ECAT BlackRock ESG Capital Allocation Term Trust

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: 811-23701

 

Name of Fund:

BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust) (ECAT)

 

Fund Address:

100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock ESG Capital Allocation Trust (Formerly BlackRock ESG Capital Allocation Trust), 50 Hudson Yards, New York, NY 10001

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

Date of fiscal year end: 12/31/2023

Date of reporting period: 06/30/2023

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Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.

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		JUNE 30, 2023

 

 

		2023 Semi-Annual Report (Unaudited)

 

 

BlackRock Capital Allocation Term Trust (BCAT)

BlackRock ESG Capital Allocation Term Trust (ECAT)

 

 

 

 

 

 

Not FDIC Insured • May Lose Value • No Bank Guarantee

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Supplemental Information (unaudited)

 

 

Section 19(a) Notices

BlackRock Capital Allocation Term Trust’s (BCAT) and BlackRock ESG Capital Allocation Term Trust’s (ECAT) (collectively, the “Trusts” or individually, a “Trust”) amounts and sources of distributions reported are estimates and are being provided pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.

June 30, 2023

 

				Total Cumulative Distributions for the Fiscal Period																% Breakdown of the Total Cumulative Distributions for the Fiscal Period
		Trust Name			Net Income				Net Realized Capital Gains Short-Term				Net Realized Capital Gains Long-Term				Return of Capital	(a)			Total Per Common Share								Net Income				Net Realized Capital Gains Short-Term				Net Realized Capital Gains Long-Term				Return of Capital				Total Per Common Share
		BCAT		$	0.154841			$	—			$	—			$	0.586759			$	0.741600								21	%			—	%			—	%			79	%			100	%
		ECAT			0.033577				—				—				0.691423				0.725000								5				—				—				95				100

 

(a)

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

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

Section 19(b) Disclosure

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

 

Trust Name		Amount Per Common Share
BCAT		$	0.127500
ECAT			0.125000

The fixed amounts distributed per share are subject to change at the discretion of each Trust’s Board. Under its Plan, each Trust will distribute all available net income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net income and short-term capital gains) is not earned on a monthly basis, the Trusts will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Trust may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).

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

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

 

 

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T H I S   P A G E   I S   N O T   P A R T   O F   Y O U R   F U N D   R E P O R T		3

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Table of Contents

 

		Page
Supplemental Information			2
The Markets in Review			3
Semi-Annual Report:
The Benefits and Risks of Leveraging			5
Option Over-Writing Strategy			6
Derivative Financial Instruments			6
Trust Summary			7
Financial Statements:
Consolidated Schedules of Investments			11
Consolidated Statements of Assets and Liabilities			68
Consolidated Statements of Operations			70
Statements of Changes in Net Assets			71
Consolidated Statements of Cash Flows			72
Financial Highlights			74
Notes to Consolidated Financial Statements			76
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements			89
Additional Information			93
Glossary of Terms Used in this Report			96

 

 

4

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The Benefits and Risks of Leveraging

 

 

The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.

To illustrate these concepts, assume a Trust’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed a Trust’s return on assets purchased with leverage proceeds, income to shareholders is lower than if a Trust had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of each Trust’s obligations under its respective leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trust to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of each Trust’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment adviser will be higher than if the Trusts did not use leverage.

Each Trust may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Consolidated Financial Statements, if applicable.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to borrow money (including through the use of TOB Trusts) or issue debt securities up to 33 1/3% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

 

 

T H E   B E N E F I T S   A N D   R I S K S   O F   L E V E R A G I N G		5

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Option Over-Writing Strategy

    

 

Overview

In general, the goal of each of the Trusts is to provide total return through a combination of current income and realized and unrealized gains (capital appreciation). The Trusts seek to pursue these goals primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options in an effort to generate current gains from option premiums and to enhance each Trust’s risk-adjusted return. Each Trust’s objectives cannot be achieved in all market conditions.

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

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

Option Over-Writing Strategy Illustration

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

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

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Trusts must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. 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 Consolidated Financial Statements.

 

 

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Trust Summary as of June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

    

 

Investment Objective

BlackRock Capital Allocation Term Trust’s (BCAT) (the “Trust”) (formerly known as BlackRock Capital Allocation Trust) investment objectives are to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust invests in a portfolio of equity and debt securities. Generally, the Trust’s portfolio will include both equity and debt securities. At any given time, however, the Trust may emphasize either debt securities or equity securities. The Trust utilizes an option writing (selling) strategy in an effort to generate current gains from options premiums and to enhance the Trust’s risk-adjusted returns.

On March 31, 2023, the Board approved a proposal to change the name of BlackRock Capital Allocation Trust, effective as of April 5, 2023, to BlackRock Capital Allocation Term Trust. There were no changes to the Trust’s investment policies or strategies in conjunction with the name change.

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

Trust Information

 

Symbol on New York Stock Exchange		BCAT
Initial Offering Date		September 28, 2020
Current Distribution Rate on Closing Market Price as of June 30, 2023 ($ 15.25)(a)		10.03%
Current Monthly Distribution per Common Share(b)		$0.127500
Current Annualized Distribution per Common Share(b)		$1.530000

 

(a)

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results.

(b)

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

Market Price and Net Asset Value Per Share Summary

 

		06/30/23				12/31/22				Change				High				Low
Closing Market Price			$  15.25				$  13.87				9.95	%			$  15.47				$  13.87
Net Asset Value			17.33				16.84				2.91				17.74				16.60

Performance

Returns for the period ended June 30, 2023 were as follows:

 

						Average Annual Total Returns
			6-month				1 Year				Since Inception	(a)
Trust at NAV(b)(c)			8.05	%			10.06	%			1.90	%
Trust at Market Price(b)(c)			15.45				14.10				(2.72	)
MSCI ACWI(d)			13.93				16.53				8.98
Bloomberg U.S. Aggregate Bond Index(e)			2.09				(0.94	)			(4.54	)

 

(a)

BCAT commenced operations on September 28, 2020.

(b)

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage, if any.

(c)

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

(d)

An index that captures large- and mid-cap representation across certain developed and emerging markets.

(e)

A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

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

What factors influenced performance?

Due to the nature of the Trust’s mandate, performance is reviewed on an absolute return basis. The Trust has an unconstrained approach (i.e., flexibility to invest across all equity and fixed-income asset classes, spanning public and private markets). As such, the Trust is not managed specifically to a benchmark. The index returns listed above are for reference purposes only. Performance information below is expressed on a contribution to return basis.

Within equities, positioning in the information technology, consumer discretionary and industrials sectors were the primary contributors to the Trust’s absolute return. Positioning in corporate bonds and securitized assets contributed to results in fixed income.

 

 

T R U S T   S U M M A R Y		7

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Trust Summary as of June 30, 2023 (continued)		BlackRock Capital Allocation Term Trust (BCAT)

    

 

Within equities, the Trust’s use of index-related equity futures (mainly to manage risk during periods of heightened market volatility) was the primary detractor. In fixed-income, duration management strategies (via rate interest rate derivatives) and holdings in agency mortgage-backed securities (“MBS”) detracted. (Duration is a measure of interest rate risk.)

The Trust used derivatives, which may include options, futures, swaps and forward contracts, in an effort to enhance returns and manage the risk of adverse market movements. The Trust also used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. In the aggregate, the Trust’s use of derivatives modestly detracted from performance.

Private investments comprised close to 11.3% of the Trust’s total assets at the end of the period. The positions in private securities made a very small contribution to performance.

The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.

Describe recent portfolio activity.

The Trust’s allocation to equities increased by seven percentage points, with the largest additions in information technology, industrials, financials and consumer discretionary. This was partially offset by reduced weightings in energy, materials and real estate. The total allocation to fixed income decreased by two percentage points, with the largest reductions in securitized assets and, to a lesser extent, high yield corporates and emerging market sovereign bonds. The Trust added to its position in agency MBS and developed market sovereign bonds. The Trust’s allocation to cash decreased as a result of these changes.

The Trust did not use financial leverage. The Trust may engage in some transactions that can give rise to a form of economic leverage, notably the use of derivatives.

Describe portfolio positioning at period end.

The Trust had a 56% weighting in equities. It had allocations to all sectors, with the largest absolute weightings in information technology, industrials, financials and consumer discretionary. Within equities, the Trust used options as an additional source of income. As of June 30, 2023, the Trust had sold options on approximately 10% of the equity portfolio.

The Trust finished the period with a weighting of 49% in fixed-income, comprised predominately of high yield bonds and securitized assets, and to a lesser extent, agency MBS, investment-grade corporates, and government bonds.

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

Overview of the Trust’s Total Investments

 

 

(a)	Excludes short-term securities.

#	Includes holdings within countries/geographic regions that are less than 1.0% of total investments. Please refer to the Consolidated Schedule of Investments for such countries/geographic regions.

 

 

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Trust Summary as of June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

    

 

Investment Objective

BlackRock ESG Capital Allocation Term Trust’s (ECAT) (the “Trust”) (formerly known as BlackRock ESG Capital Allocation Trust) investment objectives are to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust will invest in a portfolio of equity and debt securities. Generally, the Trust’s portfolio will include both equity and debt securities. At any given time, however, the Trust may emphasize either debt securities or equity securities. In addition, the Trust may invest without limit in “junk bonds,” corporate loans and distressed securities. The Trust will invest at least 80% of its total assets in securities that, in the investment adviser’s assessment, meet certain environmental, social and governance (“ESG”) criteria. The Trust utilizes an option writing (selling) strategy in an effort to generate current gains from options premiums and to enhance the Trust’s risk-adjusted returns.

On March 31, 2023, the Board approved a proposal to change the name of BlackRock ESG Capital Allocation Trust, effective as of April 5, 2023, to BlackRock ESG Capital Allocation Term Trust. There were no changes to the Trust’s investment policies or strategies in conjunction with the name change.

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

Trust Information

 

Symbol on New York Stock Exchange		ECAT
Initial Offering Date		September 27, 2021
Current Distribution Rate on Closing Market Price as of June 30, 2023 ($ 15.66)(a)		9.58%
Current Monthly Distribution per Common Share(b)		$0.125000
Current Annualized Distribution per Common Share(b)		$1.500000

 

(a)

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results.

(b)

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

Market Price and Net Asset Value Per Share Summary

 

		06/30/23				12/31/22				Change				High				Low
Closing Market Price		$	15.66			$	13.43				16.60	%		$	15.93			$	13.43
Net Asset Value			17.99				16.62				8.24				18.01				16.62

Performance

Returns for the period ended June 30, 2023 were as follows:

 

						Average Annual Total Returns
			6-month				1 Year				Since Inception	(a)
Trust at NAV(b)(c)			13.47	%			16.31	%			1.58	%
Trust at Market Price(b)(c)			22.23				19.72				(6.13	)
MSCI ACWI(d)			13.93				16.53				(1.93	)
Bloomberg U.S. Aggregate Bond Index(e)			2.09				(0.94	)			(6.66	)

 

(a)

ECAT commenced operations on September 27, 2021.

(b)

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage, if any.

(c)

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

(d)

An index that captures large- and mid-cap representation across certain developed and emerging markets.

(e)

A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.

More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.

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

What factors influenced performance?

Due to the nature of the Trust’s mandate, performance is reviewed on an absolute return basis. The Trust has an unconstrained approach (i.e., the flexibility to invest across all equity and fixed-income asset classes, spanning public and private markets) with ESG considerations. As such, the Trust is not managed specifically to a benchmark. The index returns listed above are for reference purposes only. Performance information below is expressed on a contribution to return basis.

 

 

T R U S T   S U M M A R Y		9

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Trust Summary as of June 30, 2023 (continued)		BlackRock ESG Capital Allocation Term Trust (ECAT)

    

 

Within equities, positioning in the information technology sector and, to a lesser extent, in consumer discretionary, industrials and healthcare were the primary contributors to the Trust’s absolute return. Positioning in corporate bonds and securitized assets contributed to results in fixed-income.

Within equities, modest allocations to the energy and utilities sectors were the primary detractors from absolute return. In fixed-income, duration management strategies (via rate interest rate derivatives) and holdings in agency mortgage-backed securities (“MBS”) detracted. (Duration is a measure of interest rate risk.)

Private investments comprised close to 3.8% of the Trust’s total assets at the end of the period. The positions in private securities were a very small contributor to performance.

The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.

Describe recent portfolio activity.

The Trust’s allocation to equities increased by two percentage points, with the largest increases in the financials, industrials and consumer discretionary sectors. This was partially offset by reduced weightings in real estate and healthcare. The Trust’s total fixed-income allocation decreased by five percentage points. The largest reductions occurred in high yield and investment-grade corporate bonds, and to a lesser extent, securitized assets. The Trust added to its position in agency MBS and developed market sovereign bonds. The Trust’s allocation to cash decreased as a result of these changes.

The Trust does not use financial leverage. The Trust may engage in some transactions that can give rise to a form of economic leverage, notably the use of derivatives.

Describe portfolio positioning at period end.

At period-end, the Trust had a 66% weighting in equities. It had allocations to all sectors, with the largest absolute weightings in information technology, healthcare and consumer discretionary. Within equities, the Trust used options as an additional source of income throughout the period. As of June 30, 2023, the team sold options on approximately 8% of the fundamental equity positions.

Within fixed-income, the Trust finished the period with a weighting of 42%, comprised predominately of investment-grade corporates, agency MBS and securitized assets.

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

Overview of the Trust’s Total Investments

 

 

(a)	Excludes short-term securities.

#	Includes holdings within countries/geographic regions that are less than 1.0% of total investments. Please refer to the Consolidated Schedule of Investments for such countries/geographic regions.

 

 

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Consolidated Schedule of Investments (unaudited) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

C O N S O L I D A T E D   S C H E D U L E   O F   I N V E S T M E N T S		11

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

12		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

C O N S O L I D A T E D   S C H E D U L E   O F   I N V E S T M E N T S		13

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

C O N S O L I D A T E D   S C H E D U L E   O F   I N V E S T M E N T S		15

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

16		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

C O N S O L I D A T E D   S C H E D U L E   O F   I N V E S T M E N T S		17

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

18		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

C O N S O L I D A T E D   S C H E D U L E   O F   I N V E S T M E N T S		19

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

20		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

C O N S O L I D A T E D   S C H E D U L E   O F   I N V E S T M E N T S		21

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

22		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

C O N S O L I D A T E D   S C H E D U L E   O F   I N V E S T M E N T S		23

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

24		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT) (Percentages shown are based on Net Assets)

 

 

 

C O N S O L I D A T E D   S C H E D U L E   O F   I N V E S T M E N T S		25

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer		Value at 12/31/22				Purchases at Cost				Proceeds from Sales				Net Realized Gain (Loss)				Change in Unrealized Appreciation (Depreciation)				Value at 06/30/23				Shares Held at 06/30/23				Income				Capital Gain Distributions from Underlying Funds
BlackRock Liquidity Funds, T-Fund, Institutional Class		$	49,048,882			$	—			$	(1,233,476	)(a)		$	—			$	—			$	47,815,406				47,815,406			$	1,045,256			$	—
iShares China Large-Cap ETF(b)			903,534				421,398				(1,471,994	)			62,743				84,319				—				—				—				—
iShares iBoxx $ High Yield Corporate Bond ETF(b)			3,877,356				—				(3,947,978	)			82,471				(11,849	)			—				—				61,077				—
iShares iBoxx $ Investment Grade Corporate Bond ETF			—				25,713,893				(18,514,327	)			50,717				(54,647	)			7,195,636				66,540				70,584				—
iShares JP Morgan USD Emerging Markets Bond ETF			8,837,878				2,423,503				—				—				141,822				11,403,203				131,768				231,221				—
iShares MSCI Brazil ETF			650,890				—				—				—				103,789				754,679				23,271				17,598				—
iShares Russell 2000 ETF			1,708,728				—				—				—				126,518				1,835,246				9,800				11,165				—
iShares Russell Mid-Cap Growth ETF			—				380,072				—				—				5,095				385,167				3,986				—				—
														$	195,931			$	395,047			$	69,389,337							$	1,436,901			$	—

 

(a)

Represents net amount purchased (sold).

(b)

As of period end, the entity is no longer held.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description		Number of Contracts				Expiration Date				Notional Amount (000)				Value/ Unrealized Appreciation (Depreciation)
Long Contracts
Euro Bund			516				09/07/23			$	75,304			$	(389,034	)
Euro OAT			30				09/07/23				4,203				(14,434	)
Euro Stoxx Banks Index			100				09/15/23				591				23,175
FTSE 100 Index			3				09/15/23				288				(1,087	)
MSCI Emerging Markets Index			14				09/15/23				699				(6,453	)
3-Month SONIA Index			68				09/19/23				20,469				(30,137	)
U.S. Long Bond			236				09/20/23				30,002				(37,286	)
Ultra U.S. Treasury Bond			278				09/20/23				37,869				218,815
Long Gilt			27				09/27/23				3,268				(38,775	)
2-Year U.S. Treasury Note			864				09/29/23				175,729				(430,184	)

 

 

26		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

Futures Contracts (continued)

 

Description		Number of Contracts				Expiration Date				Notional Amount (000)				Value/ Unrealized Appreciation (Depreciation)
Long Contracts (continued)
5-Year U.S. Treasury Note			785				09/29/23			$	84,105			$	(483,004	)
Carbon Emissions(a)			3				12/18/23				292				7,852
															(1,180,552	)
Short Contracts
30-Year Euro Buxl Bond			21				09/07/23				3,199				(77,472	)
Euro BOBL			11				09/07/23				1,389				5,381
Euro BTP			373				09/07/23				47,259				(209,468	)
Euro-Schatz			80				09/07/23				9,153				55,991
Euro Stoxx 50 Index			77				09/15/23				3,724				(72,378	)
NASDAQ 100 E-Mini Index			80				09/15/23				24,539				(439,831	)
Russell 2000 E-Mini Index			57				09/15/23				5,426				(49,752	)
S&P 500 E-Mini Index			35				09/15/23				7,854				(125,408	)
10-Year U.S. Treasury Note			489				09/20/23				54,921				852,804
10-Year U.S. Ultra Long Treasury Note			2,437				09/20/23				288,861				4,443,310
															4,383,177
														$	3,202,625

 

(a)

All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary.

Forward Foreign Currency Exchange Contracts

 

Currency Purchased						Currency Sold						Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
BRL			51,005,004			USD			10,205,287			Barclays Bank PLC		09/20/23		$	301,135
EUR			7,000,139			USD			7,568,152			Bank of America N.A.		09/20/23			99,609
EUR			748,086			USD			805,560			HSBC Bank PLC		09/20/23			13,873
GBP			651,540			USD			822,136			HSBC Bank PLC		09/20/23			5,496
MXN			86,569,730			USD			4,908,814			Citibank N.A.		09/20/23			75,689
MXN			57,398,660			USD			3,294,654			State Street Bank and Trust Co.		09/20/23			10,240
MXN			117,130,330			USD			6,680,505			State Street Bank and Trust Co.		09/20/23			63,613
USD			6,304,477			AUD			9,307,685			Citibank N.A.		09/20/23			90,786
USD			1,872,110			BRL			9,074,117			Goldman Sachs International		09/20/23			2,950
USD			568,378			CHF			504,009			Deutsche Bank AG		09/20/23			720
USD			22,412,468			CNH			159,078,048			Barclays Bank PLC		09/20/23			394,614
USD			951,361			EUR			868,348			BNP Paribas SA		09/20/23			196
USD			3,469,077			EUR			3,163,951			Deutsche Bank AG		09/20/23			3,372
USD			34,715,554			EUR			31,662,111			Deutsche Bank AG		09/20/23			33,742
USD			399,683			EUR			363,953			JPMorgan Chase Bank N.A.		09/20/23			1,019
USD			1,881,813			EUR			1,704,587			JPMorgan Chase Bank N.A.		09/20/23			14,655
USD			1,882,872			EUR			1,704,587			JPMorgan Chase Bank N.A.		09/20/23			15,714
USD			1,972,122			EUR			1,798,321			State Street Bank and Trust Co.		09/20/23			2,290
USD			1,307,732			GBP			1,029,007			Bank of America N.A.		09/20/23			616
USD			1,167,941			GBP			917,898			Barclays Bank PLC		09/20/23			1,962
USD			578,209			GBP			454,829			HSBC Bank PLC		09/20/23			453
USD			223,979			GBP			175,356			JPMorgan Chase Bank N.A.		09/20/23			1,230
USD			726,498			GBP			571,516			State Street Bank and Trust Co.		09/20/23			518
USD			15,932,546			HKD			124,464,631			JPMorgan Chase Bank N.A.		09/20/23			21,094
USD			324,258			JPY			44,612,832			Bank of America N.A.		09/20/23			11,373
USD			2,342,313			JPY			320,637,310			Bank of America N.A.		09/20/23			93,574
USD			2,357,812			JPY			323,749,433			Bank of America N.A.		09/20/23			87,247
USD			41,757,827			JPY			5,736,945,021			Barclays Bank PLC		09/20/23			1,522,677
USD			1,142,023			JPY			161,827,127			BNP Paribas SA		09/20/23			7,075
USD			2,306,485			JPY			324,036,470			Deutsche Bank AG		09/20/23			33,907
USD			7,086,169			JPY			981,279,760			Deutsche Bank AG		09/20/23			204,119
USD			828,665			JPY			113,739,513			State Street Bank and Trust Co.		09/20/23			30,971
																	3,146,529

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		27

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency Purchased						Currency Sold						Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
USD			144,411			EUR			133,078			State Street Bank and Trust Co.		09/14/23		$	(1,315	)
USD			690,639			EUR			638,131			State Street Bank and Trust Co.		09/14/23			(8,140	)
USD			2,395,485			EUR			2,213,362			State Street Bank and Trust Co.		09/14/23			(28,235	)
CNH			32,400,137			USD			4,585,098			Bank of America N.A.		09/20/23			(100,623	)
EUR			345,204			USD			380,762			Bank of America N.A.		09/20/23			(2,634	)
EUR			259,030			USD			284,262			HSBC Bank PLC		09/20/23			(528	)
GBP			153,838			USD			196,333			JPMorgan Chase Bank N.A.		09/20/23			(917	)
GBP			171,870			USD			218,703			State Street Bank and Trust Co.		09/20/23			(382	)
GBP			878,747			USD			1,119,273			UBS AG		09/20/23			(3,027	)
HKD			3,344,696			USD			427,949			Citibank N.A.		09/20/23			(366	)
HKD			9,550,444			USD			1,222,438			HSBC Bank PLC		09/20/23			(1,517	)
JPY			604,943,175			USD			4,402,693			JPMorgan Chase Bank N.A.		09/20/23			(160,020	)
USD			3,721,940			BRL			18,217,631			Deutsche Bank AG		09/20/23			(30,675	)
USD			11,387,159			CAD			15,193,215			Bank of America N.A.		09/20/23			(95,337	)
USD			565,752			CHF			504,519			Bank of America N.A.		09/20/23			(2,479	)
USD			22,937,834			CHF			20,633,866			Goldman Sachs International		09/20/23			(301,773	)
USD			788,739			CHF			701,729			UBS AG		09/20/23			(1,608	)
USD			489,904			DKK			3,371,861			Goldman Sachs International		09/20/23			(6,582	)
USD			1,128,386			EUR			1,033,732			Bank of America N.A.		09/20/23			(3,936	)
USD			198,050,711			EUR			183,139,527			JPMorgan Chase Bank N.A.		09/20/23			(2,555,329	)
USD			691,228			EUR			640,183			State Street Bank and Trust Co.		09/20/23			(10,010	)
USD			755,765			EUR			695,813			State Street Bank and Trust Co.		09/20/23			(6,410	)
USD			1,157,218			EUR			1,056,588			State Street Bank and Trust Co.		09/20/23			(140	)
USD			1,358,765			EUR			1,244,771			State Street Bank and Trust Co.		09/20/23			(4,723	)
USD			1,359,812			EUR			1,255,744			State Street Bank and Trust Co.		09/20/23			(15,695	)
USD			330,339			GBP			263,760			Bank of America N.A.		09/20/23			(4,708	)
USD			481,759			GBP			381,281			Bank of America N.A.		09/20/23			(2,571	)
USD			812,395			GBP			653,568			Bank of America N.A.		09/20/23			(17,813	)
USD			61,161,511			GBP			48,808,040			JPMorgan Chase Bank N.A.		09/20/23			(837,869	)
USD			2,241,091			JPY			319,773,244			Deutsche Bank AG		09/20/23			(1,588	)
USD			1,872,110			MXN			32,618,709			Citibank N.A.		09/20/23			(6,007	)
USD			2,799,687			MXN			48,976,325			Goldman Sachs International		09/20/23			(20,267	)
USD			1,038,195			MXN			18,313,731			State Street Bank and Trust Co.		09/20/23			(16,271	)
USD			175,008			NOK			1,881,150			HSBC Bank PLC		09/20/23			(719	)
USD			388,471			SEK			4,178,345			Bank of America N.A.		09/20/23			(358	)
ZAR			33,715,234			USD			1,816,737			Deutsche Bank AG		09/20/23			(39,218	)
																	(4,289,790	)
																$	(1,143,261	)

Interest Rate Caps/Floors — Purchased

 

Description		Exercise Rate				Counterparty		Expiration Date				Notional Amount (000)				Value				Premiums Paid (Received)				Unrealized Appreciation (Depreciation)
5Y-30Y CMS Index Cap			0.07	%		Goldman Sachs International			09/27/23			USD	120,008			$	17,664			$	210,014			$	(192,350	)

Exchange-Traded Options Purchased

 

Description		Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Call
InvesCo QQQ Trust, Series 1			324				07/07/23				USD				372.00				USD				11,969			$	60,264
SPDR S&P 500 ETF Trust			246				07/07/23				USD				448.00				USD				10,905				13,899
SPDR S&P 500 ETF Trust			248				07/07/23				USD				438.00				USD				10,993				148,180
SPDR S&P 500 ETF Trust			246				07/14/23				USD				442.00				USD				10,905				109,101
Advanced Micro Devices, Inc.			373				07/21/23				USD				125.00				USD				4,249				42,335
Alphabet, Inc., Class C			469				07/21/23				USD				130.00				USD				5,673				17,588
Alphabet, Inc., Class C			214				07/21/23				USD				125.00				USD				2,589				25,680
Constellation Brands, Inc., Class A			54				07/21/23				USD				235.00				USD				1,329				66,420

 

 

28		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

Exchange-Traded Options Purchased (continued)

 

Description		Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Call (continued)
Constellation Brands, Inc., Class A			42				07/21/23				USD				260.00				USD				1,034			$	1,365
Eli Lilly & Co.			28				07/21/23				USD				460.00				USD				1,313				42,700
Hilton Worldwide Holdings, Inc.			107				07/21/23				USD				155.00				USD				1,557				2,675
iShares MSCI Japan ETF			774				07/21/23				USD				65.00				USD				4,791				9,675
Kroger Co.			155				07/21/23				USD				50.00				USD				729				853
Lockheed Martin Corp.			9				07/21/23				USD				460.00				USD				414				7,875
LVMH Moet Hennessy Louis Vuitton SE			58				07/21/23				EUR				930.00				EUR				5,012				17,531
Mastercard, Inc., Class A			58				07/21/23				USD				395.00				USD				2,281				28,710
McDonald’s Corp.			76				07/21/23				USD				310.00				USD				2,268				1,786
Merck & Co., Inc.			171				07/21/23				USD				120.00				USD				1,973				7,353
Micron Technology, Inc.			107				07/21/23				USD				62.50				USD				675				23,273
Microsoft Corp.			102				07/21/23				USD				340.00				USD				3,474				72,930
Salesforce, Inc.			103				07/21/23				USD				220.00				USD				2,176				18,128
SPDR S&P Regional Banking ETF			884				07/21/23				USD				45.00				USD				3,609				19,890
Tesla, Inc.			64				07/21/23				USD				260.00				USD				1,675				105,600
Uber Technologies, Inc.			243				07/21/23				USD				42.50				USD				1,049				40,459
UnitedHealth Group, Inc.			43				07/21/23				USD				520.00				USD				2,067				3,548
Vinci SA			88				07/21/23				EUR				114.00				EUR				937				19,445
Walt Disney Co.			269				07/21/23				USD				95.00				USD				2,402				9,819
Waste Management, Inc.			79				07/21/23				USD				175.00				USD				1,370				11,653
Activision Blizzard, Inc.			126				08/18/23				USD				85.00				USD				1,062				56,385
Advanced Micro Devices, Inc.			214				08/18/23				USD				130.00				USD				2,438				60,241
Advanced Micro Devices, Inc.			207				08/18/23				USD				140.00				USD				2,358				30,118
Alphabet, Inc., Class C			495				08/18/23				USD				130.00				USD				5,988				97,515
Amazon.com, Inc.			176				08/18/23				USD				125.00				USD				2,294				174,680
Amazon.com, Inc.			248				08/18/23				USD				135.00				USD				3,233				118,420
Apple, Inc.			383				08/18/23				USD				190.00				USD				7,429				334,167
Boston Scientific Corp.			225				08/18/23				USD				57.50				USD				1,217				8,438
Boston Scientific Corp.			224				08/18/23				USD				55.00				USD				1,212				28,000
ConocoPhillips			211				08/18/23				USD				110.00				USD				2,186				35,870
D.R. Horton, Inc.			127				08/18/23				USD				125.00				USD				1,545				45,720
D.R. Horton, Inc.			64				08/18/23				USD				130.00				USD				779				12,000
Delta Air Lines, Inc.			424				08/18/23				USD				48.00				USD				2,016				84,376
First Solar, Inc.			29				08/18/23				USD				210.00				USD				551				16,095
Freeport-McMoRan, Inc.			387				08/18/23				USD				40.00				USD				1,548				85,140
Humana, Inc.			53				08/18/23				USD				465.00				USD				2,370				45,580
JPMorgan Chase & Co.			317				08/18/23				USD				145.00				USD				4,610				133,932
L3Harris Technologies, Inc.			18				08/18/23				USD				180.00				USD				352				33,300
Lennar Corp., Class A			127				08/18/23				USD				135.00				USD				1,591				12,383
McCormick & Co., Inc.			182				08/18/23				USD				95.00				USD				1,588				4,550
Micron Technology, Inc.			477				08/18/23				USD				72.50				USD				3,010				26,950
Microsoft Corp.			64				08/18/23				USD				330.00				USD				2,179				125,120
Microsoft Corp.			66				08/18/23				USD				340.00				USD				2,248				91,410
Microsoft Corp.			138				08/18/23				USD				355.00				USD				4,699				99,705
NVIDIA Corp.			32				08/18/23				USD				420.00				USD				1,354				86,880
Shell PLC, ADR			316				08/18/23				USD				62.50				USD				1,908				30,020
Tesla, Inc.			86				08/18/23				USD				265.00				USD				2,251				172,215
Toll Brothers, Inc.			127				08/18/23				USD				80.00				USD				1,004				33,972
Toll Brothers, Inc.			84				08/18/23				USD				85.00				USD				664				7,770
Uber Technologies, Inc.			154				08/18/23				USD				42.50				USD				665				47,355
United Airlines Holdings, Inc.			425				08/18/23				USD				57.50				USD				2,332				78,837
UnitedHealth Group, Inc.			32				08/18/23				USD				480.00				USD				1,538				52,160
Valero Energy Corp.			41				08/18/23				USD				120.00				USD				481				17,118
Advanced Micro Devices, Inc.			192				09/15/23				USD				130.00				USD				2,187				81,600
Apple, Inc.			235				09/15/23				USD				195.00				USD				4,558				169,787
Archer-Daniels-Midland Co.			160				09/15/23				USD				82.50				USD				1,209				10,800
Barclays PLC			274				09/15/23				GBP				1.60				GBP				420				15,659
Delta Air Lines, Inc.			273				09/15/23				USD				50.00				USD				1,298				47,229
Eli Lilly & Co.			12				09/15/23				USD				480.00				USD				563				19,320
Ford Motor Co.			367				09/15/23				USD				16.00				USD				555				18,717
General Motors Co.			110				09/15/23				USD				40.00				USD				424				17,930
Microsoft Corp.			127				09/15/23				USD				365.00				USD				4,325				83,185

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		29

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

Exchange-Traded Options Purchased (continued)

 

Description		Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Call (continued)
NVIDIA Corp.			213				09/15/23				USD				430.00				USD				9,010			$	739,110
Pfizer, Inc.			384				09/15/23				USD				42.50				USD				1,409				4,992
Pfizer, Inc.			320				09/15/23				USD				40.00				USD				1,174				10,880
United Rentals, Inc.			23				09/15/23				USD				460.00				USD				1,024				49,910
Valero Energy Corp.			212				09/15/23				USD				125.00				USD				2,487				78,970
NVIDIA Corp.			53				12/15/23				USD				440.00				USD				2,242				262,217
Pfizer, Inc.			321				01/19/24				USD				47.00				USD				1,177				6,099
Pfizer, Inc.			534				01/19/24				USD				50.00				USD				1,959				5,073
Sabre Corp.			81				01/19/24				USD				6.00				USD				26				1,580
																											4,838,215
Put
SPDR S&P 500 ETF Trust			248				07/07/23				USD				438.00				USD				10,993				16,244
SPDR S&P 500 ETF Trust			92				07/14/23				USD				434.00				USD				4,078				8,740
Frontier Communications Parent, Inc.			39				07/21/23				USD				15.00				USD				73				585
InvesCo QQQ Trust, Series 1			114				07/21/23				USD				350.00				USD				4,211				10,260
NVIDIA Corp.			54				07/21/23				USD				250.00				USD				2,284				243
Sabre Corp.			32				07/21/23				USD				3.00				USD				10				336
Shell PLC, ADR			86				07/21/23				USD				55.00				USD				519				645
Spirit AeroSystems Holdings, Inc., Class A			29				07/21/23				USD				20.00				USD				85				218
Spirit AeroSystems Holdings, Inc., Class A			32				07/21/23				USD				26.00				USD				93				800
Alphabet, Inc., Class C			252				08/18/23				USD				120.00				USD				3,048				103,320
Amazon.com, Inc.			210				08/18/23				USD				120.00				USD				2,738				49,140
Apple, Inc.			210				08/18/23				USD				180.00				USD				4,073				35,910
Frontier Communications Parent, Inc.			140				08/18/23				USD				15.00				USD				261				28,350
Microsoft Corp.			95				08/18/23				USD				325.00				USD				3,235				60,087
NVIDIA Corp.			32				08/18/23				USD				380.00				USD				1,354				24,160
Pitney Bowes, Inc.			150				08/18/23				USD				3.00				USD				53				1,125
SPDR S&P 500 ETF Trust			133				08/18/23				USD				425.00				USD				5,896				32,851
Spirit AeroSystems Holdings, Inc., Class A			26				08/18/23				USD				22.00				USD				76				650
Air Transport Services Group, Inc.			36				09/15/23				USD				15.00				USD				68				1,170
Air Transport Services Group, Inc.			34				09/15/23				USD				12.50				USD				64				510
SPDR S&P 500 ETF Trust			29				09/15/23				USD				350.00				USD				1,286				1,726
SPDR S&P 500 ETF Trust			138				09/15/23				USD				430.00				USD				6,117				69,207
																											446,277
																										$	5,284,492

OTC Options Purchased

 

Description		Counterparty				Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Call
TOPIX Banks Index			BNP Paribas SA				378,103				07/14/23				JPY				218.87				JPY				83,338			$	14,866
TOPIX Banks Index			Goldman Sachs International				629,919				07/14/23				JPY				226.71				JPY				138,840				10,384
TOPIX Banks Index			JPMorgan Chase Bank N.A.				252,321				07/14/23				JPY				227.60				JPY				55,614				3,719
ING Groep NV			Goldman Sachs International				51,100				07/21/23				EUR				12.00				EUR				630				26,949
EUR Currency			Bank of America N.A.				—				07/27/23				USD				1.09				EUR				8,097				75,060
EUR Currency			JPMorgan Chase Bank N.A.				—				08/07/23				USD				1.11				EUR				7,731				16,424
																															147,402
Put
USD Currency			Morgan Stanley & Co. International PLC				—				07/13/23				MXN				17.00				USD				15,204				37,508
																														$	184,910

 

 

30		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

OTC Credit Default Swaptions Purchased

 

Paid by the Trust

Received by the Trust

Expiration

Credit

Exercise

Notional

Description

Rate/Reference

Rate/Reference

Frequency

Counterparty

Date

Rating(a)

Price

Amount (000)(b)

Value

Put

Bought Protection 5-Year Credit Default Swap, 07/21/28

1.00%

CDX.NA.IG.40.V1

Quarterly

Morgan Stanley & Co. International PLC

07/19/23

N/R

USD 110.00

USD

9,175

$

434

Bought Protection 5-Year Credit Default Swap, 07/21/28

5.00%

CDX.NA.HY.40.V1

Quarterly

BNP Paribas SA Morgan Stanley & Co.

07/19/23

N/R

USD 95.00

USD

1,080

270

Bought Protection 5-Year Credit Default Swap, 07/21/28

5.00%

CDX.NA.HY.40.V1

Quarterly

International PLC Morgan Stanley & Co.

07/19/23

N/R

USD 94.00

USD

940

210

Bought Protection 5-Year Credit Default Swap, 07/21/28

5.00%

CDX.NA.HY.40.V1

Quarterly

International PLC

07/19/23

N/R

USD 99.50

USD

1,575

780

Bought Protection 5-Year Credit Default Swap, 08/18/28

5.00%

CDX.NA.HY.40.V1

Quarterly

BNP Paribas SA

08/16/23

N/R

USD 98.50

USD

1,885

2,875

Bought Protection 5-Year Credit Default Swap, 08/18/28

5.00%

CDX.NA.HY.40.V1

Quarterly

JPMorgan Chase Bank N.A.

08/16/23

N/R

USD 99.00

USD

1,795

3,250

$

7,819

 

(a)

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

(b)

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

OTC Interest Rate Swaptions Purchased

 

Paid by the Trust

Received by the Trust

Expiration

Exercise

Notional

Description

Rate

Frequency

Rate

Frequency

Counterparty

Date

Rate

Amount (000)

Value

Call

10-Year Interest Rate Swap, 08/09/33

1-Day SOFR, 1.09%

Quarterly

2.85%

Semi-Annual

Goldman Sachs     International

08/07/23

2.85

%

USD

9,964

$

2,992

10-Year Interest Rate Swap, 08/11/33

1-Day SOFR, 1.09%

Quarterly

2.85%

Semi-Annual

JPMorgan Chase     Bank N.A.

08/09/23

2.85

USD

11,755

4,153

10-Year Interest Rate Swap, 09/23/33

1-Day SOFR, 1.09%

Quarterly

2.81%

Semi-Annual

Morgan Stanley & Co.     International PLC

09/21/23

2.81

USD

7,177

14,040

10-Year Interest Rate Swap, 09/24/33

1-Day SOFR, 1.09%

Quarterly

2.80%

Semi-Annual

Morgan Stanley & Co.     International PLC

09/22/23

2.80

USD

3,073

5,964

2-Year Interest Rate Swap, 10/21/25 .

1-Day SOFR, 1.09%

Quarterly

2.75%

Semi-Annual

Goldman Sachs     International

10/19/23

2.75

USD

14,072

27,477

10-Year Interest Rate Swap, 10/26/33

1-Day SOFR, 1.09%

Quarterly

3.05%

Semi-Annual

Citibank N.A.

10/24/23

3.05

USD

11,317

77,529

10-Year Interest Rate Swap, 11/01/33

1-Day SOFR, 1.09%

Quarterly

2.90%

Semi-Annual

JPMorgan Chase     Bank N.A.

10/30/23

2.90

USD

11,317

56,474

10-Year Interest Rate Swap, 11/09/33

1-Day SOFR, 1.09%

Quarterly

2.82%

Semi-Annual

Goldman Sachs     International

11/07/23

2.82

USD

4,692

21,023

30-Year Interest Rate Swap, 11/16/53

1-Day SOFR, 1.09%

Quarterly

2.85%

Semi-Annual

Citibank N.A.

11/14/23

2.85

USD

3,571

63,989

273,641

Put

10-Year Interest Rate Swap, 10/26/33

4.55%

Semi-Annual

1-Day SOFR, 1.09%

Quarterly

Citibank N.A.

10/24/23

4.55

USD

11,317

16,151

10-Year Interest Rate Swap, 11/01/33

4.40%

Semi-Annual

1-Day SOFR, 1.09%

Quarterly

JPMorgan Chase     Bank N.A.

10/30/23

4.40

USD

11,317

26,245

10-Year Interest Rate Swap, 11/09/33

4.82%

Semi-Annual

1-Day SOFR, 1.09%

Quarterly

Goldman Sachs     International

11/07/23

4.82

USD

4,693

4,331

46,727

$

320,368

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		31

---

Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

Interest Rate Caps/Floors Sold

 

Description		Exercise Rate				Counterparty				Expiration Date				Notional Amount (000)								Value				Premiums Paid (Received)				Unrealized Appreciation (Depreciation)
5Y-30Y CMS Index Cap			0.57	%			Goldman Sachs International				09/27/23				USD				120,008			$	(2,461	)		$	(61,641	)		$	59,180
5Y-30Y CMS Index Floor			(0.68	%)			Goldman Sachs International				09/27/23				USD				120,008				(175,941	)			(120,008	)			(55,933	)
																						$	(178,402	)		$	(181,649	)		$	3,247

Exchange-Traded Options Written

 

Description		Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Call
Advanced Micro Devices, Inc.			106				07/21/23				USD				110.00				USD				1,207			$	(70,225	)
Advanced Micro Devices, Inc.			106				07/21/23				USD				105.00				USD				1,207				(109,180	)
Constellation Brands, Inc., Class A			54				07/21/23				USD				255.00				USD				1,329				(4,185	)
Micron Technology, Inc.			107				07/21/23				USD				72.50				USD				675				(1,231	)
Shell PLC, ADR			86				07/21/23				USD				65.00				USD				519				(645	)
SPDR S&P Regional Banking ETF			884				07/21/23				USD				48.00				USD				3,609				(5,304	)
Walt Disney Co.			269				07/21/23				USD				105.00				USD				2,402				(1,211	)
Activision Blizzard, Inc.			126				08/18/23				USD				95.00				USD				1,062				(5,166	)
Advanced Micro Devices, Inc.			207				08/18/23				USD				170.00				USD				2,358				(6,003	)
Alphabet, Inc., Class C			269				08/18/23				USD				145.00				USD				3,254				(9,684	)
Amazon.com, Inc.			248				08/18/23				USD				150.00				USD				3,233				(29,264	)
Delta Air Lines, Inc.			424				08/18/23				USD				55.00				USD				2,016				(12,508	)
Dexcom, Inc.			37				08/18/23				USD				140.00				USD				475				(9,897	)
JPMorgan Chase & Co.			317				08/18/23				USD				155.00				USD				4,610				(27,579	)
Micron Technology, Inc.			477				08/18/23				USD				80.00				USD				3,010				(7,394	)
Tesla, Inc.			86				08/18/23				USD				300.00				USD				2,251				(74,820	)
United Airlines Holdings, Inc.			425				08/18/23				USD				65.00				USD				2,332				(16,362	)
Advanced Micro Devices, Inc.			192				09/15/23				USD				160.00				USD				2,187				(17,952	)
Delta Air Lines, Inc.			273				09/15/23				USD				55.00				USD				1,298				(15,288	)
NVIDIA Corp.			53				12/15/23				USD				530.00				USD				2,242				(117,395	)
SPDR S&P 500 ETF Trust			30				12/15/23				USD				420.00				USD				1,330				(117,825	)
																											(659,118	)
Put
SPDR S&P 500 ETF Trust			92				07/14/23				USD				417.00				USD				4,078				(2,346	)
Eli Lilly & Co.			21				07/21/23				USD				390.00				USD				985				(378	)
InvesCo QQQ Trust, Series 1			114				07/21/23				USD				335.00				USD				4,211				(3,705	)
Lockheed Martin Corp.			9				07/21/23				USD				410.00				USD				414				(315	)
LVMH Moet Hennessy Louis Vuitton SE			22				07/21/23				EUR				800.00				EUR				1,901				(21,450	)
Shell PLC, ADR			86				07/21/23				USD				50.00				USD				519				(860	)
Uber Technologies, Inc.			266				07/21/23				USD				32.50				USD				1,148				(798	)
Uber Technologies, Inc.			243				07/21/23				USD				37.50				USD				1,049				(1,944	)
Vinci SA			88				07/21/23				EUR				100.00				EUR				937				(7,442	)
Waste Management, Inc.			79				07/21/23				USD				160.00				USD				1,370				(1,185	)
Activision Blizzard, Inc.			214				08/18/23				USD				70.00				USD				1,804				(10,807	)
Activision Blizzard, Inc.			74				08/18/23				USD				75.00				USD				624				(9,287	)
Alphabet, Inc., Class C			252				08/18/23				USD				110.00				USD				3,048				(33,012	)
Amazon.com, Inc.			458				08/18/23				USD				110.00				USD				5,970				(38,243	)
Apple, Inc.			210				08/18/23				USD				170.00				USD				4,073				(15,330	)
ConocoPhillips			211				08/18/23				USD				90.00				USD				2,186				(12,871	)
D.R. Horton, Inc.			127				08/18/23				USD				105.00				USD				1,545				(9,207	)
D.R. Horton, Inc.			64				08/18/23				USD				110.00				USD				779				(8,160	)
Delta Air Lines, Inc.			318				08/18/23				USD				40.00				USD				1,512				(8,427	)
First Solar, Inc.			29				08/18/23				USD				160.00				USD				551				(7,743	)
Freeport-McMoRan, Inc.			387				08/18/23				USD				35.00				USD				1,548				(19,350	)
Humana, Inc.			32				08/18/23				USD				410.00				USD				1,431				(11,520	)
JPMorgan Chase & Co.			106				08/18/23				USD				125.00				USD				1,542				(4,081	)
L3Harris Technologies, Inc.			18				08/18/23				USD				160.00				USD				352				(810	)
Lennar Corp., Class A			127				08/18/23				USD				115.00				USD				1,591				(13,970	)
Microsoft Corp.			95				08/18/23				USD				300.00				USD				3,235				(20,235	)
NVIDIA Corp.			32				08/18/23				USD				330.00				USD				1,354				(4,752	)
Shell PLC, ADR			316				08/18/23				USD				52.50				USD				1,908				(7,110	)

 

 

32		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

---

Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

Exchange-Traded Options Written (continued)

 

Description		Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Put (continued)
SPDR S&P 500 ETF Trust			133				08/18/23				USD				405.00				USD				5,896			$	(14,696	)
Toll Brothers, Inc.			127				08/18/23				USD				65.00				USD				1,004				(3,175	)
Toll Brothers, Inc.			84				08/18/23				USD				70.00				USD				664				(4,620	)
Uber Technologies, Inc.			154				08/18/23				USD				35.00				USD				665				(5,159	)
United Airlines Holdings, Inc.			316				08/18/23				USD				50.00				USD				1,734				(32,390	)
Valero Energy Corp.			41				08/18/23				USD				105.00				USD				481				(6,417	)
Apple, Inc.			117				09/15/23				USD				170.00				USD				2,269				(14,215	)
Archer-Daniels-Midland Co.			160				09/15/23				USD				60.00				USD				1,209				(3,600	)
Barclays PLC			274				09/15/23				GBP				1.35				GBP				420				(7,830	)
Eli Lilly & Co.			12				09/15/23				USD				430.00				USD				563				(7,890	)
Ford Motor Co.			367				09/15/23				USD				13.00				USD				555				(8,258	)
General Motors Co.			110				09/15/23				USD				35.00				USD				424				(8,800	)
Microsoft Corp.			84				09/15/23				USD				300.00				USD				2,861				(26,670	)
Pfizer, Inc.			704				09/15/23				USD				35.00				USD				2,582				(52,800	)
SPDR S&P 500 ETF Trust			138				09/15/23				USD				400.00				USD				6,117				(26,910	)
United Rentals, Inc.			23				09/15/23				USD				400.00				USD				1,024				(24,035	)
Valero Energy Corp.			212				09/15/23				USD				105.00				USD				2,487				(52,470	)
NVIDIA Corp.			53				12/15/23				USD				310.00				USD				2,242				(48,627	)
																											(623,900	)
																										$	(1,283,018	)

OTC Options Written

Description		Counterparty		Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Call
ING Groep NV		Goldman Sachs International			51,100				07/21/23				EUR				13.00				EUR				631			$	(3,753	)
EUR Currency		JPMorgan Chase Bank N.A.			—				08/07/23				USD				1.14				USD				7,731				(1,780	)
																													(5,533	)
Put
USD Currency		Morgan Stanley & Co. International PLC			—				07/13/23				MXN				16.80				MXN				15,204				(8,757	)
TOPIX Banks Index		BNP Paribas SA			378,103				07/14/23				JPY				175.10				JPY				83,338				(5	)
TOPIX Banks Index		Goldman Sachs International			629,919				07/14/23				JPY				181.37				JPY				138,840				(31	)
TOPIX Banks Index		JPMorgan Chase Bank N.A.			252,321				07/14/23				JPY				182.08				JPY				55,614				(15	)
ING Groep NV		Goldman Sachs International			51,100				07/21/23				EUR				10.00				EUR				631				(777	)
EUR Currency		Bank of America N.A.			—				07/27/23				USD				1.05				USD				4,049				(1,582	)
EUR Currency		JPMorgan Chase Bank N.A.			—				08/07/23				USD				1.08				USD				3,865				(16,884	)
																													(28,051	)
																												$	(33,584	)

OTC Credit Default Swaptions Written

 

Paid by the Trust

Received by the Trust

Expiration

Credit

Exercise

Notional

Description

Rate/Reference

Rate/Reference

Frequency

Counterparty

Date

Rating(a)

Price

Amount (000)(b)

Value

Put

Sold Protection 5-Year Credit Default Swap, 07/21/28

CDX.NA.IG.40.V1

1.00

%

Quarterly

Morgan Stanley & Co. International PLC

07/19/23

N/R

USD

140.00

USD

9,175

$

(282

)

Sold Protection 5-Year Credit Default Swap, 07/21/28

CDX.NA.HY.40.V1

5.00

%

Quarterly

Morgan Stanley & Co. International PLC

07/19/23

N/R

USD

87.00

USD

940

(101

)

$

(383

)

 

(a)

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

(b)

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

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		33

---

Consolidated Schedule of Investments (unaudited)  (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

OTC Interest Rate Swaptions Written

		Paid by the Trust								Received by the Trust												Expiration				Exercise								Notional
Description		Rate				Frequency				Rate				Frequency				Counterparty				Date				Rate				Amount (000)								Value
Call
10-Year Interest Rate Swap, 07/21/33			2.41%				Semi-Annual				1-Day SOFR, 1.09%				Quarterly				Morgan Stanley & Co. International PLC				07/19/23				2.41	%			USD				24,382			$	(4	)
10-Year Interest Rate Swap, 08/11/33			2.55%				Semi-Annual				1-Day SOFR, 1.09%				Quarterly				JPMorgan Chase Bank N.A.				08/09/23				2.55				USD				11,755				(783	)
2-Year Interest Rate Swap, 10/21/25			2.45%				Semi-Annual				1-Day SOFR, 1.09%				Quarterly				Goldman Sachs International				10/19/23				2.45				USD				14,072				(14,623	)
2-Year Interest Rate Swap, 10/26/25			3.09%				Semi-Annual				1-Day SOFR, 1.09%				Quarterly				Citibank N.A.				10/24/23				3.09				USD				45,268				(40,301	)
2-Year Interest Rate Swap, 11/01/25			2.95%				Semi-Annual				1-Day SOFR, 1.09%				Quarterly				JPMorgan Chase Bank N.A.				10/30/23				2.95				USD				45,268				(36,929	)
2-Year Interest Rate Swap, 11/09/25			3.26%				Semi-Annual				1-Day SOFR, 1.09%				Quarterly				Goldman Sachs International				11/07/23				3.26				USD				18,770				(26,075	)
2-Year Interest Rate Swap, 11/16/25			2.75%				Semi-Annual				1-Day SOFR, 1.09%				Quarterly				Citibank N.A.				11/14/23				2.75				USD				35,707				(28,300	)
10-Year Interest Rate Swap, 12/16/33			2.40%				Semi-Annual				1-Day SOFR, 1.09%				Quarterly				Morgan Stanley & Co. International PLC				12/14/23				2.40				USD				6,165				(15,517	)
																																							(162,532	)
Put
10-Year Interest Rate Swap, 07/05/33			1-Day SOFR, 1.09%				Quarterly				3.85%				Semi-Annual				JPMorgan Chase Bank N.A.				07/03/23				3.85				USD				9,594				(25	)
10-Year Interest Rate Swap, 07/21/33			1-Day SOFR, 1.09%				Quarterly				3.61%				Semi-Annual				Morgan Stanley & Co. International PLC				07/19/23				3.61				USD				24,382				(139,751	)
10-Year Interest Rate Swap, 08/09/33			1-Day SOFR, 1.09%				Quarterly				3.75%				Semi-Annual				Goldman Sachs International				08/07/23				3.75				USD				12,455				(56,154	)
2-Year Interest Rate Swap, 08/11/25			1-Day SOFR, 1.09%				Quarterly				4.10%				Semi-Annual				JPMorgan Chase Bank N.A.				08/09/23				4.10				USD				49,349				(618,342	)
10-Year Interest Rate Swap, 10/04/33			1-Day SOFR, 1.09%				Quarterly				3.93%				Semi-Annual				Goldman Sachs International				10/02/23				3.93				USD				12,168				(72,439	)
10-Year Interest Rate Swap, 10/15/33			1-Day SOFR, 1.09%				Quarterly				3.50%				Semi-Annual				Goldman Sachs International				10/13/23				3.50				USD				16,914				(319,588	)
2-Year Interest Rate Swap, 10/15/25			1-Day SOFR, 1.09%				Quarterly				4.25%				Semi-Annual				Citibank N.A.				10/13/23				4.25				USD				73,294				(720,973	)
2-Year Interest Rate Swap, 10/18/25			1-Day SOFR, 1.09%				Quarterly				4.05%				Semi-Annual				Goldman Sachs International				10/16/23				4.05				USD				37,711				(474,307	)
2-Year Interest Rate Swap, 10/19/25			1-Day SOFR, 1.09%				Quarterly				4.25%				Semi-Annual				Citibank N.A.				10/17/23				4.25				USD				33,730				(333,034	)
2-Year Interest Rate Swap, 10/21/25			1-Day SOFR, 1.09%				Quarterly				3.30%				Semi-Annual				Goldman Sachs International				10/19/23				3.30				USD				7,036				(31,910	)
2-Year Interest Rate Swap, 11/16/25			1-Day SOFR, 1.09%				Quarterly				4.75%				Semi-Annual				Citibank N.A.				11/14/23				4.75				USD				28,566				(131,828	)
10-Year Interest Rate Swap, 12/16/33			1-Day SOFR, 1.09%				Quarterly				3.60%				Semi-Annual				Morgan Stanley & Co. International PLC				12/14/23				3.60				USD				6,165				(113,564	)
5-Year Interest Rate Swap, 03/29/29			1-Day SOFR, 1.09%				Quarterly				3.79%				Semi-Annual				JPMorgan Chase Bank N.A.				03/27/24				3.79				USD				35,313				(511,566	)
																																							(3,523,481	)
																																						$	(3,686,013	)

Centrally Cleared Credit Default Swaps — Buy Protection

 

 

 

34		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

---

Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

Centrally Cleared Credit Default Swaps — Sell Protection

Reference Obligation/Index			Financing Rate Received by the Trust				Payment Frequency				Termination Date				Credit Rating	(a)			Notional Amount (000)	(b)			Value				Upfront Premium Paid (Received)				Unrealized Appreciation (Depreciation)
iTraxx.XO.34.V2			5.00	%			Quarterly				12/20/25				CC			EUR	34,106			$	1,938,614			$	2,102,034			$	(163,420	)
iTraxx.XO.35.V1			5.00				Quarterly				06/20/26				CCC-			EUR	1,440				81,162				136,278				(55,116	)
																						$	2,019,776			$	2,238,312			$	(218,536	)

 

(a)

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

(b)

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

Centrally Cleared Inflation Swaps

Paid by the Trust

Received by the Trust

Termination Date

Notional Amount (000)

Value

Upfront Premium Paid (Received)

Unrealized Appreciation (Depreciation)

Reference

Frequency

Rate

Frequency

Eurostat Eurozone HICP Ex Tobacco Unrevised

Monthly

2.69%

Monthly

08/15/32

EUR 1,425

$(24,062)

$

30

$

(24,092

)

Centrally Cleared Interest Rate Swaps

		Paid by the Trust				Received by the Trust				Effective Date				Termination Date				Notional Amount (000)						Value				Upfront Premium Paid (Received)				Unrealized Appreciation (Depreciation)
		Rate		Frequency		Rate		Frequency
		3.75%		Monthly		1-Day SOFR, 1.09%		Monthly			N/A				02/13/24				USD			92,095		$	1,370,389			$	101			$	1,370,288
		1-Day SOFR, 1.09%		Monthly		4.40%		Monthly			N/A				02/13/24				USD			184,191			(1,563,668	)			203				(1,563,871	)
		28-Day MXIBTIIE, 11.50%		Monthly		4.68%		Monthly			N/A				02/27/24				MXN			62,782			(163,994	)			5				(163,999	)
		28-Day MXIBTIIE, 11.50%		Monthly		4.86%		Monthly			N/A				03/01/24				MXN			62,782			(159,317	)			5				(159,322	)
		1-Day SOFR, 1.09%		Annual		1.13%		Annual			N/A				03/07/24				USD			51,255			(2,104,021	)			78				(2,104,099	)
		1-Day SOFR, 1.09%		Monthly		4.50%		Monthly			N/A				03/09/24				USD			92,494			(742,424	)			209				(742,633	)
		1-Day SOFR, 1.09%		Annual		1.08%		Annual			N/A				03/18/24				USD			103,986			(4,314,413	)			166				(4,314,579	)
		2.47%		Monthly		1-Day SONIA, 4.93%		Monthly			N/A				04/03/24				GBP			46,645			1,785,435				(1,956	)			1,787,391
		1-Day SONIA, 4.93%		Monthly		3.22%		Monthly			N/A				04/03/24				GBP			93,289			(2,719,007	)			2,434				(2,721,441	)
		4.18%		Annual		1-Day SOFR, 1.09%		Annual			N/A				06/28/24				USD			16,487			189,273				(22,225	)			211,498
		4.16%		Annual		1-Day SOFR, 1.09%		Annual			N/A				07/13/24				USD			14,859			197,831				(19,435	)			217,266
		4.16%		Annual		1-Day SOFR, 1.09%		Annual			N/A				07/20/24				USD			21,852			294,040				(30,060	)			324,100
		4.16%		Annual		1-Day SOFR, 1.09%		Annual			N/A				07/23/24				USD			28,619			385,592				(39,833	)			425,425
		4.14%		Annual		1-Day SOFR, 1.09%		Annual			N/A				08/12/24				USD			21,139			300,827				(29,234	)			330,061
		4.14%		Annual		1-Day SOFR, 1.09%		Annual			N/A				08/13/24				USD			13,774			196,270				(19,151	)			215,421
		4.13%		Annual		1-Day SOFR, 1.09%		Annual			N/A				08/27/24				USD			33,815			496,760				(48,165	)			544,925
		1-Day SONIA, 4.93%		Monthly		4.26%		Monthly			09/06/23	(a)			09/06/24				GBP			25,649			(607,044	)			140				(607,184	)
		28-Day MXIBTIIE, 11.50%		Monthly		9.78%		Monthly			N/A				02/04/25				MXN			48,743			(17,983	)			9				(17,992	)
		28-Day MXIBTIIE, 11.50%		Monthly		9.79%		Monthly			N/A				02/04/25				MXN			24,371			(8,780	)			4				(8,784	)
		28-Day MXIBTIIE, 11.50%		Monthly		9.80%		Monthly			N/A				02/04/25				MXN			24,371			(8,462	)			4				(8,466	)
		28-Day MXIBTIIE, 11.50%		Monthly		9.95%		Monthly			N/A				02/07/25				MXN			550,963			(110,705	)			104				(110,809	)
		2.00%		Annual		1-Day SOFR, 1.09%		Annual			N/A				02/17/25				USD			13,415			776,369				49				776,320
		1-Day SOFR, 1.09%		Annual		2.60%		Annual			N/A				02/17/25				USD			47,688			(2,209,850	)			173				(2,210,023	)
		1-Day SOFR, 1.09%		Annual		2.70%		Annual			N/A				02/17/25				USD			47,688			(2,118,177	)			173				(2,118,350	)
		1-Day SOFR, 1.09%		Annual		4.03%		Annual			N/A				03/10/25				USD			93,515			(1,723,422	)			352				(1,723,774	)
		1-Day SOFR, 1.09%		Annual		3.75%		Annual			N/A				12/15/25				USD			12,146			(300,389	)			77				(300,466	)
		3.83%		Annual		1-Day SOFR, 1.09%		Annual			N/A				02/19/26				USD			13,259			274,881				(63,855	)			338,736
		3.82%		Annual		1-Day SOFR, 1.09%		Annual			N/A				02/22/26				USD			3,623			75,924				(16,758	)			92,682
		1-Day SOFR, 1.09%		Annual		3.82%		Annual			N/A				03/08/26				USD			42,033			(860,955	)			205,675				(1,066,630	)
		3.78%		Annual		1-Day SOFR, 1.09%		Annual			N/A				05/26/26				USD			61,194			1,110,505				(313,418	)			1,423,923
		3.78%		Annual		1-Day SOFR, 1.09%		Annual			N/A				05/27/26				USD			123,103			2,212,345				(633,934	)			2,846,279
		1-Day SOFR, 1.09%		Annual		3.77%		Annual			N/A				06/28/26				USD			9,810			(164,111	)			53,133				(217,244	)
		1-Day SOFR, 1.09%		Annual		3.76%		Annual			N/A				07/13/26				USD			8,779			(187,210	)			47,003				(234,213	)
		3.73%		Annual		1-Day SOFR, 1.09%		Annual			N/A				10/14/26				USD			13,157			293,476				(78,137	)			371,613
		3.73%		Annual		1-Day SOFR, 1.09%		Annual			N/A				11/10/26				USD			21,067			471,097				(135,077	)			606,174
		1-Day SOFR, 1.09%		Annual		3.71%		Annual			N/A				01/07/27				USD			34,517			(754,615	)			235,049				(989,664	)
		1-Day SOFR, 1.09%		Annual		3.71%		Annual			N/A				01/10/27				USD			14,027			(305,709	)			96,328				(402,037	)

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		35

---

Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

Centrally Cleared Interest Rate Swaps (continued)

 

		Paid by the Trust				Received by the Trust				Effective Date				Termination Date				Notional Amount (000)						Value				Upfront Premium Paid (Received)				Unrealized Appreciation (Depreciation)
		Rate		Frequency		Rate		Frequency
		1-Day SOFR, 1.09%		Annual		3.71%		Annual			N/A				01/14/27				USD			5,077		$	(109,709	)		$	35,193			$	(144,902	)
		1-Day SOFR, 1.09%		Annual		3.70%		Annual			N/A				02/09/27				USD			45,774			(965,842	)			321,229				(1,287,071	)
		1-Day SOFR, 1.09%		Annual		1.56%		Annual			N/A				03/07/27				USD			25,628			(2,535,919	)			176				(2,536,095	)
		1-Day SOFR, 1.09%		Annual		3.47%		Annual			03/10/25	(a)			03/10/27				USD			9,910			7,827				44				7,783
		1-Day SOFR, 1.09%		Annual		2.91%		Annual			N/A				10/06/27				USD			23,669			(1,300,551	)			188				(1,300,739	)
		1-Day SONIA, 4.93%		Monthly		3.18%		Monthly			02/10/27	(a)			02/10/28				GBP			85,657			(758,332	)			524				(758,856	)
		1-Day SONIA, 4.93%		Annual		4.86%		Annual			N/A				06/20/28				GBP			6,480			(85,448	)			(17	)			(85,431	)
		3.51%		Annual		1-Day SOFR, 1.09%		Annual			N/A				02/04/31				USD			4,489			69,274				(74,035	)			143,309
		3.51%		Annual		1-Day SOFR, 1.09%		Annual			N/A				02/05/31				USD			2,639			40,706				(43,535	)			84,241
		1-Day SOFR, 1.09%		Annual		3.50%		Annual			N/A				04/07/31				USD			20,008			(272,714	)			328,549				(601,263	)
		1-Day SOFR, 1.09%		Annual		3.50%		Annual			N/A				04/08/31				USD			11,489			(155,097	)			190,244				(345,341	)
		3.50%		Annual		1-Day SOFR, 1.09%		Annual			N/A				05/27/31				USD			7,341			80,733				(123,684	)			204,417
		3.50%		Annual		1-Day SOFR, 1.09%		Annual			N/A				05/28/31				USD			1,301			14,299				(21,754	)			36,053
		0.02%		Annual		6-mo. EURIBOR, 3.90%		Semi-Annual			N/A				08/26/31				EUR			9,317			2,301,245				159				2,301,086
		3.50%		Annual		1-Day SOFR, 1.09%		Annual			N/A				10/12/31				USD			6,327			100,177				(113,543	)			213,720
		1-Day SOFR, 1.09%		Annual		3.50%		Annual			N/A				10/14/31				USD			19,924			(315,833	)			357,826				(673,659	)
		1-Day SOFR, 1.09%		Annual		3.50%		Annual			N/A				11/19/31				USD			19,649			(306,817	)			359,599				(666,416	)
		3.50%		Annual		1-Day SOFR, 1.09%		Annual			N/A				11/26/31				USD			3,326			51,512				(61,066	)			112,578
		3.50%		Annual		1-Day SOFR, 1.09%		Annual			N/A				11/30/31				USD			2,298			35,509				(42,234	)			77,743
		1-Day SOFR, 1.09%		Annual		3.50%		Annual			N/A				01/28/32				USD			31,646			(432,764	)			603,218				(1,035,982	)
		2.38%		Annual		1-Day SOFR, 1.09%		Annual			N/A				04/08/32				USD			2,085			200,710				30				200,680
		2.58%		Annual		1-Day SOFR, 1.09%		Annual			N/A				05/24/32				USD			14,246			1,119,000				(12,667	)			1,131,667
		2.60%		Annual		1-Day SOFR, 1.09%		Annual			N/A				05/26/32				USD			2,456			188,858				35				188,823
		1-Day SOFR, 1.09%		Annual		3.47%		Annual			N/A				10/04/32				USD			10,285			(162,034	)			150				(162,184	)
		1-Day SOFR, 1.09%		Annual		3.42%		Annual			N/A				10/05/32				USD			4,848			(97,855	)			73				(97,928	)
		1-Day SOFR, 1.09%		Annual		3.05%		Annual			N/A				10/28/32				USD			11,483			(591,890	)			174				(592,064	)
		1-Day SOFR, 1.09%		Annual		2.88%		Annual			N/A				11/02/32				USD			11,632			(767,470	)			177				(767,647	)
		1-Day SOFR, 1.09%		Annual		2.92%		Annual			N/A				11/04/32				USD			11,671			(730,165	)			177				(730,342	)
		1-Day SOFR, 1.09%		Annual		2.90%		Annual			N/A				11/15/32				USD			18,790			(1,203,097	)			286				(1,203,383	)
		1-Day SOFR, 1.09%		Annual		3.20%		Annual			N/A				11/28/32				USD			10,953			(420,095	)			167				(420,262	)
		1-Day ESTR, 1,143.69%		Annual		2.34%		Annual			01/19/28	(a)			01/19/33				EUR			7,414			(68,917	)			104				(69,021	)
		1-Day SOFR, 1.09%		Annual		3.14%		Annual			05/12/28	(a)			05/12/33				USD			13,769			883				127				756
		3.24%		Annual		1-Day SOFR, 1.09%		Annual			08/09/23	(a)			08/09/33				USD			6,094			145,431				98				145,333
		3.45%		Annual		1-Day SOFR, 1.09%		Annual			N/A				11/26/41				USD			1,670			12,169				(68,720	)			80,889
		3.24%		Annual		1-Day SOFR, 1.09%		Annual			N/A				12/11/50				USD			1,632			13,780				(85,954	)			99,734
		3.23%		Annual		1-Day SOFR, 1.09%		Annual			N/A				01/07/51				USD			5,340			48,433				(273,563	)			321,996
		3.23%		Annual		1-Day SOFR, 1.09%		Annual			N/A				01/08/51				USD			1,844			16,724				(94,446	)			111,170
		3.23%		Annual		1-Day SOFR, 1.09%		Annual			N/A				01/25/51				USD			3,941			32,963				(202,815	)			235,778
		3.23%		Annual		1-Day SOFR, 1.09%		Annual			N/A				02/01/51				USD			4,033			32,472				(207,921	)			240,393
		3.23%		Annual		1-Day SOFR, 1.09%		Annual			N/A				02/04/51				USD			2,285			17,814				(117,968	)			135,782
		3.23%		Annual		1-Day SOFR, 1.09%		Annual			N/A				02/05/51				USD			2,366			18,446				(122,136	)			140,582
		3.23%		Annual		1-Day SOFR, 1.09%		Annual			N/A				02/22/51				USD			943			6,582				(48,913	)			55,495
		3.22%		Annual		1-Day SOFR, 1.09%		Annual			N/A				05/27/51				USD			3,534			11,020				(183,151	)			194,171
		3.22%		Annual		1-Day SOFR, 1.09%		Annual			N/A				05/28/51				USD			579			1,806				(30,004	)			31,810
		3.22%		Annual		1-Day SOFR, 1.09%		Annual			N/A				06/07/51				USD			1,105			2,870				(57,379	)			60,249
		1-Day SOFR, 1.09%		Annual		3.22%		Annual			N/A				06/22/51				USD			2,396			(3,878	)			125,022				(128,900	)
		3.22%		Annual		1-Day SOFR, 1.09%		Annual			N/A				08/23/51				USD			793			7,474				(41,990	)			49,464
		3.21%		Annual		1-Day SOFR, 1.09%		Annual			N/A				10/15/51				USD			1,158			12,765				(60,056	)			72,821
		3.21%		Annual		1-Day SOFR, 1.09%		Annual			N/A				10/18/51				USD			1,791			19,713				(92,927	)			112,640
		1-Day SOFR, 1.09%		Annual		3.21%		Annual			N/A				11/08/51				USD			1,943			(20,824	)			101,545				(122,369	)
		3.21%		Annual		1-Day SOFR, 1.09%		Annual			N/A				11/30/51				USD			757			7,607				(39,787	)			47,394
		3.21%		Annual		1-Day SOFR, 1.09%		Annual			N/A				01/21/52				USD			7,765			60,917				(414,420	)			475,337
																								$	(17,338,774	)		$	(1,019,335	)		$	(16,319,439	)

 

(a)

Forward Swap.

 

 

36		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

OTC Credit Default Swaps — Buy Protection

 

		Reference Obligations/Index			Financing Rate Paid by the Trust				Payment Frequency			Counterparty			Termination Date				Notional    Amount (000)								Value				Upfront Premium Paid (Received)				Unrealized Appreciation (Depreciation)
		Credit Suisse Group AG			1.00	%			Quarterly			JPMorgan Chase Bank N.A.			06/20/28				EUR				3,700			$	(2,104	)		$	131,587			$	(133,691	)
		Credit Suisse Group AG			1.00				Quarterly			JPMorgan Chase Bank N.A.			06/20/28				EUR				2,160				(1,228	)			74,232				(75,460	)
		MetLife, Inc.			1.00				Quarterly			BNP Paribas SA			06/20/28				USD				120				352				897				(545	)
																										$	(2,980	)		$	206,716			$	(209,696	)

OTC Credit Default Swaps — Sell Protection

 

		Reference Obligation/Index			Financing Rate Received by the Trust				Payment Frequency			Counterparty			Termination Date			Credit Rating(a)			Notional    Amount (000)(b)								Value				Upfront Premium Paid (Received)				Unrealized Appreciation (Depreciation)
		Vistra Operations Company LLC			5.00	%			Quarterly			JPMorgan Chase Bank N.A.			12/20/25			BB			USD				642			$	44,468			$	28,286			$	16,182
												Morgan Stanley & Co.
		CMBX.NA.9			3.00				Monthly			International PLC			09/17/58			N/R			USD				332				(79,099	)			(70,789	)			(8,310	)
												Morgan Stanley & Co.
		CMBX.NA.15			3.00				Monthly			International PLC			11/18/64			N/R			USD				1,000				(288,875	)			(186,293	)			(102,582	)
																												$	(323,506	)		$	(228,796	)		$	(94,710	)

 

(a)

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

 

(b)

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

OTC Interest Rate Swaps

 

		Paid by the Trust						Received by the Trust							Effective Date			Termination Date			Notional Amount (000)												Upfront Premium Paid (Received)				Unrealized Appreciation (Depreciation	)
		Rate		Frequency				Rate		Frequency		Counterparty																	Value
		1-Day BZDIOVER, 3.34%		Monthly				12.78%		Monthly		Morgan Stanley & Co. International PLC			N/A			01/02/25			BRL				143,166			$	790,654			$	—			$	790,654
		1-Day BZDIOVER, 3.34%		Monthly				13.15%		Monthly		JPMorgan Chase Bank N.A.			N/A			01/02/25			BRL				7,385				51,125				—				51,125
		1-Day BZDIOVER, 3.34%		Monthly				13.18%		Monthly		JPMorgan Chase Bank N.A.			N/A			01/02/25			BRL				7,381				51,882				—				51,882
		1-Day BZDIOVER, 3.34%		Monthly				13.22%		Monthly		Citibank N.A.			N/A			01/02/25			BRL				3,883				27,931				—				27,931
		China Fixing Repo Rates 7-Day, 1.88%		Monthly				2.60%		Monthly		Morgan Stanley & Co. International PLC			N/A			09/15/26			CNY				157,107				250,230				—				250,230
																												$	1,171,822			$	—			$	1,171,822

OTC Total Return Swaps

 

Paid by the Trust

Received by the Trust

Effective Date

Termination Date

Notional Amount (000)

Value

Upfront Premium Paid (Received)

Unrealized Appreciation Depreciation

Rate/Reference

Frequency

Rate/Reference

Frequency

Counterparty

SPDR S&P Regional Banking ETF

Monthly

1-Day SOFR minus 0.40%, 1.09%

Monthly

BNP Paribas SA

N/A

09/15/23

USD

145

$

8,309

$

—

$

8,309

SPDR S&P Regional Banking ETF

Monthly

1-Day SOFR minus 0.40%, 1.09%

Monthly

BNP Paribas SA

N/A

09/15/23

USD

146

8,421

—

8,421

$

16,730

$

—

$

16,730

 

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		37

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

OTC Total Return Swaps

Reference Entity		Payment Frequency				Counterparty		Termination Date				Net Notional				Accrued Unrealized Appreciation (Depreciation)				Net Value of Reference Entity				Gross Notional Amount Net Asset Percentage
Equity Securities Long/Short			Monthly			Citibank N.A.(a)			10/11/23			$	5,414,101			$	(110,087	)(b)		$	5,267,063				0.3	%
			Monthly			JPMorgan Chase Bank N.A.(c)			02/08/24				(3,668,749	)			225,559	(d)			(3,446,110	)			0.2
																$	115,472			$	1,820,953

 

(b)

Amount includes $36,951 of net dividends and financing fees.

(d)

Amount includes $2,920 of net dividends and financing fees.

The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest:

		(a)		(c)
Range:		26 basis points		15-269 basis points
Benchmarks:		USD - 1D Overnight Bank Funding Rate (OBFR01)		USD - 1D Overnight Bank Funding Rate (OBFR01)

 

 

 

 

38		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments  (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

Balances Reported in the Consolidated Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written

 

Description		Swap Premiums Paid				Swap Premiums Received				Unrealized Appreciation				Unrealized Depreciation				Value
Centrally Cleared Swaps(a)		$	5,388,808			$	(4,085,923	)		$	19,195,996			$	(36,096,526	)		$	—
OTC Swaps			235,002				(257,082	)			1,430,293				(430,675	)			—
Options Written			N/A				N/A				1,989,476				(2,260,306	)			(5,181,400	)

 

(a)

Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

Derivative Financial Instruments Categorized by Risk Exposure

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

 

		Commodity Contracts				Credit Contracts				Equity Contracts				Foreign Currency Exchange Contracts				Interest Rate Contracts				Other Contracts				Total
Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts(a)		$	7,852			$	—			$	23,175			$	—			$	5,576,301			$	—			$	5,607,328
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts			—				—				—				3,146,529				—				—				3,146,529
Options purchased
Investments at value — unaffiliated(b)			—				7,819				5,340,410				128,992				338,032				—				5,815,253
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps(a)			—				—				—				—				19,195,996				—				19,195,996
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid			—				251,184				242,289				—				1,171,822				—				1,665,295
		$	7,852			$	259,003			$	5,605,874			$	3,275,521			$	26,282,151			$	—			$	35,430,401
Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts(a)		$	—			$	—			$	694,909			$	—			$	1,709,794			$	—			$	2,404,703
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts			—				—				—				4,289,790				—				—				4,289,790
Options written
Options written at value			—				383				1,287,599				29,003				3,864,415				—				5,181,400
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps(a)			—				556,999				—				—				35,515,435				24,092				36,096,526
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received			—				577,670				110,087				—				—				—				687,757
		$	—			$	1,135,052			$	2,092,595			$	4,318,793			$	41,089,644			$	24,092			$	48,660,176

 

(a)

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

(b)

Includes options purchased at value as reported in the Consolidated Schedule of Investments.

For the period ended June 30, 2023, the effect of derivative financial instruments in the Consolidated Statement of Operations was as follows:

 

		Commodity Contracts				Credit Contracts				Equity Contracts				Foreign Currency Exchange Contracts				Interest Rate Contracts				Other Contracts				Total
Net Realized Gain (Loss) from:
Futures contracts		$	—			$	—			$	(6,169,515	)		$	—			$	(3,725,612	)		$	—			$	(9,895,127	)
Forward foreign currency exchange contracts			—				—				—				(1,335,978	)			—				—				(1,335,978	)
Options purchased(a)			—				(56,061	)			(765,449	)			134,982				(474,618	)			(181,496	)			(1,342,642	)
Options written			—				9,173				4,730,734				(56,037	)			2,655,035				—				7,338,905
Swaps			—				6,306,654				753,908				—				(3,882,899	)			—				3,177,663
		$	—			$	6,259,766			$	(1,450,322	)		$	(1,257,033	)		$	(5,428,094	)		$	(181,496	)		$	(2,057,179	)

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		39

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Consolidated Schedule of Investments  (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

		Commodity Contracts				Credit Contracts				Equity Contracts				Foreign Currency Exchange Contracts				Interest Rate Contracts				Other Contracts				Total
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts		$	7,852			$	—			$	(3,550,994	)		$	—			$	(2,472,239	)		$	—			$	(6,015,381	)
Forward foreign currency exchange contracts			—				—				—				5,339,835				—				—				5,339,835
Options purchased(b)			—				(34,572	)			1,878,712				(8,502	)			(3,013,663	)			—				(1,178,025	)
Options written			—				6,861				(244,459	)			62,483				5,046,397				—				4,871,282
Swaps			—				(2,999,192	)			871,713				—				(2,558,840	)			(11,053	)			(4,697,372	)
		$	7,852			$	(3,026,903	)		$	(1,045,028	)		$	5,393,816			$	(2,998,345	)		$	(11,053	)		$	(1,679,661	)

 

(a)

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

(b)

Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated.

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:
Average notional value of contracts — long		$	363,590,919
Average notional value of contracts — short		$	512,683,291
Forward foreign currency exchange contracts:
Average amounts purchased — in USD		$	450,004,146
Average amounts sold — in USD		$	56,334,233
Options:
Average value of option contracts purchased		$	6,339,711
Average value of option contracts written		$	2,904,256
Average notional value of swaption contracts purchased		$	176,513,827
Average notional value of swaption contracts written		$	683,134,982
Credit default swaps:
Average notional value — buy protection		$	8,318,156
Average notional value — sell protection		$	41,285,677
Interest rate swaps:
Average notional value — pays fixed rate		$	625,350,786
Average notional value — receives fixed rate		$	1,355,720,298
Inflation swaps:
Average notional value — receives fixed rate		$	1,550,186
Total return swaps:
Average notional value		$	18,586,351

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

		Assets				Liabilities
Derivative Financial Instruments
Futures contracts		$	828,791			$	1,556,547
Forward foreign currency exchange contracts			3,146,529				4,289,790
Options			5,815,253	(a)			5,181,400
Swaps — centrally cleared			—				78,757
Swaps — OTC(b)			1,665,295				687,757
Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities			11,455,868				11,794,251
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)			(6,113,283	)			(2,918,322)
Total derivative assets and liabilities subject to an MNA		$	5,342,585			$	8,875,929

 

(a)

Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statement of Assets and Liabilities and reported in the Consolidated Schedule of Investments.

(b)

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Consolidated Statement of Assets and Liabilities.

 

 

40		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments  (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:

 

Counterparty			Derivative Assets Subject to an MNA by Counterparty				Derivatives Available for Offset	(a)			Non-Cash Collateral Received				Cash Collateral Received	(b)			Net Amount of Derivative Assets	(c)(d)
Bank of America N.A.		$	367,479			$	(232,041	)		$	—			$	—			$	135,438
Barclays Bank PLC			2,220,388				—				—				—				2,220,388
BNP Paribas SA			42,909				(550	)			—				—				42,359
Citibank N.A.			352,075				(352,075	)			—				—				—
Deutsche Bank AG			275,860				(71,481	)			—				—				204,379
Goldman Sachs International			113,770				(113,770	)			—				—				—
HSBC Bank PLC			19,822				(2,764	)			—				—				17,058
JPMorgan Chase Bank N.A.			742,830				(742,830	)			—				—				—
Morgan Stanley & Co. International PLC			1,099,820				(645,950	)			—				(453,870	)			—
State Street Bank and Trust Co.			107,632				(91,321	)			—				—				16,311
		$	5,342,585			$	(2,252,782	)		$	—			$	(453,870	)		$	2,635,933
Counterparty			Derivative Liabilities Subject to an MNA by Counterparty				Derivatives Available for Offset	(a)			Non-Cash Collateral Pledged				Cash Collateral Pledged				Net Amount of Derivative Liabilities	(c)(e)
Bank of America N.A.		$	232,041			$	(232,041	)		$	—			$	—			$	—
BNP Paribas SA			550				(550	)			—				—				—
Citibank N.A.			1,370,896				(352,075	)			—				(880,000	)			138,821
Deutsche Bank AG			71,481				(71,481	)			—				—				—
Goldman Sachs International			1,506,681				(113,770	)			—				(790,000	)			602,911
HSBC Bank PLC			2,764				(2,764	)			—				—				—
JPMorgan Chase Bank N.A.			4,949,610				(742,830	)			—				(980,000	)			3,226,780
Morgan Stanley & Co. International PLC			645,950				(645,950)				—				—				—
State Street Bank and Trust Co.			91,321				(91,321	)			—				—				—
UBS AG			4,635				—				—				—				4,635
		$	8,875,929			$	(2,252,782	)		$	—			$	(2,650,000	)		$	3,973,147

 

(a)

The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.

(b)

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

(c)

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

(d)

Net amount represents the net amount receivable from the counterparty in the event of default.

(e)

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

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Consolidated Financial Statements.

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

 

		Level 1				Level 2				Level 3				Total
Assets
Investments
Long-Term Investments
Asset-Backed Securities		$	—			$	148,863,004			$	10,257,333			$	159,120,337
Common Stocks
Australia			—				6,060,101				—				6,060,101
Canada			23,805,176				—				—				23,805,176
Cayman Islands			301,594				—				—				301,594
China			—				5,100,189				—				5,100,189
France			—				49,649,954				—				49,649,954

 

 

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Consolidated Schedule of Investments  (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

Fair Value Hierarchy as of Period End (continued)

 

		Level 1				Level 2				Level 3				Total
Common Stocks (continued)
Germany		$	971,351			$	31,993,838			$	—			$	32,965,189
Hong Kong			—				5,163,258				—				5,163,258
India			—				—				1,666,907				1,666,907
Israel			8,296,550				—				—				8,296,550
Italy			5,028,567				3,562,170				—				8,590,737
Japan			—				57,746,871				—				57,746,871
Netherlands			575,602				48,224,761				—				48,800,363
South Korea			—				4,750,553				—				4,750,553
Spain			—				11,432,291				—				11,432,291
Switzerland			9,777,981				25,061,697				—				34,839,678
Taiwan			6,997,894				—				—				6,997,894
United Kingdom			4,068,978				40,319,353				819,138				45,207,469
United States			579,180,467				10,164,495				12,305,527				601,650,489
Corporate Bonds			—				234,059,116				52,861,557				286,920,673
Fixed Rate Loan Interests			—				—				6,311,138				6,311,138
Floating Rate Loan Interests			—				47,117,569				59,845,921				106,963,490
Foreign Agency Obligations			—				77,698,031				—				77,698,031
Investment Companies			24,628,891				—				—				24,628,891
Municipal Bonds			—				2,848,666				—				2,848,666
Non-Agency Mortgage-Backed Securities			—				86,842,929				10,659,955				97,502,884
Other Interests			—				—				5,057,600				5,057,600
Preferred Securities
Capital Trust			—				480,379				—				480,379
Preferred Stocks			—				5,047,411				66,523,788				71,571,199
U.S. Government Sponsored Agency Securities			—				160,517,995				—				160,517,995
Warrants
Cayman Islands			18,493				—				—				18,493
Israel			716				—				135,712				136,428
United States			123,487				27,685				805,244				956,416
Short-Term Securities
Certificates of Deposit			—				2,935,667				—				2,935,667
Commercial Paper			—				771,860				—				771,860
Money Market Funds			47,815,406				—				—				47,815,406
Options Purchased
Credit Contracts			—				7,819				—				7,819
Equity Contracts			5,284,492				55,918				—				5,340,410
Foreign Currency Exchange Contracts			—				128,992				—				128,992
Interest Rate Contracts			—				338,032				—				338,032
Unfunded Floating Rate Loan Interests(a)			—				—				4,404				4,404
Liabilities
Unfunded Floating Rate Loan Interests(a)			—				(3,226	)			(6,649	)			(9,875	)
		$	716,875,645			$	1,066,967,378			$	227,247,575				2,011,090,598
Investments Valued at NAV(b)															4,457,660
														$	2,015,548,258
Derivative Financial Instruments(c)
Assets
Commodity Contracts		$	7,852			$	—			$	—			$	7,852
Credit Contracts			—				16,182				—				16,182
Equity Contracts			—				265,464				—				265,464
Foreign Currency Exchange Contracts			—				3,146,529				—				3,146,529
Interest Rate Contracts			5,576,301				20,367,818				—				25,944,119
Liabilities
Credit Contracts			—				(877,970	)			—				(877,970	)
Equity Contracts			(1,904,462	)			(188,133	)			—				(2,092,595	)
Foreign Currency Exchange Contracts			—				(4,318,793	)			—				(4,318,793	)

 

 

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Consolidated Schedule of Investments  (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

Fair Value Hierarchy as of Period End (continued)

		Level 1				Level 2				Level 3				Total
Derivative Financial Instruments(c)
Interest Rate Contracts		$	(1,709,794	)		$	(39,379,850	)		$	—			$	(41,089,644	)
Other Contracts			—				(24,092	)			—				(24,092	)
		$	1,969,897			$	(20,992,845	)		$	—			$	(19,022,948	)

 

(a)

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

(b)

Certain investments of the Trust were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

(c)

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

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

 

		Asset-Backed Securities				Common Stocks				Corporate Bonds				Fixed Rate Loan Interests				Floating Rate Loan Interests				Non-Agency Mortgage-Backed Securities				Options Purchased
Assets
Opening balance, as of December 31, 2022		$	11,817,455			$	27,126,641			$	36,101,303			$	—			$	80,651,617			$	10,549,081			$	23,343
Transfers into Level 3			—				—				—				—				3,373,416				3,324,346				—
Transfers out of Level 3			(1,024,116	)			(111,445	)			—				—				(2,184,857	)			(866,700	)			—
Other(a)			—				(8,415,167	)			8,754,728				7,083,981				(15,838,709	)			—				—
Accrued discounts/premiums			2,962				—				103,706				20,384				61,613				46,176				—
Net realized gain (loss)			8,756				—				8,765				26,780				(353,714	)			(202,487	)			(43,332	)
Net change in unrealized appreciation (depreciation)(b)(c)			222,342				(4,007,958	)			(272,326	)			68,428				1,187,825				(458,649	)			19,989
Purchases			—				199,501				9,536,138				—				3,957,396				—				—
Sales			(770,066	)			—				(1,370,757	)			(888,435	)			(11,008,666	)			(1,731,812	)			—
Closing balance, as of June 30, 2023		$	10,257,333			$	14,791,572			$	52,861,557			$	6,311,138			$	59,845,921			$	10,659,955			$	—
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(c)		$	222,342			$	(4,007,958	)		$	(272,326	)		$	68,428			$	801,213			$	(681,270	)		$	(1,011,984	)

 

		Other Interests				Preferred Stocks				Unfunded Floating Rate Loan Interests				Warrants				Total
Assets
Opening balance, as of December 31, 2022		$	6,069,584			$	56,384,367			$	—			$	957,038			$	229,680,429
Transfers into Level 3			—				—				—				—				6,697,762
Transfers out of Level 3			—				—				—				(7,361	)			(4,194,479	)
Other(a)			—				8,415,167				—				—				—
Accrued discounts/premiums			—				—				—				—				234,841
Net realized gain (loss)			—				—				—				—				(555,232	)
Net change in unrealized appreciation (depreciation)(b)(c)			(1,011,984	)			(416,346	)			(2,245	)			(8,721	)			(4,679,645	)
Purchases			—				2,140,600				—				—				15,833,635
Sales			—				—				—				—				(15,769,736	)
Closing balance, as of June 30, 2023		$	5,057,600			$	66,523,788			$	(2,245	)		$	940,956			$	227,247,575
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(c)		$	(416,346	)		$	(2,245	)		$	(8,721	)		$	(5,308,866	)		$	(10,617,733	)

 

(a)

Certain Level 3 investments were re-classified between Common Stocks, Corporate Bonds, Floating Rate Loan Interests and Preferred Stocks.

(b)

Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations.

(c)

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023 is generally due to investments no longer held or categorized as Level 3 at period end.

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Valuation Committee (the “Valuation Committee”) to determine the value of certain of the Trust’s Level 3 financial instruments as of period end. The table does not include Level 3 financial instruments with values based upon

 

 

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Consolidated Schedule of Investments  (unaudited) (continued) June 30, 2023		BlackRock Capital Allocation Term Trust (BCAT)

 

unadjusted third-party pricing information in the amount of $28,730,726. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.

 

Value

Valuation Approach

Unobservable Inputs

Range of Unobservable Inputs Utilized

(a)

Weighted Average of Unobservable Inputs Based on Fair Value

Assets

Common Stocks

$

17,994,364

Market

Revenue Multiple

1.80x - 23.00x

7.84x

Volatility

51% - 58%

55%

Time to Exit

1.4 -1.6 years

1.5 years

Gross Profit Multiple

18.00x

—

Asset Backed Securities

6,426,553

Income

Discount Rate

9% - 9%

9%

Corporate Bonds

45,562,295

Income

Discount Rate

8% - 35%

15%

Floating Rate Loan Interests

53,667,130

Income

Discount Rate

10% - 15%

12%

Credit Spread

399 - 421

408

Fixed Rate Loan Interest

6,311,138

Income

Discount Rate

13%

—

Credit Spread

819

—

Other Interests

5,057,600

Income

Discount Rate

8% - 10%

9%

Preferred Stocks

62,556,814

Market

Revenue Multiple

0.21x - 29.00x

11.37x

Volatility

49% - 90%

69%

Time to Exit

1.5 -5.0 years

3.2 years

Market Adjustment Multiple

1.10x

—

EBITDAR Multiple

7.50x

—

Gross Profit Multiple

7.50x

—

Discount Rate

13% - 15%

13%

Warrants

940,955

Market

Revenue Multiple

3.75x - 29.00x

12.35x

Volatility

44% - 60%

57%

Time to Exit

0.5 - 4.3 years

4.0 years

Income

Discount Rate

35%

—

$

198,516,849

 

(a)

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

See notes to consolidated financial statements.

 

 

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Consolidated Schedule of Investments (unaudited) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT) (Percentages shown are based on Net Assets)

 

 

 

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT) (Percentages shown are based on Net Assets)

 

 

 

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT) (Percentages shown are based on Net Assets)

 

 

 

C O N S O L I D A T E D   S C H E D U L E   O F   I N V E S T M E N T S		47

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT) (Percentages shown are based on Net Assets)

 

 

 

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C O N S O L I D A T E D   S C H E D U L E   O F   I N V E S T M E N T S		49

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Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer			Value at 12/31/22				Purchases at Cost				Proceeds from Sales				Net Realized Gain (Loss)				Change in Unrealized Appreciation (Depreciation)				Value at 06/30/23				Shares Held at 06/30/23				Income				Capital Gain Distributions from Underlying Funds
BlackRock Liquidity Funds, T-Fund, Institutional Class		$	5,346,114			$	134,272,293	(a)		$	—			$	—			$	—			$	139,618,407				139,618,407			$	2,537,856			$	—
iShares China Large-Cap ETF(b)			582,272				397,142				(1,079,256	)			163,496				(63,654	)			—				—				—				—
iShares iBoxx $ High Yield Corporate Bond ETF(b)			4,819,673				—				(4,907,458	)			102,514				(14,729	)			—				—				75,920				—
iShares iBoxx $ Investment Grade Corporate Bond ETF			2,649,878				24,462,039				(20,290,049	)			47,010				67,113				6,935,991				64,139				68,036				—
iShares JP Morgan USD Emerging Markets Bond ETF			10,786,409				2,286,204				—				—				190,248				13,262,861				153,257				268,930				—
iShares Russell 2000 ETF			17,436				—				—				—				1,291				18,727				100				114				—
iShares Russell Mid-Cap Growth ETF			—				373,399				—				—				5,004				378,403				3,916				—				—
SL Liquidity Series, LLC, Money Market Series			—				2,171,148	(a)			—				2,550				—				2,173,698				2,173,698				21,556	(c)			—
														$	315,570			$	185,273			$	162,388,087							$	2,972,412			$	—

 

(a)

Represents net amount purchased (sold).

(b)

As of period end, the entity is no longer held.

(c)

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

 

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description		Number of Contracts				Expiration Date				Notional Amount (000)				Value/ Unrealized Appreciation (Depreciation)
Long Contracts
Euro Bund			120				09/07/23			$	17,512			$	(90,473	)
Euro Stoxx 50 Index			137				09/15/23				6,626				128,724
Euro Stoxx Banks Index			93				09/15/23				549				21,552
MSCI Emerging Markets Index			4				09/15/23				200				(1,844	)
NASDAQ 100 E-Mini Index			176				09/15/23				53,986				1,238,772
S&P 500 E-Mini Index			358				09/15/23				80,340				1,707,066
U.S. Long Bond			37				09/20/23				4,704				(5,846	)
Long Gilt			34				09/27/23				4,115				(48,827	)
2-Year U.S. Treasury Note			806				09/29/23				163,933				(1,722,993	)
5-Year U.S. Treasury Note			737				09/29/23				78,963				(984,424	)
Carbon Emissions(a)			3				12/18/23				292				7,852
															249,559
Short Contracts
Russell 2000 E-Mini Index			70				09/15/23				6,663				(61,099	)
10-Year U.S. Treasury Note			1,094				09/20/23				122,870				2,197,046
10-Year U.S. Ultra Long Treasury Note			738				09/20/23				87,476				977,720
Ultra U.S. Treasury Bond			164				09/20/23				22,340				(90,202	)
															3,023,465
														$	3,273,024

 

(a)

All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary.

Forward Foreign Currency Exchange Contracts

 

Currency Purchased						Currency Sold						Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
BRL			52,066,611			USD			10,417,698			Barclays Bank PLC		09/20/23		$	307,403
EUR			272,461			USD			297,396			Standard Chartered Bank		09/20/23			1,050
GBP			1,111,826			USD			1,402,987			Deutsche Bank AG		09/20/23			9,333
MXN			53,372,793			USD			3,063,680			Citibank N.A.		09/20/23			9,413
MXN			128,119,196			USD			7,265,693			Citibank N.A.		09/20/23			111,141
USD			5,941,595			AUD			8,770,944			UBS AG		09/20/23			86,226
USD			555,757			CHF			492,808			UBS AG		09/20/23			714
USD			952,136			EUR			869,066			Standard Chartered Bank		09/20/23			184
USD			2,249,908			EUR			2,052,000			Standard Chartered Bank		09/20/23			2,203
USD			39,208,927			EUR			35,760,000			Standard Chartered Bank		09/20/23			38,399
USD			442,056			GBP			347,418			Barclays Bank PLC		09/20/23			741
USD			562,131			GBP			440,098			JPMorgan Chase Bank N.A.		09/20/23			3,087
USD			666,568			GBP			524,307			Societe Generale		09/20/23			557
USD			639,260			GBP			503,023			Standard Chartered Bank		09/20/23			285
USD			10,537,126			HKD			82,315,726			Barclays Bank PLC		09/20/23			13,954
USD			589,032			JPY			80,631,482			Bank of America N.A.		09/20/23			23,536
USD			2,470,483			JPY			339,220,267			Bank of America N.A.		09/20/23			91,416
USD			23,309,689			JPY			3,202,709,321			Bank of America N.A.		09/20/23			847,997
USD			6,538,140			JPY			905,342,080			Barclays Bank PLC		09/20/23			188,667
USD			562,393			JPY			79,692,343			BNP Paribas SA		09/20/23			3,484
USD			309,245			JPY			42,548,926			Societe Generale		09/20/23			10,835
USD			1,682,651			JPY			236,394,573			The Bank of New York Mellon		09/20/23			24,735
USD			806,272			JPY			110,666,267			Westpac Banking Corp.		09/20/23			30,131
USD			25,897,216			KRW			33,384,000,000			UBS AG		09/20/23			457,038
																	2,262,529
AUD			303,090			USD			205,620			Deutsche Bank AG		09/20/23			(3,281	)
EUR			473,923			USD			520,450			JPMorgan Chase Bank N.A.		09/20/23			(1,327	)
GBP			330,495			USD			421,788			JPMorgan Chase Bank N.A.		09/20/23			(1,969	)

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		55

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

Forward Foreign Currency Exchange Contracts (continued)

Currency Purchased						Currency Sold						Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
GBP			495,728			USD			631,416			UBS AG		09/20/23		$	(1,707	)
JPY			972,585,425			USD			7,078,971			Standard Chartered Bank		09/20/23			(257,898	)
USD			1,256,968			CAD			1,677,158			Bank of America N.A.		09/20/23			(10,569	)
USD			552,554			CHF			492,769			Bank of America N.A.		09/20/23			(2,445	)
USD			20,586,177			CHF			18,518,419			Goldman Sachs International		09/20/23			(270,834	)
USD			773,534			CHF			688,202			UBS AG		09/20/23			(1,577	)
USD			51,319			DKK			353,233			Deutsche Bank AG		09/20/23			(693	)
USD			190,292			EUR			173,863			JPMorgan Chase Bank N.A.		09/20/23			(153	)
USD			1,213,311			EUR			1,107,764			Societe Generale		09/20/23			(103	)
USD			2,095,336			EUR			1,935,041			Societe Generale		09/20/23			(24,255	)
USD			7,522,163			EUR			6,957,609			Societe Generale		09/20/23			(99,012	)
USD			1,737,082			EUR			1,599,127			Standard Chartered Bank		09/20/23			(14,558	)
USD			161,143,090			EUR			149,021,530			The Bank of New York Mellon		09/20/23			(2,091,027	)
USD			1,087,701			GBP			875,023			Bank of America N.A.		09/20/23			(23,814	)
USD			31,084,823			GBP			24,806,537			Standard Chartered Bank		09/20/23			(426,172	)
USD			357,310			GBP			282,791			The Bank of New York Mellon		09/20/23			(1,910	)
USD			2,202,834			JPY			314,302,585			Societe Generale		09/20/23			(1,477	)
USD			800,757			MXN			14,125,219			Deutsche Bank AG		09/20/23			(12,544	)
USD			1,918,366			SEK			20,635,404			Bank of America N.A.		09/20/23			(1,929	)
ZAR			33,712,048			USD			1,816,565			Deutsche Bank AG		09/20/23			(39,214	)
																	(3,288,468	)
																$	(1,025,939	)

Interest Rate Caps/Floors — Purchased

Description		Exercise Rate				Counterparty		Expiration Date				Notional Amount (000)				Value				Premiums Paid (Received)				Unrealized Appreciation (Depreciation)
5Y-30Y CMS Index Cap			0.07	%		Goldman Sachs International			09/27/23				USD 57,825			$	8,511			$	101,194			$	(92,683	)

Exchange-Traded Options Purchased

 

Description		Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Call
InvesCo QQQ Trust, Series 1			318				07/07/23				USD				372.00				USD				11,748			$	59,148
SPDR S&P 500 ETF Trust			240				07/07/23				USD				448.00				USD				10,639				13,560
SPDR S&P 500 ETF Trust			122				07/07/23				USD				438.00				USD				5,408				72,895
SPDR S&P 500 ETF Trust			240				07/14/23				USD				442.00				USD				10,639				106,440
Advanced Micro Devices, Inc.			364				07/21/23				USD				125.00				USD				4,146				41,314
Alphabet, Inc., Class C			832				07/21/23				USD				130.00				USD				10,065				31,200
Alphabet, Inc., Class C			208				07/21/23				USD				125.00				USD				2,516				24,960
Constellation Brands, Inc., Class A			42				07/21/23				USD				260.00				USD				1,034				1,365
Eli Lilly & Co.			27				07/21/23				USD				460.00				USD				1,266				41,175
Hilton Worldwide Holdings, Inc.			104				07/21/23				USD				155.00				USD				1,514				2,600
Intuitive Surgical, Inc.			96				07/21/23				USD				325.00				USD				3,283				208,320
iShares MSCI Japan ETF			758				07/21/23				USD				65.00				USD				4,692				9,475
Kroger Co.			147				07/21/23				USD				50.00				USD				691				809
LVMH Moet Hennessy Louis Vuitton SE			69				07/21/23				EUR				930.00				EUR				5,962				20,856
Marsh & McLennan Cos., Inc.			276				07/21/23				USD				190.00				USD				5,191				56,580
Mastercard, Inc., Class A			174				07/21/23				USD				395.00				USD				6,843				86,130
Merck & Co., Inc.			251				07/21/23				USD				120.00				USD				2,896				10,793
Micron Technology, Inc.			103				07/21/23				USD				62.50				USD				650				22,403
Microsoft Corp.			99				07/21/23				USD				340.00				USD				3,371				70,785
Salesforce, Inc.			250				07/21/23				USD				220.00				USD				5,282				44,000
SPDR S&P Regional Banking ETF			860				07/21/23				USD				45.00				USD				3,511				19,350
Tesla, Inc.			63				07/21/23				USD				260.00				USD				1,649				103,950
Uber Technologies, Inc.			232				07/21/23				USD				42.50				USD				1,002				38,628
UnitedHealth Group, Inc.			42				07/21/23				USD				520.00				USD				2,019				3,465

 

 

56		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

Exchange-Traded Options Purchased (continued)

 

Description		Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Call (continued)
Vinci SA			85				07/21/23				EUR				114.00				EUR				905			$	18,782
Walt Disney Co.			262				07/21/23				USD				95.00				USD				2,339				9,563
Waste Management, Inc.			75				07/21/23				USD				175.00				USD				1,301				11,063
Advanced Micro Devices, Inc.			208				08/18/23				USD				130.00				USD				2,369				58,552
Advanced Micro Devices, Inc.			201				08/18/23				USD				140.00				USD				2,290				29,246
Alphabet, Inc., Class C			483				08/18/23				USD				130.00				USD				5,843				95,151
Amazon.com, Inc.			172				08/18/23				USD				125.00				USD				2,242				170,710
Amazon.com, Inc.			243				08/18/23				USD				135.00				USD				3,168				116,032
Boston Scientific Corp.			219				08/18/23				USD				57.50				USD				1,185				8,213
Boston Scientific Corp.			218				08/18/23				USD				55.00				USD				1,179				27,250
D.R. Horton, Inc.			124				08/18/23				USD				125.00				USD				1,509				44,640
D.R. Horton, Inc.			62				08/18/23				USD				130.00				USD				754				11,625
Delta Air Lines, Inc.			416				08/18/23				USD				48.00				USD				1,978				82,784
First Solar, Inc.			29				08/18/23				USD				210.00				USD				551				16,095
Humana, Inc.			52				08/18/23				USD				465.00				USD				2,325				44,720
JPMorgan Chase & Co.			311				08/18/23				USD				145.00				USD				4,523				131,397
McCormick & Co., Inc.			179				08/18/23				USD				95.00				USD				1,561				4,475
Micron Technology, Inc.			466				08/18/23				USD				72.50				USD				2,941				26,329
Microsoft Corp.			62				08/18/23				USD				330.00				USD				2,111				121,210
Microsoft Corp.			64				08/18/23				USD				340.00				USD				2,179				88,640
Microsoft Corp.			135				08/18/23				USD				355.00				USD				4,597				97,537
NVIDIA Corp.			31				08/18/23				USD				420.00				USD				1,311				84,165
Tesla, Inc.			84				08/18/23				USD				265.00				USD				2,199				168,210
Uber Technologies, Inc.			150				08/18/23				USD				42.50				USD				648				46,125
UnitedHealth Group, Inc.			31				08/18/23				USD				480.00				USD				1,490				50,530
Advanced Micro Devices, Inc.			187				09/15/23				USD				130.00				USD				2,130				79,475
Apple, Inc.			230				09/15/23				USD				195.00				USD				4,461				166,175
Archer-Daniels-Midland Co.			156				09/15/23				USD				82.50				USD				1,179				10,530
Barclays PLC			269				09/15/23				GBP				1.60				GBP				413				15,373
Delta Air Lines, Inc.			268				09/15/23				USD				50.00				USD				1,274				46,364
Eli Lilly & Co.			12				09/15/23				USD				480.00				USD				563				19,320
Ford Motor Co.			361				09/15/23				USD				16.00				USD				546				18,411
General Motors Co.			108				09/15/23				USD				40.00				USD				416				17,604
Microsoft Corp.			360				09/15/23				USD				365.00				USD				12,259				235,800
NVIDIA Corp.			208				09/15/23				USD				430.00				USD				8,799				721,760
United Rentals, Inc.			22				09/15/23				USD				460.00				USD				980				47,740
NVIDIA Corp.			52				12/15/23				USD				440.00				USD				2,200				257,270
																											4,289,067
Put
SPDR S&P 500 ETF Trust			122				07/07/23				USD				438.00				USD				5,408				7,991
SPDR S&P 500 ETF Trust			90				07/14/23				USD				434.00				USD				3,990				8,550
InvesCo QQQ Trust, Series 1			110				07/21/23				USD				350.00				USD				4,064				9,900
NVIDIA Corp.			52				07/21/23				USD				250.00				USD				2,200				234
Alphabet, Inc., Class C			247				08/18/23				USD				120.00				USD				2,988				101,270
Amazon.com, Inc.			206				08/18/23				USD				120.00				USD				2,685				48,204
Apple, Inc.			206				08/18/23				USD				180.00				USD				3,996				35,226
Microsoft Corp.			93				08/18/23				USD				325.00				USD				3,167				58,823
NVIDIA Corp.			31				08/18/23				USD				380.00				USD				1,311				23,405
SPDR S&P 500 ETF Trust			130				08/18/23				USD				425.00				USD				5,763				32,110
SPDR S&P 500 ETF Trust			135				09/15/23				USD				430.00				USD				5,984				67,702
																											393,415
																										$	4,682,482

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		57

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

OTC Options Purchased

 

Description		Counterparty				Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Call
TOPIX Banks Index			BNP Paribas SA				356,336				07/14/23				JPY				218.87				JPY				78,540			$	14,010
TOPIX Banks Index			Goldman Sachs International				593,656				07/14/23				JPY				226.71				JPY				130,848				9,786
TOPIX Banks Index			JPMorgan Chase Bank N.A.				237,795				07/14/23				JPY				227.60				JPY				52,412				3,505
ING Groep NV			Goldman Sachs International				49,280				07/21/23				EUR				12.00				EUR				608				25,989
																														$	53,290

OTC Credit Default Swaptions Purchased

 

Paid by the Trust

Received by the Trust

Expiration Date

Credit Rating(a)

Exercise Price

Notional

Description

Rate/Reference

Rate/Reference

Frequency

Counterparty

Amount (000)(b)

Value

Put

Bought Protection 5-Year Credit Default Swap, 06/20/28

1.00

%

CDX.NA.IG.40.V1

Quarterly

Morgan Stanley & Co. International PLC

07/19/23

N/R

USD 110.00

USD

8,890

$

421

Bought Protection 5-Year Credit Default Swap, 06/20/28

5.00

%

CDX.NA.HY.40.V1

Quarterly

Morgan Stanley & Co. International PLC

07/19/23

N/R

USD 99.50

USD

1,545

765

$

1,186

 

(a)

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

(b)

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

OTC Interest Rate Swaptions Purchased

 

Paid by the Trust

Received by the Trust

Expiration

Exercise

Notional

Description

Rate

Frequency

Rate

Frequency

Counterparty

Date

Rate

Amount (000)

Value

Call

10-Year Interest Rate Swap, 08/11/33

1-Day SOFR, 1.09%

Quarterly

2.85%

Semi- Annual

JPMorgan Chase Bank N.A.

08/09/23

2.85

%

USD

5,729

$

2,024

10-Year Interest Rate Swap, 09/23/33

1-Day SOFR, 1.09%

Quarterly

2.81%

Semi- Annual

Morgan Stanley & Co. International PLC

09/21/23

2.81

USD

3,446

6,741

10-Year Interest Rate Swap, 09/24/33

1-Day SOFR, 1.09%

Quarterly

2.80%

Semi- Annual

Morgan Stanley & Co. International PLC

09/22/23

2.80

USD

1,481

2,874

2-Year Interest Rate Swap, 10/21/23

1-Day SOFR, 1.09%

Quarterly

2.75%

Semi- Annual

Goldman Sachs International

10/19/23

2.75

USD

6,805

13,288

$

24,927

Interest Rate Caps/Floors Sold

 

Description		Exercise Rate				Counterparty				Expiration Date				Notional Amount (000)								Value				Premiums Paid (Received)				Unrealized Appreciation (Depreciation)
5Y-30Y CMS Index Cap			0.57	%			Goldman Sachs International				09/27/23				USD				57,825			$	(1,186	)		$	(29,701	)		$	28,515
5Y-30Y CMS Index Floor			(0.68	%)			Goldman Sachs International				09/27/23				USD				57,825				(84,776	)			(57,826	)			(26,950	)
																						$	(85,962	)		$	(87,527	)		$	1,565

Exchange-Traded Options Written

 

Description		Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Call
Advanced Micro Devices, Inc.			104				07/21/23				USD				110.00				USD				1,185			$	(68,900	)
Advanced Micro Devices, Inc.			104				07/21/23				USD				105.00				USD				1,185				(107,120	)
Micron Technology, Inc.			103				07/21/23				USD				72.50				USD				650				(1,185	)
SPDR S&P Regional Banking ETF			860				07/21/23				USD				48.00				USD				3,511				(5,160	)
Walt Disney Co.			262				07/21/23				USD				105.00				USD				2,339				(1,179	)

 

 

58		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

---

Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

Exchange-Traded Options Written (continued)

 

Description		Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Call (continued)
Advanced Micro Devices, Inc.			201				08/18/23				USD				170.00				USD				2,290			$	(5,829	)
Alphabet, Inc., Class C			261				08/18/23				USD				145.00				USD				3,157				(9,396	)
Amazon.com, Inc.			243				08/18/23				USD				150.00				USD				3,168				(28,674	)
Delta Air Lines, Inc.			416				08/18/23				USD				55.00				USD				1,978				(12,272	)
Dexcom, Inc.			73				08/18/23				USD				140.00				USD				938				(19,527	)
JPMorgan Chase & Co.			311				08/18/23				USD				155.00				USD				4,523				(27,057	)
Micron Technology, Inc.			466				08/18/23				USD				80.00				USD				2,941				(7,223	)
Tesla, Inc.			84				08/18/23				USD				300.00				USD				2,199				(73,080	)
Advanced Micro Devices, Inc.			187				09/15/23				USD				160.00				USD				2,130				(17,484	)
Delta Air Lines, Inc.			268				09/15/23				USD				55.00				USD				1,274				(15,008	)
NVIDIA Corp.			52				12/15/23				USD				530.00				USD				2,200				(115,180	)
SPDR S&P 500 ETF Trust			28				12/15/23				USD				420.00				USD				1,241				(109,969	)
																											(624,243	)
Put
SPDR S&P 500 ETF Trust			90				07/14/23				USD				417.00				USD				3,990				(2,295	)
Eli Lilly & Co.			21				07/21/23				USD				390.00				USD				985				(378	)
InvesCo QQQ Trust, Series 1			110				07/21/23				USD				335.00				USD				4,064				(3,575	)
LVMH Moet Hennessy Louis Vuitton SE			27				07/21/23				EUR				800.00				EUR				2,333				(26,325	)
Uber Technologies, Inc.			259				07/21/23				USD				32.50				USD				1,118				(777	)
Uber Technologies, Inc.			232				07/21/23				USD				37.50				USD				1,002				(1,856	)
Vinci SA			85				07/21/23				EUR				100.00				EUR				905				(7,188	)
Waste Management, Inc.			75				07/21/23				USD				160.00				USD				1,301				(1,125	)
Alphabet, Inc., Class C			247				08/18/23				USD				110.00				USD				2,988				(32,357	)
Amazon.com, Inc.			449				08/18/23				USD				110.00				USD				5,853				(37,491	)
Apple, Inc.			206				08/18/23				USD				170.00				USD				3,996				(15,038	)
D.R. Horton, Inc.			124				08/18/23				USD				105.00				USD				1,509				(8,990	)
D.R. Horton, Inc.			62				08/18/23				USD				110.00				USD				754				(7,905	)
Delta Air Lines, Inc.			312				08/18/23				USD				40.00				USD				1,483				(8,268	)
First Solar, Inc.			29				08/18/23				USD				160.00				USD				551				(7,743	)
Humana, Inc.			31				08/18/23				USD				410.00				USD				1,386				(11,160	)
JPMorgan Chase & Co.			104				08/18/23				USD				125.00				USD				1,513				(4,004	)
Microsoft Corp.			93				08/18/23				USD				300.00				USD				3,167				(19,809	)
NVIDIA Corp.			31				08/18/23				USD				330.00				USD				1,311				(4,604	)
SPDR S&P 500 ETF Trust			130				08/18/23				USD				405.00				USD				5,763				(14,365	)
Uber Technologies, Inc.			150				08/18/23				USD				35.00				USD				648				(5,025	)
Apple, Inc.			115				09/15/23				USD				170.00				USD				2,231				(13,972	)
Archer-Daniels-Midland Co.			156				09/15/23				USD				60.00				USD				1,179				(3,510	)
Barclays PLC			269				09/15/23				GBP				1.35				GBP				413				(7,687	)
Eli Lilly & Co.			12				09/15/23				USD				430.00				USD				563				(7,890	)
Ford Motor Co.			361				09/15/23				USD				13.00				USD				546				(8,123	)
General Motors Co.			108				09/15/23				USD				35.00				USD				416				(8,640	)
Microsoft Corp.			240				09/15/23				USD				300.00				USD				8,173				(76,200	)
SPDR S&P 500 ETF Trust			135				09/15/23				USD				400.00				USD				5,984				(26,325	)
United Rentals, Inc.			22				09/15/23				USD				400.00				USD				980				(22,990	)
NVIDIA Corp.			52				12/15/23				USD				310.00				USD				2,200				(47,710	)
																											(443,325	)
																										$	(1,067,568	)

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		59

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

OTC Options Written

 

Description		Counterparty				Number of Contracts				Expiration Date				Exercise Price								Notional Amount (000)								Value
Call
ING Groep NV			Goldman Sachs International				49,280				07/21/23				EUR				13.00				EUR				609			$	(3,619	)
Put
TOPIX Banks Index			BNP Paribas SA				356,336				07/14/23				JPY				175.10				JPY				78,540				(4	)
TOPIX Banks Index			Goldman Sachs International				593,656				07/14/23				JPY				181.37				JPY				130,848				(30	)
TOPIX Banks Index			JPMorgan Chase Bank N.A.				237,795				07/14/23				JPY				182.07				JPY				52,412				(14	)
ING Groep NV			Goldman Sachs International				49,280				07/21/23				EUR				10.00				EUR				609				(750	)
																															(798	)
																														$	(4,417	)

OTC Credit Default Swaptions Written

 

Paid by the Trust

Received by the Trust

Expiration Date

Credit Rating(a)

Exercise Price

Notional

Description

Rate/Reference

Rate/Reference

Frequency

Counterparty

Amount (000)(b)

Value

Put

Sold Protection 5-Year Credit Default Swap, 06/20/28

CDX.NA.IG.40.V1

1.00

%

Quarterly

Morgan Stanley & Co. International PLC

07/19/23

N/R

USD

140.00

USD

8,890

$

(274

)

 

(a)

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

(b)

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

OTC Interest Rate Swaptions Written

 

		Paid by the Trust								Received by the Trust										Expiration				Exercise								Notional
Description		Rate				Frequency				Rate				Frequency				Counterparty		Date				Rate				Amount (000)								Value
Call
10-Year Interest Rate Swap, 07/12/33			2.67	%			Semi-Annual				1-Day SOFR, 1.09	%			Quarterly			UBS AG			07/10/23				2.67	%			USD				20,000			$	—
10-Year Interest Rate Swap, 08/11/33			2.55	%			Semi-Annual				1-Day SOFR, 1.09	%			Quarterly			JPMorgan Chase Bank N.A.			08/09/23				2.55				USD				5,729				(382	)
2-Year Interest Rate Swap, 10/21/23			2.45	%			Semi-Annual				1-Day SOFR, 1.09	%			Quarterly			Goldman Sachs International			10/19/23				2.45				USD				6,805				(7,071	)
																																					(7,453	)
Put
10-Year Interest Rate Swap, 07/12/33			1-Day SOFR, 1.09	%			Quarterly				3.67	%			Semi-Annual			UBS AG			07/10/23				3.67				USD				20,000				(45,045	)
5-Year Interest Rate Swap, 08/09/28			1-Day SOFR, 1.09	%			Quarterly				3.90	%			Semi-Annual			Deutsche Bank AG			08/07/23				3.90				USD				70,000				(490,010	)
2-Year Interest Rate Swap, 08/11/25			1-Day SOFR, 1.09	%			Quarterly				4.10	%			Semi-Annual			JPMorgan Chase Bank N.A.			08/09/23				4.10				USD				24,051				(301,366	)
5-Year Interest Rate Swap, 08/16/28			1-Day SOFR, 1.09	%			Quarterly				4.00	%			Semi-Annual			Morgan Stanley & Co. International PLC			08/14/23				4.00				USD				35,000				(193,018	)
5-Year Interest Rate Swap, 08/19/28			1-Day SOFR, 1.09	%			Quarterly				4.10	%			Semi-Annual			Bank of America N.A.			08/17/23				4.10				USD				35,000				(143,606	)
10-Year Interest Rate Swap, 10/04/33			1-Day SOFR, 1.09	%			Quarterly				3.93	%			Semi-Annual			Goldman Sachs International			10/02/23				3.93				USD				11,856				(70,578	)
10-Year Interest Rate Swap, 10/15/33			1-Day SOFR, 1.09	%			Quarterly				3.50	%			Semi-Annual			Goldman Sachs International			10/13/23				3.50				USD				8,153				(154,045	)
2-Year Interest Rate Swap, 10/15/25			1-Day SOFR, 1.09	%			Quarterly				4.25	%			Semi-Annual			Citibank N.A.			10/13/23				4.25				USD				35,329				(347,519	)
2-Year Interest Rate Swap, 10/18/25			1-Day SOFR, 1.09	%			Quarterly				4.05	%			Semi-Annual			Goldman Sachs International			10/16/23				4.05				USD				18,381				(231,190	)
2-Year Interest Rate Swap, 10/19/25			1-Day SOFR, 1.09	%			Quarterly				4.25	%			Semi-Annual			Citibank N.A.			10/17/23				4.25				USD				16,308				(161,017	)

 

 

60		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

OTC Interest Rate Swaptions Written (continued)

 

		Paid by the Trust								Received by the Trust										Expiration				Exercise								Notional
Description		Rate				Frequency				Rate				Frequency				Counterparty		Date				Rate				Amount (000)								Value
Put (continued)
2-Year Interest Rate Swap, 10/21/23			1-Day SOFR, 1.09	%			Quarterly				3.30	%			Semi-Annual			Goldman Sachs International			10/19/23				3.30	%			USD				3,403			$	(15,431	)
5-Year Interest Rate Swap, 03/29/29			1-Day SOFR, 1.09	%			Quarterly				3.79	%			Semi-Annual			JPMorgan Chase Bank N.A.			03/27/24				3.79				USD				17,015				(246,496	)
																																					(2,399,321	)
																																				$	(2,406,774	)

Centrally Cleared Credit Default Swaps — Buy Protection

 

Reference Obligation/Index			Financing Rate Paid by the Trust				Payment Frequency				Termination Date			Notional Amount (000)							Value				Upfront Premium Paid (Received)				Unrealized Appreciation (Depreciation)
iTraxx.XO.38.V1			5.00	%			Quarterly				12/20/27			EUR			842			$	(46,063	)		$	(12,664	)		$	(33,399	)

Centrally Cleared Interest Rate Swaps

 

Paid by the Trust								Received by the Trust						Effective Date				Termination Date				Notional Amount (000)				Value				Upfront Premium Paid (Received)				Unrealized Appreciation (Depreciation)
Rate				Frequency				Rate		Frequency
1-Day SOFR, 1.09%					Monthly			4.50%			Monthly				N/A				03/09/24			USD	85,272			$	(684,455	)		$	192			$	(684,647	)
28-Day MXIBTIIE, 11.50%					Monthly			9.78%			Monthly				N/A				02/04/25			MXN	46,651				(17,212	)			8				(17,220	)
28-Day MXIBTIIE, 11.50%					Monthly			9.79%			Monthly				N/A				02/04/25			MXN	23,326				(8,403	)			4				(8,407	)
28-Day MXIBTIIE, 11.50%					Monthly			9.80%			Monthly				N/A				02/04/25			MXN	23,326				(8,099	)			4				(8,103	)
28-Day MXIBTIIE, 11.50%					Monthly			9.95%			Monthly				N/A				02/07/25			MXN	510,185				(102,512	)			96				(102,608	)
1-Day SOFR, 1.09%					Annual			4.03%			Annual				N/A				03/10/25			USD	86,623				(1,596,415	)			326				(1,596,741	)
1-Day SOFR, 1.09%					Annual			3.47%			Annual				03/10/25	(a)			03/10/27			USD	4,700				3,712				21				3,691
1-Day SONIA, 4.93%					Annual			4.86%			Annual				N/A				06/20/28			GBP	6,370				(83,996	)			(16	)			(83,980	)
2.60%					Annual			1-Day SOFR, 1.09%			Annual				N/A				05/26/32			USD	2,250				173,010				32				172,978
1-Day SOFR, 1.09%					Annual			3.20%			Annual				N/A				11/28/32			USD	10,016				(384,159	)			153				(384,312	)
1-Day SOFR, 1.09%					Annual			3.14%			Annual				05/12/28	(a)			05/12/33			USD	6,701				430				62				368
																										$	(2,708,099	)		$	882			$	(2,708,981	)

 

(a)

Forward Swap.

OTC Interest Rate Swaps

 

		Paid by the Trust						Received by the Trust								Effective Date		Termination Date				Notional Amount (000)				Value				Upfront Premium Paid (Received)				Unrealized Appreciation (Depreciation)
		Rate				Frequency		Rate		Frequency				Counterparty
		1-Day BZDIOVER, 3.34%				Monthly		12.78%			Monthly			Morgan Stanley & Co. International PLC		N/A			01/02/25			BRL	136,435			$	753,484			$	—			$	753,484
		1-Day BZDIOVER, 3.34%				Monthly		13.15%			Monthly			JPMorgan Chase Bank N.A.		N/A			01/02/25			BRL	7,068				48,931				—				48,931
		1-Day BZDIOVER, 3.34%				Monthly		13.18%			Monthly			JPMorgan Chase Bank N.A.		N/A			01/02/25			BRL	7,065				49,656				—				49,656
		1-Day BZDIOVER, 3.34%				Monthly		13.22%			Monthly			Citibank N.A.		N/A			01/02/25			BRL	3,716				26,732				—				26,732
																										$	878,803			$	—			$	878,803

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		61

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

OTC Total Return Swaps

 

Paid by the Trust

Received by the Trust

Effective Date

Termination Date

Notional Amount (000)

Value

Upfront Premium Paid (Received)

Unrealized Appreciation (Depreciation)

Rate/Reference

Frequency

Rate/Reference

Frequency

Counterparty

SPDR S&P Regional Banking ETF

Monthly

1-Day SOFR minus   0.40%, 1.09%

Monthly

BNP Paribas SA

N/A

09/15/23

USD

141

$

8,084

$

—

$

8,084

SPDR S&P Regional Banking ETF

Monthly

1-Day SOFR minus 0.40%, 1.09%

Monthly

BNP Paribas SA

N/A

09/15/23

USD

142

8,194

—

8,194

$

16,278

$

—

$

16,278

Balances Reported in the Consolidated Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written

 

Description		Swap Premiums Paid				Swap Premiums Received				Unrealized Appreciation				Unrealized Depreciation				Value
Centrally Cleared Swaps(a)		$	898			$	(12,680	)		$	177,037			$	(2,919,417	)		$	—
OTC Swaps			—				—				895,081				—				—
Options Written			N/A				N/A				1,276,830				(1,187,009	)			(3,564,995	)

 

(a)

Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

Derivative Financial Instruments Categorized by Risk Exposure

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

 

		Commodity Contracts				Credit Contracts				Equity Contracts				Foreign Currency Exchange Contracts				Interest Rate Contracts				Other Contracts				Total
Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts(a)		$	7,852			$	—			$	3,096,114			$	—			$	3,174,766			$	—			$	6,278,732
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts			—				—				—				2,262,529				—				—				2,262,529
Options purchased
Investments at value — unaffiliated(b)			—				1,186				4,735,772				—				33,438				—				4,770,396
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps(a)			—				—				—				—				177,037				—				177,037
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid			—				—				16,278				—				878,803				—				895,081
		$	7,852			$	1,186			$	7,848,164			$	2,262,529			$	4,264,044			$	—			$	14,383,775
Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts(a)		$	—			$	—			$	62,943			$	—			$	2,942,765			$	—			$	3,005,708
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts			—				—				—				3,288,468				—				—				3,288,468
Options written
Options written at value			—				274				1,071,985				—				2,492,736				—				3,564,995
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps(a)			—				33,399				—				—				2,886,018				—				2,919,417
		$	—			$	33,673			$	1,134,928			$	3,288,468			$	8,321,519			$	—			$	12,778,588

 

(a)

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

(b)

Includes options purchased at value as reported in the Consolidated Schedule of Investments.

 

 

62		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

For the period ended June 30, 2023, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:

 

		Commodity Contracts				Credit Contracts				Equity Contracts				Foreign Currency Exchange Contracts				Interest Rate Contracts				Other Contracts				Total
Net Realized Gain (Loss) from:
Futures contracts		$	—			$	—			$	17,971,682			$	—			$	(1,302,793	)		$	—			$	16,668,889
Forward foreign currency exchange contracts			—				—				—				3,920,425				—				—				3,920,425
Options purchased(a)			—				—				2,948,086				(7,609	)			376,931				(172,187	)			3,145,221
Options written			—				—				3,324,841				(41,859	)			(142,652	)			—				3,140,330
Swaps			—				693,137				(658,973	)			—				1,302,099				—				1,336,263
		$	—			$	693,137			$	23,585,636			$	3,870,957			$	233,585			$	(172,187	)		$	28,211,128
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts		$	7,852			$	—			$	8,494,417			$	—			$	(1,806,231	)		$	—			$	6,696,038
Forward foreign currency exchange contracts			—				—				—				(868,431	)			—				—				(868,431	)
Options purchased(b)			—				(14,350	)			520,956				—				(255,936	)			—				250,670
Options written			—				5,060				(266,692	)			—				459,336				—				197,704
Swaps			—				(435,960	)			1,272,389				—				(1,694,509	)			—				(858,080	)
		$	7,852			$	(445,250	)		$	10,021,070			$	(868,431	)		$	(3,297,340	)		$	—			$	5,417,901

 

(a)

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

(b)

Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated.

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:
Average notional value of contracts — long		$	351,303,521
Average notional value of contracts — short		$	220,558,041
Forward foreign currency exchange contracts:
Average amounts purchased — in USD		$	349,010,318
Average amounts sold — in USD		$	46,618,123
Options:
Average value of option contracts purchased		$	5,345,125
Average value of option contracts written		$	2,304,954
Average notional value of swaption contracts purchased		$	29,986,032
Average notional value of swaption contracts written		$	318,289,557
Credit default swaps:
Average notional value — buy protection		$	6,230,324
Average notional value — sell protection		$	—	(a)
Interest rate swaps:
Average notional value — pays fixed rate		$	2,249,588
Average notional value — receives fixed rate		$	259,710,874
Total return swaps:
Average notional value		$	26,713,844

 

(a)

Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period.

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

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		63

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

Derivative Financial Instruments — Offsetting as of Period End

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

 

		Assets				Liabilities
Derivative Financial Instruments
Futures contracts		$	2,075,276			$	694,273
Forward foreign currency exchange contracts			2,262,529				3,288,468
Options			4,770,396	(a)			3,564,995
Swaps — centrally cleared			20,470				—
Swaps — OTC(b)			895,081				—
Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities			10,023,752				7,547,736
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)			(6,778,228	)			(1,761,841	)
Total derivative assets and liabilities subject to an MNA		$	3,245,524			$	5,785,895

 

(a)

Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statements of Assets and Liabilities and reported in the Consolidated Schedule of Investments.

(b)

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Consolidated Statements of Assets and Liabilities.

The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Trust:

 

Counterparty			Derivative Assets Subject to an MNA by Counterparty				Derivatives Available for Offset	(a)			Non-Cash Collateral Received				Cash Collateral Received				Net Amount of Derivative Assets	(b)(c)
Bank of America N.A		$	962,949			$	(182,363	)		$	—			$	(420,000	)		$	360,586
Barclays Bank PLC			510,765				—				—				—				510,765
BNP Paribas SA			33,772				(4	)			—				—				33,768
Citibank N.A			147,286				(147,286	)			—				—				—
Deutsche Bank AG			9,333				(9,333	)			—				—				—
Goldman Sachs International			57,574				(57,574	)			—				—				—
JPMorgan Chase Bank N.A			107,203				(107,203	)			—				—				—
Morgan Stanley & Co. International PLC			764,285				(193,292	)			—				—				570,993
Societe Generale			11,392				(11,392	)			—				—				—
Standard Chartered Bank			42,121				(42,121	)			—				—				—
The Bank of New York Mellon			24,735				(24,735	)			—				—				—
UBS AG			543,978				(48,329	)			—				—				495,649
Westpac Banking Corp.			30,131				—				—				—				30,131
		$	3,245,524			$	(823,632	)		$	—			$	(420,000	)		$	2,001,892

 

Counterparty			Derivative Liabilities Subject to an MNA by Counterparty				Derivatives Available for Offset	(a)			Non-Cash Collateral Pledged				Cash Collateral Pledged	(d)			Net Amount of Derivative Liabilities	(b)(e)
Bank of America N.A		$	182,363			$	(182,363	)		$	—			$	—			$	—
BNP Paribas SA			4				(4	)			—				—				—
Citibank N.A			508,536				(147,286	)			—				(361,250	)			—
Deutsche Bank AG			545,742				(9,333	)			—				—				536,409
Goldman Sachs International			839,510				(57,574	)			—				(410,000	)			371,936
JPMorgan Chase Bank N.A			551,707				(107,203	)			—				(310,000	)			134,504
Morgan Stanley & Co. International PLC			193,292				(193,292	)			—				—				—
Societe Generale			124,847				(11,392	)			—				—				113,455
Standard Chartered Bank			698,628				(42,121	)			—				—				656,507

 

 

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

Counterparty			Derivative Liabilities Subject to an MNA by Counterparty				Derivatives Available for Offset(a	)			Non-Cash Collateral Pledged				Cash Collateral Pledged(d	)			Net Amount of  Derivative Liabilities(b	)(e)
The Bank of New York Mellon		$	2,092,937			$	(24,735	)		$	—			$	—			$	2,068,202
UBS AG			48,329				(48,329	)			—				—				—
		$	5,785,895			$	(823,632	)		$	—			$	(1,081,250	)		$	3,881,013

 

(a)

The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.

(b)

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

(c)

Net amount represents the net amount receivable from the counterparty in the event of default.

(d)

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

(e)

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

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Consolidated Financial Statements.

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

 

		Level 1				Level 2				Level 3				Total
Assets
Investments
Long-Term Investments
Asset-Backed Securities		$	—			$	61,239,679			$	—			$	61,239,679
Common Stocks
Canada			4,311,248				—				—				4,311,248
China			—				7,615,351				—				7,615,351
Finland			—				14,670,733				—				14,670,733
France			2,536,160				96,192,186				—				98,728,346
Germany			889,265				52,171,585				—				53,060,850
Hong Kong			—				3,833,062				—				3,833,062
Italy			4,564,944				—				—				4,564,944
Japan			—				34,005,257				—				34,005,257
Netherlands			—				39,652,496				—				39,652,496
Norway			701,040				—				—				701,040
South Korea			—				8,342,428				—				8,342,428
Spain			—				6,468,686				—				6,468,686
Sweden			—				2,484,312				—				2,484,312
Switzerland			6,674,699				23,523,925				—				30,198,624
Taiwan			11,109,677				—				—				11,109,677
United Kingdom			8,821,718				27,889,751				375,411				37,086,880
United States			654,500,624				367,310				27,689				654,895,623
Corporate Bonds			—				439,371,531				24,232,618				463,604,149
Fixed Rate Loan Interests			—				—				4,049,534				4,049,534
Floating Rate Loan Interests			—				7,040,934				16,734,851				23,775,785
Foreign Agency Obligations			—				12,213,152				—				12,213,152
Investment Companies			22,757,080				—				—				22,757,080
Municipal Bonds			—				2,624,043				—				2,624,043
Non-Agency Mortgage-Backed Securities			—				36,940,281				2,576,000				39,516,281
Preferred Securities
Preferred Stocks			—				—				23,164,848				23,164,848
U.S. Government Sponsored Agency Securities			—				132,628,332				—				132,628,332
Warrants			—				—				1,026,483				1,026,483
Short-Term Securities
Certificates of Deposit			—				2,686,036				—				2,686,036
Commercial Paper			—				5,585,398				—				5,585,398
Money Market Funds			139,618,407				—				—				139,618,407

 

 

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

Fair Value Hierarchy as of Period End (continued)

		Level 1				Level 2				Level 3				Total
Options Purchased
Credit Contracts		$	—			$	1,186			$	—			$	1,186
Equity Contracts			4,682,482				53,290				—				4,735,772
Interest Rate Contracts			—				33,438				—				33,438
Unfunded Floating Rate Loan Interests(a)			—				—				4,018				4,018
Liabilities
Unfunded Floating Rate Loan Interests(a)			—				—				(16,305	)			(16,305	)
		$	861,167,344			$	1,017,634,382			$	72,175,147				1,950,976,873
Investments Valued at NAV(b)															2,173,698
														$	1,953,150,571
Derivative Financial Instruments(c)
Assets
Commodity Contracts		$	7,852			$	—			$	—			$	7,852
Equity Contracts			2,945,838				166,554				—				3,112,392
Foreign Currency Exchange Contracts			—				2,262,529				—				2,262,529
Interest Rate Contracts			3,174,766				1,055,840				—				4,230,606
Liabilities
Credit Contracts			—				(33,673	)			—				(33,673	)
Equity Contracts			(1,130,511	)			(4,417	)			—				(1,134,928	)
Foreign Currency Exchange Contracts			—				(3,288,468	)			—				(3,288,468	)
Interest Rate Contracts			(2,942,765	)			(5,378,754	)			—				(8,321,519	)
		$	2,055,180			$	(5,220,389	)		$	—			$	(3,165,209	)

 

(a)

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

(b)

Certain investments of the Trust were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

(c)

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

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

 

		Asset-Backed Securities				Common Stocks				Corporate Bonds				Fixed Rate Loan Interests				Floating Rate Loan Interests				Non-Agency Mortgage-Backed Securities				Preferred Stocks
Assets
Opening balance, as of December 31, 2022		$	343,613			$	8,327,854			$	9,087,060			$	—			$	36,182,630			$	1,236,659			$	16,001,110
Transfers into Level 3			—				—				—				—				2,097,409				2,283,472				—
Transfers out of Level 3			(343,613	)			—				—				—				—				(1,236,659	)			—
Other(a)			—				(7,767,069	)			10,387,481				4,020,197				(14,407,678	)			—				7,767,069
Accrued discounts/premiums			—				—				45,731				4,251				22,707				—				—
Net realized gain (loss)			—				—				866				—				(219,027) —								—
Net change in unrealized appreciation (depreciation)(b)(c)			—				(157,685	)			(135,948	)			25,086				788,715				292,528				(916,217	)
Purchases			—				—				4,943,097				—				—				—				312,886
Sales			—				—				(95,669	)			—				(7,729,905	)			—				—
Closing balance, as of June 30, 2023		$	—			$	403,100			$	24,232,618			$	4,049,534			$	16,734,851			$	2,576,000			$	23,164,848
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(c)		$	—			$	(157,686	)		$	(135,948	)		$	25,086			$	518,376			$	292,528			$	(916,217	)

 

		Unfunded Floating Rate Loan Interests				Warrants				Total
Assets
Opening balance, as of December 31, 2022		$	(2,950	)		$	1,079,629			$	72,255,605
Transfers into Level 3			—				—				4,380,881
Transfers out of Level 3			—				—				(1,580,272	)
Other(a)			—				—				—
Accrued discounts/premiums			—				—				72,689
Net realized gain (loss)			—				—				(218,161	)
Net change in unrealized appreciation (depreciation)(b)(c)			(9,337	)			(53,146	)			(166,004	)

 

 

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Consolidated Schedule of Investments (unaudited) (continued) June 30, 2023		BlackRock ESG Capital Allocation Term Trust (ECAT)

 

		Unfunded Floating Rate Loan Interests				Warrants				Total
Purchases		$	—			$	—			$	5,255,983
Sales			—				—				(7,825,574	)
Closing balance, as of June 30, 2023		$	(12,287	)		$	1,026,483			$	72,175,147
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(c)		$	(9,337	)		$	(53,146	)		$	(436,344	)

 

(a)

Certain Level 3 investments were re-classified between Common Stocks, Corporate Bonds, Fixed Rate Loan Interests, Floating Rate Loan Interests and Preferred Stocks.

(b)

Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations.

(c)

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023 is generally due to investments no longer held or categorized as Level 3 at period end.

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Valuation Committee (the “Valuation Committee”) to determine the value of certain of the Trust’s Level 3 financial instruments as of period end. The table does not include Level 3 financial instruments with values based upon unadjusted third-party pricing information in the amount of $4,865,668. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.

 

Value

Valuation Approach

Unobservable Inputs

Range of Unobservable Inputs Utilized

(a)

Weighted Average of Unobservable Inputs Based on Fair Value

Assets

Common Stocks

$

403,100

Market

Volatility

51%

—

Time to Exit

1.4 years

—

Gross Profit Multiple

18.00x

—

Corporate Bonds

24,232,618

Income

Discount Rate

10%- 35%

18%

Floating Rate Loan Interests

14,432,897

Income

Discount Rate

11%- 12%

11%

Credit Spread

453

—

Fixed Rate Loan Interests

4,049,534

Income

Credit Spread

819

—

Preferred Stocks

23,164,848

Market

Revenue Multiple

0.21x -29.00x

17.21x

Time to Exit

2.0 -3.0 years

2.7 years

Volatility

49% - 90%

80%

Gross Profit Multiple

7.50x

—

Warrants

1,026,482

Market

Revenue Multiple

3.75x -29.00x

13.80x

Volatility

51% - 60%

58%

Time to Exit

0.5 -4.3 years

4.2 years

Income

Discount Rate

35%

—

$

67,309,479

 

(a)

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

See notes to consolidated financial statements.

 

 

C O N S O L I D A T E D   S C H E D U L E    O F   I N V E S T M E N T S		67

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Consolidated Statement of Assets and Liabilities (unaudited)

June 30, 2023

 

		BCAT				ECAT
ASSETS
Investments, at value — unaffiliated(a)(b)		$	1,946,164,392			$	1,790,774,771
Investments, at value — affiliated(c)			69,389,337				162,388,087
Cash			—				511,080
Cash pledged:
Collateral — OTC derivatives			2,960,000				2,090,000
Collateral — TBA commitments			624,000				—
Futures contracts			10,481,000				14,155,000
Centrally cleared swaps			11,454,000				2,873,000
Foreign currency, at value(d)			3,853,456				3,266,965
Receivables:
Investments sold			19,641,111				19,057,748
Options written			488,069				259,214
Securities lending income — affiliated			—				4,039
Swaps			97,410				—
Dividends — unaffiliated			1,199,898				1,307,738
Dividends — affiliated			431,706				760,124
Interest — unaffiliated			10,857,263				6,907,594
Variation margin on futures contracts			828,791				2,075,276
Variation margin on centrally cleared swaps			—				20,470
Swap premiums paid			235,002				—
Unrealized appreciation on:
Forward foreign currency exchange contracts			3,146,529				2,262,529
OTC swaps			1,430,293				895,081
Unfunded floating rate loan interests			4,404				4,018
Total assets			2,083,286,661				2,009,612,734
LIABILITIES
Bank overdraft			26,396				—
Due to broker			283,000				—
Cash received:
Collateral — OTC derivatives			420,000				420,000
Collateral — TBA commitments			670,000				—
Collateral on securities loaned			—				2,171,147
Options written, at value(e)			5,181,400				3,564,995
Payables:
Investments purchased			188,476,774				151,748,498
Swaps			693,110				2,617
Accounting services fees			96,081				82,367
Custodian fees			95,623				29,014
Income dividend distributions			1,888,678				1,130,823
Interest expense and fees			114,583				—
Investment advisory fees			3,817,562				3,404,143
Trustees’ and Officer’s fees			36,066				32,837
Options written			369,419				199,872
Other accrued expenses			89,516				43,937
Professional fees			310,997				98,172
Proxy fees			268,548				851,992
Transfer agent fees			44,624				36,490
Variation margin on futures contracts			1,556,547				694,273
Variation margin on centrally cleared swaps			78,757				—
Swap premiums received			257,082				—
Unrealized depreciation on:
Forward foreign currency exchange contracts			4,289,790				3,288,468
OTC swaps			430,675				—
Unfunded floating rate loan interests			9,875				16,305
Total liabilities			209,505,103				167,815,950
Commitments and contingent liabilities
NET ASSETS		$	1,873,781,558			$	1,841,796,784

 

 

68		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Consolidated Statement of Assets and Liabilities (unaudited) (continued)

June 30, 2023

 

		BCAT				ECAT
NET ASSETS CONSIST OF
Paid-in capital(f)(g)(h)		$	2,102,239,188			$	2,002,070,089
Accumulated loss			(228,457,630	)			(160,273,305	)
NET ASSETS		$	1,873,781,558			$	1,841,796,784
Net asset value		$	17.33			$	17.99
(a) Investments, at cost — unaffiliated		$	1,939,129,353			$	1,749,641,184
(b) Securities loaned, at value		$	—			$	2,129,289
(c)  Investments, at cost — affiliated		$	69,611,820			$	162,635,564
(d) Foreign currency, at cost		$	3,894,232			$	3,283,407
(e) Premiums received		$	4,910,570			$	3,654,816
(f)  Shares outstanding			108,135,000				102,382,241
(g) Shares authorized			Unlimited				Unlimited
(h) Par value		$	0.001			$	0.001

See notes to consolidated financial statements.

 

 

C O N S O L I D A T E D   F I N A N C I A L   S T A T E M E N T S		69

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Consolidated Statement of Operations (unaudited)

Six Months Ended June 30, 2023

 

		BCAT				ECAT
INVESTMENT INCOME
Dividends — unaffiliated		$	11,360,345			$	11,310,859
Dividends — affiliated			1,436,901				2,950,856
Interest — unaffiliated			32,402,912				17,880,081
Securities lending income — affiliated — net			—				21,556
Other income — unaffiliated			93,132				61,235
Foreign taxes withheld			(735,779	)			(1,028,960	)
Total investment income			44,557,511				31,195,627
EXPENSES
Investment advisory			11,502,834				11,043,410
Proxy			300,919				857,327
Custodian			109,467				88,486
Accounting services			106,834				93,722
Professional			61,898				73,195
Transfer agent			52,665				47,404
Trustees and Officer			50,039				47,321
Registration			19,158				19,192
Offering			14,957				—
Printing and postage			775				1,290
Miscellaneous			116,805				43,637
Total expenses excluding interest expense			12,336,351				12,314,984
Interest expense and fees			691,433				—
Total expenses			13,027,784				12,314,984
Less:
Fees waived and/or reimbursed by the Manager			(137,631	)			(454,604	)
Total expenses after fees waived and/or reimbursed			12,890,153				11,860,380
Net investment income			31,667,358				19,335,247
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated			(25,206,179	)			(20,105,536	)
Investments — affiliated			195,931				315,570
Forward foreign currency exchange contracts			(1,335,978	)			3,920,425
Foreign currency transactions			(273,808	)			(370,691	)
Futures contracts			(9,895,127	)			16,668,889
Options written			7,338,905				3,140,330
Swaps			3,177,663				1,336,263
			(25,998,593	)			4,905,250
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated(a)			127,069,444				184,582,850
Investments — affiliated			395,047				185,273
Forward foreign currency exchange contracts			5,339,835				(868,431	)
Foreign currency translations			(5,118	)			(15,830	)
Futures contracts			(6,015,381	)			6,696,038
Options written			4,871,282				197,704
Swaps			(4,697,372	)			(858,080	)
Unfunded floating rate loan interests			(429	)			(9,337	)
			126,957,308				189,910,187
Net realized and unrealized gain			100,958,715				194,815,437
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		$	132,626,073			$	214,150,684
(a) Net of reduction in deferred foreign capital gain tax of		$	114,006			$	—

See notes to consolidated financial statements.

 

 

70		2 0 2 3   B L A C K R O C K   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S

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Statements of Changes in Net Assets

    

 

		BCAT															ECAT
				Six Months Ended 06/30/23										Year Ended					Six Months Ended 06/30/23					Year Ended
									(unaudited	)(a)				12/31/22	(a)				(unaudited	)(a)				12/31/22
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income								$	31,667,358				$	55,631,648				$	19,335,247				$	18,954,913
Net realized gain (loss)									(25,998,593	)				(79,620,786	)				4,905,250					(113,097,041	)
Net change in unrealized appreciation (depreciation)									126,957,308					(298,534,539	)				189,910,187					(218,754,424	)
Net increase (decrease) in net assets resulting from operations									132,626,073					(322,523,677	)				214,150,684					(312,896,552	)
DISTRIBUTIONS TO SHAREHOLDERS(b)
From net investment income									(80,192,916	)(c)				(109,547,627	)				(74,227,125	)(c)				(60,724,637	)
Return of capital									—					(28,661,646	)				—					(64,828,979	)
Decrease in net assets resulting from distributions to shareholders									(80,192,916	)				(138,209,273	)				(74,227,125	)				(125,553,616	)
CAPITAL SHARE TRANSACTIONS
Redemption of shares resulting from share repurchase program (including transaction costs)									—					(50,901,644	)				—					(47,257,972	)
NET ASSETS
Total increase (decrease) in net assets									52,433,157					(511,634,594	)				139,923,559					(485,708,140	)
Beginning of period									1,821,348,401					2,332,982,995					1,701,873,225					2,187,581,365
End of period								$	1,873,781,558				$	1,821,348,401				$	1,841,796,784				$	1,701,873,225

 

(a)	Consolidated Statement of Changes in Net Assets.

(b)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c)	A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

See notes to consolidated financial statements.

 

 

C O N S O L I D A T E D    F I N A N C I A L   S T A T E M E N T S		71

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Consolidated Statement of Cash Flows (unaudited)

Six Months Ended June 30, 2023

 

		BCAT				ECAT
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES
Net increase in net assets resulting from operations		$	132,626,073			$	214,150,684
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:
Proceeds from sales of long-term investments and principal paydowns/payups			2,569,118,531				2,497,396,231
Purchases of long-term investments			(2,503,793,126	)			(2,347,725,383	)
Net proceeds from sales (purchases) of short-term securities			1,282,749				(119,901,464	)
Amortization of premium and accretion of discount on investments and other fees			(1,846,723	)			(2,048,227	)
Premiums paid on closing options written			(9,626,351	)			(7,501,588	)
Premiums received from options written			14,858,740				12,425,020
Net realized loss on investments and options written			17,262,654				16,417,365
Net unrealized appreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests			(139,306,831	)			(186,223,421	)
(Increase) Decrease in Assets
Receivables
Dividends — affiliated			(111,154	)			(694,122	)
Dividends — unaffiliated			(138,835	)			(314,601	)
Interest — unaffiliated			(1,694,803	)			(1,071,179	)
Securities lending income — affiliated			—				(4,039	)
Swaps			493,287				554,844
Variation margin on futures contracts			1,334,024				(1,238,524	)
Variation margin on centrally cleared swaps			—				(20,470	)
Swap premiums paid			(234,608	)			371
Prepaid expenses			15,039				14,326
Deferred offering costs			14,957				—
Increase (Decrease) in Liabilities
Due to broker			(1	)			—
Cash received
Collateral — OTC derivatives			(790,000	)			420,000
Collateral — TBA commitments			659,000				—
Collateral on securities loaned			—				2,171,147
Payables
Swaps			569,140				(184,865	)
Accounting services fees			16,264				16,086
Custodian fees			10,070				(9,730	)
Deferred capital gain tax			(114,006	)			—
Interest expense and fees			(3,820	)			—
Investment advisory fees			1,869,345				1,550,990
Trustees’ and Officer’s fees			21,773				20,208
Other accrued expenses			283,095				864,382
Professional fees			(79,484	)			(78,067	)
Transfer agent fees			7,967				4,456
Variation margin on futures contracts			77,728				382,321
Variation margin on centrally cleared swaps			(236,146	)			(88,382	)
Swap premiums received			(283,753	)			—
Net cash provided by operating activities			82,260,795				79,284,369
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES
Cash dividends paid to shareholders			(79,934,713	)			(74,078,041	)
Net payments on redemption of capital shares including change in redemptions payable			(1,780,050	)			(1,698,644	)
Decrease in bank overdraft			(1,778,373	)			—
Net cash used for financing activities			(83,493,136	)			(75,776,685	)
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS
Cash impact from foreign exchange fluctuations			86,332				(19,518	)

 

 

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Consolidated Statement of Cash Flows (unaudited) (continued)

Six Months Ended June 30, 2023

 

		BCAT				ECAT
CASH AND FOREIGN CURRENCY
Net increase (decrease) in restricted and unrestricted cash and foreign currency		$	(1,146,009	)		$	3,488,166
Restricted and unrestricted cash and foreign currency at beginning of period			30,518,465				19,407,879
Restricted and unrestricted cash and foreign currency at end of period		$	29,372,456			$	22,896,045
SUPPLEMENTAL DISCLOSURE OFCASH FLOW INFORMATION
Cash paid during the period for interest expense		$	695,253			$	—
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES
Cash		$	—			$	511,080
Cash pledged
Collateral — OTC derivatives			2,960,000				2,090,000
Collateral — TBA commitments			624,000				—
Futures contracts			10,481,000				14,155,000
Centrally cleared swaps			11,454,000				2,873,000
Foreign currency at value			3,853,456				3,266,965
		$	29,372,456			$	22,896,045

See notes to consolidated financial statements.

 

 

C O N S O L I D A T E D   F I N A N C I A L   S T A T E M E N T S		73

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Financial Highlights

(For a share outstanding throughout each period)

 

		BCAT
				Six Months Ended 06/30/23 (unaudited)(a)										Year Ended 12/31/22	(a)				Year Ended 12/31/21	(a)				Period from 09/28/20 to 12/31/20	(b)
Net asset value, beginning of period								$	16.84				$	20.90				$	21.05				$	20.00
Net investment income(c)									0.29					0.50					0.53					0.04
Net realized and unrealized gain (loss)									0.94					(3.31	)				0.57					1.11
Net increase (decrease) from investment operations									1.23					(2.81	)				1.10					1.15
Distributions(d)
From net investment income									(0.74	)(e)				(0.99	)				(0.75	)				(0.03	)
From net realized gain									—					—					(0.03	)				(0.07	)
Return of capital									—					(0.26	)				(0.47	)				—
Total distributions									(0.74	)				(1.25	)				(1.25	)				(0.10	)
Net asset value, end of period								$	17.33				$	16.84				$	20.90				$	21.05
Market price, end of period								$	15.25				$	13.87				$	19.45				$	21.77
Total Return(f)
Based on net asset value									8.05	%(g)				(12.61	)%				5.44	%				5.77	%(g)
Based on market price									15.45	%(g)				(22.66	)%				(5.12	)%				9.39	%(g)
Ratios to Average Net Assets(h)
Total expenses									1.41	%(i)(j)				1.58	%				1.61	%				1.30	%(j)
Total expenses after fees waived and/or reimbursed									1.39	%(i)(j)				1.57	%				1.60	%				1.26	%(j)
Total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs									1.32	%(i)(j)				1.42	%				1.51	%				1.26	%(j)
Net investment income									3.44	%(j)				2.77	%				2.49	%				0.84	%(j)
Supplemental Data
Net assets, end of period (000)								$	1,873,782				$	1,821,348				$	2,332,983				$	2,351,695
Borrowings outstanding, end of period (000)								$	—				$	—				$	687,791				$	—
Asset coverage, end of period per $1,000 of bank borrowings								$	—				$	—				$	6,290				$	—
Portfolio turnover rate(k)									122	%(l)				98	%				90	%				13	%

 

(a)	Consolidated Financial Highlights.

 

(b)	Commencement of operations.

 

(c)	Based on average shares outstanding.

 

(d)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

(e)	A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

 

(f)	Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

(g)	Not annualized.

 

(h)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

 

(i)

Includes non-recurring expenses of proxy and offering costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering cost would have been 1.39%, 1.37% and 1.30%, respectively.

 

(j)	Annualized.

 

(k)	Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

 

			Six Months Ended 06/30/23 (unaudited)	(a)			Year Ended 12/31/22	(a)			Year Ended 12/31/21	(a)			Period from 09/28/20 to 12/31/20	(b)
Portfolio turnover rate (excluding MDRs)			75	%			88	%			86	%			13	%

 

(l)

Excludes underlying investments in total return swaps.

See notes to consolidated financial statements.

 

 

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

		ECAT
				Six Months Ended 06/30/23 (unaudited)(a)										Year Ended 12/31/22					Period from 09/27/21 to 12/31/21	(b)
Net asset value, beginning of period								$	16.62				$	20.69				$	20.00
Net investment income (loss)(c)									0.19					0.18					(0.04)
Net realized and unrealized gain (loss)									1.91					(3.05)					0.83
Net increase (decrease) from investment operations									2.10					(2.87)					0.79
Distributions(d)
From net investment income									(0.73)	(e)				(0.50)					(0.05)
From net realized gain									—					(0.08)					(0.05)
Return of capital									—					(0.62)					—
Total distributions									(0.73)					(1.20)					(0.10)
Net asset value, end of period								$	17.99				$	16.62				$	20.69
Market price, end of period								$	15.66				$	13.43				$	18.65
Total Return(f)
Based on net asset value									13.47	%(g)				(12.89)	%				4.00	%(g)
Based on market price									22.23	%(g)				(21.91)	%				(6.25)	%(g)
Ratios to Average Net Assets(h)
Total expenses									1.34	%(i)(j)(k)				1.29	%				1.30	%
Total expenses after fees waived and/or reimbursed									1.29	%(i)(j)(k)				1.28	%				1.30	%(j)
Net investment income (loss)									2.19	%(j)				1.02	%				(0.77)	%(j)
Supplemental Data
Net assets, end of period (000)								$	1,841,797				$	1,701,873				$	2,187,581
Portfolio turnover rate(l)									127	%				106	%				15	%

 

(a)	Consolidated Financial Highlights.

 

(b)	Commencement of operations.

 

(c)	Based on average shares outstanding.

 

(d)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

 

(e)	A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

 

(f)	Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

 

(g)	Not annualized.

 

(h)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

 

(i)	Includes non-recurring expenses of proxy cost. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 1.29% and 1.24%, respectively.

 

(j)	Annualized.

 

(k)	The proxy cost were not annualized in the calculation of the expense ratios. If these costs were annualized, total expenses and total expenses after fees waived and/or reimbursed would have been 1.39% and 1.34%, respectively.

 

(l)	Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

 

			Six Months Ended 06/30/23 (unaudited)				Year Ended 12/31/22				Period from 09/27/21 to 12/31/21	(a)
Portfolio turnover rate (excluding MDRs)			81	%			95	%			15	%

See notes to consolidated financial statements.

 

 

F I N A N C I A L   H I G H L I G H T S		75

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Notes to Consolidated Financial Statements (unaudited) 

    

 

1.	ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:

 

Trust Name

Herein Referred To As

Organized

Diversification Classification

BlackRock Capital Allocation Term Trust

BCAT

Maryland

Non-diversified

BlackRock ESG Capital Allocation Term Trust

ECAT

Maryland

Non-diversified

The Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board,” and the trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

On March 31, 2023, the Board approved a proposal to change the name of BlackRock Capital Allocation Trust and BlackRock ESG Capital Allocation Trust, effective as of April 05, 2023, to BlackRock Capital Allocation Term Trust and BlackRock ESG Capital Allocation Term Trust, respectively. There were no changes to the Trusts’ investment policies or strategies in conjunction with the name changes.

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 funds referred to as the BlackRock Fixed-Income Complex.

Basis of Consolidation: The accompanying consolidated financial statements of BCAT include the account of Cayman Capital Allocation Fund, Ltd. (the “BCAT Cayman Subsidiary”), which is a wholly-owned subsidiary of BCAT and primarily invests in commodity-related instruments and other derivatives. The BCAT Cayman Subsidiary enables BCAT to hold these commodity-related instruments and satisfy regulated investment company tax requirements. BCAT may invest up to 25% of its total assets in the BCAT Cayman Subsidiary. The net assets of the BCAT Cayman Subsidiary as of period end were $4,429,497, which is 0.2% of BCAT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The BCAT Cayman Subsidiary is subject to the same investment policies and restrictions that apply to BCAT, except that the BCAT Cayman Subsidiary may invest without limitation in commodity-related instruments.

The accompanying consolidated financial statements of ECAT include the account of Cayman ESG Capital Allocation Fund, Ltd. (the “ECAT Cayman Subsidiary”, and together with the BCAT Cayman Subsidiary, the “Cayman Subsidiaries”), which is a wholly-owned subsidiary of the ECAT and primarily invests in commodity-related instruments and other derivatives. The ECAT Cayman Subsidiary enables ECAT to hold these commodity related instruments and satisfy regulated investment company tax requirements. ECAT may invest up to 25% of its total assets in the ECAT Cayman Subsidiary. The net assets of the ECAT Cayman Subsidiary as of period end were $41,271, which is less than 0.1% of ECAT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The ECAT Cayman Subsidiary is subject to the same investment policies and restrictions that apply to ECAT, except that the ECAT Cayman Subsidiary may invest without limitation in commodity-related instruments.

 

2.	SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Trusts are informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets. For convertible securities, premiums attributable to the debt instrument are amortized, but premiums attributable to the conversion feature are not amortized.

Foreign Currency Translation: Each Trust’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Trust does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Consolidated Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Foreign Taxes: The Trusts may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Trust

 

 

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Notes to Consolidated Financial Statements (unaudited) (continued)

    

 

invests. These foreign taxes, if any, are paid by each Trust and are reflected in its Consolidated Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2023, if any, are disclosed in the Consolidated Statements of Assets and Liabilities.

The Trusts file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Trusts may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Consolidated Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

Collateralization: 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.

Distributions: Distributions paid by the Trusts are recorded on the ex-dividend dates. Subject to the Trusts’ managed distribution plan, the Trusts intend to make monthly cash distributions to shareholders, which may consist of net investment income, and net realized and unrealized gains on investments and/or return of capital.

The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital.

Net income and realized gains from investments held by the Cayman Subsidiaries are treated as ordinary income for tax purposes. If a net loss is realized by the Cayman Subsidiaries in any taxable year, the loss will generally not be available to offset the Trusts’ ordinary income and/or capital gains for that year.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the trustees who are not “interested persons” of the Trusts, as defined in the 1940 Act (“Independent Trustees”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, as applicable. Deferred compensation liabilities, if any, are included in the Trustees’ and Officer’s fees payable in the Consolidated Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the BlackRock Fixed-Income Complex and reflected as Trustees and Officer expense on the Consolidated Statements of Operations. The Trustees and Officer expense may be negative as a result of a decrease in value of the deferred accounts.

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

 

3.	INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: Each Trust’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Trust is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board has approved the designation of each Trust’s Manager as the valuation designee for each Trust. Each Trust determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

•

Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

 

•

Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third-party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a

 

 

N O T E S   T O   C O N S O L I D A T E D   F I N A N C I A L   S T A T E M E N T S		77

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Notes to Consolidated Financial Statements (unaudited) (continued)

    

 

benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

 

•

Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV.

 

•

Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.

 

•

Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies.

 

•

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

 

•

Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Trusts use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee 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 Valuation Committee deems relevant and consistent with the principles of fair value measurement.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.

 

		Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services
Market approach		(i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;
		(ii)   recapitalizations and other transactions across the capital structure; and
		(iii)  market multiples of comparable issuers.
Income approach		(i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;
		(ii)   quoted prices for similar investments or assets in active markets; and
		(iii)  other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.
Cost approach		(i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;
		(ii)   changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;
		(iii)  relevant news and other public sources; and
		(iv)  known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.

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

 

 

 

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Notes to Consolidated Financial Statements (unaudited) (continued)

    

 

•

Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access;

 

•

Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and

 

•

Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of June 30, 2023, certain investments of BCAT were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

4.	SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk

 

 

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Notes to Consolidated Financial Statements (unaudited) (continued)

    

 

than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the Secured Overnight Financing Rate (“SOFR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Trusts may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Consolidated Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Consolidated Statements of Assets and Liabilities and Consolidated Statements of Operations. As of period end, the Trusts had the following unfunded floating rate loan interests:

 

Trust Name		Borrower		Par				Commitment Amount				Value				Unrealized Appreciation (Depreciation)
BCAT		CML ST Regis Aspen		$	198,945			$	198,239			$	191,590			$	(6,649)
		EIS Buyer, Inc.			373,370				362,917				367,321				4,404
		IPS Corp.			43,889				43,889				40,663				(3,226)
																$	(5,471)
ECAT		CML Paradise Plaza		$	408,329			$	408,330			$	396,028				(12,302)
		EIS Buyer, Inc.			340,631				331,095				335,113				4,018
		Vaca Morada Partners LP			1,601,055				1,601,055				1,597,052				(4,003)
																$	(12,287)

Forward Commitments, When-Issued and Delayed Delivery Securities: The Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Trusts may purchase securities under such conditions with the intention of actually acquiring them but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.

 

 

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Notes to Consolidated Financial Statements (unaudited) (continued)

    

 

In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. 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 the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Consolidated Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Consolidated Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.

Mortgage Dollar Roll Transactions: The Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.

Commitments: Commitments are agreements to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Such agreements may obligate a fund to make future cash payments. As of June 30, 2023, BCAT and ECAT had outstanding commitments of $5,211,000 and $1,183,000, respectively. These commitments are not included in the net assets of a Trust as of June 30, 2023.

Securities Lending: Certain Trusts may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Trusts collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Trust is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Trust and any additional required collateral is delivered to the Trust, or excess collateral returned by the Trust, on the next business day. During the term of the loan, the Trusts are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Consolidated Schedules of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Trust, except in the event of borrower default. The securities on loan, if any, are disclosed in the Trusts’ Consolidated Schedules of Investments. The market value of any securities on loan and the value of related collateral, if any, are shown separately in the Consolidated Statements of Assets and Liabilities as a component of investments at value – affiliated, and collateral on securities loaned, respectively.

Securities lending transactions are entered into by the Trusts under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Trusts, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Trusts can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the ECAT’s securities on loan by counterparty which are subject to offset under an MSLA:

 

Trust Name/Counterparty			Securities Loaned at Value								Cash Collateral Received	(a)			Non-Cash Collateral Received, at Fair Value	(a)			Net Amount
ECAT
Barclays Capital, Inc.		$	125,320							$	(125,320	)		$	—			$	—
Jefferies LLC			343,045								(343,045	)			—				—
Mizuho Securities USA LLC			1,331,200								(1,331,200	)			—				—
Toronto-Dominion Bank			329,724								(329,724	)			—				—
		$	2,129,289							$	(2,129,289	)		$	—			$	—

 

(a)

Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Trust is disclosed in the Trust’s Consolidated Statements of Assets and Liabilities.

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Trusts benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Trust could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Trusts.

 

 

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Notes to Consolidated Financial Statements (unaudited) (continued)

    

 

5.	DERIVATIVE FINANCIAL INSTRUMENTS

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Consolidated Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk) or carbon credits (commodity risk).

Futures contracts are exchange-traded agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. The Trusts may invest in carbon credit futures that are traded on commodity exchanges with the Commodity Futures Trading Commission. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Consolidated Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Consolidated Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Consolidated 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 Consolidated Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Consolidated Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Consolidated Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Consolidated Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Consolidated Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Consolidated Statements of Assets and Liabilities. A Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Trust.

Options: The Trusts may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value –unaffiliated and options written at value, respectively, in the Consolidated 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 Consolidated 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 Consolidated Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Consolidated Statements of Assets and Liabilities.

 

•

Swaptions — The Trusts may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Trusts’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

 

•

Interest rate caps and floors — Interest rate caps and floors are entered into to gain or reduce exposure to interest rates (interest rate risk and/or other risk). Caps are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes exceed a specified rate, or “cap.” Floors are agreements whereby one party agrees to make payments to the other, in return for a premium, to the extent that interest rate indexes fall below a specified

 

 

 

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Notes to Consolidated Financial Statements (unaudited) (continued)

    

 

rate, or “floor.” The maximum potential amount of future payments that a Fund would be required to make under an interest rate cap would be the notional amount times the percentage increase in interest rates determined by the difference between the interest rate index current value and the value at the time the cap was entered into.

 

•

Foreign currency options — The Trusts may purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when they otherwise would not, or at a price different from the current market value.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Trusts and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Consolidated Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Consolidated Statements of Assets and Liabilities. Payments received or paid are recorded in the Consolidated Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Consolidated Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Trusts’ counterparty on the swap. Each Trust is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Trust is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Consolidated Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Consolidated Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Consolidated Statements of Assets and Liabilities. Pursuant to the contract, each Trust agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Consolidated Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Consolidated Statements of Operations, including those at termination.

 

•

Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

•

Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Trusts receive payment from or make a payment to the counterparty.

Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Trust has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.

Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Trusts and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Consolidated Statements of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Trusts and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.

 

 

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Notes to Consolidated Financial Statements (unaudited) (continued)

    

 

•

Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

 

•

Forward swaps — The Trusts may enters into forward interest rate swaps and forward total return swaps. In a forward swap, each Trust and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination.

 

•

Inflation swaps — Inflation swaps are entered into to gain or reduce exposure to inflation (inflation risk). In an inflation swap, one party makes fixed interest payments on a notional principal amount in exchange for another party’s variable payments based on an inflation index, such as the Consumer Price Index.

Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Trust may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the 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 in the Consolidated 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 Consolidated Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from the counterparties are not fully collateralized, each Trust bears the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Trust bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Consolidated Statements of Assets and Liabilities.

 

6.	INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

For such services, each Trust pays the Manager a monthly fee at an annual rate equal to 1.25% of the average daily value of each Trust’s managed assets. For purposes of calculating these fees, “managed assets” are determined as total assets of each Trust (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).

With respect to each Trust, the Manager entered into separate sub-advisory agreements with BlackRock (Singapore) Limited (“BSL”), an affiliate of the Manager. The Manager pays BSL for services it provides for that portion of each Trust for which BSL acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Trust to the Manager.

The Manager provides investment management and other services to the Cayman Subsidiaries. The Manager does not receive separate compensation from the Subsidiaries for providing investment management or administrative services. However, the Trusts pay the Manager based on the Trusts’ net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the Cayman Subsidiaries.

Expense Waivers and Reimbursements: With respect to each Trust, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2024. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting

 

 

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Notes to Consolidated Financial Statements (unaudited) (continued)

    

 

securities of a Trust. These amounts are included in fees waived and/or reimbursed by the Manager in the Consolidated Statements of Operations. For the six months ended June 30, 2023, the amounts waived were as follows:

 

Trust Name		Fees Waived and/or Reimbursed by the Manager
BCAT		$	16,012
ECAT			38,969

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, 2024. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. These amounts are included in fees waived and/or reimbursed by the Manager in the Consolidated Statements of Operations. For the six months ended June 30, 2023, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

 

Trust Name		Fees Waived and/or Reimbursed by the Manager
BCAT		$	121,619
ECAT			327,288

With respect to ECAT, the Manager contractually agreed to waive a portion of its investment advisory fees equal to the annual rate of 0.01% of the average daily value of managed assets through December 31, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees or by a vote of a majority of the outstanding voting securities of the Trust. This amount is included in fees waived and/or reimbursed by the Manager in the Consolidated Statements of Operations. For the six months ended June 30, 2023, the Manager waived $88,347 pursuant to this agreement.

Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Trusts, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Trusts are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company, Money Market Series, managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the Money Market Series to an annual rate of 0.04%. The investment adviser to the Money Market Series will not charge any advisory fees with respect to shares purchased by the Trusts. The Money Market Series may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Trust retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, each Trust retains 82% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Fixed-Income Complex in a calendar year exceeds a specified threshold, each Trust, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.

Prior to January 1, 2023, BIM was permitted to lend ECAT’s securities only when the difference between the borrower rebate rate (i.e., a negotiated interest rate payment for cash collateral pledged in connection with a securities lending transaction) and the risk free rate exceeded a certain level (such securities, the “specials only securities”). Effective January 1, 2023, this limitation no longer applies.

The share of securities lending income earned by each Trust is shown as securities lending income — affiliated — net in the Consolidated Statements of Operations. For the six months ended June 30, 2023, each Trust paid BIM the following amounts for securities lending agent services:

 

Trust Name		Amounts
ECAT		$    4,702

Trustees and Officers: Certain trustees and/or officers of the Trusts are directors and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Consolidated Statements of Operations.

 

 

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Notes to Consolidated Financial Statements (unaudited) (continued)

    

 

7.	PURCHASES AND SALES

For the six months ended June 30, 2023, purchases and sales of investments, including paydowns/payups and mortgage dollar rolls and excluding short-term securities, were as follows:

 

		U.S. Government Securities								Other Securities
Trust Name		Purchases				Sales				Purchases				Sales
BCAT		$	3,144,128			$	11,035,565			$	2,393,134,791			$ 2,415,289,361
ECAT			—				—				2,262,164,865			2,379,511,640

For the six months ended June 30, 2023, purchases and sales related to mortgage dollar rolls were as follows:

 

Trust Name		Purchases				Sales
BCAT		$	936,706,523			$ 936,257,184
ECAT			817,845,527			817,495,148

 

8.	INCOME TAX INFORMATION

It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of June 30, 2023, 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, 2022, the Trusts had non-expiring capital loss carryforwards available to offset future realized capital gains and qualified late-year losses as follows:

 

Trust Name			Non-Expiring Capital Loss Carryforwards	(a)			Qualified Late-Year Losses	(b)
BCAT		$	(115,518,910	)		$	(16,618,272	)
ECAT			(108,169,492	)			(31,040,118	)

 

(a)

Amounts available to offset future realized capital gains.

(b)

The Trust has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

As of June 30, 2023, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

 

Trust Name		Tax Cost				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation (Depreciation)
BCAT		$	2,017,781,929			$	181,290,225			$	(197,630,802	)		$	(16,340,577	)
ECAT			1,930,526,171				128,505,113				(105,378,819	)			23,126,294

 

9.	BANK BORROWINGS

BCAT entered into a 179-day rolling line of credit facility with BNP Paribas Prime Brokerage International, Limited (“BNP”). BNP is required to provide 179 days’ notice of termination to BCAT absent a default or certain similar events. BCAT has granted a security interest in substantially all of its assets to BNP. BCAT can borrow up to $550,000,000 at any time, subject to asset coverage and other limitations as specified in the credit facility. Advances will be made by BNP to BCAT at the Overnight Bank Funding Rate plus 0.75%. In addition, BCAT pays a commitment fee on the daily unused amount if utilization is less than 80% of the committed line amount. For the six months ended June 30, 2023, the Trust did not borrow under the credit agreement.

 

10.	PRINCIPAL RISKS

In the normal course of business, the Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Trusts and their investments. Each Trust’s prospectus provides details of the risks to which each Trust is subject.

 

 

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Notes to Consolidated Financial Statements (unaudited) (continued)

    

 

Each Trust may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Trust may not be able to readily dispose of such investments at prices that approximate those at which a Trust could sell such investments if they were more widely traded and, as a result of such illiquidity, a Trust may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Trust’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.

Market Risk: Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

Infectious Illness Risk: An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Trust may invest in illiquid investments. An illiquid investment is any investment that a Trust reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Trust may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trust’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which a Trust invests.

The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trust’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trust’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.

Counterparty Credit Risk: The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Consolidated Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent each Trust deposits collateral with its counterparty to a written option.

With exchange-traded options purchased, exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Trust’s portfolio are disclosed in its Consolidated Schedule of Investments.

The Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Trusts may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that

 

 

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Notes to Consolidated Financial Statements (unaudited) (continued)

    

 

ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Trusts’ performance.

The Trusts invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Trusts invest.

LIBOR Transition Risk: The Trusts may be exposed to financial instruments that are tied to the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, announced that a majority of USD LIBOR settings will no longer be published after June 30, 2023. All other LIBOR settings and certain other interbank offered rates ceased to be published after December 31, 2021. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. The Federal Reserve Board adopted regulations that provide a fallback mechanism by identifying benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. The ultimate effect of the LIBOR transition process on the Trusts is uncertain.

 

11.	CAPITAL SHARE TRANSACTIONS

Each Trust is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. Each Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

Common Shares

The Trusts participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2022 through November 30, 2023, each Trust may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2022, subject to certain conditions. The Repurchase Program has an accretive effect as shares are purchased at a discount to the Trust’s NAV. There is no assurance that the Trusts will purchase shares in any particular amounts.

The total cost of the shares repurchased is reflected in Trusts’ Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:

 

		BCAT								ECAT
		Shares				Amounts				Shares				Amounts
Six Months Ended June 30, 2023			—			$	—				—			$              —
Year Ended December 31, 2022			3,502,458				50,901,644				3,325,611			47,257,972

For the six months ended June 30, 2023, shares issued and outstanding remained constant for all Trusts.

As of June 30, 2023, BlackRock Financial Management, Inc., an affiliate of the Trusts, owned 5,000 shares of each of BCAT and ECAT.

 

12.	SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Trusts declared and paid or will pay distributions to Common Shareholders as follows:

 

Trust Name

Declaration Date

Record Date

Payable/ Paid Date

Dividend Per Common Share

BCAT

07/03/23 08/01/23

07/14/23 08/15/23

07/31/23 08/31/23

$        0.127500 0.127500

ECAT

07/03/23 08/01/23

07/14/23 08/15/23

07/31/23 08/31/23

0.125000 0.125000

 

 

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

    

 

The Boards of Trustees (together, the “Board,” the members of which are referred to as “Board Members”) of BlackRock Capital Allocation Term Trust (“BCAT”) and BlackRock ESG Capital Allocation Term Trust (“ECAT”) (together, the “Funds” and each, a “Fund”) met on May 4, 2023 (the “May Meeting”) and June 1-2, 2023 (the “June Meeting”) to consider the approval to continue the investment advisory agreements (the “Advisory Agreements”) between each Fund and BlackRock Advisors, LLC (the “Manager”), each Fund’s investment adviser. The Board also considered the approval to continue the sub-advisory agreements (the “Sub-Advisory Agreements”) between the Manager, BlackRock (Singapore) Limited (the “Sub-Advisor”) and each Fund. 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.”

The Approval Process

Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreements for each Fund on an annual basis. The Board members who are not “interested persons” of each Fund, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to each Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each of which extended over a two-day period, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information regarding the renewal of the Agreements. In considering the renewal of the Agreements, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.

During the year, the Board, acting directly and through its committees, considered information that was relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to each Fund; (e) the resources devoted to risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (f) BlackRock’s and each Fund’s adherence to applicable compliance policies and procedures; (g) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as available; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) execution quality of portfolio transactions; (k) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (l) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (m) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; (n) periodic updates on BlackRock’s business; and (o) each Fund’s market discount/premium compared to peer funds.

Prior to and in preparation for the May Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the May Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, closed-end funds, and open-end funds, under similar investment mandates, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.

At the May Meeting, the Board reviewed materials relating to its consideration of the Agreements and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the June Meeting.

At the June Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board Members evaluated the information available to them on a fund-by-fund basis. The following paragraphs provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.

 

 

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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement  (continued)

    

 

A. Nature, Extent and Quality of the Services Provided by BlackRock

The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of closed-end funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance, investment strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: the experience of investment personnel generally and each Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of each Fund; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of third-party service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans.

The Board noted that the engagement of the Sub-Advisor with respect to each Fund facilitates the provision of investment advice and trading by investment personnel out of non-U.S. jurisdictions. The Board considered that this arrangement provides additional flexibility to the portfolio management team, which may benefit each Fund and its shareholders.

B. The Investment Performance of each Fund and BlackRock

The Board, including the Independent Board Members, reviewed and considered the performance history of each Fund throughout the year and at the May Meeting. In preparation for the May Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2022, as compared to its Performance Peers. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and, in light of each Fund’s outcome-oriented investment objective, certain performance metrics (“Outcome-Oriented Performance Metrics”). The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.

In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.

The Board reviewed and considered BCAT’s performance relative to BCAT’s Outcome-Oriented Performance Metrics including a total return target. The Board noted that for each of the one-year and since-inception periods reported, BCAT underperformed its total return target. The Board noted that BlackRock believes that the Outcome-Oriented Performance Metrics are an appropriate performance metric for BCAT, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed BCAT’s underperformance relative to its total return target during the applicable periods.

The Board reviewed and considered ECAT’s performance relative to ECAT’s Outcome-Oriented Performance Metrics, including a total return target. The Board noted that for each of the one-year and since-inception periods reported, ECAT underperformed its total return target. The Board noted that BlackRock believes that the Outcome-Oriented Performance Metrics are an appropriate performance metric for ECAT, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed ECAT’s underperformance relative to its total return target during the applicable periods.

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund

The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate as a percentage of managed assets, which is the total assets of each Fund (including any

 

 

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements  (continued)

    

 

assets attributable to money borrowed for investment purposes) minus the sum of each Fund’s accrued liabilities (other than money borrowed for investment purposes) to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered that the fee and expense information in the Broadridge report for each Fund reflected information for a specific period and that historical asset levels and expenses may differ from current levels, particularly in a period of market volatility. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2022 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time and resources, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.

The Board noted that BCAT’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the third and second quartiles, respectively, relative to the Expense Peers.

The Board noted that ECAT’s contractual management fee rate ranked in the fourth quartile, and that the actual management fee rate and total expense ratio ranked in the fourth and first quartiles, respectively, relative to the Expense Peers.

D. Economies of Scale

The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase. The Board also considered the extent to which each Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee was appropriate.

Based on the Board’s review and consideration of the issue, the Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. Closed-end funds are typically priced at scale at a fund’s inception.

E. Other Factors Deemed Relevant by the Board Members

The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, securities lending and cash management services. With respect to securities lending, during the year the Board also considered information provided by independent third-party consultants related to the performance of each BlackRock affiliate as securities lending agent. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that each Fund’s fees and expenses are too high or if they are dissatisfied with the performance of each Fund.

The Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communication efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end

 

 

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements  (continued)

    

 

funds. BlackRock’s support services included, among other things: sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

At the June Meeting, in a continuation of the discussions that occurred during the May Meeting, and as a culmination of the Board’s year-long deliberative process, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and each Fund for a one-year term ending June 30, 2024 , and the Sub-Advisory Agreements among the Manager, the Sub-Advisor and each Fund for a one-year term ending June 30, 2024. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were advised by independent legal counsel throughout the deliberative process.

 

 

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Additional Information

    

 

Trust Certification

The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by Section 302 of the Sarbanes-Oxley Act.

Environmental, Social and Governance (“ESG”) Integration

Although the Trusts do not seek to implement a specific sustainability objective, strategy or process unless otherwise disclosed, Trust management will consider ESG factors as part of the investment process for the Trusts. Trust management views ESG integration as the practice of incorporating financially material ESG data or information into investment processes with the objective of enhancing risk-adjusted returns. These ESG considerations will vary depending on the Trusts’ particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. The ESG characteristics utilized in the Trusts’ investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. Certain of these considerations may affect the Trusts’ exposure to certain companies or industries. While Trust management views ESG considerations as having the potential to contribute to the Trusts’ long-term performance, there is no guarantee that such results will be achieved.

Dividend Policy

Each Trust’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Trust employs a managed distribution plan (the “Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Trust.

The distributions paid by each Trust for any particular month may be more or less than the amount of net investment income earned by each Trust during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of a Trust and is reported in each Trust’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. Each Trust’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Trust’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.

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

Such distributions, under certain circumstances, may exceed a Trust’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Trust’s total assets and net asset value (“NAV”) per share and, therefore, could have the effect of increasing the Trust’s expense ratio and reducing the amount of assets the Trust has available for long term investment.

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

The following information is a summary of certain changes since December 31, 2022. This information may not reflect all of the changes that have occurred since you purchased the relevant Trust.

Except if noted otherwise herein, there were no changes to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders.

In accordance with Section 23(c) of the Investment Company Act of 1940, each Trust may from time to time purchase shares of its common stock in the open market or in private transactions.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

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:

 

 

 

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Additional Information   (continued)

    

 

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Trusts’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Trust makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.

Availability of Proxy Voting Policies, Procedures and Voting Records

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities and information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 882-0052; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

Trust and Service Providers

 

Investment Adviser		Accounting Agent and Custodian
BlackRock Advisors, LLC		State Street Bank and Trust Company
Wilmington, DE 19809		Boston, MA 02114
Sub-Adviser		Transfer Agent
BlackRock (Singapore) Limited		Computershare Trust Company, N.A.
079912 Singapore		Canton, MA 02021

 

 

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Additional Information  (continued)

    

 

Trust and Service Providers (continued)

 

Independent Registered Public Accounting Firm		Address of the Trusts
Deloitte & Touche LLP		100 Bellevue Parkway
Boston, MA 02116		Wilmington, DE 19809
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019

 

 

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Glossary of Terms Used in this Report

    

 

 

 

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Want to know more?

blackrock.com    |    800-882-0052

This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.

BCAT-06/23-SAR

 

 

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(b) Not Applicable

 

Item 2 –

Code of Ethics – Not Applicable to this semi-annual report

 

Item 3 –

Audit Committee Financial Expert – Not Applicable to this semi-annual report

 

Item 4 –

Principal Accountant Fees and Services – Not Applicable to this semi-annual report

 

Item 5 –

Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

 

Item 6 –

Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies

(a) Not Applicable to this semi-annual report

(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no applicable purchases during the period covered by this report.

 

Item 10 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

Item 11 –

Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not applicable to this semi-annual report

 

Item 13 –

Exhibits attached hereto

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(a)(1) Code of Ethics – Not Applicable to this semi-annual report

(a)(2) Section 302 Certifications are attached

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable

(a)(4) Change in Registrant’s independent public accountant – Not Applicable

(b) Section 906 Certifications are attached

(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, 2009¹

 

 

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.

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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 ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust)

 

		By:		/s/ John M. Perlowski
				John M. Perlowski
				Chief Executive Officer (principal executive officer) of
				BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust)

Date: August 25, 2023

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 ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust)

Date: August 25, 2023

 

		By:		/s/ Trent Walker
				Trent Walker
				Chief Financial Officer (principal financial officer) of
				BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust)

Date: August 25, 2023

EX-99. CERT

CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE

SARBANES-OXLEY ACT OF 2002

 

 

I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust), certify that:

1.            I have reviewed this report on Form N-CSR of BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust);

2.            Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.            Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.            The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a)            designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)            designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)            evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d)            disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.            The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a)            all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b)            any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 25, 2023

/s/ John M. Perlowski         

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust)

---

EX-99. CERT

CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE

SARBANES-OXLEY ACT OF 2002

 

 

I, Trent Walker, Chief Financial Officer (principal financial officer) of BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust), certify that:

1.            I have reviewed this report on Form N-CSR of BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust);

2.            Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.            Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.            The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a)            designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)            designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)            evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d)            disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.            The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a)            all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b)            any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 25, 2023

/s/ Trent Walker         

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust)

Exhibit 99.906CERT

Certification Pursuant to Rule 30a-2(b) under the 1940 Act and

Section 906 of the Sarbanes-Oxley Act of 2002

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust) (the “Registrant”), hereby certifies, to the best of his knowledge, that the Registrant’s Report on Form N-CSR for the period ended June 30, 2023 (the “Report”) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date: August 25, 2023

/s/ John M. Perlowski        

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust)

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust) (the “Registrant”), hereby certifies, to the best of his knowledge, that the Registrant’s Report on Form N-CSR for the period ended June 30, 2023 (the “Report”) fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date: August 25, 2023

/s/ Trent Walker        

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock ESG Capital Allocation Term Trust (Formerly BlackRock ESG Capital Allocation Trust)

This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission.

BlackRock ESG Capital Allocation Term Trust

Cusip: 09262F100

Ticker: ECAT

 

Record Date			June 15, 2023
Pay Date			June 30, 2023
Distribution Amount per share		$	0.125000

The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net income, net realized short-term capital gains, net realized long-term capital gains and return of capital. All amounts are expressed per common share.

 

		Current Distribution				% Breakdown of the Current Distribution								Total Cumulative Distributions for the Fiscal  Year to Date						% Breakdown of the Total Cumulative Distributions for the Fiscal Year to Date
Net Income		$	0.033577				27%							$	0.033577						5%
Net Realized Short-Term Capital Gains		$	-				0%							$	-						0%
Net Realized Long-Term Capital Gains		$	-				0%							$	-						0%
Return of Capital		$	0.091423				73%							$	0.691423						95%
Total (per common share)		$	0.125000				100%							$	0.725000						100%
Average annual total return (in relation to NAV) for the 5-year period ending on May 31, 2023*																					-0.44%
Annualized current distribution rate expressed as a percentage of NAV as of May 31, 2023																					8.57%
Cumulative total return (in relation to NAV) for the fiscal year through May 31, 2023																					9.57%
Cumulative fiscal year distributions as a percentage of NAV as of May 31, 2023																					3.43%

*Portfolio launched within the past 5 years; the performance and distribution rate information presented for this Fund reflects data from inception to 5/31/2023 You should not draw any conclusions about the Fund’s investment performance from the amount of this distribution or from the terms of the Fund’s Managed Distribution Plan.

The Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with ‘yield’ or ‘income’.

When distributions exceed total return performance, the difference will reduce the Fund’s net asset value per share.

The amounts and sources of distributions reported in this Notice are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Fund’s investment experience during its fiscal year and may be subject to changes based on tax regulations. The Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes.

 

Contact Number:   800-882-0052

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BlackRock ESG Capital Allocation Term Trust

Cusip: 09262F100

Ticker: ECAT

 

Record Date			July 14, 2023
Pay Date			July 31, 2023
Distribution Amount per share		$	0.125000

The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net income, net realized short-term capital gains, net realized long-term capital gains and return of capital. All amounts are expressed per common share.

 

		Current Distribution				% Breakdown of the Current Distribution								Total Cumulative Distributions for the Fiscal  Year to Date								% Breakdown of the Total Cumulative Distributions for the Fiscal Year to Date
Net Income		$	0.025023				20%							$	0.058600								7%
Net Realized Short-Term Capital Gains		$	-				0%							$	-								0%
Net Realized Long-Term Capital Gains		$	-				0%							$	-								0%
Return of Capital		$	0.099977				80%							$	0.791400								93%
Total (per common share)		$	0.125000				100%							$	0.850000								100%
Average annual total return (in relation to NAV) for the 5-year period ending on June 30, 2023*																							1.58%
Annualized current distribution rate expressed as a percentage of NAV as of June 30, 2023																							8.34%
Cumulative total return (in relation to NAV) for the fiscal year through June 30, 2023																							13.47%
Cumulative fiscal year distributions as a percentage of NAV as of June 30, 2023																							4.03%

*Portfolio launched within the past 5 years; the performance and distribution rate information presented for this Fund reflects data from inception to 6/30/2023 You should not draw any conclusions about the Fund’s investment performance from the amount of this distribution or from the terms of the Fund’s Managed Distribution Plan.

The Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with ‘yield’ or ‘income’.

When distributions exceed total return performance, the difference will reduce the Fund’s net asset value per share.

The amounts and sources of distributions reported in this Notice are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Fund’s investment experience during its fiscal year and may be subject to changes based on tax regulations. The Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes.

 

Contact Number:   800-882-0052

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BlackRock ESG Capital Allocation Term Trust

Cusip: 09262F100

Ticker: ECAT

 

Record Date			August 15, 2023
Pay Date			August 31, 2023
Distribution Amount per share		$	0.125000

The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net income, net realized short-term capital gains, net realized long-term capital gains and return of capital. All amounts are expressed per common share.

 

		Current Distribution				% Breakdown of the Current Distribution								Total Cumulative Distributions for the Fiscal  Year to Date								% Breakdown of the Total Cumulative Distributions for the Fiscal Year to Date
Net Income		$	0.030007				24%							$	0.088607								9%
Net Realized Short-Term Capital Gains		$	-				0%							$	-								0%
Net Realized Long-Term Capital Gains		$	-				0%							$	-								0%
Return of Capital		$	0.094993				76%							$	0.886393								91%
Total (per common share)		$	0.125000				100%							$	0.975000								100%
Average annual total return (in relation to NAV) for the 5-year period ending on July 31, 2023*																							2.25%
Annualized current distribution rate expressed as a percentage of NAV as of July 31, 2023																							8.29%
Cumulative total return (in relation to NAV) for the fiscal year through July 31, 2023																							15.00%
Cumulative fiscal year distributions as a percentage of NAV as of July 31, 2023																							4.70%

*Portfolio launched within the past 5 years; the performance and distribution rate information presented for this Fund reflects data from inception to 7/31/2023 You should not draw any conclusions about the Fund’s investment performance from the amount of this distribution or from the terms of the Fund’s Managed Distribution Plan.

The Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with ‘yield’ or ‘income’.

When distributions exceed total return performance, the difference will reduce the Fund’s net asset value per share.

The amounts and sources of distributions reported in this Notice are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Fund’s investment experience during its fiscal year and may be subject to changes based on tax regulations. The Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes.

 

Contact Number:   800-882-0052

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