0001752724-19-047599.txt : 20190529 0001752724-19-047599.hdr.sgml : 20190529 20190529071138 ACCESSION NUMBER: 0001752724-19-047599 CONFORMED SUBMISSION TYPE: NPORT-EX PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20190331 FILED AS OF DATE: 20190529 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BlackRock Enhanced Government Fund, Inc. CENTRAL INDEX KEY: 0001336050 IRS NUMBER: 000000000 STATE OF INCORPORATION: MD FILING VALUES: FORM TYPE: NPORT-EX SEC ACT: 1940 Act SEC FILE NUMBER: 811-21793 FILM NUMBER: 19859781 BUSINESS ADDRESS: STREET 1: 100 BELLEVUE PARKWAY CITY: WILMINGTON STATE: DE ZIP: 19809 BUSINESS PHONE: 800-441-7762 MAIL ADDRESS: STREET 1: 100 BELLEVUE PARKWAY CITY: WILMINGTON STATE: DE ZIP: 19809 FORMER COMPANY: FORMER CONFORMED NAME: Enhanced Government Fund DATE OF NAME CHANGE: 20051027 FORMER COMPANY: FORMER CONFORMED NAME: Enhanced Government Income Fund DATE OF NAME CHANGE: 20050812 ACCESSION NUMBER: 0001752724-19-039948 NPORT-EX 1 NPORT_219637386038925.htm EX-EGF

Schedule of Investments  (unaudited) 

March 31, 2019

   

BlackRock Enhanced Government Fund, Inc. (EGF)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Asset-Backed Securities — 1.9%

 

Securitized Asset Backed Receivables LLC Trust(a):

    

Series 2005-OP1, Class M2, (1 mo. LIBOR US + 0.68%), 3.16%, 01/25/35

   $ 428     $ 422,015  

Series 2005-OP2, Class M1, (1 mo. LIBOR US + 0.43%), 2.92%, 10/25/35

     942       933,155  
   

 

 

  

Total Asset-Backed Securities — 1.9%
(Cost — $1,306,042)

 

     1,355,170  
   

 

 

  

Non-Agency Mortgage-Backed Securities — 0.2%

 

Collateralized Mortgage Obligations — 0.1%

 

Bank of America Mortgage Trust, Series 2003-J, Class 2A1, 4.65%, 11/25/33(b)

     55       55,112  

Bear Stearns ALT-A Trust, Series 2004-13, Class A1, (1 mo. LIBOR US + 0.74%), 3.23%, 11/25/34(a)

     18       17,608  
   

 

 

  
      72,720  
Interest Only Collateralized Mortgage Obligations — 0.1%  

CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37

     147       33,243  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 0.2%
(Cost — $84,854)

 

     105,963  
   

 

 

  

Preferred Securities — 2.6%

 

Capital Trust — 2.6%

 

Electric Utilities — 2.6%  

PPL Capital Funding, Inc., Series A,
5.27%, 03/30/67(c)

     2,000       1,835,000  
   

 

 

  

Total Preferred Securities — 2.6%
(Cost — $1,980,520)

 

     1,835,000  
   

 

 

  

U.S. Government Sponsored Agency Securities — 62.5%

 

Agency Obligations — 9.8%

 

Fannie Mae Mortgage-Backed Securities, 4.50%, 02/01/46

     3,263       3,447,069  
   

 

 

  
Security   Par
(000)		     Value  
Agency Obligations (continued)  

Federal Farm Credit Bank, 4.55%, 06/08/20

   $ 3,500     $ 3,588,885  
   

 

 

  
      7,035,954  
Collateralized Mortgage Obligations — 2.4%  

Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44

     726       765,998  

Ginnie Mae Mortgage-Backed Securities, Series 2006-3, Class C, 5.24%, 04/16/39(b)

     914       913,274  
   

 

 

  
      1,679,272  
Interest Only Collateralized Mortgage Obligations — 1.1%  

Fannie Mae Mortgage-Backed Securities:

    

Series 2012-96, Class DI, 4.00%, 02/25/27

     687       42,561  

Series 2012-47, Class NI, 4.50%, 04/25/42

     913       180,689  

Ginnie Mae Mortgage-Backed Securities:

    

Series 2006-30, Class IO, 2.39%, 05/16/46(b)

     204       11,809  

Series 2009-78, Class SD, (1 mo. LIBOR + 6.20%), 3.71%, 09/20/32(a)

     974       95,147  

Series 2009-116, Class KS, (1 mo. LIBOR + 6.47%), 3.99%, 12/16/39(a)

     271       36,626  

Series 2011-52, Class NS, (1 mo. LIBOR + 6.67%), 4.19%, 04/16/41(a)

     2,778       445,688  
   

 

 

  
      812,520  
Mortgage-Backed Securities — 49.2%  

Fannie Mae Mortgage-Backed Securities:

    

2.50%, 10/01/28

     3,513       3,510,901  

3.00%, 03/01/43

     5,334       5,334,405  

3.50%, 08/01/44

     2,701       2,761,290  

4.00%, 10/01/24 - 02/01/41

     7,069       7,335,210  

4.50%, 04/01/39 - 08/01/40

     4,998       5,292,315  

5.00%, 11/01/33 - 02/01/40

     2,420       2,607,882  

5.50%, 10/01/23 - 09/01/36

     2,032       2,232,229  

6.00%, 02/01/36 - 03/01/38

     314       345,215  

Freddie Mac Mortgage-Backed Securities:

    

3.50%, 08/01/33 - 01/01/46

     5,490       5,617,185  

4.50%, 05/01/34

     143       148,955  
 

 

 

     1  

Schedule of Investments  (unaudited) (continued)

March 31, 2019

   

BlackRock Enhanced Government Fund, Inc. (EGF)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)		     Value  
Mortgage-Backed Securities (continued)  

Ginnie Mae Mortgage-Backed Securities, 5.00%, 11/15/35

   $ 4     $ 4,425  
   

 

 

  
      35,190,012  
   

 

 

  

Total U.S. Government Sponsored Agency
Securities — 62.5%
(Cost — $43,354,920)

 

     44,717,758  
   

 

 

  
U.S. Treasury Obligations — 52.0%            

U.S. Treasury Bonds, 3.00%, 08/15/48

     5,100       5,279,297  

U.S. Treasury Notes:

    

2.63%, 07/31/20(d)

     14,800       14,847,406  

2.75%, 08/15/21

     6,500       6,572,109  

2.75%, 07/31/23

     500       510,449  

2.88%, 07/31/25(d)

     9,700       10,022,828  
   

 

 

  

Total U.S. Treasury Obligations — 52.0%
(Cost — $36,694,447)

 

     37,232,089  
   

 

 

  

Total Long-Term Investments — 119.2%
(Cost — $83,420,783)

 

     85,245,980  
   

 

 

  
    
Security		   Shares     Value  

Short-Term Securities — 2.0%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.37%(e)(f)

     1,455,674     $ 1,455,674  
   

 

 

  

Total Short-Term Securities — 2.0%
(Cost — $1,455,674)

 

     1,455,674  
   

 

 

  

Total Investments Before Options Written — 121.2%
(Cost — $84,876,457)

 

     86,701,654  
   

 

 

  

Options Written — (0.2)%
(Premiums Received — $188,000)

 

     (137,694 ) 
   

 

 

  

Total Investments, Net of Options Written — 121.0%
(Cost — $84,688,457)

 

     86,563,960  

Liabilities in Excess of Other Assets — (21.0)%

 

     (15,018,973 ) 
   

 

 

  

Net Assets — 100.0%

 

   $ 71,544,987  
   

 

 

  
 
(a) 

Variable rate security. Rate shown is the rate in effect as of period end.

(b) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(c) 

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(d) 

All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(e)

Annualized 7-day yield as of period end.

(f) 

During the period ended March 31, 2019, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
12/31/18		      Net
Activity		      Shares
Held at
03/31/19		      Value at
03/31/19		      Income      Net Realized
Gain (Loss) (a)		      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund,
Institutional Class

      1,277,564        178,110        1,455,674      $ 1,455,674      $ 7,965      $ —      $ —  
           

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Includes net capital gain distributions, if applicable.

 

Portfolio Abbreviations

IO — Interest Only

LIBOR — London Interbank Offered Rate

 

 

2   

Schedule of Investments  (unaudited) (continued)

March 31, 2019

   

BlackRock Enhanced Government Fund, Inc. (EGF)

 

Reverse Repurchase Agreements

 

Counterparty

    Interest
Rate		     Trade
Date		      Maturity
Date (a)		      Face Value      Face Value
Including
Accrued Interest		      Type of Non-Cash Underlying Collateral    Remaining Contractual
Maturity of the Agreements (a)

Credit Suisse Securities (USA) LLC

      2.48 %      11/20/18        Open      $ 7,537,500      $ 7,602,896      U.S. Treasury Obligations    Open/Demand

Credit Suisse Securities (USA) LLC

      2.48       11/29/18        Open        8,060,000        8,126,462      U.S. Treasury Obligations    Open/Demand
          

 

 

     

 

 

        
   $ 15,597,500      $ 15,729,358        
  

 

 

     

 

 

        

 

  (a) 

Certain agreements have no stated maturity and can be terminated by either party at any time.

 

Derivative Financial Instruments Outstanding as of Period End

OTC Interest Rate Swaptions Written

 

Description

    Paid by the Fund      Received by the Fund     

Counterparty

    Expiration
Date		      Exercise
Rate		     Notional
Amount (000)		      Value  
   Rate     Frequency      Rate     Frequency  

Call

                                                                                   

5-Year Interest Rate Swap, 05/01/24

      2.23 %      Semi-annual       
 3-Month USD LIBOR,
2.60%		  
 		     Quarterly      Barclays Bank PLC      04/29/19        2.23 %      USD        19,000      $ (43,877 ) 

2-Year Interest Rate Swap, 05/01/21

      2.30       Semi-annual       
 6-Month USD LIBOR,
2.66%		  
 		     Quarterly      Barclays Bank PLC      04/29/19        2.30       USD        30,000        (22,422 ) 

10-Year Interest Rate Swap, 05/01/29

      2.37       Semi-annual       
 3-Month USD LIBOR,
2.60%		  
 		     Quarterly      Barclays Bank PLC      04/29/19        2.37       USD        7,500        (32,150 ) 

30-Year Interest Rate Swap, 05/01/49

      2.56       Semi-annual       
 3-Month USD LIBOR,
2.60%		  
 		     Quarterly      Barclays Bank PLC      04/29/19        2.56       USD        3,750        (39,245 ) 
                          

 

 

  
                           $ (137,694 ) 
                          

 

 

  

 

 

     3  

Schedule of Investments  (unaudited) (continued)

March 31, 2019

   

BlackRock Enhanced Government Fund, Inc. (EGF)

 

Fair Value Hierarchy as of Period End

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

 

  •  

Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

  •  

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

 

  •  

Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its annual report.

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

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments:

 

Asset-Backed Securities

   $ —        $ 1,355,170        $ —        $ 1,355,170  

Non-Agency Mortgage-Backed Securities

     —          105,963          —          105,963  

Preferred Securities

     —          1,835,000          —          1,835,000  

U.S. Government Sponsored Agency Securities

     —          44,717,758          —          44,717,758  

U.S. Treasury Obligations

     —          37,232,089          —          37,232,089  

Short-Term Securities

     1,455,674          —          —          1,455,674  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 1,455,674        $ 85,245,980        $ —        $ 86,701,654  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(a)

 

Liabilities:

 

Interest rate contracts

    $ —        $ (137,694 )       $ —        $ (137,694 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

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

 

 

 

4   

Schedule of Investments  (unaudited) (continued)

March 31, 2019

   

BlackRock Enhanced Government Fund, Inc. (EGF)

 

Fair Value Hierarchy as of Period End (continued)

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial reporting purposes. As of period end, reverse repurchase agreements of $15,729,358 are categorized as Level 2 within the disclosure hierarchy.

During the period ended March 31, 2019 there were no transfers between levels.

 

 

     5