Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)
May 28 2024 - 2:19PM
Edgar (US Regulatory)
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Consolidated Schedule of Investments (unaudited)
March 31, 2024 |
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BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
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Security |
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Par (000) |
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Value |
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Asset-Backed Securities |
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Cayman Islands(a)(b) 1.6% |
|
ALM Ltd., Series 2020-1A, Class D, (3-mo. CME Term SOFR + 6.26%), 11.58%, 10/15/29 |
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USD |
|
|
|
325 |
|
|
$ |
325,429 |
|
Apidos CLO XXXVI, Series 2021-36A, Class B, (3-mo. CME Term SOFR
+ 1.86%), 7.18%, 07/20/34 |
|
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250 |
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|
250,203 |
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Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3-mo. CME Term
SOFR + 6.76%), 12.09%, 10/25/34 |
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250 |
|
|
|
249,975 |
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Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3-mo. CME Term SOFR + 3.51%), 8.83%, 07/15/31 |
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250 |
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246,775 |
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Birch Grove CLO Ltd. |
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|
|
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Series 19A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.94%,
06/15/31 |
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500 |
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499,064 |
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Series 2021-3A, Class D1,
(3-mo. CME Term SOFR + 3.46%), 8.77%, 01/19/35 |
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|
500 |
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|
498,478 |
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BlueMountain CLO Ltd., Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.44%), 6.76%, 10/22/30 |
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143 |
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143,163 |
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Carlyle U.S. CLO Ltd., Series 2018-4A, Class A2, (3-mo. CME Term SOFR + 2.06%), 7.38%, 01/20/31 |
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500 |
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499,250 |
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CarVal CLO VC Ltd. |
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Series 2021-2A, Class D,
(3-mo. CME Term SOFR + 3.51%), 8.83%, 10/15/34 |
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250 |
|
|
|
248,936 |
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Series 2021-2A, Class E,
(3-mo. CME Term SOFR + 7.01%), 12.33%, 10/15/34 |
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250 |
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|
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248,027 |
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Cedar Funding IX CLO Ltd., Series 2018-9A, Class D, (3-mo. CME Term SOFR + 2.86%), 8.18%, 04/20/31 |
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250 |
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249,185 |
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Cedar Funding XIV CLO Ltd. |
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Series 2021-14A, Class B,
(3-mo. CME Term SOFR + 1.86%), 7.18%, 07/15/33 |
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500 |
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497,715 |
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Series 2021-14A, Class E,
(3-mo. CME Term SOFR + 6.60%), 11.92%, 07/15/33 |
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250 |
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244,670 |
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CIFC Funding Ltd., Series 2013-1A, Class CR, (3-mo. CME Term
SOFR + 3.81%), 9.13%, 07/16/30 |
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500 |
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500,152 |
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Elmwood CLO I Ltd, Series 19-1A, Class 1RR, (3-mo. CME Term SOFR
+ 1.52%), 6.83%, 04/20/37 |
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250 |
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250,627 |
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Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3-mo. CME Term SOFR + 7.06%), 12.38%, 04/20/34 |
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750 |
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751,393 |
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Elmwood CLO IV Ltd., Series 2020-1A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.28%, 04/15/33 |
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500 |
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500,807 |
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Elmwood CLO VII Ltd., Series 2020-4A, Class SUB, 0.00%,
01/17/34 |
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1,000 |
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657,800 |
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Generate CLO Ltd., Series 6A, Class DR, (3-mo. CME Term SOFR
+ 3.76%), 9.08%, 01/22/35 |
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750 |
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741,474 |
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GoldenTree Loan Management U.S. CLO Ltd. |
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Series 2019-5A, Class BR,
(3-mo. CME Term SOFR + 1.81%), 7.13%, 10/20/32 |
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250 |
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250,184 |
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Series 2021-11A, Class E,
(3-mo. CME Term SOFR + 5.61%), 10.93%, 10/20/34 |
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1,500 |
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1,448,577 |
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Series 2021-9A, Class E,
(3-mo. CME Term SOFR + 5.01%), 10.33%, 01/20/33 |
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750 |
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724,956 |
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Golub Capital Partners CLO Ltd. |
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Series 2021-53A, Class E,
(3-mo. CME Term SOFR + 6.96%), 12.28%, 07/20/34 |
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250 |
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250,711 |
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Security |
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Par (000) |
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Value |
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Cayman Islands (continued) |
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Golub Capital Partners CLO Ltd. (continued) |
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Series 2021-55A, Class E,
(3-mo. CME Term SOFR + 6.82%), 12.14%, 07/20/34 |
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USD |
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250 |
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$ |
248,886 |
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Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.82%, 10/19/34 |
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500 |
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503,215 |
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Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3-mo. CME Term SOFR + 5.96%), 11.26%, 10/18/30 |
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250 |
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250,519 |
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Madison Park Funding XXXIV Ltd., Series 2019-34A, Class DR,
(3-mo. CME Term SOFR + 3.61%), 8.94%, 04/25/32 |
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250 |
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250,500 |
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Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class B,
(3-mo. CME Term SOFR + 1.91%), 7.23%, 07/17/34 |
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500 |
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500,314 |
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Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3-mo. CME Term SOFR + 3.91%), 9.23%, 01/22/35 |
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250 |
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249,239 |
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Myers Park CLO Ltd., Series 2018-1A, Class E, (3-mo. CME Term
SOFR + 5.76%), 11.08%, 10/20/30 |
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250 |
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249,805 |
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Neuberger Berman CLO XIV Ltd., Series 2012-14A, Class AR2, (3-mo. CME Term SOFR + 1.29%), 6.61%, 01/28/30 |
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181 |
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181,494 |
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Neuberger Berman Loan Advisers CLO Ltd., Series 2021- 46A, Class B,
(3-mo. CME Term SOFR + 1.91%), 7.23%, 01/20/36 |
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250 |
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250,277 |
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Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo. CME Term SOFR + 3.31%), 8.63%, 07/15/34 |
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1,500 |
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1,487,272 |
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OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.28%, 10/25/34 |
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250 |
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250,578 |
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OHA Loan Funding Ltd., Series 2013-2A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.62%, 05/23/31 |
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492 |
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492,215 |
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Palmer Square CLO Ltd. |
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Series 2013-2A, Class A2R3,
(3-mo. CME Term SOFR + 1.76%), 7.08%, 10/17/31 |
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250 |
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249,726 |
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Series 2020-3ARR, Class A2R2, (3-mo. CME Term SOFR +
2.30%), 7.61%, 11/15/36 |
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500 |
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500,999 |
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Palmer Square Loan Funding Ltd., Series 2021-4A, Class E, (3-mo. CME Term SOFR + 7.77%), 13.09%, 10/15/29 |
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500 |
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502,208 |
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Park Avenue Institutional Advisers CLO Ltd., Series 2021-2A,
Class D, (3-mo. CME Term SOFR + 3.66%), 8.98%, 07/15/34 |
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1,650 |
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1,620,403 |
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Pikes Peak CLO, Series 2021-11A, Class A1, (3-mo. CME Term SOFR + 1.95%), 7.27%, 07/25/34 |
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1,500 |
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1,509,373 |
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Rad CLO Ltd., Series 2021-15A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.78%, 01/20/34 |
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250 |
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247,397 |
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Regatta XVII Funding Ltd., Series 2020-1A, Class E, (3-mo. CME Term SOFR + 7.87%), 13.19%, 10/15/33 |
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250 |
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250,618 |
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Regatta XXIV Funding Ltd. |
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Series 2021-5A, Class D,
(3-mo. CME Term SOFR + 3.36%), 8.68%, 01/20/35 |
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250 |
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248,585 |
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Series 2021-5A, Class E,
(3-mo. CME Term SOFR + 7.06%), 12.38%, 01/20/35 |
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250 |
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248,857 |
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RR Ltd., Series 2024-28R, Class A1R, (3-mo. CME Term SOFR + 1.55%), 6.84%, 04/15/37 |
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500 |
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502,092 |
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C O N S O L I D
A T E D S C H E D U L E O F I
N V E S T M E N T S |
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1 |
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Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
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Security |
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Par (000) |
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Value |
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Cayman Islands (continued) |
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RRX Ltd., Series 2022-7A, Class D, (3-mo. CME Term SOFR + 6.85%), 12.17%, 07/15/35 |
|
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USD |
|
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|
250 |
|
|
$ |
254,067 |
|
Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.78%, 01/20/34 |
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|
750 |
|
|
|
741,856 |
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Stratus CLO Ltd. |
|
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|
|
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Series 2021-1A, Class E,
(3-mo. CME Term SOFR + 5.26%), 10.58%, 12/29/29 |
|
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1,250 |
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|
|
1,226,514 |
|
Series 2021-1A, Class SUB, 0.00%, 12/29/29 |
|
|
|
|
|
|
1,250 |
|
|
|
777,512 |
|
Series 2021-2A, Class E,
(3-mo. CME Term SOFR + 6.01%), 11.33%, 12/28/29 |
|
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|
|
|
|
300 |
|
|
|
300,017 |
|
Series 2021-3A, Class E,
(3-mo. CME Term SOFR + 6.01%), 11.33%, 12/29/29 |
|
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|
|
|
|
250 |
|
|
|
250,296 |
|
Symphony CLO XXIII Ltd., Series 2020-23A, Class ER, (3-mo. CME Term SOFR + 6.41%), 11.73%, 01/15/34 |
|
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|
|
|
|
500 |
|
|
|
501,073 |
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TICP CLO IX Ltd., Series 2017-9A, Class D, (3-mo. CME Term SOFR + 3.16%), 8.48%, 01/20/31 |
|
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|
|
|
|
250 |
|
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|
251,535 |
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TICP CLO XIV Ltd., Series 2019-14A, Class DR, (3-mo. CME Term SOFR + 6.96%), 12.28%, 10/20/32 |
|
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|
|
|
|
500 |
|
|
|
503,393 |
|
Trestles CLO V Ltd., Series 2021-5A, Class E, (3-mo. CME Term
SOFR + 6.61%), 11.93%, 10/20/34 |
|
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|
|
|
|
1,000 |
|
|
|
990,011 |
|
Trimaran CAVU Ltd. |
|
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|
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|
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Series 2019-1A, Class E,
(3-mo. CME Term SOFR + 7.30%), 12.62%, 07/20/32 |
|
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|
|
|
|
500 |
|
|
|
497,913 |
|
Series 2021-2A, Class D1,
(3-mo. CME Term SOFR + 3.51%), 8.84%, 10/25/34 |
|
|
|
|
|
|
550 |
|
|
|
543,572 |
|
Voya CLO Ltd., Series 2019-3A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/17/32 |
|
|
|
|
|
|
250 |
|
|
|
249,834 |
|
Whitebox CLO II Ltd., Series 2020-2A, Class ER, (3-mo. CME Term SOFR + 7.36%), 12.68%, 10/24/34 |
|
|
|
|
|
|
250 |
|
|
|
251,683 |
|
Whitebox CLO III Ltd. |
|
|
|
|
|
|
|
|
|
|
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Series 2021-3A, Class D,
(3-mo. CME Term SOFR + 3.61%), 8.93%, 10/15/34 |
|
|
|
|
|
|
1,000 |
|
|
|
992,475 |
|
Series 2021-3A, Class E,
(3-mo. CME Term SOFR + 7.11%), 12.43%, 10/15/34 |
|
|
|
|
|
|
1,250 |
|
|
|
1,254,989 |
|
|
|
|
|
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|
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|
|
|
|
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|
|
|
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|
|
|
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|
30,658,863 |
|
|
|
|
|
United States(b) 1.8% |
|
|
|
|
|
|
|
|
|
FirstKey Homes Trust, Series 2022-SFR1, Class E1, 5.00%, 05/19/39 |
|
|
|
|
|
|
3,000 |
|
|
|
2,885,710 |
|
Home Partners of America Trust |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2021-2, Class F, 3.80%, 12/17/26 |
|
|
|
|
|
|
2,404 |
|
|
|
2,149,015 |
|
Series 2021-3, Class F, 4.24%, 01/17/41 |
|
|
|
|
|
|
3,661 |
|
|
|
3,077,630 |
|
Mariner Finance Issuance Trust, Series 2021-BA, Class E, 4.68%,
11/20/36 |
|
|
|
|
|
|
470 |
|
|
|
395,401 |
|
Mill City Solar Loan Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2019-1A, Class C, 5.92%, 03/20/43 |
|
|
|
|
|
|
1,209 |
|
|
|
993,778 |
|
Series 2019-1A, Class D, 7.14%, 03/20/43 |
|
|
|
|
|
|
1,849 |
|
|
|
1,254,838 |
|
Mosaic Solar Loan Trust, Series 2018-2GS, Class C, 5.97%,
02/22/44 |
|
|
|
|
|
|
341 |
|
|
|
287,356 |
|
New Residential Mortgage Loan Trust, Series 2022-SFR1, Class F, 4.44%, 02/17/39 |
|
|
|
|
|
|
3,000 |
|
|
|
2,637,372 |
|
Progress Residential Trust |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2021-SFR10, Class F, 4.61%, 12/17/40 |
|
|
|
|
|
|
2,956 |
|
|
|
2,611,126 |
|
Series 2021-SFR11, Class G, 4.69%, 01/17/39 |
|
|
|
|
|
|
3,000 |
|
|
|
2,587,189 |
|
Series 2021-SFR9, Class F, 4.05%, 11/17/40 |
|
|
|
|
|
|
2,400 |
|
|
|
2,075,276 |
|
Series 2022-SFR1, Class F, 4.88%, 02/17/41 |
|
|
|
|
|
|
2,000 |
|
|
|
1,756,757 |
|
Series 2022-SFR1, Class G, 5.52%, 02/17/41 |
|
|
|
|
|
|
2,000 |
|
|
|
1,709,474 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
United States (continued) |
|
Progress Residential Trust (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2022-SFR3, Class E1, 5.20%, 04/17/39 |
|
|
USD |
|
|
|
2,700 |
|
|
$ |
2,580,944 |
|
Republic Finance Issuance Trust |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2020-A, Class D, 7.00%, 11/20/30 |
|
|
|
|
|
|
600 |
|
|
|
576,654 |
|
Series 2021-A, Class D, 5.23%, 12/22/31 |
|
|
|
|
|
|
800 |
|
|
|
725,272 |
|
RMF Buyout Issuance Trust, Series 2021-HB1, Class M4, 4.70%,
11/25/31(a) |
|
|
|
|
|
|
3,500 |
|
|
|
2,977,459 |
|
Tricon Residential Trust |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2021-SFR1, Class F, 3.69%, 07/17/38 |
|
|
|
|
|
|
1,375 |
|
|
|
1,255,914 |
|
Series 2021-SFR1, Class G, 4.13%, 07/17/38 |
|
|
|
|
|
|
887 |
|
|
|
795,935 |
|
Series 2022-SFR1, Class E2, 5.74%, 04/17/39 |
|
|
|
|
|
|
1,200 |
|
|
|
1,158,296 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,491,396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities 3.4% (Cost: $70,508,599) |
|
|
|
65,150,259 |
|
|
|
|
|
|
|
|
|
|
|
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Shares |
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|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Canada 0.5% |
|
|
|
|
|
|
|
|
|
Cameco Corp. |
|
|
|
|
|
|
214,469 |
|
|
|
9,290,796 |
|
Enbridge, Inc. |
|
|
|
|
|
|
22,000 |
|
|
|
795,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,085,820 |
|
|
|
|
|
China 0.8% |
|
|
|
|
|
|
|
|
|
BYD Co. Ltd., Class H |
|
|
|
|
|
|
448,376 |
|
|
|
11,480,688 |
|
Contemporary Amperex Technology Co. Ltd., Class A |
|
|
|
|
|
|
128,000 |
|
|
|
3,330,513 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,811,201 |
|
|
|
|
|
Denmark 0.1% |
|
|
|
|
|
|
|
|
|
Novo Nordisk A/S, Class B |
|
|
|
|
|
|
7,685 |
|
|
|
985,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Finland 0.4% |
|
|
|
|
|
|
|
|
|
Neste OYJ |
|
|
|
|
|
|
281,730 |
|
|
|
7,639,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
France 2.8% |
|
|
|
|
|
|
|
|
|
Accor SA |
|
|
|
|
|
|
81,858 |
|
|
|
3,821,656 |
|
BNP Paribas SA |
|
|
|
|
|
|
87,264 |
|
|
|
6,212,750 |
|
Cie de Saint-Gobain SA |
|
|
|
|
|
|
228,168 |
|
|
|
17,708,963 |
|
EssilorLuxottica SA |
|
|
|
|
|
|
15,113 |
|
|
|
3,418,735 |
|
Hermes International SCA |
|
|
|
|
|
|
1,133 |
|
|
|
2,895,699 |
|
LVMH Moet Hennessy Louis Vuitton SE |
|
|
|
|
|
|
16,373 |
|
|
|
14,732,360 |
|
TotalEnergies SE |
|
|
|
|
|
|
38,467 |
|
|
|
2,646,121 |
|
TotalEnergies SE, ADR |
|
|
|
|
|
|
44,000 |
|
|
|
3,028,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,464,804 |
|
|
|
|
|
Germany 1.5% |
|
|
|
|
|
|
|
|
|
Adidas AG, Class N |
|
|
|
|
|
|
24,144 |
|
|
|
5,394,462 |
|
Bayerische Motoren Werke AG |
|
|
|
|
|
|
995 |
|
|
|
114,802 |
|
Mercedes-Benz Group AG, Class N |
|
|
|
|
|
|
184,109 |
|
|
|
14,661,874 |
|
Siemens AG, Class N, Registered Shares |
|
|
|
|
|
|
40,494 |
|
|
|
7,731,878 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,903,016 |
|
|
|
|
|
Hong Kong 0.2% |
|
|
|
|
|
|
|
|
|
AIA Group Ltd. |
|
|
|
|
|
|
464,200 |
|
|
|
3,122,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Israel 0.3% |
|
|
|
|
|
|
|
|
|
Nice Ltd., ADR (c)(d) |
|
|
|
|
|
|
22,760 |
|
|
|
5,931,711 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Italy 1.0% |
|
|
|
|
|
|
|
|
|
Ariston Holding NV |
|
|
|
|
|
|
450,912 |
|
|
|
2,532,057 |
|
2
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
|
|
Italy (continued) |
|
|
|
|
|
|
Intesa Sanpaolo SpA |
|
|
2,922,891 |
|
|
$ |
10,611,655 |
|
UniCredit SpA |
|
|
175,605 |
|
|
|
6,669,352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,813,064 |
|
|
|
|
Japan 2.8% |
|
|
|
|
|
|
Daikin Industries Ltd. |
|
|
34,100 |
|
|
|
4,656,036 |
|
FANUC Corp. |
|
|
201,100 |
|
|
|
5,609,979 |
|
Honda Motor Co. Ltd. |
|
|
496,000 |
|
|
|
6,137,349 |
|
Japan Airlines Co. Ltd. |
|
|
290,200 |
|
|
|
5,510,232 |
|
Keyence Corp. |
|
|
17,500 |
|
|
|
8,124,564 |
|
Komatsu Ltd. |
|
|
302,700 |
|
|
|
8,957,126 |
|
Mitsubishi UFJ Financial Group, Inc. |
|
|
300,200 |
|
|
|
3,054,263 |
|
Sysmex Corp. |
|
|
232,500 |
|
|
|
4,148,937 |
|
Toyota Motor Corp. |
|
|
320,000 |
|
|
|
8,087,985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,286,471 |
|
|
|
|
Netherlands 1.6% |
|
|
|
|
|
|
ASML Holding NV |
|
|
32,037 |
|
|
|
31,058,622 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Norway 0.0% |
|
|
|
|
|
|
Equinor ASA, ADR |
|
|
24,000 |
|
|
|
648,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
South Korea 0.5% |
|
|
|
|
|
|
Samsung SDI Co. Ltd. |
|
|
11,213 |
|
|
|
3,976,734 |
|
SK Hynix, Inc. |
|
|
42,401 |
|
|
|
5,763,701 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,740,435 |
|
|
|
|
Spain 0.4% |
|
|
|
|
|
|
Cellnex Telecom SA (b) |
|
|
232,687 |
|
|
|
8,231,233 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Sweden 0.2% |
|
|
|
|
|
|
Volta Trucks, Series C, (Acquired 02/22/22, Cost: $293,944) (c)(e)(f) |
|
|
2,492 |
|
|
|
|
|
Volvo AB, Class B |
|
|
125,246 |
|
|
|
3,394,348 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,394,348 |
|
|
|
|
Switzerland 0.7% |
|
|
|
|
|
|
UBS Group AG, Registered Shares |
|
|
427,531 |
|
|
|
13,164,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Taiwan 0.8% |
|
|
|
|
|
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR |
|
|
114,856 |
|
|
|
15,626,159 |
|
|
|
|
|
|
|
|
|
|
|
|
|
United Kingdom 1.6% |
|
|
|
|
|
|
AstraZeneca PLC |
|
|
4,000 |
|
|
|
537,375 |
|
AstraZeneca PLC, ADR |
|
|
147,038 |
|
|
|
9,961,825 |
|
Compass Group PLC |
|
|
75,759 |
|
|
|
2,222,211 |
|
RELX PLC |
|
|
221,926 |
|
|
|
9,570,653 |
|
Teya Services Ltd., (Acquired 11/16/21, Cost: $1,099,370) (c)(e)(f) |
|
|
566 |
|
|
|
256,624 |
|
Unilever PLC |
|
|
172,351 |
|
|
|
8,652,331 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,201,019 |
|
|
|
|
United States 42.7% |
|
|
|
|
|
|
Abbott Laboratories (g) |
|
|
41,918 |
|
|
|
4,764,400 |
|
AbbVie, Inc. |
|
|
24,409 |
|
|
|
4,444,880 |
|
Adobe, Inc. (c) |
|
|
23,935 |
|
|
|
12,077,601 |
|
Advanced Micro Devices, Inc. (c) |
|
|
57,310 |
|
|
|
10,343,882 |
|
Alphabet, Inc., Class C (c) |
|
|
164,692 |
|
|
|
25,076,004 |
|
Amazon.com, Inc. (c) |
|
|
109,518 |
|
|
|
19,754,857 |
|
American Tower Corp. (g) |
|
|
83,710 |
|
|
|
16,540,259 |
|
Amkor Technology, Inc. |
|
|
1,785 |
|
|
|
57,548 |
|
Apple, Inc. |
|
|
74,867 |
|
|
|
12,838,193 |
|
Applied Materials, Inc. |
|
|
122,387 |
|
|
|
25,239,871 |
|
Boston Scientific Corp. (c) |
|
|
445,580 |
|
|
|
30,517,774 |
|
Bunge Global SA |
|
|
47,047 |
|
|
|
4,823,259 |
|
Cadence Design Systems, Inc. (c) |
|
|
27,770 |
|
|
|
8,644,246 |
|
Cencora, Inc. |
|
|
9,469 |
|
|
|
2,300,872 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
|
|
United States (continued) |
|
|
|
|
|
|
CF Industries Holdings, Inc. |
|
|
77,002 |
|
|
$ |
6,407,336 |
|
Chubb Ltd. |
|
|
4,000 |
|
|
|
1,036,520 |
|
Comcast Corp., Class A |
|
|
129,963 |
|
|
|
5,633,896 |
|
Confluent, Inc., Class A (c) |
|
|
206,863 |
|
|
|
6,313,459 |
|
Costco Wholesale Corp. |
|
|
13,315 |
|
|
|
9,754,969 |
|
CRH PLC |
|
|
115,333 |
|
|
|
9,954,388 |
|
Crowdstrike Holdings, Inc., Class A (c) |
|
|
849 |
|
|
|
272,181 |
|
Danaher Corp. |
|
|
11,338 |
|
|
|
2,831,325 |
|
Deckers Outdoor Corp. (c) |
|
|
277 |
|
|
|
260,729 |
|
Delta Air Lines, Inc. |
|
|
134,100 |
|
|
|
6,419,367 |
|
Dexcom, Inc. (c) |
|
|
33,634 |
|
|
|
4,665,036 |
|
Dynatrace, Inc. (c) |
|
|
8,600 |
|
|
|
399,384 |
|
Eli Lilly & Co. |
|
|
49,001 |
|
|
|
38,120,818 |
|
Ford Motor Co. |
|
|
28,873 |
|
|
|
383,434 |
|
Fortive Corp. |
|
|
54,170 |
|
|
|
4,659,703 |
|
Freewire Equity (c)(e) |
|
|
63 |
|
|
|
255,780 |
|
General Motors Co. |
|
|
9,924 |
|
|
|
450,053 |
|
Goldman Sachs Group, Inc. |
|
|
14,271 |
|
|
|
5,960,854 |
|
Hilton Worldwide Holdings, Inc. |
|
|
15,713 |
|
|
|
3,351,740 |
|
HNG Hospitality Offshore LP, (Acquired 02/16/24, Cost: $2,660,000) (c)(e)(f) |
|
|
2,660,000 |
|
|
|
2,660,000 |
|
Humana, Inc. |
|
|
17,195 |
|
|
|
5,961,850 |
|
Informatica, Inc., Class A (c) |
|
|
25,707 |
|
|
|
899,745 |
|
Ingersoll Rand, Inc. |
|
|
125,308 |
|
|
|
11,897,995 |
|
Intel Corp. |
|
|
15,071 |
|
|
|
665,686 |
|
Intuit, Inc. |
|
|
9,539 |
|
|
|
6,200,350 |
|
Intuitive Surgical, Inc. (c) |
|
|
51,844 |
|
|
|
20,690,422 |
|
Invesco S&P 500 Equal Weight ETF |
|
|
19,501 |
|
|
|
3,302,884 |
|
Johnson Controls International PLC |
|
|
81,791 |
|
|
|
5,342,588 |
|
JPMorgan Chase & Co. |
|
|
90,369 |
|
|
|
18,100,911 |
|
Lam Research Corp. |
|
|
1,050 |
|
|
|
1,020,149 |
|
Landsea Homes Corp. (c) |
|
|
43,028 |
|
|
|
625,197 |
|
Linde PLC |
|
|
16,438 |
|
|
|
7,632,492 |
|
Lions Gate Entertainment Corp., Class A (c)
|
|
|
18,500 |
|
|
|
184,075 |
|
Lions Gate Entertainment Corp., Class B (c)
|
|
|
1,391 |
|
|
|
12,950 |
|
LKQ Corp. |
|
|
260,232 |
|
|
|
13,898,991 |
|
LPL Financial Holdings, Inc. |
|
|
45,232 |
|
|
|
11,950,294 |
|
M/I Homes, Inc. (c) |
|
|
4,220 |
|
|
|
575,144 |
|
Marsh & McLennan Cos., Inc. |
|
|
161,931 |
|
|
|
33,354,547 |
|
Mastercard, Inc., Class A |
|
|
81,043 |
|
|
|
39,027,878 |
|
McDonalds Corp. |
|
|
3,598 |
|
|
|
1,014,456 |
|
McKesson Corp. |
|
|
4,870 |
|
|
|
2,614,460 |
|
Merck & Co., Inc. |
|
|
176,482 |
|
|
|
23,286,800 |
|
Meta Platforms, Inc., Class A |
|
|
9,526 |
|
|
|
4,625,635 |
|
Micron Technology, Inc. |
|
|
82,387 |
|
|
|
9,712,603 |
|
Microsoft Corp. (g) |
|
|
151,073 |
|
|
|
63,559,433 |
|
Mr. Cooper Group, Inc. (c) |
|
|
9,172 |
|
|
|
714,957 |
|
Nestle SA, Class N, Registered Shares |
|
|
65,173 |
|
|
|
6,924,629 |
|
NextEra Energy, Inc. (g) |
|
|
206,914 |
|
|
|
13,223,874 |
|
NVIDIA Corp. |
|
|
50,728 |
|
|
|
45,835,792 |
|
Oracle Corp. |
|
|
112,638 |
|
|
|
14,148,459 |
|
Palo Alto Networks, Inc. (c) |
|
|
22,970 |
|
|
|
6,526,466 |
|
PNC Financial Services Group, Inc. |
|
|
12,727 |
|
|
|
2,056,683 |
|
Progressive Corp. |
|
|
56,614 |
|
|
|
11,708,908 |
|
RXO, Inc. (c) |
|
|
5,166 |
|
|
|
112,980 |
|
Salesforce, Inc. |
|
|
94,929 |
|
|
|
28,590,716 |
|
Sanofi SA |
|
|
48,172 |
|
|
|
4,686,385 |
|
Schlumberger NV |
|
|
31,346 |
|
|
|
1,718,074 |
|
Schneider Electric SE |
|
|
60,975 |
|
|
|
13,785,008 |
|
Screaming Eagle Acquisition Corp., Class A (c)
|
|
|
29,949 |
|
|
|
320,454 |
|
ServiceNow, Inc. (c)(g) |
|
|
7,883 |
|
|
|
6,009,999 |
|
Smith Douglas Homes Corp., Class A (c) |
|
|
27,051 |
|
|
|
803,415 |
|
|
|
|
C O N S O L I D
A T E D S C H E D U L E O F I
N V E S T M E N T S |
|
3 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Shares |
|
|
Value |
|
|
|
|
|
United States (continued) |
|
|
|
|
|
|
|
|
|
SPDR S&P Biotech ETF (d) |
|
|
|
|
|
|
40,000 |
|
|
$ |
3,795,600 |
|
Thermo Fisher Scientific, Inc. (g) |
|
|
|
|
|
|
41,334 |
|
|
|
24,023,734 |
|
United Parcel Service, Inc., Class B |
|
|
|
|
|
|
22,163 |
|
|
|
3,294,087 |
|
UnitedHealth Group, Inc. |
|
|
|
|
|
|
32,002 |
|
|
|
15,831,389 |
|
Veralto Corp. |
|
|
|
|
|
|
94,779 |
|
|
|
8,403,106 |
|
Vertex Pharmaceuticals, Inc. (c) |
|
|
|
|
|
|
3,804 |
|
|
|
1,590,110 |
|
Visa, Inc., Class A |
|
|
|
|
|
|
22,505 |
|
|
|
6,280,695 |
|
Volato Group, Inc., Class A Lock Up, (Acquired 12/03/23, Cost: $83) (c)(e)(f) |
|
|
|
|
|
|
16,564 |
|
|
|
46,379 |
|
Walmart, Inc. |
|
|
|
|
|
|
192,969 |
|
|
|
11,610,945 |
|
Walt Disney Co. |
|
|
|
|
|
|
121,901 |
|
|
|
14,915,806 |
|
Zoetis, Inc., Class A |
|
|
|
|
|
|
17,451 |
|
|
|
2,952,884 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
823,283,687 |
|
|
|
|
|
Zambia 0.0% |
|
|
|
|
|
|
|
|
|
First Quantum Minerals Ltd. |
|
|
|
|
|
|
15,992 |
|
|
|
171,897 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks 58.9% (Cost: $908,826,732) |
|
|
|
1,135,563,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par (000) |
|
|
|
|
|
Corporate Bonds |
|
|
|
|
|
Australia(e) 0.3% |
|
|
|
|
|
|
|
|
|
Oceana Australian Fixed Income Trust, A Note Upsize 12.00%, 07/31/25 |
|
|
AUD |
|
|
|
1,682 |
|
|
|
1,098,158 |
|
12.50%, 07/31/26 |
|
|
|
|
|
|
2,524 |
|
|
|
1,655,127 |
|
12.50%, 07/31/27 |
|
|
|
|
|
|
4,206 |
|
|
|
2,771,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,525,097 |
|
|
|
|
|
Belgium 0.0% |
|
|
|
|
|
|
|
|
|
Anheuser-Busch InBev SA, 4.00%, 09/24/25(h)
|
|
|
GBP |
|
|
|
100 |
|
|
|
124,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Canada 0.0% |
|
|
|
|
|
|
|
|
|
Mattamy Group Corp., 5.25%, 12/15/27(b) |
|
|
USD |
|
|
|
703 |
|
|
|
681,596 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
France(h) 0.0% |
|
|
|
|
|
|
|
|
|
BNP Paribas SA 3.38%, 01/23/26 |
|
|
GBP |
|
|
|
100 |
|
|
|
122,251 |
|
1.88%, 12/14/27 |
|
|
|
|
|
|
100 |
|
|
|
113,412 |
|
Societe Generale SA, 1.88%, 10/03/24 |
|
|
|
|
|
|
100 |
|
|
|
124,004 |
|
TotalEnergies Capital International SA, 1.66%, 07/22/26 |
|
|
|
|
|
|
100 |
|
|
|
118,297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
477,964 |
|
|
|
|
|
Germany 0.2% |
|
|
|
|
|
|
|
|
|
Adler Pelzer Holding GmbH, 9.50%, 04/01/27(b)
|
|
|
EUR |
|
|
|
1,668 |
|
|
|
1,825,168 |
|
Lanxess AG, (13.63% PIK), 13.63%, 03/31/31(e)(i)
|
|
|
|
|
|
|
2,778 |
|
|
|
2,809,705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,634,873 |
|
|
|
|
|
Hong Kong 0.3% |
|
|
|
|
|
|
|
|
|
FWD Group Holdings Ltd., 8.40%, 04/05/29(b)(j)
|
|
|
USD |
|
|
|
4,735 |
|
|
|
4,900,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Japan 0.1% |
|
|
|
|
|
|
|
|
|
Mizuho Financial Group, Inc., (1-year CMT + 1.25%),
3.26%, 05/22/30(a) |
|
|
|
|
|
|
2,040 |
|
|
|
1,862,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Netherlands 0.2% |
|
|
|
|
|
|
|
|
|
Cooperatieve Rabobank UA, (1-year UK Government Bond + 1.05%),
1.88%, 07/12/28(a)(h) |
|
|
GBP |
|
|
|
100 |
|
|
|
114,539 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
Netherlands (continued) |
|
|
|
|
|
|
|
|
|
ING Groep NV, 3.00%, 02/18/26(h) |
|
|
GBP |
|
|
|
100 |
|
|
$ |
121,492 |
|
Sigma Holdco BV, 5.75%, 05/15/26(h) |
|
|
EUR |
|
|
|
374 |
|
|
|
379,741 |
|
Trivium Packaging Finance BV, 5.50%, 08/15/26(b)
|
|
|
USD |
|
|
|
2,654 |
|
|
|
2,616,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,232,556 |
|
|
|
|
|
Spain(h) 0.0% |
|
|
|
|
|
|
|
|
|
Banco Santander SA, (1-year UK Government Bond + 1.80%),
3.13%, 10/06/26(a) |
|
|
GBP |
|
|
|
300 |
|
|
|
365,064 |
|
Telefonica Emisiones SA, 5.38%, 02/02/26 |
|
|
|
|
|
|
133 |
|
|
|
168,651 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
533,715 |
|
|
|
|
|
Sweden 0.0% |
|
|
|
|
|
|
|
|
|
Swedbank AB, (1-year UK Government Bond + 1.00%), 1.38%,
12/08/27(a)(h) |
|
|
|
|
|
|
100 |
|
|
|
114,381 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United Kingdom 0.1% |
|
|
|
|
|
|
|
|
|
Barclays PLC, 3.00%, 05/08/26(h) |
|
|
|
|
|
|
100 |
|
|
|
120,528 |
|
BG Energy Capital PLC, 5.13%, 12/01/25(h) |
|
|
|
|
|
|
133 |
|
|
|
168,147 |
|
Connect Finco SARL/Connect U.S. Finco LLC,
6.75%, 10/01/26(b) |
|
|
USD |
|
|
|
1,050 |
|
|
|
1,029,289 |
|
Deuce Finco PLC, 5.50%, 06/15/27(b) |
|
|
GBP |
|
|
|
337 |
|
|
|
402,419 |
|
HSBC Holdings PLC, (3-mo. LIBOR GBP + 1.31%),
1.75%, 07/24/27(a) |
|
|
|
|
|
|
100 |
|
|
|
116,458 |
|
Informa PLC, 3.13%, 07/05/26(h) |
|
|
|
|
|
|
100 |
|
|
|
120,476 |
|
Lloyds Banking Group PLC, 2.25%, 10/16/24(h)
|
|
|
|
|
|
|
100 |
|
|
|
123,986 |
|
NatWest Group PLC, (1-year GBP Swap + 1.49%), 2.88%, 09/19/26(a)(h) |
|
|
|
|
|
|
100 |
|
|
|
121,629 |
|
Santander U.K. Group Holdings PLC, 3.63%, 01/14/26(h)
|
|
|
|
|
|
|
100 |
|
|
|
122,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,325,502 |
|
|
|
|
|
United States 8.7% |
|
|
|
|
|
|
|
|
|
AbbVie, Inc. 3.20%, 11/21/29 |
|
|
USD |
|
|
|
2,810 |
|
|
|
2,589,407 |
|
5.05%, 03/15/34 |
|
|
|
|
|
|
1,569 |
|
|
|
1,588,447 |
|
Acadia Healthcare Co., Inc., 5.00%, 04/15/29(b)
|
|
|
|
|
|
|
2,176 |
|
|
|
2,067,630 |
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.63%, 01/15/27(b) |
|
|
|
|
|
|
431 |
|
|
|
417,119 |
|
Alexandria Real Estate Equities, Inc., 2.95%, 03/15/34 |
|
|
|
|
|
|
792 |
|
|
|
650,641 |
|
Allegiant Travel Co., 7.25%, 08/15/27(b) |
|
|
|
|
|
|
635 |
|
|
|
631,619 |
|
Amgen, Inc. 5.50%, 12/07/26(h) |
|
|
GBP |
|
|
|
100 |
|
|
|
128,386 |
|
2.45%, 02/21/30 |
|
|
USD |
|
|
|
2,080 |
|
|
|
1,818,818 |
|
3.00%, 01/15/52 |
|
|
|
|
|
|
2,590 |
|
|
|
1,753,837 |
|
2.77%, 09/01/53 |
|
|
|
|
|
|
2,025 |
|
|
|
1,254,073 |
|
Aon North America, Inc., 5.30%, 03/01/31 |
|
|
|
|
|
|
3,795 |
|
|
|
3,823,357 |
|
Ashton Woods USA LLC/Ashton Woods Finance Co., Series B, 4.63%, 08/01/29(b) |
|
|
|
|
|
|
1,996 |
|
|
|
1,841,137 |
|
AT&T, Inc. 2.90%, 12/04/26 |
|
|
GBP |
|
|
|
100 |
|
|
|
119,702 |
|
5.50%, 03/15/27(h) |
|
|
|
|
|
|
50 |
|
|
|
63,806 |
|
Bank of America Corp.(a) |
|
|
|
|
|
|
|
|
|
|
|
|
(1-day SOFR + 1.37%), 1.92%, 10/24/31 |
|
|
USD |
|
|
|
119 |
|
|
|
96,964 |
|
(1-day SOFR + 1.65%), 5.47%, 01/23/35 |
|
|
|
|
|
|
740 |
|
|
|
744,823 |
|
Broadcom, Inc.(b) 1.95%, 02/15/28 |
|
|
|
|
|
|
2,124 |
|
|
|
1,893,994 |
|
2.45%, 02/15/31 |
|
|
|
|
|
|
2,010 |
|
|
|
1,694,471 |
|
Calpine Corp., 4.50%, 02/15/28(b) |
|
|
|
|
|
|
860 |
|
|
|
815,687 |
|
CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, 06/01/29(b) |
|
|
|
|
|
|
1,245 |
|
|
|
1,139,733 |
|
Citigroup, Inc. 1.75%, 10/23/26 |
|
|
GBP |
|
|
|
100 |
|
|
|
116,560 |
|
4
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
United States (continued) |
|
|
|
|
|
|
|
|
|
Citigroup, Inc. (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
(1-day SOFR + 1.36%), 5.17%, 02/13/30(a) |
|
|
USD |
|
|
|
1,114 |
|
|
$ |
1,108,802 |
|
Cloud Software Group, Inc., 6.50%, 03/31/29(b)
|
|
|
|
|
|
|
2,073 |
|
|
|
1,967,197 |
|
Comcast Corp., 4.65%, 02/15/33 |
|
|
|
|
|
|
2,331 |
|
|
|
2,287,524 |
|
Commercial Metals Co., 4.38%, 03/15/32 |
|
|
|
|
|
|
1,987 |
|
|
|
1,790,343 |
|
Covanta Holding Corp., 4.88%, 12/01/29(b) |
|
|
|
|
|
|
2,623 |
|
|
|
2,350,865 |
|
CSC Holdings LLC(b) 5.38%, 02/01/28 |
|
|
|
|
|
|
1,294 |
|
|
|
1,112,999 |
|
7.50%, 04/01/28 |
|
|
|
|
|
|
1,264 |
|
|
|
852,001 |
|
Dana, Inc. 5.63%, 06/15/28 |
|
|
|
|
|
|
1,309 |
|
|
|
1,277,443 |
|
4.25%, 09/01/30 |
|
|
|
|
|
|
287 |
|
|
|
253,604 |
|
Dell International LLC/EMC Corp., 5.30%, 10/01/29 |
|
|
|
|
|
|
1,500 |
|
|
|
1,518,411 |
|
Duke Energy Florida LLC, 2.40%, 12/15/31 |
|
|
|
|
|
|
1,500 |
|
|
|
1,258,191 |
|
Elevance Health, Inc. 2.25%, 05/15/30 |
|
|
|
|
|
|
2,500 |
|
|
|
2,138,039 |
|
2.55%, 03/15/31 |
|
|
|
|
|
|
3,625 |
|
|
|
3,096,980 |
|
Equinix, Inc., 1.55%, 03/15/28 |
|
|
|
|
|
|
2,377 |
|
|
|
2,061,728 |
|
Flyr Convertible Notes, (8.00% PIK),
8.00%, 08/10/27(e)(i)(j) |
|
|
|
|
|
|
2,251 |
|
|
|
2,592,610 |
|
Flyr Secured Notes, (10.32% PIK), 10.32%, 05/10/27(e)(i)
|
|
|
|
|
|
|
1,062 |
|
|
|
1,010,086 |
|
Ford Motor Co. 3.25%, 02/12/32 |
|
|
|
|
|
|
1,888 |
|
|
|
1,570,449 |
|
6.10%, 08/19/32 |
|
|
|
|
|
|
2,250 |
|
|
|
2,279,959 |
|
Freed Corp., 12.00%, 11/30/28(e) |
|
|
|
|
|
|
4,337 |
|
|
|
4,266,741 |
|
Freewire Technology Notes, (6.00% PIK) , 6.00%, 02/20/28(e)(i)
|
|
|
|
|
|
|
3,639 |
|
|
|
2,624,482 |
|
Frontier Communications Holdings LLC(b) 8.75%,
05/15/30 |
|
|
|
|
|
|
1,250 |
|
|
|
1,279,028 |
|
8.63%, 03/15/31 |
|
|
|
|
|
|
395 |
|
|
|
403,425 |
|
Frontier Florida LLC, Series E, 6.86%, 02/01/28 |
|
|
|
|
|
|
500 |
|
|
|
485,128 |
|
Gen Digital, Inc., 6.75%, 09/30/27(b) |
|
|
|
|
|
|
1,394 |
|
|
|
1,413,962 |
|
Goldman Sachs Group, Inc. 7.25%, 04/10/28 |
|
|
GBP |
|
|
|
50 |
|
|
|
68,223 |
|
(1-day SOFR + 0.80%), 1.43%, 03/09/27(a) |
|
|
USD |
|
|
|
2,500 |
|
|
|
2,315,224 |
|
GoTo Group, Inc., 5.50%, 05/01/28(b) |
|
|
|
|
|
|
377 |
|
|
|
263,275 |
|
HCA, Inc., 5.88%, 02/01/29 |
|
|
|
|
|
|
2,605 |
|
|
|
2,663,452 |
|
Healthpeak OP LLC, 5.25%, 12/15/32 |
|
|
|
|
|
|
3,000 |
|
|
|
2,975,526 |
|
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc(b) 5.00%, 06/01/29 |
|
|
|
|
|
|
865 |
|
|
|
806,700 |
|
4.88%, 07/01/31 |
|
|
|
|
|
|
1,335 |
|
|
|
1,195,272 |
|
Insight M, Inc., 7.00%, 01/25/29(e) |
|
|
|
|
|
|
974 |
|
|
|
992,333 |
|
JPMorgan Chase & Co.(a) |
|
|
|
|
|
|
|
|
|
|
|
|
(1-day SOFR + 1.62%), 5.34%, 01/23/35 |
|
|
|
|
|
|
547 |
|
|
|
549,137 |
|
(3-mo. LIBOR GBP + 0.68%),
0.99%, 04/28/26(h) |
|
|
GBP |
|
|
|
100 |
|
|
|
120,688 |
|
KB Home, 4.80%, 11/15/29 |
|
|
USD |
|
|
|
2,081 |
|
|
|
1,986,194 |
|
Kraft Heinz Foods Co., 4.25%, 03/01/31 |
|
|
|
|
|
|
3,000 |
|
|
|
2,868,252 |
|
Landsea Homes Corp., 11.00%, 07/17/28(e) |
|
|
|
|
|
|
9,092 |
|
|
|
8,921,980 |
|
Lessen, Inc., 13.83%, 01/05/28(e) |
|
|
|
|
|
|
1,862 |
|
|
|
1,701,468 |
|
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(b)
|
|
|
|
|
|
|
1,171 |
|
|
|
895,858 |
|
Lowes Cos., Inc. 1.70%, 10/15/30 |
|
|
|
|
|
|
2,014 |
|
|
|
1,645,630 |
|
3.00%, 10/15/50 |
|
|
|
|
|
|
1,740 |
|
|
|
1,139,697 |
|
Marriott Ownership Resorts, Inc. 4.75%, 01/15/28 |
|
|
|
|
|
|
1,294 |
|
|
|
1,212,778 |
|
4.50%, 06/15/29(b) |
|
|
|
|
|
|
888 |
|
|
|
812,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
United States (continued) |
|
|
|
|
|
|
|
|
|
Mauser Packaging Solutions Holding Co.,
7.88%, 08/15/26(b) |
|
|
USD |
|
|
|
2,105 |
|
|
$ |
2,144,471 |
|
Medline Borrower LP, 3.88%, 04/01/29(b) |
|
|
|
|
|
|
1,641 |
|
|
|
1,493,649 |
|
Morgan Stanley(a) |
|
|
|
|
|
|
|
|
|
|
|
|
(1-day SOFR + 1.03%), 1.79%, 02/13/32 |
|
|
|
|
|
|
119 |
|
|
|
95,126 |
|
(1-day SOFR + 1.14%), 2.70%, 01/22/31 |
|
|
|
|
|
|
2,500 |
|
|
|
2,184,212 |
|
(1-day SOFR + 1.73%), 5.47%, 01/18/35 |
|
|
|
|
|
|
437 |
|
|
|
440,906 |
|
Nationstar Mortgage Holdings, Inc.(b) 6.00%,
01/15/27 |
|
|
|
|
|
|
168 |
|
|
|
165,617 |
|
5.50%, 08/15/28 |
|
|
|
|
|
|
1,440 |
|
|
|
1,378,197 |
|
5.13%, 12/15/30 |
|
|
|
|
|
|
721 |
|
|
|
654,150 |
|
5.75%, 11/15/31 |
|
|
|
|
|
|
340 |
|
|
|
313,599 |
|
NCR Atleos Corp., 9.50%, 04/01/29(b) |
|
|
|
|
|
|
295 |
|
|
|
315,535 |
|
Northern States Power Co., 2.90%, 03/01/50 |
|
|
|
|
|
|
1,225 |
|
|
|
815,463 |
|
NRG Energy, Inc., 3.38%, 02/15/29(b) |
|
|
|
|
|
|
1,391 |
|
|
|
1,235,801 |
|
Olympus Water U.S. Holding Corp.(b) 7.13%,
10/01/27 |
|
|
|
|
|
|
505 |
|
|
|
510,114 |
|
9.75%, 11/15/28 |
|
|
|
|
|
|
4,020 |
|
|
|
4,282,171 |
|
Oncor Electric Delivery Co. LLC, 2.75%, 05/15/30 |
|
|
|
|
|
|
2,025 |
|
|
|
1,797,455 |
|
Oracle Corp., 3.60%, 04/01/50 |
|
|
|
|
|
|
2,135 |
|
|
|
1,542,486 |
|
Paramount Global, 7.88%, 07/30/30 |
|
|
|
|
|
|
180 |
|
|
|
188,042 |
|
Pitney Bowes, Inc., 6.88%, 03/15/27(b) |
|
|
|
|
|
|
1,290 |
|
|
|
1,177,915 |
|
PNC Financial Services Group, Inc., (1-day SOFR Index + 1.09%),
4.76%, 01/26/27(a) |
|
|
|
|
|
|
2,427 |
|
|
|
2,404,298 |
|
Prologis LP, 2.25%, 01/15/32 |
|
|
|
|
|
|
119 |
|
|
|
98,143 |
|
Public Service Electric and Gas Co., 4.65%, 03/15/33 |
|
|
|
|
|
|
2,650 |
|
|
|
2,582,910 |
|
Rand Parent LLC, 8.50%, 02/15/30(b) |
|
|
|
|
|
|
500 |
|
|
|
495,130 |
|
Republic Services, Inc. 1.45%, 02/15/31 |
|
|
|
|
|
|
4,119 |
|
|
|
3,279,662 |
|
1.75%, 02/15/32 |
|
|
|
|
|
|
1,375 |
|
|
|
1,087,694 |
|
RingCentral, Inc., 8.50%, 08/15/30(b) |
|
|
|
|
|
|
365 |
|
|
|
379,503 |
|
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26(b) |
|
|
|
|
|
|
2,062 |
|
|
|
1,905,129 |
|
Sabre GLBL, Inc.(b) 8.63%, 06/01/27 |
|
|
|
|
|
|
140 |
|
|
|
122,853 |
|
11.25%, 12/15/27 |
|
|
|
|
|
|
900 |
|
|
|
844,658 |
|
Seagate HDD Cayman, 8.25%, 12/15/29(b) |
|
|
|
|
|
|
383 |
|
|
|
411,520 |
|
Sonder Secured Notes, (14.35% PIK),
14.35%, 01/19/27(a)(e)(i) |
|
|
|
|
|
|
5,477 |
|
|
|
4,833,663 |
|
Steel Dynamics, Inc., 3.45%, 04/15/30 |
|
|
|
|
|
|
3,060 |
|
|
|
2,807,229 |
|
Stem, Inc., 0.50%, 12/01/28(b)(k) |
|
|
|
|
|
|
275 |
|
|
|
134,048 |
|
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(b)
|
|
|
|
|
|
|
1,643 |
|
|
|
1,641,102 |
|
T-Mobile U.S., Inc. 3.75%, 04/15/27 |
|
|
|
|
|
|
2,750 |
|
|
|
2,648,544 |
|
3.38%, 04/15/29 |
|
|
|
|
|
|
3,930 |
|
|
|
3,634,584 |
|
3.40%, 10/15/52 |
|
|
|
|
|
|
1,360 |
|
|
|
964,640 |
|
Travel & Leisure Co., 4.63%, 03/01/30(b)
|
|
|
|
|
|
|
440 |
|
|
|
401,746 |
|
Truist Financial Corp., (1-day SOFR + 1.62%),
5.44%, 01/24/30(a) |
|
|
|
|
|
|
454 |
|
|
|
453,470 |
|
Uber Technologies, Inc., Series 2028,
0.88%, 12/01/28(b)(k) |
|
|
|
|
|
|
743 |
|
|
|
919,091 |
|
United Wholesale Mortgage LLC, 5.75%, 06/15/27(b)
|
|
|
|
|
|
|
1,346 |
|
|
|
1,308,680 |
|
UnitedHealth Group, Inc., 5.35%, 02/15/33 |
|
|
|
|
|
|
1,075 |
|
|
|
1,105,940 |
|
Verizon Communications, Inc., 1.13%, 11/03/28 |
|
|
GBP |
|
|
|
100 |
|
|
|
108,673 |
|
Viasat, Inc., 5.63%, 04/15/27(b) |
|
|
USD |
|
|
|
360 |
|
|
|
340,902 |
|
Westbay 4A2, 11.00%, 02/06/30(e) |
|
|
|
|
|
|
9,276 |
|
|
|
9,113,670 |
|
|
|
|
C O N S O L I D
A T E D S C H E D U L E O F I
N V E S T M E N T S |
|
5 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
United States (continued) |
|
|
|
|
|
|
|
|
|
Xerox Holdings Corp.(b) 5.00%, 08/15/25 |
|
|
USD |
|
|
|
96 |
|
|
$ |
94,727 |
|
8.88%, 11/30/29 |
|
|
|
|
|
|
104 |
|
|
|
105,951 |
|
Xylem, Inc./New York, 2.25%, 01/30/31 |
|
|
|
|
|
|
3,000 |
|
|
|
2,528,333 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
166,875,597 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds 9.9% (Cost: $193,749,930) |
|
|
|
191,288,544 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Rate Loan Interests |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States 0.2% |
|
|
|
|
|
|
|
|
|
AMF MF Portfolio, Term Loan, 6.67%, 11/01/28(e)
|
|
|
|
|
|
|
4,075 |
|
|
|
4,077,499 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Fixed Rate Loan Interests 0.2% (Cost: $4,025,995) |
|
|
|
4,077,499 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ireland 0.2% |
|
|
|
|
|
|
|
|
|
Promontoria Beech Designated Activity Co., EUR Term Loan, (1-mo.
EURIBOR + 3.75%), 7.61%, 05/17/27(e) |
|
|
EUR |
|
|
|
3,131 |
|
|
|
3,369,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Luxembourg 0.1% |
|
|
|
|
|
|
|
|
|
Speed Midco 3 S.a r.l., EUR Term Loan B1, (3-mo. EURIBOR +
6.40%), 10.30%, 05/16/29 |
|
|
|
|
|
|
2,488 |
|
|
|
2,731,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Netherlands 0.1% |
|
|
|
|
|
|
|
|
|
Upfield BV, 2023 GBP Term Loan B8, (1-day SONIA + 5.75%),
10.98%, 01/03/28 |
|
|
GBP |
|
|
|
1,358 |
|
|
|
1,695,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States 1.4% |
|
|
|
|
|
|
|
|
|
Altar Bidco, Inc., 2021 2nd Lien Term Loan, (12-mo. CME Term SOFR at
0.50% Floor + 5.60%), 10.40%, 02/01/30 |
|
|
USD |
|
|
|
1,637 |
|
|
|
1,613,199 |
|
American Auto Auction Group, LLC, 2021 Term Loan B, (3-mo. CME Term
SOFR at 0.75% Floor + 5.15%), 10.46%, 12/30/27 |
|
|
|
|
|
|
425 |
|
|
|
421,366 |
|
Coreweave Compute Acquisition Co. II, LLC, Delayed Draw Term Loan,
(3-mo. CME Term SOFR + 8.75%), 14.06%, 06/30/28(e) |
|
|
|
|
|
|
7,259 |
|
|
|
7,227,956 |
|
Cotiviti, Inc., 2024 Term Loan, 02/21/31(l) |
|
|
|
|
|
|
370 |
|
|
|
369,075 |
|
EIS Buyer, Inc., Revolver, (1-mo. CME Term SOFR at 0.75% Floor +
7.00%), 12.33%, 07/10/28(e) |
|
|
|
|
|
|
341 |
|
|
|
332,115 |
|
EIS Group, Inc., Term Loan, (1-mo. CME Term SOFR + 7.00%),
12.33%, 05/01/28(e) |
|
|
|
|
|
|
3,406 |
|
|
|
3,321,152 |
|
Galaxy Universal LLC, 1st Lien Term Loan, (3-mo. CME Term SOFR at
1.00% Floor + 6.15%), 11.46%, 11/12/26(e) |
|
|
|
|
|
|
6,146 |
|
|
|
6,046,979 |
|
GoTo Group, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
2024 Second Out Term Loan, (1-mo. CME Term SOFR + 4.85%),
10.17%, 04/30/28 |
|
|
|
|
|
|
112 |
|
|
|
85,011 |
|
2024 New Money Term Loan, (1-mo. CME Term SOFR + 4.85%),
10.17%, 04/30/28 |
|
|
|
|
|
|
128 |
|
|
|
121,963 |
|
Helios Service Partners LLC(e) |
|
|
|
|
|
|
|
|
|
|
|
|
2023 Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00% Floor
+ 6.25%), 11.82%, 03/19/27 |
|
|
|
|
|
|
872 |
|
|
|
867,517 |
|
2023 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 6.51%),
11.81%, 03/19/27 |
|
|
|
|
|
|
606 |
|
|
|
602,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
United States (continued) |
|
|
|
|
|
|
|
|
|
Hydrofarm Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at -4.50% Floor + 5.61%), 10.83%, 10/25/28(e) |
|
|
USD |
|
|
|
1,095 |
|
|
$ |
881,672 |
|
Orion Group Holdco, LLC(e)
|
|
|
|
|
|
|
|
|
|
|
|
|
2022 1st Amendment Term Loan, (3-mo. CME Term SOFR at 1.00% Floor
+ 6.76%), 12.06%, 03/19/27 |
|
|
|
|
|
|
115 |
|
|
|
115,123 |
|
2022 First A&R Amendment Incremental DDTL, (3-mo. CME Term SOFR
at 1.00% Floor + 6.76%), 12.06%, 03/19/27 |
|
|
|
|
|
|
516 |
|
|
|
516,158 |
|
Delayed Draw Term Loan, (3-mo. CME Term SOFR + 6.26%),
11.56%, 03/19/27 |
|
|
|
|
|
|
195 |
|
|
|
192,533 |
|
First Lien Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00%
Floor + 6.26%), 11.56%, 03/19/27 |
|
|
|
|
|
|
1,154 |
|
|
|
1,153,725 |
|
First Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor +
6.26%), 11.56%, 03/19/27 |
|
|
|
|
|
|
99 |
|
|
|
98,692 |
|
Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%),
11.56%, 03/19/27 |
|
|
|
|
|
|
19 |
|
|
|
19,233 |
|
Project Montage(e) |
|
|
|
|
|
|
|
|
|
|
|
|
PIK Revolver, (Prime + 5.00%), 13.50%, 02/16/29 |
|
|
|
|
|
|
66 |
|
|
|
65,769 |
|
PIK Term Loan, (Prime + 5.00%), 12.00%, 02/16/29 |
|
|
|
|
|
|
1,184 |
|
|
|
1,183,846 |
|
Redstone Holdco 2 LP, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75%
Floor + 4.86%), 10.19%, 04/27/28 |
|
|
|
|
|
|
1,133 |
|
|
|
932,129 |
|
Signal Parent, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor
+ 3.60%), 8.93%, 04/03/28 |
|
|
|
|
|
|
746 |
|
|
|
705,336 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,873,341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Floating Rate Loan Interests 1.8% (Cost: $34,669,471) |
|
|
|
34,669,342 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United Kingdom 0.2% |
|
|
|
|
|
|
|
|
|
United Kingdom Gilt(h) 3.75%, 10/22/53 |
|
|
GBP |
|
|
|
943 |
|
|
|
1,061,790 |
|
0.50%, 10/22/61 |
|
|
|
|
|
|
5,221 |
|
|
|
2,043,292 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Agency Obligations 0.2% (Cost: $3,149,856) |
|
|
|
3,105,082 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
Investment Companies |
|
|
|
|
|
United States 0.6% |
|
|
|
|
|
|
|
|
|
iShares iBoxx $ Investment Grade Corporate Bond ETF (m)
|
|
|
|
|
|
|
35,863 |
|
|
|
3,906,198 |
|
iShares JP Morgan USD Emerging Markets Bond ETF (m)
|
|
|
|
|
|
|
66,207 |
|
|
|
5,936,782 |
|
iShares Russell 2000 ETF (m) |
|
|
|
|
|
|
100 |
|
|
|
21,030 |
|
iShares Russell Mid-Cap Growth ETF (m) |
|
|
|
|
|
|
3,916 |
|
|
|
446,972 |
|
VanEck J. P. Morgan EM Local Currency Bond ETF |
|
|
|
|
|
|
84,550 |
|
|
|
2,072,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Companies 0.6% (Cost: $12,149,087) |
|
|
|
12,383,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
Municipal Bonds |
|
|
|
|
|
Puerto Rico(a) 0.1% |
|
|
|
|
|
|
|
|
|
Commonwealth of Puerto Rico, GO |
|
|
|
|
|
|
|
|
|
|
|
|
0.00%, 11/01/51 |
|
|
USD |
|
|
|
4,125 |
|
|
|
1,950,364 |
|
Series A-1, 0.00%, 11/01/43 |
|
|
|
|
|
|
361 |
|
|
|
208,062 |
|
Commonwealth of Puerto Rico, RB, 0.00%, 11/01/51 |
|
|
|
|
|
|
1,767 |
|
|
|
713,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Municipal Bonds 0.1% (Cost: $2,621,456) |
|
|
|
2,871,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed
Securities |
|
|
|
|
|
Bermuda 0.1% |
|
|
|
|
|
|
|
|
|
RIAL Issuer Ltd., Series 2022-FL8, Class A, (1-mo. Term SOFR + 2.25%), 7.58%, 01/19/37(a)(b) |
|
|
|
|
|
|
2,315 |
|
|
|
2,306,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States(a)(b) 1.7% |
|
|
|
|
|
|
|
|
|
Barclays Mortgage Loan Trust, Series 2021-NQM1, Class B1, 4.38%, 09/25/51 |
|
|
|
|
|
|
2,047 |
|
|
|
1,616,035 |
|
CHNGE Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2022-1, Class M1, 3.99%, 01/25/67 |
|
|
|
|
|
|
2,000 |
|
|
|
1,641,391 |
|
Series 2022-2, Class M1, 4.61%, 03/25/67 |
|
|
|
|
|
|
5,000 |
|
|
|
4,299,014 |
|
DBUBS Mortgage Trust, Series 2017-BRBK, Class F, 3.53%, 10/10/34 |
|
|
|
|
|
|
1,470 |
|
|
|
1,128,832 |
|
FREMF Trust, Series 2018-W5FX, Class CFX, 3.54%, 04/25/28 |
|
|
|
|
|
|
1,923 |
|
|
|
1,649,597 |
|
Grace Trust, Series 2020-GRCE, Class D, 2.68%, 12/10/40 |
|
|
|
|
|
|
2,000 |
|
|
|
1,518,066 |
|
GS Mortgage Securities Corp. Trust |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2021-DM, Class E,
(1-mo. Term SOFR + 3.05%), 8.38%, 11/15/36 |
|
|
|
|
|
|
2,150 |
|
|
|
2,101,109 |
|
Series 2021-DM, Class F,
(1-mo. Term SOFR + 3.55%), 8.88%, 11/15/36 |
|
|
|
|
|
|
2,150 |
|
|
|
2,069,218 |
|
Hudson Yards Mortgage Trust, Series 2019-55HY, Class F, 2.94%, 12/10/41 |
|
|
|
|
|
|
2,000 |
|
|
|
1,460,122 |
|
JP Morgan Chase Commercial Mortgage Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
Series 2021-MHC, Class E,
(1-mo. Term SOFR + 2.56%), 7.89%, 04/15/38 |
|
|
|
|
|
|
2,270 |
|
|
|
2,246,251 |
|
Series 2021-NYAH, Class E, (1-mo. Term SOFR + 1.95%),
7.28%, 06/15/38 |
|
|
|
|
|
|
2,000 |
|
|
|
1,719,327 |
|
Series 2022-NLP, Class F,
(1-mo. Term SOFR + 3.54%), 8.86%, 04/15/37 |
|
|
|
|
|
|
1,953 |
|
|
|
1,581,943 |
|
Series 2022-OPO, Class D, 3.45%, 01/05/39 |
|
|
|
|
|
|
860 |
|
|
|
619,580 |
|
MFRA Trust, Series 2022-CHM1, Class M1, 4.57%, 09/25/56 |
|
|
|
|
|
|
4,000 |
|
|
|
3,478,921 |
|
MHC Commercial Mortgage Trust, Series 2021- MHC, Class F,
(1-mo. Term SOFR + 2.72%), 8.04%, 04/15/38 |
|
|
|
|
|
|
850 |
|
|
|
841,288 |
|
SUMIT Mortgage Trust, Series 2022-BVUE, Class D, 2.89%, 02/12/41 |
|
|
|
|
|
|
650 |
|
|
|
445,245 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
United States (continued) |
|
|
|
|
|
|
|
|
|
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM,
Class A, (1-mo. Term SOFR + 2.19%), 7.51%, 05/15/37 |
|
|
USD |
|
|
|
2,410 |
|
|
$ |
2,428,075 |
|
Velocity Commercial Capital Loan Trust, Series 2021-4, Class M4,
4.48%, 12/26/51 |
|
|
|
|
|
|
2,710 |
|
|
|
2,030,714 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,874,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-Agency Mortgage-Backed Securities
1.8% (Cost: $40,079,100) |
|
|
|
35,181,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trust 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
United States 0.1% |
|
|
|
|
|
|
|
|
|
Paramount Global, 6.38%, 03/30/62(a) |
|
|
|
|
|
|
760 |
|
|
|
702,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
702,220 |
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
|
|
Preferred Stocks 1.3%(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Finland 0.1% |
|
|
|
|
|
|
|
|
|
Aiven, Series D |
|
|
|
|
|
|
35,053 |
|
|
|
2,415,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Israel 0.1% |
|
|
|
|
|
|
|
|
|
Deep Instinct Ltd., Series D-4, (Acquired 09/20/22, Cost: $3,691,502)(c)(f) |
|
|
|
|
|
|
523,592 |
|
|
|
2,837,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States 1.1% |
|
|
|
|
|
|
|
|
|
Bright Machines, Series C |
|
|
|
|
|
|
1,457,950 |
|
|
|
3,990,017 |
|
Cap Hill Brands |
|
|
|
|
|
|
1,088,268 |
|
|
|
261,184 |
|
Clarify Health |
|
|
|
|
|
|
318,926 |
|
|
|
2,012,423 |
|
Insight M, Inc., Series D(c) |
|
|
|
|
|
|
2,854,422 |
|
|
|
978,496 |
|
Lessen Holdings, Inc., Preference Shares(c) |
|
|
|
|
|
|
480,897 |
|
|
|
3,010,415 |
|
MNTN Digital, Inc., Series D, (Acquired 11/05/21, Cost: $1,239,070)(c)(f) |
|
|
|
|
|
|
53,954 |
|
|
|
726,760 |
|
RapidSOS, Series C-1 |
|
|
|
|
|
|
1,707,127 |
|
|
|
1,604,699 |
|
Verge Genomics, Inc.(c)(f) |
|
|
|
|
|
|
|
|
|
|
|
|
Series B, (Acquired 11/05/21, Cost: $1,437,421) |
|
|
|
|
|
|
269,847 |
|
|
|
1,745,910 |
|
Series C, (Acquired 09/06/23, Cost: $345,314) |
|
|
|
|
|
|
48,019 |
|
|
|
345,737 |
|
Versa Networks, Inc., Series E, (Acquired 10/14/22, Cost: $4,623,422), 10/07/32(c)(f)(i) |
|
|
|
|
|
|
1,584,337 |
|
|
|
5,671,926 |
|
Zero Mass Water, Inc., Series D, (Acquired 07/05/22, Cost: $249,208)(c)(f) |
|
|
|
|
|
|
6,084 |
|
|
|
136,282 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,483,849 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,737,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Securities 1.4% (Cost: $33,248,743) |
|
|
|
26,439,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par (000) |
|
|
|
|
|
U.S. Government Sponsored Agency Securities |
|
|
Mortgage-Backed Securities 6.3% |
|
Uniform Mortgage-Backed Securities(n) 3.50%,
04/11/54 |
|
|
USD |
|
|
|
18,006 |
|
|
|
16,113,487 |
|
|
|
|
C O N S O L I D
A T E D S C H E D U L E O F I
N V E S T M E N T S |
|
7 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
|
Uniform Mortgage-Backed Securities(n)
(continued) |
|
|
|
|
|
|
|
|
|
4.50%, 04/11/54 |
|
|
USD |
|
|
|
76,345 |
|
|
$ |
72,697,442 |
|
5.50%, 04/11/54 |
|
|
|
|
|
|
32,500 |
|
|
|
32,338,679 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Sponsored Agency Securities 6.3% (Cost:
$121,492,119) |
|
|
|
121,149,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Notes, 4.63%, 09/30/28(o)(p)
|
|
|
|
|
|
|
6,777 |
|
|
|
6,874,684 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations 0.4% (Cost: $6,711,877) |
|
|
|
6,874,684 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
|
|
Warrants |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Israel 0.0% |
|
|
|
|
|
|
|
|
|
Deep Instinct Ltd., Series C, (Acquired 09/20/22, Cost: $0), (Exercisable 09/20/22, 1 Share for 1 Warrant,
Expires 09/20/32, Strike Price USD 0.01)(c)(e)(f) |
|
|
|
|
|
|
36,915 |
|
|
|
5,537 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States(c)(e) 0.1% |
|
|
|
|
|
|
|
|
|
Flyr Warrants, (Issued/Exercisable 05/10/22, 1 Share for 1 Warrant, Expires 05/10/32, Strike Price
USD 3.95) |
|
|
|
|
|
|
5,576 |
|
|
|
29,664 |
|
RapidSOS, (Expires 12/13/33, Strike Price USD 0.01) |
|
|
|
|
|
|
946,544 |
|
|
|
880,286 |
|
Sonder Holdings, Inc., (Issued 11/19/20, Exercisable 01/19/21, 1 Share for 1 Warrant, Expires 11/19/26,
Strike Price USD 12.50) |
|
|
|
|
|
|
75,255 |
|
|
|
1 |
|
Versa Networks, Inc., (Acquired 10/14/22, Cost: $0), (Exercisable 10/14/22, 1 Share for 1 Warrant,
Expires 10/07/32, Strike Price USD 0.01)(f) |
|
|
|
|
|
|
195,273 |
|
|
|
593,630 |
|
Volato Group, Inc., (Acquired 12/03/23, Cost: $41,409), (Expires 12/03/28, Strike Price USD 11.50)(f) |
|
|
|
|
|
|
41,409 |
|
|
|
4,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,508,136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Warrants 0.1% (Cost: $41,409) |
|
|
|
1,513,673 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Long-Term Investments 85.1% (Cost: $1,431,274,374) |
|
|
|
1,640,267,919 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
Money Market Funds 19.5% |
|
|
|
|
|
|
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.50%(m)(q)(r) |
|
|
5,877,719 |
|
|
$ |
5,880,070 |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.19%(m)(q) |
|
|
369,479,694 |
|
|
|
369,479,694 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Securities 19.5% (Cost: $375,360,352) |
|
|
|
375,359,764 |
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased 0.3% (Cost: $5,827,072) |
|
|
|
5,441,397 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments Before Options Written 104.9% (Cost: $1,812,461,798) |
|
|
|
2,021,069,080 |
|
|
|
|
|
|
|
|
|
|
|
|
Options Written (0.2)% (Premiums Received: $(2,818,405)) |
|
|
|
(2,779,114 |
) |
|
|
|
|
|
|
|
|
|
|
|
Total Investments, Net of Options Written 104.7% (Cost: $1,809,643,393) |
|
|
|
2,018,289,966 |
|
Liabilities in Excess of Other Assets (4.7)% |
|
|
|
(89,960,159 |
) |
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0% |
|
|
$ |
1,928,329,807 |
|
|
|
|
|
|
|
|
|
|
(a) |
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. |
(b) |
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. |
(c) |
Non-income producing security. |
(d) |
All or a portion of this security is on loan. |
(e) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
|
(f) |
Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value
of $15,031,209, representing 0.8% of its net assets as of period end, and an original cost of $15,680,743. |
(g) |
All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding
exchange-traded options written. |
(h) |
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the
Securities Act of 1933. |
(i) |
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. |
(j) |
When-issued security. |
(k) |
Convertible security. |
(l) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known
prior to the settlement date, including coupon rate. |
(m) |
Affiliate of the Trust. |
(n) |
Represents or includes a TBA transaction. |
(o) |
All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.
|
(p) |
All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments.
|
(q) |
Annualized 7-day yield as of period end. |
(r) |
All or a portion of this security was purchased with the cash collateral from loaned securities.
|
8
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the period ended March 31, 2024 for purposes of Section 2(a)(3) of the
Investment Company Act of 1940, as amended, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliated Issuer |
|
Value at 12/31/23 |
|
|
Purchases at Cost |
|
|
Proceeds from Sales |
|
|
Net Realized Gain (Loss) |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
|
Value at 03/31/24 |
|
|
Shares
Held at 03/31/24 |
|
|
Income |
|
|
Capital Gain Distributions from Underlying Funds |
|
|
|
BlackRock Cash Funds: Institutional, SL Agency Shares |
|
$ |
|
|
|
$ |
5,881,604 |
(a) |
|
$ |
|
|
|
$ |
(946 |
) |
|
$ |
(588 |
) |
|
$ |
5,880,070 |
|
|
|
5,877,719 |
|
|
$ |
|
|
|
$ |
|
|
|
|
BlackRock Liquidity Funds, T-Fund, Institutional Class |
|
|
378,536,662 |
|
|
|
|
|
|
|
(9,056,968 |
)(a) |
|
|
|
|
|
|
|
|
|
|
369,479,694 |
|
|
|
369,479,694 |
|
|
|
5,096,698 |
|
|
|
|
|
|
|
iShares iBoxx $ Investment Grade Corporate Bond ETF |
|
|
3,968,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(62,402 |
) |
|
|
3,906,198 |
|
|
|
35,863 |
|
|
|
28,038 |
|
|
|
|
|
|
|
iShares JP Morgan USD Emerging Markets Bond ETF |
|
|
5,896,395 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,387 |
|
|
|
5,936,782 |
|
|
|
66,207 |
|
|
|
49,852 |
|
|
|
|
|
|
|
iShares Russell 2000 ETF |
|
|
20,071 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
959 |
|
|
|
21,030 |
|
|
|
100 |
|
|
|
52 |
|
|
|
|
|
|
|
iShares Russell Mid-Cap Growth ETF |
|
|
409,065 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,907 |
|
|
|
446,972 |
|
|
|
3,916 |
|
|
|
462 |
|
|
|
|
|
|
|
SL Liquidity Series, LLC, Money Market Series(b)
|
|
|
3,509,133 |
|
|
|
|
|
|
|
(3,506,956 |
)(a) |
|
|
(2,212 |
) |
|
|
35 |
|
|
|
|
|
|
|
|
|
|
|
1,929 |
(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(3,158 |
) |
|
$ |
16,298 |
|
|
$ |
385,670,746 |
|
|
|
|
|
|
$ |
5,177,031 |
|
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
|
|
(b) |
As of period end, the entity is no longer held. |
|
|
(c) |
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. |
|
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Notional Amount (000) |
|
|
Value/ Unrealized Appreciation (Depreciation) |
|
|
|
|
|
|
Long Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Euro BOBL |
|
|
387 |
|
|
|
06/06/24 |
|
|
$ |
49,371 |
|
|
$ |
162,434 |
|
Euro Bund |
|
|
21 |
|
|
|
06/06/24 |
|
|
|
3,022 |
|
|
|
21,275 |
|
Euro-Schatz |
|
|
83 |
|
|
|
06/06/24 |
|
|
|
9,465 |
|
|
|
(1,415 |
) |
OSE Nikkei 225 |
|
|
49 |
|
|
|
06/13/24 |
|
|
|
13,069 |
|
|
|
177,155 |
|
U.S. Long Bond |
|
|
36 |
|
|
|
06/18/24 |
|
|
|
4,336 |
|
|
|
83,131 |
|
Euro Stoxx 50 Index |
|
|
124 |
|
|
|
06/21/24 |
|
|
|
6,757 |
|
|
|
157,961 |
|
Euro Stoxx Banks Index |
|
|
93 |
|
|
|
06/21/24 |
|
|
|
680 |
|
|
|
51,762 |
|
MSCI Emerging Markets Index |
|
|
4 |
|
|
|
06/21/24 |
|
|
|
210 |
|
|
|
(2,025 |
) |
NASDAQ 100 E-Mini Index |
|
|
269 |
|
|
|
06/21/24 |
|
|
|
99,396 |
|
|
|
1,383,413 |
|
S&P 500 E-Mini Index |
|
|
172 |
|
|
|
06/21/24 |
|
|
|
45,653 |
|
|
|
612,768 |
|
Long Gilt |
|
|
43 |
|
|
|
06/26/24 |
|
|
|
5,424 |
|
|
|
104,879 |
|
5-Year U.S. Treasury Note |
|
|
2,035 |
|
|
|
06/28/24 |
|
|
|
217,777 |
|
|
|
55,577 |
|
Carbon Emissions(a) |
|
|
9 |
|
|
|
12/16/24 |
|
|
|
600 |
|
|
|
(87,162 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,719,753 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Euro OAT |
|
|
24 |
|
|
|
06/06/24 |
|
|
|
3,319 |
|
|
|
(19,181 |
) |
10-Year Japanese Government Treasury Bonds |
|
|
18 |
|
|
|
06/13/24 |
|
|
|
17,346 |
|
|
|
(42,122 |
) |
10-Year U.S. Treasury Note |
|
|
263 |
|
|
|
06/18/24 |
|
|
|
29,140 |
|
|
|
(76,916 |
) |
10-Year U.S. Ultra Long Treasury Note |
|
|
309 |
|
|
|
06/18/24 |
|
|
|
35,414 |
|
|
|
(192,001 |
) |
Ultra U.S. Treasury Bond |
|
|
180 |
|
|
|
06/18/24 |
|
|
|
23,220 |
|
|
|
(460,077 |
) |
E-mini Russell 2000 Index |
|
|
67 |
|
|
|
06/21/24 |
|
|
|
7,189 |
|
|
|
(170,631 |
) |
2-Year U.S. Treasury Note |
|
|
357 |
|
|
|
06/28/24 |
|
|
|
73,001 |
|
|
|
(7,695 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(968,623 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,751,130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
All or a portion of the security is held by a wholly-owned subsidiary. |
|
|
|
|
C O N S O L I D
A T E D S C H E D U L E O F I
N V E S T M E N T S |
|
9 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
|
Currency Sold |
|
|
Counterparty |
|
Settlement Date |
|
|
|
|
|
Unrealized Appreciation (Depreciation) |
|
CHF |
|
|
278,594 |
|
|
|
USD |
|
|
|
311,323 |
|
|
Citibank N.A. |
|
|
06/20/24 |
|
|
|
|
|
|
$ |
273 |
|
CHF |
|
|
247,973 |
|
|
|
USD |
|
|
|
276,000 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
|
|
|
|
1,347 |
|
JPY |
|
|
50,667,379 |
|
|
|
USD |
|
|
|
338,517 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
|
|
|
|
252 |
|
MXN |
|
|
110,084,154 |
|
|
|
USD |
|
|
|
6,470,781 |
|
|
Barclays Bank PLC |
|
|
06/20/24 |
|
|
|
|
|
|
|
69,310 |
|
MXN |
|
|
29,450,378 |
|
|
|
USD |
|
|
|
1,724,226 |
|
|
The Bank of New York Mellon |
|
|
06/20/24 |
|
|
|
|
|
|
|
25,419 |
|
USD |
|
|
5,422,247 |
|
|
|
AUD |
|
|
|
8,192,592 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
|
|
|
|
71,834 |
|
USD |
|
|
452,073 |
|
|
|
CAD |
|
|
|
609,404 |
|
|
Citibank N.A. |
|
|
06/20/24 |
|
|
|
|
|
|
|
1,669 |
|
USD |
|
|
8,930,129 |
|
|
|
CHF |
|
|
|
7,757,132 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
|
|
|
|
254,094 |
|
USD |
|
|
32,473,015 |
|
|
|
CHF |
|
|
|
28,227,902 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
|
|
|
|
901,261 |
|
USD |
|
|
1,017,086 |
|
|
|
DKK |
|
|
|
6,908,854 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
|
|
|
|
13,840 |
|
USD |
|
|
69,306,714 |
|
|
|
EUR |
|
|
|
63,192,308 |
|
|
Citibank N.A. |
|
|
06/20/24 |
|
|
|
|
|
|
|
916,464 |
|
USD |
|
|
665,690 |
|
|
|
EUR |
|
|
|
606,897 |
|
|
The Bank of New York Mellon |
|
|
06/20/24 |
|
|
|
|
|
|
|
8,872 |
|
USD |
|
|
101,534,093 |
|
|
|
EUR |
|
|
|
92,593,522 |
|
|
The Bank of New York Mellon |
|
|
06/20/24 |
|
|
|
|
|
|
|
1,324,206 |
|
USD |
|
|
844,483 |
|
|
|
EUR |
|
|
|
770,397 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
|
|
|
|
10,716 |
|
USD |
|
|
2,686,874 |
|
|
|
GBP |
|
|
|
2,100,000 |
|
|
Barclays Bank PLC |
|
|
06/20/24 |
|
|
|
|
|
|
|
35,265 |
|
USD |
|
|
32,893,903 |
|
|
|
GBP |
|
|
|
25,713,931 |
|
|
The Bank of New York Mellon |
|
|
06/20/24 |
|
|
|
|
|
|
|
425,666 |
|
USD |
|
|
16,944,621 |
|
|
|
HKD |
|
|
|
132,208,949 |
|
|
Citibank N.A. |
|
|
06/20/24 |
|
|
|
|
|
|
|
14,903 |
|
USD |
|
|
828,849 |
|
|
|
JPY |
|
|
|
120,690,463 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
|
|
|
|
21,897 |
|
USD |
|
|
3,269,545 |
|
|
|
JPY |
|
|
|
475,591,202 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
|
|
|
|
89,681 |
|
USD |
|
|
47,396,659 |
|
|
|
JPY |
|
|
|
6,896,234,316 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
|
|
|
|
1,287,556 |
|
USD |
|
|
309,234 |
|
|
|
JPY |
|
|
|
45,027,520 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
|
|
|
|
8,174 |
|
USD |
|
|
504,646 |
|
|
|
JPY |
|
|
|
73,054,056 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
|
|
|
|
16,197 |
|
USD |
|
|
707,248 |
|
|
|
JPY |
|
|
|
102,924,531 |
|
|
Westpac Banking Corp. |
|
|
06/20/24 |
|
|
|
|
|
|
|
19,081 |
|
USD |
|
|
1,133,732 |
|
|
|
JPY |
|
|
|
165,141,446 |
|
|
Westpac Banking Corp. |
|
|
06/20/24 |
|
|
|
|
|
|
|
29,575 |
|
USD |
|
|
10,765,017 |
|
|
|
KRW |
|
|
|
14,092,161,000 |
|
|
BNP Paribas SA |
|
|
06/20/24 |
|
|
|
|
|
|
|
278,869 |
|
USD |
|
|
2,023,485 |
|
|
|
SEK |
|
|
|
20,635,404 |
|
|
Barclays Bank PLC |
|
|
06/20/24 |
|
|
|
|
|
|
|
89,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,915,854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BRL |
|
|
38,277,353 |
|
|
|
USD |
|
|
|
7,626,794 |
|
|
Goldman Sachs International |
|
|
06/20/24 |
|
|
|
|
|
|
|
(51,323 |
) |
CHF |
|
|
745,986 |
|
|
|
USD |
|
|
|
838,891 |
|
|
Citibank N.A. |
|
|
06/20/24 |
|
|
|
|
|
|
|
(4,537 |
) |
CHF |
|
|
1,453,608 |
|
|
|
USD |
|
|
|
1,659,646 |
|
|
Citibank N.A. |
|
|
06/20/24 |
|
|
|
|
|
|
|
(33,845 |
) |
CHF |
|
|
1,708,008 |
|
|
|
USD |
|
|
|
1,966,027 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
|
|
|
|
(55,690 |
) |
CHF |
|
|
200,453 |
|
|
|
USD |
|
|
|
227,069 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/24 |
|
|
|
|
|
|
|
(2,870 |
) |
CHF |
|
|
429,868 |
|
|
|
USD |
|
|
|
483,418 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
|
|
|
|
(2,628 |
) |
CHF |
|
|
635,697 |
|
|
|
USD |
|
|
|
729,088 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
|
|
|
|
(18,087 |
) |
CHF |
|
|
956,050 |
|
|
|
USD |
|
|
|
1,101,443 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
|
|
|
|
(32,140 |
) |
CHF |
|
|
993,298 |
|
|
|
USD |
|
|
|
1,116,589 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
|
|
|
|
(5,626 |
) |
CHF |
|
|
192,501 |
|
|
|
USD |
|
|
|
219,051 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
|
|
|
|
(3,746 |
) |
CHF |
|
|
1,112,297 |
|
|
|
USD |
|
|
|
1,278,206 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
|
|
|
|
(34,147 |
) |
CHF |
|
|
289,135 |
|
|
|
USD |
|
|
|
330,693 |
|
|
Westpac Banking Corp. |
|
|
06/20/24 |
|
|
|
|
|
|
|
(7,307 |
) |
EUR |
|
|
212,844 |
|
|
|
USD |
|
|
|
232,707 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
|
|
|
|
(2,355 |
) |
EUR |
|
|
198,450 |
|
|
|
USD |
|
|
|
215,394 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
|
|
|
|
(620 |
) |
EUR |
|
|
203,957 |
|
|
|
USD |
|
|
|
221,736 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
|
|
|
|
(1,003 |
) |
EUR |
|
|
2,880,734 |
|
|
|
USD |
|
|
|
3,158,653 |
|
|
UBS AG |
|
|
06/20/24 |
|
|
|
|
|
|
|
(40,961 |
) |
GBP |
|
|
152,477 |
|
|
|
USD |
|
|
|
195,211 |
|
|
BNP Paribas SA |
|
|
06/20/24 |
|
|
|
|
|
|
|
(2,682 |
) |
IDR |
|
|
27,983,053,770 |
|
|
|
USD |
|
|
|
1,795,621 |
|
|
BNP Paribas SA |
|
|
06/20/24 |
|
|
|
|
|
|
|
(36,459 |
) |
INR |
|
|
148,563,276 |
|
|
|
USD |
|
|
|
1,788,449 |
|
|
BNP Paribas SA |
|
|
06/20/24 |
|
|
|
|
|
|
|
(11,079 |
) |
JPY |
|
|
122,634,463 |
|
|
|
USD |
|
|
|
847,978 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
|
|
|
|
(28,028 |
) |
JPY |
|
|
168,641,288 |
|
|
|
USD |
|
|
|
1,130,114 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/20/24 |
|
|
|
|
|
|
|
(2,557 |
) |
ZAR |
|
|
33,712,048 |
|
|
|
USD |
|
|
|
1,791,185 |
|
|
Deutsche Bank AG |
|
|
06/20/24 |
|
|
|
|
|
|
|
(22,653 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(400,343 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
5,515,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
|
|
|
|
|
|
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust |
|
|
505 |
|
|
|
04/05/24 |
|
|
USD |
|
|
529.00 |
|
|
USD |
|
|
26,415 |
|
|
$ |
40,905 |
|
SPDR S&P 500 ETF Trust |
|
|
413 |
|
|
|
04/05/24 |
|
|
USD |
|
|
527.00 |
|
|
USD |
|
|
21,603 |
|
|
|
57,407 |
|
10
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Exchange-Traded Options Purchased (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
|
|
|
|
|
|
|
Call (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust |
|
|
504 |
|
|
|
04/05/24 |
|
|
USD |
|
|
530.00 |
|
|
USD |
|
|
26,363 |
|
|
$ |
30,240 |
|
SPDR S&P 500 ETF Trust |
|
|
413 |
|
|
|
04/12/24 |
|
|
USD |
|
|
528.00 |
|
|
USD |
|
|
21,603 |
|
|
|
105,108 |
|
SPX Volatility Index |
|
|
227 |
|
|
|
04/17/24 |
|
|
USD |
|
|
20.00 |
|
|
USD |
|
|
295 |
|
|
|
4,994 |
|
Adobe, Inc. |
|
|
50 |
|
|
|
04/19/24 |
|
|
USD |
|
|
590.00 |
|
|
USD |
|
|
2,523 |
|
|
|
1,450 |
|
Amazon.com, Inc. |
|
|
299 |
|
|
|
04/19/24 |
|
|
USD |
|
|
180.00 |
|
|
USD |
|
|
5,393 |
|
|
|
129,317 |
|
Amazon.com, Inc. |
|
|
218 |
|
|
|
04/19/24 |
|
|
USD |
|
|
185.00 |
|
|
USD |
|
|
3,932 |
|
|
|
47,415 |
|
AstraZeneca PLC |
|
|
298 |
|
|
|
04/19/24 |
|
|
USD |
|
|
67.50 |
|
|
USD |
|
|
2,019 |
|
|
|
43,806 |
|
BMW AG |
|
|
136 |
|
|
|
04/19/24 |
|
|
EUR |
|
|
110.00 |
|
|
EUR |
|
|
1,454 |
|
|
|
16,433 |
|
Costco Wholesale Corp. |
|
|
27 |
|
|
|
04/19/24 |
|
|
USD |
|
|
735.00 |
|
|
USD |
|
|
1,978 |
|
|
|
28,890 |
|
Daimler AG |
|
|
216 |
|
|
|
04/19/24 |
|
|
EUR |
|
|
75.00 |
|
|
EUR |
|
|
1,594 |
|
|
|
21,089 |
|
Deckers Outdoor Corp. |
|
|
5 |
|
|
|
04/19/24 |
|
|
USD |
|
|
900.00 |
|
|
USD |
|
|
471 |
|
|
|
26,300 |
|
Deckers Outdoor Corp. |
|
|
12 |
|
|
|
04/19/24 |
|
|
USD |
|
|
960.00 |
|
|
USD |
|
|
1,130 |
|
|
|
19,320 |
|
Delta Air Lines, Inc. |
|
|
312 |
|
|
|
04/19/24 |
|
|
USD |
|
|
45.00 |
|
|
USD |
|
|
1,494 |
|
|
|
109,200 |
|
Merck & Co., Inc. |
|
|
124 |
|
|
|
04/19/24 |
|
|
USD |
|
|
125.00 |
|
|
USD |
|
|
1,636 |
|
|
|
93,000 |
|
Merck & Co., Inc. |
|
|
176 |
|
|
|
04/19/24 |
|
|
USD |
|
|
130.00 |
|
|
USD |
|
|
2,322 |
|
|
|
59,400 |
|
Micron Technology, Inc. |
|
|
99 |
|
|
|
04/19/24 |
|
|
USD |
|
|
95.00 |
|
|
USD |
|
|
1,167 |
|
|
|
228,937 |
|
Microsoft Corp. |
|
|
92 |
|
|
|
04/19/24 |
|
|
USD |
|
|
440.00 |
|
|
USD |
|
|
3,871 |
|
|
|
13,386 |
|
Microsoft Corp. |
|
|
50 |
|
|
|
04/19/24 |
|
|
USD |
|
|
425.00 |
|
|
USD |
|
|
2,104 |
|
|
|
27,125 |
|
Norfolk Southern Corp. |
|
|
40 |
|
|
|
04/19/24 |
|
|
USD |
|
|
270.00 |
|
|
USD |
|
|
1,019 |
|
|
|
3,600 |
|
Novo Nordisk A/S, ADR, Class B |
|
|
200 |
|
|
|
04/19/24 |
|
|
USD |
|
|
140.00 |
|
|
USD |
|
|
2,568 |
|
|
|
8,300 |
|
NVIDIA Corp. |
|
|
89 |
|
|
|
04/19/24 |
|
|
USD |
|
|
840.00 |
|
|
USD |
|
|
8,042 |
|
|
|
698,205 |
|
NVIDIA Corp. |
|
|
59 |
|
|
|
04/19/24 |
|
|
USD |
|
|
820.00 |
|
|
USD |
|
|
5,331 |
|
|
|
556,075 |
|
NVIDIA Corp. |
|
|
90 |
|
|
|
04/19/24 |
|
|
USD |
|
|
900.00 |
|
|
USD |
|
|
8,132 |
|
|
|
369,675 |
|
Paramount Global, Class B |
|
|
140 |
|
|
|
04/19/24 |
|
|
USD |
|
|
15.00 |
|
|
USD |
|
|
165 |
|
|
|
1,260 |
|
PNC Financial Services Group, Inc. |
|
|
108 |
|
|
|
04/19/24 |
|
|
USD |
|
|
160.00 |
|
|
USD |
|
|
1,745 |
|
|
|
52,920 |
|
Salesforce, Inc. |
|
|
80 |
|
|
|
04/19/24 |
|
|
USD |
|
|
320.00 |
|
|
USD |
|
|
2,409 |
|
|
|
11,440 |
|
Salesforce, Inc. |
|
|
36 |
|
|
|
04/19/24 |
|
|
USD |
|
|
330.00 |
|
|
USD |
|
|
1,084 |
|
|
|
2,052 |
|
Uber Technologies, Inc. |
|
|
298 |
|
|
|
04/19/24 |
|
|
USD |
|
|
80.00 |
|
|
USD |
|
|
2,294 |
|
|
|
38,889 |
|
Wells Fargo & Co. |
|
|
880 |
|
|
|
04/19/24 |
|
|
USD |
|
|
60.00 |
|
|
USD |
|
|
5,100 |
|
|
|
65,560 |
|
Adobe, Inc. |
|
|
15 |
|
|
|
05/17/24 |
|
|
USD |
|
|
600.00 |
|
|
USD |
|
|
757 |
|
|
|
1,778 |
|
Adobe, Inc. |
|
|
29 |
|
|
|
05/17/24 |
|
|
USD |
|
|
540.00 |
|
|
USD |
|
|
1,463 |
|
|
|
24,578 |
|
Advanced Micro Devices, Inc. |
|
|
46 |
|
|
|
05/17/24 |
|
|
USD |
|
|
200.00 |
|
|
USD |
|
|
830 |
|
|
|
31,625 |
|
Amazon.com, Inc. |
|
|
297 |
|
|
|
05/17/24 |
|
|
USD |
|
|
190.00 |
|
|
USD |
|
|
5,357 |
|
|
|
158,895 |
|
Bank of America Corp. |
|
|
321 |
|
|
|
05/17/24 |
|
|
USD |
|
|
39.00 |
|
|
USD |
|
|
1,217 |
|
|
|
29,211 |
|
Caterpillar, Inc. |
|
|
64 |
|
|
|
05/17/24 |
|
|
USD |
|
|
380.00 |
|
|
USD |
|
|
2,345 |
|
|
|
59,360 |
|
CF Industries Holdings, Inc. |
|
|
196 |
|
|
|
05/17/24 |
|
|
USD |
|
|
92.50 |
|
|
USD |
|
|
1,631 |
|
|
|
15,190 |
|
Costco Wholesale Corp. |
|
|
14 |
|
|
|
05/17/24 |
|
|
USD |
|
|
825.00 |
|
|
USD |
|
|
1,026 |
|
|
|
1,589 |
|
D.R. Horton, Inc. |
|
|
62 |
|
|
|
05/17/24 |
|
|
USD |
|
|
165.00 |
|
|
USD |
|
|
1,020 |
|
|
|
48,980 |
|
D.R. Horton, Inc. |
|
|
36 |
|
|
|
05/17/24 |
|
|
USD |
|
|
155.00 |
|
|
USD |
|
|
592 |
|
|
|
49,860 |
|
Danaher Corp. |
|
|
59 |
|
|
|
05/17/24 |
|
|
USD |
|
|
270.00 |
|
|
USD |
|
|
1,473 |
|
|
|
13,275 |
|
Dexcom, Inc. |
|
|
99 |
|
|
|
05/17/24 |
|
|
USD |
|
|
120.00 |
|
|
USD |
|
|
1,373 |
|
|
|
200,475 |
|
Edwards Lifesciences Corp. |
|
|
149 |
|
|
|
05/17/24 |
|
|
USD |
|
|
100.00 |
|
|
USD |
|
|
1,424 |
|
|
|
39,485 |
|
Eli Lilly & Co. |
|
|
30 |
|
|
|
05/17/24 |
|
|
USD |
|
|
760.00 |
|
|
USD |
|
|
2,334 |
|
|
|
148,725 |
|
Eli Lilly & Co. |
|
|
7 |
|
|
|
05/17/24 |
|
|
USD |
|
|
820.00 |
|
|
USD |
|
|
545 |
|
|
|
15,803 |
|
Freeport-McMoRan, Inc. |
|
|
394 |
|
|
|
05/17/24 |
|
|
USD |
|
|
48.00 |
|
|
USD |
|
|
1,853 |
|
|
|
87,665 |
|
Oracle Corp. |
|
|
149 |
|
|
|
05/17/24 |
|
|
USD |
|
|
135.00 |
|
|
USD |
|
|
1,872 |
|
|
|
14,379 |
|
Paramount Global, Class B |
|
|
80 |
|
|
|
05/17/24 |
|
|
USD |
|
|
16.00 |
|
|
USD |
|
|
94 |
|
|
|
1,960 |
|
Salesforce, Inc. |
|
|
80 |
|
|
|
05/17/24 |
|
|
USD |
|
|
330.00 |
|
|
USD |
|
|
2,409 |
|
|
|
20,880 |
|
Shell PLC |
|
|
27 |
|
|
|
05/17/24 |
|
|
GBP |
|
|
26.25 |
|
|
GBP |
|
|
709 |
|
|
|
26,581 |
|
Walt Disney Co. |
|
|
528 |
|
|
|
05/17/24 |
|
|
USD |
|
|
130.00 |
|
|
USD |
|
|
6,461 |
|
|
|
147,840 |
|
Nikkei 225 Index |
|
|
27 |
|
|
|
06/14/24 |
|
|
JPY |
|
|
41,500.00 |
|
|
JPY |
|
|
1,084,538 |
|
|
|
137,336 |
|
Crowdstrike Holdings, Inc., Class A |
|
|
23 |
|
|
|
06/21/24 |
|
|
USD |
|
|
360.00 |
|
|
USD |
|
|
737 |
|
|
|
34,557 |
|
Edwards Lifesciences Corp. |
|
|
147 |
|
|
|
06/21/24 |
|
|
USD |
|
|
100.00 |
|
|
USD |
|
|
1,405 |
|
|
|
55,125 |
|
JPMorgan Chase & Co. |
|
|
551 |
|
|
|
06/21/24 |
|
|
USD |
|
|
210.00 |
|
|
USD |
|
|
11,037 |
|
|
|
214,890 |
|
Lam Research Corp. |
|
|
9 |
|
|
|
06/21/24 |
|
|
USD |
|
|
1,060.00 |
|
|
USD |
|
|
874 |
|
|
|
34,672 |
|
Novo Nordisk A/S, ADR |
|
|
201 |
|
|
|
06/21/24 |
|
|
USD |
|
|
130.00 |
|
|
USD |
|
|
2,581 |
|
|
|
154,267 |
|
Walmart, Inc. |
|
|
143 |
|
|
|
06/21/24 |
|
|
USD |
|
|
65.00 |
|
|
USD |
|
|
860 |
|
|
|
7,365 |
|
Sabre Corp. |
|
|
174 |
|
|
|
07/19/24 |
|
|
USD |
|
|
4.50 |
|
|
USD |
|
|
42 |
|
|
|
1,044 |
|
Sabre Corp. |
|
|
139 |
|
|
|
07/19/24 |
|
|
USD |
|
|
3.50 |
|
|
USD |
|
|
34 |
|
|
|
1,877 |
|
Apple, Inc. |
|
|
501 |
|
|
|
08/16/24 |
|
|
USD |
|
|
220.00 |
|
|
USD |
|
|
8,591 |
|
|
|
30,311 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,721,276 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C O N S O L I D
A T E D S C H E D U L E O F I
N V E S T M E N T S |
|
11 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Exchange-Traded Options Purchased (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Alphabet, Inc., Class C |
|
|
239 |
|
|
|
04/19/24 |
|
|
USD |
|
|
130.00 |
|
|
USD |
|
|
3,639 |
|
|
$ |
2,390 |
|
iShares Russell 2000 ETF |
|
|
52 |
|
|
|
04/19/24 |
|
|
USD |
|
|
198.00 |
|
|
USD |
|
|
1,094 |
|
|
|
2,756 |
|
SPDR S&P 500 ETF Trust |
|
|
744 |
|
|
|
04/19/24 |
|
|
USD |
|
|
485.00 |
|
|
USD |
|
|
38,916 |
|
|
|
27,900 |
|
Tesla, Inc. |
|
|
108 |
|
|
|
04/19/24 |
|
|
USD |
|
|
170.00 |
|
|
USD |
|
|
1,899 |
|
|
|
71,550 |
|
3-Month SOFR Future |
|
|
949 |
|
|
|
05/10/24 |
|
|
USD |
|
|
94.75 |
|
|
USD |
|
|
225,043 |
|
|
|
35,587 |
|
Abbott Laboratories |
|
|
177 |
|
|
|
05/17/24 |
|
|
USD |
|
|
105.00 |
|
|
USD |
|
|
2,012 |
|
|
|
15,311 |
|
DAX Index |
|
|
104 |
|
|
|
05/17/24 |
|
|
EUR |
|
|
17,300.00 |
|
|
EUR |
|
|
9,616 |
|
|
|
28,892 |
|
Tesla, Inc. |
|
|
41 |
|
|
|
05/17/24 |
|
|
USD |
|
|
190.00 |
|
|
USD |
|
|
721 |
|
|
|
87,535 |
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
260 |
|
|
|
06/21/24 |
|
|
USD |
|
|
76.00 |
|
|
USD |
|
|
2,021 |
|
|
|
69,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
341,731 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
5,063,007 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Credit Default Swaptions Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
|
Received by the Trust |
|
|
Frequency |
|
|
Counterparty |
|
Expiration
Date |
|
|
Credit
Rating |
|
|
Exercise
Price |
|
|
Notional
Amount (000)(a) |
|
|
Value |
|
Description |
|
|
Rate/Reference |
|
|
|
Rate/Reference |
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bought Protection on 5-Year Credit Default Swap, 06/20/29 |
|
|
5.00% |
|
|
|
iTraxx.XO.41.V1 |
|
|
|
Quarterly |
|
|
Morgan Stanley & Co. International PLC |
|
|
04/17/24 |
|
|
|
|
|
|
|
EUR 337.50 |
|
|
|
EUR |
|
|
|
1,790 |
|
|
$ |
1,869 |
|
Bought Protection on 5-Year Credit Default Swap, 12/20/28 |
|
|
5.00% |
|
|
|
CDX.NA.HY.41.V2 |
|
|
|
Quarterly |
|
|
BNP Paribas SA |
|
|
04/17/24 |
|
|
|
|
|
|
|
USD 105.00 |
|
|
|
USD |
|
|
|
1,960 |
|
|
|
728 |
|
Bought Protection on 5-Year Credit Default Swap, 12/20/28 |
|
|
5.00% |
|
|
|
CDX.NA.HY.41.V2 |
|
|
|
Quarterly |
|
|
Goldman Sachs International |
|
|
04/17/24 |
|
|
|
|
|
|
|
USD 105.00 |
|
|
|
USD |
|
|
|
1,570 |
|
|
|
584 |
|
Bought Protection on 5-Year Credit Default Swap, 06/20/29 |
|
|
5.00% |
|
|
|
iTraxx.XO.41.V1 |
|
|
|
Quarterly |
|
|
Morgan Stanley & Co. International PLC |
|
|
05/15/24 |
|
|
|
|
|
|
|
EUR 350.00 |
|
|
|
EUR |
|
|
|
2,185 |
|
|
|
6,387 |
|
Bought Protection on 5-Year Credit Default Swap, 06/20/29 |
|
|
5.00% |
|
|
|
iTraxx.XO.41.V1 |
|
|
|
Quarterly |
|
|
Goldman Sachs International |
|
|
05/15/24 |
|
|
|
|
|
|
|
EUR 350.00 |
|
|
|
EUR |
|
|
|
1,795 |
|
|
|
5,247 |
|
Bought Protection on 5-Year Credit Default Swap, 12/20/28 |
|
|
5.00% |
|
|
|
CDX.NA.HY.41.V2 |
|
|
|
Quarterly |
|
|
Goldman Sachs International |
|
|
05/15/24 |
|
|
|
|
|
|
|
USD 104.50 |
|
|
|
USD |
|
|
|
1,585 |
|
|
|
2,137 |
|
Bought Protection on 5-Year Credit Default Swap, 12/20/28 |
|
|
1.00% |
|
|
|
iTraxx.EUR.40.V1 |
|
|
|
Quarterly |
|
|
Deutsche Bank AG |
|
|
06/19/24 |
|
|
|
|
|
|
|
EUR 67.50 |
|
|
|
EUR |
|
|
|
5,960 |
|
|
|
3,981 |
|
Bought Protection on 5-Year Credit Default Swap, 12/20/28 |
|
|
5.00% |
|
|
|
iTraxx.XO.40.V1 |
|
|
|
Quarterly |
|
|
Deutsche Bank AG |
|
|
06/19/24 |
|
|
|
|
|
|
|
EUR 400.00 |
|
|
|
EUR |
|
|
|
1,986 |
|
|
|
6,788 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
27,721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of
the agreement. |
|
12
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
OTC Interest Rate Swaptions Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Paid by the Trust |
|
|
|
Received by the Trust |
|
Counterparty |
|
Expiration
Date |
|
|
Exercise
Rate |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
|
Rate |
|
|
Frequency |
|
|
|
|
Rate |
|
|
Frequency |
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10-Year Interest Rate Swap, 05/30/34 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
|
|
3.67% |
|
|
Annual |
|
Citibank N.A. |
|
|
05/28/24 |
|
|
|
3.67 |
% |
|
|
USD |
|
|
|
6,303 |
|
|
$ |
40,834 |
|
1-Year Interest Rate Swap, 05/30/25 |
|
|
1-Day SOFR, 5.34% |
|
|
Semi-Annual |
|
|
|
|
3.65% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
05/28/24 |
|
|
|
3.65 |
|
|
|
USD |
|
|
|
15,272 |
|
|
|
37,454 |
|
2-Year Interest Rate Swap, 05/30/26 |
|
|
6-mo. EURIBOR, 3.85% |
|
|
Semi-Annual |
|
|
|
|
2.85% |
|
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
05/28/24 |
|
|
|
2.85 |
|
|
|
EUR |
|
|
|
12,304 |
|
|
|
13,334 |
|
1-Year Interest Rate Swap, 05/30/25 |
|
|
1-Day SOFR, 5.34% |
|
|
Semi-Annual |
|
|
|
|
3.60% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
05/29/24 |
|
|
|
3.60 |
|
|
|
USD |
|
|
|
15,272 |
|
|
|
33,014 |
|
2-Year Interest Rate Swap, 06/05/26 |
|
|
6-mo. EURIBOR, 3.85% |
|
|
Semi-Annual |
|
|
|
|
2.85% |
|
|
Annual |
|
Goldman Sachs International |
|
|
06/03/24 |
|
|
|
2.85 |
|
|
|
EUR |
|
|
|
12,385 |
|
|
|
15,965 |
|
2-Year Interest Rate Swap, 10/26/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
|
|
4.00% |
|
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
10/24/24 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
19,216 |
|
|
|
105,472 |
|
10-Year Interest Rate Swap, 01/25/35 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
|
|
|
3.00% |
|
|
Annual |
|
Goldman Sachs International |
|
|
01/23/25 |
|
|
|
3.00 |
|
|
|
USD |
|
|
|
12,685 |
|
|
|
104,596 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
350,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
|
|
|
|
|
|
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust |
|
|
413 |
|
|
|
04/05/24 |
|
|
USD |
|
|
535.00 |
|
|
USD |
|
|
21,603 |
|
|
$ |
(3,924 |
) |
SPDR S&P 500 ETF Trust |
|
|
505 |
|
|
|
04/05/24 |
|
|
USD |
|
|
536.00 |
|
|
USD |
|
|
26,415 |
|
|
|
(3,283 |
) |
SPDR S&P 500 ETF Trust |
|
|
413 |
|
|
|
04/12/24 |
|
|
USD |
|
|
538.00 |
|
|
USD |
|
|
21,603 |
|
|
|
(15,281 |
) |
SPX Volatility Index |
|
|
227 |
|
|
|
04/17/24 |
|
|
USD |
|
|
35.00 |
|
|
USD |
|
|
295 |
|
|
|
(1,589 |
) |
Advanced Micro Devices, Inc. |
|
|
100 |
|
|
|
04/19/24 |
|
|
USD |
|
|
250.00 |
|
|
USD |
|
|
1,805 |
|
|
|
(750 |
) |
Eli Lilly & Co. |
|
|
6 |
|
|
|
04/19/24 |
|
|
USD |
|
|
700.00 |
|
|
USD |
|
|
467 |
|
|
|
(49,500 |
) |
Merck & Co., Inc. |
|
|
176 |
|
|
|
04/19/24 |
|
|
USD |
|
|
135.00 |
|
|
USD |
|
|
2,322 |
|
|
|
(15,312 |
) |
Micron Technology, Inc. |
|
|
198 |
|
|
|
04/19/24 |
|
|
USD |
|
|
105.00 |
|
|
USD |
|
|
2,334 |
|
|
|
(264,825 |
) |
NVIDIA Corp. |
|
|
119 |
|
|
|
04/19/24 |
|
|
USD |
|
|
980.00 |
|
|
USD |
|
|
10,752 |
|
|
|
(170,170 |
) |
NVIDIA Corp. |
|
|
80 |
|
|
|
04/19/24 |
|
|
USD |
|
|
850.00 |
|
|
USD |
|
|
7,228 |
|
|
|
(569,800 |
) |
NVIDIA Corp. |
|
|
90 |
|
|
|
04/19/24 |
|
|
USD |
|
|
1,050.00 |
|
|
USD |
|
|
8,132 |
|
|
|
(49,275 |
) |
Uber Technologies, Inc. |
|
|
298 |
|
|
|
04/19/24 |
|
|
USD |
|
|
95.00 |
|
|
USD |
|
|
2,294 |
|
|
|
(1,341 |
) |
Caterpillar, Inc. |
|
|
64 |
|
|
|
05/17/24 |
|
|
USD |
|
|
410.00 |
|
|
USD |
|
|
2,345 |
|
|
|
(15,904 |
) |
CF Industries Holdings, Inc. |
|
|
196 |
|
|
|
05/17/24 |
|
|
USD |
|
|
100.00 |
|
|
USD |
|
|
1,631 |
|
|
|
(3,920 |
) |
Dexcom, Inc. |
|
|
99 |
|
|
|
05/17/24 |
|
|
USD |
|
|
135.00 |
|
|
USD |
|
|
1,373 |
|
|
|
(105,435 |
) |
Eli Lilly & Co. |
|
|
30 |
|
|
|
05/17/24 |
|
|
USD |
|
|
840.00 |
|
|
USD |
|
|
2,334 |
|
|
|
(50,625 |
) |
Freeport-McMoRan, Inc. |
|
|
394 |
|
|
|
05/17/24 |
|
|
USD |
|
|
55.00 |
|
|
USD |
|
|
1,853 |
|
|
|
(21,276 |
) |
NVIDIA Corp. |
|
|
69 |
|
|
|
05/17/24 |
|
|
USD |
|
|
1,100.00 |
|
|
USD |
|
|
6,235 |
|
|
|
(89,355 |
) |
Nikkei 225 Index |
|
|
27 |
|
|
|
06/14/24 |
|
|
JPY |
|
|
44,000.00 |
|
|
JPY |
|
|
1,084,538 |
|
|
|
(38,347 |
) |
JPMorgan Chase & Co. |
|
|
551 |
|
|
|
06/21/24 |
|
|
USD |
|
|
230.00 |
|
|
USD |
|
|
11,037 |
|
|
|
(37,192 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,507,104 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Adobe, Inc. |
|
|
50 |
|
|
|
04/19/24 |
|
|
USD |
|
|
500.00 |
|
|
USD |
|
|
2,523 |
|
|
|
(46,125 |
) |
BMW AG |
|
|
136 |
|
|
|
04/19/24 |
|
|
EUR |
|
|
100.00 |
|
|
EUR |
|
|
1,454 |
|
|
|
(3,521 |
) |
Daimler AG |
|
|
54 |
|
|
|
04/19/24 |
|
|
EUR |
|
|
65.00 |
|
|
EUR |
|
|
399 |
|
|
|
(320 |
) |
Deckers Outdoor Corp. |
|
|
5 |
|
|
|
04/19/24 |
|
|
USD |
|
|
800.00 |
|
|
USD |
|
|
471 |
|
|
|
(588 |
) |
Deckers Outdoor Corp. |
|
|
12 |
|
|
|
04/19/24 |
|
|
USD |
|
|
850.00 |
|
|
USD |
|
|
1,130 |
|
|
|
(3,060 |
) |
iShares Russell 2000 ETF |
|
|
52 |
|
|
|
04/19/24 |
|
|
USD |
|
|
180.00 |
|
|
USD |
|
|
1,094 |
|
|
|
(546 |
) |
Norfolk Southern Corp. |
|
|
40 |
|
|
|
04/19/24 |
|
|
USD |
|
|
240.00 |
|
|
USD |
|
|
1,019 |
|
|
|
(4,900 |
) |
PNC Financial Services Group, Inc. |
|
|
108 |
|
|
|
04/19/24 |
|
|
USD |
|
|
130.00 |
|
|
USD |
|
|
1,745 |
|
|
|
(1,080 |
) |
Salesforce, Inc. |
|
|
36 |
|
|
|
04/19/24 |
|
|
USD |
|
|
290.00 |
|
|
USD |
|
|
1,084 |
|
|
|
(8,892 |
) |
SPDR S&P 500 ETF Trust |
|
|
744 |
|
|
|
04/19/24 |
|
|
USD |
|
|
475.00 |
|
|
USD |
|
|
38,916 |
|
|
|
(21,204 |
) |
Tesla, Inc. |
|
|
108 |
|
|
|
04/19/24 |
|
|
USD |
|
|
145.00 |
|
|
USD |
|
|
1,899 |
|
|
|
(11,502 |
) |
Wells Fargo & Co. |
|
|
176 |
|
|
|
04/19/24 |
|
|
USD |
|
|
55.00 |
|
|
USD |
|
|
1,020 |
|
|
|
(8,184 |
) |
Adobe, Inc. |
|
|
15 |
|
|
|
05/17/24 |
|
|
USD |
|
|
520.00 |
|
|
USD |
|
|
757 |
|
|
|
(39,937 |
) |
Adobe, Inc. |
|
|
29 |
|
|
|
05/17/24 |
|
|
USD |
|
|
450.00 |
|
|
USD |
|
|
1,463 |
|
|
|
(8,947 |
) |
Advanced Micro Devices, Inc. |
|
|
46 |
|
|
|
05/17/24 |
|
|
USD |
|
|
170.00 |
|
|
USD |
|
|
830 |
|
|
|
(35,535 |
) |
|
|
|
C O N S O L I D
A T E D S C H E D U L E O F I
N V E S T M E N T S |
|
13 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Exchange-Traded Options Written (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
|
|
|
|
|
|
|
Put (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amazon.com, Inc. |
|
|
237 |
|
|
|
05/17/24 |
|
|
USD |
|
|
150.00 |
|
|
USD |
|
|
4,275 |
|
|
$ |
(21,448 |
) |
Bank of America Corp. |
|
|
321 |
|
|
|
05/17/24 |
|
|
USD |
|
|
34.00 |
|
|
USD |
|
|
1,217 |
|
|
|
(6,099 |
) |
Caterpillar, Inc. |
|
|
64 |
|
|
|
05/17/24 |
|
|
USD |
|
|
310.00 |
|
|
USD |
|
|
2,345 |
|
|
|
(8,288 |
) |
Costco Wholesale Corp. |
|
|
14 |
|
|
|
05/17/24 |
|
|
USD |
|
|
725.00 |
|
|
USD |
|
|
1,026 |
|
|
|
(18,550 |
) |
D.R. Horton, Inc. |
|
|
62 |
|
|
|
05/17/24 |
|
|
USD |
|
|
135.00 |
|
|
USD |
|
|
1,020 |
|
|
|
(2,790 |
) |
D.R. Horton, Inc. |
|
|
36 |
|
|
|
05/17/24 |
|
|
USD |
|
|
125.00 |
|
|
USD |
|
|
592 |
|
|
|
(1,260 |
) |
Danaher Corp. |
|
|
118 |
|
|
|
05/17/24 |
|
|
USD |
|
|
230.00 |
|
|
USD |
|
|
2,947 |
|
|
|
(26,550 |
) |
DAX Index |
|
|
104 |
|
|
|
05/17/24 |
|
|
EUR |
|
|
16,300.00 |
|
|
EUR |
|
|
9,616 |
|
|
|
(13,380 |
) |
Edwards Lifesciences Corp. |
|
|
75 |
|
|
|
05/17/24 |
|
|
USD |
|
|
80.00 |
|
|
USD |
|
|
717 |
|
|
|
(2,438 |
) |
Eli Lilly & Co. |
|
|
7 |
|
|
|
05/17/24 |
|
|
USD |
|
|
720.00 |
|
|
USD |
|
|
545 |
|
|
|
(9,992 |
) |
Freeport-McMoRan, Inc. |
|
|
197 |
|
|
|
05/17/24 |
|
|
USD |
|
|
40.00 |
|
|
USD |
|
|
926 |
|
|
|
(6,797 |
) |
Oracle Corp. |
|
|
90 |
|
|
|
05/17/24 |
|
|
USD |
|
|
115.00 |
|
|
USD |
|
|
1,130 |
|
|
|
(6,030 |
) |
Salesforce, Inc. |
|
|
80 |
|
|
|
05/17/24 |
|
|
USD |
|
|
270.00 |
|
|
USD |
|
|
2,409 |
|
|
|
(13,600 |
) |
Walt Disney Co. |
|
|
264 |
|
|
|
05/17/24 |
|
|
USD |
|
|
110.00 |
|
|
USD |
|
|
3,230 |
|
|
|
(31,416 |
) |
Nikkei 225 Index |
|
|
27 |
|
|
|
06/14/24 |
|
|
JPY |
|
|
37,000.00 |
|
|
JPY |
|
|
1,084,538 |
|
|
|
(73,127 |
) |
Crowdstrike Holdings, Inc., Class A |
|
|
23 |
|
|
|
06/21/24 |
|
|
USD |
|
|
290.00 |
|
|
USD |
|
|
737 |
|
|
|
(29,555 |
) |
Edwards Lifesciences Corp. |
|
|
147 |
|
|
|
06/21/24 |
|
|
USD |
|
|
80.00 |
|
|
USD |
|
|
1,405 |
|
|
|
(9,555 |
) |
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
520 |
|
|
|
06/21/24 |
|
|
USD |
|
|
74.00 |
|
|
USD |
|
|
4,042 |
|
|
|
(9,100 |
) |
Lam Research Corp. |
|
|
9 |
|
|
|
06/21/24 |
|
|
USD |
|
|
820.00 |
|
|
USD |
|
|
874 |
|
|
|
(12,802 |
) |
Walmart, Inc. |
|
|
143 |
|
|
|
06/21/24 |
|
|
USD |
|
|
55.00 |
|
|
USD |
|
|
860 |
|
|
|
(5,792 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(502,910 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,010,014 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Credit Default Swaptions Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
|
Received by the Trust |
|
|
|
|
|
|
|
Expiration
Date |
|
|
Credit
Rating(a) |
|
|
Exercise
Price |
|
|
Notional
Amount (000)(b) |
|
|
|
|
Description |
|
|
Rate/Reference |
|
|
|
Rate/Reference |
|
|
|
Frequency |
|
|
Counterparty |
|
|
Value |
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sold Protection on 5-Year Credit Default Swap, 06/20/29 |
|
|
iTraxx.XO.41.V1 |
|
|
|
5.00% |
|
|
|
Quarterly |
|
|
Morgan Stanley & Co. International PLC |
|
|
04/17/24 |
|
|
|
N/R |
|
|
|
EUR 400.00 |
|
|
|
EUR |
|
|
|
1,790 |
|
|
$ |
(743 |
) |
Sold Protection on 5-Year Credit Default Swap, 06/20/29 |
|
|
iTraxx.XO.41.V1 |
|
|
|
5.00% |
|
|
|
Quarterly |
|
|
Goldman Sachs International |
|
|
05/15/24 |
|
|
|
N/R |
|
|
|
EUR 450.00 |
|
|
|
EUR |
|
|
|
1,795 |
|
|
|
(1,664 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,407 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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. |
|
OTC Interest Rate Swaptions Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
|
|
Received by the Trust |
|
|
|
Expiration |
|
|
Exercise |
|
|
|
|
|
Notional |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
|
Rate |
|
|
Frequency |
|
|
|
|
Rate |
|
|
Frequency |
|
Counterparty |
|
|
Date |
|
|
|
Rate |
|
|
|
Amount (000) |
|
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1-Year Interest Rate Swap, 05/30/25 |
|
|
3.40% |
|
|
Semi-Annual |
|
|
|
|
1-Day SOFR, 5.34% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
05/28/24 |
|
|
|
3.40 |
% |
|
|
USD |
|
|
|
15,272 |
|
|
$ |
(18,175 |
) |
2-Year Interest Rate Swap, 05/30/26 |
|
|
2.30% |
|
|
Annual |
|
|
|
|
6-mo. EURIBOR, 3.85% |
|
|
Semi-Annual |
|
JPMorgan Chase Bank N.A. |
|
|
05/28/24 |
|
|
|
2.30 |
|
|
|
EUR |
|
|
|
12,304 |
|
|
|
(980 |
) |
1-Year Interest Rate Swap, 05/30/25 |
|
|
3.25% |
|
|
Semi-Annual |
|
|
|
|
1-Day SOFR, 5.34% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
05/29/24 |
|
|
|
3.25 |
|
|
|
USD |
|
|
|
15,272 |
|
|
|
(11,758 |
) |
2-Year Interest Rate Swap, 06/05/26 |
|
|
2.30% |
|
|
Annual |
|
|
|
|
6-mo. EURIBOR, 3.85% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
06/03/24 |
|
|
|
2.30 |
|
|
|
EUR |
|
|
|
12,384 |
|
|
|
(1,388 |
) |
2-Year Interest Rate Swap, 10/26/26 |
|
|
3.30% |
|
|
Annual |
|
|
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
10/24/24 |
|
|
|
3.30 |
|
|
|
USD |
|
|
|
19,216 |
|
|
|
(37,682 |
) |
10-Year Interest Rate Swap, 01/25/35 |
|
|
2.25% |
|
|
Annual |
|
|
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
Goldman Sachs International |
|
|
01/23/25 |
|
|
|
2.25 |
|
|
|
USD |
|
|
|
12,685 |
|
|
|
(24,084 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(94,067 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
OTC Interest Rate Swaptions Written (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Rate |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Rate |
|
|
Frequency |
|
Rate |
|
Frequency |
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2-Year Interest Rate Swap, 04/06/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.40% |
|
Annual |
|
Citibank N.A. |
|
|
04/04/24 |
|
|
|
4.40 |
% |
|
|
USD |
|
|
|
15,980 |
|
|
$ |
(44,878 |
) |
2-Year Interest Rate Swap, 04/06/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.40% |
|
Annual |
|
Citibank N.A. |
|
|
04/04/24 |
|
|
|
4.40 |
|
|
|
USD |
|
|
|
5,845 |
|
|
|
(16,415 |
) |
5-Year Interest Rate Swap, 04/06/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.00% |
|
Annual |
|
Citibank N.A. |
|
|
04/04/24 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
7,990 |
|
|
|
(17,439 |
) |
5-Year Interest Rate Swap, 04/06/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.00% |
|
Annual |
|
Citibank N.A. |
|
|
04/04/24 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
2,572 |
|
|
|
(5,613 |
) |
2-Year Interest Rate Swap, 04/07/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.45% |
|
Annual |
|
Goldman Sachs International |
|
|
04/05/24 |
|
|
|
4.45 |
|
|
|
USD |
|
|
|
7,990 |
|
|
|
(16,500 |
) |
5-Year Interest Rate Swap, 04/07/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.05% |
|
Annual |
|
Goldman Sachs International |
|
|
04/05/24 |
|
|
|
4.05 |
|
|
|
USD |
|
|
|
7,990 |
|
|
|
(11,274 |
) |
2-Year Interest Rate Swap, 04/18/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.05% |
|
Annual |
|
Deutsche Bank AG |
|
|
04/16/24 |
|
|
|
4.05 |
|
|
|
USD |
|
|
|
12,580 |
|
|
|
(110,533 |
) |
5-Year Interest Rate Swap, 04/18/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.00% |
|
Annual |
|
Deutsche Bank AG |
|
|
04/16/24 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
12,579 |
|
|
|
(43,731 |
) |
2-Year Interest Rate Swap, 04/24/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.30% |
|
Annual |
|
Deutsche Bank AG |
|
|
04/22/24 |
|
|
|
4.30 |
|
|
|
USD |
|
|
|
15,182 |
|
|
|
(66,698 |
) |
5-Year Interest Rate Swap, 04/24/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.00% |
|
Annual |
|
Deutsche Bank AG |
|
|
04/22/24 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
6,326 |
|
|
|
(24,744 |
) |
5-Year Interest Rate Swap, 04/28/29 |
|
|
6-mo. EURIBOR, 3.85% |
|
|
Semi-Annual |
|
2.90% |
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
04/26/24 |
|
|
|
2.90 |
|
|
|
EUR |
|
|
|
8,865 |
|
|
|
(4,299 |
) |
5-Year Interest Rate Swap, 05/04/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.00% |
|
Annual |
|
Deutsche Bank AG |
|
|
05/02/24 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
12,652 |
|
|
|
(56,429 |
) |
2-Year Interest Rate Swap, 05/08/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.50% |
|
Annual |
|
Goldman Sachs International |
|
|
05/06/24 |
|
|
|
4.50 |
|
|
|
USD |
|
|
|
12,488 |
|
|
|
(25,166 |
) |
2-Year Interest Rate Swap, 05/24/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.75% |
|
Annual |
|
Deutsche Bank AG |
|
|
05/22/24 |
|
|
|
4.75 |
|
|
|
USD |
|
|
|
25,946 |
|
|
|
(17,673 |
) |
1-Year Interest Rate Swap, 05/30/25 |
|
|
1-Day SOFR, 5.34% |
|
|
Semi-Annual |
|
4.15% |
|
Semi-Annual |
|
Goldman Sachs International |
|
|
05/28/24 |
|
|
|
4.15 |
|
|
|
USD |
|
|
|
15,272 |
|
|
|
(13,469 |
) |
2-Year Interest Rate Swap, 05/30/26 |
|
|
6-mo. EURIBOR, 3.85% |
|
|
Semi-Annual |
|
3.50% |
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
05/28/24 |
|
|
|
3.50 |
|
|
|
EUR |
|
|
|
12,304 |
|
|
|
(1,463 |
) |
1-Year Interest Rate Swap, 05/30/25 |
|
|
1-Day SOFR, 5.34% |
|
|
Semi-Annual |
|
4.10% |
|
Semi-Annual |
|
Goldman Sachs International |
|
|
05/29/24 |
|
|
|
4.10 |
|
|
|
USD |
|
|
|
15,272 |
|
|
|
(16,733 |
) |
2-Year Interest Rate Swap, 06/05/26 |
|
|
6-mo. EURIBOR, 3.85% |
|
|
Semi-Annual |
|
3.50% |
|
Annual |
|
Goldman Sachs International |
|
|
06/03/24 |
|
|
|
3.50 |
|
|
|
EUR |
|
|
|
12,384 |
|
|
|
(1,776 |
) |
5-Year Interest Rate Swap, 06/09/29 |
|
|
6-mo. EURIBOR, 3.85% |
|
|
Semi-Annual |
|
2.87% |
|
Annual |
|
Goldman Sachs International |
|
|
06/07/24 |
|
|
|
2.87 |
|
|
|
EUR |
|
|
|
6,519 |
|
|
|
(12,179 |
) |
2-Year Interest Rate Swap, 07/20/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.37% |
|
Annual |
|
Deutsche Bank AG |
|
|
07/18/24 |
|
|
|
4.37 |
|
|
|
USD |
|
|
|
24,757 |
|
|
|
(90,795 |
) |
5-Year Interest Rate Swap, 07/20/29 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
4.17% |
|
Annual |
|
Citibank N.A. |
|
|
07/18/24 |
|
|
|
4.17 |
|
|
|
USD |
|
|
|
8,826 |
|
|
|
(44,257 |
) |
2-Year Interest Rate Swap, 11/23/26 |
|
|
1-Day SOFR, 5.34% |
|
|
Annual |
|
5.00% |
|
Annual |
|
JPMorgan Chase Bank N.A. |
|
|
11/21/24 |
|
|
|
5.00 |
|
|
|
USD |
|
|
|
24,755 |
|
|
|
(30,562 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(672,626 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(766,693 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation/Index |
|
Financing Rate Paid by the Trust |
|
|
Payment Frequency |
|
|
Termination Date |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
|
|
|
|
|
|
|
|
|
iTraxx.XO.38.V2 |
|
|
5.00 |
% |
|
|
Quarterly |
|
|
|
12/20/27 |
|
|
|
EUR |
|
|
|
831 |
|
|
$ |
(86,096 |
) |
|
$ |
(10,446 |
) |
|
$ |
(75,650 |
) |
|
|
|
C O N S O L I D
A T E D S C H E D U L E O F I
N V E S T M E N T S |
|
15 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Centrally Cleared Credit Default Swaps Buy Protection (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation/Index |
|
Financing Rate Paid by the Trust |
|
|
Payment Frequency |
|
|
Termination Date |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
|
|
|
|
|
|
|
|
|
iTraxx.EUR.40.V1 |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
|
12/20/28 |
|
|
|
EUR |
|
|
|
166 |
|
|
$ |
(3,948 |
) |
|
$ |
(3,346 |
) |
|
$ |
(602 |
) |
|
|
|
|
|
|
|
|
|
iTraxx.XO.40.V1 |
|
|
5.00 |
|
|
|
Quarterly |
|
|
|
12/20/28 |
|
|
|
EUR |
|
|
|
6,951 |
|
|
|
(584,352 |
) |
|
|
(536,916 |
) |
|
|
(47,436 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(674,396 |
) |
|
$ |
(550,708 |
) |
|
$ |
(123,688 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps Sell Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation/Index |
|
|
Financing Rate Received by the Trust |
|
|
|
Payment Frequency |
|
|
|
Termination Date |
|
|
Credit Rating(a) |
|
|
Notional
Amount (000)(b) |
|
|
|
Value |
|
|
|
Upfront Premium Paid (Received) |
|
|
|
Unrealized Appreciation (Depreciation) |
|
CDX.NA.HY.41.V2 |
|
|
5.00 |
% |
|
|
Quarterly |
|
|
|
12/20/28 |
|
|
B |
|
|
USD |
|
|
|
3,316 |
|
|
$ |
249,682 |
|
|
$ |
95,805 |
|
|
$ |
153,877 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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. |
|
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 |
1-Day SOFR, 5.34% |
|
At Termination |
|
5.45% |
|
At Termination |
|
|
N/A |
|
|
|
10/02/24 |
|
|
USD |
|
|
187,577 |
|
|
$ |
111,274 |
|
|
$ |
3,939 |
|
|
$ |
107,335 |
|
28-Day MXIBTIIE, 11.25% |
|
Monthly |
|
9.78% |
|
Monthly |
|
|
N/A |
|
|
|
02/04/25 |
|
|
MXN |
|
|
46,651 |
|
|
|
(26,928 |
) |
|
|
3 |
|
|
|
(26,931 |
) |
28-Day MXIBTIIE, 11.25% |
|
Monthly |
|
9.79% |
|
Monthly |
|
|
N/A |
|
|
|
02/04/25 |
|
|
MXN |
|
|
23,326 |
|
|
|
(13,338 |
) |
|
|
1 |
|
|
|
(13,339 |
) |
28-Day MXIBTIIE, 11.25% |
|
Monthly |
|
9.80% |
|
Monthly |
|
|
N/A |
|
|
|
02/04/25 |
|
|
MXN |
|
|
23,326 |
|
|
|
(13,148 |
) |
|
|
1 |
|
|
|
(13,149 |
) |
28-Day MXIBTIIE, 11.25% |
|
Monthly |
|
9.95% |
|
Monthly |
|
|
N/A |
|
|
|
02/07/25 |
|
|
MXN |
|
|
510,185 |
|
|
|
(243,019 |
) |
|
|
46 |
|
|
|
(243,065 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
5.00% |
|
Annual |
|
|
N/A |
|
|
|
10/02/25 |
|
|
USD |
|
|
84,698 |
|
|
|
90,760 |
|
|
|
10,735 |
|
|
|
80,025 |
|
0.28% |
|
Annual |
|
Tokyo Overnight Average Rate, 0.07% |
|
Annual |
|
|
N/A |
|
|
|
03/09/26 |
|
|
JPY |
|
|
2,930,801 |
|
|
|
1,719 |
|
|
|
90 |
|
|
|
1,629 |
|
1-Day SOFR, 5.34% |
|
At Termination |
|
4.17% |
|
At Termination |
|
|
10/23/25 |
(a) |
|
|
10/23/26 |
|
|
USD |
|
|
9,509 |
|
|
|
38,002 |
|
|
|
17 |
|
|
|
37,985 |
|
1-Day SOFR, 5.34% |
|
At Termination |
|
4.21% |
|
At Termination |
|
|
10/27/25 |
(a) |
|
|
10/27/26 |
|
|
USD |
|
|
18,989 |
|
|
|
83,850 |
|
|
|
35 |
|
|
|
83,815 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.47% |
|
Annual |
|
|
03/10/25 |
(a) |
|
|
03/10/27 |
|
|
USD |
|
|
4,700 |
|
|
|
(33,033 |
) |
|
|
21 |
|
|
|
(33,054 |
) |
1-Day MIBOR, 7.90% |
|
Semi-Annual |
|
6.34% |
|
Semi-Annual |
|
|
N/A |
|
|
|
03/20/27 |
|
|
INR |
|
|
602,249 |
|
|
|
(11,712 |
) |
|
|
48 |
|
|
|
(11,760 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
3.30% |
|
Annual |
|
|
10/23/25 |
(a) |
|
|
10/23/27 |
|
|
USD |
|
|
3,403 |
|
|
|
(20,985 |
) |
|
|
15 |
|
|
|
(21,000 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
4.20% |
|
Annual |
|
|
10/23/25 |
(a) |
|
|
10/23/27 |
|
|
USD |
|
|
4,949 |
|
|
|
49,073 |
|
|
|
23 |
|
|
|
49,050 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.92% |
|
Annual |
|
|
11/03/25 |
(a) |
|
|
11/03/27 |
|
|
USD |
|
|
2,364 |
|
|
|
11,975 |
|
|
|
11 |
|
|
|
11,964 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.95% |
|
Annual |
|
|
11/03/25 |
(a) |
|
|
11/03/27 |
|
|
USD |
|
|
2,364 |
|
|
|
13,238 |
|
|
|
11 |
|
|
|
13,227 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.99% |
|
Annual |
|
|
11/03/25 |
(a) |
|
|
11/03/27 |
|
|
USD |
|
|
4,728 |
|
|
|
29,425 |
|
|
|
22 |
|
|
|
29,403 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
4.07% |
|
Annual |
|
|
11/03/25 |
(a) |
|
|
11/03/27 |
|
|
USD |
|
|
9,541 |
|
|
|
73,859 |
|
|
|
43 |
|
|
|
73,816 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.86% |
|
Annual |
|
|
11/10/25 |
(a) |
|
|
11/10/27 |
|
|
USD |
|
|
9,919 |
|
|
|
40,622 |
|
|
|
45 |
|
|
|
40,577 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.48% |
|
Annual |
|
|
01/23/26 |
(a) |
|
|
01/23/28 |
|
|
USD |
|
|
13,665 |
|
|
|
(29,218 |
) |
|
|
59 |
|
|
|
(29,277 |
) |
3.45% |
|
Annual |
|
1-Day SOFR, 5.34% |
|
Annual |
|
|
N/A |
|
|
|
01/26/28 |
|
|
USD |
|
|
11,825 |
|
|
|
32,355 |
|
|
|
51 |
|
|
|
32,304 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
4.00% |
|
Annual |
|
|
N/A |
|
|
|
01/26/28 |
|
|
USD |
|
|
11,825 |
|
|
|
82,563 |
|
|
|
51 |
|
|
|
82,512 |
|
3.27% |
|
Annual |
|
1-Day SOFR, 5.34% |
|
Annual |
|
|
02/05/26 |
(a) |
|
|
02/05/28 |
|
|
USD |
|
|
11,932 |
|
|
|
69,146 |
|
|
|
52 |
|
|
|
69,094 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.87% |
|
Annual |
|
|
02/05/26 |
(a) |
|
|
02/05/28 |
|
|
USD |
|
|
11,933 |
|
|
|
57,564 |
|
|
|
52 |
|
|
|
57,512 |
|
1-Day SONIA, 5.19% |
|
Annual |
|
4.86% |
|
Annual |
|
|
N/A |
|
|
|
06/20/28 |
|
|
GBP |
|
|
6,370 |
|
|
|
267,140 |
|
|
|
(15 |
) |
|
|
267,155 |
|
28-Day MXIBTIIE, 11.25% |
|
Monthly |
|
9.13% |
|
Monthly |
|
|
N/A |
|
|
|
08/15/28 |
|
|
MXN |
|
|
104,580 |
|
|
|
38,901 |
|
|
|
51 |
|
|
|
38,850 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
4.42% |
|
Annual |
|
|
N/A |
|
|
|
10/02/28 |
|
|
USD |
|
|
135,611 |
|
|
|
1,490,030 |
|
|
|
29,280 |
|
|
|
1,460,750 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
4.40% |
|
Annual |
|
|
N/A |
|
|
|
10/31/28 |
|
|
USD |
|
|
6,490 |
|
|
|
73,975 |
|
|
|
57 |
|
|
|
73,918 |
|
1-Day SONIA, 5.19% |
|
Annual |
|
4.12% |
|
Annual |
|
|
N/A |
|
|
|
11/17/28 |
|
|
GBP |
|
|
3,004 |
|
|
|
25,941 |
|
|
|
135 |
|
|
|
25,806 |
|
1-Day SONIA, 5.19% |
|
Annual |
|
4.12% |
|
Annual |
|
|
N/A |
|
|
|
11/21/28 |
|
|
GBP |
|
|
3,004 |
|
|
|
26,869 |
|
|
|
136 |
|
|
|
26,733 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
3.25% |
|
Annual |
|
|
12/15/26 |
(a) |
|
|
12/15/28 |
|
|
USD |
|
|
21,108 |
|
|
|
(106,085 |
) |
|
|
96 |
|
|
|
(106,181 |
) |
6-mo. EURIBOR, 3.85% |
|
Semi-Annual |
|
3.00% |
|
Annual |
|
|
N/A |
|
|
|
03/05/29 |
|
|
EUR |
|
|
7,713 |
|
|
|
114,136 |
|
|
|
81 |
|
|
|
114,055 |
|
1-Day MIBOR, 7.90% |
|
Semi-Annual |
|
6.26% |
|
Semi-Annual |
|
|
N/A |
|
|
|
03/20/29 |
|
|
INR |
|
|
172,172 |
|
|
|
(7,472 |
) |
|
|
23 |
|
|
|
(7,495 |
) |
1-Day MIBOR, 7.90% |
|
Semi-Annual |
|
6.30% |
|
Semi-Annual |
|
|
N/A |
|
|
|
03/20/29 |
|
|
INR |
|
|
210,432 |
|
|
|
(5,103 |
) |
|
|
28 |
|
|
|
(5,131 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
3.79% |
|
Annual |
|
|
N/A |
|
|
|
03/29/29 |
|
|
USD |
|
|
17,015 |
|
|
|
(148,526 |
) |
|
|
154 |
|
|
|
(148,680 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
3.14% |
|
Annual |
|
|
05/12/28 |
(a) |
|
|
05/12/33 |
|
|
USD |
|
|
6,701 |
|
|
|
(124,710 |
) |
|
|
62 |
|
|
|
(124,772 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
4.31% |
|
Annual |
|
|
N/A |
|
|
|
09/29/33 |
|
|
USD |
|
|
26,166 |
|
|
|
825,500 |
|
|
|
2,175 |
|
|
|
823,325 |
|
1-Day SOFR, 5.34% |
|
Annual |
|
4.00% |
|
Annual |
|
|
N/A |
|
|
|
01/12/34 |
|
|
USD |
|
|
4,817 |
|
|
|
49,169 |
|
|
|
75 |
|
|
|
49,094 |
|
16
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Centrally Cleared Interest Rate Swaps (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
1-Day SOFR, 5.34% |
|
Annual |
|
4.00% |
|
Annual |
|
|
N/A |
|
|
|
01/17/34 |
|
|
USD |
|
|
1,389 |
|
|
$ |
14,483 |
|
|
$ |
22 |
|
|
$ |
14,461 |
|
1-Day MIBOR, 7.90% |
|
Semi-Annual |
|
6.34% |
|
Semi-Annual |
|
|
N/A |
|
|
|
03/20/34 |
|
|
INR |
|
|
110,771 |
|
|
|
(6,278 |
) |
|
|
23 |
|
|
|
(6,301 |
) |
1-Day MIBOR, 7.90% |
|
Semi-Annual |
|
6.35% |
|
Semi-Annual |
|
|
N/A |
|
|
|
03/20/34 |
|
|
INR |
|
|
110,771 |
|
|
|
(5,313 |
) |
|
|
23 |
|
|
|
(5,336 |
) |
3.46% |
|
Annual |
|
1-Day SOFR, 5.34% |
|
Annual |
|
|
12/15/26 |
(a) |
|
|
12/15/36 |
|
|
USD |
|
|
4,824 |
|
|
|
71,732 |
|
|
|
80 |
|
|
|
71,652 |
|
3.65% |
|
Annual |
|
1-Day SOFR, 5.34% |
|
Annual |
|
|
N/A |
|
|
|
11/03/53 |
|
|
USD |
|
|
2,577 |
|
|
|
(877 |
) |
|
|
82 |
|
|
|
(959 |
) |
1-Day SOFR, 5.34% |
|
Annual |
|
4.00% |
|
Annual |
|
|
N/A |
|
|
|
11/03/53 |
|
|
USD |
|
|
2,577 |
|
|
|
165,269 |
|
|
|
82 |
|
|
|
165,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
3,152,825 |
|
|
$ |
48,021 |
|
|
$ |
3,104,804 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Credit Default Swaps Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligations/Index |
|
Financing Rate Paid by the Trust |
|
|
Payment Frequency |
|
|
Counterparty |
|
|
Termination Date |
|
|
Amount Notional (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Paramount Global Class B |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
|
Goldman Sachs International |
|
|
|
12/20/28 |
|
|
|
USD |
|
|
|
155 |
|
|
$ |
8,069 |
|
|
$ |
7,116 |
|
|
$ |
953 |
|
Paramount Global Class B |
|
|
1.00 |
|
|
|
Quarterly |
|
|
|
JPMorgan Chase Bank N.A. |
|
|
|
12/20/28 |
|
|
|
USD |
|
|
|
255 |
|
|
|
13,275 |
|
|
|
17,350 |
|
|
|
(4,075 |
) |
Paramount Global Class B |
|
|
1.00 |
|
|
|
Quarterly |
|
|
|
JPMorgan Chase Bank N.A. |
|
|
|
12/20/28 |
|
|
|
USD |
|
|
|
255 |
|
|
|
13,276 |
|
|
|
17,824 |
|
|
|
(4,548 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
34,620 |
|
|
$ |
42,290 |
|
|
$ |
(7,670 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Effective Date |
|
|
Termination Date |
|
|
Notional
Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
|
|
Rate |
|
Frequency |
|
Rate |
|
|
Frequency |
|
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
12.81% |
|
|
At Termination |
|
Morgan Stanley & Co. International PLC |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
136,435 |
|
|
$ |
635,387 |
|
|
$ |
|
|
|
$ |
635,387 |
|
|
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
13.18% |
|
|
At Termination |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
7,068 |
|
|
|
43,873 |
|
|
|
|
|
|
|
43,873 |
|
|
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
13.21% |
|
|
At Termination |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
7,065 |
|
|
|
44,693 |
|
|
|
|
|
|
|
44,693 |
|
|
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
13.25% |
|
|
At Termination |
|
Citibank N.A. |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
3,716 |
|
|
|
24,101 |
|
|
|
|
|
|
|
24,101 |
|
|
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.06% |
|
|
At Termination |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
14,158 |
|
|
|
(36,961 |
) |
|
|
|
|
|
|
(36,961 |
) |
|
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.35% |
|
|
At Termination |
|
Barclays Bank PLC |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
29,050 |
|
|
|
(15,896 |
) |
|
|
|
|
|
|
(15,896 |
) |
|
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
9.99% |
|
|
At Termination |
|
Citibank N.A. |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
14,191 |
|
|
|
(44,146 |
) |
|
|
|
|
|
|
(44,146 |
) |
|
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.00% |
|
|
At Termination |
|
Bank of America N.A. |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
14,578 |
|
|
|
(43,894 |
) |
|
|
|
|
|
|
(43,894 |
) |
|
|
1-Day BZDIOVER, 0.04% |
|
At Termination |
|
|
10.03% |
|
|
At Termination |
|
Morgan Stanley & Co. International PLC |
|
|
N/A |
|
|
|
01/04/27 |
|
|
|
BRL |
|
|
|
14,173 |
|
|
|
(40,311 |
) |
|
|
|
|
|
|
(40,311 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
566,846 |
|
|
$ |
|
|
|
$ |
566,846 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C O N S O L I D
A T E D S C H E D U L E O F I
N V E S T M E N T S |
|
17 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
OTC Total Return Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
|
Received by the Trust |
|
|
Counterparty |
|
|
Effective Date |
|
|
Termination Date |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate/Reference |
|
Frequency |
|
|
Rate/Reference |
|
Frequency |
|
1-Day SOFR minus 0.30%,
5.34% |
|
|
At Termination |
|
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
At Termination |
|
|
|
BNP Paribas SA |
|
|
|
N/A |
|
|
|
06/17/24 |
|
|
USD |
4,884 |
|
|
$ |
32,964 |
|
|
$ |
|
|
|
$ |
32,964 |
|
1-Day SOFR minus 0.30%, 5.34% |
|
|
At Termination |
|
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
At Termination |
|
|
|
JPMorgan Chase Bank N.A. |
|
|
|
N/A |
|
|
|
06/17/24 |
|
|
USD |
5,491 |
|
|
|
37,059 |
|
|
|
|
|
|
|
37,059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
70,023 |
|
|
$ |
|
|
|
$ |
70,023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
Trust 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 marketcorroborated 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 Valuation Committees 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 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 Trusts policy regarding valuation of financial instruments, refer to its most recent financial statements.
The following table summarizes the Trusts financial instruments categorized in the fair value hierarchy. The breakdown of the Trusts
financial instruments into major categories is disclosed in the Consolidated Schedule of Investments above.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
$ |
|
|
|
$ |
65,150,259 |
|
|
$ |
|
|
|
$ |
65,150,259 |
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Canada |
|
|
10,085,820 |
|
|
|
|
|
|
|
|
|
|
|
10,085,820 |
|
China |
|
|
|
|
|
|
14,811,201 |
|
|
|
|
|
|
|
14,811,201 |
|
Denmark |
|
|
|
|
|
|
985,781 |
|
|
|
|
|
|
|
985,781 |
|
Finland |
|
|
|
|
|
|
7,639,166 |
|
|
|
|
|
|
|
7,639,166 |
|
France |
|
|
3,028,520 |
|
|
|
51,436,284 |
|
|
|
|
|
|
|
54,464,804 |
|
Germany |
|
|
|
|
|
|
27,903,016 |
|
|
|
|
|
|
|
27,903,016 |
|
Hong Kong |
|
|
|
|
|
|
3,122,475 |
|
|
|
|
|
|
|
3,122,475 |
|
Israel |
|
|
5,931,711 |
|
|
|
|
|
|
|
|
|
|
|
5,931,711 |
|
Italy |
|
|
2,532,057 |
|
|
|
17,281,007 |
|
|
|
|
|
|
|
19,813,064 |
|
Japan |
|
|
|
|
|
|
54,286,471 |
|
|
|
|
|
|
|
54,286,471 |
|
Netherlands |
|
|
|
|
|
|
31,058,622 |
|
|
|
|
|
|
|
31,058,622 |
|
Norway |
|
|
648,720 |
|
|
|
|
|
|
|
|
|
|
|
648,720 |
|
South Korea |
|
|
5,763,701 |
|
|
|
3,976,734 |
|
|
|
|
|
|
|
9,740,435 |
|
Spain |
|
|
|
|
|
|
8,231,233 |
|
|
|
|
|
|
|
8,231,233 |
|
Sweden |
|
|
|
|
|
|
3,394,348 |
|
|
|
|
|
|
|
3,394,348 |
|
Switzerland |
|
|
|
|
|
|
13,164,074 |
|
|
|
|
|
|
|
13,164,074 |
|
Taiwan |
|
|
15,626,159 |
|
|
|
|
|
|
|
|
|
|
|
15,626,159 |
|
United Kingdom |
|
|
9,961,825 |
|
|
|
20,982,570 |
|
|
|
256,624 |
|
|
|
31,201,019 |
|
18
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Fair Value Hierarchy as of Period End (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Common Stocks (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States |
|
$ |
784,971,118 |
|
|
$ |
35,350,410 |
|
|
$ |
2,962,159 |
|
|
$ |
823,283,687 |
|
Zambia |
|
|
171,897 |
|
|
|
|
|
|
|
|
|
|
|
171,897 |
|
Corporate Bonds |
|
|
|
|
|
|
146,896,709 |
|
|
|
44,391,835 |
|
|
|
191,288,544 |
|
Fixed Rate Loan Interests |
|
|
|
|
|
|
|
|
|
|
4,077,499 |
|
|
|
4,077,499 |
|
Floating Rate Loan Interests |
|
|
|
|
|
|
8,674,461 |
|
|
|
25,994,881 |
|
|
|
34,669,342 |
|
Foreign Agency Obligations |
|
|
|
|
|
|
3,105,082 |
|
|
|
|
|
|
|
3,105,082 |
|
Investment Companies |
|
|
12,383,302 |
|
|
|
|
|
|
|
|
|
|
|
12,383,302 |
|
Municipal Bonds |
|
|
|
|
|
|
2,871,736 |
|
|
|
|
|
|
|
2,871,736 |
|
Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
|
35,181,047 |
|
|
|
|
|
|
|
35,181,047 |
|
Preferred Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trust |
|
|
|
|
|
|
702,220 |
|
|
|
|
|
|
|
702,220 |
|
Preferred Stocks |
|
|
|
|
|
|
|
|
|
|
25,737,220 |
|
|
|
25,737,220 |
|
U.S. Government Sponsored Agency Securities |
|
|
|
|
|
|
121,149,608 |
|
|
|
|
|
|
|
121,149,608 |
|
U.S. Treasury Obligations |
|
|
|
|
|
|
6,874,684 |
|
|
|
|
|
|
|
6,874,684 |
|
Warrants |
|
|
|
|
|
|
|
|
|
|
1,513,673 |
|
|
|
1,513,673 |
|
Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Market Funds |
|
|
375,359,764 |
|
|
|
|
|
|
|
|
|
|
|
375,359,764 |
|
Options Purchased |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
|
|
|
|
|
27,721 |
|
|
|
|
|
|
|
27,721 |
|
Equity Contracts |
|
|
5,027,420 |
|
|
|
|
|
|
|
|
|
|
|
5,027,420 |
|
Interest Rate Contracts |
|
|
35,587 |
|
|
|
350,669 |
|
|
|
|
|
|
|
386,256 |
|
Unfunded Floating Rate Loan Interests(a) |
|
|
|
|
|
|
|
|
|
|
520 |
|
|
|
520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,231,527,601 |
|
|
$ |
684,607,588 |
|
|
$ |
104,934,411 |
|
|
$ |
2,021,069,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Financial Instruments(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
$ |
|
|
|
$ |
154,830 |
|
|
$ |
|
|
|
$ |
154,830 |
|
Equity Contracts |
|
|
1,996,181 |
|
|
|
456,901 |
|
|
|
|
|
|
|
2,453,082 |
|
Foreign Currency Exchange Contracts |
|
|
|
|
|
|
5,915,854 |
|
|
|
|
|
|
|
5,915,854 |
|
Interest Rate Contracts |
|
|
427,296 |
|
|
|
4,649,288 |
|
|
|
|
|
|
|
5,076,584 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity Contracts |
|
|
(87,162 |
) |
|
|
|
|
|
|
|
|
|
|
(87,162 |
) |
Credit Contracts |
|
|
|
|
|
|
(134,718 |
) |
|
|
|
|
|
|
(134,718 |
) |
Equity Contracts |
|
|
(2,182,670 |
) |
|
|
|
|
|
|
|
|
|
|
(2,182,670 |
) |
Foreign Currency Exchange Contracts |
|
|
|
|
|
|
(400,343 |
) |
|
|
|
|
|
|
(400,343 |
) |
Interest Rate Contracts |
|
|
(799,407 |
) |
|
|
(1,744,331 |
) |
|
|
|
|
|
|
(2,543,738 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(645,762 |
) |
|
$ |
8,897,481 |
|
|
$ |
|
|
|
$ |
8,251,719 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.
|
|
|
(b) |
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. |
|
A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of
Level 3 investments and derivative financial instruments 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 |
|
|
Fixed Rate Loan Interests |
|
|
Floating Rate Loan Interests |
|
|
Preferred Stocks |
|
|
Unfunded Floating Rate Loan Interest |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Opening balance, as of December 31, 2023 |
|
$ |
500,050 |
|
|
$ |
3,472,508 |
|
|
$ |
34,946,485 |
|
|
$ |
4,062,028 |
|
|
$ |
24,747,984 |
|
|
$ |
16,583,496 |
|
|
$ |
(44,834 |
) |
Transfers into Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,487,113 |
|
|
|
|
|
Transfers out of Level 3 |
|
|
(500,050 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,787,809 |
) |
|
|
|
|
|
|
|
|
Other(a) |
|
|
|
|
|
|
(3,128,485 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,128,485 |
|
|
|
|
|
Accrued discounts/premiums |
|
|
|
|
|
|
|
|
|
|
60,483 |
|
|
|
2,298 |
|
|
|
13,436 |
|
|
|
|
|
|
|
|
|
Net realized gain (loss) |
|
|
|
|
|
|
(41 |
) |
|
|
(743,171 |
) |
|
|
|
|
|
|
(3,725 |
) |
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation)(b)
|
|
|
|
|
|
|
(40,978 |
) |
|
|
(174,151 |
) |
|
|
13,173 |
|
|
|
849 |
|
|
|
(1,426,390 |
) |
|
|
45,354 |
|
|
|
|
C O N S O L I D
A T E D S C H E D U L E O F I
N V E S T M E N T S |
|
19 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
|
Common Stocks |
|
|
Corporate Bonds |
|
|
Fixed Rate Loan Interests |
|
|
Floating Rate Loan Interests |
|
|
Preferred Stocks |
|
|
Unfunded Floating Rate Loan Interest |
|
Purchases |
|
$ |
|
|
|
$ |
2,915,779 |
|
|
$ |
17,389,341 |
|
|
$ |
|
|
|
$ |
4,942,671 |
|
|
$ |
4,964,516 |
|
|
$ |
|
|
Sales |
|
|
|
|
|
|
|
|
|
|
(7,087,152 |
) |
|
|
|
|
|
|
(918,525 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Closing balance, as of March 31, 2024 |
|
$ |
|
|
|
$ |
3,218,783 |
|
|
$ |
44,391,835 |
|
|
$ |
4,077,499 |
|
|
$ |
25,994,881 |
|
|
$ |
25,737,220 |
|
|
$ |
520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2024(b) |
|
$ |
|
|
|
$ |
(40,978 |
) |
|
$ |
29,797 |
|
|
$ |
13,173 |
|
|
$ |
849 |
|
|
$ |
(1,426,390 |
) |
|
$ |
(1,943 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants |
|
|
Total |
|
Assets |
|
|
|
|
|
|
|
|
Opening balance, as of December 31, 2023 |
|
$ |
715,474 |
|
|
$ |
84,983,191 |
|
Transfers into Level 3 |
|
|
|
|
|
|
2,487,113 |
|
Transfers out of Level 3 |
|
|
|
|
|
|
(3,287,859 |
) |
Other(a) |
|
|
|
|
|
|
|
|
Accrued discounts/premiums |
|
|
|
|
|
|
76,217 |
|
Net realized gain (loss) |
|
|
(20,397 |
) |
|
|
(767,334 |
) |
Net change in unrealized appreciation (depreciation)(b)
|
|
|
818,596 |
|
|
|
(763,547 |
) |
Purchases |
|
|
|
|
|
|
30,212,307 |
|
Sales |
|
|
|
|
|
|
(8,005,677 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Closing balance, as of March 31, 2024 |
|
$ |
1,513,673 |
|
|
$ |
104,934,411 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2024(b) |
|
$ |
840,960 |
|
|
$ |
(584,532) |
|
|
|
|
|
|
|
|
|
|
|
(a) |
Certain Level 3 investments were re-classified between Common Stock and
Preferred Stocks. |
|
|
(b) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation
(depreciation) on investments still held at March 31, 2024 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
Valuation Committee (the Valuation Committee) to determine the value of certain of the Trusts 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 $4,872,209. 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 |
|
$ |
3,218,783 |
|
|
|
Market |
|
|
Gross Profit Multiple |
|
|
15.75x |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Revenue Multiple |
|
|
1.88x |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Time to Exit |
|
|
0.1 years |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Volatility |
|
|
88% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EBITDA |
|
|
12.40x |
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
|
44,391,835 |
|
|
|
Income |
|
|
Discount Rate |
|
|
8%- 26% |
|
|
|
13 |
% |
|
|
|
|
|
|
Floating Rate Loan Interests |
|
|
25,113,209 |
|
|
|
Income |
|
|
Discount Rate |
|
|
7%- 15% |
|
|
|
11 |
% |
|
|
|
|
|
|
Fixed Rate Loan Interests |
|
|
4,077,499 |
|
|
|
Income |
|
|
Credit Spread |
|
|
8% |
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
|
21,747,203 |
|
|
|
Market |
|
|
Revenue Multiple |
|
|
2.95x - 17.50x |
|
|
|
10.91x |
|
|
|
|
|
|
|
|
|
|
|
Time to Exit |
|
|
0.5 - 3.0 years |
|
|
|
2.2 years |
|
|
|
|
|
|
|
|
|
|
|
Volatility |
|
|
34% - 90% |
|
|
|
68 |
% |
|
|
|
|
|
|
|
|
|
|
Market Adjustment Multiple |
|
|
1.00x |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EBITDA |
|
|
7.25x |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct Profit Multiple |
|
|
4.50x |
|
|
|
|
|
|
|
|
|
|
|
Warrants |
|
|
1,513,673 |
|
|
|
Market |
|
|
Revenue Multiple |
|
|
6.28x -10.25x |
|
|
|
7.89x |
|
|
|
|
|
|
|
|
|
|
|
Volatility |
|
|
38% - 88% |
|
|
|
69 |
% |
|
|
|
|
|
|
|
|
|
|
Time to Exit |
|
|
0.1 - 3.0 years |
|
|
|
3.0 years |
|
20
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2024 |
|
BlackRock ESG Capital Allocation Term Trust (ECAT) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value |
|
|
|
Valuation Approach |
|
|
Unobservable Inputs |
|
|
Range of Unobservable Inputs
Utilized |
(a) |
|
|
Weighted Average of Unobservable Inputs Based
on Fair Value |
|
|
|
|
|
|
|
|
Income |
|
|
Discount Rate |
|
|
26% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
100,062,202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.
|
|
|
|
|
Currency Abbreviation |
|
|
AUD |
|
Australian Dollar |
|
|
BRL |
|
Brazilian Real |
|
|
CAD |
|
Canadian Dollar |
|
|
CHF |
|
Swiss Franc |
|
|
DKK |
|
Danish Krone |
|
|
EUR |
|
Euro |
|
|
GBP |
|
British Pound |
|
|
HKD |
|
Hong Kong Dollar |
|
|
IDR |
|
Indonesian Rupiah |
|
|
INR |
|
Indian Rupee |
|
|
JPY |
|
Japanese Yen |
|
|
KRW |
|
South Korean Won |
|
|
MXN |
|
Mexican Peso |
|
|
SEK |
|
Swedish Krona |
|
|
USD |
|
United States Dollar |
|
|
ZAR |
|
South African Rand |
|
|
|
Portfolio Abbreviation |
|
|
ADR |
|
American Depositary Receipt |
|
|
BZDIOVER |
|
Overnight Brazil Interbank Deposit (CETIP) |
|
|
CLO |
|
Collateralized Loan Obligation |
|
|
CMT |
|
Constant Maturity Treasury |
|
|
CR |
|
Custodian Receipt |
|
|
ETF |
|
Exchange-Traded Fund |
|
|
EURIBOR |
|
Euro Interbank Offered Rate |
|
|
FREMF |
|
Freddie Mac Multifamily Securities |
|
|
GO |
|
General Obligation Bonds |
|
|
LIBOR |
|
London Interbank Offered Rate |
|
|
MIBOR |
|
Mumbai InterBank Overnight Rate |
|
|
MSCI |
|
Morgan Stanley Capital International |
|
|
MXIBTIIE |
|
Mexico Interbank TIIE 28-Day |
|
|
PIK |
|
Payment-in-Kind |
|
|
RB |
|
Revenue Bond |
|
|
S&P |
|
Standard & Poors |
|
|
|
Portfolio Abbreviation (continued) |
|
|
SCA |
|
Societe en Commandite par Actions |
|
|
SOFR |
|
Secured Overnight Financing Rate |
|
|
SONIA |
|
Sterling Overnight Interbank Average Rate |
|
|
SPDR |
|
Standard & Poors Depository Receipt |
|
|
|
C O N S O L I D
A T E D S C H E D U L E O F I
N V E S T M E N T S |
|
21 |
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