   Bank of America N.A.     09/05/17     USD     38.18       23,900       (21,983        

Total

    $ (1,004,803  
             

 

 

 

 

Transactions in Options Written for the Period Ended June 30, 2017

 

          Calls  
            Contracts     Premiums
Received
 

Outstanding options, beginning of period

      3,566,270     $ 2,620,284  

Options written

      15,677,798       8,366,038  

Options exercised

      (98     (5,614

Options expired

      (3,393,599     (2,078,874

Options closed

      (11,705,545     (6,795,591
   

 

 

 

Outstanding options, end of period

      4,144,826     $ 2,106,243  
   

 

 

 

As of period end, the fair value of portfolios securities subject to covered call options was $122,639,881.

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Options written

   Options written, at value               $ 1,673,342                       $ 1,673,342  

 

See Notes to Financial Statements.      
                
84    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Schedule of Investments (continued)

  

BlackRock Utility and Infrastructure Trust (BUI)

 

For the six months ended June 30, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) from:  

Commodity
Contracts

       Credit
Contracts
       Equity
Contracts
       Foreign
Currency
Exchange
Contracts
       Interest
Rate
Contracts
       Other
Contracts
       Total  

Options written

                               $ (6,079,119                                 $ (6,079,119
Net Change in Unrealized Appreciation (Depreciation) on:                                                    

Options written

                               $ 1,680,813                                   $ 1,680,813  

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments  
Options:  

Average value of option contracts written

     $ 2,478,951  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative asset and liabilities (by type) are as follows:

 

     Assets        Liabilities  
Derivative Financial Instruments:       

Options

           $ 1,673,342  
 

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

             (668,539
 

 

 

 

Total derivative assets and liabilities subject to an MNA

           $ 1,004,803  
 

 

 

 

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of the related collateral received by the Trust:

 

     Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
and Subject to an MNA
        
Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
       Derivatives
Available
for Offset
       Non-cash
Collateral
Pledged1
       Cash
Collateral
Pledged
       Net Amount of
Derivative
Liabilities2
        

Bank of America N.A.

  $ 251,421                                   $ 251,421    

Barclays Bank PLC

    27,866                 $ (1,197                 26,669    

Citibank N.A.

    214,845                   (106,709                 108,136    

Credit Suisse International

    39,693                   (39,693                    

Deutsche Bank AG

    34,936                   (34,936                    

Goldman Sachs International

    26,695                                     26,695    

HSBC Bank PLC

    5,807                                     5,807    

JPMorgan Chase Bank N.A.

    2,713                                     2,713    

Morgan Stanley & Co. International PLC

    103,640                   (103,640                    

Royal Bank of Canada

    32,813                                     32,813    

UBS AG

    264,374                   (264,374                    
 

 

 

 

Total

  $ 1,004,803                 $ (550,549               $ 454,254    
 

 

 

 

1    Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

     

 

2    Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

     

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    85


Schedule of Investments (concluded)

  

BlackRock Utility and Infrastructure Trust (BUI)

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1     Level 2     Level 3     Total  

Assets:

 

Investments:  

Common Stocks:

 

Construction & Engineering

        $ 12,073,045           $ 12,073,045  

Electric Utilities

  $ 93,938,288       17,373,877             111,312,165  

Gas Utilities

    7,583,285                   7,583,285  

Independent Power and Renewable Electricity Producers

    21,215,580                   21,215,580  

Multi-Utilities

    61,092,654       14,358,142             75,450,796  

Oil, Gas & Consumable Fuels

    53,543,512                   53,543,512  

Real Estate Investment Trusts (REITs)

    5,328,574                   5,328,574  

Transportation Infrastructure

          56,473,314             56,473,314  

Water Utilities

    5,473,649                   5,473,649  
Short-Term Securities     3,540,431                   3,540,431  
 

 

 

 

Total

  $ 251,715,973     $ 100,278,378           $ 351,994,351  
 

 

 

 
       
Derivative Financial Instruments1  

Liabilities:

 

Equity contracts

  $ (507,158     (1,166,184         $ (1,673,342

1    Derivative financial instruments are options written, which are shown at value.

     

During the six months ended June 30, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.      
                
86    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Statements of Assets and Liabilities     

 

June 30, 2017 (Unaudited)   BlackRock
Energy and
Resources Trust
(BGR)
    BlackRock
Enhanced
Capital and
Income
Fund, Inc.
(CII)
    BlackRock
Enhanced
Equity
Dividend Trust
(BDJ)
    BlackRock
Enhanced
Global
Dividend Trust
(BOE)
    BlackRock
Enhanced
International
Dividend Trust
(BGY)
 
         
Assets  

Investments at value — unaffiliated1

  $ 417,995,497     $ 709,485,627     $ 1,793,478,708     $ 969,906,551     $ 711,272,802  

Investments at value — affiliated2

    6,214,460       815,956       1,218,990       31,045,510       30,845,879  

Cash

          3,928       605             29,532  
Cash pledged:          

Collateral — OTC derivatives

          75,000       933,000       365,000       1,140,000  

Collateral — options written

                            300,000  

Foreign currency at value3

    3,962,408             2,533       90,205        
Receivables:  

Investments sold

    4,279,979             3,643,337              

Options written

    418,373       777,900       1,048,304             18,481  

Dividends — unaffiliated

    318,307       721,330       4,079,339       2,643,203       2,047,568  

Dividends — affiliated

    4,007       3,970       4,711       22,591       24,014  

Securities lending income — affiliated

                1,106       15,206        

Other assets

                      393,603       259,510  

Prepaid expenses

    17,110       19,366       79,026       37,342       40,080  
 

 

 

 

Total assets

    433,210,141       711,903,077       1,804,489,659       1,004,519,211       745,977,866  
 

 

 

 
         
Liabilities  

Foreign bank overdraft7

                            64,632  

Options written at value4

    2,193,235       8,011,076       18,689,806       4,970,133       3,858,188  
Payables:  

Investments purchased

    8,576,392       708,419       3,066,473              

Officer’s and Trustees’ fees

    487,602       172,711       908,943       690,907       601,692  

Investment advisory fees

    383,466       489,870       1,168,107       771,173       547,824  

Income dividends

    182,149       238,188       317,360       184,493       223,343  

Options written

    83,855       927,784       1,102,076       7,669        

Professional fees

    60,864       50,472       64,941       51,032       26,540  

Custodian fees

    36,661       75,063       59,693       78,563       65,750  

Deferred foreign capital gain tax

                            115,724  

Other affiliates

          21,280                    

Other accrued expenses

    61,413       56,621       130,089       79,688       82,769  
 

 

 

 

Total liabilities

    12,065,637       10,751,484       25,507,488       6,833,658       5,586,462  
 

 

 

 

Net Assets

  $ 421,144,504     $ 701,151,593     $ 1,778,982,171     $ 997,685,553     $ 740,391,404  
 

 

 

 
         
Net Assets Consist of  

Paid-in capital

  $ 615,225,359     $ 641,272,545     $ 1,320,628,954     $ 831,421,885     $ 775,956,958  

Distributions in excess of net investment income

    (10,760,154     (18,732,519     (37,015,850     (30,703,720     (20,826,348

Accumulated net realized gain (loss)

    (164,937,089     (34,609,227     60,211,455       175,480,510       (93,601,953

Net unrealized appreciation (depreciation)

    (18,383,612     113,220,794       435,157,612       21,486,878       78,862,747  
 

 

 

 

Net Assets

  $ 421,144,504     $ 701,151,593     $ 1,778,982,171     $ 997,685,553     $ 740,391,404  
 

 

 

 

Net asset value5,6

  $ 14.12     $ 15.89     $ 9.49     $ 14.48     $ 6.79  
 

 

 

 

1   Investments at cost — unaffiliated

  $ 437,491,469     $ 595,730,513     $ 1,356,693,370     $ 949,493,685     $ 633,209,527  

2   Investments at cost — affiliated

  $ 6,214,460     $ 815,956     $ 1,218,990     $ 31,045,510     $ 30,845,879  

3   Foreign currency at cost

  $ 3,928,420           $ 2,567     $ 95,359        

4   Premiums received

  $ 3,341,898     $ 7,476,756     $ 17,058,110     $ 6,038,342     $ 4,751,142  

5   Shares outstanding, unlimited number of shares authorized, $0.0001 par value

    29,825,326             187,542,405       68,911,795       109,049,017  

6   Shares outstanding, 200 million shares authorized, $0.10 par value

          44,121,400                    

7   Foreign bank overdraft at cost

                          $ 64,859  

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    87


Statements of Assets and Liabilities     

 

June 30, 2017 (Unaudited)   BlackRock
Health
Sciences Trust
(BME)
    BlackRock
Resources &
Commodities
Strategy Trust
(BCX)1
    BlackRock
Science and
Technology
Trust
(BST)
    BlackRock
Utility and
Infrastructure
Trust
(BUI)
 
       
Assets  

Investments at value — unaffiliated2,3

  $ 318,385,162     $ 901,920,306     $ 540,004,408     $ 348,453,920  

Investments at value — affiliated4

    2,281,623       13,039,622       1,060,717       3,540,431  

Cash

    38,932       53,843             8,070  
Cash pledged:        

Collateral — OTC derivatives

                2,240,000        

Foreign currency at value5

    641       19,093       45,234       97  
Receivables:        

Investments sold

    393,174       9,843,364       7,655,200       51  

Options written

    86,362       439,457       363,382       83,018  

Dividends — unaffiliated

    192,226       973,762       445,857       655,562  

Dividends — affiliated

    3,967       9,931       819       2,331  

Capital shares sold

    396,348                    

Securities lending income — affiliated

          6,418       23,614        

Prepaid expenses

    97,339       43,098       17,904       13,264  
 

 

 

 

Total assets

    321,875,774       926,348,894       551,857,135       352,756,744  
 

 

 

 
       
Liabilities  

Cash collateral on securities loaned at value

          1,167,311       1,060,821        

Bank overdraft

                3,692,421        

Options written at value6

    3,438,994       6,017,340       4,529,173       1,673,342  
Payables:        

Investments purchased

    277,872       13,326,898       4,698,901        

Officer’s and Trustees’ fees

    27,245       343,862       13,421       9,272  

Investment advisory fees

    257,391       743,617       359,896       291,698  

Income dividends

          235,651       107,625       143,904  

Options written

    257,268       35,406       124,746       119,867  

Professional fees

    22,123       84,626       68,158       57,083  

Custodian fees

    33,352       70,202       43,900       42,130  

Other accrued expenses

    25,733       108,203       40,941       55,230  
 

 

 

 

Total liabilities

    4,339,978       22,133,116       14,740,003       2,392,526  
 

 

 

 

Net Assets

  $ 317,535,796     $ 904,215,778     $ 537,117,132     $ 350,364,218  
 

 

 

 
       
Net Assets Consist of  

Paid-in capital

  $ 223,625,226     $ 1,332,559,701     $ 370,558,938     $ 281,212,444  

Distributions in excess of net investment income

    (10,380,927     (22,470,673     (13,668,224     (4,656,851

Accumulated net realized gain (loss)

    (3,051,739     (480,916,709     (20,985,248     (2,107,292

Net unrealized appreciation (depreciation)

    107,343,236       75,043,459       201,211,666       75,915,917  
 

 

 

 

Net Assets

  $ 317,535,796     $ 904,215,778     $ 537,117,132     $ 350,364,218  
 

 

 

 

Net asset value7

  $ 35.26     $ 9.22     $ 24.01     $ 20.71  
 

 

 

 

1    Consolidated Statement of Assets and Liabilities.

       

2   Investments at cost — unaffiliated

  $ 210,031,572     $ 828,279,183     $ 340,311,051     $ 272,970,188  

3   Securities loaned at value

        $ 1,228,399     $ 1,032,965        

4   Investments at cost — affiliated

  $ 2,281,623     $ 13,039,589     $ 1,060,822     $ 3,540,431  

5   Foreign currency at cost

  $ 628     $ 19,093     $ 45,165     $ 113  

6   Premiums received

  $ 2,322,880     $ 7,411,352     $ 6,051,919     $ 2,106,243  

7   Shares outstanding, unlimited number of shares authorized, $0.0001 par value

  $ 9,004,669     $ 98,038,242     $ 22,371,225     $ 16,920,812  

 

 

See Notes to Financial Statements.      
                
88    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Statements of Operations     

 

Six Months Ended June 30, 2017 (Unaudited)   BlackRock
Energy and
Resources Trust
(BGR)
    BlackRock
Enhanced
Capital and
Income
Fund, Inc.
(CII)
    BlackRock
Enhanced
Equity
Dividend Trust
(BDJ)
    BlackRock
Enhanced
Global
Dividend Trust
(BOE)
    BlackRock
Enhanced
International
Dividend Trust
(BGY)
 
         
Investment Income  

Dividends — unaffiliated

  $ 6,809,701     $ 6,563,195     $ 24,982,020     $ 9,783,756     $ 11,046,263  

Dividends — affiliated

    16,781       51,867       22,544       68,091       77,705  

Securities lending income — affiliated — net

    22,641       1,191       1,508       32,561       501  

Foreign taxes withheld

    (293,160     (74,554     (872,224     (651,586     (1,031,217
 

 

 

 

Total investment income

    6,555,963       6,541,699       24,133,848       9,232,822       10,093,252  
 

 

 

 
         
Expenses  

Investment advisory

    2,707,475       2,913,982       6,998,732       4,842,879       3,574,698  

Officer and Trustees

    56,002       38,188       119,752       82,605       60,297  

Custodian

    55,413       86,275       105,900       117,776       99,642  

Transfer agent

    52,126       45,120       107,474       71,297       65,764  

Professional

    45,986       51,360       85,596       71,143       63,245  

Printing

    10,967       14,065       29,900       18,650       15,192  

Registration

    5,481       7,953       34,071       12,526       19,830  

Accounting services

          44,207                    

Miscellaneous

    29,205       13,909       17,873       57,667       93,361  
 

 

 

 

Total expenses

    2,962,655       3,215,059       7,499,298       5,274,543       3,992,029  
Less:  

Fees waived by the Manager

    (227,693     (7,184     (2,683     (262,334     (367,996

Fees paid indirectly

          (129                  
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    2,734,962       3,207,746       7,496,615       5,012,209       3,624,033  
 

 

 

 

Net investment income (loss)

    3,821,001       3,333,953       16,637,233       4,220,613       6,469,219  
 

 

 

 
         
Realized and Unrealized Gain (Loss)  
Net realized gain (loss) from:  

Investments — unaffiliated

    (605,901     15,893,981       145,416,580       197,118,696 1      31,435,205 1 

Payments by affiliates2

                      393,604       259,510  

Futures contracts

          529,712             39,453       344,941  

Forward foreign currency exchange contracts

                            (2

Foreign currency transactions

    8,038       (6,204     108,847       (131,825     (3,218

Options written

    9,048,883       (11,633,153     (14,543,346     (12,010,415     (11,548,380
 

 

 

 
    8,451,020       4,784,336       130,982,081       185,409,513       20,488,056  
 

 

 

 
Net change in unrealized appreciation (depreciation) on:          

Investments — unaffiliated

    (66,764,087     48,101,478       (52,120,420     (82,667,097     50,835,367 3 

Investments — affiliated

          (54                  

Futures contracts

          128,627                    

Foreign currency translations

    (37,137     7,359       7,262       32,302       206,075  

Options written

    2,496,409       1,555,959       6,910,289       670,609       2,512,044  
 

 

 

 
    (64,304,815     49,793,369       (45,202,869     (81,964,186     53,553,486  
 

 

 

 

Net realized and unrealized gain (loss)

    (55,853,795     54,577,705       85,779,212       103,445,327       74,041,542  
 

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

  $ (52,032,794   $ 57,911,658     $ 102,416,445     $ 107,665,940     $ 80,510,761  
 

 

 

 

1   Including $(497,186) and $(287,450) realized foreign capital gain tax, respectively.

    

     

2    See Note 6 of the Notes to Financial Statements.

     

     

3   Including $(115,724) unrealized foreign capital gain tax.

    

     

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    89


Statements of Operations     

 

Six Months Ended June 30, 2017 (Unaudited)   BlackRock
Health
Sciences Trust
(BME)
    BlackRock
Resources &
Commodities
Strategy Trust
(BCX)1
    BlackRock
Science and
Technology
Trust
(BST)
    BlackRock
Utility and
Infrastructure
Trust
(BUI)
 
       
Investment Income  

Dividends — unaffiliated

  $ 1,839,234     $ 13,267,571     $ 2,117,395     $ 7,529,846  

Dividends — affiliated

    16,585       37,097       4,620       11,856  

Securities lending income — affiliated — net

    1,584       98,570       37,676       4,125  

Foreign taxes withheld

    (9,591     (794,280     (118,909     (460,294
 

 

 

 

Total investment income

    1,847,812       12,608,958       2,040,782       7,085,533  
 

 

 

 
       
Expenses  

Investment advisory

    1,472,527       4,792,778       2,524,251       1,703,417  

Officer and Trustees

    14,976       64,772       22,652       16,396  

Custodian

    52,993       94,634       71,188       60,750  

Transfer agent

    26,398       68,863       31,476       31,102  

Professional

    60,309       72,668       53,554       47,075  

Printing

    8,397       18,329       10,614       9,410  

Registration

    4,410       17,871       4,386       4,397  

Miscellaneous

    11,940       60,173       30,955       33,857  
 

 

 

 

Total expenses

    1,651,950       5,190,088       2,749,076       1,906,404  
Less:  

Fees waived by the Manager

    (2,842     (4,507     (505,403     (1,422

Fees paid indirectly

          (167            
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    1,649,108       5,185,414       2,243,673       1,904,982  
 

 

 

 

Net investment income (loss)

    198,704       7,423,544       (202,891     5,180,551  
 

 

 

 
       
Realized and Unrealized Gain (Loss)  
Net realized gain (loss) from:  

Investments — unaffiliated

    2,103,113       10,698,966       17,015,524       11,238,839  

Foreign currency transactions

    145       (185,985     6,407       (20,109

Options written

    (4,475,585     10,323,615       (19,688,226     (6,079,119
 

 

 

 
    (2,372,327     20,836,596       (2,666,295     5,139,611  
 

 

 

 
Net change in unrealized appreciation (depreciation) on:        

Investments — unaffiliated

    49,319,917       (64,498,529     102,976,123       22,045,437  

Investments — affiliated

          (171     (117     (45

Foreign currency translations

    7,045       24,843       (2,574     10,105  

Options written

    (1,617,344     1,363,941       836,470       1,680,813  
 

 

 

 
    47,709,618       (63,109,916     103,809,902       23,736,310  
 

 

 

 

Net realized and unrealized gain (loss)

    45,337,291       (42,273,320     101,143,607       28,875,921  
 

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

  $ 45,535,995     $ (34,849,776   $ 100,940,716     $ 34,056,472  
 

 

 

 

 

  1  

Consolidated Statement of Operations.

 

 

See Notes to Financial Statements.      
                
90    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Statements of Changes in Net Assets    BlackRock Energy and Resources Trust (BGR)

 

Increase (Decrease) in Net Assets:   Six Months Ended
June 30,
2017
(Unaudited)
   

Year Ended

December 31,
2016

 
   
Operations  

Net investment income

  $ 3,821,001     $ 7,978,227  

Net realized gain (loss)

    8,451,020       (60,522,458

Net change in unrealized appreciation (depreciation)

    (64,304,815     150,332,728  
 

 

 

 

Net increase (decrease) in net assets resulting from operations

    (52,032,794     97,788,497  
 

 

 

 
   
Distributions to Shareholders  

From net investment income

    (13,886,672 )1      (7,985,951 )2 

From return of capital

          (21,720,074 )2 
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (13,886,672     (29,706,025
 

 

 

 
   
Net Assets  

Total increase (decrease) in net assets

    (65,919,466     68,082,472  

Beginning of period

    487,063,970       418,981,498  
 

 

 

 

End of period

  $ 421,144,504     $ 487,063,970  
 

 

 

 

Distributions in excess of net investment income, end of period

  $ (10,760,154   $ (694,483
 

 

 

 

 

  1  

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  2   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    91


Statements of Changes in Net Assets    BlackRock Enhanced Capital and Income Fund, Inc.  (CII)

 

Increase (Decrease) in Net Assets:   Six Months Ended
June 30,
2017
(Unaudited)
   

Year Ended

December 31,
2016

 
   
Operations  

Net investment income

  $ 3,333,953     $ 5,642,071  

Net realized gain (loss)

    4,784,336       (32,972,835

Net change in unrealized appreciation (depreciation)

    49,793,369       76,667,146  
 

 

 

 

Net increase in net assets resulting from operations

    57,911,658       49,336,382  
 

 

 

 
   
Distributions to Shareholders  

From net investment income

    (21,919,512 )1      (5,818,337 )2 

From net realized gain

          (1,682,938 )2 

From return of capital

          (43,167,741 )2 
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (21,919,512     (50,669,016
 

 

 

 
   
Net Assets  

Total increase (decrease) in net assets

    35,992,146       (1,332,634

Beginning of period

    665,159,447       666,492,081  
 

 

 

 

End of period

  $ 701,151,593     $ 665,159,447  
 

 

 

 

Distributions in excess of net investment income, end of period

  $ (18,732,519   $ (146,960
 

 

 

 

 

  1  

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  2   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
92    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Statements of Changes in Net Assets    BlackRock Enhanced Equity Dividend Trust (BDJ)

 

Increase (Decrease) in Net Assets:   Six Months Ended
June 30,
2017
(Unaudited)
    

Year Ended

December 31,
2016

 
    
Operations  

Net investment income

  $ 16,637,233      $ 31,327,974  

Net realized gain

    130,982,081        2,723,838  

Net change in unrealized appreciation (depreciation)

    (45,202,869      169,992,388  
 

 

 

 

Net increase in net assets resulting from operations

    102,416,445        204,044,200  
 

 

 

 
    
Distributions to Shareholders  

From net investment income

    (52,811,004 )1       (31,386,331 )2 

From return of capital

           (74,517,121 )2 
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (52,811,004      (105,903,452
 

 

 

 
    
Capital Share Transactions  

Redemption of shares resulting from share repurchase program (including transaction costs)

    (12,272,105       
 

 

 

 
    
Net Assets  

Total increase in net assets

    37,333,336        98,140,748  

Beginning of period

    1,741,648,835        1,643,508,087  
 

 

 

 

End of period

  $ 1,778,982,171      $ 1,741,648,835  
 

 

 

 

Distributions in excess of net investment income, end of period

  $ (37,015,850    $ (842,079
 

 

 

 

 

  1  

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  2   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    93


Statements of Changes in Net Assets    BlackRock Enhanced Global Dividend Trust (BOE)

 

Increase (Decrease) in Net Assets:   Six Months Ended
June 30,
2017
(Unaudited)
    Year Ended
December 31,
2016
 
   
Operations  

Net investment income

  $ 4,220,613     $ 10,693,453  

Net realized gain

    185,409,513       1,106,819  

Net change in unrealized appreciation (depreciation)

    (81,964,186     736,223  
 

 

 

 

Net increase in net assets resulting from operations

    107,665,940       12,536,495  
 

 

 

 
   
Distributions to Shareholders  

From net investment income

    (32,448,793 )1      (6,886,585 )2 

From return of capital

          (66,070,734 )2 
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (32,448,793     (72,957,319
 

 

 

 
   
Capital Share Transactions  

Redemption of shares resulting from share repurchase program (including transaction costs)

    (7,428,758      
 

 

 

 
   
Net Assets  

Total increase in net assets

    67,788,389       (60,420,824

Beginning of period

    929,897,164       990,317,988  
 

 

 

 

End of period

  $ 997,685,553     $ 929,897,164  
 

 

 

 

Distributions in excess of net investment income, end of period

  $ (30,703,720   $ (2,475,540
 

 

 

 

 

  1  

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  2   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
94    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Statements of Changes in Net Assets    BlackRock Enhanced International Dividend Trust (BGY)

 

Increase (Decrease) in Net Assets:   Six Months Ended
June 30,
2017
(Unaudited)
    Year Ended
December 31,
2016
 
   
Operations  

Net investment income

  $ 6,469,219     $ 10,009,256  

Net realized gain (loss)

    20,488,056       (27,155,470

Net change in unrealized appreciation (depreciation)

    53,553,486       1,033,807  
 

 

 

 

Net increase (decrease) in net assets resulting from operations

    80,510,761       (16,112,407
 

 

 

 
   
Distributions to Shareholders  

From net investment income

    (25,020,224 )1      (7,270,081 )2 

From return of capital

          (50,144,321 )2 
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (25,020,224       (57,414,402
 

 

 

 
   
Capital Share Transactions  

Redemption of shares resulting from share repurchase program (including transaction costs)

    (5,726,813      
 

 

 

 
   
Net Assets  

Total increase (decrease) in net assets

    49,763,724       (73,526,809

Beginning of period

    690,627,680       764,154,489  
 

 

 

 

End of period

  $ 740,391,404     $ 690,627,680  
 

 

 

 

Distributions in excess of net investment income, end of period

  $ (20,826,348   $ (2,275,343
 

 

 

 

 

  1  

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  2   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    95


Statements of Changes in Net Assets    BlackRock Health Sciences Trust (BME)

 

Increase (Decrease) in Net Assets:   Six Months Ended
June 30,
2017
(Unaudited)
    Year Ended
December 31,
2016
 
   
Operations  

Net investment income

  $ 198,704     $ 188,536  

Net realized gain (loss)

    (2,372,327     22,476,669  

Net change in unrealized appreciation (depreciation)

    47,709,618       (38,933,668
 

 

 

 

Net increase (decrease) in net assets resulting from operations

    45,535,995       (16,268,463
 

 

 

 
   
Distributions to Shareholders  

From net investment income

    (10,609,523 )1      (246,021 )2 

From net realized gain

          (24,902,380 )2 
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (10,609,523     (25,148,401
 

 

 

 
   
Capital Share Transactions  

Net proceeds from the issuance of shares

    11,362,463       12,480,900  

Reinvestment of distributions

    553,439       2,099,426  
 

 

 

 

Net increase in net assets derived from capital share transactions

    11,915,902       14,580,326  
 

 

 

 
   
Net Assets  

Total increase (decrease) in net assets

    46,842,374       (26,836,538

Beginning of period

    270,693,422       297,529,960  
 

 

 

 

End of period

  $ 317,535,796     $ 270,693,422  
 

 

 

 

Undistributed (distributions in excess of) net investment income, end of period

  $ (10,380,927   $ 29,892  
 

 

 

 

 

  1  

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  2   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
96    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Statements of Changes in Net Assets    BlackRock Resources & Commodities Strategy Trust (BCX)1

 

Increase (Decrease) in Net Assets:   Six Months Ended
June 30,
2017
(Unaudited)
    Year Ended
December 31,
2016
 
   
Operations  

Net investment income

  $ 7,423,544     $ 14,324,338  

Net realized gain (loss)

    20,836,596       (96,213,834

Net change in unrealized appreciation (depreciation)

    (63,109,916     288,906,209  
 

 

 

 

Net increase (decrease) in net assets resulting from operations

    (34,849,776     207,016,713  
 

 

 

 
   
Distributions to Shareholders  

From net investment income

    (29,165,988 )2      (14,753,944 )3 

From return of capital

          (42,403,551 )3 
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (29,165,988     (57,157,495
 

 

 

 
   
Capital Share Transactions  

Redemption of shares resulting from share repurchase program (including transaction costs)

    (8,667,570      
 

 

 

 
   
Net Assets  

Total increase (decrease) in net assets

    (72,683,334     149,859,218  

Beginning of period

    976,899,112       827,039,894  
 

 

 

 

End of period

  $ 904,215,778     $ 976,899,112  
 

 

 

 

Distributions in excess of net investment income, end of period

  $ (22,470,673   $ (728,229
 

 

 

 

 

  1  

Consolidated Statement of Changes in Net Assets.

 

  2   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  3   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    97


Statements of Changes in Net Assets    BlackRock Science and Technology Trust (BST)

 

Increase (Decrease) in Net Assets:  

Six Months Ended
June 30,

2017
(Unaudited)

   

Year Ended
December 31,

2016

 
   
Operations  

Net investment income (loss)

  $ (202,891   $ 87,693  

Net realized gain (loss)

    (2,666,295     8,440,729  

Net change in unrealized appreciation (depreciation)

    103,809,902       27,446,824  
 

 

 

 

Net increase in net assets resulting from operations

    100,940,716       35,975,246  
 

 

 

 
   
Distributions to Shareholders  

From net investment income

    (13,466,995 )1       

From return of capital

          (27,009,110 )2 
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (13,466,995     (27,009,110
 

 

 

 
   
Capital Share Transactions  

Redemption of shares resulting from share repurchase program (including transaction costs)

    (2,799,570      
 

 

 

 
   
Net Assets  

Total increase in net assets

    84,674,151       8,966,136  

Beginning of period

    452,442,981       443,476,845  
 

 

 

 

End of period

  $ 537,117,132     $ 452,442,981  
 

 

 

 

Undistributed (distributions in excess of ) net investment income, end of period

  $ (13,668,224   $ 1,662  
 

 

 

 

 

  1  

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  2   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
98    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Statements of Changes in Net Assets    BlackRock Utility and Infrastructure Trust (BUI)

 

Increase (Decrease) in Net Assets:   Six Months Ended
June 30,
2017
(Unaudited)
    Year Ended
December 31,
2016
 
   
Operations  

Net investment income

  $ 5,180,551     $ 9,499,403  

Net realized gain

    5,139,611       9,172,917  

Net change in unrealized appreciation (depreciation)

    23,736,310       4,426,142  
 

 

 

 

Net increase in net assets resulting from operations

    34,056,472       23,098,462  
 

 

 

 
   
Distributions to Shareholders  

From net investment income

    (12,277,030 )1      (8,366,572 )2 

From net realized gain

          (8,911,166 )2 

From return of capital

          (7,271,174 )2 
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (12,277,030     (24,548,912
 

 

 

 
   
Capital Share Transactions  

Reinvestment of distributions

    288,014        
 

 

 

 
   
Net Assets  

Total increase (decrease) in net assets

    22,067,456       (1,450,450

Beginning of period

    328,296,762       329,747,212  
 

 

 

 

End of period

  $ 350,364,218     $ 328,296,762  
 

 

 

 

Undistributed (distribution in excess of) net investment income, end of period

  $ (4,656,851   $ 2,439,628  
 

 

 

 

 

  1  

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  2   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    99


Statements of Cash Flows     

 

Six Months Ended June 30, 2017 (Unaudited)  

BlackRock

Energy and

Resources Trust
(BGR)

    BlackRock
Enhanced Capital
and Income Fund
(CII)
    BlackRock
Enhanced Equity
Dividend Trust
(BDJ)
    BlackRock
Enhanced Global
Dividend Trust
(BOE)
    BlackRock
Enhanced
International
Dividend Trust
(BGY)
 
         
Cash Provided by Operating Activities  

Net increase (decrease) in net assets resulting from operations

  $ (52,032,794   $ 57,911,658     $ 102,416,445     $ 107,665,940     $ 80,510,761  

Adjustments to reconcile net decrease in net assets
resulting from operations to net cash provided by (used for) operating activities:

 

Proceeds from sales of long-term investments

    60,538,241       127,632,299       483,323,528       1,227,708,532       605,148,197  

Purchases of long-term investments

    (51,496,796     (122,265,426     (417,158,007     (1,156,648,423     (569,592,690

Net (purchases) sales of short-term securities

    (2,277,843     24,594,608       2,411,482       (19,182,394     (8,204,479

Premiums paid on closing options written

    (5,790,723     (42,472,880     (89,920,641     (56,541,401     (42,693,150

Premiums received from options written

    13,020,410       30,363,049       71,632,483       41,390,277       28,953,760  

Net realized gain (loss) on investments and option written

    (8,447,425     (4,267,298     (130,832,755     (188,076,338     (20,155,944

Net unrealized gain (loss) on investments, options written and foreign currency translations

    64,267,678       (49,657,383     45,210,131       81,996,388       (53,359,302

(Increase) Decrease in Assets:

 

Cash Pledged:

 

Collateral — OTC derivatives

          345,000       (840,000     175,000       1,327,000  

Collateral — options written

                      2,386,125       1,740,780  

Futures contracts

          499,000                    

Receivables:

 

Dividends — unaffiliated

    110,915       14,283       (1,002,639     (1,455,834     (999,884

Dividends — affiliated

    (3,157     1,391       (3,827     (18,231     (16,588

Securities lending income — affiliated

      174       (1,104     (15,206      

Prepaid expenses

    (17,110     (19,366     (79,026     (37,342     (40,080

Other assets

    11,109       15,744       40,347       (358,134     (241,944

Increase (Decrease) in Liabilities:

 

Collateral on securities loaned at value

          (695,531                  

Payables:

 

Investment advisory fees

    (70,927     10,621       (14,991     21,275       23,324  

Officer’s and Directors’ fees

    22,556       9,729       31,407       23,714       10,493  

Professional fees

    (35,085     (45,204     (85,707     (65,888     (53,742

Custodian fees

    (18,278     27,798       (44,858     (40,085     (36,630

Deferred foreign capital gain tax

                            115,724  

Other affiliates

    482       21,280                    

Other accrued expenses

    24,391       (42,861     31,925       876       (25,162

Variation margin on futures contracts

          (45,938                  
 

 

 

 

Net cash provided by (used for) operating activities

    17,805,644       21,934,747       65,114,193       38,928,851       22,410,444  
 

 

 

 
         
Cash Used for Financing Activities  

Cash dividends paid to Shareholders

    (13,898,468     (21,925,241     (52,857,475     (32,488,792     (25,043,503

Payments on redemption of capital shares

                (12,272,105     (7,428,758     (5,726,813

Increase (decrease) in bank overdraft

          (14,720           (7,365     64,632  
 

 

 

 

Net cash (provided by) used for financing activities

    (13,898,468     (21,939,961     (65,129,580     (39,924,915     (30,705,684
 

 

 

 
         
Cash Impact from Foreign Exchange Fluctuations  

Cash impact from foreign exchange fluctuations

  $ 34,016     $ 7,359     $ (2   $ (3,103   $ 28,187  
 

 

 

 
         
Cash and Foreign Currency  

Net increase (decrease) in cash and foreign currency

    3,941,192       2,145       (15,389     (999,167     (8,267,053

Cash at beginning of period

    21,216       1,783       18,527       1,089,372       8,296,585  
 

 

 

 

Cash at end of period

  $ 3,962,408     $ 3,928     $ 3,138     $ 90,205     $ 29,532  
 

 

 

 

 

 

See Notes to Financial Statements.      
                
100    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Statements of Cash Flows     

 

Six Months Ended June 30, 2017 (Unaudited)   BlackRock
Health
Sciences Trust
(BME)
     BlackRock
Resources &
Commodities
Strategy  Trust
(BCX)1
     BlackRock
Science and
Technology
Trust
(BST)
     BlackRock
Utility and
Infrastructure
Trust
(BUI)
 
          
Cash Provided by Operating Activities  

Net increase (decrease) in net assets resulting from operations

  $ 45,535,995      $ (34,849,776    $ 100,940,716      $ 34,056,472  

Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by (used for) operating activities:

          

Proceeds from sales of long-term investments

    34,363,378        424,519,350        142,859,368        59,977,332  

Purchases of long-term investments

    (37,892,498      (402,889,585      (113,640,338      (47,376,260

Net (purchases) sales of short-term securities

    6,457,233        3,501,293        1,969,418        1,066,738  

Premiums paid on closing options written

    (14,562,951      (26,958,396      (39,955,691      (14,847,815

Premiums received from options written

    10,175,749        34,136,786        21,990,712        8,289,271  

Net realized gain (loss) on investments and option written

    2,395,699        (21,130,014      2,614,716        (5,171,586

Net unrealized gain (loss) on investments, options written and foreign currency translations

    (47,702,573      63,134,759        (103,812,476      (23,726,205

(Increase) Decrease in Assets:

          
Cash Pledged:           

Collateral — OTC derivatives

                  (1,180,000       

Collateral — options written

                  159,285         
Receivables:           

Dividends — unaffiliated

    57,645        1,020,964        (306,797      192,613  

Dividends — affiliated

    (1,892      (7,469      (308      (1,798

Securities lending income — affiliated

    786        2,084        (20,936      1,966  

Prepaid expenses

    (97,339      (43,098      (17,904      (13,264

Prepaid offering cost

    23,807                       

Other assets

    92,178        23,964        12,899        8,271  

Increase (Decrease) in Liabilities:

          

Collateral on securities loan at value

    (126,901      (2,767,617      931,991        (456,046
Payables:           

Investment advisory fees

    27,387        (81,312      52,643        17,516  

Officer’s and Directors’ fees

    (383      (1,400      (3,322      (1,801

Professional fees

    (47,003      (72,987      (19,436      (43,058

Custodian fees

    (15,070      (28,682      (25,759      (18,679

Other accrued expenses

    7,935        29,770        (34,450      15,325  
 

 

 

 

Net cash provided by (used for) operating activities

    (1,308,818      37,538,634        12,514,331        11,968,992  
 

 

 

 
          
Cash Used for Financing Activities  

Proceeds from issuance of Common Shares

    11,195,282                       

Cash dividends paid to Shareholders

    (10,056,084      (29,338,722      (13,459,973      (11,986,443

Payments on redemption of capital shares

           (8,667,570      (2,799,570       

Increase (decrease) in bank overdraft

           (48,722      3,692,421         
 

 

 

 

Net cash (provided by) used for financing activities

    1,139,198        (38,055,014      (12,567,122      (11,986,443
 

 

 

 
          
Cash Impact from Foreign Exchange Fluctuations  

Cash impact from foreign exchange fluctuations

  $ 336      $ 2,933      $ 2,191      $ (21
 

 

 

 
          
Cash and Foreign Currency  

Net increase (decrease) in cash and foreign currency

    (169,284      (513,447      (50,600      (17,472

Cash at beginning of period

    208,857        586,383        95,834        25,639  
 

 

 

 

Cash at end of period

  $ 39,573      $ 72,936      $ 45,234      $ 8,167  
 

 

 

 
          
Non-Cash Financing Activities  

Capital shares issued in reinvestment of dividends paid to Shareholders

  $ 553,439                    $ 288,014  
 

 

 

 

1    Consolidated Statement of Cash Flows.

          

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    101


Financial Highlights    BlackRock Energy and Resources Trust (BGR)

 

    Six Months Ended
June 30,
2017
(Unaudited)
    Year Ended December 31,     Period
November 1, 2014
to December 31,
2014
    Year Ended October 31,  
      2016     2015       2014     2013     2012  
             
Per Share Operating Performance  

Net asset value, beginning of period

  $ 16.33     $ 14.05     $ 21.15     $ 24.90     $ 30.12     $ 25.95     $ 28.33  
 

 

 

 

Net investment income1

    0.13 2      0.27       0.29       0.07       0.25       0.12       0.13  

Net realized and unrealized gain (loss)

    (1.87     3.01       (5.89     (2.41     (1.21     5.67       (0.74
 

 

 

 
Net increase (decrease) from investment operations     (1.74     3.28       (5.60     (2.34     (0.96     5.79       (0.61
 

 

 

 
Distributions:3  

From net investment income

    (0.47 )4      (0.27     (0.29     (0.47     (0.44           (0.03

From net realized gain

                      (0.94     (3.82     (1.62     (1.44

From return of capital

          (0.73     (1.21                       (0.30
 

 

 

 

Total distributions

    (0.47     (1.00     (1.50     (1.41     (4.26     (1.62     (1.77
 

 

 

 

Net asset value, end of period

  $ 14.12     $ 16.33     $ 14.05     $ 21.15     $ 24.90     $ 30.12     $ 25.95  
 

 

 

 

Market price, end of period

  $ 13.00     $ 14.44     $ 12.53     $ 19.95     $ 23.78     $ 26.82     $ 24.28  
 

 

 

 
             
Total Return5  

Based on net asset value

    (10.55)% 6      25.07%       (27.47)%       (9.06)% 6      (2.36)%       23.68%       (1.76)%  
 

 

 

 

Based on market price

    (6.87)% 6      24.01%       (31.42)%       (10.18)% 6      4.73%       17.70%       (1.88)%  
 

 

 

 
             
Ratios to Average Net Assets  

Total expenses

    1.31% 7      1.31%       1.29%       1.30% 7      1.26%       1.26%       1.28%  
 

 

 

 

Total expenses after fees waived and/or reimbursed

    1.21% 7      1.24%       1.26%       1.26% 7      1.26%       1.25%       1.22%  
 

 

 

 

Net investment income

    1.69% 2,7      1.80%       1.60%       1.82% 7      0.89%       0.42%       0.50%  
 

 

 

 
             
Supplemental Data  

Net assets, end of period (000)

  $ 421,145     $ 487,064     $ 418,981     $ 629,603     $ 741,109     $ 896,635     $ 772,457  
 

 

 

 

Portfolio turnover rate

    13%       33%       56%       4%       85%       132%       86%  
 

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Net investment income per share and the ratio of net investment income to average net assets include $0.01 per share and 0.08%, respectively, resulting from a special dividend from Lundin Petroleum AB in April 2017.

 

  3   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

  4   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  5   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

  6   

Aggregate total return.

 

  7   

Annualized.

 

 

See Notes to Financial Statements.      
                
102    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Financial Highlights    BlackRock Enhanced Capital and Income Fund, Inc.  (CII)

 

   

Six Months Ended
June 30,
2017

(Unaudited)

    Year Ended December 31,     Period
November 1, 2014
to December 31,
2014
    Year Ended October 31,  
      2016     2015       2014     2013     2012  
             
Per Share Operating Performance  

Net asset value, beginning of period

  $ 15.08     $ 15.11     $ 15.67     $ 15.47     $ 15.31     $ 14.11     $ 13.87  
 

 

 

 

Net investment income1

    0.08       0.13       0.11       0.04       0.55       0.31       0.33  

Net realized and unrealized gain

    1.23       0.99       0.53       0.36       0.91       2.09       1.29  
 

 

 

 

Net increase from investment operations

    1.31       1.12       0.64       0.40       1.46       2.40       1.62  
 

 

 

 
Distributions:2  

From net investment income

    (0.50 )3      (0.13     (0.14     (0.10     (0.65     (0.32     (0.33 )4 

In excess of net investment income5

                                        (0.20 )4 

From net realized gain

          (0.04     (1.06                       (0.13

From return of capital

          (0.98           (0.10     (0.65     (0.88     (0.72
 

 

 

 

Total distributions

    (0.50     (1.15     (1.20     (0.20     (1.30     (1.20     (1.38
 

 

 

 

Net asset value, end of period

  $ 15.89     $ 15.08     $ 15.11     $ 15.67     $ 15.47     $ 15.31     $ 14.11  
 

 

 

 

Market price, end of period

  $ 14.89     $ 13.71     $ 14.14     $ 13.97     $ 14.89     $ 13.52     $ 12.99  
 

 

 

 
             
Total Return6  

Based on net asset value

    9.01% 7      8.66%       4.66%       2.69% 7      10.49%       18.97%       12.94%  
 

 

 

 

Based on market price

    12.36% 7      5.56%       9.86%       (4.88)% 7      20.43%       14.11%       16.39%  
 

 

 

 
             
Ratios to Average Net Assets  

Total expenses

    0.94% 8      0.95%       0.94%       0.99% 8      0.93%       0.93%       0.94%  
 

 

 

 

Total expenses after fees waived and/or reimbursed and/or paid indirectly

    0.94% 8      0.95%       0.94%       0.95% 8      0.93%       0.93%       0.94%  
 

 

 

 

Net investment income

    0.97% 8      0.89%       0.71%       1.42% 8      3.56%       2.15%       2.34%  
 

 

 

 
             
Supplemental Data  

Net assets, end of period (000)

  $ 701,152     $ 665,159     $ 666,492     $ 691,380     $ 682,485     $ 675,472     $ 622,657  
 

 

 

 

Portfolio turnover rate

    19%       54%       133%       2%       80%       218%       205%  
 

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

  3   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  4   

The amount of distributions to shareholders from net investment income reported in October 31, 2012 has been reclassified to allocate the amount between distributions from net investment income and distributions in excess of net investment income; both of which were included in the prior year net investment income in the amount of $0.53.

 

  5   

Taxable distribution.

 

  6   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

  7   

Aggregate total return.

 

  8   

Annualized.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    103


Financial Highlights    BlackRock Enhanced Equity Dividend Trust (BDJ)

 

   

Six Months Ended
June 30,
2017

(Unaudited)

    Year Ended December 31,    

Period
November 1, 2014
to December 31,

2014

    Year Ended October 31,  
      2016     2015       2014     2013     2012  
             
Per Share Operating Performance  

Net asset value, beginning of period

  $ 9.22     $ 8.70     $ 9.24     $ 9.19     $ 8.88     $ 8.30     $ 8.03  
 

 

 

 

Net investment income1

    0.09       0.17       0.17       0.04       0.16       0.18       0.18  

Net realized and unrealized gain (loss)

    0.46       0.91       (0.15     0.10       0.76       0.96       0.77  
 

 

 

 

Net increase from investment operations

    0.55       1.08       0.02       0.14       0.92       1.14       0.95  
 

 

 

 
Distributions:2  

From net investment income

    (0.28 )3      (0.17     (0.17     (0.03     (0.17     (0.18     (0.18 )4 

In excess of net investment income5

                                  (0.20     (0.22 )4 

From net realized gain

                                  (0.18      

From return of capital

          (0.39     (0.39     (0.06     (0.44           (0.28
 

 

 

 

Total distributions

    (0.28     (0.56     (0.56     (0.09     (0.61     (0.56     (0.68
 

 

 

 

Net asset value, end of period

  $ 9.49     $ 9.22     $ 8.70     $ 9.24     $ 9.19     $ 8.88     $ 8.30  
 

 

 

 

Market price, end of period

  $ 8.80     $ 8.15     $ 7.61     $ 8.12     $ 8.35     $ 7.72     $ 7.41  
 

 

 

 
             
Total Return6  

Based on net asset value

    6.32% 7      13.90%       1.10%       1.69% 7      11.40%       15.11%       13.22%  
 

 

 

 

Based on market price

    11.53% 7      15.11%       0.63%       (1.65)% 7      16.42%       12.09%       11.34%  
 

 

 

 
             
Ratios to Average Net Assets  

Total expenses

    0.86% 8      0.87%       0.86%       0.87% 8      0.87% 9      0.87%       0.95%  
 

 

 

 

Total expenses after fees waived and/or reimbursed

    0.86% 8      0.85%       0.85%       0.84% 8      0.86% 9      0.87%       0.95%  
 

 

 

 

Net investment income

    1.90% 8      1.91%       1.85%       2.30% 8      1.81%       2.13%       2.16%  
 

 

 

 
             
Supplemental Data  

Net assets, end of period (000)

  $ 1,778,982     $ 1,741,649     $ 1,643,508     $ 1,747,070     $ 1,648,683     $ 1,594,223     $ 1,490,096  
 

 

 

 

Portfolio turnover rate

    24%       33%       26%       0% 10      63%       180%       185%  
 

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

  3   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  4   

The amount of distributions to shareholders from net investment income reported in October 31, 2012 has been reclassified to allocate the amount between distributions from net investment income and distributions in excess of net investment income; both of which were included in the prior year net investment income in the amount of $0.40.

 

  5   

Taxable distribution.

 

  6   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

  7   

Aggregate total return.

 

  8   

Annualized.

 

  9   

Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses and total expenses after fees waived would have been 0.86% and 0.86%, respectively.

 

  10  

Amount is less than 0.5%

 

 

See Notes to Financial Statements.      
                
104    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Financial Highlights    BlackRock Enhanced Global Dividend Trust (BOE)

 

    Six Months Ended
June 30,
2017
(Unaudited)
    Year Ended December 31,     Period
November 1, 2014
to December 31,
2014
    Year Ended October 31,  
      2016     2015       2014     2013     2012  
             
Per Share Operating Performance  

Net asset value, beginning of period

  $ 13.38     $ 14.25     $ 15.27     $ 15.54     $ 16.68     $ 14.99     $ 16.03  
 

 

 

 

Net investment income1

    0.06       0.15       0.11       0.00 2      0.14       0.12       0.20  

Net realized and unrealized gain (loss)

    1.51       0.03       0.03       (0.07     0.07       2.82       0.72  
 

 

 

 

Net increase (decrease) from investment operations

    1.57       0.18       0.14       (0.07     0.21       2.94       0.92  
 

 

 

 
Distributions:3  

From net investment income

    (0.47 )4      (0.10     (0.17           (0.17     (0.17     (0.22

In excess of net investment income5

                (0.10           (0.28     (0.91      

From net realized gain

                                         

From return of capital

          (0.95     (0.89     (0.20     (0.90     (0.17     (1.74
 

 

 

 

Total distributions

    (0.47     (1.05     (1.16     (0.20     (1.35     (1.25     (1.96
 

 

 

 

Net asset value, end of period

  $ 14.48     $ 13.38     $ 14.25     $ 15.27     $ 15.54     $ 16.68     $ 14.99  
 

 

 

 

Market price, end of period

  $ 13.25     $ 11.57     $ 12.76     $ 13.13     $ 14.00     $ 14.74     $ 13.24  
 

 

 

 
             
Total Return6  

Based on net asset value

    12.24% 7      2.62%       1.81%       (0.27)% 7      2.10%       21.93%       7.36%  
 

 

 

 

Based on market price

    18.78% 7      (0.90)%       6.03%       (4.82)% 7      4.09%       21.99%       1.68%  
 

 

 

 
             
Ratios to Average Net Assets  

Total expenses

    1.09% 8      1.10%       1.08% 9      1.10% 8      1.08%       1.08%       1.10%  
 

 

 

 

Total expenses after fees waived and/or reimbursed

    1.03% 8      1.05%       1.05% 9      1.07% 8      1.08%       1.08%       1.10%  
 

 

 

 

Net investment income

    0.87% 8      1.15%       0.73% 9      0.00% 8,10      0.83%       0.77%       1.34%  
 

 

 

 
             
Supplemental Data  

Net assets, end of period (000)

  $ 997,686     $ 929,897     $ 990,318     $ 1,060,687     $ 1,079,862     $ 1,159,072     $ 1,041,210  
 

 

 

 

Portfolio turnover rate

    122%       64%       72%       16%       150%       279%       298%  
 

 

 

 

 

  1  

Based on average shares outstanding.

 

  2  

Amount is greater than $(0.005) per share.

 

  3  

Distributions for annual periods determined in accordance with U.S. federal income tax regulations..

 

  4   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  5  

Taxable distribution.

 

  6  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

  7  

Aggregate total return.

 

  8  

Annualized.

 

  9  

Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%.

 

  10  

Amount is less than 0.005%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    105


Financial Highlights    BlackRock Enhanced International Dividend Trust (BGY)

 

    Six Months Ended
June 30,
2017
(Unaudited)
    Year Ended December 31,     Period
November 1, 2014
to December 31,
2014
    Year Ended October 31,  
      2016     2015       2014     2013     2012  
             
Per Share Operating Performance  

Net asset value, beginning of period

  $ 6.28     $ 6.95     $ 7.61     $ 7.89     $ 9.05     $ 8.28     $ 8.72  
 

 

 

 

Net investment income (loss)1

    0.06 2      0.09       0.08       (0.00 )3      0.10       0.13       0.16  

Net realized and unrealized gain (loss)

    0.68       (0.24     (0.15     (0.17     (0.53     1.31       0.35  
 

 

 

 

Net increase (decrease) from investment operations

    0.74       (0.15     (0.07     (0.17     (0.43     1.44       0.51  
 

 

 

 
Distributions:4  

From net investment income

    (0.23 )5      (0.07     (0.11           (0.13     (0.17     (0.18

In excess of net investment income6

                            (0.08            

From return of capital

          (0.45     (0.48     (0.11     (0.52     (0.50     (0.77
 

 

 

 

Total distributions

    (0.23     (0.52     (0.59     (0.11     (0.73     (0.67     (0.95
 

 

 

 

Net asset value, end of period

  $ 6.79     $ 6.28     $ 6.95     $ 7.61     $ 7.89     $ 9.05     $ 8.28  
 

 

 

 

Market price, end of period

  $ 6.28     $ 5.51     $ 6.24     $ 6.74     $ 7.26     $ 8.14     $ 7.41  
 

 

 

 
             
Total Return7  

Based on net asset value

    12.28% 8      (1.12)%       (0.47)%       (2.10)% 8      (4.49)%       19.25%       7.65%  
 

 

 

 

Based on market price

    18.36% 8      (3.37)%       0.90%       (5.77)% 8      (2.29)%       19.86%       6.61%  
 

 

 

 
             
Ratios to Average Net Assets  

Total expenses9

    1.12% 10      1.12%       1.09%       1.12% 10      1.10%       1.09%       1.11%  
 

 

 

 

Total expenses after fees waived and/or reimbursed9

    1.01% 10      1.02%       1.01%       1.03% 10      1.05%       1.07%       1.11%  
 

 

 

 

Net investment income (loss)9

    1.81% 2,10      1.41%       1.09%       (0.13)% 10      1.17%       1.49%       1.97%  
 

 

 

 
             
Supplemental Data  

Net assets, end of period (000)

  $ 740,391     $ 690,628     $ 764,154     $ 836,552     $ 867,986     $ 995,736     $ 910,481  
 

 

 

 

Portfolio turnover rate

    84%       74%       67%       14%       195%       266%       226%  
 

 

 

 

 

  1  

Based on average shares outstanding.

 

  2  

Net investment income per share and the ratio of net investment income to average net assets include less than $0.01 per share and 0.11%, respectively, resulting from a special dividend from UBS Group AG in May 2017.

 

  3  

Amount is greater than $(0.005) per share.

 

  4  

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

  5  

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  6  

Taxable distribution.

 

  7  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

  8  

Aggregate total return.

 

  9  

Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

 

    Six Months Ended
June 30,
2017
(Unaudited)
  Year Ended December 31    

Period

November 1, 2014
to December 31,

2014

  Year Ended October 31,
    2016     2015       2014   2013   2012
             

Investments in underlying funds

  0.02%     0.01%       0.01%          
 

 

 

  10  

Annualized.

 

 

See Notes to Financial Statements.      
                
106    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Financial Highlights    BlackRock Health Sciences Trust (BME)

 

    Six Months Ended
June 30,
2017
(Unaudited)
    Year Ended December 31,     Period
November 1, 2014
to December 31,
2014
    Year Ended October 31,  
      2016     2015       2014     2013     2012  
             
Per Share Operating Performance                                                        

Net asset value, beginning of period

  $ 31.30     $ 36.19     $ 38.61     $ 40.22     $ 34.92     $ 28.34     $ 26.65  
 

 

 

 

Net investment income (loss)1

    0.02       0.02       (0.06     (0.01     (0.00 )2      0.12       0.08  

Net realized and unrealized gain (loss)

    5.14       (1.91     4.34       1.10       9.14       8.85       4.11  
 

 

 

 

Net increase (decrease) from investment operations

    5.16       (1.89     4.28       1.09       9.14       8.97       4.19  
 

 

 

 
Distributions:3              

From net investment income

    (1.20 )4      (0.03     (0.63     (0.01     (0.10     (0.06     (0.09

From net realized gain

          (2.97     (6.07     (2.69     (3.74     (2.33     (2.41
 

 

 

 

Total distributions

    (1.20     (3.00     (6.70     (2.70     (3.84     (2.39     (2.50
 

 

 

 

Net asset value, end of period

  $ 35.26     $ 31.30     $ 36.19     $ 38.61     $ 40.22     $ 34.92     $ 28.34  
 

 

 

 

Market price, end of period

  $ 36.65     $ 31.75     $ 39.35     $ 42.70     $ 41.37     $ 33.56     $ 27.86  
 

 

 

 
             
Total Return5                                                        

Based on net asset value

    16.71% 6      (5.36)%       10.70%       2.38% 6      28.00%       33.37%       16.42%  
 

 

 

 

Based on market price

    19.59% 6      (11.71)%       8.87%       10.07% 6      36.99%       30.38%       18.17%  
 

 

 

 
             
Ratios to Average Net Assets                                                        

Total expenses

    1.12% 7      1.15% 8      1.13%       1.16% 7      1.11%       1.12%       1.13%  
 

 

 

 

Total expenses after fees waived and/or reimbursed and excluding amortization of offering costs

    1.12% 7      1.14%       1.12%       1.11% 7      1.11%       1.12%       1.13%  
 

 

 

 

Net investment income (loss)

    0.13% 7      0.07%       (0.14)%       (0.10)% 7      (0.01)%       0.38%       0.29%  
 

 

 

 
             
Supplemental Data                                                        

Net assets, end of period (000)

  $ 317,536     $ 270,693     $ 297,530     $ 303,103     $ 313,933     $ 270,161     $ 218,377  
 

 

 

 

Portfolio turnover rate

    12%       59%       68%       6%       74%       155%       209%  
 

 

 

 

 

  1  

Based on average shares outstanding.

 

  2  

Amount is greater than $(0.005) per share.

 

  3  

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

  4   

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  5  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

  6  

Aggregate total return.

 

  7  

Annualized.

 

  8  

Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.16%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    107


Consolidated Financial Highlights    BlackRock Resources & Commodities Strategy Trust  (BCX)

 

    Six Months Ended
June 30,
2017
(Unaudited)
    Year Ended December 31,    

Period

November 1, 2014
to December 31,
2014

    Year Ended October 31,  
      2016     2015       2014     2013     2012  
             
Per Share Operating Performance                                          

Net asset value, beginning of period

  $ 9.86     $ 8.35     $ 11.67     $ 12.50     $ 13.54     $ 15.42     $ 16.83  
 

 

 

 

Net investment income1

    0.08       0.14       0.25       0.04       0.23       0.25       0.18  

Net realized and unrealized gain (loss)

    (0.42     1.95       (2.76     (0.72     (0.27     (0.97     (0.19
 

 

 

 

Net increase (decrease) from investment operations

    (0.34     2.09       (2.51     (0.68     (0.04     (0.72     (0.01
 

 

 

 
Distributions:2              

From net investment income

    (0.30 )3      (0.15     (0.25     (0.02     (0.31     (0.14     (0.26

From net realized gain

                                        (0.01

From return of capital

          (0.43     (0.56     (0.13     (0.69     (1.02     (1.13
 

 

 

 

Total distributions

    (0.30     (0.58     (0.81     (0.15     (1.00     (1.16     (1.40
 

 

 

 

Net asset value, end of period

  $ 9.22     $ 9.86     $ 8.35     $ 11.67     $ 12.50     $ 13.54     $ 15.42  
 

 

 

 

Market price, end of period

  $ 8.01     $ 8.27     $ 7.11     $ 9.71     $ 10.78     $ 11.68     $ 14.12  
 

 

 

 
             
Total Return4                                          

Based on net asset value

    (3.19)% 5      27.41%       (21.31)%       (5.20)% 5      0.61%       (3.61)% 6      0.90%  
 

 

 

 

Based on market price

    0.28% 5      25.50%       (19.47)%       (8.53)% 5      0.58%       (9.19)%       4.02%  
 

 

 

 
             
Ratios to Average Net Assets                                          

Total expenses

    1.08% 7      1.08%       1.07%       1.15% 7      1.35% 8      1.27%       1.25%  
 

 

 

 

Total expenses after fees waived and/or reimbursed and/or paid indirectly

    1.08% 7      1.08%       1.07%       1.04% 7      1.06% 8      1.07%       1.05%  
 

 

 

 

Net investment income

    1.55% 7      1.61%       2.43%       2.01% 7      1.70%       1.76%       1.14%  
 

 

 

 
             
Supplemental Data                                          

Net assets, end of period (000)

  $ 904,216     $ 976,899     $ 827,040     $ 1,156,499     $ 582,220     $ 630,617     $ 718,016  
 

 

 

 

Portfolio turnover rate

    43%       101%       74%       2%       62%       156%       100%  
 

 

 

 

 

  1  

Based on average shares outstanding.

 

  2  

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

  3  

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  4  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

  5  

Aggregate total return.

 

  6  

Includes a payment from an affiliate to compensate for foregone securities lending revenue which impacted the Trust’s total return. Not including this payment the Trust’s total return would have been (3.68)%.

 

  7  

Annualized.

 

  8  

Includes reorganization cost associated with the Trust’s merger. Without these cost, total expenses and total expenses after fees waived would have been 1.26% and 1.06%, respectively.

 

 

See Notes to Financial Statements.      
                
108    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Financial Highlights    BlackRock Science and Technology Trust (BST)

 

    Six Months Ended
June 30,
2017
(Unaudited)
    Year Ended December 31,     Period
October 30, 20141
to December 31,
2014
       
      2016     2015      
         
Per Share Operating Performance                          

Net asset value, beginning of period

  $ 20.10     $ 19.70     $ 19.43     $ 19.10 2   
 

 

 

 

Net investment income (loss)3

    (0.01     0.00 4      0.03       (0.01  

Net realized and unrealized gain

    4.52       1.60       1.44       0.48    
 

 

 

 

Net increase (decrease) from investment operations

    4.51       1.60       1.47       0.47    
 

 

 

 
Distributions:5          

From net investment income

    (0.60 )6            (0.03     (0.00 )7   

From net realized gain

                (0.01        

From return of capital

          (1.20     (1.16     (0.10  
 

 

 

 

Total distributions

    (0.60     (1.20     (1.20     (0.10  
 

 

 

 

Capital changes with respect to issuance of Preferred Shares

                      (0.04  
 

 

 

 

Net asset value, end of period

  $ 24.01     $ 20.10     $ 19.70     $ 19.43    
 

 

 

 

Market price, end of period

  $ 22.21     $ 17.94     $ 17.31     $ 17.59    
 

 

 

 
         
Total Return8                          

Based on net asset value

    22.88% 9      9.36%       8.61%       2.31% 9   
 

 

 

 

Based on market price

    27.34% 9      11.08%       5.36%       (11.55)% 9   
 

 

 

 
         
Ratios to Average Net Assets                          

Total expenses

    1.09% 10      1.10%       1.12%       1.19% 10   
 

 

 

 

Total expenses after fees waived and paid indirectly

    0.89% 10      0.90%       0.92%       0.97% 10   
 

 

 

 

Net investment income (loss)

    (0.08)% 10      0.02%       0.15%       (0.24)% 10   
 

 

 

 
         
Supplemental Data                          

Net assets, end of period (000)

  $ 537,117     $ 452,443     $ 443,477     $ 437,380    
 

 

 

 

Portfolio turnover rate

    23%       74%       91%       7%    
 

 

 

 

 

  1  

Commencement of investment operations. This information includes the initial investment by BlackRock HoldCo2, Inc.

 

  2  

Net asset value, beginning of period, reflects a deduction of $0.8975 per share sales charge from initial offering price of $20.00 per share.

 

  3  

Based on average shares outstanding.

 

  4  

Amount is less than $0.005 per share.

 

  5  

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

  6  

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  7  

Amount is greater than ($0.005) per share.

 

  8  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

  9  

Aggregate total return.

 

  10  

Annualized.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    109


Financial Highlights    BlackRock Utility and Infrastructure Trust (BUI)

 

    Six Months Ended
June 30, 2017
(Unaudited)
    Year Ended December 31,     Period
November 1, 2014
to December 31,
2014
    Year Ended October 31,    

Period

November 25, 20111

to October 31,
2012

       
      2016     2015       2014     2013      
               
Per Share Operating Performance                                                                

Net asset value, beginning of period

  $ 19.42     $ 19.50     $ 22.47     $ 22.40     $ 20.78     $ 20.22     $ 19.10 2   
 

 

 

 

Net investment income3

    0.31 4      0.56       0.47       0.11       0.51       0.57       0.54    

Net realized and unrealized gain (loss)

    1.71       0.81       (1.99     0.20       2.68       1.44       1.71    
 

 

 

 

Net increase (decrease) from investment operations

    2.02       1.37       (1.52     0.31       3.19       2.01       2.25    
 

 

 

 
Distributions:5                

From net investment income

    (0.73 )6      (0.49     (0.42     (0.10     (0.51     (0.52     (0.49  

From net realized gain

          (0.53     (0.54           (0.37     (0.42     (0.41  

From return of capital

          (0.43     (0.49     (0.14     (0.69     (0.51     (0.19  
 

 

 

 

Total distributions

    (0.73     (1.45     (1.45     (0.24     (1.57     (1.45     (1.09  
 

 

 

 

Capital changes with respect to issuance of Preferred Shares

                                        (0.04  
 

 

 

 

Net asset value, end of period

  $ 20.71     $ 19.42     $ 19.50     $ 22.47     $ 22.40     $ 20.78     $ 20.22    
 

 

 

 

Market price, end of period

  $ 20.55     $ 18.41     $ 16.78     $ 20.74     $ 20.02     $ 18.36     $ 19.03    
 

 

 

 
               
Total Return7                                                                

Based on net asset value

    10.51% 8      7.57%       (6.09)%       1.50% 8      16.94%       11.18%       12.05% 8   
 

 

 

 

Based on market price

    15.67% 8      18.50%       (12.45)%       4.82% 8      18.29%       4.37%       0.71% 8   
 

 

 

 
               
Ratios to Average Net Assets                                                                

Total expenses

    1.12% 9      1.13%       1.11%       1.17% 9      1.10%       1.11%       1.12% 9   
 

 

 

 

Total expenses after fees waived and/or reimbursed

    1.12% 9      1.13%       1.11%       1.11% 9      1.10%       1.10%       1.11% 9   
 

 

 

 

Total expenses after fees waived and/or reimbursed and excluding excise tax

    1.12% 9      1.13%       1.11%       1.11% 9      1.10%       1.10%       1.10% 9   
 

 

 

 

Net investment income

    3.04% 4,9      2.83%       2.24%       2.83% 9      2.36%       2.83%       2.94% 9   
 

 

 

 
               
Supplemental Data                                                                

Net assets, end of period (000)

  $ 350,364     $ 328,297     $ 329,747     $ 379,830     $ 378,762     $ 351,325     $ 341,939    
 

 

 

 

Portfolio turnover rate

    14%       8%       20%       2%       41%       133%       90%    
 

 

 

 

 

  1  

Commencement of investment operations. This information includes the initial investment by BlackRock HoldCo2, Inc.

 

  2  

Net asset value, beginning of period, reflects a deduction of $0.8975 per share sales charge from initial offering price of $20.00 per share.

 

  3  

Based on average shares outstanding.

 

  4  

Net investment income per share and the ratio of net investment income to average net assets include $0.01 per share and 0.12%, respectively, resulting from a special dividend from National Grid PLC in May 2017.

 

  5  

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

  6  

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

 

  7  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

  8  

Aggregate total return.

 

  9  

Annualized.

 

 

See Notes to Financial Statements.      
                
110    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Notes to Financial Statements (Unaudited)     

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:

 

Fund Name   Herein Referred to As    Organized    Diversification Classification

BlackRock Energy and Resources Trust

  BGR    Delaware    Non-diversified

BlackRock Enhanced Capital and Income Fund, Inc.

  CII    Maryland    Diversified

BlackRock Enhanced Equity Dividend Trust

  BDJ    Delaware    Diversified

BlackRock Enhanced Global Dividend Trust

  BOE    Delaware    Diversified

BlackRock Enhanced International Dividend Trust

  BGY    Delaware    Diversified

BlackRock Health Sciences Trust

  BME    Delaware    Diversified*

BlackRock Resources & Commodities Strategy Trust

  BCX    Delaware    Non-diversified

BlackRock Science and Technology Trust

  BST    Delaware    Non-diversified

BlackRock Utility and Infrastructure Trust

  BUI    Delaware    Diversified*

 

  *   The Trust’s classification changed from non-diversified to diversified during the reporting period.

The Boards of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Basis of Consolidation: The accompanying consolidated financial statements of BCX include the account of BlackRock Cayman Resources & Commodities Strategy Fund, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of BCX and primarily invests in commodity-related instruments. The Subsidiary enables the BCX to hold these commodity-related instruments and other derivatives and satisfy regulated investment company tax requirements. BCX may invest up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions, if any, have been eliminated. During the six months ended June 30, 2017, there were no transactions in the Subsidiary. The Subsidiary is subject to the same investment policies and restrictions that apply to BCX, except that the Subsidiary may invest without limitation in commodity-related instruments.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the “trade dates”). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis.

Foreign Currency Translation: Each Trust’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the NYSE. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Trust does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts and options written) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    111


Notes to Financial Statements (continued)     

 

to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions paid by the Trusts are recorded on the ex-dividend date. Subject to the Trusts’ level distribution plan, the Trusts intend to make monthly cash distributions to shareholders, which may consist of net investment income, net options premium and net realized and unrealized gains on investments and/or return of capital.

Portions of return of capital distributions under U.S. GAAP may be taxed at ordinary income rates.

The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital. Realized net capital gains can be offset by capital losses carried forward from prior years. However, certain Trusts have capital loss carryforwards from pre-2012 tax years that offset realized net capital gains but do not offset current earnings and profits. Consequently, if distributions in any tax year are less than a Trust’s current earnings and profits but greater than net investment income and net realized capital gains (taxable income), distributions in excess of taxable income are not treated as non-taxable return of capital, but rather may be taxable to shareholders at ordinary income rates. Under certain circumstances, taxable excess distributions could be significant.

Net income and realized gains from investments held by the Subsidiary are treated as ordinary income for tax purposes. If a net loss is realized by the Subsidiary in any taxable year, the loss will generally not be available to offset BCX’s ordinary income and/or capital gains for that year.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in the officer’s and trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standards: In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “Restricted Cash” which will require entities to include the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statements of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is evaluating the impact, if any, of this guidance on the Trusts’ presentation in the Statements of Cash Flows.

SEC Reporting Modernization: The U.S. Securities and Exchange Commission (“SEC”) adopted new rules and forms and amended other rules to enhance the reporting and disclosure of information by registered investment companies. As part of these changes, the SEC amended Regulation S-X to standardize and enhance disclosures in investment company financial statements. The compliance date for implementing the new or amended rules is August 1, 2017.

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’ maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

Effective March 27, 2017, each Trust entered into a new custody arrangement with State Street Bank and Trust Co. Under current arrangements, the Trusts no longer earn credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.

Prior to March 27, 2017, the Trusts had an arrangement with their former custodian whereby credits were earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. The Trusts could incur charges on certain uninvested cash balances and overdrafts, subject to certain conditions.

3. Investment Valuation and fair Value Measurements:

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine

 

                
112    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Notes to Financial Statements (continued)     

 

the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of each Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’ assets and liabilities:

 

 

Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots often trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

 

 

Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Trusts’ net assets. Each business day, the Trusts use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

 

Investments in open-end U.S. mutual funds are valued at net asset value (“NAV”) each business day.

 

 

The Trusts value their investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon their pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act.

 

 

Futures contracts traded on exchanges are valued at their last sale price.

 

 

Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

 

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include Market approach, Income approach and Cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.

The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of each Trust’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    113


Notes to Financial Statements (continued)     

 

disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.

For investments in equity or debt issued by privately-held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

     Standard Inputs Generally Considered By Third Party Pricing Services

Market approach

 

(i)      recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;

(ii)     recapitalizations and other transactions across the capital structure; and

(iii)    market multiples of comparable issuers.

Income approach

 

(i)      future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;

(ii)     quoted prices for similar investments or assets in active markets; and

(iii)    other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach

 

(i)      audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;

(ii)     changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;

(iii)    relevant news and other public sources; and

(iv)    known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

 

 

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

 

 

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

 

                
114    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Notes to Financial Statements (continued)     

 

As of June 30, 2017, certain investments of BCX and BST were valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

4. Securities and Other Investments:

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Securities Lending: Certain Trusts may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Trusts collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Trust is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Trust and any additional required collateral is delivered to the Trust, or excess collateral returned by the Trust, on the next business day. During the term of the loan, the Trusts are entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as common stocks in the Trusts’ Schedules of Investments, and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedules of Investments.

Securities lending transactions are entered into by the Trusts under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Trusts, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and a Trust can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the Trusts’ securities lending agreements by counterparty which are subject to offset under an MSLA:

 

BCX                       
Counterparty   Securities
Loaned
at Value
     Cash
Collateral
Received1
     Net
Amount2
 

Goldman Sachs & Co.

  $ 617,580      $ (617,580       

Merrill Lynch, Pierce, Fenner & Smith Inc.

    416,734        (361,466    $ 55,268  

Morgan Stanley & Co. LLC

    194,085        (168,345      25,740  
 

 

 

    

 

 

    

 

 

 

Total

  $ 1,228,399      $ (1,167,311    $ 81,008  
 

 

 

    

 

 

    

 

 

 

 

BST                       
Counterparty   Securities
Loaned
at Value
     Cash
Collateral
Received1
     Net
Amount
 

Credit Suisse Securities (USA) LLC

  $ 313,600      $ (313,600       

Goldman Sachs & Co.

    719,365        (719,365       
 

 

 

 

Total

  $ 1,032,965      $ (1,032,965       
 

 

 

    

 

 

    

 

 

 

1    Cash collateral with a value of $1,167,311 and $1,060,821 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above.

2    The market value of the loaned securities is determined as of June 30, 2017. Additional collateral is delivered to the Fund on the next business day in accordance with the MSLA. The net amount would be subject to the borrower default indemnity in the event of default by the counterparty.

     

     

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    115


Notes to Financial Statements (continued)     

 

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Trusts benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Trust could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.

5. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as equity risk or commodity price risk. Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: Certain Trusts purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value – unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

 

                
116    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Notes to Financial Statements (continued)     

 

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event each Trust’s net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements. The result would cause the Trusts to accelerate payment of any net liability owed to the counterparty.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trusts and the counterparty.

Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

For such services, each Trust, except BCX and BST, pays the Manager a monthly fee at the following annual rates:

 

Average weekly value of each Trust’s net assets:

 

BGR

    1.20%  

BDJ

    0.80%  

BOE

    1.00%  

BME

    1.00%  

 

Average daily value of each Trust’s net assets:

 

CII

    0.85%  

BGY

    1.00%  

BUI

    1.00%  

For such services, BCX pays the Manager a monthly fee of 1.00% of the sum of the average daily value of the net assets of the Trust (excluding the value of the Trust’s interest in its Subsidiary) and the average daily value of the net assets of its Subsidiary, which fee is allocated pro rata between the Trust and its Subsidiary based on the average daily value of their respective net assets (excluding, in the case of the Trust, the value of the Trust’s interest in its Subsidiary).

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    117


Notes to Financial Statements (continued)     

 

For such services, BST pays the Manager a monthly fee at an annual rate equal to 1.00% of the average daily value of the Trust’s managed assets. For purposes of calculating this fee, “managed assets” means the total assets of the Trust (including any assets attributable to money borrowed for investment purposes) minus the sum of its accrued liabilities (other than money borrowed for investment purposes).

With respect to BGR, BOE, BGY, BCX and BUI, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager. The Manager pays BIL, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

Distribution Fees: BME has entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of BME common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, BME will compensate BRIL with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of BME’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended June 30, 2017 amounted to $22,614.

Expense Limitations, Waivers and Reimbursements: The Manager has contractually agreed to waive a portion of the investment advisory fees on BST as a percentage of its average daily managed assets as follows:

 

             Expiration Date

BST

    0.20%      December 31, 2018
    0.15%      December 31, 2019
    0.10%      December 31, 2020
      0.05%      December 31, 2021

The Manager voluntarily agreed to waive a portion of the investment advisory fees on the following Trusts as a percentage of its average weekly net assets as follows:

 

BGR

    0.10%  

BOE

    0.05%  

With respect to BGY, the Manager has voluntarily agreed to waive a portion of its investment advisory fees equal to the annual rate of 0.10% of BGY’s average daily net assets.

These voluntary waivers may be reduced or discontinued at any time without notice.

For the six months ended June 30, 2017, the investment advisory fees waived which are included in fees waived by the Manager in the Statements of Operations were as follows:

 

BGR

  $ 225,624  

BOE

  $ 242,146  

BGY

  $ 357,471  

BST

  $ 504,850  

The Manager provides investment management and other services to BCX’s Subsidiary. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, BCX pays the Manager based on the Trust’s net assets which includes the assets of the Subsidiary.

With respect to each Trust, the Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). These amounts are included in fees waived by the Manager in the Statements of Operations. For the six months ended June 30, 2017, the amounts waived were as follows:

 

BGR

  $ 2,069  

CII

  $ 7,184  

BDJ

  $ 2,683  

BOE

  $ 10,666  

BGY

  $ 10,525  

BME

  $ 2,842  

BCX

  $ 4,507  

BST

  $ 553  

BUI

  $ 1,422  

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2018. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. These amounts are included in fees waived by the Manager in the Statements of Operations. For the six months ended June 30, 2017, BOE waived $9,522 in investment advisory fees pursuant to these arrangements.

 

                
118    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Notes to Financial Statements (continued)     

 

Securities Lending: The U.S. Securities and Exchange Commission has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Trusts, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Trusts are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment company will not charge any advisory fees with respect to shares purchased by the Trusts. The private investment company in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% on the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Trust retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent. Pursuant to a securities lending agreement, BIM may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).

Pursuant to such agreement, each Trust retains 80% of securities lending income. In addition, commencing the business day following the date that the aggregate securities lending income earned across the Closed-End Complex in a calendar year exceeds the breakpoint dollar threshold applicable in the given year as set forth in the securities lending agreement, each Trust, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 85% of securities lending income.

The share of securities lending income earned by each Trust is shown as securities lending income — affiliated — net in the Statements of Operations. For the six months ended June 30, 2017, each Trust paid BIM the following amounts for securities lending agent services:

 

BGR

  $ 5,781  

CII

  $ 287  

BDJ

  $ 376  

BOE

  $ 8,140  

BGY

  $ 125  

BME

  $ 325  

BCX

  $ 23,737  

BST

  $ 9,067  

BUI

  $ 969  

Officers and Trustees: Certain officers and/or Trustees of the Trusts are officers and/or trustees of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

Other Transactions: During the six months ended June 30, 2017, BOE and BGY received reimbursements of $393,604 and $259,510, respectively, from an affiliate, which is shown as payments by affiliates in the Statements of Operations, related to the reimbursement of transaction costs.

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2017, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchase      Sales      Net Realized
Gain (Loss)
 

CII

  $ 343,935                

BOE

  $ 4,785,895                

BGY

  $ 4,300,195      $ 2,931,108      $ (257,002

BUI

  $ 5,775,415                

7. Purchases and Sales:

For the six months ended June 30, 2017, purchases and sales of investments, excluding short-term securities, were as follows:

 

     Purchases      Sales  

BGR

  $ 60,002,422      $ 64,744,638  

CII

  $ 122,973,761      $ 127,126,829  

BDJ

  $ 420,223,478      $ 486,966,865  

BOE

  $ 1,156,615,652      $ 1,225,071,619  

BGY

  $ 553,595,490      $ 603,032,804  

BME

  $ 37,776,826      $ 33,575,048  

BCX

  $ 416,049,323      $ 434,206,351  

BST

  $ 118,299,376      $ 150,459,436  

BUI

  $ 47,376,260      $ 59,977,383  

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    119


Notes to Financial Statements (continued)     

 

8. Income Tax Information:

It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no U.S. federal income tax provision is required.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’ U.S. federal tax returns generally remains open for each of the two years ended December 31, 2016, the period ended December 31, 2014 and each of the two years ended October 31, 2014 with the exception of BST. The statutes of limitations on BST’s U.S. federal tax returns remains open for each of the two years ended December 31, 2016 and the period ended December 31, 2014. The statutes of limitations on each Trust’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of June 30, 2017, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

As of December 31, 2016, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires December 31,   BGR      CII      BDJ      BOE      BGY      BCX      BST  

No expiration date1

  $ 155,077,777      $ 31,423,316      $ 20,340,326      $ 807,221      $ 47,497,065      $ 465,131,677      $ 13,469,302  

2017

           2,532,028        8,526,748               55,605,462        1,795,201         
 

 

 

 

Total

  $ 155,077,777      $ 33,955,344      $ 28,867,074      $ 807,221      $ 103,102,527      $ 466,926,878      $ 13,469,302  
 

 

 

 

 

  1   

Must be utilized prior to losses subject to expiration.

As of June 30, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income tax purposes were as follows:

 

     BGR      CII      BDJ      BOE      BGY  

Tax cost

  $ 459,459,523      $ 600,043,281      $ 1,384,384,344      $ 984,516,293      $ 666,940,835  
 

 

 

 

Gross unrealized appreciation

  $ 23,071,374      $ 124,913,339      $ 454,274,882      $ 33,011,551      $ 84,233,391  

Gross unrealized depreciation

    (58,320,940      (14,655,037      (43,961,528      (16,575,783      (9,055,545
 

 

 

 

Net unrealized appreciation (depreciation)

  $ (35,249,566    $ 110,258,302      $ 410,313,354      $ 16,435,768      $ 75,177,846  
 

 

 

 

 

     BME      BCX      BST      BUI  

Tax cost

  $ 213,885,592      $ 867,653,032      $ 342,983,890      $ 263,441,031  
 

 

 

 

Gross unrealized appreciation

  $ 110,165,325      $ 124,870,610      $ 201,280,214      $ 97,941,322  

Gross unrealized depreciation

    (3,384,132      (77,563,714      (3,198,979      (9,388,002
 

 

 

 

Net unrealized appreciation (depreciation)

  $ 106,781,193      $ 47,306,896      $ 198,081,235      $ 88,553,320  
 

 

 

 

9. Principal Risks:

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers of securities owned by the Trusts. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Trust may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that they believe the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trust’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which a Trust invests.

The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trust’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trust’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

 

                
120    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Notes to Financial Statements (continued)     

 

Counterparty Credit Risk: Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Trust.

For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent the Trusts deposit collateral with its counterparty to a written option.

With exchange-traded options purchased and futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

Concentration Risk: As of period end, the Trusts listed below invested a significant portion of their assets in securities in the following sectors:

 

Energy

  BGR, BCX

Financials

  BDJ, BGY

Health Care

  BME

Information Technology

  CII, BST

Materials

  BCX

Utilities

  BUI

Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

BOE and BGY invest a substantial amount of their assets in issuers located in a single country or a limited number of countries. When the Trusts concentrate their investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on their investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be less liquid, more volatile, and less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedules of Investments.

BGY and BCX invest a significant portion of their assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Trusts’ investments.

The United Kingdom voted on June 23, 2016 to withdraw from the European Union, which may introduce significant new uncertainties and instability in the financial markets across Europe.

10. Capital Share Transactions:

Each Trust is authorized to issue an unlimited numbers of shares, with the exception of CII, all of which were initially classified as Common Shares. CII is authorized to issue 200 million Common Shares. The par value for each Trust’s Common Shares is $0.001, except for CII, which is $0.10. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    121


Notes to Financial Statements (concluded)     

 

For the periods shown, shares issued and outstanding increased by the following amounts as a result of shares issued through the Shelf Offering:

 

    

Six Months Ended

June 30,
2017

    

Year Ended

December 31, 2016

 

BME

    332,162        363,708  

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

    

Six Months Ended

June 30,
2017

    

Year Ended

December 31, 2016

 

BME

    24,427        63,264  

BUI

    13,848         

For the six months ended June 30, 2017, for BGR and CII and for the year ended December 31, 2016, for BGR, CII, BDJ, BOE, BGY, BCX, BST and BUI, shares issued and outstanding remained constant.

On June 9, 2016, BME filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing it to issue an additional 2,500,000 Common Shares through a Shelf Offering. Under the Shelf Offering, BME, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above BME’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). As of period end, 1,804,130 Common Shares remain available for issuance under the Shelf Offering. From August 12, 2015 to June 9, 2016, BME was authorized to issue 453,000 Common Shares under a previous Shelf Offering. See Additional Information — Shelf Offering Program for additional information about the Shelf Offering.

On October 26, 2016, the Board approved the Trusts’ participation in an open market share repurchase program (the “Share Repurchase Program”). Each Trust is eligible to purchase, at prevailing market prices, up to 5% of its common shares outstanding as of the close of business on October 28, 2016, subject to certain conditions. Repurchases may be made through November 30, 2017. There is no assurance that a Trust will purchase shares in any particular amounts. The shares repurchased during the six months ended June 30, 2017 are as follows:

 

    

Shares

Repurchased

     Amount1  

BDJ

    1,435,917      $ 12,272,105  

BOE

    571,366      $ 7,428,758  

BGY

    940,260      $ 5,726,813  

BCX

    1,021,542      $ 8,667,570  

BST

    136,367      $ 2,799,570  

 

  1   

Includes transaction costs.

The total amount of such repurchases is reflected in the Statements of Changes in Net Assets.

11. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

 

     Common Dividend Per Share  
     Paid1        Declared2  

BGR

  $ 0.0776        $ 0.0776  

CII

  $ 0.0828        $ 0.0828  

BDJ

  $ 0.0467        $ 0.0467  

BOE

  $ 0.0780        $ 0.0780  

BME

  $ 0.2000        $ 0.2000  

BGY

  $ 0.0380        $ 0.0380  

BCX

  $ 0.0516        $ 0.0516  

BST

  $ 0.1100        $ 0.1100  

BUI

  $ 0.1210        $ 0.1210  

1    Net investment income dividend paid on July 31, 2017 to shareholders of record on July 14, 2017.

     

2    Net investment income dividend declared on August 1, 2017, payable to shareholders of record on August 15, 2017.

     

 

                
122    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements     

 

The Board of Directors or Trustees, as applicable (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”), of BlackRock Energy and Resources Trust (“BGR”), BlackRock Enhanced Capital and Income Fund, Inc. (“CII”), BlackRock Enhanced Equity Dividend Trust (“BDJ”), BlackRock Global Opportunities Equity Trust (“BOE”), BlackRock Health Sciences Trust (“BME”), BlackRock International Growth and Income Trust (“BGY”), BlackRock Resources & Commodities Strategy Trust (“BCX”), BlackRock Utility and Infrastructure Trust (“BUI”) and BlackRock Science and Technology Trust (“BST” and together with BGR, CII, BDJ, BOE, BME, BGY, BCX and BUI, each a “Trust,” and, collectively, the “Trusts”) met in person on April 27, 2017 (the “April Meeting”) and June 7-8, 2017 (the “June Meeting”) to consider the approval of each Trust’s investment advisory agreement (the “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), each Trust’s investment advisor. The Board of each of BGR and BCX also considered the approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) among the Manager, BlackRock International Limited (the “Sub-Advisor”), and the Trust.

The Manager and the Sub-Advisor are referred to herein as “BlackRock”. The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

Activities and Composition of the Board

On the date of the June Meeting, the Board of each Trust consisted of eleven individuals, nine of whom were not “interested persons” of the Trust as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of its Trust and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of each Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of the Advisory Agreement for its Trust, and with respect to BGR and BCX, the Sub-Advisory Agreement, on an annual basis.

Each Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement(s) for its Trust and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, each Board assessed, among other things, the nature, extent and quality of the services provided to its Trust by BlackRock, BlackRock’s personnel and affiliates, including, as applicable; investment management, administrative, and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

Each Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement(s) for its Trust, including the services and support provided by BlackRock to the Trust and its shareholders. BlackRock also furnished additional information to each Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters each Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, paid to BlackRock and its affiliates by the Trust for services; (c) Trust operating expenses and how BlackRock allocates expenses to the Trust; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Trust’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Trust’s adherence to its compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Trust’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Trust; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, each Board requested and received materials specifically relating to the Agreement(s) for its Trust. Each Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations.

The materials provided to the Board of each Trust in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on Trust fees and expenses as compared with a peer group of funds as determined by Broadridge

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    123


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

 

(“Expense Peers”) and the investment performance of the Trust as compared with a peer group of funds as determined by Broadridge,1 as well as the performance of the Trust as compared with its custom benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Trust’s Agreement(s) and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; and (f) a summary of aggregate amounts paid by the Trust to BlackRock.

At the April Meeting, each Board reviewed materials relating to its consideration of the Agreement(s) for its Trust. As a result of the discussions that occurred during the April Meeting, and as a culmination of each Board’s year-long deliberative process, each Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting. Topics covered included: (a) fund repositionings and portfolio management changes, including additional information about the portfolio managers, research teams, organization and methods and historical track records of the teams, and the potential impact of such changes on fund performance and the costs of such changes; (b) scientific active equity management; (c) BlackRock’s option overwrite policy; (d) differences in services between closed-end funds and mutual funds; (d) market discount; and (e) adviser profitability.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Trust for a one year term ending June 30, 2018. The Board of each of BGR and BCX, including the Independent Board Members, also unanimously approved the continuation of the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to its Trust, for a one-year term ending June 30, 2018. In approving the continuation of the Agreement(s) for its Trust, each Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Trust; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Trust; (d) the Trust’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Trust; and (g) other factors deemed relevant by the Board Members.

Each Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, services related to the valuation and pricing of Trust portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. Each Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. Each Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: Each Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of its Trust. Throughout the year, each Board compared its Trust’s performance to the performance of a comparable group of closed-end funds, relevant benchmark, and performance metrics, as applicable. Each Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by its Trust’s portfolio management team discussing the Trust’s performance and the Trust’s investment objective(s), strategies and outlook.

Each Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and its Trust’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. Each Board engaged in a review of BlackRock’s compensation structure with respect to the Trust’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, each Board considered the quality of the administrative and other non-investment advisory services provided to its Trust. BlackRock and its affiliates provide each Trust with certain administrative, shareholder, and other services (in addition to any such services provided to the Trust by third parties) and officers and other personnel as are necessary for the operations of the Trust. In particular, BlackRock and its affiliates provide each Trust with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering, and, with respect to BME, registration statements in connection with BME’s equity shelf program, and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Trust; (iii) oversight of daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Trust, such as tax reporting, fulfilling regulatory filing requirements and call center services. Each Board reviewed the structure and duties of BlackRock’s fund administration, share-

 

1   

Trusts are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

 

                
124    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

 

holder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Trusts and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Trust. In preparation for the April Meeting, the Board of each Trust was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Trust’s performance. Each Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board of each Trust received and reviewed information regarding the investment performance, based on net asset value (NAV), of the Trust as compared to other funds in its applicable Broadridge category and the performance of the Trust as compared with its custom benchmark. Each Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. Each Board was provided with information on the composition of the Broadridge performance universes and expense universes. Each Board and its Performance Oversight Committee regularly review, and meet with Trust management to discuss, the performance of its Trust throughout the year.

In evaluating performance, each Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, each Board recognized that it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect long-term performance disproportionately.

The Board of BGR noted that for each of the one-, three- and five-year periods reported, the Trust underperformed its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BGR. The Board and BlackRock reviewed BGR’s underperformance during these periods. The Board was informed that, among other things, BGR’s underweight position in the refining and marketing sub-sector and the portfolio management team’s decision to increase BGR’s oil price sensitivity detracted from performance over the three- and five-year periods.

In further discussions with the Board of BGR, BlackRock noted that BGR had a voluntary advisory fee waiver in place. After discussions between the Board, including Independent Board Members, and BlackRock, the Board of BGR and BlackRock agreed to increase the voluntary advisory fee waiver. The waiver increase was implemented on July 1, 2017. This waiver may be discontinued at any time without notice.

The Board of CII noted that for each of the one-, three- and five-year periods reported, CII underperformed its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for CII. The Board and BlackRock reviewed CII’s underperformance during these periods. The Board was informed that, among other things, poor stock selection in the consumer discretionary sector, an overweight position in banks and an underweight position in stability/bond proxies were the primary detractors from performance over the one-year period.

In further discussions with the Board of CII, BlackRock noted that as of April 30, 2017, CII’s performance has shown improvement for the one-year period relative to CII’s customized benchmark. It was also noted that the Board and BlackRock concurred in making changes within the portfolio management team. These portfolio management changes were implemented on March 29, 2017.

The Board of BDJ noted that for each of the one-, three- and five-year periods reported, BDJ underperformed its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for the Trust. The Board and BlackRock reviewed BDJ’s underperformance during these periods. The Board of BDJ was informed that, among other things, poor stock selection in the industrials and consumer staples sectors was the primary detractor from relative performance over the one-year period. The largest detractor from relative performance over the five-year period stemmed from poor stock selection and underweight positions in the IT sector.

In further discussions with the Board of BDJ, BlackRock noted that as of April 30, 2017, BDJ’s performance has shown improvement for the one- and three-year periods relative to BDJ’s customized benchmark.

The Board of BOE noted that for each of the one-, three- and five-year periods reported, the Trust underperformed its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BOE. The Board and BlackRock reviewed BOE’s underperformance during these periods. The Board of BOE was informed that, among other things, BOE’s underperformance was primarily driven by factor biases over the one-, three- and five-year periods, particularly being overweight volatility and underweight profitability and yield.

In further discussions with the Board of BOE, BlackRock noted that effective June 12, 2017, BOE had undergone certain changes to its investment process and portfolio management team, and in connection with such changes, BOE changed its name from Global Opportunities Equity Trust to Enhanced Global Dividend Trust. It was noted that BlackRock believes these changes will benefit investors and that BlackRock has agreed to pay half of the transition costs associated with BOE’s repositioning. Additionally, it was noted that the Trust had a voluntary advisory fee waiver in place. After discussions between the Board, including Independent Board Members, and BlackRock, the Board and BlackRock agreed to increase the voluntary advisory fee waiver. This waiver increase was implemented on July 1, 2017. This waiver may be discontinued at any time without notice.

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    125


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

 

The Board of BME noted that for the one-, three- and five-year periods reported, BME underperformed, exceeded and exceeded its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BME. The Board and BlackRock reviewed BME’s underperformance during the one-year period. The Board of BME was informed that, among other things, the primary detractor from performance was an underweight position in the pharmaceutical sub-sector.

The Board of BGY noted that for each of the one-, three- and five-year periods reported, the Trust underperformed its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for the Trust. The Board and BlackRock reviewed BGY’s underperformance during these periods. The Board was informed that, among other things, BGY’s underperformance was primarily driven by factor biases over the one-, three- and five-year periods, particularly being overweight volatility and underweight profitability and yield.

In further discussions with the Board of BGY, BlackRock noted that effective June 12, 2017, BGY had undergone certain changes to its investment process and portfolio management team, and in connection with such changes, BGY changed its name from International Growth and Income Trust to Enhanced International Dividend Trust. It was noted that BlackRock believes that these changes will benefit investors and that BlackRock has agreed to pay half of the transition costs associated with BGY’s repositioning. Additionally, it was noted that BGY has a voluntary advisory fee waiver in place. This waiver may be discontinued at any time without notice.

The Board of BCX noted that for the one-year, three-year and since-inception periods reported, BCX underperformed, exceeded and underperformed, respectively, its customized benchmark. The since-inception period is as of the customized benchmark creation date. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BCX. The Board of BCX and BlackRock reviewed BCX’s underperformance during the one-year and since-inception periods.

The Board of BST noted that for the one-year and since-inception periods reported, BST underperformed and exceeded, respectively, its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BST. The Board of BST and BlackRock reviewed BST’s underperformance during the one-year period. The Board was informed that, among other things, BST’s overweight exposures to growth and volatility and underweight exposures to yield and profitability were the primary detractors from performance.

The Board of BUI noted that for each of the one-, three- and five-year periods reported, BUI underperformed its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BUI. The Board and BlackRock reviewed BUI’s underperformance during these periods. The Board of BUI was informed that, among other things, the primary detractor from relative performance over the one-year period was stock selection in the oil, gas & consumable fuels industry. Stock selection in the construction & engineering industry also detracted from relative performance over the one-year period.

In further discussions with the Board of BUI, BlackRock noted that as of March 31, 2017, BUI’s performance has shown improvement for the five-year period relative to BUI’s customized benchmark. It was also noted that the Board and BlackRock concurred in making changes within the portfolio management team. These portfolio management changes were implemented on March 15, 2017. After discussions between the Board, including Independent Board Members, and BlackRock, the Board and BlackRock agreed to a voluntary advisory fee waiver. This waiver was implemented on July 1, 2017. This waiver may be discontinued at any time without notice.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Trusts: Each Board, including the Independent Board Members, reviewed its Trust’s contractual management fee rate compared with the other funds in its Broadridge category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Trust’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of other funds in its Broadridge category. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. Each Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

Each Board received and reviewed statements relating to BlackRock’s financial condition. Each Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to its Trust. Each Board reviewed BlackRock’s profitability with respect to its Trust and other funds the Board currently oversees for the year ended December 31, 2016 compared to available aggregate profitability data provided for the prior two years. Each Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. Each Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. Each Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

Each Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. Each Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. Each Board considered the differences

 

                
126    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

 

between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, each Board considered the cost of the services provided to its Trust by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of its Trust and the other funds advised by BlackRock and its affiliates. As part of its analysis, each Board reviewed BlackRock’s methodology in allocating its costs of managing its Trust, to the Trust. Each Board may receive and review information from independent third parties as part of its annual evaluation. Each Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Trust’s Agreement(s) and to continue to provide the high quality of services that is expected by the Board. Each Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing its Trust in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.

The Board of BGR noted that BGR’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. In addition, the Board noted that BlackRock had voluntarily agreed to waive a portion of the advisory fee payable by BGR. After discussion between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to increase the voluntary advisory fee waiver. This waiver increase was implemented on July 1, 2017. This waiver may be discontinued at any time without notice.

The Board of each of CII, BDJ and BCX noted that its Trust’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to its Expense Peers.

The Board of BOE noted that BOE’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the second quartile, relative to the Expense Peers. In addition, the Board noted that BlackRock had voluntarily agreed to waive a portion of the advisory fee payable by BOE. After discussion between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to increase the voluntary advisory fee waiver. The waiver increase was implemented on July 1, 2017. This waiver may be discontinued at any time without notice.

The Board of BME noted that BME’s contractual management fee rate ranked first out of three funds, and that the actual management fee rate and total expense ratio ranked second out of four funds, and in the first quartile, respectively, relative to the Expense Peers.

The Board of BGY noted that BGY’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. The Board also noted that BlackRock had voluntarily agreed to waive a portion of the advisory fee payable by BGY. This waiver was implemented on July 1, 2015. After discussions between the Board, including Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of the voluntary advisory fee waiver. This waiver may be discontinued at any time without notice.

The Board of BST noted that BST’s contractual management fee rate ranked first out of three funds, and that the actual management fee rate and total expense ratio ranked first out of four funds and in the first quartile, respectively, relative to the Expense Peers. The Board also noted that BlackRock has contractually agreed to waive a portion of the advisory fee payable by BST through December 31, 2021.

The Board of BUI noted that BUI’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. After discussion between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to a voluntary advisory fee waiver. This waiver was implemented on July 1, 2017. This waiver may be discontinued at any time without notice.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Trust increase. Each Board also considered the extent to which its Trust benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Trust to more fully participate in these economies of scale. Each Board considered its Trust’s asset levels and whether the current fee was appropriate.

Based on each Board’s review and consideration of the issue, each Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Board of BME noted that although BME may from time-to-time make additional share offerings pursuant to its equity shelf program, the growth of BME’s assets will occur primarily through the appreciation of its investment portfolio.

E. Other Factors Deemed Relevant by the Board Members: Each Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with its Trust, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Trust, including for administrative,

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    127


Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)

 

securities lending and cash management services. Each Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. Each Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreement(s) for its Trust, each Board also received information regarding BlackRock’s brokerage and soft dollar practices. Each Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

Each Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Trust shares in the secondary market if they believe that the Trust’s fees and expenses are too high or if they are dissatisfied with the performance of the Trust.

Each Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included the redemption of AMPS; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the redemption efforts related to AMPS; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Trust for a one-year term ending June 30, 2018. The Board of each of BGR and BCX, including the Independent Board Members, also unanimously approved the continuation of the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to its Trust, for a one-year term ending June 30, 2018.

Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, each Board, including the Independent Board Members, was satisfied that the terms of the Agreement(s) were fair and reasonable and in the best interest of the Trust and its shareholders. In arriving at its decision to approve the Agreement(s), each Board did not identify any single factor or group of factors as, all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for each Trust reflect the results of several years of review by the Trust’s Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

 

                
128    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Disclosure of Sub-Advisory Agreement     

 

The Board of Directors or Trustees, as applicable (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”), of BOE, BGY and BUI met in person on March 1, 2017 (the “March Meeting”) to consider the initial approval of the proposed sub-advisory agreement (the “Sub-Advisory Agreement”) among BlackRock Advisors, LLC (the “Manager”), each Trust’s investment adviser, BlackRock International Limited (the “Sub-Advisor”), and the Trust.

On the date of the March Meeting, the Board of each Trust consisted of eleven individuals, nine of whom were not “interested persons” of the Trust as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). Pursuant to the 1940 Act, each Board is required to consider the initial approval of its Trust’s Sub-Advisory Agreement.

The Board previously met in person on April 28, 2016 (the “April 2016 Meeting”) and on June 9 and 10, 2016 (the “June 2016 Meeting”) to consider the approval of each Trust’s investment advisory agreement with the Manager (the “Advisory Agreement”). At the June 2016 Meeting, the Board, including the independent board members, unanimously approved the continuation of the Advisory Agreement for a one-year term ending June 30, 2017. A discussion of the basis for the Board’s approval of the Advisory Agreement at the June 2016 Meeting is included in the semi-annual shareholder report of each Trust for the period ended June 30, 2016.

At the March Meeting, the Board of each Trust reviewed materials relating to its consideration of the Sub-Advisory Agreement. The factors considered by the Board at the March Meeting in connection with approval of the proposed Sub-Advisory Agreement were substantially the same as the factors considered at the April 2016 Meeting and the June 2016 Meeting with respect to approval of the Advisory Agreement. The Board of each Trust also considered additional factors, including that its Trust will continue to be charged the same investment advisory fee as stated in its investment management agreement with the Manager and that there will be no additional fees charged to its Trust related to the proposed Sub-Advisory Agreement, that the proposed Sub-Advisory Agreement with the Sub-Advisor is substantially similar to comparable subadvisory agreements for other BlackRock closed-end funds, that the principal differences between the proposed Sub-Advisory Agreement and the Advisory Agreement are revisions designed to reflect the sub-advisory nature of the relationship, and that the proposed Sub-Advisor’s personnel who would be providing investment advice to its Trust are subject to the same compliance and reporting infrastructure as the personnel of the Manager providing investment advice to the Trust.

Following discussion, the Board of each Trust, including a majority of the Independent Board Members, approved the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to the Trust for a two-year term beginning on the effective date of the Sub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including a majority of the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreement were fair and reasonable and in the best interest of the Trust and its shareholders. In arriving at its decision to approve the Sub-Advisory Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    129


Officers and Trustees     

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chair of the Board and Trustee

Michael J. Castellano, Trustee

Cynthia L. Egan, Trustee

Frank J. Fabozzi, Trustee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee

Catherine A. Lynch, Trustee

Barbara G. Novick, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

As of the date of this report, the portfolio managers of:

 

 

BGR are Kyle McClements, Christopher Accettella and Alastair Bishop.

 

 

 

CII are Todd Burnside, Kyle McClements and Christopher Accettella.

 

 

 

BOE and BGY are Stuart Reeve, Andrew Wheatley-Hubbard, Kyle McClements and Christopher Accettella.

 

 

 

BME are Erin Xie, Kyle McClements and Christopher Accettella.

 

 

 

BST are Tony Kim, Kyle McClements and Christopher Accettella.

 

 

 

BUI are Alastair Bishop, Kyle McClements and Christopher Accettella.

 

 

       

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Sub-Advisers

BlackRock International Ltd.1

Edinburgh, EH3 8BL

United Kingdom

 

Custodian and Accounting Agent

State Street Bank and
Trust Company

Boston, MA 02111

 

Transfer Agent

Computershare Trust

Company, N.A.

Canton, MA 02021

Independent Registered Public

Accounting Firm

Deloitte & Touche LLP

Philadelphia, PA 19103

 

Distributor

BlackRock Investments, LLC2

New York, NY 10022

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

Boston, MA 02116

 

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

 

  1   

For BGR, BOE, BGY, BCX and BUI.

 

  2   

For BME.

 

                
130    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Additional Information     

 

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares, except for BME, are not continuously offered, which means that the Statements of Additional Information of each Trust have not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

BME’s Statement of Additional Informational includes additional information about its Board and is available, without charge, upon request, by calling 1-800-882-0052.

Except as described below, during the period there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. Other than as described on page 130, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

On March 22, 2017, BOE’s and BGY’s Board approved changes to certain non-fundamental investment policies of each Trust.

Historically, under normal market conditions, BOE has been required to invest (i) at least 80% of its total assets in equity securities or indices or sectors of equity securities and (ii) at least 30% of its total assets at the time of investment in the equity securities of non-U.S. issuers. Under the new investment policy, under normal circumstances, the Trust is required to invest (i) at least 80% of its net assets in dividend-paying equity securities and (ii) at least 40% of its assets outside of the United States, unless market conditions are not deemed favorable by Trust management, in which case the Trust would invest at least 30% of its assets outside of the United States.

BOE has also historically intended to write covered put and call options with respect to approximately 45% to 65% of its total assets, with the expectation that such percentage would vary from time to time with market conditions. Under the new investment policy, the Trust intends to write covered put and call options with respect to approximately 30% to 45% of its total assets, although this percentage may vary from time to time with market conditions.

Finally, BOE has historically been permitted to invest in companies of any size market capitalization. While the new investment policy continues to permit this, the Trust intends to invest primarily in the securities of large capitalization companies.

In connection with these changes in certain non-fundamental policies, BOE’s Board approved a change to the Trust’s name from “BlackRock Global Opportunities Equity Trust” to “BlackRock Enhanced Global Dividend Trust” to reflect BOE’s new portfolio characteristics.

Historically, under normal market conditions, BGY has been required to invest at least 80% of its total assets in equity securities issued by non-U.S. companies. Under the new investment policy, under normal circumstances, the Trust will be required to invest at least 80% of its net assets in dividend-paying equity securities issued by non-U.S. companies.

BGY has also historically intended to write covered put and call options with respect to approximately 45% to 55% of its total assets, with the expectation that such percentage would vary from time to time with market conditions. Under the new investment policy, the Trust intends to write covered put and call options with respect to approximately 30% to 45% of its total assets, although this percentage may vary from time to time with market conditions.

Finally, BGY has historically been permitted to invest in companies of any size market capitalization. While the new investment policy continues to permit this, it specifies that the Trust intends to invest primarily in the securities of large capitalization companies.

An affiliate has reimbursed BOE and BGY for certain transaction costs associated with repositioning of the fund investments described above.

In connection with these changes in certain non-fundamental policies, BGY’s Board approved a change to the Trust’s name from “BlackRock International Growth & Income Trust” to “BlackRock Enhanced International Dividend Trust” to reflect the Trust’s new portfolio characteristics.

The approved changes to BGY and BOE will not alter either Trust’s investment objective. Each Trust continues to trade on the NYSE under its current ticker symbol.

On October 28, 2016, CII announced that it had divided its Board into three classes, with one class standing for election each year, and had adopted a voting standard of a majority of the outstanding shares for the election of directors in a contested election.

On October 28, 2016, BGR, BDJ, BOE, BGY, BME, BCX, BST and BUI announced that they had adopted a voting standard of a majority of the outstanding shares for the election of directors in a contested election.

In accordance with Section 23(c) of the Investment Company Act of 1940, as amended, the Trusts from time to time may purchase its common shares in the open market or in private transactions.

 

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    131


Additional Information (continued)     

 

 

General Information (concluded)

Quarterly performance, semi-annual and annual reports and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov. and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

Shelf Offering Program

From time-to-time, each Trust may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Trust may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Trust’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Trust to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.

BME has filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of BME are not offers to sell BME Common Shares or solicitations of an offer to buy BME Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of BME contains important information about the Fund, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of BME carefully and in its entirety before investing. Copies of the final prospectus for BME can be obtained from BlackRock at http://www.blackrock.com.

 

                
132    SEMI-ANNUAL REPORT    JUNE 30, 2017   


Additional Information (concluded)     

 

 

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

                
   SEMI-ANNUAL REPORT    JUNE 30, 2017    133


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

CEF-BK9-6/17-SAR    LOGO


Item 2 – Code of Ethics – Not Applicable to this semi-annual report

Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report

Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report

Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

Item 6 – Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies –

Not Applicable to this semi-annual report

Item 8 – Portfolio Managers of Closed-End Management Investment Companies

(a)(1) As of the date of filing this Report.

The registrant is managed by a team of investment professionals comprised of Kyle G. McClements, CFA, Managing Director at BlackRock, Christopher Accettella, Director at BlackRock and Todd Burnside, Director at BlackRock. Messrs. McClements, Accettella and Burnside are the Fund’s portfolio managers and responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Mr. McClements has been a member of the Fund’s portfolio management team since 2009. Mr. Accettella has been a member of the Fund’s portfolio management team since 2012. Mr. Burnside has been a member of the Fund’s portfolio management team since March 29, 2017.

Information below is with respect to Mr. Burnside, who became portfolio manager to the Fund on March 29, 2017.

 

Portfolio Manager

 

  

Biography

 

Todd Burnside

 

  

Director of BlackRock since 2015; Vice President of BlackRock from 2008-2015.

 

(a)(2) As of June 30, 2017:

   

(ii) Number of Other Accounts Managed

 

and Assets by Account Type

 

(iii) Number of Other Accounts and

 

Assets for Which Advisory Fee is

 

Performance-Based

(i) Name of

 

Portfolio Manager

 

Other

 

Registered

 

Investment

 

Companies

 

Other Pooled

 

Investment

 

Vehicles

 

Other

 

Accounts

 

Other

 

Registered

 

Investment

 

Companies

 

Other Pooled

 

Investment

 

Vehicles

 

Other

 

Accounts

Todd Burnside   7   6   0   0   0   0
             
    $6.36 Billion   $1.55 Billion   $0   $0   $0   $0

 

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(iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that a portfolio manager may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Such portfolio managers may therefore be entitled to receive a portion of any incentive fees earned on such accounts. Currently, the portfolio managers of this fund are not entitled to receive a portion of incentive fees of other accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3) As of June 30, 2017:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of June 30, 2017.

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

 

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Base Compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

Discretionary Incentive Compensation

  Mr. Burnside

Generally, discretionary incentive compensation for Active Equity portfolio managers is based on a formulaic compensation program. BlackRock’s formulaic portfolio manager compensation program is based on team revenue and pre-tax investment performance relative to appropriate competitors or benchmarks over 1-, 3- and 5-year performance periods, as applicable. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. BlackRock’s Chief Investment Officers determine the benchmarks or rankings against which the performance of funds and other accounts managed by each portfolio management team is compared and the period of time over which performance is evaluated. With respect to this portfolio manager, such benchmarks for the Fund and other accounts are:

 

Portfolio Manager

 

  

Benchmarks

 

Todd Burnside   

Russell 1000 Index (Gross Total Return); S&P 500 Index; FTSE North America in GBP; MSCI Developed - US Net TR Index; FTSE United States in GBP; 60% S&P 500, 20% S&P TSX and 20% Mexico IPC (USD); Russell 1000, expressed in EUR; Russell 1000 Growth Index; Russell 1000 Value Index (Total Return); Morningstar US Flex-Cap Equity Classification; Morningstar Large Blend Classification; Morningstar Investment Association North America Classification; Morningstar Large Growth Classification; Morningstar Large Value Classification; LIPPER Options Arbitrage/Opt Strategies Funds Classification

 

A smaller element of portfolio manager discretionary compensation may include consideration of: financial results, expense control, profit margins, strategic planning and implementation, quality of client service, market share, corporate reputation, capital allocation, compliance and risk control, leadership, technology and innovation. These factors are considered collectively by BlackRock management and the relevant Chief Investment Officers.

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.

Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers.

Portfolio managers generally receive deferred BlackRock, Inc. stock awards as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that

 

4


vest ratably over a number of years and, once vested, settle in BlackRock, Inc. common stock. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align their interests with long-term shareholder interests and motivate performance. Such equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.

For some portfolio managers, discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation program.

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($270,000 for 2017). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers.

(a)(4) Beneficial Ownership of Securities – As of June 30, 2017.

 

Portfolio Manager   

Dollar Range of Equity Securities of the

                Fund Beneficially Owned

 

Todd Burnside

 

  

None

 

(b) Effective March 29, 2017, Peter Stournaras was removed as portfolio manager to the Fund and Todd Burnside was added as a portfolio manager.

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

 

 

5


Period    (a) Total

Number of

Shares

Purchased

   (b) Average

Price Paid per

Share

  

(c) Total Number of

Shares Purchased as Part

of Publicly Announced

Plans or Programs

  

(d) Maximum Number of

Shares that May Yet Be

Purchased Under the Plans or

Programs1

January 1 – 31, 2017    N/A    N/A    N/A    2,206,070
February 1 – 28, 2017    N/A    N/A    N/A    2,206,070
March 1 – 31, 2017    N/A    N/A    N/A    2,206,070
April 1 – 30, 2017    N/A    N/A    N/A    2,206,070
May 1 – 31, 2017    N/A    N/A    N/A    2,206,070
June 1 – 30, 2017    N/A    N/A    N/A    2,206,070
Total:    N/A    N/A    N/A    2,206,070

1 The Fund announced an open market share repurchase program on October 28, 2016 pursuant to which the Fund may repurchase, through November 30, 2017, up to 5% of its outstanding common shares based on common shares outstanding on October 28, 2016 (2,206,070 common shares), in open market transactions, subject to certain conditions.

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 – Controls and Procedures

(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Exhibits attached hereto

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) – Certifications – Attached hereto

(c) – Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 2009

 

 

1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.

 

6


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

BlackRock Enhanced Capital and Income Fund, Inc.
By:   /s/ John M. Perlowski  
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Enhanced Capital and Income Fund, Inc.

Date: September 5, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:   /s/ John M. Perlowski  
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Enhanced Capital and Income Fund, Inc.

Date: September 5, 2017

By:   /s/ Neal J. Andrews  
  Neal J. Andrews
 

Chief Financial Officer (principal financial officer) of

BlackRock Enhanced Capital and Income Fund, Inc.

Date: September 5, 2017

 

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