NPORT-EX 2 BRFCST0BRCommdtyStratFd.htm HTML

Consolidated Schedule of Investments (unaudited)

February 28, 2021

   

BlackRock Commodity Strategies Fund

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

 

Biotechnology — 0.1%  

Hofseth BioCare ASA(a)

    687,759     $ 661,536  
   

 

 

  
Capital Markets — 0.1%  

Agronomics Ltd.(a)

    2,715,916       650,816  
   

 

 

  
Chemicals — 3.2%  

CF Industries Holdings, Inc.

     60,099       2,721,283  

FMC Corp.

     34,109       3,468,544  

Koninklijke DSM NV

     19,335       3,188,063  

Nutrien Ltd.

     47,958       2,587,813  

Robertet SA

     2,020       2,332,430  

Symrise AG

     22,007       2,570,899  
   

 

 

  
      16,869,032  
Commercial Services & Supplies — 0.2%  

Farmers Edge, Inc.(a)

    56,046       748,689  
   

 

 

  
Consumer Finance — 0.2%  

Natural Order Acquisition Corp.(a)

    97,269       1,051,478  
   

 

 

  
Containers & Packaging — 0.3%  

Westrock Co.

     36,712       1,600,276  
   

 

 

  
Energy Equipment & Services — 0.5%  

Baker Hughes Co.

     66,483       1,627,504  

Schlumberger NV

     27,696       772,995  
   

 

 

  
      2,400,499  
Food & Staples Retailing — 1.3%  

Costco Wholesale Corp.

     6,014       1,990,634  

Grocery Outlet Holding Corp.(a)(b)

    67,450       2,427,526  

Total Produce PLC

     956,659       2,399,926  
   

 

 

  
      6,818,086  
Food Products — 4.4%  

Bunge Ltd.

     31,347       2,400,553  

Calavo Growers, Inc.

     21,156       1,591,989  

China Mengniu Dairy Co. Ltd.

     210,000       1,147,547  

Corbion NV

     20,410       1,162,884  

Cranswick PLC

     23,174       1,103,426  

Darling Ingredients, Inc.(a)

    46,031       2,901,794  

Freshpet, Inc.(a)

    7,823       1,219,449  

Greencore Group PLC(a)

    417,305       885,021  

Gruma SAB de CV, Class B

     151,478       1,650,829  

Kerry Group PLC, Class A

     23,179       2,788,937  

Laird Superfood, Inc.(a)(b)

    15,132       597,260  

Maple Leaf Foods, Inc.

     102,417       2,123,024  

Nestlé SA, Registered Shares

     22,101       2,306,652  

Salmar ASA

     20,325       1,333,011  
   

 

 

  
      23,212,376  
Hotels, Restaurants & Leisure — 0.3%  

Restaurant Brands International, Inc.

     26,122       1,565,230  
   

 

 

  
Industrial Conglomerates — 0.3%  

Raven Industries, Inc.

     40,538       1,589,090  
   

 

 

  
Internet & Direct Marketing Retail — 1.5%  

Delivery Hero SE(a)(c)

    11,022       1,408,386  

HelloFresh SE(a)

    25,537       1,984,101  

Meituan, Class B(a)(c)

    22,700       1,019,558  

Moonpig Group PLC(a)

    128,113       803,192  

Ocado Group PLC(a)

    40,819       1,254,100  

THG PLC(a)

    160,087       1,579,075  
   

 

 

  
      8,048,412  
Security   Shares     Value  
Machinery — 1.6%  

Ag Growth International, Inc.

     67,816     $ 2,090,541  

Deere & Co.

     11,233       3,921,665  

Hydrofarm Holdings Group, Inc.(a)(b)

    2,552       162,001  

Marel HF(c)

    345,769       2,411,344  
   

 

 

  
      8,585,551  
Metals & Mining — 15.2%  

Agnico Eagle Mines Ltd.

     19,854       1,108,304  

Alamos Gold, Inc., Class A

     6,932       49,133  

Anglo American PLC

     129,410       5,021,236  

AngloGold Ashanti Ltd., ADR

     9,128       182,195  

ArcelorMittal SA(a)

    47,682       1,113,438  

B2Gold Corp.

     139,557       607,532  

Barrick Gold Corp.

     184,796       3,450,141  

Bellevue Gold Ltd.(a)

    89,475       48,990  

BHP Group PLC

     184,244       5,851,689  

BlueScope Steel Ltd.

     85,891       1,096,930  

Centamin PLC

     168,207       235,709  

Centerra Gold, Inc.

     44,750       434,278  

Deterra Royalties Ltd.(a)

    54,538       190,907  

Dundee Precious Metals, Inc.

     50,885       316,282  

Eldorado Gold Corp.(a)

    13,729       143,880  

Endeavour Mining Corp.

     41,347       796,334  

Equinox Gold Corp.(a)

    29,828       247,043  

ERO Copper Corp.(a)

    26,686       470,769  

Evolution Mining Ltd.

     119,412       382,072  

First Quantum Minerals Ltd.

     141,429       3,048,403  

Fortescue Metals Group Ltd.

     116,822       2,157,488  

Franco-Nevada Corp.

     12,168       1,302,854  

Freeport-McMoRan, Inc.

     156,966       5,322,717  

Glencore PLC(a)

    831,563       3,384,130  

Gold Fields Ltd., ADR

     127,626       1,045,257  

Great Bear Resources Ltd.(a)

    2,798       31,331  

IGO Ltd.

     10,351       55,830  

Iluka Resources Ltd.

     54,538       311,412  

Impala Platinum Holdings Ltd.

     113,037       1,832,819  

Ivanhoe Mines Ltd., Class A(a)

    216,032       1,332,588  

Kinross Gold Corp.

     232,065       1,442,428  

Kirkland Lake Gold Ltd.

     35,581       1,163,666  

Lundin Gold, Inc.(a)

    8,058       64,965  

Lundin Mining Corp.

     108,925       1,247,082  

Lynas Rare Earths Ltd.(a)

    168,220       775,467  

Metro Mining Ltd.(a)

    268,278       12,592  

MMC Norilsk Nickel PJSC, ADR

     21,097       664,829  

Nevada Copper Corp.(a)(b)

    349,716       52,213  

Newcrest Mining Ltd.

     34,387       646,193  

Newmont Corp.

     94,195       5,122,324  

Nickel Mines Ltd.

     657,623       704,957  

Northam Platinum Ltd.(a)

    55,909       816,985  

Northern Star Resources Ltd.

     249,029       1,928,886  

OceanaGold Corp.(a)

    5,706       8,250  

Osisko Gold Royalties Ltd.

     10,330       103,089  

OZ Minerals Ltd.

     69,892       1,195,409  

Pan American Silver Corp.

     7,564       249,763  

Polymetal International PLC

     59,457       1,175,338  

Polyus PJSC, GDR

     8,045       751,749  

Pretium Resources, Inc.(a)

    10,924       106,270  

Rio Tinto PLC

     60,130       5,211,283  

Sibanye Stillwater Ltd.

     486,237       2,235,629  

Sierra Metals, Inc.(a)

    1,942       5,112  

Sigma Lithium Resources Corp.(a)

    227,180       901,508  

Skeena Resources Ltd.(a)

    11,865       28,996  

Sociedad Minera Cerro Verde SAA(a)

    21,992       571,792  
 

 

 

  1

Consolidated Schedule of Investments (unaudited) (continued)

February 28, 2021

   

BlackRock Commodity Strategies Fund

(Percentages shown are based on Net Assets)

 

Security          Shares     Value  
Metals & Mining (continued)  

Solaris Resources, Inc.(a)

      4,632     $ 26,097  

Solaris Resources, Inc. (Acquired 12/24/20, cost $105,510)(a)(d)

      26,000       143,905  

SolGold PLC(a)

      686,636       205,674  

SSR Mining, Inc.(a)

      10,020       142,277  

SSR Mining, Inc.(a)

      23,578       334,572  

Steel Dynamics, Inc.

       30,720       1,277,338  

Stelco Holdings, Inc.

       15,175       294,056  

Teck Resources Ltd., Class B

       74,197       1,545,042  

Titan Mining Corp.(a)

      159,796       90,408  

Titan Mining Corp.

       20,773       11,753  

Torex Gold Resources, Inc.(a)

      29,582       358,443  

Vale SA, ADR

       283,558       4,792,130  

Wheaton Precious Metals Corp.

       38,507       1,377,368  
     

 

 

  
        79,357,529  
Oil, Gas & Consumable Fuels — 17.3%  

Aker BP ASA

       61,698       1,606,392  

BP PLC

       971,541       3,978,973  

Cairn Energy PLC

       335,377       894,123  

Canadian Natural Resources Ltd.

       93,774       2,557,674  

Chevron Corp.

       130,834       13,083,400  

CNOOC Ltd.

       488,000       585,388  

ConocoPhillips

       124,815       6,491,628  

EOG Resources, Inc.

       17,628       1,138,064  

Equinor ASA

       118,209       2,241,762  

Exxon Mobil Corp.

       126,113       6,856,764  

Galp Energia SGPS SA

       64,936       725,883  

Hess Corp.

       41,152       2,696,690  

Kinder Morgan, Inc.

       161,265       2,370,595  

Kosmos Energy Ltd.

       361,425       1,113,189  

LUKOIL PJSC, ADR

       11,418       850,771  

Marathon Petroleum Corp.

       57,448       3,137,810  

Oil Search Ltd.

       244,776       794,565  

Petroleo Brasileiro SA, ADR

       195,173       1,547,722  

Pioneer Natural Resources Co.

       23,270       3,457,224  

Royal Dutch Shell PLC, B Shares

       572,159       11,216,225  

Santos Ltd.

       241,602       1,338,536  

Suncor Energy, Inc.

       178,290       3,540,302  

TC Energy Corp.

       77,428       3,242,898  

TOTAL SE

       182,834       8,525,572  

Valero Energy Corp.

       47,116       3,626,990  

Williams Cos., Inc.

       120,883       2,760,968  
     

 

 

  
        90,380,108  
Personal Products — 1.0%  

BellRing Brands, Inc., Class A(a)

      101,852       2,314,077  

Jamieson Wellness, Inc.(c)

      103,058       2,801,986  
     

 

 

  
        5,116,063  
Specialty Retail — 0.4%  

Tractor Supply Co.

       14,020       2,228,619  
     

 

 

  

Total Common Stocks — 47.9%
(Cost: $208,037,137)

 

     250,883,390  
   

 

 

  
            Par
(000)		         
Other Interests(e)  

Flow Water, Inc., 0.00%

     CAD       1,550       2,010,279  
     

 

 

  

Total Other Interests — 0.4%
(Cost: $2,010,279)

         2,010,279  
     

 

 

  
Security          Shares     Value  

Preferred Securities

 

Preferred Stocks — 0.2%  
Consumer Finance — 0.2%  

2MX Organic SA(a)

      79,290     $ 994,940  
     

 

 

  

Total Preferred Securities — 0.2%
(Cost: $1,002,721)

 

     994,940  
     

 

 

  
Warrants(a)                  
Consumer Finance — 0.0%  

Natural Order Acquisition Corp. (Issued/Exercisable, 1 Share for 1 Warrant, Expires 09/15/25, Strike Price USD 11.50)

       95,486       149,913  
     

 

 

  
Metals & Mining — 0.0%  

Solaris Resources, Inc. (Issued/Exercisable, 1 Share for 1 Warrant, Expires 12/30/22, Strike Price CAD 6.75) (Acquired 12/24/20, cost $1)(d)(f)

      13,000       2,999  

Titan Mining Corp. (Issued/Exercisable, 1 Share for 1 Warrant, Expires 09/23/23, Strike Price CAD 0.75)(f)

       10,387       —  
     

 

 

  
        2,999  
     

 

 

  

Total Warrants — 0.0%
(Cost: $144,206)

 

     152,912  
     

 

 

  

Total Long-Term Investments — 48.5%
(Cost: $211,194,343)

 

     254,041,521  
     

 

 

  

Short-Term Securities

 

Money Market Funds — 2.2%  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.01%(g)(h)

 

     10,795,985       10,795,985  

SL Liquidity Series, LLC, Money Market Series, 0.12%(g)(h)(i)

      849,926       850,266  
     

 

 

  
        11,646,251  
     

 

 

  
            Par
(000)		         
U.S. Treasury Obligations — 47.9%  

U.S. Treasury Bills

      

0.08%, 03/04/21(j)

    USD       38,000       37,999,913  

0.07%, 04/08/21(j)

      42,000       41,998,171  

0.07%, 05/06/21(j)

      42,000       41,997,177  

0.07%, 06/03/21(j)

      43,000       42,994,918  

0.07%, 07/08/21(j)

      43,000       42,993,066  

0.05%, 08/05/21(j)

      43,000       42,990,389  
     

 

 

  
        250,973,634  
     

 

 

  

Total Short-Term Securities — 50.1%
(Cost: $262,609,784)

 

     262,619,885  
     

 

 

  

Total Investments — 98.6%
(Cost: $473,804,127)

 

     516,661,406  

Other Assets Less Liabilities — 1.4%

 

     7,495,937  
     

 

 

  

Net Assets — 100.0%

 

   $   524,157,343  
     

 

 

  

 

(a) 

Non-income producing security.

(b) 

All or a portion of this 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) 

Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $146,904, representing 0.0% of its net assets as of period end, and an original cost of $105,511.

 

 

 

2  

Consolidated Schedule of Investments (unaudited) (continued)

February 28, 2021

   

BlackRock Commodity Strategies Fund

 

(e) 

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(f) 

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

(g) 

Affiliate of the Fund.

 

(h) 

Annualized 7-day yield as of period end.

(i) 

All or a portion of this security was purchased with the cash collateral from loaned securities.

(j) 

Rates are discount rates or a range of discount rates as of period end.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the period ended February 28, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
05/31/20		      Purchases
at Cost		      Proceeds
from Sale		      Net
Realized
Gain (Loss)		      Change in
Unrealized
Appreciation
(Depreciation)		      Value at
02/28/21		      Shares
Held at
02/28/21		      Income     

Capital

Gain
Distributions
from Underlying
Funds

  

BlackRock Liquidity Funds, T-Fund, Institutional Class

    $  4,663,663      $  6,132,322 (a)     $ —      $ —      $ —      $ 10,795,985        10,795,985      $ 1,522      $ —  

SL Liquidity Series, LLC, Money Market Series

      487,626        363,529(a)        —        (822 )       (67 )       850,266        849,926         6,324 (b)       —  
            $ (822 )     $ (67 )     $  11,646,251         $ 7,846      $ —  

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

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.

Derivative Financial Instruments Outstanding as of Period End

OTC Total Return Swaps

 

 

Paid by the Fund

  

Received by the Fund

     

 

     

 

    

Notional

     

 

     Upfront
Premium		     Unrealized  
Rate   Frequency   Reference   Frequency   Counterparty   Termination
Date		    

Amount

(000)

   Value     Paid
(Received)		     Appreciation
(Depreciation)		  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRENT   At Termination  

JPMorgan Chase Bank N.A.

     03/12/21     USD   1,675   $ 398,320     $ —     $ 398,320  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRINT   At Termination  

JPMorgan Chase Bank N.A.

     03/12/21     USD   2,395     1,084,211       —       1,084,211  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRLIT   At Termination  

JPMorgan Chase Bank N.A.

     03/12/21     USD   1,819     359,904       —       359,904  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRPRT   At Termination  

JPMorgan Chase Bank N.A.

     03/12/21     USD   9,114     1,497,512       —       1,497,512  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRAGT   At Termination  

JPMorgan Chase Bank N.A.

     03/12/21     USD   7,476     2,959,404       —       2,959,404  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRENT   At Termination  

JPMorgan Chase Bank N.A.

     04/30/21     USD   1,512     520,891       —       520,891  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRINT   At Termination  

JPMorgan Chase Bank N.A.

     04/30/21     USD   1,086     571,791       —       571,791  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

JPMorgan Chase Bank N.A.

     05/19/21     USD   998     331,627       —       331,627  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

JPMorgan Chase Bank N.A.

     05/27/21     USD   769     262,687       —       262,687  

 

 

  3

Consolidated Schedule of Investments (unaudited) (continued)

February 28, 2021

   

BlackRock Commodity Strategies Fund

 

OTC Total Return Swaps (continued)

 

Paid by the Fund

  

Received by the Fund

   Counterparty   Termination
Date		    

Notional

Amount
(000)

   Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  
Rate   Frequency   Reference   Frequency

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

JPMorgan Chase Bank N.A.

     05/28/21     USD   1,400   $ 473,943     $ —     $ 473,943  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRENT   At Termination  

JPMorgan Chase Bank N.A.

     06/01/21     USD   1,642     514,071       —       514,071  

3-month U.S. Treasury Bill, 0.04%

  At Termination   BCOMRST   At Termination  

JPMorgan Chase Bank N.A.

     06/03/21     USD   917     290,572       —       290,572  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

JPMorgan Chase Bank N.A.

     06/08/21     USD   1,622     489,622       —       489,622  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

JPMorgan Chase Bank N.A.

     06/22/21     USD   1,574     464,346       —       464,346  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMLITR   At Termination  

JPMorgan Chase Bank N.A.

     07/01/21     USD   951     200,788       —       200,788  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMENTR   At Termination  

JPMorgan Chase Bank N.A.

     07/01/21     USD   834     250,653       —       250,653  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMAGTR   At Termination  

JPMorgan Chase Bank N.A.

     07/01/21     USD   4,276     1,903,289       —       1,903,289  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRENT   At Termination  

JPMorgan Chase Bank N.A.

     07/01/21     USD   1,159     296,321       —       296,321  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMINTR   At Termination  

JPMorgan Chase Bank N.A.

     07/01/21     USD   2,112     837,519       —       837,519  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRINT   At Termination  

JPMorgan Chase Bank N.A.

     07/01/21     USD   288     112,624       —       112,624  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMPRTR   At Termination  

JPMorgan Chase Bank N.A.

     07/01/21     USD   3,942     157,058       —       157,058  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

JPMorgan Chase Bank N.A.

     07/12/21     USD   1,135     317,140       —       317,140  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

JPMorgan Chase Bank N.A.

     07/13/21     USD   1,099     310,060       —       310,060  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

Goldman Sachs International

     08/02/21     USD   503     111,848       —       111,848  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Goldman Sachs International

     08/06/21     USD   1,002     195,328       —       195,328  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Goldman Sachs International

     08/13/21     USD   1,228     249,886       —       249,886  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

Goldman Sachs International

     08/25/21     USD   1,026     183,671       —       183,671  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

Goldman Sachs International

     08/31/21     USD   2,080     333,904       —       333,904  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRENT   At Termination  

Goldman Sachs International

     09/01/21     USD   1,528     211,498       —       211,498  

 

 

4  

Consolidated Schedule of Investments (unaudited) (continued)

February 28, 2021

   

BlackRock Commodity Strategies Fund

 

OTC Total Return Swaps (continued)

 

Paid by the Fund

  

Received by the Fund

   Counterparty   Termination
Date		    

Notional

Amount
(000)

   Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  
Rate   Frequency   Reference   Frequency

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

Citibank N.A.

     09/03/21     USD   1,986   $ 335,014     $ —     $ 335,014  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRINT   At Termination  

JPMorgan Chase Bank N.A.

     09/24/21     USD   865     239,483       —       239,483  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRENT   At Termination  

JPMorgan Chase Bank N.A.

     09/24/21     USD   1,119     197,234       —       197,234  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRPRT   At Termination  

Goldman Sachs International

     09/30/21     USD   395     (20,519 )      —       (20,519 ) 

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

Citibank N.A.

     10/25/21     USD   1,366     209,895       —       209,895  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

Goldman Sachs International

     11/05/21     USD   1,008     156,328       —       156,328  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

Goldman Sachs International

     11/08/21     USD   997     158,254       —       158,254  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRENT   At Termination  

Goldman Sachs International

     11/09/21     USD   1,547     363,710       —       363,710  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRST   At Termination  

Morgan Stanley & Co. International PLC

     11/23/21     USD   1,000     141,034       —       141,034  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRAGT   At Termination  

Morgan Stanley & Co. International PLC

     12/01/21     USD   5,253     1,045,516       —       1,045,516  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRPRT   At Termination  

Morgan Stanley & Co. International PLC

     12/01/21     USD   1,083     (22,191 )      —       (22,191 ) 

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMRINT   At Termination  

Morgan Stanley & Co. International PLC

     12/01/21     USD   454     43,544       —       43,544  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Morgan Stanley & Co. International PLC

     12/09/21     USD   1,807     276,510       —       276,510  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Morgan Stanley & Co. International PLC

     12/23/21     USD   4,629     495,015       —       495,015  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMPRTR   At Termination  

Morgan Stanley & Co. International PLC

     01/05/22     USD   829     (84,284 )      —       (84,284 ) 

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMAGTR   At Termination  

Morgan Stanley & Co. International PLC

     01/05/22     USD   1,427     96,702       —       96,702  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMINTR   At Termination  

Morgan Stanley & Co. International PLC

     01/05/22     USD   634     40,127       —       40,127  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Morgan Stanley & Co. International PLC

     01/05/22     USD   2,288     140,597       —       140,597  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Morgan Stanley & Co. International PLC

     01/07/22     USD   2,101     129,647       —       129,647  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Morgan Stanley & Co. International PLC

     01/11/22     USD   1,996     145,129       —       145,129  

 

 

  5

Consolidated Schedule of Investments (unaudited) (continued)

February 28, 2021

   

BlackRock Commodity Strategies Fund

 

OTC Total Return Swaps (continued)

 

Paid by the Fund

  

Received by the Fund

   Counterparty   Termination
Date		    

Notional

Amount
(000)

   Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  
Rate   Frequency   Reference   Frequency

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Morgan Stanley & Co. International PLC

     01/18/22     USD   1,189   $ 71,118     $ —     $ 71,118  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Morgan Stanley & Co. International PLC

     01/19/22     USD   1,194     77,866       —       77,866  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Morgan Stanley & Co. International PLC

     01/20/22     USD   5,216     322,785       —       322,785  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Morgan Stanley & Co. International PLC

     01/21/22     USD   4,399     272,979       —       272,979  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Morgan Stanley & Co. International PLC

     01/24/22     USD   31,096     2,423,456       —       2,423,456  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     01/25/22     USD   8,087     536,091       —       536,091  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMENTR   At Termination  

Goldman Sachs International

     01/27/22     USD   1,866     240,723       —       240,723  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     01/31/22     USD   1,102     71,159       —       71,159  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMPRTR   At Termination  

Merrill Lynch International

     01/31/22     USD   1,823     (99,940 )      —       (99,940 ) 

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMLITR   At Termination  

Merrill Lynch International

     01/31/22     USD   1,046     34,932       —       34,932  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMENTR   At Termination  

Merrill Lynch International

     01/31/22     USD   2,272     349,571       —       349,571  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/01/22     USD   1,426     64,257       —       64,257  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/02/22     USD   1,992     98,221       —       98,221  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/03/22     USD   1,490     63,080       —       63,080  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMINTR   At Termination  

Goldman Sachs International

     02/04/22     USD   4,001     383,541       —       383,541  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMAGTR   At Termination  

Merrill Lynch International

     02/04/22     USD   8,068     287,802       —       287,802  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMENTR   At Termination  

Merrill Lynch International

     02/04/22     USD   7,515     453,645       —       453,645  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMLITR   At Termination  

Merrill Lynch International

     02/04/22     USD   1,773     20,380       —       20,380  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMPRTR   At Termination  

Merrill Lynch International

     02/04/22     USD   6,103     (153,801 )      —       (153,801 ) 

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/07/22     USD   6,740     229,077       —       229,077  

 

 

6  

Consolidated Schedule of Investments (unaudited) (continued)

February 28, 2021

   

BlackRock Commodity Strategies Fund

 

OTC Total Return Swaps (continued)

 

Paid by the Fund

  

Received by the Fund

   Counterparty   Termination
Date		    

Notional

Amount
(000)

   Value     Upfront
Premium
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  
Rate   Frequency   Reference   Frequency

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/08/22     USD   1,013   $ 20,996     $ —     $ 20,996  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMINTR   At Termination  

Goldman Sachs International

     02/08/22     USD   1,230     87,710       —       87,710  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMPRTR   At Termination  

Merrill Lynch International

     02/08/22     USD   787     (42,408 )      —       (42,408 ) 

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/09/22     USD   5,816     104,165       —       104,165  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/10/22     USD   2,144     44,731       —       44,731  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/11/22     USD   999     21,556       —       21,556  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMPRTR   At Termination  

Goldman Sachs International

     02/11/22     USD   993     (46,332 )      —       (46,332 ) 

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/14/22     USD   2,920     42,149       —       42,149  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/16/22     USD   2,327     6,174       —       6,174  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/17/22     USD   4,658     4,111       —       4,111  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Goldman Sachs International

     02/18/22     USD   2,281     1,023       —       1,023  

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/22/22     USD   2,582     (715 )      —       (715 ) 

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/22/22     USD   5,641     (92,609 )      —       (92,609 ) 

3-month U.S. TreasuryBill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/23/22     USD   1,998     (30,950 )      —       (30,950 ) 

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Citibank N.A.

     02/24/22     USD   1,416     (37,371 )      —       (37,371 ) 

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMPRTR   At Termination  

Goldman Sachs International

     02/24/22     USD   1,498     (63,006 )      —       (63,006 ) 

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Goldman Sachs International

     02/25/22     USD   1,791     (37,818 )      —       (37,818 ) 

3-month U.S. Treasury Bill, 0.04%

   At Termination   BCOMTR   At Termination  

Goldman Sachs International

     02/28/22     USD   2,937     —       —       —  
             

 

 

    

 

 

    

 

 

  
                $  25,705,581     $ —     $ 25,705,581  
             

 

 

    

 

 

    

 

 

  

 

 

  7

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2021

   

BlackRock Commodity Strategies Fund

 

Fair Value Hierarchy as of Period End

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

 

  •  

Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the 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); and

 

  •  

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 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 financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.

Certain investments of the Fund were fair valued using net asset value (“NAV”) per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

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

 

      Level 1        Level 2        Level 3        Total  

Assets

                  

Investments

                  

Long-Term Investments

                  

Common Stocks

                  

Biotechnology

    $ 661,536        $ —        $ —        $ 661,536  

Capital Markets

      650,816          —          —          650,816  

Chemicals

      11,110,070          5,758,962          —          16,869,032  

Commercial Services & Supplies

      —          748,689          —          748,689  

Consumer Finance

      1,051,478          —          —          1,051,478  

Containers & Packaging

      1,600,276          —          —          1,600,276  

Energy Equipment & Services

      2,400,499          —          —          2,400,499  

Food & Staples Retailing

      4,418,160          2,399,926          —          6,818,086  

Food Products

      12,484,898          10,727,478          —          23,212,376  

Hotels, Restaurants & Leisure

      1,565,230          —          —          1,565,230  

Industrial Conglomerates

      1,589,090          —          —          1,589,090  

Internet & Direct Marketing Retail

      2,382,267          5,666,145          —          8,048,412  

Machinery

      8,585,551          —          —          8,585,551  

Metals & Mining

      41,412,496          37,945,033          —          79,357,529  

Oil, Gas & Consumable Fuels

      57,621,918          32,758,190          —          90,380,108  

Personal Products

      5,116,063          —          —          5,116,063  

Specialty Retail

      2,228,619          —          —          2,228,619  

Other Interests

      —          2,010,279          —          2,010,279  

Preferred Securities

      994,940          —          —          994,940  

Warrants

      149,913          —          2,999          152,912  

Short-Term Securities

                  

Money Market Funds

      10,795,985          —          —          10,795,985  

U.S. Treasury Obligations

      —          250,973,634          —          250,973,634  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 166,819,805        $ 348,988,336        $ 2,999          515,811,140  
  

 

 

       

 

 

       

 

 

       

 

 

  

Investments Valued at NAV(a)

                    850,266  
                 

 

 

  
                  $ 516,661,406  
                 

 

 

  

Derivative Financial Instruments(b)

                 

Assets

                  

Commodity Contracts

    $ —        $ 26,437,525        $ —        $ 26,437,525  

 

 

8  

Consolidated Schedule of Investments  (unaudited) (continued)

February 28, 2021

   

BlackRock Commodity Strategies Fund

 

                Level 1        Level 2        Level 3        Total  

Liabilities

                       

Commodity Contracts

         $ —        $ (731,944 )       $ —        $ (731,944 ) 
       

 

 

       

 

 

       

 

 

       

 

 

  
        $ —        $   25,705,581        $ —        $   25,705,581  
       

 

 

       

 

 

       

 

 

       

 

 

  

 

  (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.

 

 

Currency Abbreviation
CAD    Canadian Dollar
USD    United States Dollar

 

Portfolio Abbreviation
ADR    American Depositary Receipt
BCOMAGTR    Bloomberg Agriculture SubindexSM
BCOMENTR    Bloomberg Select Energy Subindex Total ReturnSM
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 Return SM
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
BCOMTR    Bloomberg Commodity Index Total ReturnSM
GDR    Global Depositary Receipt
OTC    Over-the-Counter

 

 

  9