| Consolidated Schedule of Investments (unaudited) April 30, 2020 |
BlackRock Commodity Strategies Fund (Percentages shown are based on Net Assets) |
| 1 |
| Consolidated Schedule of Investments (unaudited) (continued) April 30, 2020 |
BlackRock Commodity Strategies Fund (Percentages shown are based on Net Assets) |
| (a) | Non-income producing security. |
| (b) | Security, or a portion of the security, is on loan. |
| (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) | Annualized 7-day yield as of period end. |
| (e) | Security was purchased with the cash collateral from loaned securities. |
| (f) | Rates are discount rates or a range of discount rates as of period end. |
| (h) | Investments in issuers considered to be an affiliate/affiliates of the Fund during the period ended April 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
| Affiliated Issuer | Shares Held at 07/31/19 |
Shares Purchased |
Shares Sold |
Shares Held at 04/30/20 |
Value at 04/30/20 |
Income | Net Realized |
Change in Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| BlackRock Liquidity Funds, T-Fund, Institutional Class |
1,534,349 | 1,036,903 | (b) | — | 2,571,252 | $ | 2,571,252 | $ | 25,443 | $ | 8 | $ | — | |||||||||||||||||||
| SL Liquidity Series, LLC, Money Market Series |
1,619,352 | 3,473,419 | (b) | — | 5,092,771 | 5,096,845 | 33,278 | (c) | (677 | ) | 4,049 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | 7,668,097 | $ | 58,721 | $ | (669 | ) | $ | 4,049 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
| (c) | Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
| 2 |
| Consolidated Schedule of Investments (unaudited) (continued) April 30, 2020 |
BlackRock Commodity Strategies Fund |
Derivative Financial Instruments Outstanding as of Period End
OTC Total Return Swaps
|
|
||||||||||||||||||||||||||||||||||||
| Notional | Upfront Premium |
Unrealized | ||||||||||||||||||||||||||||||||||
| Paid by the Fund | Received by the Fund | Termination | Amount | Paid | Appreciation | |||||||||||||||||||||||||||||||
| Reference | Frequency | Reference | Frequency | Counterparty | Date | (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRAGT |
At Termination |
JPMorgan Chase Bank N.A. |
|
09/24/20 |
|
USD |
|
1,383 |
|
$ | (120,545 | ) | $ |
— |
|
$ |
(120,545 |
) |
||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRENT | At Termination | JPMorgan Chase Bank N.A. | 09/24/20 | USD | 1,521 | (554,392 | ) | — | (554,392 | ) | ||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRINT | At Termination | JPMorgan Chase Bank N.A. | 09/24/20 | USD | 873 | (157,445 | ) | — | (157,445 | ) | ||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRLIT | At Termination | JPMorgan Chase Bank N.A. | 09/24/20 | USD | 281 | (73,406 | ) | — | (73,406 | ) | ||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRPRT | At Termination | JPMorgan Chase Bank N.A. | 09/24/20 | USD | 916 | 22,516 | — | 22,516 | ||||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRST | At Termination | JPMorgan Chase Bank N.A. | 01/22/21 | USD | 24,009 | (4,170,851 | ) | — | (4,170,851 | ) | ||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRST | At Termination | JPMorgan Chase Bank N.A. | 01/29/21 | USD | 1,257 | (180,447 | ) | — | (180,447 | ) | ||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMINTR | At Termination | Goldman Sachs International | 02/08/21 | USD | 970 | (113,138 | ) | — | (113,138 | ) | ||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMAGTR | At Termination | Merrill Lynch International | 02/08/21 | USD | 1,202 | (126,774 | ) | — | (126,774 | ) | ||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMLITR | At Termination | Merrill Lynch International | 02/08/21 | USD | 140 | (35,489 | ) | — | (35,489 | ) | ||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination | BCOMPRTR | At Termination | Merrill Lynch International | 02/08/21 | USD | 650 | 15,871 | — | 15,871 | ||||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRAGT | At Termination | JPMorgan Chase Bank N.A. | 03/12/21 | USD | 15,736 | (611,395 | ) | — | (611,395 | ) | ||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRENT | At Termination | JPMorgan Chase Bank N.A. | 03/12/21 | USD | 1,675 | (132,934 | ) | — | (132,934 | ) | ||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRINT | At Termination | JPMorgan Chase Bank N.A. | 03/12/21 | USD | 4,409 | (213,358 | ) | — | (213,358 | ) | ||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRLIT | At Termination | JPMorgan Chase Bank N.A. | 03/12/21 | USD | 2,265 | (41,075 | ) | — | (41,075 | ) | ||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRPRT | At Termination | JPMorgan Chase Bank N.A. | 03/12/21 | USD | 13,919 | 572,557 | — | 572,557 | ||||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRAGT | At Termination | JPMorgan Chase Bank N.A. | 04/30/21 | USD | 2,326 | — | — | — | ||||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRENT | At Termination | JPMorgan Chase Bank N.A. | 04/30/21 | USD | 1,512 | — | — | — | ||||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination |
BCOMRINT | At Termination | JPMorgan Chase Bank N.A. | 04/30/21 | USD | 1,086 | — | — | — | ||||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination | BCOMRLIT | At Termination | JPMorgan Chase Bank N.A. | 04/30/21 | USD | 235 | — | — | — | ||||||||||||||||||||||||||
| 3-month U.S. Treasury Bill, 0.09%(a) | At Termination | BCOMRPRT | At Termination | JPMorgan Chase Bank N.A. | 04/30/21 | USD | 1,288 | — | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | (5,920,305 | ) | $ | — | $ | (5,920,305 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| (a) | All or a portion of the security is held by a wholly-owned subsidiary. |
| 3 |
| Consolidated Schedule of Investments (unaudited) (continued) April 30, 2020 |
BlackRock Commodity Strategies Fund |
| Currency | ||
| USD | U.S. Dollar | |
| Portfolio Abbreviations | ||
| ADR | American Depositary Receipts | |
| BCOMAGTR | Bloomberg Agriculture SubindexSM | |
| BCOMINTR | Bloomberg Industrial Metals SubindexSM | |
| BCOMLITR | Bloomberg Livestock SubindexSM | |
| BCOMPRTR | Bloomberg Precious Metals SubindexSM | |
| BCOMRAGT | Bloomberg Roll Select Agriculture Subindex Total ReturnSM | |
| BCOMRENT | Bloomberg Roll Select Energy Subindex Total ReturnSM | |
| BCOMRINT | Bloomberg Roll Select Industrial Metals Subindex Total ReturnSM | |
| BCOMRLIT | Bloomberg Roll Select Livestock Subindex Total ReturnSM | |
| BCOMRPRT | Bloomberg Roll Select Precious Metals Subindex Total ReturnSM | |
| BCOMRST | Bloomberg Roll Select Commodity Total Return IndexSM | |
| GDR | Global Depositary Receipts | |
| OTC | Over-the-counter | |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| • | Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access |
| • | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
| • | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its semi-annual report.
Certain investments of the Fund were fair valued using net asset value per share (“NAV”) as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
| 4 |
| Consolidated Schedule of Investments (unaudited) (continued) April 30, 2020 |
BlackRock Commodity Strategies Fund |
The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets: |
||||||||||||||||
| Investments: |
||||||||||||||||
| Long-Term Investments: |
||||||||||||||||
| Common Stocks: |
||||||||||||||||
| Beverages |
$ | 454,215 | $ | — | $ | — | $ | 454,215 | ||||||||
| Biotechnology |
30,093 | — | — | 30,093 | ||||||||||||
| Chemicals |
2,879,774 | 4,388,118 | — | 7,267,892 | ||||||||||||
| Containers & Packaging |
1,227,412 | — | — | 1,227,412 | ||||||||||||
| Energy Equipment & Services |
535,295 | — | — | 535,295 | ||||||||||||
| Food & Staples Retailing |
3,526,443 | 684,689 | — | 4,211,132 | ||||||||||||
| Food Products |
6,867,889 | 4,256,961 | — | 11,124,850 | ||||||||||||
| Internet & Direct Marketing Retail |
— | 1,442,258 | — | 1,442,258 | ||||||||||||
| Machinery |
616,360 | 685,822 | — | 1,302,182 | ||||||||||||
| Metals & Mining |
14,593,037 | 11,547,379 | — | 26,140,416 | ||||||||||||
| Oil, Gas & Consumable Fuels |
7,664,322 | 5,169,996 | — | 12,834,318 | ||||||||||||
| Personal Products |
1,417,179 | — | — | 1,417,179 | ||||||||||||
| Specialty Retail |
1,269,701 | — | — | 1,269,701 | ||||||||||||
| Short Term Securities: |
||||||||||||||||
| Money Market Funds |
2,571,252 | — | — | 2,571,252 | ||||||||||||
| U.S. Treasury Obligations |
— | 62,984,348 | — | 62,984,348 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Subtotal |
$ | 43,652,972 | $ | 91,159,571 | $ | — | $ | 134,812,543 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investments Valued at NAV(a) |
5,096,845 | |||||||||||||||
|
|
|
|||||||||||||||
| Total Investments |
$ | 139,909,388 | ||||||||||||||
|
|
|
|||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Derivative Financial Instruments(b) |
||||||||||||||||
| Assets: |
||||||||||||||||
| Commodity contracts |
$ | — | $ | 610,944 | $ | — | $ | 610,944 | ||||||||
| Liabilities: |
||||||||||||||||
| Commodity contracts |
— | (6,531,249 | ) | — | (6,531,249 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | — | $ | (5,920,305 | ) | $ | — | $ | (5,920,305 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
| (b) | Derivative financial instruments are swaps. Swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
| 5 |