N-Q 1 d592876dnq.htm BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST <![CDATA[BlackRock Resources & Commodities Strategy Trust]]>

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22501

Name of Fund:     BlackRock Resources & Commodities Strategy Trust (BCX)

Fund Address:     100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Resources & Commodities Strategy Trust, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 10/31/2013

Date of reporting period: 07/31/2013

Item 1 – Schedule of Investments

Consolidated Schedule of Investments July 31, 2013 (Unaudited)      BlackRock Resources & Commodities Strategy Trust (BCX)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Chemicals — 14.0%

      

Agrium, Inc.

      74,900       $ 6,366,500   

CF Industries Holdings, Inc. (a)

      22,000         4,312,220   

Israel Chemicals Ltd.

      475,730         3,793,591   

Monsanto Co.

      245,500         24,250,490   

The Mosaic Co. (a)

      153,908         6,324,080   

Potash Corp of Saskatchewan, Inc.

      445,700         12,925,300   

Syngenta AG

      60,803         24,042,234   

Yara International ASA

      99,800         4,478,782   
     

 

 

  
                86,493,197   

Food Products — 6.2%

      

Archer-Daniels-Midland Co. (a)

      309,800         11,298,406   

Bunge Ltd. (a)

      154,400         11,735,944   

Ingredion, Inc.

      146,095         9,817,584   

Nestle SA

      80,071         5,419,418   
     

 

 

  
                38,271,352   

Machinery — 5.3%

      

AGCO Corp. (a)

      212,233         11,938,106   

CNH Global NV

      216,400         10,168,636   

Deere & Co.

      130,020         10,800,761   
     

 

 

  
                32,907,503   

Metals & Mining — 18.8%

      

Augusta Resource Corp. (b)

      869,829         1,757,055   

BHP Billiton Ltd. — ADR

      363,600         22,808,628   

First Quantum Minerals Ltd.

      569,000         9,140,785   

Freeport-McMoRan Copper & Gold, Inc. (a)

      496,900         14,052,332   

Fresnillo PLC

      328,700         5,161,796   

Glencore Xstrata PLC

      3,691,500         15,589,856   

Goldcorp, Inc. (a)

      156,029         4,404,699   

Labrador Iron Ore Royalty Corp.

      201,453         6,215,603   

MMC Norilsk Nickel OJSC — ADR

      412,000         5,509,370   

Nevsun Resources Ltd.

      2,209,750         7,444,003   

Rio Tinto PLC — ADR

      310,500         13,969,395   

Teck Resources Ltd., Class B (a)

      213,200         4,994,248   

Vedanta Resources PLC

      261,750         4,633,957   
     

 

 

  
                115,681,727   

Oil, Gas & Consumable Fuels — 50.9%

      

BP PLC — ADR (a)

      470,200         19,485,088   

Cairn Energy PLC (b)

      2,715,000         11,111,006   

Canadian Oil Sands Ltd.

      744,000         14,443,930   

Chevron Corp. (a)

      373,500         47,019,915   

ConocoPhillips (a)

      407,200         26,410,992   

Cosan Ltd., Class A

      352,000         5,660,160   
Common Stocks    Shares      Value  

Oil, Gas & Consumable Fuels (concluded)

      

Enbridge, Inc. (a)

      284,700       $ 12,631,466   

Eni SpA — ADR

      248,500         10,971,275   

Exxon Mobil Corp. (a)

      479,299         44,934,279   

Hess Corp.

      234,400         17,453,424   

Imperial Oil Ltd. (a)

      202,800         8,701,583   

Inpex Corp.

      2,300         10,056,304   

Royal Dutch Shell PLC — ADR (a)

      335,500         22,931,425   

Southwestern Energy Co. (a)(b)

      569,000         22,071,510   

Statoil ASA

      701,500         15,227,209   

Total SA — ADR (a)

      116,500         6,180,325   

Ultra Petroleum Corp. (a)(b)

      843,500         18,261,775   
     

 

 

  
                313,551,666   

Real Estate Investment Trusts (REITs) — 1.0%

      

Plum Creek Timber Co., Inc.

      69,500         3,390,210   

Rayonier, Inc. (a)

      47,000         2,746,680   
     

 

 

  
                6,136,890   

Total Long-Term Investments

(Cost — $617,582,435) — 96.2%

               593,042,335   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.04% (c)(d)

      23,597,223         23,597,223   

Total Short-Term Securities

(Cost — $23,597,223) — 3.8%

               23,597,223   

Total Investments Before Options Written

(Cost — $641,179,658*) — 100.0%

               616,639,558   
     
Options Written                

(Premiums Received — $4,747,475) — (0.9)%

               (5,785,716 ) 

Total Investments Net of Options Written — 99.1%

         610,853,842   

Other Assets Less Liabilities — 0.9%

         5,655,193   
     

 

 

  

Net Assets — 100.0%

       $ 616,509,035   
     

 

 

  
 

 

Portfolio Abbreviations        
To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:  

ADR     American Depositary Receipt

  

ILS       Israeli Shekel

 

CAD     Canadian Dollar

  

JPY      Japanese Yen

 

CHF     Swiss Franc

  

NOK    Norwegian Krone

 

GBP     British Pound

  

USD     US Dollar

 

     BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST (BCX)    JULY 31, 2013    1

Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)   

 

Notes to Schedule of Investments     

 

* As of July 31, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

    $ 711,520,085   
  

 

 

  

Gross unrealized appreciation

    $ 22,808,115   

Gross unrealized depreciation

      (117,688,642 ) 
  

 

 

  

Net unrealized depreciation

    $ (94,880,527 ) 
  

 

 

  

 

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

 

(b) Non-income producing security.

 

(c) Represents the current yield as of report date.

 

(d) Investments in issuers considered to be an affiliate of the Trust during the period ended July 31, 2013, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares Held at
October 31, 2012		     

Net

Activity

      Shares Held at
July 31, 2013		      Income      Realized
Gain		  

BlackRock Liquidity Funds, TempFund, Institutional Class

      7,260,037         16,337,186         23,597,223       $ 12,862       $ 142   

 

Ÿ  

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

 

Ÿ  

Exchange-traded options written as of July 31, 2013 were as follows:

 

Description    Put/
Call		     

Strike

Price

      Expiration
Date		      Contracts      Market
Value		  

Royal Dutch Shell PLC — ADR

      Call       USD      66.00         8/08/13         275       $ (64,625 ) 

CF Industries Holdings, Inc.

      Call       USD      196.50         8/09/13         77         (31,263 ) 

ConocoPhillips

      Call       USD      62.50         8/13/13         640         (169,418 ) 

Archer-Daniels-Midland Co.

      Call       USD      37.00         8/19/13         618         (40,170 ) 

BP PLC — ADR

      Call       USD      42.00         8/19/13         650         (13,650 ) 

Bunge Ltd.

      Call       USD      75.00         8/19/13         155         (27,125 ) 

Chevron Corp.

      Call       USD      120.00         8/19/13         1,168         (715,400 ) 

Freeport-McMoRan Copper & Gold, Inc.

      Call       USD      29.00         8/19/13         1,002         (35,070 ) 

Goldcorp, Inc.

      Call       USD      25.00         8/19/13         270         (90,450 ) 

Imperial Oil Ltd.

      Call       CAD      41.00         8/19/13         711         (224,978 ) 

The Mosaic Co.

      Call       USD      55.00         8/19/13         269         (1,210 ) 

Rayonier, Inc. — REIT

      Call       USD      55.00         8/19/13         165         (58,988 ) 

Southwestern Energy Co.

      Call       USD      39.00         8/19/13         500         (47,750 ) 

Southwestern Energy Co.

      Call       USD      40.00         8/19/13         500         (28,250 ) 

Ultra Petroleum Corp.

      Call       USD      22.00         8/19/13         2,360         (129,800 ) 

Total SA — ADR

      Call       USD      51.00         8/28/13         134         (37,064 ) 

Chevron Corp.

      Call       USD      127.00         9/16/13         140         (22,826 ) 

Enbridge, Inc.

      Call       CAD      47.00         9/21/13         628         (22,317 ) 

Archer-Daniels-Midland Co.

      Call       USD      37.00         9/23/13         466         (47,998 ) 

The Mosaic Co.

      Call       USD      57.50         9/23/13         269         (3,228 ) 

Southwestern Energy Co.

      Call       USD      40.00         9/23/13         990         (110,880 ) 

Teck Resources Ltd., Class B

      Call       CAD      25.00         9/23/13         746         (56,653 ) 

Ultra Petroleum Corp.

      Call       USD      23.00         9/23/13         590         (32,450 ) 

Total

                   $ (2,011,563 ) 
                 

 

 

  

 

Ÿ  

Over-the-counter options written as of July 31, 2013 were as follows:

 

Description    Counterparty    Put/
Call		     

Strike

Price

      Expiration
Date		      Contracts      Market
Value		  

Bunge Ltd.

    Deutsche Bank AG      Call       USD      72.42         8/05/13         38,500       $ (138,482 ) 

Royal Dutch Shell PLC — ADR

    Citibank N.A.      Call       USD      68.51         8/06/13         32,000         (6,396 ) 

 

2    BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST (BCX)    JULY 31, 2013     

Consolidated Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)   

 

Ÿ  

Over-the-counter options written as of July 31, 2013 were as follows: (concluded)

 

Description    Counterparty    Put/
Call		     

Strike

Price

      Expiration
Date		      Contracts     

Market

Value

  

Enbridge, Inc.

    Morgan Stanley & Co. International PLC      Call       CAD      44.19         8/07/13         18,300       $ (25,784 ) 

Glencore Xstrata PLC

    Deutsche Bank AG      Call       GBP      3.36         8/07/13         73,700         (22 ) 

Glencore Xstrata PLC

    UBS AG      Call       GBP      3.09         8/07/13         594,700         (914 ) 

Yara International ASA

    UBS AG      Call       NOK      245.72         8/07/13         35,000         (111,382 ) 

Eni SpA — ADR

    Barclays Bank PLC      Call       USD      42.53         8/08/13         34,900         (58,178 ) 

AGCO Corp.

    Morgan Stanley & Co. International PLC      Call       USD      53.50         8/12/13         74,200         (211,604 ) 

ConocoPhillips

    Morgan Stanley & Co. International PLC      Call       USD      62.82         8/13/13         78,500         (187,357 ) 

Cairn Energy PLC

    Goldman Sachs International      Call       GBP      2.64         8/14/13         233,000         (28,686 ) 

Cosan Ltd., Class A

    Citibank N.A.      Call       USD      16.18         8/15/13         58,000         (27,529 ) 

Potash Corp of Saskatchewan, Inc.

    Morgan Stanley & Co. International PLC      Call       USD      39.37         8/15/13         155,900         (5,009 ) 

Deere & Co.

    Credit Suisse International      Call       USD      82.77         8/21/13         45,500         (100,713 ) 

Nevsun Resources Ltd.

    UBS AG      Call       CAD      3.28         8/21/13         101,500         (31,203 ) 

Agrium, Inc.

    Morgan Stanley & Co. International PLC      Call       USD      91.89         8/22/13         26,300         (36,948 ) 

CNH Global NV

    Credit Suisse International      Call       USD      42.99         8/22/13         75,700         (314,121 ) 

Exxon Mobil Corp.

    Morgan Stanley & Co. International PLC      Call       USD      94.24         8/22/13         45,700         (38,011 ) 

Exxon Mobil Corp.

    Morgan Stanley & Co. International PLC      Call       USD      91.57         8/23/13         61,000         (178,453 ) 

Labrador Iron Ore Royalty Corp.

    UBS AG      Call       CAD      32.12         8/28/13         33,500         (28,697 ) 

Statoil ASA

    Goldman Sachs International      Call       NOK      133.98         8/28/13         245,000         (20,590 ) 

Eni SpA — ADR

    Deutsche Bank AG      Call       USD      42.09         9/03/13         52,000         (131,657 ) 

Inpex Corp.

    UBS AG      Call       JPY      466,608.79         9/04/13         805         (43,681 ) 

MMC Norilsk Nickel OJSC — ADR

    Goldman Sachs International      Call       USD      14.85         9/05/13         144,200         (11,082 ) 

Enbridge, Inc.

    Credit Suisse International      Call       CAD      48.64         9/07/13         18,500         (7 ) 

Ingredion, Inc.

    Credit Suisse International      Call       USD      68.62         9/09/13         51,100         (59,730 ) 

Plum Creek Timber Co., Inc. — REIT

    UBS AG      Call       USD      48.77         9/09/13         24,500         (21,251 ) 

Rio Tinto PLC — ADR

    Citibank N.A.      Call       USD      45.22         9/10/13         108,600         (198,145 ) 

Cairn Energy PLC

    Morgan Stanley & Co. International PLC      Call       GBP      2.67         9/11/13         251,200         (36,199 ) 

Fresnillo PLC

    Goldman Sachs International      Call       GBP      10.96         9/11/13         27,500         (10,293 ) 

Fresnillo PLC

    UBS AG      Call       GBP      9.40         9/11/13         59,500         (96,061 ) 

Glencore Xstrata PLC

    Citibank N.A.      Call       GBP      2.65         9/11/13         775,900         (219,740 ) 

Israel Chemicals Ltd.

    Goldman Sachs International      Call       ILS      36.74         9/11/13         166,500         (3,887 ) 

BHP Billiton Ltd. — ADR

    Credit Suisse International      Call       USD      65.20         9/13/13         63,600         (76,422 ) 

Cosan Ltd., Class A

    Goldman Sachs International      Call       USD      16.26         9/13/13         65,200         (31,131 ) 

Monsanto Co.

    UBS AG      Call       USD      102.90         9/13/13         43,000         (50,818 ) 

Exxon Mobil Corp.

    Morgan Stanley & Co. International PLC      Call       USD      91.57         9/16/13         61,000         (175,248 ) 

Hess Corp.

    Morgan Stanley & Co. International PLC      Call       USD      73.10         9/16/13         82,000         (258,421 ) 

Fresnillo PLC

    Goldman Sachs International      Call       GBP      10.96         9/17/13         27,500         (11,393 ) 

Syngenta AG

    Goldman Sachs International      Call       CHF      372.53         9/17/13         21,200         (171,654 ) 

Vedanta Resources PLC

    Goldman Sachs International      Call       GBP      12.12         9/17/13         69,700         (48,508 ) 

First Quantum Minerals Ltd.

    Goldman Sachs International      Call       CAD      16.80         9/18/13         199,100         (169,922 ) 

BP PLC — ADR

    Citibank N.A.      Call       USD      44.00         9/19/13         99,500         (15,002 ) 

Freeport-McMoRan Copper & Gold, Inc.

    Citibank N.A.      Call       USD      29.35         9/19/13         73,700         (51,030 ) 

Royal Dutch Shell PLC — ADR

    Morgan Stanley & Co. International PLC      Call       USD      68.44         9/19/13         58,000         (45,906 ) 

Cairn Energy PLC

    Morgan Stanley & Co. International PLC      Call       GBP      2.73         9/25/13         233,000         (29,402 ) 

Nestle SA

    Goldman Sachs International      Call       CHF      64.14         9/25/13         28,000         (20,497 ) 

Vedanta Resources PLC

    Morgan Stanley & Co. International PLC      Call       GBP      11.64         9/25/13         21,900         (24,394 ) 

BHP Billiton Ltd. — ADR

    Credit Suisse International      Call       USD      65.20         9/27/13         63,600         (96,315 ) 

Cairn Energy PLC

    Goldman Sachs International      Call       GBP      2.74         10/01/13         116,500         (14,636 ) 

Cairn Energy PLC

    Goldman Sachs International      Call       GBP      2.74         10/08/13         116,500         (15,770 ) 

Monsanto Co.

    UBS AG      Call       USD      102.90         10/11/13         43,000         (85,872 ) 

Total

                      $ (3,774,153 ) 
                    

 

 

  

 

     BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST (BCX)    JULY 31, 2013    3

Consolidated Schedule of Investments (concluded)      BlackRock Resources & Commodities Strategy Trust (BCX)   

 

 

Ÿ  

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

 

  Ÿ  

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

 

  Ÿ  

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)

 

  Ÿ  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure 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 investment and derivative financial instrument 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 investments and derivative financial instruments, please refer the Trust’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of July 31, 2013:

 

      Level 1     Level 2     Level 3      Total  

Assets:

          

Investments:

          

Long-Term Investments:

          

Common Stocks:

          

Chemicals

    $ 54,178,590      $ 32,314,607        —       $ 86,493,197   

Food Products

      32,851,934        5,419,418        —         38,271,352   

Machinery

      32,907,503        —        —         32,907,503   

Metals & Mining

      84,786,748        30,894,979        —         115,681,727   

Oil, Gas & Consumable Fuels

      277,157,147        36,394,519        —         313,551,666   

Real Estate Investment Trusts (REITs)

      6,136,890        —        —         6,136,890   

Short-Term Securities

      23,597,223        —        —         23,597,223   

Total

    $ 511,616,035      $ 105,023,523        —       $ 616,639,558   
  

 

 

  
         
      Level 1     Level 2     Level 3      Total  

Derivative Financial Instruments1

          

Liabilities:

          

Equity contracts

    $ (1,686,367 )    $ (4,099,349 )      —       $ (5,785,716 ) 

Total

    $ (1,686,367 )    $ (4,866,640 )      —       $ (6,553,007 ) 
  

 

 

  

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

   
Certain of the Trust’s assets and/or liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of July 31, 2013, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
         
      Level 1     Level 2     Level 3      Total  

Assets:

          

Cash

    $ 6,369,505        —        —       $ 6,369,505   

Foreign currency at value

      118,004        —        —         118,004   

Cash pledged as collateral for options written

      100,000        —        —         100,000   

Total

    $ 6,587,509        —        —       $ 6,587,509   
  

 

 

  

There were no transfers between levels during the period ended July 31, 2013.

 

 

4    BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST (BCX)    JULY 31, 2013     

Item 2 –

   Controls and Procedures

2(a) –

   The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) –   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 –

   Exhibits
  Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

BlackRock Resources & Commodities Strategy Trust
By:         /s/ John M. Perlowski
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of BlackRock Resources & Commodities Strategy Trust
Date: September 24, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:         /s/ John M. Perlowski
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of BlackRock Resources & Commodities Strategy Trust
Date: September 24, 2013
By:     /s/ Neal J. Andrews
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of BlackRock Resources & Commodities Strategy Trust
Date: September 24, 2013