Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)
29 11월 2023 - 2:39AM
Edgar (US Regulatory)
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| Schedule of Investments (unaudited)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
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Security |
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Par
(000) |
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Value |
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| Asset-Backed Securities |
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| Cayman Islands(b) — 1.9% |
|
| ALM Ltd., Series 2020-1A, Class D, (3-mo. CME Term SOFR +
6.26%), 11.57%, 10/15/29(a) |
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USD |
|
|
|
325 |
|
|
$ |
304,393 |
|
| Apidos CLO XXXVI, Series 2021-36A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.19%, 07/20/34(a) |
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|
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250 |
|
|
|
247,925 |
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| Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3-mo. CME Term SOFR + 6.76%), 12.11%, 10/25/34(a) |
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250 |
|
|
|
237,792 |
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| Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3-mo. CME Term SOFR + 3.51%), 8.82%, 07/15/31(a) |
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250 |
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239,031 |
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| Birch Grove CLO Ltd.(a) |
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| Series 19A, Class DR, (3-mo. CME Term SOFR + 3.61%), 9.02%, 06/15/31 |
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|
500 |
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497,096 |
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| Series 2021-3A, Class D1, (3-mo. CME Term SOFR + 3.46%), 8.78%, 01/19/35 |
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|
500 |
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482,386 |
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| BlueMountain CLO Ltd., Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.44%), 6.79%, 10/22/30(a) |
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|
201 |
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199,738 |
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| Carlyle U.S. CLO Ltd., Series 2018-4A, Class A2, (3-mo. CME Term SOFR + 2.06%), 7.39%, 01/20/31(a) |
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|
500 |
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|
497,400 |
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| CarVal CLO VC Ltd.(a) |
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| Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.51%), 8.82%, 10/15/34 |
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250 |
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243,782 |
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| Series 2021-2A, Class E, (3-mo. CME Term SOFR + 7.01%), 12.32%, 10/15/34 |
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250 |
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237,559 |
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| Cedar Funding IX CLO Ltd., Series 2018-9A, Class D, (3-mo. CME Term SOFR + 2.86%), 8.19%, 04/20/31(a) |
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250 |
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237,635 |
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| Cedar Funding XIV CLO Ltd.(a) |
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| Series 2021-14A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.17%, 07/15/33 |
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500 |
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489,550 |
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| Series 2021-14A, Class E, (3-mo. CME Term SOFR + 6.60%), 11.91%, 07/15/33 |
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250 |
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228,660 |
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| CIFC Funding Ltd., Series 2013-1A, Class CR, (3-mo. CME Term SOFR + 3.81%), 9.12%, 07/16/30(a) |
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500 |
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494,358 |
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| Elmwood CLO I Ltd., Series 2019-1A, Class AR, (3-mo. CME Term SOFR + 1.71%), 7.04%, 10/20/33(a) |
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250 |
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249,922 |
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| Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3-mo. CME Term SOFR + 7.06%), 12.39%, 04/20/34(a) |
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750 |
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740,195 |
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| Elmwood CLO IV Ltd., Series 2020-1A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.27%, 04/15/33(a) |
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500 |
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497,200 |
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| Elmwood CLO VII Ltd., Series 2020-4A, Class SUB, 0.00%,
01/17/34(a) |
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1,000 |
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798,100 |
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| Generate CLO Ltd., Series 6A, Class DR, (3-mo. CME Term SOFR + 3.76%), 9.11%, 01/22/35(a) |
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750 |
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720,568 |
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| GoldenTree Loan Management U.S. CLO Ltd.(a) |
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| Series 2019-5A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.14%, 10/20/32 |
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250 |
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248,375 |
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| Series 2021-11A, Class E, (3-mo. CME Term SOFR + 5.61%), 10.94%, 10/20/34 |
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1,500 |
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1,392,778 |
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Security |
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Par
(000) |
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Value |
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| Cayman Islands (continued) |
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| GoldenTree Loan Management U.S. CLO Ltd.(a)
(continued) |
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| Series 2021-9A, Class E, (3-mo. CME Term SOFR + 5.01%), 10.34%, 01/20/33 |
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USD |
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|
750 |
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$ |
684,066 |
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| Golub Capital Partners CLO Ltd.(a) |
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| Series 2021-53A, Class E, (3-mo. CME Term SOFR + 6.96%), 12.29%, 07/20/34 |
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250 |
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247,238 |
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| Series 2021-55A, Class E, (3-mo. CME Term SOFR + 6.82%), 12.15%, 07/20/34 |
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|
250 |
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|
247,344 |
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| Gulf Stream Meridian Ltd.(a) |
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| Series 2020-IA, Class E, (3-mo. CME Term SOFR + 6.71%), 12.02%, 04/15/33 |
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375 |
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344,113 |
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| Series 2022-7A, Class D, (3-mo. CME Term SOFR + 6.85%), 12.16%, 07/15/35 |
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250 |
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235,794 |
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| Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.83%,
10/19/34(a) |
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500 |
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490,067 |
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| Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3-mo. CME Term SOFR + 5.96%), 11.27%,
10/18/30(a) |
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250 |
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239,387 |
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| Madison Park Funding XXXIV Ltd., Series 2019-34A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.96%,
04/25/32(a) |
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250 |
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243,728 |
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| Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.22%,
07/17/34(a) |
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500 |
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495,950 |
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| Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3-mo. LIBOR US + 3.65%), 9.26%, 01/22/35(a) |
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250 |
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|
240,241 |
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| Mill City Solar Loan Ltd. |
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| Series 2019-1A, Class C, 5.92%, 03/20/43 |
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1,277 |
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1,047,491 |
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| Series 2019-1A, Class D, 7.14%, 03/20/43 |
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1,954 |
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1,433,458 |
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| Myers Park CLO Ltd., Series 2018-1A, Class E, (3-mo. CME Term SOFR + 5.76%), 11.09%, 10/20/30(a) |
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250 |
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226,695 |
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| Neuberger Berman CLO XIV Ltd., Series 2012-14A, Class AR2, (3-mo. CME Term SOFR + 1.29%), 6.66%,
01/28/30(a) |
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229 |
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228,352 |
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| Neuberger Berman Loan Advisers CLO Ltd., Series 2021- 46A, Class B, (3-mo. CME Term SOFR + 1.91%),
7.24%, 01/20/36(a) |
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250 |
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248,075 |
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| Octagon Ltd., Series 2021-1A, Class D,
(3-mo. CME Term SOFR + 3.31%), 8.62%, 07/15/34(a) |
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1,500 |
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1,429,357 |
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| OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.30%, 10/25/34(a) |
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250 |
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248,450 |
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| OHA Loan Funding Ltd., Series 2013-2A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.68%, 05/23/31(a) |
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|
496 |
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494,879 |
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| Palmer Square CLO Ltd.(a) |
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| Series 2013-2A, Class A2R3, (3-mo. CME Term SOFR + 1.76%), 7.07%, 10/17/31 |
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250 |
|
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246,825 |
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| Series 2020-3A, Class A2R, (3-mo. CME Term SOFR + 1.86%), 7.23%, 11/15/31 |
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500 |
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496,400 |
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| Palmer Square Loan Funding Ltd., Series 2021-4A, Class E, (3-mo. CME Term SOFR + 7.77%), 13.08%,
10/15/29(a) |
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|
500 |
|
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|
497,594 |
|
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| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
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Security |
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Par
(000) |
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Value |
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| Cayman Islands (continued) |
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| Park Avenue Institutional Advisers CLO Ltd., Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.66%),
8.97%, 07/15/34(a) |
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USD |
|
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|
1,650 |
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$ |
1,608,831 |
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| Pikes Peak CLO, Series 2021-11A, Class A1, (3-mo. CME Term SOFR + 1.95%), 7.30%, 07/25/34(a) |
|
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1,500 |
|
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|
1,515,293 |
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| Rad CLO Ltd., Series 2021-15A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.79%, 01/20/34(a) |
|
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|
250 |
|
|
|
235,229 |
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| Regatta XVII Funding Ltd., Series 2020-1A, Class E, (3-mo. CME Term SOFR + 7.87%), 13.18%, 10/15/33(a) |
|
|
|
|
|
|
250 |
|
|
|
248,922 |
|
| Regatta XXIV Funding Ltd.(a) |
|
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|
|
|
|
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| Series 2021-5A, Class D, (3-mo. CME Term SOFR + 3.36%), 8.69%, 01/20/35 |
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|
250 |
|
|
|
244,543 |
|
| Series 2021-5A, Class E, (3-mo. CME Term SOFR + 7.06%), 12.39%, 01/20/35 |
|
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|
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|
250 |
|
|
|
241,392 |
|
| Sixth Street CLO XVI Ltd., Series 2020-16A, Class A1A, (3-mo. CME Term SOFR + 1.58%), 6.91%, 10/20/32(a) |
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|
750 |
|
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|
749,255 |
|
| Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.79%, 01/20/34(a) |
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|
750 |
|
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|
725,419 |
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| Stratus CLO Ltd.(a) |
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| Series 2021-1A, Class E, (3-mo. CME Term SOFR + 5.26%), 10.59%, 12/29/29 |
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|
1,250 |
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|
1,171,143 |
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| Series 2021-1A, Class SUB, 0.00%, 12/29/29 |
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|
1,250 |
|
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|
628,963 |
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| Series 2021-2A, Class E, (3-mo. CME Term SOFR + 6.01%), 11.34%, 12/28/29 |
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|
300 |
|
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|
296,458 |
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| Series 2021-3A, Class E, (3-mo. CME Term SOFR + 6.01%), 11.34%, 12/29/29 |
|
|
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|
250 |
|
|
|
241,058 |
|
| Symphony CLO XXIII Ltd., Series 2020-23A, Class ER, (3-mo. CME Term SOFR + 6.41%), 11.72%, 01/15/34(a) |
|
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|
|
|
|
500 |
|
|
|
478,979 |
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| TICP CLO IX Ltd., Series 2017-9A, Class D, (3-mo. CME Term SOFR + 3.16%), 8.49%, 01/20/31(a) |
|
|
|
|
|
|
250 |
|
|
|
246,416 |
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| TICP CLO XIV Ltd., Series 2019-14A, Class DR, (3-mo. CME Term SOFR + 6.96%), 12.29%, 10/20/32(a) |
|
|
|
|
|
|
500 |
|
|
|
487,531 |
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| Trestles CLO V Ltd., Series 2021-5A, Class E, (3-mo. CME Term SOFR + 6.61%), 11.94%, 10/20/34(a) |
|
|
|
|
|
|
1,000 |
|
|
|
969,802 |
|
| Trimaran CAVU Ltd.(a) |
|
|
|
|
|
|
|
|
|
|
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| Series 2019-1A, Class E, (3-mo. CME Term SOFR + 7.30%), 12.63%, 07/20/32 |
|
|
|
|
|
|
500 |
|
|
|
460,264 |
|
| Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.51%), 8.86%, 10/25/34 |
|
|
|
|
|
|
550 |
|
|
|
540,685 |
|
| Voya CLO Ltd., Series 2019-3A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.22%, 10/17/32(a) |
|
|
|
|
|
|
250 |
|
|
|
248,000 |
|
| Whitebox CLO II Ltd., Series 2020-2A, Class ER, (3-mo. CME Term SOFR + 7.36%), 12.71%, 10/24/34(a) |
|
|
|
|
|
|
250 |
|
|
|
237,504 |
|
| Whitebox CLO III Ltd.(a) |
|
|
|
|
|
|
|
|
|
|
|
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| Series 2021-3A, Class D, (3-mo. CME Term SOFR + 3.61%), 8.92%, 10/15/34 |
|
|
|
|
|
|
1,000 |
|
|
|
966,834 |
|
| Series 2021-3A, Class E, (3-mo. CME Term SOFR + 7.11%), 12.42%, 10/15/34 |
|
|
|
|
|
|
1,250 |
|
|
|
1,212,488 |
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
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|
33,104,956 |
|
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|
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|
Security |
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|
Par
(000) |
|
|
Value |
|
|
| United States(b) — 1.7% |
|
| FirstKey Homes Trust, Series 2022-SFR1, Class E1, 5.00%, 05/17/39 |
|
|
USD |
|
|
|
3,000 |
|
|
$ |
2,717,332 |
|
| Gulf Stream Meridian Ltd., Series 2020-IA, Class A1, (3-mo. CME Term SOFR + 1.63%), 6.94%, 04/15/33(a) |
|
|
|
|
|
|
500 |
|
|
|
503,861 |
|
| Home Partners of America Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-2, Class F, 3.80%, 12/17/26 |
|
|
|
|
|
|
2,407 |
|
|
|
2,050,821 |
|
| Series 2021-3, Class F, 4.24%, 01/17/41 |
|
|
|
|
|
|
3,682 |
|
|
|
3,016,278 |
|
| Mariner Finance Issuance Trust, Series 2021-BA, Class E, 4.68%, 11/20/36 |
|
|
|
|
|
|
470 |
|
|
|
364,248 |
|
| Mosaic Solar Loan Trust, Series 2018-2GS, Class C, 5.97%, 02/22/44 |
|
|
|
|
|
|
365 |
|
|
|
301,090 |
|
| New Residential Mortgage Loan Trust, Series 2022- SFR1, Class F, 4.44%, 02/17/39 |
|
|
|
|
|
|
3,000 |
|
|
|
2,563,622 |
|
| Progress Residential Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-SFR10, Class F, 4.61%, 12/17/40 |
|
|
|
|
|
|
2,985 |
|
|
|
2,484,558 |
|
| Series 2021-SFR11, Class G, 4.69%, 01/17/39 |
|
|
|
|
|
|
3,000 |
|
|
|
2,447,589 |
|
| Series 2021-SFR9, Class F, 4.05%, 11/17/40 |
|
|
|
|
|
|
2,400 |
|
|
|
1,931,813 |
|
| Series 2022-SFR1, Class F, 4.88%, 02/17/41 |
|
|
|
|
|
|
2,000 |
|
|
|
1,656,535 |
|
| Series 2022-SFR1, Class G, 5.52%, 02/17/41 |
|
|
|
|
|
|
2,000 |
|
|
|
1,639,015 |
|
| Series 2022-SFR3, Class E1, 5.20%, 04/17/39 |
|
|
|
|
|
|
2,700 |
|
|
|
2,478,714 |
|
| Republic Finance Issuance Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-A, Class D, 7.00%, 11/20/30 |
|
|
|
|
|
|
600 |
|
|
|
549,791 |
|
| Series 2021-A, Class D, 5.23%, 12/22/31 |
|
|
|
|
|
|
800 |
|
|
|
663,792 |
|
| Tricon Residential Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-SFR1, Class F, 3.69%, 07/17/38 |
|
|
|
|
|
|
1,375 |
|
|
|
1,196,229 |
|
| Series 2021-SFR1, Class G, 4.13%, 07/17/38 |
|
|
|
|
|
|
887 |
|
|
|
776,350 |
|
| Series 2022-SFR1, Class E2, 5.74%, 04/17/39 |
|
|
|
|
|
|
1,200 |
|
|
|
1,101,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,443,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities — 3.6%
(Cost: $68,449,278) |
|
|
|
61,548,069 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Shares |
|
|
|
|
|
|
|
|
| Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Canada — 0.3% |
|
|
|
|
|
|
|
|
|
| Cameco Corp. |
|
|
|
|
|
|
91,061 |
|
|
|
3,609,658 |
|
| Enbridge, Inc. |
|
|
|
|
|
|
45,358 |
|
|
|
1,504,420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,114,078 |
|
|
|
|
|
| China — 0.5% |
|
|
|
|
|
|
|
|
|
| BYD Co. Ltd., Class H |
|
|
|
|
|
|
251,500 |
|
|
|
7,748,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Finland — 0.6% |
|
|
|
|
|
|
|
|
|
| Neste OYJ |
|
|
|
|
|
|
286,283 |
|
|
|
9,696,011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| France — 5.0% |
|
|
|
|
|
|
|
|
|
| Accor SA |
|
|
|
|
|
|
43,971 |
|
|
|
1,478,938 |
|
| BNP Paribas SA |
|
|
|
|
|
|
185,805 |
|
|
|
11,814,648 |
|
| Cie de Saint-Gobain |
|
|
|
|
|
|
322,094 |
|
|
|
19,277,447 |
|
| EssilorLuxottica SA |
|
|
|
|
|
|
15,430 |
|
|
|
2,683,981 |
|
| Hermes International |
|
|
|
|
|
|
1,157 |
|
|
|
2,109,011 |
|
| Kering SA |
|
|
|
|
|
|
11,960 |
|
|
|
5,434,179 |
|
| LVMH Moet Hennessy Louis Vuitton SE |
|
|
|
|
|
|
18,036 |
|
|
|
13,614,122 |
|
| Sanofi |
|
|
|
|
|
|
27,689 |
|
|
|
2,973,113 |
|
| Schneider Electric SE |
|
|
|
|
|
|
118,039 |
|
|
|
19,451,891 |
|
| TotalEnergies SE |
|
|
|
|
|
|
39,272 |
|
|
|
2,582,107 |
|
|
|
|
| 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 |
|
2 |
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Shares |
|
|
Value |
|
|
|
|
|
| France (continued) |
|
|
|
|
|
|
|
|
|
| TotalEnergies SE, ADR |
|
|
|
|
|
|
44,000 |
|
|
$ |
2,893,440 |
|
| Vinci SA |
|
|
|
|
|
|
21,959 |
|
|
|
2,429,347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
86,742,224 |
|
|
|
|
|
| Germany — 2.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| Commerzbank AG |
|
|
|
|
|
|
115,017 |
|
|
|
1,305,367 |
|
| Infineon Technologies AG |
|
|
|
|
|
|
15,643 |
|
|
|
518,108 |
|
| Mercedes-Benz Group AG, Registered Shares |
|
|
|
|
|
|
182,331 |
|
|
|
12,689,640 |
|
| SAP SE |
|
|
|
|
|
|
169,532 |
|
|
|
21,944,567 |
|
| SAP SE, ADR(c) |
|
|
|
|
|
|
6,500 |
|
|
|
840,580 |
|
| Siemens AG, Registered Shares |
|
|
|
|
|
|
77,778 |
|
|
|
11,115,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,413,410 |
|
|
|
|
|
| Hong Kong — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| AIA Group Ltd. |
|
|
|
|
|
|
402,000 |
|
|
|
3,251,031 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Israel — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Nice Ltd., ADR(d) |
|
|
|
|
|
|
21,363 |
|
|
|
3,631,710 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Italy — 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| Ariston Holding NV |
|
|
|
|
|
|
460,343 |
|
|
|
3,000,491 |
|
| Intesa Sanpaolo SpA |
|
|
|
|
|
|
839,420 |
|
|
|
2,149,937 |
|
| UniCredit SpA |
|
|
|
|
|
|
124,739 |
|
|
|
2,972,079 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,122,507 |
|
|
|
|
|
| Japan — 2.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| FANUC Corp. |
|
|
|
|
|
|
205,300 |
|
|
|
5,339,324 |
|
| Honda Motor Co. Ltd. |
|
|
|
|
|
|
471,600 |
|
|
|
5,305,355 |
|
| Japan Airlines Co. Ltd. |
|
|
|
|
|
|
296,300 |
|
|
|
5,756,864 |
|
| Keyence Corp. |
|
|
|
|
|
|
17,100 |
|
|
|
6,324,017 |
|
| Komatsu Ltd. |
|
|
|
|
|
|
152,200 |
|
|
|
4,105,004 |
|
| Sysmex Corp. |
|
|
|
|
|
|
79,100 |
|
|
|
3,758,608 |
|
| Toyota Motor Corp. |
|
|
|
|
|
|
326,700 |
|
|
|
5,861,104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,450,276 |
|
|
|
|
|
| Netherlands — 2.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| ASML Holding NV |
|
|
|
|
|
|
29,192 |
|
|
|
17,186,790 |
|
| ING Groep NV, Series N |
|
|
|
|
|
|
1,496,501 |
|
|
|
19,723,983 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,910,773 |
|
|
|
|
|
| Norway — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Equinor ASA, ADR |
|
|
|
|
|
|
24,000 |
|
|
|
786,960 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| South Korea — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Samsung SDI Co. Ltd. |
|
|
|
|
|
|
11,346 |
|
|
|
4,287,795 |
|
| SK Hynix, Inc. |
|
|
|
|
|
|
37,534 |
|
|
|
3,177,803 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,465,598 |
|
|
|
|
|
| Spain — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cellnex Telecom SA(b) |
|
|
|
|
|
|
170,533 |
|
|
|
5,931,479 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sweden — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Volvo AB, Class B, B Shares |
|
|
|
|
|
|
127,866 |
|
|
|
2,633,737 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Switzerland — 2.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Alcon, Inc. |
|
|
|
|
|
|
116,469 |
|
|
|
8,987,609 |
|
| Lonza Group AG, Registered Shares |
|
|
|
|
|
|
7,749 |
|
|
|
3,584,277 |
|
| Nestle SA, Registered Shares |
|
|
|
|
|
|
146,735 |
|
|
|
16,609,814 |
|
| TE Connectivity Ltd. |
|
|
|
|
|
|
50,726 |
|
|
|
6,266,183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,447,883 |
|
|
|
|
|
| Taiwan — 0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR |
|
|
|
|
|
|
117,258 |
|
|
|
10,189,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United Kingdom — 2.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| AstraZeneca PLC |
|
|
|
|
|
|
4,000 |
|
|
|
539,538 |
|
| AstraZeneca PLC, ADR |
|
|
|
|
|
|
142,797 |
|
|
|
9,670,213 |
|
| Barclays PLC |
|
|
|
|
|
|
1,232,954 |
|
|
|
2,376,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Shares |
|
|
Value |
|
|
|
|
|
| United Kingdom (continued) |
|
|
|
|
|
|
|
|
|
| Compass Group PLC |
|
|
|
|
|
|
132,712 |
|
|
$ |
3,230,420 |
|
| Lloyds Banking Group PLC, Series L |
|
|
|
|
|
|
3,345,972 |
|
|
|
1,798,106 |
|
| RELX PLC |
|
|
|
|
|
|
226,568 |
|
|
|
7,644,385 |
|
| Teya Services Ltd., Series C, (Acquired 11/16/21, |
|
|
|
|
|
|
|
|
|
|
|
|
| Cost: $1,099,370)(e)(f) |
|
|
|
|
|
|
566 |
|
|
|
297,008 |
|
| Unilever PLC |
|
|
|
|
|
|
266,618 |
|
|
|
13,188,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,744,836 |
|
|
|
|
|
| United States — 38.8% |
|
|
|
|
|
|
|
|
|
|
|
|
| Abbott Laboratories(g) |
|
|
|
|
|
|
164,351 |
|
|
|
15,917,394 |
|
| Activision Blizzard, Inc. |
|
|
|
|
|
|
5,205 |
|
|
|
487,344 |
|
| Adobe, Inc.(d) |
|
|
|
|
|
|
9,476 |
|
|
|
4,831,812 |
|
| Advanced Micro Devices, Inc., Series E(d) |
|
|
|
|
|
|
54,904 |
|
|
|
5,645,229 |
|
| Air Products and Chemicals, Inc. |
|
|
|
|
|
|
42,099 |
|
|
|
11,930,857 |
|
| Albemarle Corp. |
|
|
|
|
|
|
18,675 |
|
|
|
3,175,497 |
|
| Alphabet, Inc., Class C(d) |
|
|
|
|
|
|
288,717 |
|
|
|
38,067,337 |
|
| Amazon.com, Inc.(d) |
|
|
|
|
|
|
105,146 |
|
|
|
13,366,160 |
|
| American Tower Corp.(g) |
|
|
|
|
|
|
99,862 |
|
|
|
16,422,306 |
|
| Amgen, Inc. |
|
|
|
|
|
|
5,883 |
|
|
|
1,581,115 |
|
| Apple, Inc., Series BB |
|
|
|
|
|
|
92,639 |
|
|
|
15,860,723 |
|
| Applied Materials, Inc. |
|
|
|
|
|
|
126,671 |
|
|
|
17,537,600 |
|
| Archer-Daniels-Midland Co. |
|
|
|
|
|
|
146,060 |
|
|
|
11,015,845 |
|
| Boston Scientific Corp.(d) |
|
|
|
|
|
|
478,006 |
|
|
|
25,238,717 |
|
| Bunge Ltd. |
|
|
|
|
|
|
30,840 |
|
|
|
3,338,430 |
|
| Cadence Design Systems, Inc.(d) |
|
|
|
|
|
|
7,682 |
|
|
|
1,799,893 |
|
| Cencora, Inc. |
|
|
|
|
|
|
9,667 |
|
|
|
1,739,770 |
|
| CF Industries Holdings, Inc. |
|
|
|
|
|
|
60,060 |
|
|
|
5,149,544 |
|
| Comcast Corp., Class A |
|
|
|
|
|
|
97,140 |
|
|
|
4,307,188 |
|
| Constellation Brands, Inc., Class A |
|
|
|
|
|
|
2,842 |
|
|
|
714,280 |
|
| Costco Wholesale Corp. |
|
|
|
|
|
|
10,973 |
|
|
|
6,199,306 |
|
| Delta Air Lines, Inc. |
|
|
|
|
|
|
111,506 |
|
|
|
4,125,722 |
|
| Dexcom, Inc.(d) |
|
|
|
|
|
|
34,338 |
|
|
|
3,203,735 |
|
| Edwards Lifesciences Corp.(d) |
|
|
|
|
|
|
142,862 |
|
|
|
9,897,479 |
|
| Eli Lilly & Co. |
|
|
|
|
|
|
51,487 |
|
|
|
27,655,212 |
|
| Ford Motor Co. |
|
|
|
|
|
|
60,186 |
|
|
|
747,510 |
|
| Fortive Corp. |
|
|
|
|
|
|
75,262 |
|
|
|
5,581,430 |
|
| General Motors Co. |
|
|
|
|
|
|
19,413 |
|
|
|
640,047 |
|
| Hilton Worldwide Holdings, Inc. |
|
|
|
|
|
|
35,421 |
|
|
|
5,319,526 |
|
| Home Depot, Inc. |
|
|
|
|
|
|
5,492 |
|
|
|
1,659,463 |
|
| Humana, Inc. |
|
|
|
|
|
|
26,849 |
|
|
|
13,062,576 |
|
| Ingersoll Rand, Inc. |
|
|
|
|
|
|
56,545 |
|
|
|
3,603,047 |
|
| Intuit, Inc. |
|
|
|
|
|
|
5,433 |
|
|
|
2,775,937 |
|
| Intuitive Surgical, Inc.(d) |
|
|
|
|
|
|
56,229 |
|
|
|
16,435,174 |
|
| Johnson Controls International PLC |
|
|
|
|
|
|
83,501 |
|
|
|
4,443,088 |
|
| JPMorgan Chase & Co. |
|
|
|
|
|
|
44,507 |
|
|
|
6,454,405 |
|
| KLA Corp. |
|
|
|
|
|
|
3,913 |
|
|
|
1,794,737 |
|
| L3Harris Technologies, Inc. |
|
|
|
|
|
|
39,174 |
|
|
|
6,820,977 |
|
| Lennar Corp., Class A |
|
|
|
|
|
|
1,056 |
|
|
|
118,515 |
|
| Linde PLC |
|
|
|
|
|
|
16,781 |
|
|
|
6,248,405 |
|
| LPL Financial Holdings, Inc. |
|
|
|
|
|
|
56,015 |
|
|
|
13,311,965 |
|
| M/I Homes, Inc.(d) |
|
|
|
|
|
|
4,784 |
|
|
|
402,047 |
|
| Marsh & McLennan Cos., Inc. |
|
|
|
|
|
|
220,467 |
|
|
|
41,954,870 |
|
| Masco Corp. |
|
|
|
|
|
|
139,224 |
|
|
|
7,441,523 |
|
| Mastercard, Inc., Class A |
|
|
|
|
|
|
74,209 |
|
|
|
29,380,085 |
|
| McDonald’s Corp. |
|
|
|
|
|
|
1,153 |
|
|
|
303,746 |
|
| McKesson Corp. |
|
|
|
|
|
|
4,972 |
|
|
|
2,162,074 |
|
| Merck & Co., Inc. |
|
|
|
|
|
|
147,332 |
|
|
|
15,167,829 |
|
| Meritage Homes Corp. |
|
|
|
|
|
|
2,335 |
|
|
|
285,781 |
|
| Micron Technology, Inc. |
|
|
|
|
|
|
77,559 |
|
|
|
5,276,339 |
|
| Microsoft Corp.(g) |
|
|
|
|
|
|
154,735 |
|
|
|
48,857,576 |
|
| Mr. Cooper Group, Inc.(d) |
|
|
|
|
|
|
14,649 |
|
|
|
784,600 |
|
| NextEra Energy, Inc.(g) |
|
|
|
|
|
|
342,945 |
|
|
|
19,647,319 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Shares |
|
|
Value |
|
|
|
|
|
| United States (continued) |
|
|
|
|
|
|
|
|
|
| NIKE, Inc., Class B |
|
|
|
|
|
|
66,324 |
|
|
$ |
6,341,901 |
|
| NVIDIA Corp. |
|
|
|
|
|
|
30,380 |
|
|
|
13,214,996 |
|
| Palo Alto Networks, Inc.(d) |
|
|
|
|
|
|
15,403 |
|
|
|
3,611,079 |
|
| Progressive Corp. |
|
|
|
|
|
|
29,856 |
|
|
|
4,158,941 |
|
| Proof Acquisition Corp.(e) |
|
|
|
|
|
|
24,722 |
|
|
|
94,685 |
|
| Rockwell Automation, Inc. |
|
|
|
|
|
|
23,342 |
|
|
|
6,672,778 |
|
| RXO, Inc.(d) |
|
|
|
|
|
|
5,166 |
|
|
|
101,925 |
|
| Salesforce, Inc.(d) |
|
|
|
|
|
|
88,995 |
|
|
|
18,046,406 |
|
| Schlumberger NV |
|
|
|
|
|
|
13,385 |
|
|
|
780,346 |
|
| ServiceNow, Inc.(d)(g) |
|
|
|
|
|
|
37,464 |
|
|
|
20,940,878 |
|
| SPDR S&P Biotech ETF(c) |
|
|
|
|
|
|
40,000 |
|
|
|
2,920,800 |
|
| Symbotic Corp., Class A |
|
|
|
|
|
|
2,314 |
|
|
|
77,357 |
|
| Tesla, Inc.(d) |
|
|
|
|
|
|
63,400 |
|
|
|
15,863,948 |
|
| Thermo Fisher Scientific, Inc.(g) |
|
|
|
|
|
|
47,627 |
|
|
|
24,107,359 |
|
| Uber Technologies, Inc.(d) |
|
|
|
|
|
|
12,400 |
|
|
|
570,276 |
|
| United Parcel Service, Inc., Class B |
|
|
|
|
|
|
24,850 |
|
|
|
3,873,370 |
|
| UnitedHealth Group, Inc. |
|
|
|
|
|
|
30,073 |
|
|
|
15,162,506 |
|
| Verge Genomics, Inc., Series C, (Acquired 09/06/23, Cost: $345,314)(e)(f) |
|
|
|
|
|
|
48,019 |
|
|
|
345,314 |
|
| Visa, Inc., Class A |
|
|
|
|
|
|
16,100 |
|
|
|
3,703,161 |
|
| Walmart, Inc., Series M |
|
|
|
|
|
|
36,513 |
|
|
|
5,839,524 |
|
| Walt Disney Co.(d) |
|
|
|
|
|
|
103,007 |
|
|
|
8,348,717 |
|
| Zoetis, Inc., Class A |
|
|
|
|
|
|
17,816 |
|
|
|
3,099,628 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
667,764,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks — 58.9%
(Cost: $999,649,073) |
|
|
|
1,015,045,984 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Par
(000) |
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
|
| Australia — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| FMG Resources August Pty. Ltd., 6.13%,
04/15/32(b) |
|
|
USD |
|
|
|
1,257 |
|
|
|
1,143,086 |
|
| Oceana Australian Fixed Income Trust, A Note
Upsize(e) |
|
|
|
|
|
|
|
|
|
|
|
|
| 12.00%, 08/31/25 |
|
|
AUD |
|
|
|
1,682 |
|
|
|
1,080,144 |
|
| 12.50%, 08/31/26 |
|
|
|
|
|
|
2,524 |
|
|
|
1,619,722 |
|
| 12.50%, 08/31/27 |
|
|
|
|
|
|
4,206 |
|
|
|
2,697,487 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,540,439 |
|
|
|
|
|
| Austria — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Benteler International AG, 9.38%, 05/15/28 |
|
|
EUR |
|
|
|
207 |
|
|
|
221,842 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Belgium(h) — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Anheuser-Busch InBev SA, 4.00%, 09/24/25 |
|
|
GBP |
|
|
|
100 |
|
|
|
118,990 |
|
| KBC Group NV, (1-year UK Government Bond + 0.92%), 1.25%, 09/21/27(a) |
|
|
|
|
|
|
100 |
|
|
|
106,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
225,065 |
|
|
|
|
|
| Canada — 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
| Mattamy Group Corp., 5.25%, 12/15/27(b) |
|
|
USD |
|
|
|
938 |
|
|
|
856,048 |
|
| Rogers Communications, Inc., 3.20%, 03/15/27 |
|
|
|
|
|
|
2,500 |
|
|
|
2,286,641 |
|
| Toronto-Dominion Bank, 2.88%, 04/05/27(h) |
|
|
GBP |
|
|
|
100 |
|
|
|
110,739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,253,428 |
|
|
|
|
|
| France — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Altice France SA/France, 5.50%, 01/15/28(b) |
|
|
USD |
|
|
|
267 |
|
|
|
205,648 |
|
| BNP Paribas SA(h)
3.38%, 01/23/26 |
|
|
GBP |
|
|
|
100 |
|
|
|
114,824 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
| France (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| BNP Paribas SA(h) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.88%, 12/14/27 |
|
|
GBP |
|
|
|
100 |
|
|
$ |
103,100 |
|
| Societe Generale SA, 1.88%, 10/03/24(h) |
|
|
|
|
|
|
100 |
|
|
|
116,977 |
|
| TotalEnergies Capital International SA, 1.66%,
07/22/26(h) |
|
|
|
|
|
|
100 |
|
|
|
111,170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
651,719 |
|
|
|
|
|
| Germany — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Adler Pelzer Holding GmbH, 9.50%, 04/01/27(b) |
|
|
EUR |
|
|
|
1,668 |
|
|
|
1,637,964 |
|
| Lanxess AG, 10.25%, 03/31/31(e) |
|
|
|
|
|
|
2,600 |
|
|
|
2,693,873 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,331,837 |
|
|
|
|
|
| Japan — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Mizuho Financial Group, Inc., (1-year CMT + 1.25%), 3.26%, 05/22/30(a) |
|
|
USD |
|
|
|
2,040 |
|
|
|
1,755,502 |
|
| Rakuten Group, Inc., 10.25%, 11/30/24(b) |
|
|
|
|
|
|
555 |
|
|
|
554,405 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,309,907 |
|
|
|
|
|
| MultiNational — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Connect Finco SARL/Connect U.S. Finco LLC, 6.75%,
10/01/26(b) |
|
|
|
|
|
|
1,250 |
|
|
|
1,165,872 |
|
| NXP BV/NXP Funding LLC/NXP USA, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.88%, 06/18/26 |
|
|
|
|
|
|
1,626 |
|
|
|
1,543,432 |
|
| 3.25%, 11/30/51 |
|
|
|
|
|
|
3,380 |
|
|
|
2,033,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,742,374 |
|
|
|
|
|
| Netherlands — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cooperatieve Rabobank UA, (1-year UK Government Bond + 1.05%), 1.88%, 07/12/28(a)(h) |
|
|
GBP |
|
|
|
100 |
|
|
|
105,788 |
|
| ING Groep NV, 3.00%, 02/18/26(h) |
|
|
|
|
|
|
100 |
|
|
|
114,076 |
|
| Mondelez International Holdings Netherlands BV, 0.75%,
09/24/24(b) |
|
|
USD |
|
|
|
3,000 |
|
|
|
2,854,363 |
|
| Sigma Holdco BV, 5.75%, 05/15/26(h) |
|
|
EUR |
|
|
|
757 |
|
|
|
666,282 |
|
| Trivium Packaging Finance BV, 5.50%,
08/15/26(b) |
|
|
USD |
|
|
|
2,654 |
|
|
|
2,474,677 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,215,186 |
|
|
|
|
|
| Spain(h) — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Banco Santander SA, (1-year UK Government Bond + 1.80%), 3.13%, 10/06/26(a) |
|
|
GBP |
|
|
|
400 |
|
|
|
455,639 |
|
| Telefonica Emisiones SA, 5.38%, 02/02/26 |
|
|
|
|
|
|
200 |
|
|
|
242,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
697,666 |
|
|
|
|
|
| Sweden — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Swedbank AB, (1-year UK Government Bond + 1.00%), 1.38%, 12/08/27(a)(h) |
|
|
|
|
|
|
100 |
|
|
|
105,324 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Switzerland — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Suisse AG, 2.95%, 04/09/25 |
|
|
USD |
|
|
|
1,480 |
|
|
|
1,406,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United Kingdom — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Barclays PLC(h) |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.00%, 05/08/26 |
|
|
GBP |
|
|
|
100 |
|
|
|
112,363 |
|
| 3.25%, 02/12/27 |
|
|
|
|
|
|
100 |
|
|
|
110,137 |
|
| BG Energy Capital PLC, 5.13%, 12/01/25(h) |
|
|
|
|
|
|
200 |
|
|
|
242,390 |
|
| Deuce Finco PLC, 5.50%, 06/15/27(b) |
|
|
|
|
|
|
337 |
|
|
|
360,538 |
|
| HSBC Holdings PLC, (3-mo. LIBOR GBP + 1.31%), 1.75%, 07/24/27(a) |
|
|
|
|
|
|
100 |
|
|
|
107,742 |
|
| Informa PLC, 3.13%, 07/05/26(h) |
|
|
|
|
|
|
100 |
|
|
|
113,235 |
|
| Lloyds Banking Group PLC, 2.25%, 10/16/24(h) |
|
|
|
|
|
|
200 |
|
|
|
234,712 |
|
| NatWest Group PLC(a)(h) |
|
|
|
|
|
|
|
|
|
|
|
|
| (1-year GBP Swap + 1.49%), 2.88%, 09/19/26 |
|
|
|
|
|
|
100 |
|
|
|
113,684 |
|
|
|
|
| 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 |
|
4 |
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
| United Kingdom (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| NatWest Group PLC(a)(h) (continued) |
|
|
GBP |
|
|
|
100 |
|
|
$ |
112,599 |
|
| (1-year GBP Swap + 2.01%), 3.13%, 03/28/27 |
|
|
|
|
|
|
|
|
|
|
|
|
| Santander U.K. Group Holdings PLC, 3.63%,
01/14/26(h) |
|
|
|
|
|
|
100 |
|
|
|
114,515 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,621,915 |
|
|
|
|
|
| United States — 9.8% |
|
|
|
|
|
|
|
|
|
| AbbVie, Inc., 3.20%, 11/21/29 |
|
|
USD |
|
|
|
5,310 |
|
|
|
4,685,801 |
|
| Acadia Healthcare Co., Inc., 5.00%, 04/15/29(b) |
|
|
|
|
|
|
2,176 |
|
|
|
1,956,420 |
|
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.63%, 01/15/27(b) |
|
|
|
|
|
|
431 |
|
|
|
406,958 |
|
| Alexandria Real Estate Equities, Inc., 2.95%, 03/15/34 |
|
|
|
|
|
|
792 |
|
|
|
601,408 |
|
| Allegiant Travel Co., 7.25%, 08/15/27(b) |
|
|
|
|
|
|
635 |
|
|
|
597,694 |
|
| American Tower Corp., 1.88%, 10/15/30 |
|
|
|
|
|
|
119 |
|
|
|
90,050 |
|
| Amgen, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.50%, 12/07/26(h) |
|
|
GBP |
|
|
|
100 |
|
|
|
122,214 |
|
| 2.45%, 02/21/30 |
|
|
USD |
|
|
|
2,080 |
|
|
|
1,722,216 |
|
| 3.00%, 01/15/52 |
|
|
|
|
|
|
2,590 |
|
|
|
1,564,623 |
|
| 2.77%, 09/01/53 |
|
|
|
|
|
|
2,025 |
|
|
|
1,128,453 |
|
| Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 3.25%, 09/01/28(b) |
|
|
|
|
|
|
1,353 |
|
|
|
1,128,120 |
|
| Arsenal AIC Parent LLC, 8.00%, 10/01/30(b) |
|
|
|
|
|
|
117 |
|
|
|
116,417 |
|
| Ashton Woods USA LLC/Ashton Woods Finance Co., Series B, 4.63%, 08/01/29(b) |
|
|
|
|
|
|
2,661 |
|
|
|
2,245,523 |
|
| AT&T, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.90%, 12/04/26 |
|
|
GBP |
|
|
|
200 |
|
|
|
223,154 |
|
| 5.50%, 03/15/27(h) |
|
|
|
|
|
|
100 |
|
|
|
119,936 |
|
| Bank of America Corp.(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| (1-day SOFR + 0.67%), 1.84%, 02/04/25 |
|
|
USD |
|
|
|
1,142 |
|
|
|
1,123,282 |
|
| (1-day SOFR + 0.91%), 0.98%, 09/25/25 |
|
|
|
|
|
|
2,230 |
|
|
|
2,112,122 |
|
| (1-day SOFR + 1.37%), 1.92%, 10/24/31 |
|
|
|
|
|
|
119 |
|
|
|
89,778 |
|
| Baxter International, Inc., 1.32%, 11/29/24 |
|
|
|
|
|
|
1,130 |
|
|
|
1,069,666 |
|
| Becton Dickinson & Co., 3.36%, 06/06/24 |
|
|
|
|
|
|
1,250 |
|
|
|
1,227,931 |
|
| Broadcom, Inc., 1.95%, 02/15/28(b) |
|
|
|
|
|
|
2,124 |
|
|
|
1,810,709 |
|
| Calpine Corp., 4.50%, 02/15/28(b) |
|
|
|
|
|
|
860 |
|
|
|
775,055 |
|
| CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%,
06/01/29(b) |
|
|
|
|
|
|
1,245 |
|
|
|
1,117,024 |
|
| Citigroup, Inc., 1.75%, 10/23/26 |
|
|
GBP |
|
|
|
200 |
|
|
|
217,956 |
|
| Cloud Software Group, Inc., 6.50%, 03/31/29(b) |
|
|
USD |
|
|
|
2,073 |
|
|
|
1,833,218 |
|
| Comcast Corp., 4.65%, 02/15/33 |
|
|
|
|
|
|
2,331 |
|
|
|
2,182,319 |
|
| Commercial Metals Co., 4.38%, 03/15/32 |
|
|
|
|
|
|
1,987 |
|
|
|
1,666,585 |
|
| Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, Series 2020, 6.63%, 07/15/30(b) |
|
|
|
|
|
|
245 |
|
|
|
239,203 |
|
| Covanta Holding Corp., 4.88%, 12/01/29(b) |
|
|
|
|
|
|
3,498 |
|
|
|
2,869,759 |
|
| CSC Holdings LLC(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.38%, 02/01/28 |
|
|
|
|
|
|
1,294 |
|
|
|
1,053,461 |
|
| 7.50%, 04/01/28 |
|
|
|
|
|
|
1,264 |
|
|
|
820,709 |
|
| Dana, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.63%, 06/15/28 |
|
|
|
|
|
|
1,309 |
|
|
|
1,198,167 |
|
| 4.25%, 09/01/30 |
|
|
|
|
|
|
383 |
|
|
|
307,396 |
|
| Dell International LLC/EMC Corp., 5.30%, 10/01/29 |
|
|
|
|
|
|
1,500 |
|
|
|
1,456,152 |
|
| Duke Energy Florida LLC, 2.40%, 12/15/31 |
|
|
|
|
|
|
1,500 |
|
|
|
1,185,936 |
|
| Elevance Health, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.25%, 05/15/30 |
|
|
|
|
|
|
2,500 |
|
|
|
2,033,901 |
|
| 2.55%, 03/15/31 |
|
|
|
|
|
|
3,625 |
|
|
|
2,937,590 |
|
| Emerald Debt Merger Sub LLC, 6.63%, 12/15/30(b) |
|
|
|
|
|
|
1,001 |
|
|
|
963,637 |
|
| Equinix, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.90%, 11/18/26 |
|
|
|
|
|
|
2,000 |
|
|
|
1,835,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
| United States (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Equinix, Inc. (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.55%, 03/15/28 |
|
|
USD |
|
|
|
3,500 |
|
|
$ |
2,916,860 |
|
| Flyr Convertible Notes, 8.00%, 08/10/27(e) |
|
|
|
|
|
|
2,162 |
|
|
|
2,134,953 |
|
| Flyr Secured Notes, 10.31%, 05/10/27(e) |
|
|
|
|
|
|
1,057 |
|
|
|
979,209 |
|
| Ford Motor Co. |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.25%, 02/12/32 |
|
|
|
|
|
|
2,518 |
|
|
|
1,940,530 |
|
| 6.10%, 08/19/32 |
|
|
|
|
|
|
2,250 |
|
|
|
2,119,304 |
|
| Forestar Group, Inc., 3.85%, 05/15/26(b) |
|
|
|
|
|
|
399 |
|
|
|
362,169 |
|
| Freed Corp., 10.00%, 12/07/23(e) |
|
|
|
|
|
|
2,957 |
|
|
|
2,823,773 |
|
| Freedom Mortgage Corp.(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.13%, 11/15/24 |
|
|
|
|
|
|
740 |
|
|
|
740,066 |
|
| 8.25%, 04/15/25 |
|
|
|
|
|
|
826 |
|
|
|
826,170 |
|
| FreeWire Technologies, Inc., 15.27%,
04/26/25(e) |
|
|
|
|
|
|
3,424 |
|
|
|
3,441,451 |
|
| Frontier Communications Holdings LLC(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| 8.75%, 05/15/30 |
|
|
|
|
|
|
1,000 |
|
|
|
949,475 |
|
| 8.63%, 03/15/31 |
|
|
|
|
|
|
395 |
|
|
|
372,117 |
|
| Gen Digital, Inc., 6.75%, 09/30/27(b) |
|
|
|
|
|
|
1,394 |
|
|
|
1,366,628 |
|
| General Motors Financial Co., Inc., 1.50%, 06/10/26 |
|
|
|
|
|
|
1,000 |
|
|
|
883,599 |
|
| Goldman Sachs Group, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.25%, 04/10/28 |
|
|
GBP |
|
|
|
100 |
|
|
|
127,714 |
|
| (1-day SOFR + 0.80%), 1.43%, 03/09/27(a) |
|
|
USD |
|
|
|
2,500 |
|
|
|
2,225,724 |
|
| HCA, Inc., 5.88%, 02/01/29 |
|
|
|
|
|
|
2,605 |
|
|
|
2,562,743 |
|
| Healthpeak OP LLC, 5.25%, 12/15/32 |
|
|
|
|
|
|
3,000 |
|
|
|
2,790,205 |
|
| Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.00%, 06/01/29 |
|
|
|
|
|
|
865 |
|
|
|
750,341 |
|
| 4.88%, 07/01/31 |
|
|
|
|
|
|
1,335 |
|
|
|
1,088,321 |
|
| JPMorgan Chase & Co.(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| (3-mo. CME Term SOFR + 1.11%), 1.76%, 11/19/31 |
|
|
|
|
|
|
119 |
|
|
|
89,507 |
|
| (3-mo. LIBOR GBP + 0.68%), 0.99%, 04/28/26(h)
|
|
|
GBP |
|
|
|
200 |
|
|
|
226,279 |
|
| KB Home, 4.80%, 11/15/29 |
|
|
USD |
|
|
|
2,081 |
|
|
|
1,831,280 |
|
| Kilroy Realty LP, 2.50%, 11/15/32 |
|
|
|
|
|
|
119 |
|
|
|
81,267 |
|
| Kraft Heinz Foods Co., 4.25%, 03/01/31 |
|
|
|
|
|
|
3,000 |
|
|
|
2,732,818 |
|
| Landsea Homes Corp., 11.00%, 07/17/28(e) |
|
|
|
|
|
|
9,092 |
|
|
|
8,819,240 |
|
| Lessen, Inc., 10.27%, 01/04/28(e) |
|
|
|
|
|
|
1,780 |
|
|
|
1,670,604 |
|
| Lions Gate Capital Holdings LLC, 5.50%,
04/15/29(b) |
|
|
|
|
|
|
1,000 |
|
|
|
659,307 |
|
| Lowe’s Cos., Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.70%, 10/15/30 |
|
|
|
|
|
|
2,014 |
|
|
|
1,544,357 |
|
| 3.00%, 10/15/50 |
|
|
|
|
|
|
1,740 |
|
|
|
1,027,566 |
|
| Marriott Ownership Resorts, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.75%, 01/15/28 |
|
|
|
|
|
|
1,294 |
|
|
|
1,132,548 |
|
| 4.50%, 06/15/29(b) |
|
|
|
|
|
|
888 |
|
|
|
744,055 |
|
| Mauser Packaging Solutions Holding Co., 7.88%,
08/15/26(b) |
|
|
|
|
|
|
2,105 |
|
|
|
2,030,769 |
|
| Medline Borrower LP, 3.88%, 04/01/29(b) |
|
|
|
|
|
|
1,641 |
|
|
|
1,387,339 |
|
| Morgan Stanley(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| (1-day SOFR + 1.03%), 1.79%, 02/13/32 |
|
|
|
|
|
|
119 |
|
|
|
88,125 |
|
| (1-day SOFR + 1.14%), 2.70%, 01/22/31 |
|
|
|
|
|
|
2,500 |
|
|
|
2,044,027 |
|
| Nationstar Mortgage Holdings, Inc.(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.00%, 01/15/27 |
|
|
|
|
|
|
224 |
|
|
|
211,663 |
|
| 5.50%, 08/15/28 |
|
|
|
|
|
|
1,921 |
|
|
|
1,694,448 |
|
| 5.13%, 12/15/30 |
|
|
|
|
|
|
961 |
|
|
|
780,261 |
|
| 5.75%, 11/15/31 |
|
|
|
|
|
|
454 |
|
|
|
375,559 |
|
| Northern States Power Co., 2.90%, 03/01/50 |
|
|
|
|
|
|
1,225 |
|
|
|
749,780 |
|
| NRG Energy, Inc., 3.38%, 02/15/29(b) |
|
|
|
|
|
|
1,391 |
|
|
|
1,125,858 |
|
| Olympus Water U.S. Holding Corp.(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.13%, 10/01/27 |
|
|
|
|
|
|
705 |
|
|
|
652,098 |
|
| 9.75%, 11/15/28 |
|
|
|
|
|
|
4,020 |
|
|
|
4,011,310 |
|
| Oncor Electric Delivery Co. LLC, 2.75%, 05/15/30 |
|
|
|
|
|
|
2,025 |
|
|
|
1,705,711 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
| United States (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Oracle Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.65%, 03/25/26 |
|
|
USD |
|
|
|
2,000 |
|
|
$ |
1,811,575 |
|
| 3.60%, 04/01/50 |
|
|
|
|
|
|
2,135 |
|
|
|
1,381,030 |
|
| Pitney Bowes, Inc., 6.88%, 03/15/27(b) |
|
|
|
|
|
|
1,250 |
|
|
|
984,375 |
|
| PNC Financial Services Group, Inc., (1-day SOFR + 1.09%), 4.76%, 01/26/27(a) |
|
|
|
|
|
|
2,427 |
|
|
|
2,359,255 |
|
| Prologis LP, 2.25%, 01/15/32 |
|
|
|
|
|
|
119 |
|
|
|
92,189 |
|
| Public Service Electric and Gas Co., 4.65%, 03/15/33 |
|
|
|
|
|
|
2,650 |
|
|
|
2,490,926 |
|
| Republic Services, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.45%, 02/15/31 |
|
|
|
|
|
|
4,119 |
|
|
|
3,095,207 |
|
| 1.75%, 02/15/32 |
|
|
|
|
|
|
1,375 |
|
|
|
1,027,512 |
|
| Rocket Mortgage LLC/Rocket Mortgage Co-Issuer,
Inc.(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.88%, 10/15/26 |
|
|
|
|
|
|
2,062 |
|
|
|
1,815,983 |
|
| 3.63%, 03/01/29 |
|
|
|
|
|
|
1,398 |
|
|
|
1,155,776 |
|
| Sabre Global, Inc., 9.25%, 04/15/25(b) |
|
|
|
|
|
|
122 |
|
|
|
119,560 |
|
| Sonder Holdings, Inc., (13.99% PIK), 13.99%,
01/19/27(a)(e)(i) |
|
|
|
|
|
|
5,975 |
|
|
|
5,123,361 |
|
| Steel Dynamics, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.80%, 12/15/24 |
|
|
|
|
|
|
1,000 |
|
|
|
962,524 |
|
| 3.45%, 04/15/30 |
|
|
|
|
|
|
3,060 |
|
|
|
2,652,734 |
|
| Stem, Inc., 0.50%, 12/01/28(b)(j) |
|
|
|
|
|
|
275 |
|
|
|
158,263 |
|
| Taylor Morrison Communities, Inc., 5.88%,
06/15/27(b) |
|
|
|
|
|
|
1,643 |
|
|
|
1,561,970 |
|
| Tenet Healthcare Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.25%, 06/01/29 |
|
|
|
|
|
|
2,081 |
|
|
|
1,791,216 |
|
| 6.13%, 06/15/30 |
|
|
|
|
|
|
1,206 |
|
|
|
1,130,684 |
|
| T-Mobile U.S., Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.75%, 04/15/27 |
|
|
|
|
|
|
2,750 |
|
|
|
2,569,654 |
|
| 3.38%, 04/15/29 |
|
|
|
|
|
|
3,930 |
|
|
|
3,456,591 |
|
| 3.40%, 10/15/52 |
|
|
|
|
|
|
1,360 |
|
|
|
849,518 |
|
| Travel & Leisure Co., 4.63%,
03/01/30(b) |
|
|
|
|
|
|
440 |
|
|
|
370,269 |
|
| United Wholesale Mortgage LLC(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.50%, 11/15/25 |
|
|
|
|
|
|
1,304 |
|
|
|
1,240,336 |
|
| 5.75%, 06/15/27 |
|
|
|
|
|
|
1,346 |
|
|
|
1,218,265 |
|
| UnitedHealth Group, Inc., 5.35%, 02/15/33 |
|
|
|
|
|
|
2,325 |
|
|
|
2,299,842 |
|
| Verizon Communications, Inc., 1.13%, 11/03/28 |
|
|
GBP |
|
|
|
100 |
|
|
|
97,795 |
|
| VMware, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.65%, 05/15/27 |
|
|
USD |
|
|
|
750 |
|
|
|
723,279 |
|
| 4.70%, 05/15/30 |
|
|
|
|
|
|
1,500 |
|
|
|
1,381,549 |
|
| 2.20%, 08/15/31 |
|
|
|
|
|
|
2,369 |
|
|
|
1,787,721 |
|
| Welltower OP LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.50%, 01/15/24 |
|
|
|
|
|
|
1,750 |
|
|
|
1,740,054 |
|
| 3.63%, 03/15/24 |
|
|
|
|
|
|
1,750 |
|
|
|
1,729,974 |
|
| Xerox Holdings Corp., 5.00%, 08/15/25(b) |
|
|
|
|
|
|
500 |
|
|
|
474,944 |
|
| Xylem, Inc., 2.25%, 01/30/31 |
|
|
|
|
|
|
3,000 |
|
|
|
2,388,157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
169,695,657 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds — 11.7%
(Cost: $216,918,796) |
|
|
|
202,018,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
Par
(000) |
|
|
Value |
|
|
| Fixed Rate Loan Interests |
|
|
|
|
|
| United States — 0.2% |
|
|
|
|
|
|
|
|
|
|
| AMF MF Portfolio, Term Loan, 6.67%, 11/01/28(e) |
|
USD |
|
|
4,075 |
|
|
$ |
4,064,914 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Fixed Rate Loan Interests — 0.2%
(Cost: $4,021,483) |
|
|
|
4,064,914 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan
Interests(a) |
|
|
|
|
|
| Belgium — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Apollo Finco, 2021 EUR Term Loan B, (6-mo. EURIBOR +
4.85%), 8.78%, 10/02/28 |
|
EUR |
|
|
2,536 |
|
|
|
2,011,143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ireland — 0.2% |
|
|
|
|
|
|
|
|
|
|
| Promontoria Beech Designated Activity Co., EUR Term Loan, (3-mo. EURIBOR + 3.75%), 7.49%, 05/17/27(e) |
|
|
|
|
3,966 |
|
|
|
4,177,079 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Luxembourg — 0.2% |
|
|
|
|
|
|
|
|
|
|
| Speed Midco 3 SARL, EUR Term Loan B1, (3-mo. EURIBOR + 6.40%), 10.37%, 05/16/29(e) |
|
|
|
|
2,488 |
|
|
|
2,604,117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Netherlands — 0.1% |
|
|
|
|
|
|
|
|
|
|
| Upfield BV, 2023 GBP Term Loan B, (1-day SONIA + 4.00%),
8.97%, 01/02/28 |
|
GBP |
|
|
1,358 |
|
|
|
1,608,746 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United States — 1.0% |
|
|
|
|
|
|
|
|
|
|
| Altar Bidco, Inc., 2021 2nd Lien Term Loan, (12-mo. CME Term SOFR at 0.50% Floor + 5.60%), 10.49%,
02/01/30 |
|
USD |
|
|
1,637 |
|
|
|
1,579,434 |
|
| American Auto Auction Group, LLC, Series A, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor +
5.00%), 10.39%, 12/30/27 |
|
|
|
|
427 |
|
|
|
403,760 |
|
| Coreweave Compute Acquisition Co. II, LLC, Delayed Draw Term Loan, (3-mo. CME Term SOFR + 8.75%),
14.13%, 07/31/28(e) |
|
|
|
|
321 |
|
|
|
315,609 |
|
| EIS Buyer, Inc., Revolver, (1-mo. CME Term SOFR at 0.75% Floor + 7.00%), 12.32%, 07/10/28(e) |
|
|
|
|
341 |
|
|
|
329,152 |
|
| EIS Group, Inc., Term Loan, (1-mo. CME Term SOFR + 7.00%), 12.32%, 05/01/28(e) |
|
|
|
|
3,406 |
|
|
|
3,291,517 |
|
| Galaxy Universal LLC(e) |
|
|
|
|
|
|
|
|
|
|
| 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 5.75%), 11.26%, 11/12/26 |
|
|
|
|
6,178 |
|
|
|
6,016,130 |
|
| 2022 Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 5.75%), 11.26%, 06/24/23 |
|
|
|
|
265 |
|
|
|
264,377 |
|
| GoTo Group, Inc., Term Loan B, (3-mo. CME Term SOFR + 4.75%), 10.27%, 08/31/27 |
|
|
|
|
249 |
|
|
|
163,987 |
|
| Hydrofarm Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at -4.50% Floor + 5.50%), 10.93%, 10/25/28(e) |
|
|
|
|
1,113 |
|
|
|
890,538 |
|
| Orion Group Holdco, LLC |
|
|
|
|
|
|
|
|
|
|
| 2023 1st Amendment Incremental Term Loan, (3-mo. CME Term SOFR + 6.00%), 11.42%, 03/19/27 |
|
|
|
|
1,260 |
|
|
|
1,251,550 |
|
| 2023 1st Lien Term Loan, (3-mo. CME Term SOFR + 6.00%), 11.42%, 03/19/27 |
|
|
|
|
634 |
|
|
|
630,255 |
|
|
|
|
| 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 |
|
6 |
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
| United States (continued) |
|
|
|
|
| Orion Group Holdco, LLC (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| 2023 2nd Lien Term Loan, (3-mo. CME Term SOFR + 6.25%), 11.67%, 08/10/27 |
|
|
USD |
|
|
|
609 |
|
|
$ |
604,602 |
|
| 2023 Term Loan, (3-mo. CME Term SOFR + 6.50%), 11.92%, 03/19/27 |
|
|
|
|
|
|
850 |
|
|
|
843,033 |
|
| Redstone Holdco 2 LP, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.18%,
04/27/28 |
|
|
|
|
|
|
618 |
|
|
|
526,214 |
|
| Signal Parent, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.92%, 04/03/28 |
|
|
|
|
|
|
982 |
|
|
|
826,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,937,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Floating Rate Loan Interests — 1.6%
(Cost: $29,763,854) |
|
|
|
28,338,110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Agency Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Spain(b)(h) — 0.6% |
|
|
|
|
|
|
|
|
|
| Spain Government Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.55%, 10/31/32 |
|
|
EUR |
|
|
|
1,839 |
|
|
|
1,759,184 |
|
| 3.15%, 04/30/33 |
|
|
|
|
|
|
5,667 |
|
|
|
5,652,177 |
|
| 3.90%, 07/30/39 |
|
|
|
|
|
|
2,222 |
|
|
|
2,246,947 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,658,308 |
|
|
|
|
|
| United Kingdom — 0.1% |
|
|
|
|
|
|
|
|
|
| United Kingdom Gilt, 0.50%, 10/22/61(h) |
|
|
|
|
|
|
5,221 |
|
|
|
1,730,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Foreign Agency Obligations — 0.7%
(Cost: $12,299,029) |
|
|
|
11,388,371 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Shares |
|
|
|
|
|
|
|
|
| Investment Companies |
|
|
|
|
|
|
|
|
|
|
| United States — 0.8% |
|
| iShares iBoxx $ Investment Grade Corporate Bond
ETF(c)(k) |
|
|
|
|
|
|
35,863 |
|
|
|
3,658,743 |
|
| iShares JP Morgan USD Emerging Markets Bond
ETF(k) |
|
|
|
|
|
|
88,276 |
|
|
|
7,284,536 |
|
| iShares Russell 2000 ETF(k) |
|
|
|
|
|
|
100 |
|
|
|
17,674 |
|
| iShares Russell Mid-Cap Growth ETF(k) |
|
|
|
|
|
|
3,916 |
|
|
|
357,727 |
|
| VanEck J. P. Morgan EM Local Currency Bond ETF |
|
|
|
|
|
|
84,550 |
|
|
|
2,018,208 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investment Companies — 0.8%
(Cost: $14,094,424) |
|
|
|
13,336,888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Par
(000) |
|
|
|
|
|
| Municipal Bonds |
|
|
| Puerto Rico(a) — 0.2% |
|
| Commonwealth of Puerto Rico, GO 0.00%, 11/01/51 |
|
|
USD |
|
|
|
4,297 |
|
|
|
1,740,397 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Puerto Rico (continued) |
|
| Commonwealth of Puerto Rico, GO (continued) |
|
|
|
|
|
| Series A-1, 0.00%, 11/01/43 |
|
|
USD |
|
|
|
385 |
|
|
$ |
199,255 |
|
| Commonwealth of Puerto Rico, RB, 0.00%, 11/01/51 |
|
|
|
|
|
|
1,828 |
|
|
|
639,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds — 0.2%
(Cost: $2,732,880) |
|
|
|
2,579,299 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency Mortgage-Backed Securities |
|
|
| United States(a)(b) — 2.3% |
|
| Barclays Mortgage Loan Trust, Series 2021-NQM1, Class B1, 4.38%, 09/25/51 |
|
|
|
|
|
|
2,047 |
|
|
|
1,399,259 |
|
| CHNGE Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-1, Class M1, 3.99%, 01/25/67 |
|
|
|
|
|
|
2,000 |
|
|
|
1,515,083 |
|
| Series 2022-2, Class M1, 4.61%, 03/25/67 |
|
|
|
|
|
|
5,000 |
|
|
|
3,961,474 |
|
| DBUBS Mortgage Trust, Series 2017-BRBK, Class F, 3.65%, 10/10/34 |
|
|
|
|
|
|
1,470 |
|
|
|
1,022,561 |
|
| FREMF Trust, Series 2018-W5FX, Class CFX, 3.79%, 04/25/28 |
|
|
|
|
|
|
1,923 |
|
|
|
1,580,263 |
|
| Grace Trust, Series 2020-GRCE, Class D, 2.77%, 12/10/40 |
|
|
|
|
|
|
2,000 |
|
|
|
1,372,374 |
|
| GS Mortgage Securities Corp. Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-DM, Class E, (1-mo. Term SOFR + 3.05%), 8.38%, 11/15/36 |
|
|
|
|
|
|
2,150 |
|
|
|
2,068,512 |
|
| Series 2021-DM, Class F, (1-mo. Term SOFR + 3.55%), 8.88%, 11/15/36 |
|
|
|
|
|
|
2,150 |
|
|
|
2,052,054 |
|
| Hudson Yards Mortgage Trust, Series 2019-55HY, Class F, 3.04%, 12/10/41 |
|
|
|
|
|
|
2,000 |
|
|
|
1,366,421 |
|
| JP Morgan Chase Commercial Mortgage Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-MHC, Class E, (1-mo. Term SOFR + 2.56%), 7.90%, 04/15/38 |
|
|
|
|
|
|
2,270 |
|
|
|
2,188,685 |
|
| Series 2021-NYAH, Class E, (1-mo. Term SOFR + 1.95%), 7.29%, 06/15/38 |
|
|
|
|
|
|
2,000 |
|
|
|
1,724,029 |
|
| Series 2022-NLP, Class F, (1-mo. Term SOFR + 3.54%), 8.87%, 04/15/37 |
|
|
|
|
|
|
1,953 |
|
|
|
1,690,731 |
|
| Series 2022-OPO, Class D, 3.56%, 01/05/39 |
|
|
|
|
|
|
860 |
|
|
|
560,527 |
|
| Manhattan West Mortgage Trust, Series 2020-1MW, Class D, 2.41%, 09/10/39 |
|
|
|
|
|
|
2,250 |
|
|
|
1,819,225 |
|
| MFRA Trust, Class M1, 4.57%, 09/25/56 |
|
|
|
|
|
|
4,000 |
|
|
|
3,194,809 |
|
| MHC Commercial Mortgage Trust, Series 2021- MHC, Class F, (1-mo. Term SOFR + 2.72%), 8.05%,
04/15/38 |
|
|
|
|
|
|
1,845 |
|
|
|
1,789,451 |
|
| RIAL Issuer Ltd., Series 2022-FL8, Class A, (1-mo. Term SOFR + 2.25%), 7.58%, 01/19/37 |
|
|
|
|
|
|
2,315 |
|
|
|
2,268,584 |
|
| RMF Buyout Issuance Trust, Series 2021-HB1, Class M4, 4.70%, 11/25/31 |
|
|
|
|
|
|
3,500 |
|
|
|
2,928,452 |
|
| SUMIT Mortgage Trust, Series 2022-BVUE, Class D, 2.99%, 02/12/41 |
|
|
|
|
|
|
650 |
|
|
|
439,492 |
|
| Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1-mo. Term SOFR + 2.19%),
7.52%, 05/15/37 |
|
|
|
|
|
|
2,410 |
|
|
|
2,363,145 |
|
| Velocity Commercial Capital Loan Trust, Series 2021-4, Class M4, 4.48%, 12/26/51 |
|
|
|
|
|
|
2,787 |
|
|
|
1,994,479 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Non-Agency Mortgage-Backed Securities — 2.3%
(Cost: $46,789,869) |
|
|
|
39,299,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Shares |
|
|
Value |
|
|
| Preferred Securities |
|
|
|
|
|
| Preferred Stocks — 1.2%(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Finland — 0.2% |
|
|
|
|
|
|
|
|
|
| Aiven, Series D |
|
|
|
|
|
|
35,053 |
|
|
$ |
2,566,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Israel — 0.2% |
|
|
|
|
|
|
|
|
|
| Deep Instinct Ltd., Series D-4, (Acquired 09/20/22, Cost: $3,691,502)(f) |
|
|
|
523,592 |
|
|
|
3,748,919 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sweden — 0.0% |
|
|
|
|
|
|
|
|
|
| Volta, Series C, (Acquired 02/22/22, Cost: $293,944)(f) |
|
|
|
2,492 |
|
|
|
239,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United States — 0.8% |
|
|
|
|
|
|
|
|
|
| Cap Hill Brands |
|
|
|
|
|
|
1,088,268 |
|
|
|
293,832 |
|
| Clarify Health |
|
|
|
|
|
|
318,926 |
|
|
|
2,334,538 |
|
| Lessen Nine GmbH |
|
|
|
|
|
|
|
|
|
|
|
|
| Series B |
|
|
|
|
|
|
456,729 |
|
|
|
4,087,725 |
|
| Series C |
|
|
|
|
|
|
24,168 |
|
|
|
216,304 |
|
| MNTN Digital, Inc., Series D, (Acquired 11/05/21, Cost: $1,239,070)(f) |
|
|
|
|
|
|
53,954 |
|
|
|
515,261 |
|
| Verge Genomics, Inc., Series B, (Acquired 11/05/21, Cost: $1,437,421)(f) |
|
|
|
|
|
|
269,847 |
|
|
|
1,743,212 |
|
| Versa Networks, Inc., Series D, (Acquired 10/14/22, Cost: $4,623,422), 10/07/32(f) |
|
|
|
|
|
|
1,584,337 |
|
|
|
5,022,348 |
|
| Zero Mass Water, Inc., Series D, (Acquired 07/05/22, Cost: $249,208)(f) |
|
|
|
|
|
|
6,084 |
|
|
|
202,597 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,415,817 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Securities — 1.2%
(Cost: $25,101,215) |
|
|
|
|
|
|
|
|
|
|
20,970,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Par
(000) |
|
|
|
|
|
| U.S. Government Sponsored Agency Securities |
|
|
| Mortgage-Backed Securities — 7.0% |
|
| Uniform Mortgage-Backed Securities(l) |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.50%, 10/13/52 |
|
|
USD |
|
|
|
71,616 |
|
|
|
65,752,464 |
|
| 3.50%, 10/12/53 |
|
|
|
|
|
|
28,156 |
|
|
|
24,212,273 |
|
| 5.50%, 10/12/53 |
|
|
|
|
|
|
32,500 |
|
|
|
31,406,933 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government Sponsored Agency Securities — 7.0%
(Cost:
$124,178,658) |
|
|
|
121,371,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Shares |
|
|
|
|
|
|
|
|
| Warrants |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Israel — 0.0% |
|
|
|
|
|
|
|
|
|
| Deep Instinct Ltd., (Acquired 09/20/22, Cost: $0), (Exercisable 09/20/22, 1 Share for 1 Warrant, Expires
09/20/32) (d)(e)(f) |
|
|
|
|
|
|
36,915 |
|
|
|
223,705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United States(d)(e) — 0.1% |
|
|
|
|
|
|
|
|
|
| Flyr Warrants, (Issued/Exercisable 05/10/22, 1 Share for 1 Warrant, Expires 05/10/32, Strike Price USD
3.95) |
|
|
|
|
|
|
5,576 |
|
|
|
76,335 |
|
| FreeWire Technologies, Inc., Tranche A, (Issued 04/27/22, 1 Share for 1 Warrant, Expires 04/26/27, Strike
Price USD 3.35) |
|
|
|
|
|
|
354,944 |
|
|
|
60,341 |
|
| FreeWire Technologies, Inc., Tranche B unvest, (Exercisable 06/03/23, 1 Share for 1 Warrant, Expires
04/26/29, Strike Price USD 3.35) |
|
|
|
|
|
|
337,197 |
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Shares |
|
|
Value |
|
|
|
|
|
| United States (continued) |
|
|
|
|
|
|
|
|
|
| FreeWire Technologies, Inc., Tranche B vested, (Issued 05/02/22, Exercisable 05/03/23, 1 Share for
1Warrant, Expires 04/26/27, Strike Price USD 3.35) |
|
|
|
|
|
|
17,747 |
|
|
$ |
3,017 |
|
| Proof Acquisition Corp. I, (1 Share for 1 Warrant, Expires 12/23/28, Strike Price USD 11.50) |
|
|
|
|
|
|
61,805 |
|
|
|
5,562 |
|
| Sonder Holdings, Inc., (Issued 11/19/20, Exercisable 01/19/21, 1 Share for 1 Warrant, Expires 11/19/26,
Strike Price USD 12.50) |
|
|
|
|
|
|
75,255 |
|
|
|
1 |
|
| Versa Networks, Inc., (Acquired 10/14/22, Cost: $0), (1 Share for 1 Warrant, Exercisable 10/14/22,
Expires 10/07/32, Strike Price USD 0.01)(f) |
|
|
|
|
|
|
195,273 |
|
|
|
552,623 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
697,882 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Warrants — 0.1%
(Cost: $61,806) |
|
|
|
921,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Long-Term Investments — 88.3%
(Cost: $1,544,060,365) |
|
|
|
1,520,883,553 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Money Market Funds — 16.9% |
|
|
|
|
|
|
|
| BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.23%(k)(m) |
|
|
|
288,313,351 |
|
|
|
288,313,351 |
|
| SL Liquidity Series, LLC, Money Market Series,
5.52%(k)(m)(n) |
|
|
|
2,670,257 |
|
|
|
2,671,058 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Securities — 16.9%
(Cost: $290,984,136) |
|
|
|
|
|
|
|
290,984,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Options Purchased — 0.1%
(Cost: $4,234,427) |
|
|
|
|
|
|
|
2,611,317 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments Before Options Written — 105.3%
(Cost: $1,839,278,928) |
|
|
|
1,814,479,279 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Options Written — (0.3)%
(Premiums Received: $(3,300,796)) |
|
|
|
(4,622,655 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments, Net of Options Written — 105.0%
(Cost: $1,835,978,132) |
|
|
|
1,809,856,624 |
|
| Liabilities in Excess of Other Assets — (5.0)% |
|
|
|
(86,958,903 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets — 100.0% |
|
|
|
|
|
|
$ |
1,722,897,721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period
end. Security description also includes the reference rate and spread if published and available. |
| (b) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities
may be resold in transactions exempt from registration to qualified institutional investors. |
| (c) |
All or a portion of this security is on loan. |
| (d) |
Non-income producing security. |
| (e) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
|
| (f) |
Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value
of $12,890,425, representing 0.8% of its net assets as of period end, and an original cost of $12,979,251. |
| (g) |
All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding
exchange-traded options written. |
| (h) |
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the
Securities Act of 1933. |
| (i) |
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the
current rate and possible payment rates. |
| (j) |
Convertible security. |
| (k) |
Affiliate of the Trust. |
| (l) |
Represents or includes a TBA transaction.
|
|
|
|
| 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 |
|
8 |
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
| (m) |
Annualized 7-day yield as of period end. |
| (n) |
All or a portion of this security was purchased with the cash collateral from loaned securities. |
Affiliates
Investments in issuers considered to be
affiliate(s) of the Trust during the period ended September 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
09/30/23 |
|
|
Shares
Held at
09/30/23 |
|
|
Income |
|
|
Capital Gain
Distributions
from
Underlying
Funds |
|
|
|
BlackRock Liquidity Funds, T-Fund, Institutional Class |
|
$ |
5,346,114 |
|
|
$ |
282,967,237 |
(a) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
288,313,351 |
|
|
|
288,313,351 |
|
|
$ |
5,740,245 |
|
|
$ |
— |
|
|
|
iShares China Large-Cap ETF(b) |
|
|
582,272 |
|
|
|
1,983,185 |
|
|
|
(2,739,772 |
) |
|
|
237,969 |
|
|
|
(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 |
|
|
|
24,462,040 |
|
|
|
(23,227,345 |
) |
|
|
(99,959 |
) |
|
|
(125,871 |
) |
|
|
3,658,743 |
|
|
|
35,863 |
|
|
|
127,601 |
|
|
|
— |
|
|
|
iShares JP Morgan USD Emerging Markets Bond ETF |
|
|
10,786,409 |
|
|
|
2,286,204 |
|
|
|
(5,431,107 |
) |
|
|
(371,184 |
) |
|
|
14,214 |
|
|
|
7,284,536 |
|
|
|
88,276 |
|
|
|
430,271 |
|
|
|
— |
|
|
|
iShares Russell 2000 ETF |
|
|
17,436 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
238 |
|
|
|
17,674 |
|
|
|
100 |
|
|
|
197 |
|
|
|
— |
|
|
|
iShares Russell Mid-Cap Growth ETF |
|
|
— |
|
|
|
373,399 |
|
|
|
— |
|
|
|
— |
|
|
|
(15,672 |
) |
|
|
357,727 |
|
|
|
3,916 |
|
|
|
705 |
|
|
|
— |
|
|
|
SL Liquidity Series, LLC, Money Market Series |
|
|
— |
|
|
|
2,667,863 |
(a) |
|
|
— |
|
|
|
2,922 |
|
|
|
273 |
|
|
|
2,671,058 |
|
|
|
2,670,257 |
|
|
|
28,771 |
(c) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(127,738 |
) |
|
$ |
(205,201 |
) |
|
$ |
302,303,089 |
|
|
|
|
|
|
$ |
6,403,710 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Represents net amount purchased (sold). |
|
| |
(b) |
As of period end, the entity is no longer held. |
|
| |
(c) |
All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned
securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
|
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount (000) |
|
|
Value/
Unrealized
Appreciation
(Depreciation) |
|
|
|
|
|
|
| Long Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Euro BOBL |
|
|
86 |
|
|
|
12/07/23 |
|
|
$ |
10,524 |
|
|
$ |
(133,742 |
) |
| Euro Bund |
|
|
121 |
|
|
|
12/07/23 |
|
|
|
16,457 |
|
|
|
(405,659 |
) |
| Euro Stoxx 50 Index |
|
|
124 |
|
|
|
12/15/23 |
|
|
|
5,492 |
|
|
|
(91,988 |
) |
| Euro Stoxx Banks Index |
|
|
93 |
|
|
|
12/15/23 |
|
|
|
548 |
|
|
|
10,460 |
|
| MSCI Emerging Markets Index |
|
|
4 |
|
|
|
12/15/23 |
|
|
|
191 |
|
|
|
(6,131 |
) |
| NASDAQ 100 E-Mini Index |
|
|
175 |
|
|
|
12/15/23 |
|
|
|
52,033 |
|
|
|
(2,217,128 |
) |
| S&P 500 E-Mini Index |
|
|
307 |
|
|
|
12/15/23 |
|
|
|
66,396 |
|
|
|
(2,868,411 |
) |
| U.S. Long Bond |
|
|
37 |
|
|
|
12/19/23 |
|
|
|
4,212 |
|
|
|
(237,921 |
) |
| Long Gilt |
|
|
35 |
|
|
|
12/27/23 |
|
|
|
4,021 |
|
|
|
(15,847 |
) |
| 5-Year U.S. Treasury Note |
|
|
2,206 |
|
|
|
12/29/23 |
|
|
|
232,354 |
|
|
|
(2,402,296 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(8,368,663 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 10-Year Japanese Government Treasury Bonds |
|
|
19 |
|
|
|
12/13/23 |
|
|
|
18,430 |
|
|
|
130,743 |
|
| Russell 2000 E-Mini Index |
|
|
70 |
|
|
|
12/15/23 |
|
|
|
6,295 |
|
|
|
261,428 |
|
| 10-Year U.S. Treasury Note |
|
|
254 |
|
|
|
12/19/23 |
|
|
|
27,436 |
|
|
|
393,018 |
|
| 10-Year U.S. Ultra Long Treasury Note |
|
|
509 |
|
|
|
12/19/23 |
|
|
|
56,769 |
|
|
|
1,245,654 |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Futures Contracts (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount (000) |
|
|
Value/
Unrealized
Appreciation
(Depreciation) |
|
| Short Contracts (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ultra U.S. Treasury Bond |
|
|
214 |
|
|
|
12/19/23 |
|
|
$ |
25,439 |
|
|
$ |
1,541,555 |
|
| 2-Year U.S. Treasury Note |
|
|
125 |
|
|
|
12/29/23 |
|
|
|
25,337 |
|
|
|
(19,292 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,553,106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(4,815,557 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
| Currency Purchased |
|
|
Currency Sold |
|
|
Counterparty |
|
Settlement Date |
|
|
|
|
|
Unrealized
Appreciation
(Depreciation) |
|
| EUR |
|
|
4,833,861 |
|
|
|
USD |
|
|
|
5,116,265 |
|
|
UBS AG |
|
|
12/20/23 |
|
|
|
|
|
|
$ |
13,072 |
|
| USD |
|
|
5,461,770 |
|
|
|
AUD |
|
|
|
8,467,854 |
|
|
BNP Paribas SA |
|
|
12/20/23 |
|
|
|
|
|
|
|
2,732 |
|
| USD |
|
|
1,241,967 |
|
|
|
CAD |
|
|
|
1,677,158 |
|
|
Morgan Stanley & Co. International PLC |
|
|
12/20/23 |
|
|
|
|
|
|
|
5,647 |
|
| USD |
|
|
29,880,032 |
|
|
|
CHF |
|
|
|
26,389,327 |
|
|
Citibank N.A. |
|
|
12/20/23 |
|
|
|
|
|
|
|
797,634 |
|
| USD |
|
|
869,983 |
|
|
|
CHF |
|
|
|
786,208 |
|
|
Deutsche Bank AG |
|
|
12/20/23 |
|
|
|
|
|
|
|
3,542 |
|
| USD |
|
|
51,138 |
|
|
|
DKK |
|
|
|
353,233 |
|
|
BNP Paribas SA |
|
|
12/20/23 |
|
|
|
|
|
|
|
840 |
|
| USD |
|
|
55,045,220 |
|
|
|
EUR |
|
|
|
51,017,609 |
|
|
Standard Chartered Bank |
|
|
12/20/23 |
|
|
|
|
|
|
|
909,097 |
|
| USD |
|
|
182,769,528 |
|
|
|
EUR |
|
|
|
169,403,036 |
|
|
Standard Chartered Bank |
|
|
12/20/23 |
|
|
|
|
|
|
|
3,011,526 |
|
| USD |
|
|
2,214,188 |
|
|
|
EUR |
|
|
|
2,052,000 |
|
|
Westpac Banking Corp. |
|
|
12/20/23 |
|
|
|
|
|
|
|
36,757 |
|
| USD |
|
|
408,568 |
|
|
|
GBP |
|
|
|
329,702 |
|
|
Barclays Bank PLC |
|
|
12/20/23 |
|
|
|
|
|
|
|
6,079 |
|
| USD |
|
|
1,607,250 |
|
|
|
GBP |
|
|
|
1,287,361 |
|
|
BNP Paribas SA |
|
|
12/20/23 |
|
|
|
|
|
|
|
35,687 |
|
| USD |
|
|
2,624,200 |
|
|
|
GBP |
|
|
|
2,100,000 |
|
|
Standard Chartered Bank |
|
|
12/20/23 |
|
|
|
|
|
|
|
60,597 |
|
| USD |
|
|
36,223,718 |
|
|
|
GBP |
|
|
|
28,985,606 |
|
|
Standard Chartered Bank |
|
|
12/20/23 |
|
|
|
|
|
|
|
839,148 |
|
| USD |
|
|
11,074,965 |
|
|
|
HKD |
|
|
|
86,499,731 |
|
|
BNP Paribas SA |
|
|
12/20/23 |
|
|
|
|
|
|
|
10,716 |
|
| USD |
|
|
37,711,775 |
|
|
|
JPY |
|
|
|
5,475,778,018 |
|
|
JPMorgan Chase Bank N.A. |
|
|
12/20/23 |
|
|
|
|
|
|
|
597,012 |
|
| USD |
|
|
1,060,982 |
|
|
|
JPY |
|
|
|
153,787,033 |
|
|
Morgan Stanley & Co. International PLC |
|
|
12/20/23 |
|
|
|
|
|
|
|
18,615 |
|
| USD |
|
|
1,115,233 |
|
|
|
JPY |
|
|
|
162,322,633 |
|
|
Societe Generale |
|
|
12/20/23 |
|
|
|
|
|
|
|
15,012 |
|
| USD |
|
|
10,684,459 |
|
|
|
KRW |
|
|
|
14,092,161,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
12/20/23 |
|
|
|
|
|
|
|
222,731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,586,444 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| BRL |
|
|
24,921,636 |
|
|
|
USD |
|
|
|
5,013,728 |
|
|
Citibank N.A. |
|
|
12/20/23 |
|
|
|
|
|
|
|
(103,364 |
) |
| EUR |
|
|
431,313 |
|
|
|
USD |
|
|
|
465,475 |
|
|
Morgan Stanley & Co. International PLC |
|
|
12/20/23 |
|
|
|
|
|
|
|
(7,797 |
) |
| EUR |
|
|
704,494 |
|
|
|
USD |
|
|
|
748,802 |
|
|
Standard Chartered Bank |
|
|
12/20/23 |
|
|
|
|
|
|
|
(1,245 |
) |
| EUR |
|
|
448,906 |
|
|
|
USD |
|
|
|
476,621 |
|
|
UBS AG |
|
|
12/20/23 |
|
|
|
|
|
|
|
(276 |
) |
| EUR |
|
|
1,133,650 |
|
|
|
USD |
|
|
|
1,222,189 |
|
|
UBS AG |
|
|
12/20/23 |
|
|
|
|
|
|
|
(19,243 |
) |
| EUR |
|
|
1,953,772 |
|
|
|
USD |
|
|
|
2,079,128 |
|
|
UBS AG |
|
|
12/20/23 |
|
|
|
|
|
|
|
(5,929 |
) |
| GBP |
|
|
880,574 |
|
|
|
USD |
|
|
|
1,075,123 |
|
|
Morgan Stanley & Co. International PLC |
|
|
12/20/23 |
|
|
|
|
|
|
|
(150 |
) |
| GBP |
|
|
185,226 |
|
|
|
USD |
|
|
|
232,164 |
|
|
Societe Generale |
|
|
12/20/23 |
|
|
|
|
|
|
|
(6,047 |
) |
| GBP |
|
|
161,495 |
|
|
|
USD |
|
|
|
200,090 |
|
|
Standard Chartered Bank |
|
|
12/20/23 |
|
|
|
|
|
|
|
(2,943 |
) |
| GBP |
|
|
207,174 |
|
|
|
USD |
|
|
|
254,464 |
|
|
Standard Chartered Bank |
|
|
12/20/23 |
|
|
|
|
|
|
|
(1,553 |
) |
| JPY |
|
|
67,243,345 |
|
|
|
USD |
|
|
|
463,034 |
|
|
Standard Chartered Bank |
|
|
12/20/23 |
|
|
|
|
|
|
|
(7,259 |
) |
| JPY |
|
|
130,071,657 |
|
|
|
USD |
|
|
|
882,120 |
|
|
Standard Chartered Bank |
|
|
12/20/23 |
|
|
|
|
|
|
|
(496 |
) |
| JPY |
|
|
138,166,921 |
|
|
|
USD |
|
|
|
941,135 |
|
|
The Bank of New York Mellon |
|
|
12/20/23 |
|
|
|
|
|
|
|
(4,641 |
) |
| MXN |
|
|
32,536,338 |
|
|
|
USD |
|
|
|
1,869,540 |
|
|
Morgan Stanley & Co. International PLC |
|
|
12/20/23 |
|
|
|
|
|
|
|
(26,887 |
) |
| MXN |
|
|
64,090,190 |
|
|
|
USD |
|
|
|
3,682,472 |
|
|
Morgan Stanley & Co. International PLC |
|
|
12/20/23 |
|
|
|
|
|
|
|
(52,808 |
) |
| USD |
|
|
198,459 |
|
|
|
MXN |
|
|
|
3,552,844 |
|
|
JPMorgan Chase Bank N.A. |
|
|
12/20/23 |
|
|
|
|
|
|
|
(2,751 |
) |
| USD |
|
|
175,708 |
|
|
|
MXN |
|
|
|
3,104,854 |
|
|
The Bank of New York Mellon |
|
|
12/20/23 |
|
|
|
|
|
|
|
(131 |
) |
| USD |
|
|
1,864,774 |
|
|
|
SEK |
|
|
|
20,635,404 |
|
|
Goldman Sachs International |
|
|
12/20/23 |
|
|
|
|
|
|
|
(31,319 |
) |
| ZAR |
|
|
33,712,048 |
|
|
|
USD |
|
|
|
1,781,180 |
|
|
Barclays Bank PLC |
|
|
12/20/23 |
|
|
|
|
|
|
|
(12,886 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(287,725 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
6,298,719 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 |
|
10 |
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Exchange-Traded Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
|
|
|
|
|
|
|
| Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SPDR S&P 500 ETF Trust |
|
|
80 |
|
|
|
10/13/23 |
|
|
USD |
|
|
435.00 |
|
|
USD |
|
|
3,420 |
|
|
$ |
17,960 |
|
| Alphabet, Inc., Class C |
|
|
309 |
|
|
|
10/20/23 |
|
|
USD |
|
|
135.00 |
|
|
USD |
|
|
4,074 |
|
|
|
63,963 |
|
| Amazon.com, Inc. |
|
|
422 |
|
|
|
10/20/23 |
|
|
USD |
|
|
145.00 |
|
|
USD |
|
|
5,364 |
|
|
|
7,385 |
|
| Apple, Inc. |
|
|
62 |
|
|
|
10/20/23 |
|
|
USD |
|
|
180.00 |
|
|
USD |
|
|
1,062 |
|
|
|
5,177 |
|
| Apple, Inc. |
|
|
31 |
|
|
|
10/20/23 |
|
|
USD |
|
|
185.00 |
|
|
USD |
|
|
531 |
|
|
|
760 |
|
| Apple, Inc. |
|
|
124 |
|
|
|
10/20/23 |
|
|
USD |
|
|
195.00 |
|
|
USD |
|
|
2,123 |
|
|
|
434 |
|
| Bunge Ltd. |
|
|
104 |
|
|
|
10/20/23 |
|
|
USD |
|
|
105.00 |
|
|
USD |
|
|
1,126 |
|
|
|
50,440 |
|
| Comcast Corp., Class A |
|
|
402 |
|
|
|
10/20/23 |
|
|
USD |
|
|
47.50 |
|
|
USD |
|
|
1,782 |
|
|
|
4,020 |
|
| Eli Lilly & Co. |
|
|
25 |
|
|
|
10/20/23 |
|
|
USD |
|
|
610.00 |
|
|
USD |
|
|
1,343 |
|
|
|
1,113 |
|
| Micron Technology, Inc. |
|
|
176 |
|
|
|
10/20/23 |
|
|
USD |
|
|
70.00 |
|
|
USD |
|
|
1,197 |
|
|
|
23,408 |
|
| Microsoft Corp. |
|
|
62 |
|
|
|
10/20/23 |
|
|
USD |
|
|
340.00 |
|
|
USD |
|
|
1,958 |
|
|
|
3,968 |
|
| Rockwell Automation, Inc. |
|
|
51 |
|
|
|
10/20/23 |
|
|
USD |
|
|
320.00 |
|
|
USD |
|
|
1,458 |
|
|
|
1,785 |
|
| SPDR S&P 500 ETF Trust |
|
|
164 |
|
|
|
10/20/23 |
|
|
USD |
|
|
463.00 |
|
|
USD |
|
|
7,011 |
|
|
|
410 |
|
| Uber Technologies, Inc. |
|
|
308 |
|
|
|
10/20/23 |
|
|
USD |
|
|
50.00 |
|
|
USD |
|
|
1,416 |
|
|
|
9,394 |
|
| UnitedHealth Group, Inc. |
|
|
41 |
|
|
|
10/20/23 |
|
|
USD |
|
|
530.00 |
|
|
USD |
|
|
2,067 |
|
|
|
12,116 |
|
| Adobe, Inc. |
|
|
21 |
|
|
|
11/17/23 |
|
|
USD |
|
|
590.00 |
|
|
USD |
|
|
1,071 |
|
|
|
4,830 |
|
| Advanced Micro Devices, Inc. |
|
|
153 |
|
|
|
11/17/23 |
|
|
USD |
|
|
105.00 |
|
|
USD |
|
|
1,573 |
|
|
|
99,067 |
|
| Alphabet, Inc., Class C |
|
|
123 |
|
|
|
11/17/23 |
|
|
USD |
|
|
140.00 |
|
|
USD |
|
|
1,622 |
|
|
|
34,132 |
|
| Alphabet, Inc., Class C |
|
|
92 |
|
|
|
11/17/23 |
|
|
USD |
|
|
135.00 |
|
|
USD |
|
|
1,213 |
|
|
|
44,160 |
|
| Amazon.com, Inc. |
|
|
89 |
|
|
|
11/17/23 |
|
|
USD |
|
|
150.00 |
|
|
USD |
|
|
1,131 |
|
|
|
8,500 |
|
| Amazon.com, Inc. |
|
|
133 |
|
|
|
11/17/23 |
|
|
USD |
|
|
140.00 |
|
|
USD |
|
|
1,691 |
|
|
|
33,782 |
|
| Amazon.com, Inc. |
|
|
63 |
|
|
|
11/17/23 |
|
|
USD |
|
|
155.00 |
|
|
USD |
|
|
801 |
|
|
|
3,749 |
|
| Amazon.com, Inc. |
|
|
98 |
|
|
|
11/17/23 |
|
|
USD |
|
|
135.00 |
|
|
USD |
|
|
1,246 |
|
|
|
39,200 |
|
| Apple, Inc. |
|
|
168 |
|
|
|
11/17/23 |
|
|
USD |
|
|
180.00 |
|
|
USD |
|
|
2,876 |
|
|
|
52,920 |
|
| Broadcom, Inc. |
|
|
7 |
|
|
|
11/17/23 |
|
|
USD |
|
|
900.00 |
|
|
USD |
|
|
581 |
|
|
|
9,065 |
|
| Eli Lilly & Co. |
|
|
41 |
|
|
|
11/17/23 |
|
|
USD |
|
|
620.00 |
|
|
USD |
|
|
2,202 |
|
|
|
9,615 |
|
| Humana, Inc. |
|
|
31 |
|
|
|
11/17/23 |
|
|
USD |
|
|
520.00 |
|
|
USD |
|
|
1,508 |
|
|
|
20,305 |
|
| Humana, Inc. |
|
|
31 |
|
|
|
11/17/23 |
|
|
USD |
|
|
515.00 |
|
|
USD |
|
|
1,508 |
|
|
|
24,490 |
|
| Humana, Inc. |
|
|
21 |
|
|
|
11/17/23 |
|
|
USD |
|
|
490.00 |
|
|
USD |
|
|
1,022 |
|
|
|
38,640 |
|
| Humana, Inc. |
|
|
36 |
|
|
|
11/17/23 |
|
|
USD |
|
|
525.00 |
|
|
USD |
|
|
1,751 |
|
|
|
19,260 |
|
| Kenvue, Inc. |
|
|
530 |
|
|
|
11/17/23 |
|
|
USD |
|
|
25.00 |
|
|
USD |
|
|
1,064 |
|
|
|
3,975 |
|
| Lennar Corp., Class A |
|
|
34 |
|
|
|
11/17/23 |
|
|
USD |
|
|
135.00 |
|
|
USD |
|
|
382 |
|
|
|
680 |
|
| Mastercard, Inc., Class A |
|
|
41 |
|
|
|
11/17/23 |
|
|
USD |
|
|
420.00 |
|
|
USD |
|
|
1,623 |
|
|
|
15,682 |
|
| Micron Technology, Inc. |
|
|
161 |
|
|
|
11/17/23 |
|
|
USD |
|
|
77.50 |
|
|
USD |
|
|
1,095 |
|
|
|
8,533 |
|
| Microsoft Corp. |
|
|
92 |
|
|
|
11/17/23 |
|
|
USD |
|
|
330.00 |
|
|
USD |
|
|
2,905 |
|
|
|
64,630 |
|
| NVIDIA Corp. |
|
|
83 |
|
|
|
11/17/23 |
|
|
USD |
|
|
480.00 |
|
|
USD |
|
|
3,610 |
|
|
|
85,905 |
|
| NVIDIA Corp. |
|
|
33 |
|
|
|
11/17/23 |
|
|
USD |
|
|
440.00 |
|
|
USD |
|
|
1,435 |
|
|
|
81,262 |
|
| Salesforce, Inc. |
|
|
46 |
|
|
|
11/17/23 |
|
|
USD |
|
|
220.00 |
|
|
USD |
|
|
933 |
|
|
|
10,235 |
|
| Salesforce, Inc. |
|
|
31 |
|
|
|
11/17/23 |
|
|
USD |
|
|
210.00 |
|
|
USD |
|
|
629 |
|
|
|
16,042 |
|
| SPDR S&P 500 ETF Trust |
|
|
183 |
|
|
|
11/17/23 |
|
|
USD |
|
|
460.00 |
|
|
USD |
|
|
7,823 |
|
|
|
11,163 |
|
| Tesla, Inc. |
|
|
56 |
|
|
|
11/17/23 |
|
|
USD |
|
|
260.00 |
|
|
USD |
|
|
1,401 |
|
|
|
84,000 |
|
| T-Mobile U.S., Inc. |
|
|
84 |
|
|
|
11/17/23 |
|
|
USD |
|
|
140.00 |
|
|
USD |
|
|
1,176 |
|
|
|
45,150 |
|
| Uber Technologies, Inc. |
|
|
134 |
|
|
|
11/17/23 |
|
|
USD |
|
|
52.50 |
|
|
USD |
|
|
616 |
|
|
|
11,390 |
|
| Uber Technologies, Inc. |
|
|
132 |
|
|
|
11/17/23 |
|
|
USD |
|
|
47.50 |
|
|
USD |
|
|
607 |
|
|
|
31,680 |
|
| Walmart, Inc. |
|
|
89 |
|
|
|
11/17/23 |
|
|
USD |
|
|
170.00 |
|
|
USD |
|
|
1,423 |
|
|
|
9,523 |
|
| Delta Air Lines, Inc. |
|
|
654 |
|
|
|
12/15/23 |
|
|
USD |
|
|
45.00 |
|
|
USD |
|
|
2,420 |
|
|
|
16,350 |
|
| Delta Air Lines, Inc. |
|
|
134 |
|
|
|
12/15/23 |
|
|
USD |
|
|
42.00 |
|
|
USD |
|
|
496 |
|
|
|
8,643 |
|
| Intel Corp. |
|
|
266 |
|
|
|
12/15/23 |
|
|
USD |
|
|
38.00 |
|
|
USD |
|
|
946 |
|
|
|
40,432 |
|
| NVIDIA Corp. |
|
|
52 |
|
|
|
12/15/23 |
|
|
USD |
|
|
440.00 |
|
|
USD |
|
|
2,262 |
|
|
|
188,630 |
|
| United Airlines Holdings, Inc. |
|
|
134 |
|
|
|
12/15/23 |
|
|
USD |
|
|
48.00 |
|
|
USD |
|
|
567 |
|
|
|
14,271 |
|
| Freeport-McMoRan, Inc. |
|
|
225 |
|
|
|
01/19/24 |
|
|
USD |
|
|
45.00 |
|
|
USD |
|
|
839 |
|
|
|
18,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,410,336 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| InvesCo QQQ Trust, Series 1 |
|
|
1,000 |
|
|
|
11/17/23 |
|
|
USD |
|
|
350.00 |
|
|
USD |
|
|
35,827 |
|
|
|
653,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,063,336 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
OTC Barrier Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| Description |
|
Type of Option |
|
Counterparty |
|
Number of
Contracts |
|
Expiration
Date |
|
|
Exercise Price |
|
Barrier
Price/Range |
|
|
Notional
Amount (000) |
|
|
Value |
|
| Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| S&P 500 Index |
|
Down-and-in |
|
Citibank N.A. |
|
3,073 |
|
|
12/15/23 |
|
|
USD 4,432.61 |
|
|
USD 4,215.33 |
|
|
|
USD 3 |
|
|
$ |
10,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| Description |
|
Counterparty |
|
|
Number of
Contracts |
|
|
Expiration
Date |
|
Exercise Price |
|
Notional
Amount (000) |
|
|
Value |
|
| Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOPIX Banks Index |
|
|
BNP Paribas SA |
|
|
|
569,040 |
|
|
01/12/24 |
|
|
JPY |
|
|
286.63 |
|
|
JPY |
|
|
|
148,935 |
|
|
$ |
25,161 |
|
| TOPIX Banks Index |
|
|
Goldman Sachs International |
|
|
|
948,021 |
|
|
01/12/24 |
|
|
JPY |
|
|
286.49 |
|
|
JPY |
|
|
|
248,126 |
|
|
|
26,422 |
|
| TOPIX Banks Index |
|
|
JPMorgan Chase Bank N.A. |
|
|
|
379,740 |
|
|
01/12/24 |
|
|
JPY |
|
|
286.56 |
|
|
JPY |
|
|
|
99,389 |
|
|
|
10,551 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
62,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Interest Rate Swaptions Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
| Description |
|
Paid by the Trust |
|
|
Received by the Trust |
|
|
Counterparty |
|
Expiration
Date |
|
|
Exercise
Rate |
|
|
Notional
Amount (000) |
|
|
Value |
|
| |
Rate |
|
Frequency |
|
|
Rate |
|
Frequency |
|
| Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2-Year Interest Rate Swap, 10/21/23 |
|
1-Day SOFR, 5.31% |
|
|
Quarterly |
|
|
2.75% |
|
|
Semi-Annual |
|
|
Goldman Sachs
International |
|
|
10/19/23 |
|
|
|
2.75 |
% |
|
|
USD |
|
|
|
6,805 |
|
|
$ |
1 |
|
| 5-Year Interest Rate Swap, 03/03/29 |
|
6-mo. EURIBOR, 4.13% |
|
|
Semi-Annual |
|
|
3.00% |
|
|
Annual |
|
|
JPMorgan Chase
Bank N.A. |
|
|
03/01/24 |
|
|
|
3.00 |
|
|
|
EUR |
|
|
|
7,713 |
|
|
|
47,253 |
|
| 10-Year Interest Rate Swap, 03/20/34 |
|
1-Day SOFR, 5.31% |
|
|
Quarterly |
|
|
3.65% |
|
|
Semi-Annual |
|
|
Citibank N.A. |
|
|
03/18/24 |
|
|
|
3.65 |
|
|
|
USD |
|
|
|
4,959 |
|
|
|
45,920 |
|
| 5-Year Interest Rate Swap, 03/20/29 |
|
6-mo. EURIBOR, 4.13% |
|
|
Semi-Annual |
|
|
3.18% |
|
|
Annual |
|
|
JPMorgan Chase
Bank N.A. |
|
|
03/18/24 |
|
|
|
3.18 |
|
|
|
EUR |
|
|
|
6,317 |
|
|
|
63,237 |
|
| 2-Year Interest Rate Swap, 03/30/26 |
|
1-Day SOFR, 5.31% |
|
|
Quarterly |
|
|
4.20% |
|
|
Semi-Annual |
|
|
JPMorgan Chase
Bank N.A. |
|
|
03/28/24 |
|
|
|
4.20 |
|
|
|
USD |
|
|
|
36,764 |
|
|
|
146,341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
302,752 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 30-Year Interest Rate Swap, 11/03/53 |
|
3.65% |
|
|
Semi-Annual |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
Citibank N.A. |
|
|
11/01/23 |
|
|
|
3.65 |
|
|
|
USD |
|
|
|
2,577 |
|
|
|
172,226 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
474,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
| Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Alphabet, Inc., Class C |
|
|
309 |
|
|
|
10/20/23 |
|
|
USD |
|
|
145.00 |
|
|
USD |
|
|
4,074 |
|
|
$ |
(5,871 |
) |
| Amazon.com, Inc. |
|
|
175 |
|
|
|
10/20/23 |
|
|
USD |
|
|
155.00 |
|
|
USD |
|
|
2,225 |
|
|
|
(963 |
) |
| Bunge Ltd. |
|
|
104 |
|
|
|
10/20/23 |
|
|
USD |
|
|
120.00 |
|
|
USD |
|
|
1,126 |
|
|
|
(2,080 |
) |
| Eli Lilly & Co. |
|
|
25 |
|
|
|
10/20/23 |
|
|
USD |
|
|
640.00 |
|
|
USD |
|
|
1,343 |
|
|
|
(638 |
) |
| Microsoft Corp. |
|
|
62 |
|
|
|
10/20/23 |
|
|
USD |
|
|
365.00 |
|
|
USD |
|
|
1,958 |
|
|
|
(341 |
) |
| Advanced Micro Devices, Inc. |
|
|
153 |
|
|
|
11/17/23 |
|
|
USD |
|
|
120.00 |
|
|
USD |
|
|
1,573 |
|
|
|
(30,141 |
) |
| Eli Lilly & Co. |
|
|
21 |
|
|
|
11/17/23 |
|
|
USD |
|
|
670.00 |
|
|
USD |
|
|
1,128 |
|
|
|
(1,533 |
) |
| InvesCo QQQ Trust, Series 1 |
|
|
1,000 |
|
|
|
11/17/23 |
|
|
USD |
|
|
390.00 |
|
|
USD |
|
|
35,827 |
|
|
|
(120,000 |
) |
| NVIDIA Corp. |
|
|
83 |
|
|
|
11/17/23 |
|
|
USD |
|
|
540.00 |
|
|
USD |
|
|
3,610 |
|
|
|
(18,551 |
) |
| Delta Air Lines, Inc. |
|
|
654 |
|
|
|
12/15/23 |
|
|
USD |
|
|
50.00 |
|
|
USD |
|
|
2,420 |
|
|
|
(4,251 |
) |
| NVIDIA Corp. |
|
|
52 |
|
|
|
12/15/23 |
|
|
USD |
|
|
530.00 |
|
|
USD |
|
|
2,262 |
|
|
|
(51,870 |
) |
| SPDR S&P 500 ETF Trust |
|
|
28 |
|
|
|
12/15/23 |
|
|
USD |
|
|
420.00 |
|
|
USD |
|
|
1,197 |
|
|
|
(56,616 |
) |
| Freeport-McMoRan, Inc. |
|
|
225 |
|
|
|
01/19/24 |
|
|
USD |
|
|
50.00 |
|
|
USD |
|
|
839 |
|
|
|
(6,863 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(299,718 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Amazon.com, Inc. |
|
|
247 |
|
|
|
10/20/23 |
|
|
USD |
|
|
120.00 |
|
|
USD |
|
|
3,140 |
|
|
|
(30,628 |
) |
| Apple, Inc. |
|
|
62 |
|
|
|
10/20/23 |
|
|
USD |
|
|
170.00 |
|
|
USD |
|
|
1,062 |
|
|
|
(18,011 |
) |
|
|
|
| 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 |
|
12 |
|
|
|
| Schedule of Investments (unaudited) (continued)
September 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 |
|
| Put (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Comcast Corp., Class A |
|
|
402 |
|
|
|
10/20/23 |
|
|
USD |
|
|
42.50 |
|
|
USD |
|
1,782 |
|
$ |
(13,869 |
) |
| Eli Lilly & Co. |
|
|
25 |
|
|
|
10/20/23 |
|
|
USD |
|
|
560.00 |
|
|
USD |
|
1,343 |
|
|
(65,562 |
) |
| Micron Technology, Inc. |
|
|
176 |
|
|
|
10/20/23 |
|
|
USD |
|
|
52.50 |
|
|
USD |
|
1,197 |
|
|
(1,056 |
) |
| Microsoft Corp. |
|
|
31 |
|
|
|
10/20/23 |
|
|
USD |
|
|
305.00 |
|
|
USD |
|
979 |
|
|
(9,533 |
) |
| Rockwell Automation, Inc. |
|
|
51 |
|
|
|
10/20/23 |
|
|
USD |
|
|
270.00 |
|
|
USD |
|
1,458 |
|
|
(8,925 |
) |
| UnitedHealth Group, Inc. |
|
|
41 |
|
|
|
10/20/23 |
|
|
USD |
|
|
450.00 |
|
|
USD |
|
2,067 |
|
|
(3,916 |
) |
| Adobe, Inc. |
|
|
21 |
|
|
|
11/17/23 |
|
|
USD |
|
|
510.00 |
|
|
USD |
|
1,071 |
|
|
(43,260 |
) |
| Advanced Micro Devices, Inc. |
|
|
153 |
|
|
|
11/17/23 |
|
|
USD |
|
|
85.00 |
|
|
USD |
|
1,573 |
|
|
(19,507 |
) |
| Alphabet, Inc., Class C |
|
|
123 |
|
|
|
11/17/23 |
|
|
USD |
|
|
120.00 |
|
|
USD |
|
1,622 |
|
|
(23,062 |
) |
| Amazon.com, Inc. |
|
|
89 |
|
|
|
11/17/23 |
|
|
USD |
|
|
115.00 |
|
|
USD |
|
1,131 |
|
|
(21,493 |
) |
| Amazon.com, Inc. |
|
|
63 |
|
|
|
11/17/23 |
|
|
USD |
|
|
125.00 |
|
|
USD |
|
801 |
|
|
(35,122 |
) |
| Amazon.com, Inc. |
|
|
175 |
|
|
|
11/17/23 |
|
|
USD |
|
|
130.00 |
|
|
USD |
|
2,225 |
|
|
(139,562 |
) |
| Amazon.com, Inc. |
|
|
133 |
|
|
|
11/17/23 |
|
|
USD |
|
|
120.00 |
|
|
USD |
|
1,691 |
|
|
(49,875 |
) |
| Apple, Inc. |
|
|
102 |
|
|
|
11/17/23 |
|
|
USD |
|
|
155.00 |
|
|
USD |
|
1,746 |
|
|
(17,391 |
) |
| Broadcom, Inc. |
|
|
7 |
|
|
|
11/17/23 |
|
|
USD |
|
|
760.00 |
|
|
USD |
|
581 |
|
|
(8,085 |
) |
| Eli Lilly & Co. |
|
|
21 |
|
|
|
11/17/23 |
|
|
USD |
|
|
540.00 |
|
|
USD |
|
1,128 |
|
|
(48,457 |
) |
| Humana, Inc. |
|
|
52 |
|
|
|
11/17/23 |
|
|
USD |
|
|
440.00 |
|
|
USD |
|
2,530 |
|
|
(22,360 |
) |
| Humana, Inc. |
|
|
36 |
|
|
|
11/17/23 |
|
|
USD |
|
|
450.00 |
|
|
USD |
|
1,751 |
|
|
(21,060 |
) |
| InvesCo QQQ Trust, Series 1 |
|
|
1,000 |
|
|
|
11/17/23 |
|
|
USD |
|
|
320.00 |
|
|
USD |
|
35,827 |
|
|
(159,000 |
) |
| Kenvue, Inc. |
|
|
355 |
|
|
|
11/17/23 |
|
|
USD |
|
|
20.00 |
|
|
USD |
|
713 |
|
|
(24,850 |
) |
| Lennar Corp., Class A |
|
|
34 |
|
|
|
11/17/23 |
|
|
USD |
|
|
115.00 |
|
|
USD |
|
382 |
|
|
(21,250 |
) |
| Mastercard, Inc., Class A |
|
|
41 |
|
|
|
11/17/23 |
|
|
USD |
|
|
360.00 |
|
|
USD |
|
1,623 |
|
|
(12,095 |
) |
| Micron Technology, Inc. |
|
|
161 |
|
|
|
11/17/23 |
|
|
USD |
|
|
57.50 |
|
|
USD |
|
1,095 |
|
|
(7,084 |
) |
| Microsoft Corp. |
|
|
51 |
|
|
|
11/17/23 |
|
|
USD |
|
|
285.00 |
|
|
USD |
|
1,610 |
|
|
(16,193 |
) |
| NextEra Energy, Inc. |
|
|
116 |
|
|
|
11/17/23 |
|
|
USD |
|
|
65.00 |
|
|
USD |
|
665 |
|
|
(89,900 |
) |
| NVIDIA Corp. |
|
|
83 |
|
|
|
11/17/23 |
|
|
USD |
|
|
400.00 |
|
|
USD |
|
3,610 |
|
|
(85,282 |
) |
| NVIDIA Corp. |
|
|
18 |
|
|
|
11/17/23 |
|
|
USD |
|
|
380.00 |
|
|
USD |
|
783 |
|
|
(10,665 |
) |
| Salesforce, Inc. |
|
|
46 |
|
|
|
11/17/23 |
|
|
USD |
|
|
185.00 |
|
|
USD |
|
933 |
|
|
(9,637 |
) |
| Tesla, Inc. |
|
|
31 |
|
|
|
11/17/23 |
|
|
USD |
|
|
220.00 |
|
|
USD |
|
776 |
|
|
(20,925 |
) |
| Uber Technologies, Inc. |
|
|
134 |
|
|
|
11/17/23 |
|
|
USD |
|
|
42.50 |
|
|
USD |
|
616 |
|
|
(19,162 |
) |
| Uber Technologies, Inc. |
|
|
132 |
|
|
|
11/17/23 |
|
|
USD |
|
|
37.50 |
|
|
USD |
|
607 |
|
|
(5,808 |
) |
| Walmart, Inc. |
|
|
89 |
|
|
|
11/17/23 |
|
|
USD |
|
|
150.00 |
|
|
USD |
|
1,423 |
|
|
(11,837 |
) |
| Delta Air Lines, Inc. |
|
|
134 |
|
|
|
12/15/23 |
|
|
USD |
|
|
35.00 |
|
|
USD |
|
496 |
|
|
(17,956 |
) |
| Intel Corp. |
|
|
266 |
|
|
|
12/15/23 |
|
|
USD |
|
|
30.00 |
|
|
USD |
|
946 |
|
|
(15,428 |
) |
| NVIDIA Corp. |
|
|
52 |
|
|
|
12/15/23 |
|
|
USD |
|
|
310.00 |
|
|
USD |
|
2,262 |
|
|
(12,480 |
) |
| United Airlines Holdings, Inc. |
|
|
134 |
|
|
|
12/15/23 |
|
|
USD |
|
|
41.00 |
|
|
USD |
|
567 |
|
|
(29,212 |
) |
| Freeport-McMoRan, Inc. |
|
|
225 |
|
|
|
01/19/24 |
|
|
USD |
|
|
38.00 |
|
|
USD |
|
839 |
|
|
(73,125 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,242,623 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,542,341 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Counterparty |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
| Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOPIX Banks Index |
|
BNP Paribas SA |
|
|
569,040 |
|
|
|
01/12/24 |
|
|
|
JPY |
|
|
|
313.92 |
|
|
|
JPY |
|
|
|
148,935 |
|
|
$ |
(3,776 |
) |
| TOPIX Banks Index |
|
Goldman Sachs International |
|
|
948,021 |
|
|
|
01/12/24 |
|
|
|
JPY |
|
|
|
313.77 |
|
|
|
JPY |
|
|
|
248,126 |
|
|
|
(6,345 |
) |
| TOPIX Banks Index |
|
JPMorgan Chase Bank N.A. |
|
|
379,740 |
|
|
|
01/12/24 |
|
|
|
JPY |
|
|
|
313.85 |
|
|
|
JPY |
|
|
|
99,389 |
|
|
|
(2,530 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(12,651 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Interest Rate Swaptions Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Paid by the Trust |
|
Received by the
Trust |
|
Counterparty |
|
Expiration
Date |
|
|
Exercise
Rate |
|
|
Notional
Amount (000) |
|
|
Value |
|
| Description |
|
Rate |
|
|
Frequency |
|
Rate |
|
|
Frequency |
| Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2-Year Interest Rate Swap, 10/21/23 |
|
|
2.45% |
|
|
Semi-Annual |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
Goldman Sachs International |
|
|
10/19/23 |
|
|
|
2.45 |
% |
|
|
USD |
|
|
|
6,805 |
|
|
$ |
— |
|
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
OTC Interest Rate Swaptions Written (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Expiration
Date |
|
|
Exercise
Rate |
|
|
Notional
Amount (000) |
|
|
Value |
|
| Description |
|
Rate |
|
|
Frequency |
|
Rate |
|
|
Frequency |
| Call (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 5-Year Interest Rate Swap, 03/03/29 |
|
|
2.50% |
|
|
Annual |
|
|
6-mo.
EURIBOR,
4.13% |
|
|
Semi-Annual |
|
JPMorgan Chase Bank N.A. |
|
|
03/01/24 |
|
|
|
2.50 |
% |
|
|
EUR |
|
|
|
7,713 |
|
|
$ |
(14,584 |
) |
| 10-Year Interest Rate Swap, 03/20/34 |
|
|
3.15% |
|
|
Semi-Annual |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
Citibank N.A. |
|
|
03/18/24 |
|
|
|
3.15 |
|
|
|
USD |
|
|
|
4,959 |
|
|
|
(15,761 |
) |
| 5-Year Interest Rate Swap, 03/20/29 |
|
|
2.68% |
|
|
Annual |
|
|
6-mo.
EURIBOR,
4.13% |
|
|
Semi-Annual |
|
JPMorgan Chase Bank N.A. |
|
|
03/18/24 |
|
|
|
2.68 |
|
|
|
EUR |
|
|
|
6,317 |
|
|
|
(21,646 |
) |
| 2-Year Interest Rate Swap, 03/30/26 |
|
|
3.80% |
|
|
Semi-Annual |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
03/28/24 |
|
|
|
3.80 |
|
|
|
USD |
|
|
|
36,764 |
|
|
|
(86,125 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(138,116 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 10-Year Interest Rate Swap, 10/04/33 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
3.93% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
10/02/23 |
|
|
|
3.93 |
|
|
|
USD |
|
|
|
11,856 |
|
|
|
(349,773 |
) |
| 2-Year Interest Rate Swap, 10/08/25 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
5.10% |
|
|
Semi-Annual |
|
Citibank N.A. |
|
|
10/06/23 |
|
|
|
5.10 |
|
|
|
USD |
|
|
|
38,567 |
|
|
|
(9,656 |
) |
| 10-Year Interest Rate Swap, 10/15/33 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
3.50% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
10/13/23 |
|
|
|
3.50 |
|
|
|
USD |
|
|
|
8,153 |
|
|
|
(517,465 |
) |
| 2-Year Interest Rate Swap, 10/15/25 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
4.25% |
|
|
Semi-Annual |
|
Citibank N.A. |
|
|
10/13/23 |
|
|
|
4.25 |
|
|
|
USD |
|
|
|
35,329 |
|
|
|
(464,960 |
) |
| 2-Year Interest Rate Swap, 10/18/25 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
4.05% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
10/16/23 |
|
|
|
4.05 |
|
|
|
USD |
|
|
|
18,381 |
|
|
|
(310,094 |
) |
| 2-Year Interest Rate Swap, 10/19/25 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
4.25% |
|
|
Semi-Annual |
|
Citibank N.A. |
|
|
10/17/23 |
|
|
|
4.25 |
|
|
|
USD |
|
|
|
16,308 |
|
|
|
(213,632 |
) |
| 2-Year Interest Rate Swap, 10/21/23 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
3.30% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
10/19/23 |
|
|
|
3.30 |
|
|
|
USD |
|
|
|
3,403 |
|
|
|
(37,577 |
) |
| 5-Year Interest Rate Swap, 10/29/28 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
4.40% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
10/27/23 |
|
|
|
4.40 |
|
|
|
USD |
|
|
|
6,490 |
|
|
|
(34,824 |
) |
| 2-Year Interest Rate Swap, 11/03/25 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
5.00% |
|
|
Semi-Annual |
|
Citibank N.A. |
|
|
11/01/23 |
|
|
|
5.00 |
|
|
|
USD |
|
|
|
12,884 |
|
|
|
(22,165 |
) |
| 30-Year Interest Rate Swap, 11/03/53 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
4.00% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
11/01/23 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
2,577 |
|
|
|
(63,323 |
) |
| 2-Year Interest Rate Swap, 11/10/25 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
4.80% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
11/08/23 |
|
|
|
4.80 |
|
|
|
USD |
|
|
|
51,493 |
|
|
|
(202,954 |
) |
| 5-Year Interest Rate Swap, 01/07/29 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
4.50% |
|
|
Semi-Annual |
|
Citibank N.A. |
|
|
01/05/24 |
|
|
|
4.50 |
|
|
|
USD |
|
|
|
6,476 |
|
|
|
(51,585 |
) |
| 5-Year Interest Rate Swap, 03/03/29 |
|
|
6-mo.
EURIBOR,
4.13% |
|
|
Semi-Annual |
|
|
3.45% |
|
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
03/01/24 |
|
|
|
3.45 |
|
|
|
EUR |
|
|
|
7,713 |
|
|
|
(70,450 |
) |
| 2-Year Interest Rate Swap, 03/20/26 |
|
|
6-mo.
EURIBOR,
4.13% |
|
|
Semi-Annual |
|
|
4.05% |
|
|
Annual |
|
BNP Paribas SA |
|
|
03/18/24 |
|
|
|
4.05 |
|
|
|
EUR |
|
|
|
17,711 |
|
|
|
(26,631 |
) |
| 5-Year Interest Rate Swap, 03/20/29 |
|
|
6-mo.
EURIBOR,
4.13% |
|
|
Semi-Annual |
|
|
3.58% |
|
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
03/18/24 |
|
|
|
3.58 |
|
|
|
EUR |
|
|
|
6,317 |
|
|
|
(47,338 |
) |
| 5-Year Interest Rate Swap, 03/29/29 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
3.79% |
|
|
Semi-Annual |
|
JPMorgan Chase Bank N.A. |
|
|
03/27/24 |
|
|
|
3.79 |
|
|
|
USD |
|
|
|
17,015 |
|
|
|
(464,002 |
) |
| 2-Year Interest Rate Swap, 03/30/26 |
|
|
1-Day
SOFR,
5.31% |
|
|
Quarterly |
|
|
5.20% |
|
|
Semi-Annual |
|
JPMorgan Chase Bank N.A. |
|
|
03/28/24 |
|
|
|
5.20 |
|
|
|
USD |
|
|
|
18,382 |
|
|
|
(43,118 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,929,547 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(3,067,663 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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.V2 |
|
|
5.00 |
% |
|
|
Quarterly |
|
|
|
12/20/27 |
|
|
|
EUR |
|
|
|
831 |
|
|
$ |
(52,500 |
) |
|
$ |
(11,818 |
) |
|
$ |
(40,682 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 |
|
14 |
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
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, 5.31% |
|
Monthly |
|
5.45% |
|
Monthly |
|
|
N/A |
|
|
|
10/02/24 |
|
|
USD |
|
|
187,577 |
|
|
$ |
9,901 |
|
|
$ |
7,836 |
|
|
$ |
2,065 |
|
| 28-Day MXIBTIIE, 11.50% |
|
Monthly |
|
9.78% |
|
Monthly |
|
|
N/A |
|
|
|
02/04/25 |
|
|
MXN |
|
|
46,651 |
|
|
|
(46,254 |
) |
|
|
7 |
|
|
|
(46,261 |
) |
| 28-Day MXIBTIIE, 11.50% |
|
Monthly |
|
9.79% |
|
Monthly |
|
|
N/A |
|
|
|
02/04/25 |
|
|
MXN |
|
|
23,325 |
|
|
|
(22,953 |
) |
|
|
3 |
|
|
|
(22,956 |
) |
| 28-Day MXIBTIIE, 11.50% |
|
Monthly |
|
9.80% |
|
Monthly |
|
|
N/A |
|
|
|
02/04/25 |
|
|
MXN |
|
|
23,326 |
|
|
|
(22,692 |
) |
|
|
3 |
|
|
|
(22,695 |
) |
| 28-Day MXIBTIIE, 11.50% |
|
Monthly |
|
9.95% |
|
Monthly |
|
|
N/A |
|
|
|
02/07/25 |
|
|
MXN |
|
|
510,185 |
|
|
|
(435,410 |
) |
|
|
79 |
|
|
|
(435,489 |
) |
| 1-Day SOFR, 5.31% |
|
Annual |
|
5.00% |
|
Annual |
|
|
N/A |
|
|
|
10/02/25 |
|
|
USD |
|
|
84,698 |
|
|
|
61,868 |
|
|
|
14,168 |
|
|
|
47,700 |
|
| 1-Day SOFR, 5.31% |
|
Annual |
|
3.47% |
|
Annual |
|
|
03/10/25 |
(a) |
|
|
03/10/27 |
|
|
USD |
|
|
4,700 |
|
|
|
(46,307 |
) |
|
|
21 |
|
|
|
(46,328 |
) |
| 1-Day SONIA, 5.19% |
|
Annual |
|
4.86% |
|
Annual |
|
|
N/A |
|
|
|
06/20/28 |
|
|
GBP |
|
|
6,370 |
|
|
|
64,087 |
|
|
|
(16 |
) |
|
|
64,103 |
|
| 28-Day MXIBTIIE, 11.50% |
|
Monthly |
|
9.13% |
|
Monthly |
|
|
N/A |
|
|
|
08/15/28 |
|
|
MXN |
|
|
104,580 |
|
|
|
(115,692 |
) |
|
|
56 |
|
|
|
(115,748 |
) |
| 1-Day SOFR, 5.31% |
|
Annual |
|
4.42% |
|
Annual |
|
|
N/A |
|
|
|
10/02/28 |
|
|
USD |
|
|
135,611 |
|
|
|
196,965 |
|
|
|
32,212 |
|
|
|
164,753 |
|
| 1-Day SOFR, 5.31% |
|
Annual |
|
3.14% |
|
Annual |
|
|
05/12/28 |
(a) |
|
|
05/12/33 |
|
|
USD |
|
|
6,701 |
|
|
|
(245,503 |
) |
|
|
62 |
|
|
|
(245,565 |
) |
| 1-Day SOFR, 5.31% |
|
Annual |
|
4.31% |
|
Annual |
|
|
N/A |
|
|
|
09/29/33 |
|
|
USD |
|
|
26,166 |
|
|
|
58,087 |
|
|
|
2,269 |
|
|
|
55,818 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(543,903 |
) |
|
$ |
56,700 |
|
|
$ |
(600,603 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Effective
Date |
|
|
Termination
Date |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
Upfront
Premium
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| |
|
Rate |
|
Frequency |
|
Rate |
|
|
Frequency |
|
|
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
12.78% |
|
|
Monthly |
|
Morgan Stanley & Co. International PLC |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
136,435 |
|
|
$ |
535,715 |
|
|
$ |
— |
|
|
$ |
535,715 |
|
|
|
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
13.15% |
|
|
Monthly |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
7,068 |
|
|
|
37,365 |
|
|
|
— |
|
|
|
37,365 |
|
|
|
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
13.18% |
|
|
Monthly |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
7,065 |
|
|
|
38,141 |
|
|
|
— |
|
|
|
38,141 |
|
|
|
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
13.22% |
|
|
Monthly |
|
Citibank N.A. |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
3,716 |
|
|
|
20,624 |
|
|
|
— |
|
|
|
20,624 |
|
|
|
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
10.03% |
|
|
Monthly |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
14,158 |
|
|
|
(71,582 |
) |
|
|
— |
|
|
|
(71,582 |
) |
|
|
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
10.32% |
|
|
Monthly |
|
Barclays Bank PLC |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
29,050 |
|
|
|
(90,581 |
) |
|
|
— |
|
|
|
(90,581 |
) |
|
|
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
9.95% |
|
|
Monthly |
|
Citibank N.A. |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
14,191 |
|
|
|
(78,394 |
) |
|
|
— |
|
|
|
(78,394 |
) |
|
|
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
9.97% |
|
|
Monthly |
|
Bank of America N.A. |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
14,578 |
|
|
|
(79,169 |
) |
|
|
— |
|
|
|
(79,169 |
) |
|
|
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
9.99% |
|
|
Monthly |
|
Morgan Stanley & Co. International PLC |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
14,173 |
|
|
|
(74,759 |
) |
|
|
— |
|
|
|
(74,759 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
237,360 |
|
|
$ |
— |
|
|
$ |
237,360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
OTC Total Return Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Effective
Date |
|
|
Termination
Date |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
Upfront
Premium
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| Rate/Reference |
|
Frequency |
|
Rate/Reference |
|
Frequency |
| iShares iBoxx $ High Yield Corporate Bond ETF |
|
Monthly |
|
1-Day SOFR minus 1.50%, 5.31% |
|
Monthly |
|
BNP Paribas SA |
|
|
N/A |
|
|
|
12/15/23 |
|
|
|
USD 1,290 |
|
|
$ |
17,545 |
|
|
$ |
— |
|
|
$ |
17,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value
hierarchy consisting of three broad levels for financial reporting purposes as follows:
| |
• |
|
Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the 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 privately held companies or funds. There may
not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of
the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
Certain investments of the Trust were fair valued using net asset value (“NAV”) as a practical expedient as no quoted market value is available
and therefore have been excluded from the fair value hierarchy.
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 |
|
$ |
— |
|
|
$ |
61,548,069 |
|
|
$ |
— |
|
|
$ |
61,548,069 |
|
| Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Canada |
|
|
5,114,078 |
|
|
|
— |
|
|
|
— |
|
|
|
5,114,078 |
|
| China |
|
|
— |
|
|
|
7,748,770 |
|
|
|
— |
|
|
|
7,748,770 |
|
| Finland |
|
|
— |
|
|
|
9,696,011 |
|
|
|
— |
|
|
|
9,696,011 |
|
| France |
|
|
2,893,440 |
|
|
|
83,848,784 |
|
|
|
— |
|
|
|
86,742,224 |
|
| Germany |
|
|
840,580 |
|
|
|
47,572,830 |
|
|
|
— |
|
|
|
48,413,410 |
|
| Hong Kong |
|
|
— |
|
|
|
3,251,031 |
|
|
|
— |
|
|
|
3,251,031 |
|
| Israel |
|
|
3,631,710 |
|
|
|
— |
|
|
|
— |
|
|
|
3,631,710 |
|
| Italy |
|
|
3,000,491 |
|
|
|
5,122,016 |
|
|
|
— |
|
|
|
8,122,507 |
|
| Japan |
|
|
— |
|
|
|
36,450,276 |
|
|
|
— |
|
|
|
36,450,276 |
|
| Netherlands |
|
|
— |
|
|
|
36,910,773 |
|
|
|
— |
|
|
|
36,910,773 |
|
| Norway |
|
|
786,960 |
|
|
|
— |
|
|
|
— |
|
|
|
786,960 |
|
| South Korea |
|
|
— |
|
|
|
7,465,598 |
|
|
|
— |
|
|
|
7,465,598 |
|
| Spain |
|
|
— |
|
|
|
5,931,479 |
|
|
|
— |
|
|
|
5,931,479 |
|
| Sweden |
|
|
— |
|
|
|
2,633,737 |
|
|
|
— |
|
|
|
2,633,737 |
|
| Switzerland |
|
|
6,266,183 |
|
|
|
29,181,700 |
|
|
|
— |
|
|
|
35,447,883 |
|
| Taiwan |
|
|
10,189,720 |
|
|
|
— |
|
|
|
— |
|
|
|
10,189,720 |
|
| United Kingdom |
|
|
9,670,213 |
|
|
|
28,777,615 |
|
|
|
297,008 |
|
|
|
38,744,836 |
|
| United States |
|
|
667,247,625 |
|
|
|
77,357 |
|
|
|
439,999 |
|
|
|
667,764,981 |
|
| Corporate Bonds |
|
|
— |
|
|
|
168,934,830 |
|
|
|
33,083,817 |
|
|
|
202,018,647 |
|
|
|
|
| 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 |
|
16 |
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Fair Value Hierarchy as of Period End (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Fixed Rate Loan Interests |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,064,914 |
|
|
$ |
4,064,914 |
|
| Floating Rate Loan Interests |
|
|
— |
|
|
|
10,449,591 |
|
|
|
17,888,519 |
|
|
|
28,338,110 |
|
| Foreign Agency Obligations |
|
|
— |
|
|
|
11,388,371 |
|
|
|
— |
|
|
|
11,388,371 |
|
| Investment Companies |
|
|
13,336,888 |
|
|
|
— |
|
|
|
— |
|
|
|
13,336,888 |
|
| Municipal Bonds |
|
|
— |
|
|
|
2,579,299 |
|
|
|
— |
|
|
|
2,579,299 |
|
| Non-Agency Mortgage-Backed Securities |
|
|
— |
|
|
|
39,299,610 |
|
|
|
— |
|
|
|
39,299,610 |
|
| Preferred Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Preferred Stocks |
|
|
— |
|
|
|
— |
|
|
|
20,970,404 |
|
|
|
20,970,404 |
|
| U.S. Government Sponsored Agency Securities |
|
|
— |
|
|
|
121,371,670 |
|
|
|
— |
|
|
|
121,371,670 |
|
| Warrants |
|
|
— |
|
|
|
— |
|
|
|
921,587 |
|
|
|
921,587 |
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Money Market Funds |
|
|
288,313,351 |
|
|
|
— |
|
|
|
— |
|
|
|
288,313,351 |
|
| Options Purchased |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equity Contracts |
|
|
2,063,336 |
|
|
|
73,003 |
|
|
|
— |
|
|
|
2,136,339 |
|
| Interest Rate Contracts |
|
|
— |
|
|
|
474,978 |
|
|
|
— |
|
|
|
474,978 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unfunded Floating Rate Loan Interests(a) |
|
|
— |
|
|
|
— |
|
|
|
(121,411 |
) |
|
|
(121,411 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,013,354,575 |
|
|
$ |
720,787,398 |
|
|
$ |
77,544,837 |
|
|
|
1,811,686,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments Valued at NAV(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,671,058 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,814,357,868 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative Financial Instruments(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equity Contracts |
|
$ |
261,428 |
|
|
$ |
28,005 |
|
|
$ |
— |
|
|
$ |
289,433 |
|
| Foreign Currency Exchange Contracts |
|
|
— |
|
|
|
6,586,444 |
|
|
|
— |
|
|
|
6,586,444 |
|
| Interest Rate Contracts |
|
|
3,310,970 |
|
|
|
966,284 |
|
|
|
— |
|
|
|
4,277,254 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Contracts |
|
|
— |
|
|
|
(40,682 |
) |
|
|
— |
|
|
|
(40,682 |
) |
| Equity Contracts |
|
|
(6,634,011 |
) |
|
|
(104,639 |
) |
|
|
— |
|
|
|
(6,738,650 |
) |
| Foreign Currency Exchange Contracts |
|
|
— |
|
|
|
(287,725 |
) |
|
|
— |
|
|
|
(287,725 |
) |
| Interest Rate Contracts |
|
|
(3,214,757 |
) |
|
|
(4,397,190 |
) |
|
|
— |
|
|
|
(7,611,947 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(6,276,370 |
) |
|
$ |
2,750,497 |
|
|
$ |
— |
|
|
$ |
(3,525,873 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(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
Interest |
|
|
Non-Agency
Mortgage Backed
Securities |
|
|
Preferred
Securities |
|
| 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 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| 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 |
|
|
— |
|
|
|
— |
|
|
|
82,208 |
|
|
|
6,400 |
|
|
|
33,062 |
|
|
|
— |
|
|
|
— |
|
| Net realized gain (loss) |
|
|
— |
|
|
|
— |
|
|
|
(630,044 |
) |
|
|
— |
|
|
|
45,618 |
|
|
|
— |
|
|
|
— |
|
| Net change in unrealized appreciation
(depreciation)(b) |
|
|
— |
|
|
|
(169,091 |
) |
|
|
29,920 |
|
|
|
38,317 |
|
|
|
90,898 |
|
|
|
— |
|
|
|
(3,110,661 |
) |
| Purchases |
|
|
— |
|
|
|
345,313 |
|
|
|
19,574,928 |
|
|
|
— |
|
|
|
8,659,064 |
|
|
|
— |
|
|
|
312,886 |
|
| Sales |
|
|
— |
|
|
|
— |
|
|
|
(5,447,736 |
) |
|
|
— |
|
|
|
(12,715,075 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Closing balance, as of September 30, 2023 |
|
$ |
— |
|
|
$ |
737,007 |
|
|
$ |
33,083,817 |
|
|
$ |
4,064,914 |
|
|
$ |
17,888,519 |
|
|
$ |
— |
|
|
$ |
20,970,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2023(b) |
|
$ |
— |
|
|
$ |
(169,091) |
|
|
$ |
(431,176) |
|
|
$ |
38,317 |
|
|
$ |
(364,416 |
) |
|
$ |
— |
|
|
$ |
(3,110,661) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
| |
|
Unfunded
Floating
Rate Loan
Interest |
|
|
Warrents |
|
|
Total |
|
| Assets/Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| Opening balance, as of December 31, 2022 |
|
$ |
(2,950) |
|
|
$ |
1,079,629 |
|
|
$ |
72,255,605 |
|
| Transfers into Level 3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Transfers out of Level 3 |
|
|
— |
|
|
|
— |
|
|
|
(1,580,272 |
) |
| Other |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Accrued discounts/premiums |
|
|
— |
|
|
|
— |
|
|
|
121,670 |
|
| Net realized gain (loss) |
|
|
— |
|
|
|
— |
|
|
|
(584,426 |
) |
| Net change in unrealized appreciation
(depreciation)(b) |
|
|
(118,461 |
) |
|
|
(158,042 |
) |
|
|
(3,397,120 |
) |
| Purchases |
|
|
— |
|
|
|
— |
|
|
|
28,892,191 |
|
| Sales |
|
|
— |
|
|
|
— |
|
|
|
(18,162,811 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Closing balance, as of September 30, 2023 |
|
$ |
(121,411 |
) |
|
$ |
921,587 |
|
|
$ |
77,544,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2023(b) |
|
$ |
(121,411 |
) |
|
$ |
(158,042) |
|
|
$ |
(4,316,480) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(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) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation
(depreciation) on investments still held at September 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 $3,373,248. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.
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| |
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Value |
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|
Valuation
Approach |
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|
Unobservable
Inputs |
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|
Range of
Unobservable
Inputs
Utilized |
(a) |
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|
Weighted
Average of
Unobservable
Inputs Based
on Fair Value |
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| Assets |
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| Common Stock |
|
$ |
737,007 |
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|
Market |
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|
Gross Profit Multiple
Volatility |
|
|
14.25x
44% - 75% |
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|
—
68% |
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Time to Exit |
|
|
1.2 - 2.5 years |
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|
|
2.2 years |
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| Corporate Bonds |
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|
33,083,817 |
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|
Income |
|
|
Discount Rate |
|
|
12% - 48% |
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|
18% |
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| Floating Rate Loan Interests |
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|
14,393,864 |
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|
Income |
|
|
Discount Rate |
|
|
7% - 15% |
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|
10% |
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| Fixed Rate Loan Interests |
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4,064,914 |
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Income |
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Credit Spread |
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|
819 |
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— |
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| Preferred Stocks |
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|
20,970,404 |
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|
Market |
|
|
Revenue Multiple |
|
|
0.16x - 33.75x |
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|
|
19.35x |
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|
Time to Exit |
|
|
0.3 - 3.5 years |
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|
|
2.2 years |
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Volatility |
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|
50% - 90% |
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|
75% |
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|
EBITDA |
|
|
7.00x |
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|
— |
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|
Gross Profit Multiple |
|
|
6.75x |
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|
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— |
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|
|
|
|
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| Warrants |
|
|
921,583 |
|
|
|
Market |
|
|
Revenue Multiple |
|
|
3.25x - 33.75x |
|
|
|
15.14x |
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|
|
|
|
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Volatility |
|
|
35% - 65% |
|
|
|
58% |
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|
|
|
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Time to Exit |
|
|
0.3 - 8.6 years |
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|
|
4.5 years |
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$ |
74,171,589 |
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| |
(a) |
A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.
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| Currency Abbreviation |
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|
Currency Abbreviation (continued) |
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| AUD |
|
Australian Dollar |
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DKK |
|
Danish Krone |
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| BRL |
|
Brazilian Real |
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|
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EUR |
|
Euro |
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| CAD |
|
Canadian Dollar |
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GBP |
|
British Pound |
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| CHF |
|
Swiss Franc |
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HKD |
|
Hong Kong Dollar |
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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 |
|
18 |
|
|
|
| Schedule of Investments (unaudited) (continued)
September 30, 2023 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
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|
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|
| Currency Abbreviation (continued) |
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|
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| JPY |
|
Japanese Yen |
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| KRW |
|
South Korean Won |
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| MXN |
|
Mexican Peso |
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| SEK |
|
Swedish Krona |
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| USD |
|
United States Dollar |
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| ZAR |
|
South African Rand |
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|
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|
| Portfolio Abbreviation |
|
|
|
|
|
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|
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| ADR |
|
American Depositary Receipt |
|
|
|
|
|
|
|
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| BZDIOVER |
|
Overnight Brazil Interbank Deposit (CETIP) |
|
|
|
|
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|
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| CLO |
|
Collateralized Loan Obligation |
|
|
|
|
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|
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| CMT |
|
Constant Maturity Treasury |
|
|
|
|
|
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|
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| CR |
|
Custodian Receipt |
|
|
|
|
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| ETF |
|
Exchange-Traded Fund |
|
|
|
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|
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|
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| EURIBOR |
|
Euro Interbank Offered Rate |
|
|
|
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|
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|
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| FREMF |
|
Freddie Mac Multifamily Securities |
|
|
|
|
|
|
|
|
| GO |
|
General Obligation Bonds |
|
|
|
|
|
|
|
|
| LIBOR |
|
London Interbank Offered Rate |
|
|
|
|
|
|
|
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| MSCI |
|
Morgan Stanley Capital International |
|
|
|
|
|
|
|
|
| MXIBTIIE |
|
Mexico Interbank TIIE 28-Day |
|
|
|
|
|
|
|
|
| PIK |
|
Payment-in-Kind |
|
|
|
|
|
|
|
|
| RB |
|
Revenue Bond |
|
|
|
|
|
|
|
|
| S&P |
|
Standard & Poor’s |
|
|
|
|
|
|
|
|
| SOFR |
|
Secured Overnight Financing Rate |
|
|
|
|
|
|
|
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| SONIA |
|
Sterling Overnight Interbank Average Rate |
|
|
|
|
|
|
|
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| SPDR |
|
Standard & Poor’s Depository Receipt |
|
|
|
|
BlackRock ESG Capital Al... (NYSE:ECAT)
과거 데이터 주식 차트
부터 4월(4) 2024 으로 5월(5) 2024
BlackRock ESG Capital Al... (NYSE:ECAT)
과거 데이터 주식 차트
부터 5월(5) 2023 으로 5월(5) 2024
