N-CSRS 1 d326566dncsrs.htm BLACKROCK 2022 GLOBAL INCOME OPPORTUNITY TRUST BlackRock 2022 Global Income Opportunity Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-23218

 

Name of Fund:   BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock 2022 Global Income Opportunity 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: 12/31/2021

Date of reporting period: 06/30/2021


Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.


 

LOGO

  JUNE 30, 2021

 

 

  

2021 Semi-Annual Report

(Unaudited)

 

BlackRock 2022 Global Income Opportunity Trust (BGIO)

BlackRock Income Trust, Inc. (BKT)

 

 

 

 

 

 

 

 

 

 

 

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Supplemental Information  (unaudited)

 

Section 19(a) Notices

BlackRock 2022 Global Income Opportunity Trust’s (BGIO) and BlackRock Income Trust, Inc.’s (BKT) (collectively the “Trusts”, or individually a “Trust”) amounts and sources of distributions reported are estimates and are being provided pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the year and may be subject to changes based on tax regulations. Shareholders will receive a Form 1099-DIV each calendar year that will inform them how to report these distributions for federal income tax purposes.

June 30, 2021

 

     Total Cumulative Distributions
for the Fiscal Period
    % Breakdown of the Total Cumulative
Distributions for the Fiscal Period
 
Trust Name   Net
Income
    Net Realized
Capital Gains
Short-Term
    Net Realized
Capital Gains
Long-Term
    Return of
Capital(a)
    Total Per
Common
Share
    Net
Income
    Net Realized
Capital Gains
Short-Term
    Net Realized
Capital Gains
Long-Term
    Return of
Capital
   

Total Per

Common

Share

 

BGIO

  $ 0.187595     $     $     $ 0.062405     $ 0.250000       75             25     100

BKT

    0.146746                   0.025254       0.172000       85                   15       100  

 

  (a) 

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

 

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

Managed Distribution Plan

BKT, with the approval of BKT’s Board of Directors (the “Board”), adopted a managed distribution plan, consistent with its investment objectives and policies, to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plan, BKT currently distributes a fixed amount of $.0344 per share on a monthly basis.

The fixed amount distributed per share is subject to change at the discretion of the Board. BKT is currently not relying on any exemptive relief from Section 19(b) of the Investment Company Act of 1940, as amended (the “1940 Act”). Under its Plan, BKT will distribute all available investment income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, BKT will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, BKT may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the 1940 Act.

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

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

 

 

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The Markets in Review

Dear Shareholder,

The 12-month reporting period as of June 30, 2021 was a remarkable period of adaptation and recovery, as the global economy dealt with the implications of the coronavirus (or “COVID-19”) pandemic. The United States, along with most of the world, began the reporting period emerging from a severe recession, prompted by pandemic-related restrictions that disrupted many aspects of daily life. However, easing restrictions and robust government intervention led to a strong rebound, and the economy grew at a significant pace for the reporting period, recovering much of the output lost at the beginning of the pandemic.

Equity prices rose with the broader economy, as investors became increasingly optimistic about the economic outlook. Stocks rose through the summer of 2020, fed by strong fiscal and monetary support and positive economic indicators. The implementation of mass vaccination campaigns and passage of an additional $1.9 trillion of fiscal stimulus further boosted stocks, and many equity indices neared or surpassed all-time highs late in the reporting period. In the United States, both large- and small-capitalization stocks posted a significant advance. International equities also gained, as both developed countries and emerging markets rebounded substantially.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) had fallen sharply prior to the beginning of the reporting period, which meant bonds were priced for extreme risk avoidance and economic disruption. Despite expectations of doom and gloom, the economy expanded rapidly, stoking inflation concerns in early 2021, which led to higher yields and a negative overall return for most U.S. Treasuries. In the corporate bond market, support from the U.S. Federal Reserve (the “Fed”) assuaged credit concerns and led to substantial returns for high-yield corporate bonds, although investment-grade corporates declined slightly.

The Fed remained committed to accommodative monetary policy by maintaining near zero interest rates and by reiterating that inflation could exceed its 2% target for a sustained period without triggering a rate increase. Late in the period the Fed elaborated on their expected timeline, raising the likelihood of slower bond purchasing and the possibility of higher rates in 2023.

Looking ahead, while coronavirus-related disruptions have clearly hindered worldwide economic growth, we believe that the global expansion will continue to accelerate as vaccination efforts ramp up and pent-up consumer demand leads to higher spending. While we expect inflation to increase somewhat as the expansion continues, we believe the recent uptick owes more to temporary supply disruptions than a lasting change in fundamentals. The change in Fed policy also means that moderate inflation is less likely to be followed by interest rate hikes that could threaten the economic expansion.

Overall, we favor a moderately positive stance toward risk, with an overweight in equities. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and healthcare, are particularly attractive in the long-term. U.S. small-caps and European equities are likely to benefit from the continuing vaccine-led restart. We are underweight long-term on credit, but inflation-protected U.S. Treasuries, Asian fixed income, and Chinese government bonds offer potential opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.

In this environment, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of June 30, 2021
     6-Month    12-Month 

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

  15.25%   40.79%

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

  17.54   62.03

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

  8.83   32.35

Emerging market equities
(MSCI Emerging Markets Index)

  7.45   40.90

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

  0.02   0.09

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

  (4.10)   (5.89)

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

  (1.60)   (0.33)

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

  1.24   4.20

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

  3.61   15.34

Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

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

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Table of Contents

 

      Page  

Supplemental Information

     2  

The Markets in Review

     3  

Semi-Annual Report:

  

The Benefits and Risks of Leveraging

     5  

Derivative Financial Instruments

     5  

Trust Summary

     6  

Financial Statements:

  

Schedules of Investments

     12  

Statements of Assets and Liabilities

     35  

Statements of Operations

     36  

Statements of Changes in Net Assets

     37  

Statements of Cash Flows

     38  

Financial Highlights

     40  

Notes to Financial Statements

     43  

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

     55  

Additional Information

     59  

Glossary of Terms Used in this Report

     62  

 

 

4       


The Benefits and Risks of Leveraging

 

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

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

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

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

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

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to issue debt up to 33 1/3% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act.

If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under a reverse repurchase agreement (including accrued interest) then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

H E    E N E F I T S    A N D     I S K S    O F    E V E R A G I N G    /    D  E R I V A T I V E    I N A N C I A L    N S T R U M  E N T S

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Trust Summary  as of June 30, 2021     BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

Investment Objective

BlackRock 2022 Global Income Opportunity Trust’s (BGIO) (the “Trust”) investment objective is to seek to distribute a high level of current income and to earn a total return, based on the net asset value of the Trust’s common shares of beneficial interest, that exceeds the return on the Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index by 500 basis points (or 5.00%) on an annualized basis over the life of the Trust, under normal market conditions. The Trust will terminate on or about February 28, 2022.

No assurance can be given that the Trust’s investment objective will be achieved. Risks relating to the Trust’s investment objective are described in further detail in the Notes to Financial Statements.

On June 9, 2021, the Board approved the adoption of a Plan of Liquidation in accordance with BGIO’s strategy of terminating on or before February 28, 2022. Under the Plan of Liquidation which was effective on June 30, 2021, BGIO will begin the process of liquidating portfolio assets and unwinding its affairs. The Trust expects to make periodic liquidating distributions to shareholders pursuant to the Plan of Liquidation in advance of its termination and make a final liquidating distribution on or around December 31, 2021.

Trust Information

 

Symbol on New York Stock Exchange

  BGIO

Initial Offering Date

  February 27, 2017

Termination Date (on or about)

  February 28, 2022

Current Distribution Rate on Closing Market Price as of June 30, 2021 ($9.28)(a)

  6.47%

Current Monthly Distribution per Common Share(b)

  $ 0.0500

Current Annualized Distribution per Common Share(b)

  $ 0.6000

 

  (a) 

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

 
  (b) 

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

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/21      12/31/20      Change      High      Low  

Market Price

  $ 9.28      $ 9.04        2.65    $ 9.44      $ 8.94  

Net Asset Value

    9.23        9.19        0.44        9.36        9.18  

Market Price and Net Asset Value History Since Inception

 

LOGO

The Trust commenced operations on February 27, 2017.

 

 

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Trust Summary  as of June 30, 2021 (continued)    BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

Performance and Portfolio Management Commentary

Returns for the period ended June 30, 2021 were as follows:

 

                Average Annual Total Returns  
            6-month     1 Year      3 Years      Since Inception(a)  

Trust at NAV(b)(c)

      3.19     15.53      6.08      5.10

Trust at Market Price(b)(c)

      5.46       18.80        8.25        4.87  

Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index(d)

            0.02       0.07        1.27        1.22  

 

  (a) 

The Trust commenced operations on February 27, 2017.

 
  (b) 

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

 
  (c) 

The Trust moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (d) 

An unmanaged index that tracks the market for treasury bills used by the U.S. government that have a maturity of more than 1 month and less than 3 months, are rated investment grade and have a minimum $300 million par amount outstanding.

 

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

The Trust’s investment objective is, in part, to earn a total return that exceeds the return on the Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index (the “Index”) by 500 basis points (or 5.00%) on an annualized basis over the life of the Trust, under normal market conditions. The Trust’s investment policies do not contemplate any meaningful amount of investment in securities that comprise the Index under normal market conditions; rather, the Trust uses the Index as a proxy for a risk-free rate of return that its investment objective seeks to exceed. Because the achievement of the Trust’s investment objective is measured on an annualized basis over the life of the Trust, the Trust’s performance may be more or less than the spread over the Index contained in the Trust’s investment objective during individual annual periods or for any period of time shorter than the life of the Trust. The Board considers certain factors to evaluate the Trust’s performance, such as the performance of the Trust relative to its investment objective and/or other information provided by BlackRock Advisors, LLC (the “Manager”).

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

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

What factors influenced performance?

Over the period, the largest contributors to the Trust’s performance were exposures to securitized assets, including collateralized loan obligations (“CLOs”), commercial mortgage-backed securities (“CMBS”) and non-agency residential mortgage-backed securities (“RMBS”). Allocations to high yield corporate credit and emerging market debt also added to performance.

The Trust’s stance with respect to duration (and corresponding interest rate sensitivity) detracted slightly from performance over the period.

Describe recent portfolio activity.

As the Trust entered the final year of its term, the investment adviser actively sought opportunities to wind down the portfolio. Over the period, the Trust primarily reduced exposures in U.S. high yield corporate credit and emerging market debt, in names where valuations were relatively high. The Trust also marginally reduced positions in CMBS and CLOs while remaining constructive regarding these sectors. In addition, the Trust continued to trim duration given diminished hedging benefit from domestic rates exposure.

The Trust used derivatives primarily in the form of Treasury futures during the period to manage duration and yield curve exposure. The Trust’s use of derivatives had a negative impact on Trust performance.

Describe portfolio positioning at period end.

At the end of the period, the Trust continued to maintain diversified exposure across fixed income sectors, including emerging market securities, CMBS, RMBS, CLOs and high yield corporate bonds. As of June 30, 2021, the Trust’s portfolio had an effective duration of one year, with all-in yields around 3.8%.

As a result of the Trust’s liquidation plan, the portfolio ended the period with a cash position of 12%. The Fund’s cash position had no material impact on Fund performance for the period.

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

 

 

R U S T    U M M A R Y

  7


Trust Summary  as of June 30, 2021 (continued)    BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

Overview of the Trust’s Total Investments

 

PORTFOLIO ALLOCATION

 

Asset Type(a)   06/30/21     12/31/20  

Corporate Bonds

    46     53

Asset-Backed Securities

    16       14  

Non-Agency Mortgage-Backed Securities

    15       13  

Floating Rate Loan Interests

    11       10  

Foreign Agency Obligations

    5       5  

Preferred Securities

    5       4  

Common Stocks

    1        

U.S. Government Sponsored Agency Securities

    1       1  

Warrants(b)

           

CREDIT QUALITY ALLOCATION

 

Credit Rating(c)(d)   06/30/21     12/31/20  

AAA/Aaa(e)

    1    

AA/Aa

    1       1  

A

    1       3  

BBB/Baa

    18       21  

BB/Ba

    28       30  

B

    22       20  

CCC/Caa

    5       6  

CC

    2       2  

C

    2        

D

          (b) 

N/R

    20       17  
 

 

  (a) 

Excludes short-term securities, options purchased and options written.

 
  (b) 

Represents less than 1% of the Trust’s total investments.

 
  (c) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (d) 

Excludes common stocks, warrants, short-term securities, options purchased and options written.

 
  (e) 

The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

 

 

 

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Trust Summary  as of June 30, 2021     BlackRock Income Trust, Inc. (BKT)

 

Investment Objective

BlackRock Income Trust, Inc.’s (BKT) (the “Trust”) investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Trust seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Trust invests at least 80% of its assets in securities that are (i) issued or guaranteed by the U.S. government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P Global Ratings or Aaa by Moody’s Investors Service, Inc. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

Trust Information

 

Symbol on New York Stock Exchange

  BKT

Initial Offering Date

  July 22, 1988

Current Distribution Rate on Closing Market Price as of June 30, 2021 ($6.34)(a)

  6.51%

Current Monthly Distribution per Common Share(b)

  $ 0.0344

Current Annualized Distribution per Common Share(b)

  $ 0.4128

Leverage as of June 30, 2021(c)

  24%

 

  (a) 

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

 
  (b) 

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

 
  (c) 

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments.

 

Market Price and Net Asset Value Per Share Summary

 

     06/30/21      12/31/20      Change      High      Low  

Market Price

  $ 6.34      $ 6.07        4.45    $ 6.48      $ 6.00  

Net Asset Value

    5.99        6.18        (3.07      6.22        5.99  

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

 

LOGO

 

 

R U S T    U M M A R Y

  9


Trust Summary  as of June 30, 2021 (continued)    BlackRock Income Trust, Inc. (BKT)

 

Performance and Portfolio Management Commentary

Returns for the period ended June 30, 2021 were as follows:

 

                Average Annual Total Returns  
            6-month     1 Year      3 Years      5 Years  

Trust at NAV(a)(b)

      (0.31 )%      1.38      4.97      3.05

Trust at Market Price(a)(b)

      7.43       9.92        10.07        5.37  

FTSE Mortgage Index(c)

            (0.88     (0.47      3.91        2.33  

 

  (a) 

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

 
  (b) 

The Trust moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

This unmanaged index (formerly known as Citigroup Mortgage Index) (the “Reference Benchmark”) includes all outstanding government sponsored fixed rate mortgage-backed securities, weighted in proportion to their current market capitalization.

 

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

BKT is presenting the Reference Benchmark to accompany Trust performance. The Reference Benchmark is presented for informational purposes only, as the Trust is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Trust may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Trust’s performance to differ materially from that of the Reference Benchmark. The Trust employs leverage as part of its investment strategy, which may change over time at the discretion of the Manager as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Trust outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Trust’s performance, such as the performance of the Trust relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.

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

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

What factors influenced performance?

The largest contributor to the Trust’s return during the six-month period came from its heavy allocation to well-structured agency collateralized mortgage obligations (“CMOs”). The portfolio’s allocation to conventional pass-through agency MBS also contributed to Trust performance. More specifically, the fund’s selection of call-protected specified pools outperformed generic seasoned collateral in the high coupon cohorts. Trust performance also benefited from its modest allocation to agency commercial mortgage-backed security (“CMBS”) interest-only exposures, which served to enhance income.

The largest detractors from the Trust’s return included its allocation to agency MBS derivatives including interest-only and inverse interest-only positions, which experienced a widening in risk premia in the second quarter of 2021. The Trust’s positioning on the MBS coupon stack also detracted from overall return, where its relative overweight to higher coupon MBS lagged the performance of lower coupons year-to-date.

The Trust held derivatives during the period as a part of its investment strategy. Derivatives are utilized by the Trust in order to manage risk and/or take outright views on interest rates in the portfolio. In particular, the portfolio employed Treasury futures and interest rate swaps to manage duration and yield curve bias. The Trust’s interest rate derivatives positions contributed positively to performance during the six-month period.

Describe recent portfolio activity.

During the six-month period, the trust marginally increased its allocation to agency CMOs, agency MBS derivatives, and agency CMBS interest-only securities. The trust also increased its exposure to lower coupon MBS in the form of “to-be-announced” securities (“TBAs”).

Describe portfolio positioning at period end.

The Trust continues to maintain an overweight in well-structured agency CMOs and agency MBS interest-only derivatives, with a focus on structures collateralized by call protected and seasoned collateral that demonstrates more favorable prepayment characteristics. Within its allocation to agency MBS pass-throughs, the Trust holds an overweight in higher coupon MBS, motivated by higher income and an outlook for prepayment speed fatigue on the higher coupon borrower set. The Trust also holds exposure to lower coupon MBS as a hedge against prepayment risk, primarily in the form of TBAs. The Trust is positioned marginally long convexity (i.e., the rate at which duration changes in response to interest rate movements) relative to the benchmark, primarily through its allocation to agency CMOs and call-protected specified pools.

The Trust held only marginal positions in other securitized assets such as legacy (pre-financial crisis) non-agency residential MBS and CMBS, preferring to isolate prepayment and structural characteristics in higher quality agency-backed assets rather than seek credit exposure.

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

 

 

10  

2 0 2 1    B L A C K O  C K    E M I - A N N U A L    E P O R T    T O     H A R E H O L D E R S


Trust Summary  as of June 30, 2021 (continued)    BlackRock Income Trust, Inc. (BKT)

 

Overview of the Trust’s Total Investments

 

PORTFOLIO ALLOCATION

 

Asset Type(a)   06/30/21     12/31/20  

U.S. Government Sponsored Agency Securities

    97     97

Non-Agency Mortgage-Backed Securities

    3       3  

Asset-Backed Securities

    (b)      (b) 

CREDIT QUALITY ALLOCATION

 

Credit Rating(a)(c)   06/30/21     12/31/20  

AAA/Aaa(d)

    97     98

AA/Aa

    3       2  

CCC/Caa

          (b) 

N/R

          (b) 
 

 

(a) 

Excludes short-term securities, borrowed bonds and TBA sales commitments.

(b) 

Rounds to less than 1% of total investments.

(c) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

(d) 

The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

 

 

R U S T    U M M A R Y

  11


Schedule of Investments  (unaudited) 

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Asset-Backed Securities

 

Cayman Islands(b)(c) — 0.6%  

CarVal CLO II Ltd., Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.20%),
3.39%, 04/20/32(a)

    USD    250     $ 250,975  

Cedar Funding VI CLO Ltd., (3 mo. LIBOR US + 3.31%), 3.50%, 04/20/34

    1,000       1,007,407  
   

 

 

 
      1,258,382  
United States — 12.9%  

ALM VII R-2 Ltd., Series 2013-7R2A, Class CR2, (3 mo. LIBOR US + 3.00%), 3.18%, 10/15/27(b)(c)

    500       500,019  

Anchorage Capital CLO Ltd., Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 2.78%, 01/28/31(b)(c)

    1,000       974,581  

Apidos CLO XVIII, Series 2018-18A, Class E, (3 mo. LIBOR US + 5.70%),
5.88%, 10/22/30(b)(c)

    1,000       952,625  

Apidos CLO XXI, Series 2015-21A, Class DR, (3 mo. LIBOR US + 5.20%),
5.39%, 07/18/27(b)(c)

    500       492,602  

Ares XXXVII CLO Ltd., Series 2015-4A, Class DR, (3 mo. LIBOR US + 6.15%), 6.33%, 10/15/30(b)(c)

    250       244,760  

CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%),
6.63%, 07/20/32(b)(c)

    300       301,796  

Conseco Finance Corp., Series 2001-D, Class B1, (1 mo. LIBOR US + 2.50%), 2.57%, 11/15/32(b)

    660       607,045  

Conseco Finance Securitizations Corp., Series 2002-1, Class M2, 9.55%, 12/01/33(b)

    2,500       2,532,588  

Credit-Based Asset Servicing & Securitization LLC, Series 2006-MH1, Class B1, 6.25%, 10/25/36(c)

    1,000       1,027,795  

CWABS Asset-Backed Certificates Trust, Series 2005-17, Class 1AF4, 6.05%, 05/25/36

    467       469,651  

Deutsche Financial Capital Securitization LLC, Series 1998-I, Class M, 6.80%, 04/15/28

    441       451,957  

Elmwood CLO III Ltd., Series 2019-3A, Class E, (3 mo. LIBOR US + 7.00%),
7.18%, 10/15/32(b)(c)

    550       550,709  

First Franklin Mortgage Loan Trust, Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.14%), 0.23%, 12/25/36(b)

    551       318,178  

Galaxy XXIX CLO Ltd., Series 2018-29A, Class D, (3 mo. LIBOR US + 2.40%), 2.56%, 11/15/26(b)(c)

    750       749,337  

GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class ER2, (3 mo. LIBOR US + 5.66%), 5.84%, 10/29/29(b)(c)

    500       486,235  

Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33

    1,524       1,376,316  

Long Beach Mortgage Loan Trust(b)

   

Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.30%), 0.39%, 06/25/36

    950       591,940  

Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.25%, 08/25/36

    1,502       804,043  

Series 2006-7, Class 2A4, (1 mo. LIBOR US + 0.24%), 0.33%, 08/25/36

    1,502       815,755  

Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.16%), 0.25%, 10/25/36

    1,369       588,211  

Madison Park Funding X Ltd., Series 2012-10A, Class DR2, (3 mo. LIBOR US + 3.25%), 3.44%, 01/20/29(b)(c)

    550       550,138  

Madison Park Funding XVI Ltd., Series 2015-16A, Class C, (3 mo. LIBOR US + 3.70%), 3.89%, 04/20/26(b)(c)

    1,000       999,995  
Security   Par
(000)
    Value  
United States (continued)  

Madison Park Funding XXX Ltd., Series 2018-30X, Class E, 5.13%, 04/15/29

    USD    250     $ 242,328  

Merrill Lynch Mortgage Investors Trust, Series 2006- OPT1, Class M1, (1 mo. LIBOR US + 0.26%), 0.35%, 08/25/37(b)

    1,529       1,262,650  

Nationstar HECM Loan Trust, Series 2019-1A, Class M4, 5.80%, 06/25/29(b)(c)

    750       750,639  

Neuberger Berman CLO XV, Series 2013-15A, Class DR, (3 mo. LIBOR US + 3.05%), 3.23%, 10/15/29(b)(c)

    1,000       1,000,097  

OCP CLO Ltd., Series 2016-12A, Class CR, (3 mo. LIBOR US + 3.00%), 3.19%, 10/18/28(b)(c)

    250       249,997  

OZLM XIV Ltd., Series 2015-14A, Class CR, (3 mo. LIBOR US + 3.00%), 3.18%, 01/15/29(b)(c)

    1,000       993,365  

Palmer Square Loan Funding Ltd.(b)(c)

   

Series 2018-4A, Class C, (3 mo. LIBOR US + 2.55%), 2.71%, 11/15/26

    1,800       1,800,976  

Series 2019-2A, Class C, (3 mo. LIBOR US + 3.25%), 3.44%, 04/20/27.

    1,100       1,100,273  

Park Avenue Institutional Advisers CLO Ltd.,

   

Series 2016-1A, Class DR, (3 mo. LIBOR US + 5.85%), 6.00%, 08/23/31(b)(c)

    500       485,534  

Rockford Tower CLO Ltd., Series 2017-3A, Class D, (3 mo. LIBOR US + 2.65%), 2.84%, 10/20/30(b)(c)

    420       414,919  

Signal Peak CLO 7 Ltd., Series 2019-1A, Class E, (3 mo. LIBOR US + 6.89%), 7.08%, 04/30/32(b)(c)

    250       250,845  

TICP CLO V Ltd., Series 2016-5A, Class ER, (3 mo. LIBOR US + 5.75%), 5.94%, 07/17/31(b)(c)

    250       242,678  

TICP CLO XII Ltd., Series 2018-12A, Class E, (3 mo. LIBOR US + 5.50%), 5.68%, 01/15/31(b)(c)

    1,000       996,129  

TRESTLES CLO II Ltd., Series 2018-2A, Class D, (3 mo. LIBOR US + 5.75%), 5.93%, 07/25/31(b)(c)

    250       242,864  
   

 

 

 
      26,419,570  
   

 

 

 

Total Asset-Backed Securities — 13.5%
(Cost: $27,359,340)

 

    27,677,952  
   

 

 

 
     Shares         

Common Stocks

 

United States — 0.9%  

Bruin Purchaser LLC(a)

    2,489       (d)  

CA Resources Corp.

    14,589       439,713  

Caesars Entertainment, Inc.(e)

    4,060       421,225  

California Resources Corp.(e)

    29,781       897,599  

Chesapeake Energy Corp., (Acquired 02/10/21, Cost: $1,771)(f)

    187       9,598  

Pioneer Energy Services Corp.(a)

    1,580       23,384  

Service Properties Trust

    3,000       37,800  
   

 

 

 

Total Common Stocks — 0.9%
(Cost: $1,477,641)

 

    1,829,319  
   

 

 

 
 

 

 

12  

2 0 2 1    B L A C K O  C K    E M I - A N N U A L    E P O R T    T O     H A R E H O L D E R S


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Corporate Bonds

 

Argentina — 0.3%  

Genneia SA, 8.75%, 01/20/22(c)

    USD    347     $ 335,896  

Stoneway Capital Corp.(e)(g)

   

10.00%, 03/01/27(c)

    955       258,056  

10.00%, 03/01/27

    338       91,445  
   

 

 

 
      685,397  
Australia — 0.1%  

Santos Finance Ltd., 5.25%, 03/13/29

    200       227,510  
   

 

 

 
Austria — 0.1%  

Klabin Austria GmbH, 3.20%, 01/12/31(c)

    200       196,710  
   

 

 

 
Bahrain — 0.1%  

Oil and Gas Holding Co., 7.63%, 11/07/24

    200       222,725  
   

 

 

 
Bermuda — 0.2%  

Star Energy Geothermal Darajat II/Star Energy

   

Geothermal Salak, 4.85%, 10/14/38(c)

    340       373,745  
   

 

 

 
Brazil — 1.4%  

Gol Finance SA, 7.00%, 01/31/25(c)

    600       574,200  

Itau Unibanco Holding SA/Cayman Island, 5.13%, 05/13/23(c)

    276       291,577  

JBS USA LUX SA/JBS USA Food Co./JBS USA

   

Finance, Inc., 5.50%, 01/15/30(c)

    31       34,670  

Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(h)

    243       249,221  

Petrobras Global Finance BV

   

5.30%, 01/27/25

    630       707,293  

6.00%, 01/27/28

    212       243,204  

5.60%, 01/03/31

    395       440,918  

Suzano Austria GmbH, 3.75%, 01/15/31

    125       130,625  

Vale Overseas Ltd., 3.75%, 07/08/30

    180       191,430  
   

 

 

 
      2,863,138  
British Virgin Islands — 0.1%  

New Metro Global Ltd., 4.80%, 12/15/24

    200       201,038  
   

 

 

 
Canada — 1.4%  

1011778 BC ULC/New Red Finance, Inc., 3.88%, 01/15/28(c)

    19       19,237  

Bausch Health Cos., Inc., 4.88%, 06/01/28(c)

    27       27,634  

Brookfield Residential Properties, Inc./Brookfield Residential US LLC(c)

   

6.25%, 09/15/27

    327       345,394  

5.00%, 06/15/29

    15       15,113  

Hammerhead Resources, Inc., Series AI, (12.00% PIK), 9.00%, 07/10/22(a)

    891       890,724  

Mattamy Group Corp., 5.25%, 12/15/27(c)

    12       12,540  

NOVA Chemicals Corp., 5.25%, 06/01/27(c)

    1,495       1,611,311  
   

 

 

 
      2,921,953  
Cayman Islands — 1.7%  

Agile Group Holdings Ltd., (5 year CMT + 11.08%), 7.75%(b)(i)

    300       303,244  

Fantasia Holdings Group Co. Ltd., 9.88%, 10/19/23

    200       162,725  

Hilong Holding Ltd., 9.75%, 11/18/24

    207       182,160  

Kaisa Group Holdings Ltd.

   

11.95%, 11/12/23

    200       204,600  

11.70%, 11/11/25

    200       188,058  

Latam Finance Ltd., 6.88%, 04/11/24(c)(e)(g)

    645       599,850  

Melco Resorts Finance Ltd., 5.25%, 04/26/26

    200       207,538  
Security   Par
(000)
    Value  
Cayman Islands (continued)            

Oryx Funding Ltd., 5.80%, 02/03/31(c)

    USD    200     $ 210,750  

Ronshine China Holdings Ltd., 5.50%, 02/01/22

    200       195,496  

Sable International Finance Ltd., 5.75%, 09/07/27

    318       334,600  

Shui On Development Holding Ltd., 5.50%, 03/03/25

    200       202,250  

Sunac China Holdings Ltd., 6.50%, 01/10/25

    200       195,790  

Times China Holdings Ltd., 6.75%, 07/08/25

    250       253,562  

UPCB Finance VII Ltd., 3.63%, 06/15/29

    EUR    100       121,073  

Zhenro Properties Group Ltd., 7.88%, 04/14/24

    USD    200       199,600  
   

 

 

 
      3,561,296  
Chile(c) — 0.3%  

Kenbourne Invest SA, 6.88%, 11/26/24

    332       352,086  

VTR Comunicaciones SpA, 5.13%, 01/15/28

    178       185,396  
   

 

 

 
      537,482  
China — 2.8%  

21Vianet Group, Inc., 7.88%, 10/15/21

    200       199,850  

CFLD Cayman Investment Ltd.(e)(g)

   

8.63%, 02/28/21

    200       69,850  

8.60%, 04/08/24

    200       69,850  

China Aoyuan Group Ltd., 6.35%, 02/08/24

    200       188,000  

China Evergrande Group, 11.50%, 01/22/23

    200       158,975  

China SCE Group Holdings Ltd., 7.25%, 04/19/23

    200       205,413  

CIFI Holdings Group Co. Ltd., 5.95%, 10/20/25

    200       211,537  

Country Garden Holdings Co. Ltd., 6.15%, 09/17/25

    200       219,000  

Easy Tactic Ltd.

   

9.13%, 07/28/22

    200       197,975  

8.63%, 02/27/24

    200       176,725  

Fantasia Holdings Group Co. Ltd., 11.75%, 04/17/22

    200       187,700  

Fortune Star BVI Ltd., 6.85%, 07/02/24

    300       319,781  

Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24

    200       206,100  

Kaisa Group Holdings Ltd., 11.50%, 01/30/23

    200       202,225  

KWG Group Holdings Ltd., 7.40%, 03/05/24

    200       208,600  

Logan Group Co. Ltd., 6.50%, 07/16/23

    200       204,600  

Powerlong Real Estate Holdings Ltd., 7.13%, 11/08/22

    200       207,500  

Prime Bloom Holdings Ltd., 6.95%, 07/05/22

    200       39,938  

RKPF Overseas Ltd., Series 2020-A, 5.20%, 01/12/26

    200       201,000  

Ronshine China Holdings Ltd.

   

8.75%, 10/25/22

    200       200,100  

8.95%, 01/22/23

    200       197,788  

Scenery Journey Ltd., 11.50%, 10/24/22

    435       348,054  

Seazen Group Ltd., 6.00%, 08/12/24

    200       207,500  

Sunac China Holdings Ltd., 6.65%, 08/03/24

    300       301,087  

Wanda Group Overseas Ltd., 7.50%, 07/24/22

    200       192,475  

Yango Justice International Ltd., 8.25%, 11/25/23

    200       193,600  

Yanlord Land HK Co. Ltd., 6.80%, 02/27/24

    200       209,725  

Yuzhou Group Holdings Co. Ltd., 7.70%, 02/20/25

    300       255,900  

Zhejiang Baron BVI Co. Ltd., 6.80%, 08/27/21

    200       198,600  
   

 

 

 
      5,779,448  
Colombia — 0.1%  

Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(c)

    267       263,629  
   

 

 

 
Denmark — 0.2%  

Danske Bank A/S, (5 year EUR Swap + 1.40%), 1.00%, 05/15/31(b)

    EUR    350       415,336  
   

 

 

 
 

 

 

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

  13


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Dominican Republic — 0.4%  

Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(c)

    USD    700     $ 732,944  
   

 

 

 
France — 2.5%  

Altice France SA

   

2.50%, 01/15/25

    EUR    200       233,555  

2.13%, 02/15/25

    100       115,521  

AXA SA, (3 mo. LIBOR US + 3.88%), 5.13%, 01/17/47(b)

    USD    550       625,989  

BNP Paribas SA, (5 year USD Swap + 1.48%), 4.38%, 03/01/33(b)

    800       884,000  

CAB SELAS, 3.38%, 02/01/28

    EUR    300       353,946  

CMA CGM SA, 7.50%, 01/15/26

    100       131,854  

Credit Agricole Assurances SA, (5 year EURIBOR ICE

   

Swap Rate + 2.65%), 2.63%, 01/29/48(b)

    400       507,147  

Credit Agricole SA, (5 year USD Swap + 1.64%), 4.00%, 01/10/33(b)(c)

    USD    450       488,588  

Loxam SAS, 3.75%, 07/15/26

    EUR    100       121,184  

Orano SA, 2.75%, 03/08/28

    100       123,792  

Picard Groupe SAS, (3 mo. EURIBOR + 3.00%), 3.00%, 11/30/23(b)

    100       118,466  

Societe Generale SA, (5 year EUR Swap + 1.60%), 1.13%, 06/30/31(b)

    400       474,015  

TotalEnergies SE, Series NC12, (5 year EUR Swap + 2.51%), 2.13%(b)(i)

    400       466,583  

Veolia Environnement SA, (5 year EUR Swap + 2.84%), 2.50%(b)(i)

    300       357,504  
   

 

 

 
      5,002,144  
Germany — 1.4%  

Adler Group SA, 3.25%, 08/05/25.

    200       244,653  

Bayer AG, (5 year EUR Swap + 2.55%), 3.75%, 07/01/74(b)

    150       187,867  

DEMIRE Deutsche Mittelstand Real Estate AG, 1.88%, 10/15/24

    100       115,504  

Fraport AG Frankfurt Airport Services Worldwide, 1.88%, 03/31/28

    175       217,135  

IHO Verwaltungs GmbH, (3.63% Cash or 4.38% PIK), 3.63%, 05/15/25(h)

    100       120,415  

Merck KGaA, (5 year EURIBOR ICE Swap Rate + 2.94%), 2.88%, 06/25/79(b)

    200       258,470  

Nidda Healthcare Holding GmbH, 3.50%, 09/30/24

    200       236,500  

Phoenix PIB Dutch Finance BV, 2.38%, 08/05/25

    100       122,528  

Summit Properties Ltd., 2.00%, 01/31/25

    100       117,686  

Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26

    100       122,262  

thyssenkrupp AG, 1.88%, 03/06/23

    185       219,776  

TK Elevator Midco GmbH

   

4.38%, 07/15/27

    100       123,829  

(3 mo. EURIBOR + 4.75%),
4.75%, 07/15/27(b)

    115       137,896  

TK Elevator US Newco Inc., 5.25%, 07/15/27(c)

    USD    200       210,750  

ZF Finance GmbH

   

3.00%, 09/21/25

    EUR    100       125,668  

2.00%, 05/06/27

    200       238,336  

3.75%, 09/21/28

    100       129,768  
   

 

 

 
      2,929,043  
Guatemala(c) — 0.3%  

Central American Bottling Corp., 5.75%, 01/31/27

    USD    258       268,449  

Energuate Trust, 5.88%, 05/03/27

    303       315,366  
   

 

 

 
      583,815  
Security   Par
(000)
    Value  
Hong Kong — 0.0%  

Pearl Holding III Ltd., 9.50%, 12/11/22

    USD    200     $ 74,163  
   

 

 

 
India — 0.7%  

Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24

    200       211,475  

Jubilant Pharma Ltd., 6.00%, 03/05/24

    200       210,225  

Muthoot Finance Ltd.

   

6.13%, 10/31/22(c)

    200       207,100  

4.40%, 09/02/23

    200       205,350  

ReNew Power Synthetic, 6.67%, 03/12/24

    200       209,912  

Shriram Transport Finance Co. Ltd., 5.95%, 10/24/22

    200       204,610  

Vedanta Resources Finance II PLC, 13.88%, 01/21/24

    200       217,400  
   

 

 

 
      1,466,072  
Indonesia — 0.4%  

Global Prime Capital Pte Ltd., 5.95%, 01/23/25

    200       207,350  

JGC Ventures Pte Ltd., 10.75%, 08/30/21(e)(g)

    200       105,438  

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 4.88%, 07/17/49

    200       217,600  

Theta Capital Pte Ltd., 8.13%, 01/22/25

    200       206,412  
   

 

 

 
      736,800  
Ireland(b) — 0.4%  

AIB Group PLC, (5 year EUR Swap + 3.30%), 2.88%, 05/30/31

    EUR    350       443,767  

Bank of Ireland Group PLC

   

(5 year CMT + 2.50%), 4.13%, 09/19/27

    USD    200       204,516  

(5 year EUR Swap + 2.80%), 2.38%, 10/14/29

    EUR    100       123,633  
   

 

 

 
      771,916  
Israel(c) — 0.2%  

Energean Israel Finance Ltd., 4.88%, 03/30/26

    USD    170       174,250  

Leviathan Bond Ltd., 5.75%, 06/30/23

    276       288,260  
   

 

 

 
      462,510  
Italy — 1.0%  

Assicurazioni Generali SpA, (3 mo. EURIBOR + 5.35%), 5.00%, 06/08/48(b)

    EUR    100       143,909  

Autostrade per l’Italia SpA

   

5.88%, 06/09/24

    100       136,658  

2.00%, 12/04/28

    100       123,377  

Centurion Bidco SpA, 5.88%, 09/30/26

    100       123,831  

Intesa Sanpaolo SpA, 5.71%, 01/15/26(c)

    USD    450       509,011  

Rossini Sarl, 6.75%, 10/30/25

    EUR    300       372,465  

Sisal Group SpA, 7.00%, 07/31/23.

    69       82,058  

Telecom Italia SpA

   

1.13%, 03/26/22(j)

    100       118,900  

4.00%, 04/11/24

    100       127,909  

UniCredit SpA, (5 year EUR Swap + 2.40%), 2.00%, 09/23/29(b)

    200       238,814  
   

 

 

 
      1,976,932  
Japan — 0.2%            

SoftBank Group Corp.

   

4.75%, 07/30/25

    100       130,433  

(5 year USD ICE Swap + 4.23%), 6.00%(b)(i)

    USD    200       202,020  
   

 

 

 
      332,453  
Lithuania — 0.1%  

ASG Finance Designated Activity Co., 7.88%, 12/03/24(c)

    229       222,631  
   

 

 

 
Luxembourg — 0.5%  

Adler Group SA, 2.75%, 11/13/26

    EUR    100       119,909  

Altice Financing SA, 2.25%, 01/15/25

    100       115,019  
 

 

 

14  

2 0 2 1    B L A C K O  C K    E M I - A N N U A L    E P O R T    T O     H A R E H O L D E R S


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Luxembourg (continued)  

Atento Luxco 1 SA, 8.00%, 02/10/26(c)

  USD      200     $ 217,225  

Garfunkelux Holdco 3 SA, 7.75%, 11/01/25

  GBP  100       144,002  

Millicom International Cellular SA, 4.50%, 04/27/31(c)

  USD  255       265,248  

Summer BC Holdco B Sarl, 5.75%, 10/31/26

  EUR  100       124,053  
   

 

 

 
      985,456  
Macau — 0.2%  

MGM China Holdings Ltd., 5.88%, 05/15/26

  USD  200       209,537  

Wynn Macau Ltd., 5.50%, 01/15/26

    200       208,913  
   

 

 

 
      418,450  
Mauritius — 0.3%  

HTA Group Ltd., 7.00%, 12/18/25(c)

    200       212,287  

India Green Energy Holdings,
5.38%, 04/29/24(c)

    250       261,797  

Network i2i Ltd., (5 year CMT + 4.27%),
5.65%(b)(i)

    200       213,500  
   

 

 

 
      687,584  
Mexico — 1.3%  

BBVA Bancomer SA/Texas, 1.88%, 09/18/25(c)

    555       560,356  

Cemex SAB de CV, 3.13%, 03/19/26

  EUR  200       243,271  

Controladora Mabe SA de CV,
5.60%, 10/23/28(c)

  USD  444       517,343  

Cydsa SAB de CV, 6.25%, 10/04/27(c)

    600       632,370  

Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(c)

    400       398,950  

Petroleos Mexicanos, 6.50%, 03/13/27

    244       259,372  
   

 

 

 
      2,611,662  
Netherlands — 1.7%  

ASR Nederland NV, (5 year EUR Swap + 4.00%), 3.38%, 05/02/49(b)

  EUR  400       530,765  

Dufry One BV, 2.00%, 02/15/27

    100       111,759  

Greenko Dutch BV, 3.85%, 03/29/26

  USD  200       205,000  

ING Groep NV, (5 year EUR Swap + 2.40%), 2.13%, 05/26/31(b)

  EUR  400       504,181  

NN Group NV, (3 mo. EURIBOR + 4.95%), 4.63%, 01/13/48(b)

    500       706,120  

OCI NV, 3.63%, 10/15/25

    100       123,645  

PPF Telecom Group BV, 3.25%, 09/29/27

    100       127,468  

Teva Pharmaceutical Finance Netherlands II BV, 1.13%, 10/15/24

    100       111,038  

United Group BV, 4.88%, 07/01/24

    440       527,339  

VEON Holdings BV, 4.00%, 04/09/25(c)

  USD  200       210,500  

Vivo Energy Investments BV, 5.13%, 09/24/27(c)

    332       353,746  
   

 

 

 
      3,511,561  
Panama(c)(h) — 0.7%  

Avianca Holdings SA

   

(3 mo. LIBOR US + 10.50% Cash or 3 mo. LIBOR US + 12.00% PIK), 12.15%, 11/10/21

    1,313       1,313,174  

Series APRL, (3 mo. LIBOR US + 10.50% Cash or 3 mo. LIBOR US + 12.00% PIK), 12.15%, 11/10/21

    84       84,210  
   

 

 

 
      1,397,384  
Peru — 0.2%  

Nexa Resources SA, 5.38%, 05/04/27(c)

    397       425,485  
   

 

 

 
Portugal — 0.2%            

EDP - Energias de Portugal SA, (5 year EUR Swap + 4.29%), 4.50%, 04/30/79(b)

  EUR  300       387,296  
   

 

 

 
Saudi Arabia — 0.2%  

Arabian Centres Sukuk II Ltd.,
5.63%, 10/07/26(c)

  USD  300       317,906  
   

 

 

 
Security   Par
(000)
    Value  
Singapore — 0.5%  

Puma International Financing SA, 5.13%, 10/06/24(c)

  USD    1,000     $ 1,006,250  
   

 

 

 
South Africa — 0.1%  

Sasol Financing USA LLC, 6.50%, 09/27/28

    200       225,000  
   

 

 

 
Spain — 0.5%  

CaixaBank SA, (5 year EUR Swap + 1.68%), 2.25%, 04/17/30(b)

  EUR  300       372,571  

Cirsa Finance International Sarl, 7.88%,
12/20/23(c)

  USD  200       203,620  

ContourGlobal Power Holdings SA, 4.13%, 08/01/25

  EUR  200       242,135  

Ferrovial Netherlands BV, (5 year EUR Swap + 2.13%), 2.12%(b)(i)

    100       118,238  

Lorca Telecom Bondco SA, 4.00%, 09/18/27

    100       120,650  
   

 

 

 
      1,057,214  
Sweden — 0.1%  

Heimstaden Bostad AB, (5 year EUR Swap + 3.15%), 2.63%(b)(i)

    100       117,063  

Verisure Holding AB, 3.50%, 05/15/23

    144       172,114  
   

 

 

 
      289,177  
Switzerland — 0.1%  

ELM BV for Firmenich International SA, (5 year EUR Swap + 4.39%), 3.75%(b)(i)

    130       166,186  
   

 

 

 
Thailand — 0.1%  

Bangkok Bank PCL, (5 year CMT + 1.90%), 3.73%, 09/25/34(b)

  USD  200       207,413  
   

 

 

 
Ukraine — 0.2%  

MHP Lux SA, 6.25%, 09/19/29(c)

    400       397,700  
   

 

 

 
United Arab Emirates — 0.2%  

MAF Sukuk Ltd., 4.64%, 05/14/29

    334       375,082  
   

 

 

 
United Kingdom — 2.1%  

Arqiva Broadcast Finance PLC, 6.75%, 09/30/23

  GBP  100       141,996  

Arrow Global Finance PLC, 5.13%, 09/15/24

    240       334,074  

Barclays PLC

   

4.84%, 05/09/28

  USD  500       562,092  

(5 year EUR Swap + 1.90%), 2.00%,
02/07/28(b)

  EUR  400       486,251  

BP Capital Markets PLC, (5 year EUR Swap + 4.12%), 3.63%(b)(i)

    350       451,251  

eG Global Finance PLC, 4.38%, 02/07/25

    100       116,870  

HSBC Holdings PLC, 4.38%, 11/23/26

  USD  250       281,900  

Ladbrokes Group Finance PLC

   

5.13%, 09/16/22

  GBP  7       9,639  

5.13%, 09/08/23

    200       291,185  

Liquid Telecommunications Financing PLC, 5.50%, 09/04/26(c)

  USD  238       242,686  

Nationwide Building Society, (5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32(b)(c)

    300       327,345  

Natwest Group PLC(b)

   

(5 year CMT + 2.10%), 3.75%, 11/01/29

    300       318,750  

(5 year CMT + 2.35%), 3.03%, 11/28/35

    200       200,320  

Pinewood Finance Co. Ltd., 3.25%, 09/30/25

  GBP  100       140,562  

Thames Water Kemble Finance PLC, 4.63%, 05/19/26

    167       236,368  

Vmed O2 UK Financing I PLC, 3.25%, 01/31/31

  EUR  133       158,077  
   

 

 

 
      4,299,366  
United States — 13.5%  

Acadia Healthcare Co., Inc., 5.50%, 07/01/28(c)

  USD  35       37,363  

Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.63%, 01/15/27(c)

    33       34,516  
 

 

 

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

  15


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

United States (continued)

 

Ambac Assurance Corp., 5.10%(c)(i)

    USD      23     $ 31,742  

Ambac LSNI LLC, (3 mo. LIBOR US + 5.00%), 6.00%, 02/12/23(b)(c)

    459       459,357  

American Airlines Group, Inc.(a)

   

4.87%, 04/22/25

    143       142,781  

4.00%, 12/15/25

    125       124,360  

American Builders & Contractors Supply Co., Inc., 4.00%, 01/15/28(c)

    17       17,420  

AMN Healthcare, Inc., 4.63%, 10/01/27(c)

    148       153,802  

Aramark Services, Inc., 5.00%, 02/01/28(c)

    28       29,322  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.

   

2.13%, 08/15/26

    EUR    100       118,540  

4.75%, 07/15/27

    GBP    140       197,148  

Ashton Woods USA LLC/Ashton Woods Finance Co.(c)

   

9.88%, 04/01/27

    USD    278       310,665  

6.63%, 01/15/28

    305       324,825  

Axalta Coating Systems Dutch Holding B BV, 3.75%, 01/15/25

    EUR    100       120,603  

Boxer Parent Co., Inc., 6.50%, 10/02/25

    100       125,776  

Boyd Gaming Corp., 4.75%, 12/01/27

    USD    265       274,275  

Bristow Group, Inc., 6.88%, 03/01/28(c)

    197       200,940  

Buckeye Partners LP

   

4.13%, 03/01/25(c)

    124       128,495  

3.95%, 12/01/26

    15       15,263  

Caesars Entertainment, Inc.(c)

   

6.25%, 07/01/25

    337       357,220  

8.13%, 07/01/27

    213       236,899  

Calpine Corp.(c)

   

4.50%, 02/15/28

    817       833,340  

5.13%, 03/15/28

    512       520,960  

Cedar Fair LP, 5.25%, 07/15/29

    12       12,360  

Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.38%, 04/15/27

    12       12,360  

Centennial Resource Production LLC, 5.38%, 01/15/26(c)

    1,000       980,000  

Charles River Laboratories International, Inc., 4.25%, 05/01/28(c)

    12       12,405  

Chesapeake Energy Corp.(c)

   

5.50%, 02/01/26

    79       83,345  

5.88%, 02/01/29

    29       31,391  

Churchill Downs, Inc., 4.75%, 01/15/28(c)

    12       12,417  

Citgo Holding, Inc., 9.25%, 08/01/24(c)

    224       228,480  

Clarios Global LP/Clarios US Finance Co., 6.25%, 05/15/26(c)

    38       40,482  

Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/27(c)

    433       443,920  

Coty, Inc., 6.50%, 04/15/26(c)

    72       72,940  

CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(c)

    29       30,015  

DAE Funding LLC, 3.38%, 03/20/28(c)

    315       322,481  

Dave & Buster’s, Inc., 7.63%, 11/01/25(c)

    30       32,288  

DCP Midstream Operating LP, 5.13%, 05/15/29

    15       16,575  

Encore Capital Group, Inc., 4.88%, 10/15/25

    EUR    100       125,245  

Endeavor Energy Resources LP/EER Finance, Inc.(c)

   

5.50%, 01/30/26

    USD      12       12,465  

5.75%, 01/30/28

    25       26,656  

Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(c)

    1,050       1,109,010  
Security   Par
(000)
    Value  

United States (continued)

 

Forestar Group, Inc.(c)

 

3.85%, 05/15/26

    USD    144     $ 145,303  

5.00%, 03/01/28

    384       397,440  

Full House Resorts, Inc., 8.25%, 02/15/28(c)

    21       22,890  

Golden Entertainment, Inc., 7.63%, 04/15/26(c)

    149       158,312  

Hanesbrands, Inc., 4.88%, 05/15/26(c)

    22       23,760  

Howard Hughes Corp., 5.38%, 08/01/28(c)

    116       123,149  

Howmet Aerospace, Inc., 6.75%, 01/15/28

    1,540       1,855,699  

iHeartCommunications, Inc.

   

6.38%, 05/01/26

    20       20,994  

5.25%, 08/15/27(c)

    19       19,863  

4.75%, 01/15/28(c)

    12       12,345  

IRB Holding Corp., 7.00%, 06/15/25(c)

    108       116,642  

Lamar Media Corp., 3.75%, 02/15/28

    15       15,263  

Level 3 Financing, Inc.(c)

   

4.63%, 09/15/27

    25       25,948  

4.25%, 07/01/28

    399       404,889  

3.63%, 01/15/29

    325       313,625  

M/I Homes, Inc., 4.95%, 02/01/28

    314       327,580  

Masonite International Corp., 5.38%, 02/01/28(c)

    12       12,716  

Matador Resources Co., 5.88%, 09/15/26

    26       26,780  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.

   

4.50%, 09/01/26

    1,612       1,720,810  

5.75%, 02/01/27

    18       20,027  

MGM Resorts International

   

4.63%, 09/01/26

    10       10,563  

5.50%, 04/15/27

    17       18,658  

Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(c)

    162       162,202  

Nationstar Mortgage Holdings, Inc.,
6.00%, 01/15/27(c)

    15       15,544  

Nexstar Broadcasting, Inc., 5.63%, 07/15/27(c)

    421       446,260  

NRG Energy, Inc., 5.25%, 06/15/29(c)

    18       19,148  

OI European Group BV, 2.88%, 02/15/25

    EUR    100       120,263  

Outfront Media Capital LLC/Outfront Media Capital Corp.(c)

   

5.00%, 08/15/27

    USD      16       16,566  

4.63%, 03/15/30

    12       12,180  

Owens-Brockway Glass Container, Inc.,
6.38%, 08/15/25(c)

    1,495       1,657,581  

Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 4.88%, 05/15/29(c)

    50       51,722  

Periama Holdings LLC, 5.95%, 04/19/26

    200       217,100  

Pioneer Energy Services Corp.(a)(c)(h)

   

(11.00% Cash or 11.00% PIK), 11.00%, 05/15/25

    624       628,424  

(5.00% PIK), 5.00%, 11/15/25(j)

    463       514,478  

Playtika Holding Corp., 4.25%, 03/15/29(c)

    46       45,968  

Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.63%, 03/01/29(c)

    106       104,675  

Renewable Energy Group, Inc.,
5.88%, 06/01/28(c)

    8       8,390  

RHP Hotel Properties LP/RHP Finance Corp., 4.75%, 10/15/27

    17       17,460  

Sasol Financing USA LLC, 4.38%, 09/18/26

    200       206,250  

Scientific Games International, Inc.,
7.00%, 05/15/28(c)

    280       305,816  

SeaWorld Parks & Entertainment, Inc.(c)

   

8.75%, 05/01/25

    478       517,865  

9.50%, 08/01/25

    195       209,137  

Select Medical Corp., 6.25%, 08/15/26(c)

    515       548,485  
 

 

 

16  

2 0 2 1    B L A C K O  C K    E M I - A N N U A L    E P O R T    T O     H A R E H O L D E R S


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
United States (continued)            

Service Properties Trust

   

4.50%, 06/15/23

    USD    359     $ 367,975  

7.50%, 09/15/25

    41       46,420  

SES SA, (5 year EUR Swap + 5.40%),
5.63%(b)(i)

    EUR    200       258,790  

Sirius XM Radio, Inc., 5.50%, 07/01/29(c)

    USD      31       33,781  

SM Energy Co., 10.00%, 01/15/25(c)

    244       275,315  

SRS Distribution, Inc., 4.63%, 07/01/28(c)

    17       17,383  

Standard Industries, Inc., 4.75%, 01/15/28(c)

    25       26,168  

Sunoco LP/Sunoco Finance Corp.

   

6.00%, 04/15/27

    15       15,686  

4.50%, 05/15/29(c)

    49       49,857  

Talen Energy Supply LLC, 6.63%, 01/15/28(c)

    386       353,518  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.

   

5.00%, 01/15/28

    19       20,045  

5.50%, 03/01/30

    25       27,492  

Taylor Morrison Communities, Inc.(c)

   

5.88%, 06/15/27

    378       427,612  

5.75%, 01/15/28

    1,287       1,453,023  

TEGNA, Inc.

   

4.63%, 03/15/28

    210       217,875  

5.00%, 09/15/29

    27       28,255  

Tenet Healthcare Corp.(c)

   

6.25%, 02/01/27

    37       38,619  

5.13%, 11/01/27

    37       38,804  

4.63%, 06/15/28

    34       34,993  

Transocean Phoenix 2 Ltd., 7.75%, 10/15/24(c)

    909       940,401  

Travel + Leisure Co., 6.63%, 07/31/26(c)

    132       149,556  

Tri Pointe Homes, Inc.

   

5.25%, 06/01/27

    295       320,075  

5.70%, 06/15/28

    27       29,768  

United Airlines Pass-Through Trust

   

Series 2019-2, Class B, 3.50%, 11/01/29

    144       142,782  

Series 2020-1, Class A, 5.88%, 10/15/27

    359       398,087  

VICI Properties LP/VICI Note Co., Inc.(c)

   

4.25%, 12/01/26

    31       32,247  

3.75%, 02/15/27

    19       19,325  

4.63%, 12/01/29

    277       294,312  

4.13%, 08/15/30

    25       25,671  

Vistra Operations Co. LLC(c)

   

5.50%, 09/01/26

    25       25,781  

5.63%, 02/15/27

    32       33,200  

William Lyon Homes, Inc., 6.63%, 07/15/27(c)

    853       912,710  

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.(c)

   

5.50%, 03/01/25

    44       47,382  

5.25%, 05/15/27

    22       23,630  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(c)

    299       315,819  

XHR LP(c)

   

6.38%, 08/15/25

    104       110,630  

4.88%, 06/01/29

    16       16,520  
   

 

 

 
      27,588,724  
Security   Par
(000)
    Value  
Vietnam — 0.1%  

Mong Doung Finacial Holdings BV,
5.13%, 05/07/29

    USD    250     $ 250,281  
   

 

 

 

Total Corporate Bonds — 39.2%
(Cost: $77,594,990)

 

    80,146,007  
   

 

 

 
Floating Rate Loan Interests(b)  
Canada — 0.7%  

Kestrel Bidco, Inc., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor),
4.00%, 12/11/26

    1,512       1,481,735  
   

 

 

 
Luxembourg — 0.7%  

Connect Finco Sarl, 2021 Term Loan B,
(1 mo. LIBOR + 3.50%, 1.00% Floor),
4.50%, 12/12/26

    494       494,001  

Intelsat Jackson Holdings SA 2017 Term Loan B4, (PRIME + 5.50%),
8.75%, 01/02/24

    430       437,459  

2020 DIP Term Loan, (PRIME + 4.75%, 1.00% Floor), 6.50%, 07/13/22

    406       408,189  
   

 

 

 
      1,339,649  
Netherlands — 0.2%  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.65%, 07/10/25

    483       482,878  
   

 

 

 
United States — 7.7%  

18 Fremont Street Acquisition LLC, Term Loan B, (3 mo. LIBOR + 8.00%, 1.50% Floor), 9.50%, 08/09/25

    1,127       1,149,626  

Advanced Drainage Systems, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 2.38%, 07/31/26

    26       26,461  

Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%),
3.85%, 02/02/26

    237       230,952  

Allegiant Travel Co., 2020 Term Loan, (3 mo. LIBOR + 3.00%), 3.16%, 02/05/24

    1,111       1,103,745  

BCP Raptor II LLC, 1st Lien Term Loan,
(1 mo. LIBOR + 4.75%), 4.85%, 11/03/25

    (k)       429  

Buckeye Partners LP, 2021 Term Loan B,
(1 mo. LIBOR + 2.25%), 2.35%, 11/01/26

    771       765,482  

Caesars Resort Collection LLC, 2020 Term Loan B1, (1 mo. LIBOR + 4.50%),
4.60%, 07/20/25

    234       234,816  

Citgo Holding, Inc., 2019 Term Loan B, (3 mo. LIBOR + 2.00%, 1.00% Floor),
8.00%, 08/01/23

    94       92,163  

Cornerstone Building Brands, Inc., 2021 Term Loan B,
(1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 04/12/28

    1,430       1,427,664  

CSC Holdings LLC, 2019 Term Loan B5,
(1 mo. LIBOR + 2.50%), 2.57%, 04/15/27

    245       242,314  

Diamond Sports Group LLC, Term Loan,
(1 mo. LIBOR + 3.25%), 3.36%, 08/24/26

    857       513,085  

Foundation Building Materials Holding Company LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor),
3.75%, 02/03/28

    48       47,376  

Gates Global LLC, 2021 Term Loan B3,
(1 mo. LIBOR + 2.75%, 0.75% Floor),
3.50%, 03/31/27

    1,255       1,248,836  

Genesee & Wyoming, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 2.15%, 12/30/26

    236       233,718  
 

 

 

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

  17


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

United States (continued)

 

Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23

    USD    304     $ 301,335  

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.09%, 11/15/27

    484       479,554  

Jeld-Wen, Inc., 2017 1st Lien Term Loan,
(1 mo. LIBOR + 2.00%), 2.10%, 12/14/24

    864       862,705  

KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%),
2.38%, 09/19/26

    44       43,566  

Lamar Media Corp., 2020 Term Loan B, (1 mo.
LIBOR + 1.50%), 1.58%, 02/06/27

    34       33,170  

LBM Acquisition LLC

   

Delayed Draw Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27

    9       8,968  

Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27

    61       60,530  

MI Windows And Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27

    76       75,668  

Pacific Gas & Electric Co., 2020 Term Loan,
(3 mo. LIBOR + 3.00%, 0.50% Floor),
3.50%, 06/23/25

    232       228,331  

PCI Gaming Authority, Term Loan, (1 mo. LIBOR + 2.50%), 2.60%, 05/29/26

    393       390,626  

Playtika Holding Corp., 2021 Term Loan,
(1 mo. LIBOR + 2.75%),
2.85%, 03/11/28

    365       363,219  

PLH Infrastructure Services, Inc., 2018 Term Loan, (3 mo. LIBOR + 6.00%),
6.19%, 08/07/23(a)

    284       284,964  

Robertshaw US Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/28/25

    832       803,352  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%),
2.85%, 08/14/24

    1,529       1,517,175  

SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27

    189       189,316  

Select Medical Corp., 2017 Term Loan B,
(1 mo. LIBOR + 2.25%), 2.36%, 03/06/25

    141       139,297  

Summit Materials Companies I LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 11/21/24

    835       831,266  

The Enterprise Development Authority, Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 02/18/28(a)

    283       284,121  

TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.35%, 12/09/25

    746       734,200  

White Cap Buyer LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.50% Floor),
4.50%, 10/19/27

    308       308,836  

XPO Logistics, Inc., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 1.88%, 02/24/25

    471       468,601  
   

 

 

 
      15,725,467  
   

 

 

 

Total Floating Rate Loan Interests — 9.3%
(Cost: $19,451,391)

 

    19,029,729  
   

 

 

 
Security   Par
(000)
    Value  

Foreign Agency Obligations

 

Bahrain — 0.3%  

Bahrain Government International Bond,
6.75%, 09/20/29

  USD      200     $ 219,288  

CBB International Sukuk Co. 7 SPC,
6.88%, 10/05/25

    410       473,934  
   

 

 

 
      693,222  
Colombia — 0.6%  

Colombia Government International Bond

 

8.13%, 05/21/24

    317       374,218  

4.50%, 01/28/26

    340       371,089  

3.88%, 04/25/27

    370       393,079  
   

 

 

 
      1,138,386  
Dominican Republic — 0.4%  

Dominican Republic International Bond

 

5.95%, 01/25/27

    322       362,250  

4.50%, 01/30/30(c)

    380       387,790  
   

 

 

 
      750,040  
Egypt — 0.9%  

Egypt Government International Bond

 

5.75%, 05/29/24(c)

    305       324,596  

5.88%, 06/11/25

    700       747,381  

6.38%, 04/11/31(c)

  EUR  565       697,710  
   

 

 

 
      1,769,687  
Ghana — 0.1%  

Ghana Government International Bond,
8.63%, 04/07/34(c)

  USD  300       308,906  
   

 

 

 
Indonesia — 0.1%  

Indonesia Government International Bond,
4.10%, 04/24/28

    200       225,913  
   

 

 

 
Morocco — 0.2%  

Morocco Government International Bond,
3.00%, 12/15/32(c)

    370       357,050  
   

 

 

 
Panama — 0.1%  

Panama Government International Bond,
3.16%, 01/23/30

    275       288,200  
   

 

 

 
Romania — 0.2%  

Romanian Government International Bond,
3.00%, 02/14/31(c)

    334       346,379  
   

 

 

 
Russia — 0.2%  

Russian Foreign Bond - Eurobond,
4.75%, 05/27/26

    400       454,950  
   

 

 

 
Saudi Arabia — 0.3%  

Saudi Government International Bond,
4.50%, 04/17/30

    508       598,424  
   

 

 

 
Sri Lanka — 0.1%  

Sri Lanka Government International Bond

 

7.85%, 03/14/29

    200       126,537  

7.55%, 03/28/30

    200       126,475  
   

 

 

 
      253,012  
Ukraine — 0.6%  

Ukraine Government International Bond

 

7.75%, 09/01/22

    100       104,950  

7.75%, 09/01/23

    230       247,825  

8.99%, 02/01/24

    224       248,416  
 

 

 

18  

2 0 2 1    B L A C K O  C K    E M I - A N N U A L    E P O R T    T O     H A R E H O L D E R S


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Ukraine (continued)

 

Ukraine Government International Bond (continued)

 

7.75%, 09/01/24

    USD      160     $ 174,530  

7.75%, 09/01/25

    100       109,500  

7.25%, 03/15/33(c)

    400       415,950  
   

 

 

 
      1,301,171  
   

 

 

 

Total Foreign Agency Obligations — 4.1%
(Cost: $8,075,618)

 

    8,485,340  
   

 

 

 

Non-Agency Mortgage-Backed Securities

 

United States — 12.9%  

Alternative Loan Trust, Series 2007-AL1, Class A1, (1 mo. LIBOR US + 0.25%), 0.34%, 06/25/37(b)

    640       509,676  

ARI Investments LLC, 4.59%, 01/06/25(a)

    701       696,580  

Bayview Commercial Asset Trust, Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.50%), 1.59%, 12/25/37(b)(c)

    2,000       1,920,094  

BBCMS Mortgage Trust, Series 2018-TALL, Class D, (1 mo. LIBOR US + 1.45%), 1.52%, 03/15/37(b)(c)

    500       485,700  

BCAP LLC Trust, Series 2012-RR3, Class 1A5, 6.25%, 12/26/37(b)(c)

    739       679,703  

Benchmark Mortgage Trust, Series 2018-B7, Class C, 5.02%, 05/15/53(b)

    1,000       1,135,964  

BX Commercial Mortgage Trust(b)(c)

   

Series 2018-IND, Class H, (1 mo. LIBOR US + 3.00%), 3.07%, 11/15/35

    700       701,304  

Series 2020-BXLP, Class F, (1 mo. LIBOR US + 2.00%), 2.07%, 12/15/36.

    377       376,549  

BX Trust, Series 2019-OC11, Class E, 4.08%,
12/09/41(b)(c)

    652       681,889  

BXP Trust(b)(c)

   

Series 2017-CC, Class D, 3.67%, 08/13/37

    180       189,718  

Series 2017-CC, Class E, 3.67%, 08/13/37

    350       358,600  

CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class E, (1 mo. LIBOR US + 2.15%), 2.22%, 12/15/37(b)(c)

    633       634,181  

CFCRE Commercial Mortgage Trust, Series 2016-C3, Class C, 4.91%, 01/10/48(b)

    1,000       1,040,591  

CFK Trust, Series 2019-FAX, Class E, 4.79%, 01/15/39(b)(c)

    1,000       1,065,785  

Citigroup Commercial Mortgage Trust(b)

   

Series 2015-GC27, Class C, 4.57%, 02/10/48

    756       800,572  

Series 2016-C1, Class C, 5.11%, 05/10/49

    534       591,626  

Series 2016-C1, Class D, 5.11%, 05/10/49(c)

    700       719,014  

Series 2016-P3, Class D, 2.80%, 04/15/49(c)

    500       378,997  

Cold Storage Trust, Series 2020-ICE5, Class F, (1 mo. LIBOR US + 3.49%), 3.57%, 11/15/37(b)(c)

    197       198,693  

DBGS Mortgage Trust, Series 2019-1735, Class F, 4.33%, 04/10/37(b)(c)

    499       418,501  

DBJPM Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50(b)

    11,000       530,200  

DBUBS Mortgage Trust, Series 2017-BRBK, Class F, 3.65%, 10/10/34(b)(c)

    390       395,398  

GS Mortgage Securities Trust(c)

   

Series 2017-GS7, Class D, 3.00%, 08/10/50

    375       347,157  

Series 2017-GS7, Class E, 3.00%, 08/10/50

    300       268,716  
Security  

Par

(000)

    Value  

United States (continued)

 

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class FFX, 5.54%, 07/05/33(b)(c)

    USD      59     $ 60,154  

JPMBB Commercial Mortgage Securities Trust,
Series 2015-C33, Class D1,
4.27%, 12/15/48(b)(c)

    1,619       1,599,652  

JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP5, Class D,
4.77%, 03/15/50(b)(c)

    140       143,081  

LSTAR Commercial Mortgage Trust(b)(c)

   

Series 2017-5, Class C, 4.87%, 03/10/50

    1,000       1,018,707  

Series 2017-5, Class X, 1.14%, 03/10/50

    11,276       314,802  

MAD Mortgage Trust(b)(c)

   

Series 2017-330M, Class D, 4.11%, 08/15/34

    130       132,886  

Series 2017-330M, Class E, 4.17%, 08/15/34

    180       181,284  

MASTR Reperforming Loan Trust, Series 2005-1, Class 1A5, 8.00%, 08/25/34(c)

    834       792,211  

Morgan Stanley Bank of America Merrill Lynch Trust

   

Series 2015-C23, Class D,
4.28%, 07/15/50(b)(c)

    310       313,310  

Series 2015-C25, Class D,
3.07%, 10/15/48

    39       38,281  

Morgan Stanley Capital I Trust

   

Series 2017-H1, Class D,
2.55%, 06/15/50(c)

    1,010       851,319  

Series 2017-H1, Class XD,
2.32%, 06/15/50(b)(c)

    8,625       903,814  

Series 2018-H4, Class C,
5.24%, 12/15/51(b)

    711       773,741  

Series 2018-MP, Class E,
4.42%, 07/11/40(b)(c)

    250       230,110  

Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.55%), 2.62%, 07/15/35(b)(c)

    220       219,030  

Series 2019-NUGS, Class E, (1 mo. LIBOR US + 2.24%), 3.74%, 12/15/36(b)(c)

    381       382,506  

Olympic Tower Mortgage Trust(b)(c)

   

Series 2017-OT, Class D, 4.08%, 05/10/39

    140       138,982  

Series 2017-OT, Class E, 4.08%, 05/10/39

    190       171,241  

Park Avenue Trust, Series 2017-245P, Class E, 3.78%, 06/05/37(b)(c)

    380       370,085  

RALI Trust, Series 2006-QO6, Class A1, (1 mo. LIBOR US + 0.36%), 0.45%, 06/25/46(b)

    2,636       841,462  

US 2018-USDC, Series 2018-USDC, Class E,
4.64%, 05/13/38(b)(c)

    269       232,087  

Wells Fargo Commercial Mortgage Trust(b)

   

Series 2016-C37, Class C, 4.63%, 12/15/49

    701       750,717  

Series 2016-NXS5, Class D, 5.15%, 01/15/59

    500       537,452  

Wells Fargo Mortgage Backed Securities Trust,
Series 2008-AR1, Class A2, 2.94%, 03/25/38(b)

    376       276,351  
   

 

 

 

Total Non-Agency Mortgage-Backed Securities — 12.9%
(Cost: $25,490,635)

 

    26,398,473  
   

 

 

 

Preferred Securities

 

Capital Trusts — 4.0%

 

Belgium — 0.1%  

Solvay Finance SA, 5.43%(b)(i)

    EUR      140       182,965  
   

 

 

 
China — 0.1%  

King Talent Management Ltd., 5.60%(b)(i)

    USD      200       178,850  
   

 

 

 
Denmark — 0.4%  

Orsted A/S, 2.25%, 12/31/99(b)

    EUR      600       743,477  
   

 

 

 
France(b)(i) — 0.7%  

Electricite de France SA

   

5.38%

    100       132,989  

3.00%

    400       490,191  
 

 

 

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

  19


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
     Value  

France (continued)

 

Electricite de France SA (continued)
3.38%

  EUR      200      $ 247,525  

Engie SA, 3.25%

    400        513,430  
    

 

 

 
       1,384,135  
    

 

 

 
Germany(b)(i) — 0.2%  

ATF Netherlands BV, 3.75%

    100        123,170  

Volkswagen International Finance NV, 4.63%

    300        404,594  
    

 

 

 
       527,764  
    

 

 

 
Hong Kong(b)(i) — 0.2%  

FWD Ltd., 5.50%

  USD  200        200,937  

Nanyang Commercial Bank Ltd., 5.00%

    200        200,813  
    

 

 

 
       401,750  
    

 

 

 
Italy — 0.2%  

Eni SpA, Series NC9, 2.75%(b)(i)

  EUR  350        417,088  
    

 

 

 
Luxembourg — 0.1%  

SES SA, 2.88%(b)(i)

    250        298,542  
    

 

 

 
Netherlands(i) — 0.6%  

Abertis Infraestructuras Finance BV,
3.25%(b)

    100        122,577  

Koninklijke KPN NV, 2.00%(b)

    100        120,214  

Repsol International Finance BV, 2.50%(b)

    250        297,920  

Stichting AK Rabobank Certificaten, 2.19%

    45        71,480  

Volkswagen International Finance NV,
3.88%(b)

    300        394,855  

Wintershall Dea Finance 2 BV, Series NC5, 2.50%(b)

    200        236,310  
    

 

 

 
       1,243,356  
    

 

 

 
Spain(b)(i) — 0.5%  

CaixaBank SA, 6.00%

    200        247,509  

Naturgy Finance BV, 4.13%

    100        124,508  

Repsol International Finance BV, 3.75%

    100        126,853  

Telefonica Europe BV

    

4.38%

    100        128,632  

3.88%

    300        382,617  
    

 

 

 
       1,010,119  
Switzerland — 0.3%  

Argentum Netherlands BV for Swiss Re Ltd., 5.75%, 08/15/50(b)

  USD  500        565,382  
    

 

 

 
United Kingdom(b) — 0.4%  

BP Capital Markets PLC, 3.25%(i)

  EUR  100        126,638  

Vodafone Group PLC

    

4.13%, 06/04/81

  USD  600        599,100  

3.10%, 01/03/79

  EUR  100        123,466  
    

 

 

 
       849,204  
Security   Par
(000)
     Value  
United States — 0.2%  

Belden, Inc., 4.13%, 10/15/26

    EUR    100      $ 121,525  

NWD Finance BVI Ltd., 4.13%(b)(i)

    USD    200        202,200  
    

 

 

 
       323,725  
    

 

 

 

Total Preferred Securities — 4.0%
(Cost: $7,768,024)

 

     8,126,357  
    

 

 

 

U.S. Government Sponsored Agency Securities

 

Collateralized Mortgage Obligations — 0.6%

 

Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 3.09%, 10/25/29

    95        97,573  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA2, Class B1, (1 mo. LIBOR US + 5.15%), 5.24%, 10/25/29

    1,000        1,082,662  
    

 

 

 
       1,180,235  

Commercial Mortgage-Backed Securities — 0.2%

 

FREMF Mortgage Trust, Series 2017-KGX1, Class BFX,
3.71%, 10/25/27(b)(c)

    500        528,460  
    

 

 

 

Total U.S. Government Sponsored Agency Securities — 0.8%
(Cost: $1,572,298)

 

     1,708,695  
    

 

 

 
     Shares          
Warrants  
United States — 0.1%  

Chesapeake Energy Corp. (Expires 02/09/26)(e)

    10,706        259,899  
    

 

 

 

Total Warrants — 0.1%
(Cost: $ — )

 

     259,899  
    

 

 

 

Total Long-Term Investments — 84.8%
(Cost: $168,789,937)

 

     173,661,771  
    

 

 

 
 

 

 

20  

2 0 2 1    B L A C K O  C K    E M I - A N N U A L    E P O R T    T O     H A R E H O L D E R S


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Short-Term Securities  

Money Market Funds — 9.1%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.01%(l)(m)

    18,518,658     $ 18,518,658  
   

 

 

 

Total Short-Term Securities — 9.1%

   

(Cost: $18,518,658)

      18,518,658  
   

 

 

 

Options Purchased — 0.0%

   

(Cost: $235,841)

      93,240  
   

 

 

 

Total Investments Before Options Written — 93.9%

   

(Cost: $187,544,436)

      192,273,669  
   

 

 

 

Options Written — (0.0)%

   

(Premiums Received: $(92,718))

      (51,060
   

 

 

 

Total Investments, Net of Options Written — 93.9%

   

(Cost: $187,451,718)

      192,222,609  

Other Assets Less Liabilities — 6.1%

      12,474,305  
   

 

 

 

Net Assets — 100.0%

    $ 204,696,914  
   

 

 

 

 

(a)

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(b)

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.

(c)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d)

Rounds to less than $1.

(e) 

Non-income producing security.

(f)

Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $9,598, representing less than 0.05% of its net assets as of period end, and an original cost of $1,771.

(g)

Issuer filed for bankruptcy and/or is in default.

(h)

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.

(i)

Perpetual security with no stated maturity date.

(j)

Convertible security.

(k)

Amount is less than 500.

(l) 

Affiliate of the Trust.

(m)

Annualized 7-day yield as of period end.

 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the six-months ended June 30, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
12/31/20
    

Purchases

at Cost

    

Proceeds

from Sales

     Net
Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
    

Value at

06/30/21

    

Shares

Held at

06/30/21

     Income      Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $ 5,995,724      $ 12,522,934 (a)     $      $      $      $ 18,518,658        18,518,658      $ 1,190      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a)

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
      

Notional

Amount (000)

       Value/
Unrealized
Appreciation
(Depreciation)
 
Short Contracts                                  

Euro Bund

     1          09/08/21        $ 205        $ (1,246

Euro-BOBL

     2          09/08/21          318          (262
                 

 

 

 
                  $ (1,508
                 

 

 

 

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold      Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
BRL     1,623,851        USD     313,000      BNP Paribas S.A.        09/15/21        $ 10,526  
USD     22,091,555        EUR     18,224,000      BNP Paribas S.A.        09/15/21          449,553  
USD     106,475        EUR     89,000      Deutsche Bank AG        09/15/21          782  
USD     192,988        EUR     162,000      Morgan Stanley & Co. International PLC        09/15/21          604  
USD     1,664,289        GBP     1,179,000      Barclays Bank PLC        09/15/21          33,106  
USD     156,000        RUB     11,433,691      UBS AG        09/15/21          1,416  
USD     900,086        EUR     737,000      UBS AG        09/16/21          24,840  
USD     883,806        EUR     737,000      Bank of America N.A.        12/15/21          6,701  

 

 

 

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

  21


Schedule of Investments (unaudited) (continued)

June 30, 2021

   BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency Purchased        Currency Sold      Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD     22,153,631        EUR     18,475,000      Bank of America N.A.        12/15/21        $ 166,494  
USD     1,641,419        GBP     1,179,000      State Street Bank and Trust Co.        12/15/21          9,604  
                     

 

 

 
                        703,626  
                     

 

 

 
EUR     18,475,000        USD     22,113,132      Bank of America N.A.        09/15/21          (173,053
GBP     1,179,000        USD     1,641,227      State Street Bank and Trust Co.        09/15/21          (10,045
RUB     22,839,804        USD     312,000      HSBC Bank USA N.A.        09/15/21          (3,204
USD     156,500        BRL     793,790      Citibank N.A.        09/15/21          (1,650
USD     156,500        BRL     792,956      UBS AG        09/15/21          (1,484
USD     156,000        RUB     11,544,833      UBS AG        09/15/21          (87
EUR     737,000        USD     882,208      Bank of America N.A.        09/16/21          (6,961
                     

 

 

 
                        (196,484
                     

 

 

 
                      $ 507,142  
                     

 

 

 

Exchange-Traded Options Purchased

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  

Put

                      

iShares iBoxx $ High Yield Corporate Bond ETF

     2,220          10/15/21          USD    82.00          USD    19,545        $ 93,240  
                      

 

 

 

Exchange-Traded Options Written

 

Description    Number of
Contracts
       Expiration
Date
       Exercise Price        Notional
Amount (000)
       Value  

Put

                      

iShares iBoxx $ High Yield Corporate Bond ETF

     2,220          10/15/21          USD    75.00          USD    19,545        $ (51,060
                      

 

 

 

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
0.33%    Semi-Annual    3-Month LIBOR, 0.15%        Quarterly    N/A      06/26/23        USD        5,900     $ (1,657    $ 70      $ (1,727
0.52%    Semi-Annual    3-Month LIBOR, 0.15%        Quarterly    N/A      06/21/24        USD        3,500       4,281        41        4,240  
0.97%    Semi-Annual    3-Month LIBOR, 0.15%        Quarterly    N/A      06/25/26        USD        12,250       (2,336      165        (2,501
1.49%    Semi-Annual    3-Month LIBOR, 0.15%        Quarterly    N/A      06/25/31        USD        1,900       (5,447      31        (5,478
1.48%    Semi-Annual    3-Month LIBOR, 0.15%        Quarterly    N/A      07/01/31        USD        6,100       (12,842      99        (12,941
                      

 

 

    

 

 

    

 

 

 
                       $ (18,001    $ 406      $ (18,407
                      

 

 

    

 

 

    

 

 

 

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index  

Financing
Rate Received

by the Trust

    Payment    
Frequency    
  Counterparty   Termination
Date
    Credit
Rating(a)
   

Notional

Amount (000)(b)

  Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
CMBX.NA.9     3.00   Monthly      

Morgan Stanley & Co. International PLC

    09/17/58       NR     USD   5,000   $ (386,336   $ (518,497   $ 132,161  
CMBX.NA.9     3.00     Monthly      

Morgan Stanley & Co. International PLC

    09/17/58       NR     USD   3,000     (231,801     (307,244     75,443  
               

 

 

   

 

 

   

 

 

 
                $ (618,137   $ (825,741   $ 207,604  
               

 

 

   

 

 

   

 

 

 

 

(a)

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

(b) 

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

 

 

22  

2 0 2 1    B L A C K O C K    E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

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

 

Description    Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Centrally Cleared Swaps(a)

   $ 406      $      $ 4,240      $ (22,647    $  

OTC Swaps

            (825,741      207,604                

Options Written

     N/A        N/A        41,658               (51,060

 

  (a)

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

Derivative Financial Instruments Categorized by Risk Exposure

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

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Assets — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts.

   $      $      $      $ 703,626      $      $      $ 703,626  

Options purchased

                    

Investments at value — unaffiliated(a)

                   93,240                             93,240  

Swaps — centrally cleared

                    

Unrealized appreciation on centrally cleared swaps(b)

                                 4,240               4,240  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            207,604                                    207,604  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 207,604      $ 93,240      $ 703,626      $ 4,240      $      $ 1,008,710  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on futures contracts(b)

   $      $      $      $      $ 1,508      $      $ 1,508  

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts.

                          196,484                      196,484  

Options written

                    

Options written at value

                   51,060                             51,060  

Swaps — centrally cleared

                    

Unrealized depreciation on centrally cleared swaps(b)

                                 22,647               22,647  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

            825,741                                    825,741  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 825,741      $ 51,060      $ 196,484      $ 24,155      $      $ 1,097,440  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

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

  (b) 

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

For the six months ended June 30, 2021, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from

                    

Futures contracts

   $      $      $      $      $ (118,516    $      $ (118,516

Forward foreign currency exchange contracts

                          (159,126                    (159,126

Options purchased(a)

                   (672,147      (77,262      (258,307             (1,007,716

Options written

                   231,701               44,893               276,594  

Swaps

            132,315                      7,073               139,388  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 132,315      $ (440,446    $ (236,388    $ (324,857    $      $ (869,376
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Futures contracts

   $      $      $      $      $ 90,175      $      $ 90,175  

 

 

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

  23


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

    

Commodity

Contracts

   

Credit

Contracts

   

Equity

Contracts

   

Foreign

Currency

Exchange

Contracts

   

Interest

Rate

Contracts

   

Other

Contracts

   

Total

 

Forward foreign currency exchange contracts

  $             —     $     $     $ 1,103,617     $     $             —     $   1,103,617  

Options purchased(b)

                (11,658     60,962             90,037             139,341  

Options written

                (1,398           (25,406           (26,804

Swaps

          317,296                   —                    —       (18,407           298,889  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $     $     317,296     $ (13,056   $ 1,164,579     $ 136,399     $     $ 1,605,218  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) 

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

 
  (b) 

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

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments    

 

Futures contracts

        

Average notional value of contracts — long

   $ 1,348,879  

Average notional value of contracts — short

   $ 17,976,317  

Forward foreign currency exchange contracts

  

Average amounts purchased — in USD

   $ 38,522,635  

Average amounts sold — in USD

   $ 12,630,784  

Options

  

Average value of option contracts purchased

   $ 185,837  

Average value of option contracts written

   $ 85,657  

Average notional value of swaption contracts purchased

   $ 3,900,000  

Average notional value of swaption contracts written

   $ (a)  

Credit default swaps

  

Average notional value — sell protection

   $ 8,029,318  

Interest rate swaps

  

Average notional value — pays fixed rate

   $ 14,825,000  

Average notional value — receives fixed rate

   $ (a)  

 

  (a) 

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

 

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

Derivative Financial Instruments — Offsetting as of Period End

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

 

      Assets      Liabilities  

Derivative Financial Instruments

     

Futures contracts

   $      $ 1,050  

Forward foreign currency exchange contracts

     703,626        196,484  

Options

     93,240 (a)        51,060  

Swaps — centrally cleared

            23,763  

Swaps — OTC(b)

     207,604        825,741  
  

 

 

    

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

     1,004,470        1,098,098  
  

 

 

    

 

 

 

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

     (93,240      (75,873
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 911,230      $ 1,022,225  
  

 

 

    

 

 

 

 

  (a) 

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

 
  (b) 

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

 

 

 

24  

2 0 2 1    B L A C K O C K    E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

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

 

Counterparty

   

Derivative

Assets

Subject to

an MNA by

Counterparty

 

 

 

 

 

   

Derivatives

Available

for Offset

 

 

(a) 

   

Non-Cash

Collateral

Received

 

 

 

   

Cash

Collateral

Received

 

 

 

   

Net Amount

of Derivative

Assets

 

 

(b)(c)  

Bank of America N.A.

  $ 173,195     $ (173,195   $     $     $  

Barclays Bank PLC

    33,106                         33,106  

BNP Paribas S.A.

    460,079                         460,079  

Deutsche Bank AG

    782                         782  

Morgan Stanley & Co. International PLC

    208,208       (208,208                  

State Street Bank and Trust Co.

    9,604       (9,604                  

UBS AG

    26,256       (1,571                 —                   —       24,685  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 911,230     $ (392,578   $     $     $ 518,652  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
         

Counterparty

   

Derivative

Liabilities

Subject to

an MNA by

Counterparty

 

 

 

 

 

   

Derivatives

Available

for Offset

 

 

(a) 

   

Non-Cash

Collateral

Pledged

 

 

 

   

Cash

Collateral

Pledged

 

 

 

   

Net Amount

of Derivative

Liabilities

 

 

(b)(d) 

Bank of America N.A.

  $ 180,014     $ (173,195   $     $     $ 6,819  

Citibank N.A.

    1,650                         1,650  

HSBC Bank USA N.A.

    3,204                         3,204  

Morgan Stanley & Co. International PLC

    825,741       (208,208           (610,000     7,533  

State Street Bank and Trust Co.

    10,045       (9,604                 441  

UBS AG

    1,571       (1,571                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 1,022,225     $ (392,578   $             —     $ (610,000   $ 19,647  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) 

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

 
  (b) 

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

 
  (c) 

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

 
  (d) 

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

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Asset-Backed Securities

   $        $   27,426,977        $     250,975        $   27,677,952  

Common Stocks

                 

United States

       1,356,624          449,311          23,384          1,829,319  

Corporate Bonds

                 

Argentina

              685,397                   685,397  

Australia

              227,510                   227,510  

Austria

              196,710                   196,710  

Bahrain

              222,725                   222,725  

Bermuda

              373,745                   373,745  

Brazil

              2,863,138                   2,863,138  

British Virgin Islands

              201,038                   201,038  

Canada

              2,031,229          890,724          2,921,953  

Cayman Islands

              3,561,296                   3,561,296  

Chile

              537,482                   537,482  

China

              5,779,448                   5,779,448  

 

 

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

  25


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

Fair Value Hierarchy as of Period End (continued)

 

      Level 1        Level 2        Level 3        Total  

Corporate Bonds (continued)

                 

Colombia

   $        $ 263,629        $        $ 263,629  

Denmark

              415,336                   415,336  

Dominican Republic

              732,944                   732,944  

France

              5,002,144                   5,002,144  

Germany

              2,929,043                   2,929,043  

Guatemala

              583,815                   583,815  

Hong Kong

              74,163                   74,163  

India

              1,466,072                   1,466,072  

Indonesia

              736,800                   736,800  

Ireland

              771,916                   771,916  

Israel

              462,510                   462,510  

Italy

     118,900          1,858,032                   1,976,932  

Japan

              332,453                   332,453  

Lithuania

              222,631                   222,631  

Luxembourg

              985,456                   985,456  

Macau

              418,450                   418,450  

Mauritius

              687,584                   687,584  

Mexico

              2,611,662                   2,611,662  

Netherlands

              3,511,561                   3,511,561  

Panama

              1,397,384                   1,397,384  

Peru

              425,485                   425,485  

Portugal

              387,296                   387,296  

Saudi Arabia

              317,906                   317,906  

Singapore

              1,006,250                   1,006,250  

South Africa

              225,000                   225,000  

Spain

              1,057,214                   1,057,214  

Sweden

              289,177                   289,177  

Switzerland

              166,186                   166,186  

Thailand

              207,413                   207,413  

Ukraine

              397,700                   397,700  

United Arab Emirates

              375,082                   375,082  

United Kingdom

              4,299,366                   4,299,366  

United States

              26,178,681          1,410,043          27,588,724  

Vietnam

              250,281                   250,281  

Floating Rate Loan Interests

              18,460,644          569,085          19,029,729  

Foreign Agency Obligations

              8,485,340                   8,485,340  

Non-Agency Mortgage-Backed Securities

              25,701,893          696,580          26,398,473  

Preferred Securities

                 

Capital Trusts

              8,126,357                   8,126,357  

U.S. Government Sponsored Agency Securities

              1,708,695                   1,708,695  

Warrants

     259,899                            259,899  

Short-Term Securities

                 

Money Market Funds

     18,518,658                            18,518,658  

Options Purchased

                 

Equity Contracts

     93,240                            93,240  

Unfunded Floating Rate Loan Interests

              10                   10  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 20,347,321        $ 168,085,567        $ 3,840,791        $ 192,273,679  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Assets

                 

Credit Contracts

   $        $ 207,604        $        $ 207,604  

Foreign Currency Exchange Contracts

              703,626                   703,626  

Interest Rate Contracts

              4,240                   4,240  

Liabilities

                 

Equity Contracts

     (51,060                          (51,060

Foreign Currency Exchange Contracts

              (196,484                 (196,484

Interest Rate Contracts

     (1,508        (22,647                 (24,155
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (52,568      $ 696,339        $        $ 643,771  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)

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.

 

 

 

26  

2 0 2 1    B L A C K O  C K    E M I - A N N U A L    E P O R T    T O     H A R E H O L D E R S


Schedule of Investments  (unaudited) (continued)

June 30, 2021

  

BlackRock 2022 Global Income Opportunity Trust (BGIO)

 

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

 

      Asset-Backed
Securities
       Common
Stocks
       Corporate
Bonds
       Floating
Rate Loan
Interests
       Non-Agency
Mortgage-Backed
Securities
       Total  

Assets

                           

Opening balance, as of December 31, 2020

   $        $ 61,356        $ 1,848,339        $ 43,676        $ 964,425        $ 2,917,796  

Transfers into Level 3

                                269,205                   269,205  

Transfers out of Level 3

                                (43,676        (236,664        (280,340

Accrued discounts/premiums

                       25,792          896                   26,688  

Net realized gain (loss)

                       2,248          104                   2,352  

Net change in unrealized appreciation (depreciation)(a)(b)

     975          (94,972        430,635          22,215          6,349          365,202  

Purchases

     250,000          57,000          70,235          285,565                   662,800  

Sales

                       (76,482        (8,900        (37,530        (122,912
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Closing balance, as of June 30, 2021

   $ 250,975        $ 23,384        $ 2,300,767        $ 569,085        $ 696,580        $ 3,840,791  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2021(b)

   $ 975        $ (94,972      $ 430,635        $ 22,215        $ 6,349        $ 365,202  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2021 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 Global Valuation Methodologies Committee (the “Global 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 $1,516,640. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.

 

      Value        Valuation
Approach
       Unobservable
Inputs
       Range of
Unobservable
Inputs
Utilized(a)
       Weighted
Average of
Unobservable
Inputs Based
on Fair Value
 

Assets

                      

Common Stocks

   $ 23,384          Market          EBITDA Multiple          3.50x           

Corporate Bonds

     2,300,767          Income          Discount Rate          4% - 11%          10
          Market          EBITDA Multiple          3.50x           
  

 

 

                     
   $ 2,324,151                      
  

 

 

                     

 

  (a)

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

 

See notes to financial statements.

 

 

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

  27


Schedule of Investments  (unaudited) 

June 30, 2021

  

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Asset-Backed Securities

Small Business Administration Participation Certificates, Series 2000-1, 1.00%, 03/15/21(a)

  $ 7     $  

Sterling Coofs Trust(a)

   

Series 2004-1, Class A, 2.36%, 04/15/29

    787       7,876