UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23564
| Name of Fund: | | BlackRock Capital Allocation Term Trust (BCAT) |
| Fund Address: | | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Capital
Allocation Term Trust, 50 Hudson Yards, New York, NY 10001
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 12/31/2024
Date of reporting period: 06/30/2024
Item 1 – Reports to Stockholders
(a) The Reports to Shareholders are attached herewith.
June 30, 2024
2024 Semi-Annual Report
(Unaudited) |
BlackRock Capital Allocation Term Trust (BCAT) |
BlackRock ESG Capital Allocation Term Trust (ECAT) |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Supplemental Information (unaudited)
Section 19(a) Notices
BlackRock Capital Allocation Term Trust’ s (BCAT) and BlackRock ESG Capital Allocation Term Trust’s (ECAT) (collectively, the “Trusts” or individually, a “Trust”) amounts and sources of distributions reported are estimates and are being provided pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.
| | Total Cumulative Distributions
for the Fiscal Period | % Breakdown of the Total Cumulative
Distributions for the Fiscal Period |
| | | Net Realized
Capital Gains
Short-Term | Net Realized
Capital Gains
Long-Term | | | | Net Realized
Capital Gains
Short-Term | Net Realized
Capital Gains
Long-Term | | |
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| Each Trust estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trust’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Trust’s net asset value per share. |
Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at blackrock.com.
The Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s Board of Trustees (the “Board”), each has adopted a managed distribution plan, consistent with its investment objectives and policies, to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, the Trusts currently distribute the following fixed amounts per share on a monthly basis:
The fixed amounts distributed per share are subject to change at the discretion of each Trust’s Board. Under its Plan, each Trust will distribute all available net income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net income and short-term capital gains) is not earned on a monthly basis, the Trusts will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Trust may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).
Shareholders should not draw any conclusions about a Trust’s investment performance from the amount of these distributions or from the terms of the Plan. Each Trust’s total return performance is presented in its financial highlights table.
The Board may amend, suspend or terminate a Trust’s Plan at any time without prior notice to the Trust’s shareholders if it deems such actions to be in the best interests of the Trust or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Trust’s stock is trading at or above net asset value) or widening an existing trading discount. The Trusts are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code.
22024 BlackRock Semi-Annual Report to Shareholders
The Benefits and Risks of Leveraging
The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.
To illustrate these concepts, assume a Trust’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.
However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed a Trust’s return on assets purchased with leverage proceeds, income to shareholders is lower than if a Trust had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of each Trust’s obligations under its respective leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trust to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of each Trust’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment adviser will be higher than if the Trusts did not use leverage.
Each Trust may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Consolidated Financial Statements, if applicable.
Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to borrow money (including through the use of TOB Trusts) or issue debt securities up to 33 1/3% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.
42024 BlackRock Semi-Annual Report to Shareholders
Option Over-Writing Strategy
In general, the goal of each of the Trusts is to provide total return through a combination of current income and realized and unrealized gains (capital appreciation). The Trusts seek to pursue these goals primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options in an effort to generate current gains from option premiums and to enhance each Trust’s risk-adjusted return. Each Trust’s objectives cannot be achieved in all market conditions.
Each Trust primarily writes single stock covered call options and may also from time to time write single stock put options. When writing (selling) a covered call option, a Trust holds an underlying equity security and enters into an option transaction which allows the counterparty to purchase the equity security at an agreed-upon price (“strike price”) within an agreed-upon time period. The Trust receives cash premiums from the counterparties upon writing (selling) the option, which along with net investment income and net realized gains, if any, are generally available to support current or future distributions paid by the Trust. During the option term, the counterparty may elect to exercise the option if the market value of the equity security rises above the strike price, and the Trust is obligated to sell the equity security to the counterparty at the strike price, realizing a gain or loss. Premiums received increase gains or reduce losses realized on the sale of the equity security. If the option remains unexercised upon its expiration, the Trust realizes gains equal to the premiums received. Alternatively, an option may be closed out by an offsetting purchase or sale of an option prior to expiration. The Trust realizes a capital gain from a closing purchase or sale transaction if the premium paid is less than the premium received from writing the option. The Trust realizes a capital loss from a closing purchase or sale transaction if the premium received is less than the premium paid to purchase the option.
Writing covered call options entails certain risks, which include, but are not limited to, the following: an increase in the value of the underlying equity security above the strike price can result in the exercise of a written option (sale by a Trust to the counterparty) when the Trust might not otherwise have sold the security; exercise of the option by the counterparty may result in a sale below the current market value and a gain or loss being realized by the Trust; and limiting the potential appreciation that could be realized on the underlying equity security to the extent of the strike price of the option. The premium that a Trust receives from writing a covered call option may not be sufficient to offset the potential appreciation on the underlying equity security above the strike price of the option that could have otherwise been realized by the Trust. As such, an option over-writing strategy may outperform the general equity market in flat or falling markets but underperform in rising markets.
Option Over-Writing Strategy Illustration
To illustrate these concepts, assume the following: (1) a common stock purchased at and currently trading at $37.15 per share; (2) a three-month call option is written by a Trust with a strike price of $40 (i.e., 7.7% higher than the current market price); and (3) the Trust receives $2.45, or 6.6% of the common stock’s value, as a premium. If the stock price remains unchanged, the option expires and there would be a 6.6% return for the three-month period. If the stock were to decline in price by 6.6% (i.e., decline to $34.70 per share), the option strategy would “break-even” from an economic perspective resulting in neither a gain nor a loss. If the stock were to climb to a price of $40 or above, the option would be exercised and the stock would return 7.7% coupled with the option premium received of 6.6% for a total return of 14.3%. Under this scenario, the Trust loses the benefit of any appreciation of the stock above $40, and thus is limited to a 14.3% total return. The premium from writing the call option serves to offset some of the unrealized loss on the stock in the event that the price of the stock declines, but if the stock were to decline more than 6.6% under this scenario, the Trust’s downside protection is eliminated and the stock could eventually become worthless.
Each Trust intends to write covered call and other options to varying degrees depending upon market conditions. Please refer to each Trust’s Consolidated Schedule of Investments and the Notes to Consolidated Financial Statements for details of written options.
Derivative Financial Instruments
The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Trusts must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Consolidated Financial Statements.
Option Over-Writing Strategy / Derivative Financial Instruments5
Trust Summary as of June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
Investment Objective
BlackRock Capital Allocation Term Trust’s (BCAT) (the “Trust”) investment objectives are to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust invests in a portfolio of equity and debt securities. Generally, the Trust’s portfolio will include both equity and debt securities. At any given time, however, the Trust may emphasize either debt securities or equity securities. The Trust utilizes an option writing (selling) strategy in an effort to generate current gains from options premiums and to enhance the Trust’s risk-adjusted returns.
No assurance can be given that the Trust’s investment objective will be achieved.
Symbol on New York Stock Exchange | |
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Current Distribution Rate on Closing Market Price as of June 30, 2024 ($16.41)(a) | |
Current Monthly Distribution per Common Share(b) | |
Current Annualized Distribution per Common Share(b) | |
| Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
| The monthly distribution per Common Share, declared on August 1, 2024, was increased to $0.286990 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. A portion of the distribution may be deemed a return of capital or net realized gain. |
Market Price and Net Asset Value Per Share Summary
Returns for the period ended June 30, 2024 were as follows:
| | Average Annual Total Returns |
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Trust at Market Price(b)(c) | | | |
50% MSCI World Index / 50% Bloomberg U.S. Aggregate Bond Index(d) | | | |
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Bloomberg U.S. Aggregate Bond Index(f) | | | |
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| BCAT commenced operations on September 28, 2020. |
| All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage, if any. |
| The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
| Effective June 30, 2024, the Trust changed its reporting benchmarks from MSCI ACWI and Bloomberg U.S. Aggregate Bond Index to a customized reference benchmark consisting of MSCI World Index (50%) and Bloomberg U.S. Aggregate Bond Index (50%). The investment adviser believes the new benchmark represents a more appropriate reporting benchmark for the Trust. |
| A broad global equity index that captures large- and mid-cap representation across certain developed markets countries. |
| A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. |
| An index that captures large- and mid-cap representation across certain developed and emerging markets. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Past performance is not an indication of future results.
The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
62024 BlackRock Semi-Annual Report to Shareholders
Trust Summary as of June 30, 2024(continued)
BlackRock Capital Allocation Term Trust (BCAT)
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
Due to the nature of the Trust’s mandate, performance is reviewed on an absolute return basis. The Trust has an unconstrained approach (i.e., flexibility to invest across all equity and fixed-income asset classes, spanning public and private markets). As such, the Trust is not managed specifically to a benchmark. The index returns listed above are for reference purposes only. Performance information below is expressed on a contribution to return basis.
In equities, positioning in the information technology, financials and healthcare sectors were the primary contributors to the Trust’s absolute return. In fixed-income, positioning in corporate bonds and securitized assets had the largest positive impact on performance.
In equities, positioning in index-related futures (used mainly as a risk-management strategy during times of heightened market volatility) detracted. Holdings in the real estate sector also pressured absolute returns. Duration management via interest-rate derivatives detracted in fixed-income, as did positions in agency mortgage-backed securities.
The Trust used derivatives, which may include options, futures, swaps and forward foreign currency exchange contracts, in an effort to enhance returns and manage the risk of adverse market movements. The Trust also used an options overlay strategy in which calls were written on a portion of the portfolio’s holdings. In the aggregate, the Trust’s use of derivatives made a modest contribution to performance. The Trust’s use of cash had no material impact on performance.
Private investments comprised approximately 12.9% of the Trust’s total assets at the close of the period. In total, the Trust’s holdings in this area made a small contribution to results.
The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy.
Describe recent portfolio activity.
The Trust’s allocation to equities decreased by 1.4 percentage points, with the largest reductions in consumer staples and industrials. This was partially offset by increased positions in information technology and utilities. The Trust’s total weighting in fixed-income fell by 5.9 percentage points, with the largest reductions in securitized assets, and to a lesser extent, investment-grade corporates and emerging-market government bonds. The Trust’s allocation to high yield bonds increased modestly. As a result of these changes, the Trust’s cash position rose.
Describe portfolio positioning at period end.
The Trust had a 55% allocation to equities at the close of the period. It had holdings across all sectors, with the largest absolute weightings in information technology, financials, healthcare, and consumer discretionary. The Trust used options as an additional source of income. As of June 30, 2024, the Trust had sold options on approximately 10% of its equity positions.
The Trust finished the period with a weighting of 43% in fixed-income, comprised predominately of high yield bonds, securitized assets, to a lesser extent, agency MBS, investment-grade corporates and government bonds where the investment adviser identified attractive yields.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions.
These views are not intended to be a forecast of future events and are no guarantee of future results.
Overview of the Trust’s Total Investments
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Uniform Mortgage-Backed Securities, 4.50%, 07/15/54 | |
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Uniform Mortgage-Backed Securities, 3.50%, 07/15/54 | |
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| Excludes underlying investment in total return swaps. |
| Excludes short-term securities, short investments and options, if any. |
| Includes holdings within countries/geographic regions that are less than 1.0% of total investments. Please refer to the Consolidated Schedule of Investments for such countries/geographic regions. |
Trust Summary as of June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
Investment Objective
BlackRock ESG Capital Allocation Term Trust’s (ECAT) (the “Trust”) investment objectives are to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust will invest in a portfolio of equity and debt securities. Generally, the Trust’s portfolio will include both equity and debt securities. At any given time, however, the Trust may emphasize either debt securities or equity securities. In addition, the Trust may invest without limit in “junk bonds,” corporate loans and distressed securities. The Trust will invest at least 80% of its total assets in securities that, in the investment adviser’s assessment, meet certain environmental, social and governance (“ESG”) criteria. The Trust utilizes an option writing (selling) strategy in an effort to generate current gains from options premiums and to enhance the Trust’s risk-adjusted returns.
No assurance can be given that the Trust’s investment objective will be achieved.
Symbol on New York Stock Exchange | |
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Current Distribution Rate on Closing Market Price as of June 30, 2024 ($17.54)(a) | |
Current Monthly Distribution per Common Share(b) | |
Current Annualized Distribution per Common Share(b) | |
| Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
| The monthly distribution per Common Share, declared on August 1, 2024, was increased to $0.300330 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. A portion of the distribution may be deemed a return of capital or net realized gain. |
Market Price and Net Asset Value Per Share Summary
Returns for the period ended June 30, 2024 were as follows:
| | Average Annual Total Returns |
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Trust at Market Price(b)(c) | | | |
65% MSCI World Index / 35% Bloomberg U.S. Aggregate Bond Index(d) | | | |
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Bloomberg U.S. Aggregate Bond Index(f) | | | |
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| ECAT commenced operations on September 27, 2021. |
| All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage, if any. |
| The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
| Effective June 30, 2024, the Trust changed its reporting benchmarks from MSCI ACWI and Bloomberg U.S. Aggregate Bond Index to a customized reference benchmark consisting of MSCI World Index (65%) and Bloomberg U.S. Aggregate Bond Index (35%). The investment adviser believes the new benchmark represents a more appropriate reporting benchmark for the Trust. |
| A broad global equity index that captures large- and mid-cap representation across certain developed markets countries. |
| A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. |
| An index that captures large- and mid-cap representation across certain developed and emerging markets. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.
Past performance is not an indication of future results.
The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
82024 BlackRock Semi-Annual Report to Shareholders
Trust Summary as of June 30, 2024(continued)
BlackRock ESG Capital Allocation Term Trust (ECAT)
The following discussion relates to the Trust’s absolute performance based on NAV:
What factors influenced performance?
Due to the nature of the Trust’s mandate, performance is reviewed on an absolute return basis. The Trust has an unconstrained approach (i.e., the flexibility to invest across all equity and fixed-income asset classes, spanning public and private markets) with ESG considerations. As such, the Trust is not managed specifically to a benchmark. The index returns listed above are for reference purposes only. Performance information below is expressed on a contribution to return basis.
In equities, positioning in the information technology, healthcare, and financials sectors were the primary contributors to the Trust’s absolute return. In fixed-income, positioning in corporate bonds and securitized assets had the largest positive impact on performance.
Positioning in energy and materials were the primary detractors from absolute returns in equities. Duration management via interest-rate derivatives detracted in fixed-income, as did positions in agency mortgage-backed securities (“MBS”).
The Trust used derivatives, which may include options, futures, swaps and forward foreign currency exchange contracts, in an effort to enhance returns and manage the risk of adverse market movements. In the aggregate, the use of derivatives made a modest contribution to performance. The Trust’s use of cash had no material impact on performance.
Private investments comprised approximately 5.7% of the Trust’s total assets at the close of the period. In total, the Trust’s holdings in this area made a small contribution to results.
The Trust’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy.
Describe recent portfolio activity.
The Trust’s allocation to equities rose by 1.1 percentage points, with the largest increases in the information technology, communication services and utilities sectors. On the other hand, its weightings in consumer staples and industrials decreased. The Trust’s allocation to bonds decreased by one percentage point, largely through reductions in investment-grade corporates and securitized assets. The Trust’s allocation to high yield bonds increased modestly, while its weighting in cash remained largely unchanged.
Describe portfolio positioning at period end.
The Trust had a 70% weighting in equities at the close of the period. It had holdings across all sectors, with the largest absolute weightings in information technology, healthcare, financials, and consumer discretionary. The Trust used options as an additional source of income. As of June 30, 2024, the team had sold options on approximately 10.2% of its equity positions.
The Trust finished the period with a weighting of 26% in fixed-income, comprised predominately of high yield bonds, investment-grade corporates, agency MBS, and securitized assets where the investment adviser identified attractive yields.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions.
These views are not intended to be a forecast of future events and are no guarantee of future results.
Overview of the Trust’s Total Investments
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Uniform Mortgage-Backed Securities, 4.50%, 07/15/54 | |
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Marsh & McLennan Cos., Inc. | |
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Uniform Mortgage-Backed Securities, 5.50%, 07/15/54 | |
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| Excludes short-term securities, short investments and options, if any. |
| Includes holdings within countries/geographic regions that are less than 1.0% of total investments. Please refer to the Consolidated Schedule of Investments for such countries/geographic regions. |
Consolidated Schedule of Investments (unaudited)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
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Fairstone Financial Issuance Trust I, Series 2020- 1A, Class D, 6.87%, 10/20/39(a) | | | |
Cayman Islands(a)(b) — 3.4% | |
522 Funding CLO Ltd., Series 2019-4A, Class DR, (3-mo. CME Term SOFR + 3.91%), 9.24%, 04/20/30 | | | |
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Series 2020-3A, Class D, (3-mo. CME Term SOFR + 3.56%), 8.89%, 01/15/33 | | | |
Series 2020-7A, Class DR, (3-mo. CME Term SOFR + 3.36%), 8.69%, 07/15/34 | | | |
AIMCO CLO, Series 2017-AA, Class DR, (3-mo. CME Term SOFR + 3.41%), 8.74%, 04/20/34 | | | |
Apidos CLO XXII, Series 2015-22A, Class CR, (3- mo. CME Term SOFR + 3.21%), 8.54%, 04/20/31 | | | |
Apidos CLO XXXV, Series 2021-35A, Class E, (3- mo. CME Term SOFR + 6.01%), 11.34%, 04/20/34 | | | |
Apidos CLO XXXVII, Series 2021-37A, Class E, (3-mo. CME Term SOFR + 6.56%), 11.89%, 10/22/34 | | | |
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Series 2021-ALFA, Class E, (3-mo. CME Term SOFR + 6.96%), 12.29%, 10/15/34 | | | |
Series 2021-ALFA, Class SUB, 0.00%, 10/15/34 | | | |
Ares LV CLO Ltd., Series 2020-55A, Class DR, (3- mo. CME Term SOFR + 3.41%), 8.74%, 07/15/34 | | | |
Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3-mo. CME Term SOFR + 6.76%), 12.09%, 10/25/34 | | | |
Ballyrock CLO Ltd., Series 2019-1A, Class CR, (3- mo. CME Term SOFR + 3.31%), 8.64%, 07/15/32 | | | |
Bardot CLO Ltd., Series 2019-2A, Class DR, (3-mo. CME Term SOFR + 3.26%), 8.59%, 10/22/32 | | | |
Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3-mo. CME Term SOFR + 3.51%), 8.84%, 07/15/31 | | | |
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class ER, (3-mo. CME Term SOFR + 7.01%), 12.34%, 07/15/34 | | | |
Birch Grove CLO Ltd., Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.56%), 8.89%, 10/19/34 | | | |
BlueMountain CLO Ltd., Series 2016-2A, Class C1R2, (3-mo. CME Term SOFR + 3.36%), 8.69%, 08/20/32 | | | |
Canyon CLO Ltd., Series 2020-3A, Class E, (3-mo. CME Term SOFR + 7.51%), 12.84%, 01/15/34 | | | |
CarVal CLO II Ltd., Series 2019-1A, Class DR, (3- mo. CME Term SOFR + 3.46%), 8.79%, 04/20/32 | | | |
CarVal CLO VC Ltd., Series 2021-2A, Class E, (3- mo. CME Term SOFR + 7.01%), 12.34%, 10/15/34 | | | |
| | | |
Cayman Islands (continued) | |
| | | |
Series 2014-2RA, Class B1, (3-mo. CME Term SOFR + 3.06%), 8.38%, 04/24/30 | | | |
Series 2019-3A, Class CR, (3-mo. CME Term SOFR + 3.31%), 8.64%, 10/16/34 | | | |
Crown City CLO III, Series 2021-1A, Class C, (3-mo. CME Term SOFR + 3.56%), 8.89%, 07/20/34 | | | |
Crown Point CLO Ltd., Series 2020-9A, Class DR, (3-mo. CME Term SOFR + 4.01%), 9.34%, 07/14/34 | | | |
| | | |
Series 2019-2A, Class ER, (3-mo. CME Term SOFR + 7.06%), 12.39%, 04/20/34 | | | |
Series 2019-2A, Class SUB, 0.00%, 04/20/34 | | | |
Elmwood CLO V Ltd., Series 2020-2A, Class ER, (3-mo. CME Term SOFR + 6.36%), 11.69%, 10/20/34 | | | |
Elmwood CLO X Ltd., Series 2021-3A, Class ER, (3-mo. CME Term SOFR + 5.85%), 11.17%, 07/20/37 | | | |
Flatiron CLO Ltd., Series 2019-1A, Class DR, (3-mo. LIBOR US + 3.00%), 8.59%, 11/16/34 | | | |
Golub Capital Partners CLO Ltd. | | | |
Series 2021-53A, Class E, (3-mo. CME Term SOFR + 6.96%), 12.29%, 07/20/34 | | | |
Series 2021-55A, Class E, (3-mo. CME Term SOFR + 6.82%), 12.15%, 07/20/34 | | | |
Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.84%, 10/19/34 | | | |
Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3-mo. CME Term SOFR + 5.96%), 11.29%, 10/18/30 | | | |
Niagara Park CLO Ltd., Series 2019-1A, Class ER, (3-mo. CME Term SOFR + 6.21%), 11.53%, 07/17/32 | | | |
| | | |
Series 2019-16A, Class ER, (3-mo. CME Term SOFR + 6.61%), 11.91%, 04/10/33 | | | |
Series 2020-18A, Class DR, (3-mo. CME Term SOFR + 3.46%), 8.79%, 07/20/32 | | | |
Series 2020-AR, Class D1R, (3-mo. CME Term SOFR + 3.60%), 8.89%, 04/18/37 | | | |
Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo. CME Term SOFR + 3.31%), 8.64%, 07/15/34 | | | |
OSD CLO Ltd., Series 2021-23A, Class E, (3-mo. CME Term SOFR + 6.26%), 11.58%, 04/17/31 | | | |
Palmer Square CLO Ltd., Series 2021-2A, Class E, (3-mo. CME Term SOFR + 6.61%), 11.94%, 07/15/34 | | | |
Palmer Square Loan Funding Ltd. | | | |
Series 2021-1A, Class D, (3-mo. CME Term SOFR + 6.26%), 11.59%, 04/20/29 | | | |
Series 2021-3A, Class C, (3-mo. CME Term SOFR + 2.76%), 8.09%, 07/20/29 | | | |
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 5.26%), 10.59%, 07/20/29 | | | |
Series 2021-4A, Class D, (3-mo. CME Term SOFR + 5.26%), 10.59%, 10/15/29 | | | |
Series 2021-4A, Class E, (3-mo. CME Term SOFR + 7.77%), 13.10%, 10/15/29 | | | |
102024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
Cayman Islands (continued) | |
Park Avenue Institutional Advisers CLO Ltd. | | | |
Series 2021-1A, Class D, (3-mo. CME Term SOFR + 7.56%), 12.89%, 01/20/34 | | | |
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.66%), 8.99%, 07/15/34 | | | |
| | | |
Series 2019-4A, Class DR, (3-mo. CME Term SOFR + 3.51%), 8.84%, 07/15/34 | | | |
Series 2020-6A, Class ER2, (3-mo. CME Term SOFR + 6.69%), 12.02%, 05/18/34 | | | |
| | | |
Series 2018-1A, Class D, (3-mo. CME Term SOFR + 3.21%), 8.54%, 04/16/31 | | | |
Series 2021-1A, Class E, (3-mo. CME Term SOFR + 6.71%), 12.04%, 10/15/34 | | | |
| | | |
Series 2019-3A, Class DR, (3-mo. CME Term SOFR + 3.01%), 8.34%, 04/15/32 | | | |
Series 2020-9A, Class E, (3-mo. CME Term SOFR + 7.85%), 13.18%, 01/15/34 | | | |
Regatta XVII Funding Ltd. | | | |
Series 2020-1A, Class D, (3-mo. CME Term SOFR + 4.41%), 9.74%, 10/15/33 | | | |
Series 2020-1A, Class E, (3-mo. CME Term SOFR + 7.87%), 13.20%, 10/15/33 | | | |
Regatta XX Funding Ltd., Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.36%), 8.69%, 10/15/34 | | | |
Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3-mo. CME Term SOFR + 7.06%), 12.39%, 01/20/35 | | | |
RR Ltd., Series 2021-19A, Class D, (3-mo. CME Term SOFR + 6.76%), 12.09%, 10/15/35 | | | |
RRX Ltd., Series 2022-7A, Class D, (3-mo. CME Term SOFR + 6.85%), 12.18%, 07/15/35 | | | |
Sixth Street CLO XIX Ltd., Series 2021-19A, Class E, (3-mo. CME Term SOFR + 6.16%), 11.49%, 07/20/34 | | | |
Sound Point CLO XXVI Ltd., Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.94%, 07/20/34 | | | |
Stratus CLO Ltd., Series 2021-1A, Class SUB, 0.00%, 12/29/29 | | | |
Symphony CLO XXI Ltd., Series 2019-21A, Class DR, (3-mo. CME Term SOFR + 3.56%), 8.89%, 07/15/32 | | | |
Symphony CLO XXIII Ltd., Series 2020-23A, Class ER, (3-mo. CME Term SOFR + 6.41%), 11.74%, 01/15/34 | | | |
TICP CLO IX Ltd., Series 2017-9A, Class D, (3-mo. CME Term SOFR + 3.16%), 8.49%, 01/20/31 | | | |
TICP CLO XV Ltd., Series 2020-15A, Class E, (3- mo. CME Term SOFR + 6.41%), 11.74%, 04/20/33 | | | |
| | | |
Series 2017-1A, Class CR, (3-mo. CME Term SOFR + 3.16%), 8.49%, 04/25/32 | | | |
Series 2017-1A, Class D1RR, 07/25/37(c) | | | |
| | | |
Cayman Islands (continued) | |
Trimaran CAVU Ltd., Series 2019-1A, Class D, (3- mo. CME Term SOFR + 4.41%), 9.74%, 07/20/32 | | | |
| | | |
Series 2019-1A, Class D1RR, (3-mo. CME Term SOFR + 3.10%), 8.44%, 07/24/36 | | | |
Series 2019-1A, Class ERR, (3-mo. CME Term SOFR + 5.75%), 11.09%, 07/24/36 | | | |
Series 2019-1A, Class SUB, 0.00%, 07/24/36 | | | |
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.93%, 10/24/34 | | | |
| | | |
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 3.61%), 8.94%, 10/15/34 | | | |
Series 2021-3A, Class E, (3-mo. CME Term SOFR + 7.11%), 12.44%, 10/15/34 | | | |
| | | |
| |
Anchorage Capital Europe CLO DAC, Series 4A, Class D, (3-mo. EURIBOR + 3.20%), 7.08%, 04/25/34(a) | | | |
Ares European CLO XII DAC, Series 12A, Class DR, (3-mo. EURIBOR + 3.00%), 6.90%, 04/20/32(a) | | | |
CIFC European Funding CLO III DAC, Series 3A, Class D, (3-mo. EURIBOR + 3.60%), 7.51%, 01/15/34(a) | | | |
CVC Cordatus Loan Fund XIX DAC, Series 19A, Class D, (3-mo. EURIBOR + 3.80%), 7.50%, 12/23/33(a) | | | |
Harvest CLO XXXII DAC, Series 2032X, Class D, (3-mo. EURIBOR + 3.60%), 7.30%, 07/25/37(d) | | | |
Henley CLO IV DAC, Series 4A, Class D, (3-mo. EURIBOR + 3.00%), 6.88%, 04/25/34(a) | | | |
Invesco Euro CLO V DAC, Series 5A, Class 5A, (3-mo. EURIBOR + 3.80%), 7.71%, 01/15/34(a) | | | |
Penta CLO DAC, Series 2024-17X, Class D, 08/15/38(c)(d) | | | |
| | | |
Series 2021-1A, Class C, (1 mo. Term SOFR + 3.86%), 9.21%, 07/25/51 | | | |
Series 2021-1A, Class D, (1 mo. Term SOFR + 6.01%), 11.36%, 07/25/51 | | | |
Tikehau CLO XII DAC, Series 2012X, Class D, 10/20/38(c)(d) | | | |
| | | |
| |
510 Loan Acquisition Trust, Series 2020-1, Class A, 8.11%, 09/25/60(a)(e) | | | |
Ajax Mortgage Loan Trust(a) | | | |
Series 2021-G, Class A, 1.88%, 06/25/61(b) | | | |
Series 2021-G, Class B, 3.75%, 06/25/61(b) | | | |
Series 2021-G, Class C, 0.00%, 06/25/61 | | | |
AMSR Trust, Series 2020-SFR5, Class G, 4.11%, 11/17/37(a) | | | |
Citigroup Mortgage Loan Trust(b) | | | |
Series 2007-AHL2, Class A3B, (1 mo. Term SOFR + 0.31%), 5.66%, 05/25/37 | | | |
Consolidated Schedule of Investments11
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) | |
Citigroup Mortgage Loan Trust(b) (continued) | | | |
Series 2007-AHL3, Class A3B, (1 mo. Term SOFR + 0.28%), 5.63%, 07/25/45 | | | |
College Avenue Student Loans LLC, Series 2021-A, Class D, 4.12%, 07/25/51(a) | | | |
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class R1, 0.00%, 04/25/43(a)(f) | | | |
Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26(a) | | | |
| | | |
Series 2020-2A, Class C, 4.30%, 04/21/31 | | | |
Series 2020-2A, Class D, 6.77%, 04/21/31 | | | |
Lendmark Funding Trust, Series 2021-1A, Class D, 5.05%, 11/20/31(a) | | | |
Litigation Fee Residual, Series 2020-1, Class A, 4.00%, 10/30/27(f) | | | |
Mariner Finance Issuance Trust(a) | | | |
Series 2021-AA, Class E, 5.40%, 03/20/36 | | | |
Series 2021-BA, Class E, 4.68%, 11/20/36 | | | |
Navient Private Education Refi Loan Trust, Series 2021-DA, Class D, 4.00%, 04/15/60(a) | | | |
Nelnet Student Loan Trust(a) | | | |
Series 2021-A, Class D, 4.93%, 04/20/62 | | | |
Series 2021-BA, Class D, 4.75%, 04/20/62 | | | |
Series 2021-CA, Class D, 4.44%, 04/20/62 | | | |
| | | |
Series 2021-SFR1, Class H, 5.00%, 04/17/38 | | | |
Series 2021-SFR3, Class H, 4.75%, 05/17/26 | | | |
Regional Management Issuance Trust(a) | | | |
Series 2020-1, Class D, 6.77%, 10/15/30 | | | |
Series 2021-3, Class A, 3.88%, 10/17/33(f) | | | |
Republic Finance Issuance Trust(a) | | | |
Series 2020-A, Class D, 7.00%, 11/20/30 | | | |
Series 2021-A, Class D, 5.23%, 12/22/31 | | | |
Residential Mortgage Loan Trust, Series 2020-1, Class B1, 3.95%, 01/26/60(a)(b) | | | |
SMB Private Education Loan Trust(a) | | | |
Series 2021-A, Class D1, 3.86%, 01/15/53 | | | |
Series 2021-A, Class D2, 3.86%, 01/15/53 | | | |
Series 2021-C, Class D, 3.93%, 01/15/53 | | | |
Sofi Professional Loan Program LLC, Series 2018-A, Class R1, 0.00%, 02/25/42(a)(f) | | | |
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-WF2, Class M8, (1 mo. Term SOFR + 1.91%), 7.26%, 05/25/35(b) | | | |
Tricon Residential Trust(a) | | | |
Series 2021-SFR1, Class F, 3.69%, 07/17/38 | | | |
Series 2021-SFR1, Class G, 4.13%, 07/17/38 | | | |
| | | |
Total Asset-Backed Securities — 6.9%
(Cost: $140,055,134) | |
| | | |
| |
| | | |
| | | |
Lionsgate Studios Corp.(g) | | | |
| | | |
| | | |
| |
| | | |
Contemporary Amperex Technology Co. Ltd., Class A | | | |
| | | |
| | | |
| |
Novo Nordisk A/S, Class B | | | |
| |
| | | |
| | | |
| | | |
LVMH Moet Hennessy Louis Vuitton SE | | | |
| | | |
| | | |
| |
| | | |
Bayerische Motoren Werke AG | | | |
Mercedes-Benz Group AG, Class N | | | |
Siemens AG, Class N, Registered Shares | | | |
| | | |
| |
| | | |
| |
Think & Learn Private Ltd., Class J-B, (Acquired 12/11/20, Cost: $5,113,105)(f)(g)(h) | | | |
| |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
Mitsubishi UFJ Financial Group, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
122024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
| |
| | | |
| |
| | | |
Puig Brands SA, Class B(g) | | | |
| | | |
| |
Volta Trucks, Series C, (Acquired 02/22/22, Cost: $322,253)(f)(g)(h) | | | |
| |
On Holding AG, Class A(g) | | | |
UBS Group AG, Registered Shares | | | |
| | | |
| |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Teya Services Ltd., (Acquired 11/16/21, Cost: $2,398,802)(f)(g)(h) | | | |
| | | |
| |
ACV Auctions, Inc., Class A(g) | | | |
| | | |
Advanced Micro Devices, Inc.(g) | | | |
| | | |
| | | |
Altice USA, Inc., Class A(g) | | | |
| | | |
AMC Networks, Inc., Class A(g) | | | |
| | | |
| | | |
| | | |
Astra Space, Inc., Class A(g) | | | |
| | | |
| | | |
Boston Scientific Corp.(g)(i) | | | |
| | | |
| | | |
| | | |
Caesars Entertainment, Inc.(g) | | | |
Centuri Holdings, Inc.(g) | | | |
CF Industries Holdings, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Confluent, Inc., Class A(g) | | | |
| | | |
Constellium SE, Class A(g) | | | |
| | | |
| | | |
Crowdstrike Holdings, Inc., Class A(g) | | | |
Crown PropTech Acquisitions(f)(g) | | | |
| | | |
United States (continued) | |
Crown PropTech Acquisitions, Class A(g) | | | |
Customers Bancorp, Inc.(g) | | | |
| | | |
Davidson Kempner Merchant Co-Investment Fund LP, (Acquired 04/01/21, Cost: $908,457)(h)(j) | | | |
| | | |
| | | |
| | | |
Edwards Lifesciences Corp.(g) | | | |
| | | |
Enterprise Products Partners LP | | | |
Epic Games, Inc., (Acquired 03/29/21, Cost: $2,499,240)(f)(g)(h) | | | |
| | | |
Fanatics Holdings, Inc., (Acquired 12/15/21, Cost: $8,566,971)(f)(g)(h) | | | |
First Citizens BancShares, Inc., Class A | | | |
| | | |
| | | |
| | | |
Formentera Partners Fund II LP(f)(j) | | | |
| | | |
Freeport-McMoRan, Inc.(i) | | | |
| | | |
| | | |
| | | |
Golden Entertainment, Inc. | | | |
Goldman Sachs Group, Inc. | | | |
| | | |
| | | |
Hawkeye 360, Series D1(f)(g) | | | |
Hilton Worldwide Holdings, Inc. | | | |
HNG Hospitality Offshore LP, (Acquired 02/16/24, Cost: $2,660,000)(f)(g)(h) | | | |
| | | |
International Bancshares Corp. | | | |
Intuitive Surgical, Inc.(g) | | | |
Invesco S&P 500 Equal Weight ETF | | | |
| | | |
| | | |
| | | |
Landbridge Co. LLC, Class A(g) | | | |
| | | |
| | | |
| | | |
Lions Gate Entertainment Corp., Class A(g) | | | |
Lions Gate Entertainment Corp., Class B(g) | | | |
| | | |
| | | |
| | | |
Marsh & McLennan Cos., Inc. | | | |
Mastercard, Inc., Class A | | | |
| | | |
| | | |
Meta Platforms, Inc., Class A | | | |
| | | |
| | | |
Mirion Technologies, Inc., Class A(g) | | | |
Mythic AI, Inc., Series C, (Acquired 01/26/21, Cost: $560,518)(f)(g)(h) | | | |
New York Community Bancorp, Inc., Class A | | | |
| | | |
Consolidated Schedule of Investments13
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) | |
| | | |
| | | |
| | | |
| | | |
Paramount Global, Class B | | | |
Park Hotels & Resorts, Inc. | | | |
Playstudios, Inc., Class A(g) | | | |
| | | |
| | | |
| | | |
| | | |
Sarcos Technology & Robotics Corp.(g) | | | |
Screaming Eagle Acquisition Crop., (Acquired 05/14/24, Cost: $1,168,975)(g)(h) | | | |
| | | |
| | | |
| | | |
| | | |
Smith Douglas Homes Corp., Class A(g) | | | |
Snorkel AI, Inc., (Acquired 06/30/21, Cost: $189,563)(f)(g)(h) | | | |
Sonder Holdings, Inc., Class A(g) | | | |
Space Exploration Technologies Corp., (Acquired 08/21/23, Cost: $1,663,335), A shares(f)(g)(h) | | | |
Space Exploration Technologies Corp., (Acquired 08/21/23, Cost: $1,785,240), C shares(f)(g)(h) | | | |
| | | |
Sun Country Airlines Holdings, Inc.(g) | | | |
| | | |
Texas Capital Bancshares, Inc.(g) | | | |
Thermo Fisher Scientific, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Vertex Pharmaceuticals, Inc.(g) | | | |
| | | |
| | | |
Volato Group, Inc., Class A Lock Up(g) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Total Common Stocks — 55.4%
(Cost: $840,382,849) | |
| | | |
|
|
YPF SA, 9.50%, 01/17/31(a) | | | |
| | | |
|
Mineral Resources Ltd., 9.25%, 10/01/28(a) | | | |
Oceana Australian Fixed Income Trust, A Note | | | |
| | | |
| | | |
| | | |
| | | |
|
Anheuser-Busch InBev SA, 4.00%, 09/24/25(d) | | | |
KBC Group NV, (1-year UK Government Bond + 0.92%), 1.25%, 09/21/27(b)(d) | | | |
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28(a) | | | |
| | | |
|
Azul Secured Finance LLP, 11.93%, 08/28/28(a) | | | |
Banco Votorantim SA, 4.50%, 09/24/24(d) | | | |
Braskem Netherlands Finance BV, (5-year CMT + 8.22%), 8.50%, 01/23/81(a)(b) | | | |
Cosan Luxembourg SA, 7.25%, 06/27/31(a) | | | |
MC Brazil Downstream Trading SARL, 7.25%, 06/30/31(d) | | | |
Samarco Mineracao SA, (9.00% PIK), 9.00%, 06/30/31(d)(l) | | | |
St Marys Cement, Inc./Canada, 5.75%, 04/02/34(a) | | | |
Vale Overseas Ltd., 6.40%, 06/28/54 | | | |
| | | |
|
Garda World Security Corp., 9.50%, 11/01/27(a) | | | |
HR Ottawa LP, 11.00%, 03/31/31(a) | | | |
Rogers Communications, Inc., 3.80%, 03/15/32 | | | |
Toronto-Dominion Bank, 2.88%, 04/05/27(d) | | | |
| | | |
|
AES Andes SA, (5-year CMT + 3.84%), 8.15%, 06/10/55(a)(b) | | | |
Empresa Nacional del Petroleo, 6.15%, 05/10/33(a) | | | |
Engie Energia Chile SA, 3.40%, 01/28/30(d) | | | |
Kenbourne Invest SA, 6.88%, 11/26/24(a) | | | |
| | | |
|
Fantasia Holdings Group Co. Ltd.(d) | | | |
| | | |
| | | |
| | | |
Fortune Star BVI Ltd., 5.05%, 01/27/27(d) | | | |
NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, 05/01/30 | | | |
| | | |
|
Liberty Costa Rica Senior Secured Finance, 10.88%, 01/15/31(a) | | | |
Dominican Republic — 0.0% |
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(a) | | | |
142024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
|
| | | |
| | | |
| | | |
| | | |
| | | |
Bertrand Franchise Finance SAS(d) | | | |
| | | |
(3-mo. EURIBOR + 3.75%), 7.49%, 07/18/30(b) | | | |
| | | |
| | | |
| | | |
Lion/Polaris Lux 4 SA, 07/01/29(b)(c)(d) | | | |
Picard Groupe SAS, 07/01/29(c)(d) | | | |
RCI Banque SA, 10/09/34(b)(c)(d) | | | |
Sabena Technics Sas, (Acquired 10/28/22, Cost: $2,050,153), 8.72%, 09/30/29(f)(h) | | | |
Societe Generale SA, 1.88%, 10/03/24(d) | | | |
TotalEnergies Capital International SA, 1.66%, 07/22/26(d) | | | |
Worldline SA/France, 0.00%, 07/30/26(d)(n)(o) | | | |
| | | |
|
Adler Pelzer Holding GmbH, 9.50%, 04/01/27(a) | | | |
APCOA Parking Holdings GmbH, (3-mo. EURIBOR + 5.00%), 8.91%, 01/15/27(a)(b) | | | |
Fraport AG Frankfurt Airport Services Worldwide, 4.25%, 06/11/32(d) | | | |
Lanxess AG, (13.35% PIK), 13.35%, 03/31/31(f)(l) | | | |
PrestigeBidCo GmbH, 07/01/29(b)(c)(d) | | | |
Tele Columbus AG, (10.00% PIK), 10.00%, 01/01/29(d)(l) | | | |
Volkswagen Financial Services NV, 1.88%, 12/03/24(d) | | | |
| | | |
|
Kosmos Energy Ltd., 7.50%, 03/01/28(d) | | | |
|
FWD Group Holdings Ltd., 8.40%, 04/05/29 | | | |
Melco Resorts Finance Ltd., 5.38%, 12/04/29 | | | |
| | | |
|
CA Magnum Holdings, 5.38%, 10/31/26(d) | | | |
Continuum Energy Pte. Ltd., 09/13/27(a)(c)(f) | | | |
Muthoot Finance Ltd., 7.13%, 02/14/28(a) | | | |
Network i2i Ltd., (5-year CMT + 3.39%), 3.98%, 12/31/79(b)(d) | | | |
ReNew Pvt Ltd., 5.88%, 03/05/27(d) | | | |
Vedanta Resources Finance II PLC(d) | | | |
| | | |
| | | |
| | | |
|
Medco Oak Tree Pte. Ltd., 7.38%, 05/14/26 | | | |
Pertamina Persero PT, 3.65%, 07/30/29 | | | |
| | | |
| | | |
|
ASG Finance Designated Activity Co., 9.75%, 05/15/29(a) | | | |
|
Energean Israel Finance Ltd., 8.50%, 09/30/33 | | | |
Leviathan Bond Ltd., 6.75%, 06/30/30 | | | |
| | | |
|
A2A SpA, (5-year EURIBOR ICE Swap + 2.26%), 5.00%(b)(d)(p) | | | |
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28(d) | | | |
Fiber Midco SpA, (10.00% PIK), 10.00%, 06/15/29(d)(l) | | | |
Forno d’Asolo SpA, (3-mo. EURIBOR + 5.50%), 9.21%, 04/30/27(a)(b) | | | |
IMA Industria Macchine Automatiche SpA, (3-mo. EURIBOR + 3.75%), 7.65%, 04/15/29(b)(d) | | | |
| | | |
| | | |
(3-mo. EURIBOR + 3.25%), 7.05%, 06/01/31(b) | | | |
Marcolin SpA, 6.13%, 11/15/26(a) | | | |
| | | |
| | | |
(3-mo. EURIBOR + 4.25%), 8.07%, 05/17/31(b) | | | |
Shiba Bidco SpA, 4.50%, 10/31/28(a) | | | |
UnipolSai Assicurazioni SpA, 4.90%, 05/23/34(d) | | | |
| | | |
|
Rakuten Group, Inc., 9.75%, 04/15/29(a) | | | |
SoftBank Group Corp.(c)(d) | | | |
| | | |
| | | |
| | | |
|
Aston Martin Capital Holdings Ltd. | | | |
| | | |
| | | |
| | | |
|
MEGlobal BV, 4.25%, 11/03/26(d) | | | |
|
Herens Midco SARL, 5.25%, 05/15/29 | | | |
Sani/Ikos Financial Holdings 1 SARL, 5.63%, 12/15/26 | | | |
| | | |
|
MGM China Holdings Ltd., 5.88%, 05/15/26 | | | |
Studio City Co. Ltd., 7.00%, 02/15/27 | | | |
| | | |
|
Braskem Idesa SAPI, 6.99%, 02/20/32(a) | | | |
| | | |
| | | |
| | | |
Consolidated Schedule of Investments15
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
|
Petroleos Mexicanos (continued) | | | |
| | | |
| | | |
| | | |
|
OCP SA, 7.50%, 05/02/54(a) | | | |
|
ING Groep NV, 3.00%, 02/18/26(d) | | | |
Q-Park Holding I BV, 02/15/30(c)(d) | | | |
Sigma Holdco BV, 5.75%, 05/15/26(d) | | | |
Sunrise FinCo I BV, 4.88%, 07/15/31(a) | | | |
Trivium Packaging Finance BV, 8.50%, 08/15/27(a) | | | |
| | | |
|
AES Panama Generation Holdings SRL, 4.38%, 05/31/30(d) | | | |
|
Pluspetrol Camisea SA/Pluspetrol Lote 56 SA, 07/03/36(a)(c) | | | |
|
EIG Pearl Holdings SARL, 3.55%, 08/31/36(a) | | | |
|
Sasol Financing USA LLC, 6.50%, 09/27/28 | | | |
|
| | | |
| | | |
| | | |
| | | |
|
Banco Santander SA, (1-year UK Government Bond + 1.80%), 3.13%, 10/06/26(b) | | | |
Kaixo Bondco Telecom SA, 5.13%, 09/30/29 | | | |
Telefonica Emisiones SA, 5.38%, 02/02/26 | | | |
| | | |
|
Intrum AB, 3.00%, 09/15/27(d) | | | |
| | | |
| | | |
| | | |
Verisure Midholding AB, 5.25%, 02/15/29(d) | | | |
| | | |
|
UBS Group AG, (1-year EURIBOR ICE Swap + 0.77%), 0.65%, 01/14/28(b)(d) | | | |
|
Bangkok Bank PCL/Hong Kong | | | |
| | | |
| | | |
| | | |
|
Sisecam U.K. PLC, 8.25%, 05/02/29(a) | | | |
|
Metinvest BV, 7.65%, 10/01/27(d) | | | |
| | | |
|
NAK Naftogaz Ukraine via Kondor Finance PLC | | | |
| | | |
| | | |
| | | |
United Arab Emirates — 0.2% |
DAE Funding LLC, 1.55%, 08/01/24(d) | | | |
DP World Salaam, (5-year CMT + 5.75%), 6.00%(b)(d)(p) | | | |
GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC, 7.13%, 07/31/26(a) | | | |
Shelf Drilling Holdings Ltd., 9.63%, 04/15/29(a) | | | |
| | | |
|
10X future Technologies Service Ltd., (Acquired 12/19/23, Cost: $1,609,686), 06/19/26(c)(f)(h)(l) | | | |
| | | |
| | | |
| | | |
BCP V Modular Services Finance II PLC, 6.13%, 11/30/28(a) | | | |
BCP V Modular Services Finance PLC, 6.75%, 11/30/29(a) | | | |
CPUK Finance Ltd., 7.88%, 08/28/29(d) | | | |
Deuce Finco PLC, 5.50%, 06/15/27(a) | | | |
HSBC Holdings PLC, (3-mo. LIBOR GBP + 1.31%), 1.75%, 07/24/27(b) | | | |
Informa PLC, 3.13%, 07/05/26(d) | | | |
Kane Bidco Ltd., 6.50%, 02/15/27(a) | | | |
Lloyds Banking Group PLC, 2.25%, 10/16/24(d) | | | |
| | | |
(1-year GBP Swap + 1.49%), 2.88%, 09/19/26 | | | |
(1-year GBP Swap + 2.01%), 3.13%, 03/28/27 | | | |
Santander U.K. Group Holdings PLC, 3.63%, 01/14/26(d) | | | |
Thames Water Utilities Finance PLC, 4.00%, 06/19/25(d) | | | |
| | | |
|
| | | |
| | | |
| | | |
Affinity Interactive, 6.88%, 12/15/27(a) | | | |
Alexander Funding Trust II, 7.47%, 07/31/28(a) | | | |
Alexandria Real Estate Equities, Inc., 2.95%, 03/15/34 | | | |
Allied Universal Holdco LLC/Allied Universal Finance Corp., 9.75%, 07/15/27(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Amkor Technology, Inc., 6.63%, 09/15/27(a) | | | |
Aon North America, Inc., 5.30%, 03/01/31 | | | |
Aptiv PLC/Aptiv Corp., 3.25%, 03/01/32 | | | |
Ardagh Packaging Finance PLC/Ardagh Holdings | | | |
| | | |
| | | |
162024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) |
| | | |
| | | |
| | | |
Bank of America Corp., (1-day SOFR + 1.53%), 1.90%, 07/23/31(b) | | | |
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28(a) | | | |
BG Energy Capital PLC, 5.13%, 12/01/25(d) | | | |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(a) | | | |
Breeze Aviation Group, Inc., (20.00% PIK), 20.00%, 01/30/28(f)(h)(l) | | | |
Broadcom, Inc., 3.42%, 04/15/33(a) | | | |
Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.75%, 07/15/28(a) | | | |
Cinemark Holdings, Inc., 4.50%, 08/15/25(n) | | | |
| | | |
| | | |
(1-day SOFR + 1.36%), 5.17%, 02/13/30(b) | | | |
Citizens Bank NA/Providence RI, (1-day SOFR + 1.45%), 6.06%, 10/24/25(b) | | | |
Cloud Software Group, Inc.(a) | | | |
| | | |
| | | |
Clydesdale Acquisition Holdings, Inc., 8.75%, 04/15/30(a) | | | |
CommScope Technologies LLC, 6.00%, 06/15/25(a) | | | |
CommScope, Inc., 6.00%, 03/01/26(a) | | | |
| | | |
| | | |
| | | |
| | | |
DISH DBS Corp., 5.88%, 11/15/24 | | | |
| | | |
| | | |
| | | |
EquipmentShare.com, Inc., 9.00%, 05/15/28(a) | | | |
Flyr Secured Notes, (10.33% PIK), 10.33%, 05/10/27(f)(l) | | | |
Forestar Group, Inc., 5.00%, 03/01/28(a) | | | |
Freed Corp., 12.00%, 11/30/28(f) | | | |
Freewire Technology Notes, (6.00% PIK), 6.00%, 02/20/28(f)(l) | | | |
Frontier Communications Holdings LLC(a) | | | |
| | | |
| | | |
Frontier Florida LLC, Series E, 6.86%, 02/01/28 | | | |
Full House Resorts, Inc., 8.25%, 02/15/28(a) | | | |
General Motors Co., 5.60%, 10/15/32 | | | |
Goldman Sachs Group, Inc., 7.25%, 04/10/28 | | | |
GoTo Group, Inc., 5.50%, 05/01/28(a) | | | |
HCA, Inc., 3.63%, 03/15/32 | | | |
| | | |
| | | |
| | | |
Insight M, Inc., 7.00%, 01/25/29(f) | | | |
| | | |
(1-day SOFR + 1.62%), 5.34%, 01/23/35 | | | |
(3-mo. LIBOR GBP + 0.68%), 0.99%, 04/28/26(d) | | | |
Kraft Heinz Foods Co., 3.75%, 04/01/30 | | | |
Landsea Homes Corp., 11.00%, 07/17/28(f) | | | |
Lessen, Inc., 13.82%, 01/05/28(a)(f) | | | |
Level 3 Financing, Inc.(a) | | | |
| | | |
| | | |
United States (continued) |
Level 3 Financing, Inc.(a) (continued) | | | |
| | | |
Lightning eMotors, Inc., 7.50%, 05/15/24(a)(n) | | | |
Lions Gate Capital Holdings 1, Inc., 5.50%, 04/15/29(a) | | | |
Lowe’ s Cos., Inc., 2.63%, 04/01/31 | | | |
| | | |
(1-day SOFR + 1.02%), 1.93%, 04/28/32 | | | |
(1-day SOFR + 1.73%), 5.47%, 01/18/35 | | | |
Nationstar Mortgage Holdings, Inc.(a) | | | |
| | | |
| | | |
| | | |
NCR Atleos Corp., 9.50%, 04/01/29(a) | | | |
Paramount Global, 7.88%, 07/30/30 | | | |
Pfizer Investment Enterprises Pte. Ltd., 4.75%, 05/19/33 | | | |
Pioneer Midco Notes, (10.50% PIK), 10.50%, 11/18/30(a)(f)(l) | | | |
Pitney Bowes, Inc., 6.88%, 03/15/27(a) | | | |
Rand Parent LLC, 8.50%, 02/15/30(a) | | | |
Republic Services, Inc., 1.45%, 02/15/31 | | | |
RingCentral, Inc., 8.50%, 08/15/30(a) | | | |
| | | |
| | | |
| | | |
Sally Holdings LLC/Sally Capital, Inc., 6.75%, 03/01/32 | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Sonder Bridge Notes, (10.00% PIK), 10.00%, 12/31/24(f)(l) | | | |
Sonder Holdings, Inc., (14.35% PIK), 14.35%, 12/10/26(f)(l) | | | |
Spirit AeroSystems, Inc.(a) | | | |
| | | |
| | | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(a) | | | |
Stem, Inc., 0.50%, 12/01/28(a)(n) | | | |
Talen Energy Supply LLC, 8.63%, 06/01/30(a) | | | |
Tenneco, Inc., 8.00%, 11/17/28(a) | | | |
Texas Capital Bancshares, Inc., (5-year CMT + 3.15%), 4.00%, 05/06/31(b) | | | |
Texas Capital Bank NA, (1-mo. LIBOR US + 4.50%), 9.96%, 09/30/24(a)(b) | | | |
T-Mobile U.S., Inc., 2.70%, 03/15/32 | | | |
Transocean Titan Financing Ltd., 8.38%, 02/01/28(a) | | | |
Transocean, Inc., 8.25%, 05/15/29(a) | | | |
Truist Financial Corp., (1-day SOFR + 1.62%), 5.44%, 01/24/30(b) | | | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(a) | | | |
Univision Communications, Inc., 8.00%, 08/15/28(a) | | | |
Vantage Drilling International, 9.50%, 02/15/28(a) | | | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(a) | | | |
Consolidated Schedule of Investments17
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) |
Verizon Communications, Inc., 1.13%, 11/03/28 | | | |
Vistra Operations Co. LLC, 7.75%, 10/15/31(a) | | | |
Westbay, 11.00%, 02/06/30(f) | | | |
Zayo Group Holdings, Inc., 4.00%, 03/01/27(a) | | | |
| | | |
|
First Quantum Minerals Ltd., 9.38%, 03/01/29(a) | | | |
Total Corporate Bonds — 12.4%
(Cost: $237,751,933) | |
Fixed Rate Loan Interests |
|
Vedanta Hold Mauritius II Ltd., Delayed Draw Term Loan, 18.00%, 04/17/26(f) | | | |
|
AMF MF Portfolio, Term Loan, 6.67%, 11/01/28 | | | |
CML ST Regis Aspen, Term Loan, 7.27%, 02/09/27 | | | |
OD Intermediate SUBI Holdco II LLC, Mezzanine Term Loan, 10.00%, 04/01/26 | | | |
| | | |
Total Fixed Rate Loan Interests — 0.7%
(Cost: $12,558,482) | |
Floating Rate Loan Interests(b) |
|
Finco Utilitas BV, EUR Term Loan B, 09/26/30(q) | | | |
|
Ecopetrol SA, 2023 Term Loan, (6-mo. CME Term SOFR at 0.00% Floor + 4.75%), 10.00%, 09/06/30(f) | | | |
|
HomeVi S.a.S., 2024 EUR Term Loan B, 10/31/29(q) | | | |
|
Apleona Holding GmbH, 2024 EUR Term Loan B3, 04/28/28(q) | | | |
|
Promontoria Beech Designated Activity Co., EUR Term Loan, (1-mo. EURIBOR + 3.75%), 7.35%, 05/17/27(f) | | | |
|
| | | |
EUR Term Loan B, (6-mo. EURIBOR at 0.00% Floor + 7.00%), 10.74%, 07/06/27 | | | |
GBP Incremental Term Loan, (1-day SONIA + 7.00%), 12.19%, 07/06/27 | | | |
| | | |
|
Euro Parfums Fze, Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 6.75%), 11.98%, 06/23/28 | | | |
Speed Midco 3 S.a r.l., EUR Term Loan B2, (3-mo. EURIBOR + 4.95%), 8.66%, 05/16/29 | | | |
| | | |
| | | |
|
Cypher Bidco BV, EUR Term Loan, (6-mo. EURIBOR + 4.50%), 8.34%, 03/01/28(f) | | | |
Median BV, 2021 EUR Term Loan B, 10/14/27(q) | | | |
Peer Holding III BV, 2024 EUR Term Loan B6, 06/20/31(q) | | | |
Upfield BV, 2023 GBP Term Loan B8, (1-day SONIA at 0.00% Floor + 5.75%), 10.98%, 01/03/28 | | | |
| | | |
|
Sector Alarm Holding AS, 2024 EUR Term Loan B, 06/12/29(q) | | | |
|
Aernnova Aerospace S.A.U, 2024 EUR Term Loan B, 02/27/30 | | | |
Cervantes Bidco SL, 2024 EUR 1st Lien Term Loan B, 06/13/31 | | | |
| | | |
|
Alorica, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 1.50% Floor + 6.88%), 12.22%, 12/21/27(f) | | | |
Altar Bidco, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.60%), 10.40%, 02/01/30 | | | |
CML Hyatt Lost Pines, Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 3.55%), 8.87%, 09/09/26(f) | | | |
CML La Quinta Resort, Term Loan, (1-mo. CME Term SOFR + 3.20%), 8.53%, 12/09/26(f) | | | |
Coreweave Compute Acquisition Co. II, LLC(f) | | | |
2024 Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 6.00%), 11.33%, 05/16/29 | | | |
Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.00% Floor +9.62%), 14.90%, 06/30/28 | | | |
Cotiviti, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 05/01/31 | | | |
ECL Entertainment LLC, 2024 Term Loan B, (1-mo. CME Term SOFR at 0.00% Floor + 4.00%), 9.34%, 08/31/30 | | | |
EIS Buyer, Inc., Revolver, (1-mo. CME Term SOFR at 0.75% Floor + 7.00%), 12.35%, 07/10/28(f) | | | |
EIS Group, Inc., Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.00%), 12.35%, 05/01/28(f) | | | |
Emerald Electronics Manufacturing Services, Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.40%), 11.75%, 12/29/27(f) | | | |
Galaxy Universal LLC, 1st Lien Term Loan, (6-mo. CME Term SOFR at 1.00% Floor + 6.50%), 11.79%, 11/12/26(f) | | | |
| | | |
2024 First Out Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.85%), 10.18%, 04/28/28 | | | |
2024 Second Out Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.85%), 10.18%, 04/28/28 | | | |
182024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) |
Green Plains Operating Co. LLC, Term Loan, (3-mo. LIBOR US at 0.00% Floor + 8.00%), 13.60%, 07/20/26(f) | | | |
Helios Service Partners LLC, 2023 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 6.51%), 11.85%, 03/19/27(f) | | | |
Hydrofarm Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 5.61%), 10.96%, 10/25/28(f) | | | |
Indy U.S. Holdco LLC, 2024 EUR Term Loan B, 03/06/28(q) | | | |
Level 3 Financing Inc., 2024 Extended Term Loan B1, (1-mo. CME Term SOFR at 2.00% Floor + 6.56%), 11.90%, 04/15/29 | | | |
Lumen Technologies, Inc., 2024 Term Loan A, 06/01/28(q) | | | |
| | | |
2024 PIK Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.50%), 12.80%, 06/03/28 | | | |
2024 Second Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.50%), 12.80%, 06/03/28 | | | |
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 7.10%), 12.44%, 11/01/29 | | | |
Nidda Healthcare Holding GmbH, 2024 EUR Term Loan B3, 02/21/30(q) | | | |
Orion Group Holdco LLC(f) | | | |
2022 1st Amendment Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.76%), 12.10%, 03/19/27 | | | |
2022 First A&R Amendment Incremental DDTL, (3-mo. CME Term SOFR at 1.00% Floor + 6.76%), 12.10%, 03/19/27 | | | |
2023 Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.51%), 11.85%, 03/19/27 | | | |
Delayed Draw Term Loan, (3-mo. CME Term SOFR + 6.26%), 11.60%, 03/19/27 | | | |
First Lien Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.60%, 03/19/27 | | | |
First Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.60%, 03/19/27 | | | |
Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.60%, 03/19/27 | | | |
| | | |
PIK Revolver, 0.00%, 02/16/29 | | | |
PIK Term Loan, (Prime + 5.00%), 13.50%, 02/16/29 | | | |
Quartz Acquireco LLC, 2024 Term Loan B, (3-mo. CME Term SOFR at 0.00% Floor + 2.75%), 8.08%, 06/28/30(f) | | | |
| | | |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 7.86%), 13.21%, 04/27/29 | | | |
| | | |
United States (continued) |
Redstone Holdco 2 LP (continued) | | | |
2021 Term Loan, (1-mo. CME Term SOFR + 4.86%), 10.21%, 04/27/28 | | | |
Waystar Technologies, Inc., 2024 USD Term Loan B, 10/22/29(q) | | | |
Xerox Corp., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.34%, 11/17/29 | | | |
| | | |
Total Floating Rate Loan Interests — 5.2%
(Cost: $101,504,518) | |
Foreign Agency Obligations |
| |
Bahrain Government International Bond, 5.45%, 09/16/32(d) | | | |
| |
Brazil Letras do Tesouro Nacional, 0.00%, 07/01/24(o) | | | |
Brazilian Government International Bond, 7.13%, 05/13/54 | | | |
| | | |
| |
Chile Government International Bond, 4.34%, 03/07/42 | | | |
| |
Colombia Government International Bond, 8.00%, 04/20/33 | | | |
| |
Costa Rica Government International Bond, 7.30%, 11/13/54(a) | | | |
Dominican Republic — 0.1% | |
Dominican Republic International Bond | | | |
| | | |
| | | |
| | | |
| | | |
| |
Egypt Government International Bond | | | |
| | | |
| | | |
| | | |
| | | |
| |
Guatemala Government Bond | | | |
| | | |
| | | |
| | | |
| | | |
| |
Honduras Government International Bond, 5.63%, 06/24/30(a) | | | |
Consolidated Schedule of Investments19
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
| |
Hungary Government International Bond | | | |
| | | |
| | | |
Magyar Export-Import Bank Zrt, 6.00%, 05/16/29(d) | | | |
| | | |
| |
Indonesia Government International Bond | | | |
| | | |
| | | |
| | | |
| |
Ivory Coast Government International Bond | | | |
| | | |
| | | |
| | | |
| |
Jordan Government International Bond, 4.95%, 07/07/25(d) | | | |
| |
Republic of Kenya Government International Bond, 9.75%, 02/16/31(a) | | | |
| |
Mexico Government International Bond | | | |
| | | |
| | | |
| | | |
| | | |
| |
Montenegro Government International Bond, 2.88%, 12/16/27(d) | | | |
| |
Morocco Government International Bond, 5.95%, 03/08/28(a) | | | |
| |
Nigeria Government International Bond | | | |
| | | |
| | | |
| | | |
| |
Oman Government International Bond | | | |
| | | |
| | | |
| | | |
| |
Panama Government International Bond | | | |
| | | |
| | | |
| | | |
| |
Paraguay Government International Bond, 2.74%, 01/29/33(d) | | | |
| | | |
| |
Corp. Financiera de Desarrollo SA, 4.75%, 07/15/25(d) | | | |
Peruvian Government International Bond | | | |
| | | |
| | | |
| | | |
| |
Republic of Poland Government International Bond | | | |
| | | |
| | | |
| | | |
Republic of North Macedonia — 0.0% | |
North Macedonia Government International Bond, 6.96%, 03/13/27(d) | | | |
| |
Romanian Government International Bond | | | |
| | | |
| | | |
| | | |
| | | |
| |
Saudi Government International Bond, 5.00%, 01/18/53(a) | | | |
| |
Senegal Government International Bond, 6.25%, 05/23/33(d) | | | |
| |
Serbia International Bond, 6.00%, 06/12/34(a) | | | |
| |
Republic of South Africa Government International Bond, 5.88%, 04/20/32 | | | |
| |
| | | |
| | | |
| | | |
| | | |
Trinidad And Tobago — 0.0% | |
Trinidad & Tobago Government International Bond, 6.40%, 06/26/34(a) | | | |
| |
Ukraine Government International Bond | | | |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
202024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
| |
Uruguay Government International Bond, 5.75%, 10/28/34 | | | |
| |
Republic of Uzbekistan International Bond, 5.38%, 05/29/27(a) | | | |
Total Foreign Agency Obligations — 1.8%
(Cost: $38,752,594) | |
| | | |
|
| |
iShares iBoxx $ Investment Grade Corporate Bond ETF(r) | | | |
iShares JP Morgan USD Emerging Markets Bond ETF(r) | | | |
iShares MSCI Brazil ETF(r) | | | |
iShares Russell 2000 ETF(r) | | | |
iShares Russell Mid-Cap Growth ETF(r) | | | |
| | | |
VanEck J. P. Morgan EM Local Currency Bond ETF | | | |
VanEck Semiconductor ETF(g) | | | |
Total Investment Companies — 1.1%
(Cost: $19,939,664) | |
| | | |
|
| |
Florida Development Finance Corp., Refunding RB, AMT, 12.00%, 07/15/32(a)(b) | | | |
| |
Commonwealth of Puerto Rico, GO | | | |
| | | |
Series A-1, 0.00%, 11/01/43 | | | |
| | | |
| |
Port of Beaumont Navigation District, Refunding ARB, Series B, 10.00%, 07/01/26(a) | | | |
Total Municipal Bonds — 0.2%
(Cost: $3,594,037) | |
Non-Agency Mortgage-Backed Securities |
|
Ajax Mortgage Loan Trust(a) | | | |
Series 2020-C, Class C, 0.01%, 09/27/60 | | | |
Series 2020-C, Class RW, 0.00%, 09/25/60 | | | |
Series 2020-D, Class RW, 0.00%, 09/25/60 | | | |
Series 2021-E, Class B3, 3.89%, 12/25/60(b) | | | |
Series 2021-E, Class SA, 0.00%, 12/25/60(b) | | | |
Series 2021-E, Class XS, 0.00%, 12/25/60(b) | | | |
| | | |
United States (continued) |
BAMLL Commercial Mortgage Securities Trust, Series 2017-SCH, Class AL, (1 mo. Term SOFR + 0.95%), 6.28%, 11/15/32(a)(b) | | | |
BFLD Trust, Series 2021-EYP, Class E, (1 mo. Term SOFR + 3.81%), 9.14%, 10/15/35(a)(b) | | | |
BX Commercial Mortgage Trust(a)(b) | | | |
Series 2020-VIV3, Class B, 3.66%, 03/09/44 | | | |
Series 2020-VKNG, Class G, (1 mo. Term SOFR + 3.36%), 8.69%, 10/15/37 | | | |
Series 2021-MFM1, Class G, (1 mo. Term SOFR + 4.01%), 9.34%, 01/15/34 | | | |
BX Trust, Series 2021-VIEW, Class E, (1 mo. Term SOFR + 3.71%), 9.04%, 06/15/36(a)(b) | | | |
Cold Storage Trust, Series 2020-ICE5, Class F, (1 mo. Term SOFR + 3.61%), 8.93%, 11/15/37(a)(b) | | | |
Commercial Mortgage Trust(b) | | | |
Series 2015-CR25, Class C, 4.67%, 08/10/48 | | | |
Series 2019-GC44, Class 180B, 3.51%, 08/15/57(a) | | | |
Credit Suisse Mortgage Capital Certificates | | | |
Series 2020-FACT, Class F, (1 mo. Term SOFR + 6.52%), 11.85%, 10/15/37 | | | |
Series 2020-NET, Class D, 3.83%, 08/15/37 | | | |
Series 2021-BHAR, Class E, (1 mo. Term SOFR + 3.61%), 8.94%, 11/15/38 | | | |
Series 2022-LION, Class A, (1 mo. Term SOFR + 3.44%), 8.77%, 02/15/25(f) | | | |
CSMC Trust, Series 2020-FACT, Class E, (1 mo. Term SOFR + 5.23%), 10.56%, 10/15/37(a)(b) | | | |
Deephaven Residential Mortgage Trust, Series 2021-1, Class B2, 3.96%, 05/25/65(a)(b) | | | |
FREMF Trust, Series 2018-W5FX, Class CFX, 3.79%, 04/25/28(a)(b) | | | |
GS Mortgage Securities Corp. Trust, Series 2021-IP, Class E, (1 mo. Term SOFR + 3.66%), 8.99%, 10/15/36(a)(b) | | | |
Imperial Fund Mortgage Trust, Series 2020-NQM1, Class B1, 4.00%, 10/25/55(a)(b) | | | |
JP Morgan Mortgage Trust(a)(b) | | | |
Series 2021-1, Class A3X, 0.50%, 06/25/51 | | | |
Series 2021-1, Class AX1, 0.12%, 06/25/51 | | | |
Series 2021-1, Class AX4, 0.40%, 06/25/51 | | | |
Series 2021-1, Class B4, 3.02%, 06/25/51 | | | |
Series 2021-1, Class B5, 3.02%, 06/25/51 | | | |
Series 2021-1, Class B6, 2.89%, 06/25/51 | | | |
Series 2021-4, Class B4, 2.90%, 08/25/51 | | | |
Series 2021-4, Class B5, 2.90%, 08/25/51 | | | |
Series 2021-4, Class B6, 2.90%, 08/25/51 | | | |
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class M2, (1 mo. Term SOFR + 0.71%), 6.06%, 06/25/37(a)(b) | | | |
| | | |
| | | |
| | | |
MED Trust, Series 2021-MDLN, Class G, (1 mo. Term SOFR + 5.36%), 10.69%, 11/15/38(a)(b) | | | |
Consolidated Schedule of Investments21
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) |
New Residential Mortgage Loan Trust(a)(b) | | | |
Series 2019-RPL2, Class B3, 4.01%, 02/25/59 | | | |
Series 2021-NQ1R, Class B1, 3.53%, 07/25/55 | | | |
Series 2021-NQ1R, Class B2, 4.33%, 07/25/55 | | | |
Seasoned Credit Risk Transfer Trust, Series 2020-3, Class BXS, 6.46%, 05/25/60(a)(b) | | | |
Seasoned Loans Structured Transaction Trust(a)(b) | | | |
Series 2020-2, Class M1, 4.75%, 09/25/60 | | | |
Series 2020-3, Class M1, 4.75%, 04/26/60 | | | |
Starwood Mortgage Residential Trust, Series 2020- INV, Class B2, 4.26%, 11/25/55(a) | | | |
| | | |
Series 21-1, 0.00%, 02/01/51 | | | |
Series 21-1, Class A, 2.38%, 02/01/51(a) | | | |
Verus Securitization Trust(a)(b) | | | |
Series 2020-5, Class B1, 3.71%, 05/25/65 | | | |
Series 2020-5, Class B2, 4.71%, 05/25/65 | | | |
Series 2021-R2, Class B1, 3.25%, 02/25/64 | | | |
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA6, Class 1A, (12-mo. MTA + 0.81%), 5.96%, 07/25/47(b) | | | |
Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class XA, 1.57%, 05/15/52(b) | | | |
Total Non-Agency Mortgage-Backed Securities — 4.4%
(Cost: $90,601,586) | |
| | | |
|
| |
Sprott Private Resource Streaming(f)(s) | | | |
Total Other Interests — 0.2%
(Cost: $4,681,796) | |
| | | |
|
|
| |
| | | |
| |
Banco Mercantil del Norte SA, 6.75%(a)(p) | | | |
| |
Centrica PLC, 6.50%, 05/21/55(d) | | | |
| | | |
| |
Edison International, 7.88%, 06/15/54 | | | |
Paramount Global, 6.38%, 03/30/62 | | | |
| | | |
| | | |
| | | |
Preferred Stocks — 3.6%(f) |
| |
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: $4,390,747)(g)(h) | | | |
| |
| | | |
| |
Volocopter GmbH, Series D, (Acquired 03/03/21, Cost: $4,145,649)(g)(h) | | | |
| |
| | | |
Series D-2, (Acquired 03/19/21, Cost: $2,130,236) | | | |
Series D-4, (Acquired 09/20/22, Cost: $2,188,898) | | | |
| | | |
| |
10X future Technologies Service Ltd., Series D, (Acquired 12/19/23, Cost: $3,926,032)(g)(h) | | | |
| |
Breeze Aviation Group, Inc., Series B, (Acquired 07/30/21, Cost: $1,800,187)(g)(h) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Coreweave, Inc., 10.00%, 03/25/49(g)(l) | | | |
Databricks, Inc., Series G, (Acquired 02/01/21, Cost: $2,392,693)(g)(h) | | | |
Davidson Homes LLC, 12.00%, 04/01/49(g)(l) | | | |
Dream Finders Homes, Inc., 9.00%, 12/31/49 | | | |
Exo Imaging, Inc., Series C, (Acquired 06/24/21, Cost: $1,482,935)(g)(h) | | | |
GM Cruise Holdings LLC, Class G, (Acquired 03/25/21, Cost: $1,886,159)(g)(h) | | | |
Insight M, Inc., Series D(g) | | | |
| | | |
Series E-1, (Acquired 10/30/20, Cost: $2,052,443) | | | |
Series F, (Acquired 09/03/21, Cost: $443,302) | | | |
222024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) | |
| | | |
MNTN Digital, Inc., Series D, (Acquired 11/05/21, Cost: $1,353,207)(g)(h) | | | |
Noodle Partners, Inc., Series C, (Acquired 08/26/21, Cost: $1,751,669)(g)(h) | | | |
PsiQuantum Corp., Series D, (Acquired 05/21/21, Cost: $945,402)(g)(h) | | | |
| | | |
Relativity Space, Inc., Series E, (Acquired 05/27/21, Cost: $814,688)(g)(h) | | | |
SambaNova Systems, Inc., Series D, (Acquired 04/09/21, Cost: $1,250,247)(g)(h) | | | |
SCI PH Parent, Inc., Series F, (Acquired 02/10/23, Cost: $1,183,000), 12.50%, 12/31/79(g)(h)(l) | | | |
Snorkel AI, Inc., Series C, (Acquired 06/30/21, Cost: $678,934)(g)(h) | | | |
| | | |
Series D-2, (Acquired 05/16/24, Cost: $—) | | | |
Series D-3, (Acquired 05/15/24, Cost: $250,501) | | | |
Ursa Major Technologies, Inc.(g)(h) | | | |
Series C, (Acquired 09/13/21, Cost: $1,732,297) | | | |
Series D, (Acquired 10/14/22, Cost: $235,803) | | | |
Verge Genomics, Inc.(g)(h) | | | |
Series B, (Acquired 11/05/21, Cost: $1,626,608) | | | |
Series C PRVT, (Acquired 09/06/23, Cost: $259,904) | | | |
Versa Networks, Inc., Series E CONV Preferred, (Acquired 10/14/22, Cost: $4,906,958), 12.00%, 10/07/32(g)(h)(l) | | | |
Zero Mass Water, Inc., Series D Preferred, (Acquired 07/05/22, Cost: $271,491)(g)(h) | | | |
| | | |
| | | |
Total Preferred Securities — 3.7%
(Cost: $88,242,084) | |
| | | |
U.S. Government Sponsored Agency Securities |
Commercial Mortgage-Backed Securities — 0.1% | |
Freddie Mac Multifamily Structured Pass Through Certificates, Series KL06, Class XFX, 1.47%, 12/25/29(b) | | | |
Mortgage-Backed Securities(t) — 8.8% | |
Uniform Mortgage-Backed Securities | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Total U.S. Government Sponsored Agency Securities — 8.9%
(Cost: $166,875,202) | |
| | | |
U.S. Treasury Obligations |
U.S. Treasury Notes, 4.63%, 09/30/28(u) | | | |
Total U.S. Treasury Obligations — 0.4%
(Cost: $6,779,968) | |
| | | |
|
| |
Lavoro Ltd., (Issued 12/27/22, Exercisable 12/27/23, 1 Share for 1 Warrant, Expires 12/27/27, Strike Price USD 11.50)(g) | | | |
| |
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)(f)(h) | | | |
Innovid Corp., (Issued/Exercisable 01/28/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50) | | | |
| | | |
| |
10X future Technologies Service Ltd., (Acquired 12/19/23, Cost: $0), (Expires 11/17/30, Strike Price GBP 0.01)(f)(g)(h) | | | |
| |
Cano Health, Inc., (Issued 07/06/20, Exercisable 07/06/21, 0.01 Shares for 1 Warrant, Expires 06/03/26, Strike Price USD 1,150.00) | | | |
Crown PropTech Acquisitions, (Issued 02/05/21, 1 Share for 1 Warrant, Expires 02/01/26, Strike Price USD 11.50)(f) | | | |
Crown PropTech Acquisitions, (Issued/Exercisable 01/25/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50)(f) | | | |
CXApp, Inc., Class A, (Issued/Exercisable 02/02/21, 1 Share for 1 Warrant, Expires 12/15/25, Strike Price USD 11.50) | | | |
Davidson Homes LLC, (Expires 05/16/34, Strike Price USD 8.47)(f) | | | |
EVgo, Inc., (Issued/Exercisable 11/10/20, 1 Share for 1 Warrant, Expires 09/15/25, Strike Price USD 11.50) | | | |
Flyr Warrants, (Issued/Exercisable 05/10/22, 1 Share for 1 Warrant, Expires 05/10/32, Strike Price USD 3.95)(f) | | | |
Hawkeye 360, (Issued 07/07/23, 1 Share for 1 Warrant, Expires 07/07/33, Strike Price USD 11.17)(f) | | | |
Hawkeye 360, (Issued 07/07/23, 1 Share for 1 Warrant, Expires 07/07/33, Strike Price USD 0.01)(f) | | | |
Hippo Holdings, Inc., (Issued/Exercisable 01/04/21, 0.04 Shares for 1 Warrant, Expires 08/02/26, Strike Price USD 287.50) | | | |
| | | |
Consolidated Schedule of Investments23
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) | |
Latch, Inc., (Issued/Exercisable 12/29/20, 1 Share for 1 Warrant, Expires 06/04/26, Strike Price USD 11.50) | | | |
Lightning eMotors, Inc., (Issued/Exercisable 05/13/20, 1 Share for 1 Warrant, Expires 05/18/25, Strike Price USD 11.50) | | | |
New York Community Bancorp, Inc. Series C, PIPE, (Acquired 03/07/24, Cost: $0), (Issued/Exercisable 03/11/24, 1,000 Shares for 1 Warrant, Expires 03/11/31, Strike Price USD 2.50)(f)(h) | | | |
Offerpad Solutions, Inc., (Issued/Exercisable 10/13/20, 1 Share for 1 Warrant, Expires 09/01/26, Strike Price USD 11.50) | | | |
Palladyne AI Corp., (Issued/Exercisable 12/21/20, 1 Share for 1 Warrant, Expires 09/24/26, Strike Price USD 11.50) | | | |
Pear Therapeutics, Inc., (Issued/Exercisable 03/23/21, 1 Share for 1 Warrant, Expires 12/03/26, Strike Price USD 11.50)(f) | | | |
RapidSOS, (Expires 12/13/33, Strike Price USD 0.01)(f) | | | |
Sarcos Technology & Robotics Corp., (Issued 01/15/21, 1 Share for 1 Warrant, Expires 06/15/27, Strike Price USD 69.00) | | | |
| | | |
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)(h) | | | |
Volato Group, Inc., (Acquired 12/03/23, Cost: $48,765), (Expires 12/03/28, Strike Price USD 11.50)(h) | | | |
| | | |
Total Warrants — 0.2%
(Cost: $797,568) | |
Total Long-Term Investments — 101.5%
(Cost: $1,752,517,415) | |
|
Money Market Funds — 5.7% | |
BlackRock Liquidity Funds, T-Fund, Institutional Shares, 5.19%(r)(v) | | | |
Total Short-Term Securities — 5.7%
(Cost: $107,467,123) | |
Options Purchased — 0.2%
(Cost: $4,962,463) | |
Total Investments Before Options Written — 107.4%
(Cost: $1,864,947,001) | |
Options Written — (0.2)%
(Premiums Received: $(3,512,142)) | |
Total Investments, Net of Options Written — 107.2%
(Cost: $1,861,434,859) | |
Liabilities in Excess of Other Assets — (7.2)% | |
| |
| 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. |
| 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. |
| |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step- down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| Non-income producing security. |
| Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $65,828,450, representing 3.5% of its net assets as of period end, and an original cost of $77,512,124. |
| All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary. |
| Investment does not issue shares. |
| 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. |
| Issuer filed for bankruptcy and/or is in default. |
| |
| |
| Perpetual security with no stated maturity date. |
| 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. |
| |
| Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
| Represents or includes a TBA transaction. |
| All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
| Annualized 7-day yield as of period end. |
242024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | Change in
Unrealized
Appreciation
(Depreciation) | | | | Capital Gain
Distributions
from
Underlying
Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Shares | | | | | | | | | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | | | | | | | | | |
iShares JP Morgan USD Emerging Markets Bond ETF | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
iShares Russell Mid-Cap Growth ETF | | | | | | | | | |
| | | | | | | | | |
| Represents net amount purchased (sold). |
Derivative Financial Instruments Outstanding as of Period End
| | | | Value/
Unrealized
Appreciation
(Depreciation) |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
10-Year Australian Treasury Bonds | | | | |
| | | | |
| | | | |
MSCI Emerging Markets Index | | | | |
| | | | |
| | | | |
5-Year U.S. Treasury Note | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
10-Year Japanese Government Treasury Bonds | | | | |
10-Year U.S. Treasury Note | | | | |
10-Year U.S. Ultra Long Treasury Note | | | | |
| | | | |
E-mini Russell 2000 Index | | | | |
| | | | |
| | | | |
2-Year U.S. Treasury Note | | | | |
| | | | |
| | | | |
| All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary. |
Consolidated Schedule of Investments25
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
Forward Foreign Currency Exchange Contracts
| | | | Unrealized
Appreciation
(Depreciation) |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | State Street Bank and Trust Co. | | |
| | | | State Street Bank and Trust Co. | | |
| | | | State Street Bank and Trust Co. | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | State Street Bank and Trust Co. | | |
| | | | | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | State Street Bank and Trust Co. | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | State Street Bank and Trust Co. | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | State Street Bank and Trust Co. | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | State Street Bank and Trust Co. | | |
| | | | State Street Bank and Trust Co. | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
262024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
Forward Foreign Currency Exchange Contracts (continued)
| | | | Unrealized Appreciation (Depreciation) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | | | |
| | | | | | |
| | | | State Street Bank and Trust Co. | | |
| | | | | | |
| |
Exchange-Traded Options Purchased
| | | | | |
| | | | | | | |
| | | | | | | |
InvesCo QQQ Trust, Series 1 | | | | | | | |
| | | | | | | |
| | | | | | | |
Advanced Micro Devices, Inc. | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Crowdstrike Holdings, Inc. | | | | | | | |
| | | | | | | |
| | | | | | | |
iShares China Large-Cap ETF | | | | | | | |
Mastercard, Inc., Class A | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
iShares Biotechnology ETF | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Consolidated Schedule of Investments27
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
Exchange-Traded Options Purchased (continued)
| | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Advanced Micro Devices, Inc. | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
OTC Credit Default Swaptions Purchased
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | |
Bought Protection 5-Year Credit Default Swap, 06/20/29 | | | | | Morgan Stanley & Co. International PLC | | | | | | |
Bought Protection 5-Year Credit Default Swap, 06/20/29 | | | | | | | | | | | |
Bought Protection 5-Year Credit Default Swap, 06/20/29 | | | | | | | | | | | |
| | | | | | | | | | | |
| The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
282024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
OTC Interest Rate Swaptions Purchased
| | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | |
2-Year Interest Rate Swap, 07/20/26 | | | | | | | | | | |
10-Year Interest Rate Swap, 10/25/34 | | | | | | | | | | |
2-Year Interest Rate Swap, 10/26/26 | | | | | | | | | | |
5-Year Interest Rate Swap, 12/19/29 | | | | | | | | | | |
5-Year Interest Rate Swap, 12/19/29 | | | | | | | | | | |
10-Year Interest Rate Swap, 01/25/35 | | | | | Goldman Sachs International | | | | | |
| | | | | | | | | | |
Exchange-Traded Options Written
| | | | | |
| | | | | | | |
InvesCo QQQ Trust, Series 1 | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
iShares China Large-Cap ETF | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Consolidated Schedule of Investments29
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
Exchange-Traded Options Written (continued)
| | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Advanced Micro Devices, Inc. | | | | | | | |
| | | | | | | |
| | | | | | | |
Crowdstrike Holdings, Inc. | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
iShares Biotechnology ETF | | | | | | | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
OTC Currency Options Written
OTC Credit Default Swaptions Written
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | |
Sold Protection 5-Year Credit Default Swap, 06/20/29 | | | | | Morgan Stanley & Co. International PLC | | | | | | |
Sold Protection 5-Year Credit Default Swap, 06/20/29 | | | | | | | | | | | |
| | | | | | | | | | | |
| Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
302024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
OTC Interest Rate Swaptions Written
| | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | |
2-Year Interest Rate Swap, 07/20/26 | | | | | | | | | | |
10-Year Interest Rate Swap, 10/25/34 | | | | | | | | | | |
2-Year Interest Rate Swap, 10/26/26 | | | | | | | | | | |
5-Year Interest Rate Swap, 12/19/29 | | | | | | | | | | |
5-Year Interest Rate Swap, 12/19/29 | | | | | | | | | | |
10-Year Interest Rate Swap, 01/25/35 | | | | | Goldman Sachs International | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
5-Year Interest Rate Swap, 07/03/29 | | | | | Morgan Stanley & Co. International PLC | | | | | |
5-Year Interest Rate Swap, 07/04/29 | | | | | | | | | | |
2-Year Interest Rate Swap, 07/20/26 | | | | | | | | | | |
5-Year Interest Rate Swap, 07/20/29 | | | | | | | | | | |
2-Year Interest Rate Swap, 09/15/26 | | | | | Goldman Sachs International | | | | | |
2-Year Interest Rate Swap, 11/23/26 | | | | | | | | | | |
5-Year Interest Rate Swap, 12/19/29 | | | | | | | | | | |
5-Year Interest Rate Swap, 12/19/29 | | | | | | | | | | |
2-Year Interest Rate Swap, 04/27/27 | | | | | Goldman Sachs International | | | | | |
2-Year Interest Rate Swap, 05/25/27 | | | | | Goldman Sachs International | | | | | |
2-Year Interest Rate Swap, 05/25/27 | | | | | Goldman Sachs International | | | | | |
2-Year Interest Rate Swap, 06/15/27 | | | | | Morgan Stanley & Co. International PLC | | | | | |
5-Year Interest Rate Swap, 06/22/30 | | | | | Goldman Sachs International | | | | | |
5-Year Interest Rate Swap, 06/29/30 | | | | | Morgan Stanley & Co. International PLC | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing
Rate Paid
by the Trust | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
Consolidated Schedule of Investments31
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
Centrally Cleared Credit Default Swaps — Sell Protection
Reference Obligation/Index | Financing
Rate Received
by the Trust | | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| 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 Inflation Swaps
| | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
| | | | |
Eurostat Eurozone HICP Ex Tobacco Unrevised | | | | | | | | | |
Centrally Cleared Interest Rate Swaps
| | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
| | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | Tokyo Overnight Average Rate, 0.08% | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
New Index, Research, 6.86% | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
322024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
Centrally Cleared Interest Rate Swaps (continued)
| | | | | | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) |
| | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
New Index, Research, 6.86% | | | | | | | | | | |
New Index, Research, 6.86% | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
New Index, Research, 6.86% | | | | | | | | | | |
New Index, Research, 6.86% | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | |
OTC Credit Default Swaps — Buy Protection
Reference Obligations/Index | Financing
Rate Paid
by the Trust | | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
American Airlines Group Inc. | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | Morgan Stanley & Co. International PLC | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | Goldman Sachs International | | | | | | |
| | | | | | | | | |
Consolidated Schedule of Investments33
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
OTC Credit Default Swaps — Sell Protection
Reference Obligation/Index | Financing
Rate Received
by the Trust | | | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
Vistra Operations Company LLC | | | | | | | | | | |
| | | Morgan Stanley & Co. International PLC | | | | | | | |
| | | | | | | | | | |
| Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
| | | | | | | | | |
| | | | | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
| | | | Morgan Stanley & Co. International PLC | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
China Fixing Repo Rates 7-Day, 2.30% | | | | Morgan Stanley & Co. International PLC | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
342024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
OTC Interest Rate Swaps (continued)
| | | | | | | | | |
| | | | | | | | | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) |
| | | | | | | | | | | |
| | | | Morgan Stanley & Co. International PLC | | | | | | | |
| | | | | | |
| | | | | Accrued
Unrealized
Appreciation
(Depreciation) | Net Value of
Reference
Entity | Gross
Notional
Amount
Net Asset
Percentage |
Equity Securities Long/Short | | | | | | | |
| | | | | | | |
| | JPMorgan Chase Bank N.A.(e) | | | | | |
| | | | | | | |
| The Trust receives the total return on a portfolio of long positions underlying the total return swap. The Trust pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Trust pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
| Amount includes $71,860 of net dividends and financing fees. |
| Amount includes $9,661 of net dividends and financing fees. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest: |
| | | |
| 0 basis points
USD - 1D Overnight Bank Funding Rate (OBFR01) | 26 basis points
USD - 1D Overnight Bank Funding Rate (OBFR01) | 15-95 basis points
USD - 1D Overnight Bank Funding Rate (OBFR01) |
Consolidated Schedule of Investments35
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
The following table represents the individual long positions and related values of the equity securities underlying the total return swap with Barclays Bank PLC as of period end, termination date 07/28/25:
| | | |
| | | |
| | | |
| | | |
AMC Networks, Inc., Class A | | | |
Total Reference Entity — Long | | | |
Net Value of Reference Entity — Barclays Bank PLC | | |
The following table represents the individual long positions and related values of the equity securities underlying the total return swap with Citibank N.A. as of period end, termination date 10/25/24:
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
AMC Networks, Inc., Class A | | | |
| | | |
Net Value of Reference Entity — Citibank N.A. | | |
The following table represents the individual long and short positions and related values of the equity securities underlying the total return swap with JPMorgan Chase Bank N.A. as of period end, termination date 02/10/25:
| | | |
| | | |
| | | |
| | | |
AMC Networks, Inc., Class A | | | |
| | | |
United States (continued) | | | |
| | | |
| | | |
| | | |
New York Community Bancorp, Inc., Class A | | | |
Total Reference Entity — Long | | | |
| | | |
| | | |
| | | |
Air Transport Services Group, Inc. | | | |
Atlantic Union Bankshares Corp. | | | |
| | | |
Community Bank System, Inc. | | | |
| | | |
Dime Community Bancshares, Inc. | | | |
First Bancorp/Southern Pines NC | | | |
Independent Bank Group, Inc. | | | |
OceanFirst Financial Corp. | | | |
Provident Financial Services, Inc. | | | |
Sandy Spring Bancorp, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | | | |
Vanguard Intermediate-Term Corporate Bond ETF | | | |
| | | |
Total Reference Entity — Short | | | |
Net Value of Reference Entity — JPMorgan Chase Bank N.A. | | |
Balances Reported in the Consolidated Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
| | | | | |
Centrally Cleared Swaps(a) | | | | | |
| | | | | |
| | | | | |
| Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
362024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Consolidated Statement of Assets and Liabilities were as follows:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Assets — Derivative Financial Instruments | | | | | | | |
Futures contracts
Unrealized appreciation on futures contracts(a) | | | | | | | |
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts | | | | | | | |
Options purchased
Investments at value — unaffiliated(b) | | | | | | | |
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps(a) | | | | | | | |
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid | | | | | | | |
| | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | |
Futures contracts
Unrealized depreciation on futures contracts(a) | | | | | | | |
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts | | | | | | | |
Options written
Options written at value | | | | | | | |
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps(a) | | | | | | | |
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received | | | | | | | |
| | | | | | | |
| Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
| Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
For the period ended June 30, 2024, the effect of derivative financial instruments in the Consolidated Statement of Operations was as follows:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Net Realized Gain (Loss) from: | | | | | | | |
| | | | | | | |
Forward foreign currency exchange contracts | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | |
| | | | | | | |
Forward foreign currency exchange contracts | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
| Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Consolidated Schedule of Investments37
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| |
Average notional value of contracts — long | |
Average notional value of contracts — short | |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | |
Average amounts sold — in USD | |
| |
Average value of option contracts purchased | |
Average value of option contracts written | |
Average notional value of swaption contracts purchased | |
Average notional value of swaption contracts written | |
| |
Average notional value — buy protection | |
Average notional value — sell protection | |
| |
Average notional value — pays fixed rate | |
Average notional value — receives fixed rate | |
| |
Average notional value — receives fixed rate | |
| |
| |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Consolidated Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Trust’s derivative assets and liabilities (by type) were as follows:
| | |
Derivative Financial Instruments | | |
| | |
Forward foreign currency exchange contracts | | |
| | |
Swaps — centrally cleared | | |
| | |
Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities | | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | |
Total derivative assets and liabilities subject to an MNA | | |
| Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statement of Assets and Liabilities and reported in the Consolidated Schedule of Investments. |
| Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Consolidated Statement of Assets and Liabilities. |
The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Trust:
| Derivative
Assets
Subject to
an MNA by
Counterparty | Derivatives
Available
for Offset(a) | Non-Cash
Collateral
Received | Cash
Collateral
Received(b) | Net Amount
of Derivative
Assets(c)(d) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Goldman Sachs International | | | | | |
| | | | | |
| | | | | |
Morgan Stanley & Co. International PLC | | | | | |
State Street Bank and Trust Co. | | | | | |
| | | | | |
| | | | | |
382024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
| Derivative
Liabilities
Subject to
an MNA by
Counterparty | Derivatives
Available
for Offset(a) | Non-Cash
Collateral
Pledged(b) | | Net Amount
of Derivative
Liabilities(c)(e) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Goldman Sachs International | | | | | |
| | | | | |
| | | | | |
Morgan Stanley & Co. International PLC | | | | | |
State Street Bank and Trust Co. | | | | | |
| | | | | |
| | | | | |
| The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
| Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
| Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
| Net amount represents the net amount receivable from the counterparty in the event of default. |
| Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Consolidated Statement of Assets and Liabilities. |
| Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Consolidated Financial Statements.
The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Consolidated Schedule of Investments above.
Consolidated Schedule of Investments39
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
Fair Value Hierarchy as of Period End (continued)
| | | | |
Corporate Bonds (continued) | | | | |
| | | | |
| | | | |
| | | | |
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| | | | |
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| | | | |
| | | | |
| | | | |
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| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
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| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Fixed Rate Loan Interests | | | | |
Floating Rate Loan Interests | | | | |
Foreign Agency Obligations | | | | |
| | | | |
| | | | |
Non-Agency Mortgage-Backed Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
U.S. Government Sponsored Agency Securities | | | | |
U.S. Treasury Obligations | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
402024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
Fair Value Hierarchy as of Period End (continued)
| | | | |
Foreign Currency Exchange Contracts | | | | |
| | | | |
| | | | |
Unfunded Floating Rate Loan Interests(a) | | | | |
| | | | |
Investments Valued at NAV(b) | | | | |
| | | | |
Derivative Financial Instruments(c) | | | | |
| | | | |
| | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | |
| | | | |
| | | | |
| Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
| Certain investments of the Trust were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
| 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:
| | | | | Floating
Rate Loan
Interests | Non-Agency
Mortgage-Backed
Securities | |
| | | | | | | |
Opening balance, as of December 31, 2023 | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Accrued discounts/premiums | | | | | | | |
| | | | | | | |
Net change in unrealized appreciation (depreciation)(b)(c) | | | | | | | |
| | | | | | | |
| | | | | | | |
Closing balance, as of June 30, 2024 | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024(c) | | | | | | | |
| | Unfunded Fixed
Rate Loan
Interests | Unfunded Floating
Rate Loan
Interests | | |
| | | | | |
Opening balance, as of December 31, 2023 | | | | | |
| | | | | |
| | | | | |
| | | | | |
Accrued discounts/premiums | | | | | |
| | | | | |
Net change in unrealized appreciation (depreciation)(b)(c) | | | | | |
Consolidated Schedule of Investments41
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
| | Unfunded Fixed Rate Loan Interests | Unfunded Floating Rate Loan Interests | | |
| | | | | |
| | | | | |
Closing balance, as of June 30, 2024 | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024(c) | | | | | |
| Certain Level 3 investments were re-classified between Common Stocks, Fixed Rate Loan Interests, Floating Rate Loan Interests, Unfunded Fixed Rate Loan Interests and Unfunded Floating Rate Loan Interests. |
| Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations. |
| Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 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 Trust’s Level 3 financial instruments as of period end. The table does not include Level 3 financial instruments with values based upon unadjusted third-party pricing information in the amount of $25,898,163. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.
| | | | Range of
Unobservable
Inputs
| Weighted
Average of
Unobservable
Inputs Based
on Fair Value |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Non-Agency Mortgage-Backed Securities | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Floating Rate Loan Interest | | | | | |
| | | | | |
| | | | | |
Fixed Rate Loan Interests | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | Market Adjustment Multiple | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
422024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock Capital Allocation Term Trust (BCAT)
| | | | Range of Unobservable Inputs Utilized(a) | Weighted Average of Unobservable Inputs Based on Fair Value |
| | | | | |
| | | | | |
| | | | | |
| A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
| The fund valued certain of its Level 3 Direct Investments using recent transactions as the best approximation of fair value. The value of Level 3 investments obtained using recent prior transaction prices, for which inputs are unobservable, is $1,579,000 as of June 30, 2024. |
See notes to consolidated financial statements.
Consolidated Schedule of Investments43
Consolidated Schedule of Investments (unaudited)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)(Percentages shown are based on Net Assets)
| | | |
|
Cayman Islands(a)(b) — 1.4% | |
Apidos CLO XXXVI, Series 2021-36A, Class B, (3- mo. CME Term SOFR + 1.86%), 7.19%, 07/20/34 | | | |
Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3- mo. CME Term SOFR + 6.76%), 12.09%, 10/25/34 | | | |
Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3-mo. CME Term SOFR + 3.51%), 8.84%, 07/15/31 | | | |
Birch Grove CLO Ltd., Series 2021-3A, Class D1, (3-mo. CME Term SOFR + 3.46%), 8.79%, 01/19/35 | | | |
BlueMountain CLO Ltd., Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.44%), 6.77%, 10/22/30 | | | |
Carlyle U.S. CLO Ltd., Series 2018-4A, Class A2, (3-mo. CME Term SOFR + 2.06%), 7.39%, 01/20/31 | | | |
| | | |
Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.51%), 8.84%, 10/15/34 | | | |
Series 2021-2A, Class E, (3-mo. CME Term SOFR + 7.01%), 12.34%, 10/15/34 | | | |
Cedar Funding IX CLO Ltd., Series 2018-9A, Class D, (3-mo. CME Term SOFR + 2.86%), 8.19%, 04/20/31 | | | |
Cedar Funding XIV CLO Ltd. | | | |
Series 2021-14A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.19%, 07/15/33 | | | |
Series 2021-14A, Class E, (3-mo. CME Term SOFR + 6.60%), 11.93%, 07/15/33 | | | |
CIFC Funding Ltd., Series 2013-1A, Class CR, (3-mo. CME Term SOFR + 3.81%), 9.14%, 07/16/30 | | | |
Elmwood CLO I Ltd, Series 19-1A, Class 1RR, (3-mo. CME Term SOFR + 1.52%), 6.83%, 04/20/37 | | | |
Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3-mo. CME Term SOFR + 7.06%), 12.39%, 04/20/34 | | | |
Elmwood CLO VII Ltd., Series 2020-4A, Class SUB, 0.00%, 01/17/34 | | | |
Generate CLO Ltd., Series 6A, Class DR, (3-mo. CME Term SOFR + 3.76%), 9.09%, 01/22/35 | | | |
GoldenTree Loan Management U.S. CLO Ltd. | | | |
Series 2019-5A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.14%, 10/20/32 | | | |
Series 2021-11A, Class E, (3-mo. CME Term SOFR + 5.61%), 10.94%, 10/20/34 | | | |
Golub Capital Partners CLO Ltd. | | | |
Series 2021-53A, Class E, (3-mo. CME Term SOFR + 6.96%), 12.29%, 07/20/34 | | | |
Series 2021-55A, Class E, (3-mo. CME Term SOFR + 6.82%), 12.15%, 07/20/34 | | | |
Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.84%, 10/19/34 | | | |
Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3-mo. CME Term SOFR + 5.96%), 11.29%, 10/18/30 | | | |
| | | |
Cayman Islands (continued) | |
Madison Park Funding XXXIV Ltd., Series 2019-34A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.94%, 04/25/32 | | | |
Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.23%, 07/17/34 | | | |
Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3-mo. CME Term SOFR + 3.91%), 9.24%, 01/22/35 | | | |
Myers Park CLO Ltd., Series 2018-1A, Class E, (3- mo. CME Term SOFR + 5.76%), 11.09%, 10/20/30 | | | |
Neuberger Berman CLO XIV Ltd., Series 2012-14A, Class AR2, (3-mo. CME Term SOFR + 1.29%), 6.62%, 01/28/30 | | | |
Neuberger Berman Loan Advisers CLO Ltd., Series 2021-46A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.24%, 01/20/36 | | | |
Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo. CME Term SOFR + 3.31%), 8.64%, 07/15/34 | | | |
OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.29%, 10/25/34 | | | |
OHA Loan Funding Ltd., Series 2013-2A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.63%, 05/23/31 | | | |
| | | |
Series 2013-2A, Class A2R3, (3-mo. CME Term SOFR + 1.76%), 7.08%, 10/17/31 | | | |
Series 2020-3ARR, Class A2R2, (3-mo. CME Term SOFR + 2.30%), 7.62%, 11/15/36 | | | |
Palmer Square Loan Funding Ltd., Series 2021-4A, Class E, (3-mo. CME Term SOFR + 7.77%), 13.10%, 10/15/29 | | | |
Park Avenue Institutional Advisers CLO Ltd., Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.66%), 8.99%, 07/15/34 | | | |
Pikes Peak CLO, Series 2021-11A, Class A1, (3-mo. CME Term SOFR + 1.95%), 7.27%, 07/25/34 | | | |
Rad CLO Ltd., Series 2021-15A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.79%, 01/20/34 | | | |
Regatta XVII Funding Ltd., Series 2020-1A, Class E, (3-mo. CME Term SOFR + 7.87%), 13.20%, 10/15/33 | | | |
Regatta XXIV Funding Ltd. | | | |
Series 2021-5A, Class D, (3-mo. CME Term SOFR + 3.36%), 8.69%, 01/20/35 | | | |
Series 2021-5A, Class E, (3-mo. CME Term SOFR + 7.06%), 12.39%, 01/20/35 | | | |
RR Ltd., Series 2024-28R, Class A1R, (3-mo. CME Term SOFR + 1.55%), 6.84%, 04/15/37 | | | |
RRX Ltd., Series 2022-7A, Class D, (3-mo. CME Term SOFR + 6.85%), 12.18%, 07/15/35 | | | |
Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.79%, 01/20/34 | | | |
Stratus CLO Ltd., Series 2021-1A, Class SUB, 0.00%, 12/29/29 | | | |
442024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)(Percentages shown are based on Net Assets)
| | | |
Cayman Islands (continued) | |
Symphony CLO XXIII Ltd., Series 2020-23A, Class ER, (3-mo. CME Term SOFR + 6.41%), 11.74%, 01/15/34 | | | |
TICP CLO IX Ltd., Series 2017-9A, Class D, (3-mo. CME Term SOFR + 3.16%), 8.49%, 01/20/31 | | | |
TICP CLO XIV Ltd., Series 2019-14A, Class DR, (3- mo. CME Term SOFR + 6.96%), 12.29%, 10/20/32 | | | |
Trestles CLO V Ltd., Series 2021-5A, Class E, (3-mo. CME Term SOFR + 6.61%), 11.94%, 10/20/34 | | | |
| | | |
Series 2019-1A, Class E, (3-mo. CME Term SOFR + 7.30%), 12.63%, 07/20/32 | | | |
Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.51%), 8.84%, 10/25/34 | | | |
Voya CLO Ltd., Series 2019-3A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.23%, 10/17/32 | | | |
Whitebox CLO II Ltd., Series 2020-2A, Class ER, (3-mo. CME Term SOFR + 7.36%), 12.68%, 10/24/34 | | | |
| | | |
Series 2021-3A, Class D, (3-mo. CME Term SOFR + 3.61%), 8.94%, 10/15/34 | | | |
Series 2021-3A, Class E, (3-mo. CME Term SOFR + 7.11%), 12.44%, 10/15/34 | | | |
| | | |
| |
Harvest CLO XXXII DAC, Series 2032X, Class D, (3-mo. EURIBOR + 3.60%), 7.30%, 07/25/37 | | | |
Penta CLO DAC, Series 2024-17X, Class D, 08/15/38(d) | | | |
Tikehau CLO XII DAC, Series 2012X, Class D, 10/20/38(d) | | | |
| | | |
| |
FirstKey Homes Trust, Series 2022-SFR1, Class E1, 5.00%, 05/19/39 | | | |
Home Partners of America Trust | | | |
Series 2021-2, Class F, 3.80%, 12/17/26 | | | |
Series 2021-3, Class F, 4.24%, 01/17/41 | | | |
Mariner Finance Issuance Trust, Series 2021-BA, Class E, 4.68%, 11/20/36 | | | |
Mill City Solar Loan Ltd. | | | |
Series 2019-1A, Class C, 5.92%, 03/20/43 | | | |
Series 2019-1A, Class D, 7.14%, 03/20/43 | | | |
Mosaic Solar Loan Trust, Series 2018-2GS, Class C, 5.97%, 02/22/44 | | | |
New Residential Mortgage Loan Trust, Series 2022- SFR1, Class F, 4.44%, 02/17/39 | | | |
Progress Residential Trust | | | |
Series 2021-SFR10, Class F, 4.61%, 12/17/40 | | | |
Series 2021-SFR11, Class G, 4.69%, 01/17/39 | | | |
Series 2021-SFR9, Class F, 4.05%, 11/17/40 | | | |
Series 2022-SFR1, Class F, 4.88%, 02/17/41 | | | |
Series 2022-SFR1, Class G, 5.52%, 02/17/41 | | | |
Series 2022-SFR3, Class E1, 5.20%, 04/17/39 | | | |
Republic Finance Issuance Trust | | | |
Series 2020-A, Class D, 7.00%, 11/20/30 | | | |
Series 2021-A, Class D, 5.23%, 12/22/31 | | | |
RMF Buyout Issuance Trust, Series 2021-HB1, Class M4, 4.70%, 11/25/31(a) | | | |
| | | |
United States (continued) | |
| | | |
Series 2021-SFR1, Class F, 3.69%, 07/17/38 | | | |
Series 2021-SFR1, Class G, 4.13%, 07/17/38 | | | |
Series 2022-SFR1, Class E2, 5.74%, 04/17/39 | | | |
| | | |
Total Asset-Backed Securities — 3.2%
(Cost: $67,427,445) | |
| | | |
|
| |
| | | |
| | | |
Lionsgate Studios Corp.(e) | | | |
| | | |
| |
| | | |
Contemporary Amperex Technology Co. Ltd., Class A | | | |
| | | |
| |
Novo Nordisk A/S, Class B | | | |
| |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
LVMH Moet Hennessy Louis Vuitton SE | | | |
| | | |
| | | |
| | | |
| |
| | | |
Bayerische Motoren Werke AG | | | |
Mercedes-Benz Group AG, Class N | | | |
Siemens AG, Class N, Registered Shares | | | |
| | | |
| |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
Mitsubishi UFJ Financial Group, Inc. | | | |
Consolidated Schedule of Investments45
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)(Percentages shown are based on Net Assets)
| | | |
| |
| | | |
| | | |
| | | |
| |
| | | |
| | | |
| | | |
| |
| | | |
| |
| | | |
| | | |
| | | |
| |
| | | |
| |
Volta Trucks, Series C, (Acquired 02/22/22, Cost: $293,944)(e)(f)(g) | | | |
| | | |
| | | |
| |
UBS Group AG, Registered Shares | | | |
| |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | | |
| |
| | | |
| | | |
| | | |
| | | |
Teya Services Ltd., (Acquired 11/16/21, Cost: $1,099,370)(e)(f)(g) | | | |
| | | |
| |
| | | |
Advanced Micro Devices, Inc.(e) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Boston Scientific Corp.(e) | | | |
| | | |
Cadence Design Systems, Inc.(e) | | | |
CF Industries Holdings, Inc. | | | |
| | | |
| | | |
Confluent, Inc., Class A(e) | | | |
Constellium SE, Class A(e) | | | |
| | | |
| | | |
Crowdstrike Holdings, Inc., Class A(e) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
United States (continued) | |
Edwards Lifesciences Corp.(e) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Goldman Sachs Group, Inc. | | | |
Hilton Worldwide Holdings, Inc. | | | |
HNG Hospitality Offshore LP, (Acquired 02/16/24, Cost: $2,660,000)(e)(f)(g) | | | |
| | | |
| | | |
Intuitive Surgical, Inc.(e) | | | |
Invesco S&P 500 Equal Weight ETF | | | |
Johnson Controls International PLC | | | |
| | | |
| | | |
| | | |
| | | |
Lions Gate Entertainment Corp., Class A(e) | | | |
Lions Gate Entertainment Corp., Class B(e) | | | |
| | | |
Marsh & McLennan Cos., Inc. | | | |
Mastercard, Inc., Class A | | | |
| | | |
Meta Platforms, Inc., Class A | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Palo Alto Networks, Inc.(e) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Screaming Eagle Acquisition Crop., (Acquired 05/14/24, Cost: $1,168,975)(e)(g) | | | |
| | | |
Smith Douglas Homes Corp., Class A(e) | | | |
| | | |
| | | |
Thermo Fisher Scientific, Inc. | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Vertex Pharmaceuticals, Inc.(e) | | | |
| | | |
Volato Group, Inc., Class A Lock Up(e) | | | |
| | | |
462024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) | |
| | | |
| | | |
| | | |
Total Common Stocks — 59.9%
(Cost: $900,013,304) | |
| | | |
|
|
Oceana Australian Fixed Income Trust, A Note Upsize | | | |
| | | |
| | | |
| | | |
| | | |
|
Anheuser-Busch InBev SA, 4.00%, 09/24/25(c) | | | |
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28(b) | | | |
| | | |
|
Mattamy Group Corp., 5.25%, 12/15/27(b) | | | |
|
| | | |
| | | |
| | | |
| | | |
| | | |
Bertrand Franchise Finance SAS | | | |
| | | |
(3-mo. EURIBOR + 3.75%), 7.49%, 07/18/30(a) | | | |
| | | |
| | | |
| | | |
Lion/Polaris Lux 4 SA, 07/01/29(a)(d) | | | |
Picard Groupe SAS, 07/01/29(d) | | | |
RCI Banque SA, 10/09/34(a)(d) | | | |
Societe Generale SA, 1.88%, 10/03/24 | | | |
TotalEnergies Capital International SA, 1.66%, 07/22/26 | | | |
Worldline SA/France, 0.00%, 07/30/26(i)(j) | | | |
| | | |
|
Adler Pelzer Holding GmbH, 9.50%, 04/01/27(b) | | | |
Commerzbank AG(a)(c)(d)(k) | | | |
Deutsche Bank AG, (5-year EURIBOR ICE Swap + 4.55%), 4.50%(a)(c)(k) | | | |
Fraport AG Frankfurt Airport Services Worldwide, 4.25%, 06/11/32(c) | | | |
Lanxess AG, (13.35% PIK), 13.35%, 03/31/31(f)(l) | | | |
| | | |
|
PrestigeBidCo GmbH, 07/01/29(a)(c)(d) | | | |
Tele Columbus AG, (10.00% PIK), 10.00%, 01/01/29(c)(l) | | | |
| | | |
|
FWD Group Holdings Ltd., 8.40%, 04/05/29(c) | | | |
|
A2A SpA, (5-year EURIBOR ICE Swap + 2.26%), 5.00%(a)(k) | | | |
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28 | | | |
Fiber Midco SpA, (10.00% PIK), 10.00%, 06/15/29(l) | | | |
IMA Industria Macchine Automatiche SpA, (3-mo. EURIBOR + 3.75%), 7.65%, 04/15/29(a) | | | |
| | | |
| | | |
(3-mo. EURIBOR + 4.25%), 8.07%, 05/17/31(a) | | | |
UnipolSai Assicurazioni SpA, 4.90%, 05/23/34 | | | |
| | | |
|
Mizuho Financial Group, Inc., (1-year CMT + 1.25%), 3.26%, 05/22/30(a) | | | |
Rakuten Group, Inc., 9.75%, 04/15/29(b) | | | |
SoftBank Group Corp.(c)(d) | | | |
| | | |
| | | |
| | | |
|
Aston Martin Capital Holdings Ltd., 10.38%, 03/31/29(c) | | | |
|
Cooperatieve Rabobank UA, (1-year UK Government Bond + 1.05%), 1.88%, 07/12/28(a)(c) | | | |
ING Groep NV, 3.00%, 02/18/26(c) | | | |
Q-Park Holding I BV, 02/15/30(c)(d) | | | |
Sigma Holdco BV, 5.75%, 05/15/26(c) | | | |
Sunrise FinCo I BV, 4.88%, 07/15/31(b) | | | |
Trivium Packaging Finance BV, 5.50%, 08/15/26(b) | | | |
| | | |
|
Banco Bilbao Vizcaya Argentaria SA, (5-year EUR Swap + 4.27%), 6.88%(a)(k) | | | |
Banco Santander SA, (1-year UK Government Bond + 1.80%), 3.13%, 10/06/26(a) | | | |
Kaixo Bondco Telecom SA, 5.13%, 09/30/29 | | | |
Telefonica Emisiones SA, 5.38%, 02/02/26 | | | |
| | | |
|
Intrum AB, 3.00%, 09/15/27 | | | |
Swedbank AB, (1-year UK Government Bond + 1.00%), 1.38%, 12/08/27(a) | | | |
| | | |
|
Barclays PLC, 3.00%, 05/08/26(c) | | | |
Consolidated Schedule of Investments47
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)(Percentages shown are based on Net Assets)
| | | |
United Kingdom (continued) |
CPUK Finance Ltd., 7.88%, 08/28/29(c) | | | |
Deuce Finco PLC, 5.50%, 06/15/27(b) | | | |
HSBC Holdings PLC, (3-mo. LIBOR GBP + 1.31%), 1.75%, 07/24/27(a) | | | |
Informa PLC, 3.13%, 07/05/26(c) | | | |
Lloyds Banking Group PLC, 2.25%, 10/16/24(c) | | | |
NatWest Group PLC, (1-year GBP Swap + 1.49%), 2.88%, 09/19/26(a)(c) | | | |
Santander U.K. Group Holdings PLC, 3.63%, 01/14/26(c) | | | |
| | | |
|
Acadia Healthcare Co., Inc., 5.00%, 04/15/29(b) | | | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.63%, 01/15/27(b) | | | |
Allegiant Travel Co., 7.25%, 08/15/27(b) | | | |
American Express Co., (1-day SOFR + 1.00%), 4.99%, 05/01/26(a) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Aon North America, Inc., 5.30%, 03/01/31 | | | |
Ashton Woods USA LLC/Ashton Woods Finance Co., 4.63%, 08/01/29(b) | | | |
| | | |
| | | |
| | | |
| | | |
(1-day SOFR + 1.01%), 1.20%, 10/24/26 | | | |
(1-day SOFR + 1.37%), 1.92%, 10/24/31 | | | |
BG Energy Capital PLC, 5.13%, 12/01/25(c) | | | |
Calpine Corp., 4.50%, 02/15/28(b) | | | |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, 06/01/29(b) | | | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25 | | | |
| | | |
| | | |
(3-mo. CME Term SOFR + 1.65%), 3.67%, 07/24/28(a) | | | |
Cloud Software Group, Inc., 6.50%, 03/31/29(b) | | | |
Commercial Metals Co., 4.38%, 03/15/32 | | | |
Covanta Holding Corp., 4.88%, 12/01/29(b) | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Dell International LLC/EMC Corp., 5.30%, 10/01/29 | | | |
Duke Energy Florida LLC, 2.40%, 12/15/31 | | | |
Flyr Secured Notes, (10.33% PIK), 10.33%, 05/10/27(f)(l) | | | |
| | | |
| | | |
| | | |
Ford Motor Credit Co. LLC, 4.54%, 08/01/26 | | | |
| | | |
United States (continued) |
Freed Corp., 12.00%, 11/30/28(f) | | | |
Freewire Technology Notes, (6.00% PIK), 6.00%, 02/20/28(f)(l) | | | |
Frontier Communications Holdings LLC(b) | | | |
| | | |
| | | |
Frontier Florida LLC, Series E, 6.86%, 02/01/28 | | | |
Gen Digital, Inc., 6.75%, 09/30/27(b) | | | |
General Motors Financial Co., Inc., 5.55%, 07/15/29 | | | |
Gilead Sciences, Inc., 3.65%, 03/01/26 | | | |
Goldman Sachs Group, Inc. | | | |
| | | |
(1-day SOFR + 0.80%), 1.43%, 03/09/27(a) | | | |
GoTo Group, Inc., 5.50%, 05/01/28(b) | | | |
HCA, Inc., 5.88%, 02/01/29 | | | |
Healthpeak OP LLC, 5.25%, 12/15/32 | | | |
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc(b) | | | |
| | | |
| | | |
Insight M, Inc., 7.00%, 01/25/29(f) | | | |
| | | |
(1-day SOFR + 1.32%), 4.08%, 04/26/26 | | | |
(1-day SOFR + 1.62%), 5.34%, 01/23/35 | | | |
(3-mo. LIBOR GBP + 0.68%), 0.99%, 04/28/26(c) | | | |
| | | |
Landsea Homes Corp., 11.00%, 07/17/28(f) | | | |
Lessen, Inc., 13.82%, 01/05/28(f) | | | |
Lions Gate Capital Holdings 1, Inc., 5.50%, 04/15/29(b) | | | |
Lowe’s Cos., Inc., 3.00%, 10/15/50 | | | |
Marriott Ownership Resorts, Inc. | | | |
| | | |
| | | |
Mauser Packaging Solutions Holding Co., 7.88%, 04/15/27(b) | | | |
Medline Borrower LP, 3.88%, 04/01/29(b) | | | |
| | | |
(1-day SOFR + 1.03%), 1.79%, 02/13/32 | | | |
(1-day SOFR + 1.14%), 2.70%, 01/22/31 | | | |
(1-day SOFR + 1.99%), 2.19%, 04/28/26 | | | |
Nationstar Mortgage Holdings, Inc.(b) | | | |
| | | |
| | | |
| | | |
| | | |
NCR Atleos Corp., 9.50%, 04/01/29(b) | | | |
Northern States Power Co., 2.90%, 03/01/50 | | | |
NRG Energy, Inc., 3.38%, 02/15/29(b) | | | |
Olympus Water U.S. Holding Corp.(b) | | | |
| | | |
| | | |
Oncor Electric Delivery Co. LLC, 0.55%, 10/01/25 | | | |
| | | |
| | | |
| | | |
Paramount Global, 7.88%, 07/30/30 | | | |
Pitney Bowes, Inc., 6.88%, 03/15/27(b) | | | |
PNC Financial Services Group, Inc., (1-day SOFR Index + 1.09%), 4.76%, 01/26/27(a) | | | |
Prologis LP, 2.25%, 01/15/32 | | | |
482024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) |
Public Service Electric and Gas Co., 4.65%, 03/15/33 | | | |
Rand Parent LLC, 8.50%, 02/15/30(b) | | | |
Republic Services, Inc., 1.45%, 02/15/31 | | | |
RingCentral, Inc., 8.50%, 08/15/30(b) | | | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26(b) | | | |
Ryder System, Inc., 3.35%, 09/01/25 | | | |
| | | |
| | | |
| | | |
Seagate HDD Cayman, 8.25%, 12/15/29 | | | |
Sonder Bridge Notes, (10.00% PIK), 10.00%, 12/31/24(f)(l) | | | |
Sonder Holdings, Inc., (14.35% PIK), 14.35%, 12/10/26(a)(f)(l) | | | |
Steel Dynamics, Inc., 3.45%, 04/15/30 | | | |
Stem, Inc., 0.50%, 12/01/28(b)(i) | | | |
Taylor Morrison Communities, Inc., 5.88%, 06/15/27(b) | | | |
| | | |
| | | |
| | | |
Travel & Leisure Co., 4.63%, 03/01/30(b) | | | |
United Wholesale Mortgage LLC, 5.75%, 06/15/27(b) | | | |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(b) | | | |
Univision Communications, Inc., 8.00%, 08/15/28(b) | | | |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) | | | |
Verizon Communications, Inc. | | | |
| | | |
| | | |
Wells Fargo & Co., (1-day SOFR + 1.32%), 3.91%, 04/25/26(a) | | | |
Welltower OP LLC, 4.00%, 06/01/25 | | | |
Westbay, 11.00%, 02/06/30(f) | | | |
Xylem, Inc./New York, 2.25%, 01/30/31 | | | |
| | | |
Total Corporate Bonds — 10.0%
(Cost: $195,787,498) | |
Fixed Rate Loan Interests |
|
AMF MF Portfolio, Term Loan, 6.67%, 11/01/28(f) | | | |
Total Fixed Rate Loan Interests — 0.2%
(Cost: $4,028,229) | |
Floating Rate Loan Interests(a) |
|
Finco Utilitas BV, EUR Term Loan B, 09/26/30(m) | | | |
|
HomeVi S.a.S., 2024 EUR Term Loan B, 10/31/29(m) | | | |
|
Apleona Holding GmbH, 2024 EUR Term Loan B3, 04/28/28(m) | | | |
| | | |
|
Promontoria Beech Designated Activity Co., EUR Term Loan, (1-mo. EURIBOR + 3.75%), 7.35%, 05/17/27(f) | | | |
|
Speed Midco 3 S.a r.l., EUR Term Loan B2, (3-mo. EURIBOR + 4.95%), 8.66%, 05/16/29(f) | | | |
|
Median BV, 2021 EUR Term Loan B, 10/14/27(m) | | | |
Peer Holding III BV, 2024 EUR Term Loan B6, 06/20/31(m) | | | |
Upfield BV, 2023 GBP Term Loan B8, (1-day SONIA at 0.00% Floor + 5.75%), 10.98%, 01/03/28 | | | |
| | | |
|
Sector Alarm Holding AS, 2024 EUR Term Loan B, 06/12/29(m) | | | |
|
Aernnova Aerospace S.A.U, 2024 EUR Term Loan B, 02/27/30 | | | |
Cervantes Bidco SL, 2024 EUR 1st Lien Term Loan B, 06/13/31 | | | |
| | | |
|
Altar Bidco, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.60%), 10.40%, 02/01/30 | | | |
American Auto Auction Group, LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 5.15%), 10.48%, 12/30/27 | | | |
Coreweave Compute Acquisition Co. II, LLC(f) | | | |
2024 Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.00% Floor + 6.00%), 11.33%, 05/16/29 | | | |
Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.00% Floor +9.62%0), 14.95%, 06/30/28 | | | |
Cotiviti, Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 3.25%), 8.58%, 05/01/31 | | | |
EIS Buyer, Inc., Revolver, (1-mo. CME Term SOFR at 0.75% Floor + 7.00%), 12.35%, 07/10/28(f) | | | |
EIS Group, Inc., Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.00%), 12.35%, 05/01/28(f) | | | |
Galaxy Universal LLC, 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.50%), 11.79%, 11/12/26(f) | | | |
| | | |
2024 First Out Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.85%), 10.18%, 04/28/28 | | | |
2024 Second Out Term Loan, (1-mo. CME Term SOFR at 0.00% Floor + 4.85%), 10.18%, 04/28/28 | | | |
Helios Service Partners LLC, 2023 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 6.51%), 11.85%, 03/19/27(f) | | | |
Hydrofarm Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 5.61%), 10.96%, 10/25/28(f) | | | |
Indy U.S. Holdco LLC, 2024 EUR Term Loan B, 03/06/28(m) | | | |
Nidda Healthcare Holding GmbH, 2024 EUR Term Loan B3, 02/21/30(m) | | | |
Consolidated Schedule of Investments49
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) |
Orion Group Holdco LLC(f) | | | |
2022 1st Amendment Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.76%), 12.10%, 03/19/27 | | | |
2022 First A&R Amendment Incremental DDTL, (3-mo. CME Term SOFR at 1.00% Floor + 6.76%), 12.10%, 03/19/27 | | | |
2023 Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.51%), 11.85%, 03/19/27 | | | |
Delayed Draw Term Loan, (3-mo. CME Term SOFR + 6.26%), 11.60%, 03/19/27 | | | |
First Lien Delayed Draw Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.60%, 03/19/27 | | | |
First Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.60%, 03/19/27 | | | |
Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.26%), 11.60%, 03/19/27 | | | |
| | | |
PIK Revolver, 0.00%, 02/16/29 | | | |
PIK Term Loan, (Prime + 5.00%), 13.50%, 02/16/29 | | | |
Redstone Holdco 2 LP, 2021 Term Loan, (1-mo. CME Term SOFR + 4.86%), 10.21%, 04/27/28 | | | |
| | | |
Total Floating Rate Loan Interests — 2.4%
(Cost: $46,793,246) | |
Foreign Agency Obligations |
| |
| | | |
| | | |
| | | |
Total Foreign Agency Obligations — 0.2%
(Cost: $3,163,042) | |
| | | |
|
| |
iShares iBoxx $ Investment Grade Corporate Bond ETF(n)(o)(p) | | | |
iShares JP Morgan USD Emerging Markets Bond ETF(n)(o)(p) | | | |
iShares Russell 2000 ETF(n)(o) | | | |
iShares Russell Mid-Cap Growth ETF(n)(o) | | | |
| | | |
United States (continued) | |
| | | |
VanEck J. P. Morgan EM Local Currency Bond ETF | | | |
Total Investment Companies — 0.8%
(Cost: $15,520,194) | |
| | | |
|
| |
Florida Development Finance Corp., Refunding RB, AMT, 12.00%, 07/15/32(b) | | | |
| |
Commonwealth of Puerto Rico, GO | | | |
| | | |
Series A-1, 0.00%, 11/01/43 | | | |
| | | |
Total Municipal Bonds — 0.1%
(Cost: $2,517,689) | |
Non-Agency Mortgage-Backed Securities |
|
RIAL Issuer Ltd., Series 2022-FL8, Class A, (1 mo. Term SOFR + 2.25%), 7.58%, 01/19/37(a)(b) | | | |
United States(a)(b) — 1.8% |
Barclays Mortgage Loan Trust, Series 2021-NQM1, Class B1, 4.38%, 09/25/51 | | | |
| | | |
Series 2022-1, Class M1, 3.99%, 01/25/67 | | | |
Series 2022-2, Class M1, 4.61%, 03/25/67 | | | |
DBUBS Mortgage Trust, Series 2017-BRBK, Class F, 3.65%, 10/10/34 | | | |
FREMF Trust, Series 2018-W5FX, Class CFX, 3.79%, 04/25/28 | | | |
Grace Trust, Series 2020-GRCE, Class D, 2.77%, 12/10/40 | | | |
GS Mortgage Securities Corp. Trust | | | |
Series 2021-DM, Class E, (1 mo. Term SOFR + 3.05%), 8.38%, 11/15/36 | | | |
Series 2021-DM, Class F, (1 mo. Term SOFR + 3.55%), 8.88%, 11/15/36 | | | |
Hudson Yards Mortgage Trust, Series 2019-55HY, Class F, 3.04%, 12/10/41 | | | |
JP Morgan Chase Commercial Mortgage Securities Trust | | | |
Series 2021-MHC, Class E, (1 mo. Term SOFR + 2.81%), 8.14%, 04/15/38 | | | |
Series 2021-NYAH, Class E, (1 mo. Term SOFR + 1.95%), 7.53%, 06/15/38 | | | |
502024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) |
JP Morgan Chase Commercial Mortgage Securities Trust (continued) | | | |
Series 2022-NLP, Class F, (1 mo. Term SOFR + 3.54%), 8.87%, 04/15/37 | | | |
Series 2022-OPO, Class D, 3.56%, 01/05/39 | | | |
MFRA Trust, Series 2022-CHM1, Class M1, 4.57%, 09/25/56 | | | |
MHC Commercial Mortgage Trust, Series 2021-MHC, Class F, (1 mo. Term SOFR + 2.72%), 8.04%, 04/15/38 | | | |
SUMIT Mortgage Trust, Series 2022-BVUE, Class D, 2.99%, 02/12/41 | | | |
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1 mo. Term SOFR + 2.19%), 7.51%, 05/15/37 | | | |
Velocity Commercial Capital Loan Trust, Series 2021-4, Class M4, 4.48%, 12/26/51 | | | |
| | | |
Total Non-Agency Mortgage-Backed Securities — 1.9%
(Cost: $39,934,795) | |
|
|
| |
| | | |
| |
Commerzbank AG, 6.50%(c)(k) | | | |
| |
Centrica PLC, 6.50%, 05/21/55(c) | | | |
| |
Paramount Global, 6.38%, 03/30/62 | | | |
| | | |
| | | |
Preferred Stocks — 1.7%(e)(f) |
| |
| | | |
| |
Deep Instinct Ltd., Series D-4, (Acquired 09/20/22, Cost: $3,691,502)(g) | | | |
| |
| | | |
| | | |
| | | |
| | | |
| | | |
Coreweave, Inc., 10.00%, 03/25/49(l) | | | |
Davidson Homes LLC, 12.00%, 04/01/49(l) | | | |
Insight M, Inc., Series D | | | |
| | | |
MNTN Digital, Inc., Series D, (Acquired 11/05/21, Cost: $1,239,070)(g) | | | |
| | | |
United States (continued) | |
| | | |
| | | |
Series D-2, (Acquired 05/16/24, Cost: $—) | | | |
Series D-3, (Acquired 05/15/24, Cost: $229,929) | | | |
| | | |
Series B, (Acquired 11/05/21, Cost: $1,437,421) | | | |
Series C PRVT, (Acquired 09/06/23, Cost: $345,314) | | | |
Versa Networks, Inc., Series E CONV Preferred, (Acquired 10/14/22, Cost: $4,623,422), 12.00%, 10/07/32(g)(l) | | | |
Zero Mass Water, Inc., Series D Preferred, (Acquired 07/05/22, Cost: $249,208)(g) | | | |
| | | |
| | | |
Total Preferred Securities — 1.8%
(Cost: $42,666,389) | |
| | | |
U.S. Government Sponsored Agency Securities |
Mortgage-Backed Securities — 6.3% | |
Uniform Mortgage-Backed Securities(q) | | | |
| | | |
| | | |
| | | |
Total U.S. Government Sponsored Agency Securities — 6.3%
(Cost: $119,559,416) | |
U.S. Treasury Obligations |
U.S. Treasury Notes, 4.63%, 09/30/28(r) | | | |
Total U.S. Treasury Obligations — 0.4%
(Cost: $6,711,877) | |
| | | |
|
| |
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)(e)(f)(g) | | | |
| |
Davidson Homes LLC, (Expires 05/16/34, Strike Price USD 8.47)(f) | | | |
Flyr Warrants, (Issued/Exercisable 05/10/22, 1 Share for 1 Warrant, Expires 05/10/32, Strike Price USD 3.95)(f) | | | |
| | | |
RapidSOS, (Expires 12/13/33, Strike Price USD 0.01)(f) | | | |
Consolidated Schedule of Investments51
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)(Percentages shown are based on Net Assets)
| | | |
United States (continued) | |
| | | |
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)(g) | | | |
Volato Group, Inc., (Acquired 12/03/23, Cost: $41,409), (Expires 12/03/28, Strike Price USD 11.50)(g) | | | |
| | | |
Total Warrants — 0.1%
(Cost: $41,409) | |
Total Long-Term Investments — 87.3%
(Cost: $1,444,164,533) | |
|
Money Market Funds — 18.4% | |
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.48%(n)(o)(s) | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Shares, 5.19%(n)(o) | | | |
Total Short-Term Securities — 18.4%
(Cost: $352,523,934) | |
Options Purchased — 0.2%
(Cost: $3,987,396) | |
Total Investments Before Options Written — 105.9%
(Cost: $1,800,675,863) | |
Options Written — (0.2)%
(Premiums Received: $(2,777,798)) | |
Total Investments, Net of Options Written — 105.7%
(Cost: $1,797,898,065) | |
Liabilities in Excess of Other Assets — (5.7)% | |
| |
| 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. |
| 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. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| |
| Non-income producing security. |
| Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $16,459,201, representing 0.9% of its net assets as of period end, and an original cost of $17,079,564. |
| All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
| |
| |
| Perpetual security with no stated maturity date. |
| 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. |
| 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. |
| |
| Annualized 7-day yield as of period end. |
| All or a portion of this security is on loan. |
| Represents or includes a TBA transaction. |
| All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
| All or a portion of this security was purchased with the cash collateral from loaned securities. |
Investments in issuers considered to be affiliate(s) of the Trust during the six months ended June 30, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| | | | | Change in
Unrealized
Appreciation
(Depreciation) | | | | Capital Gain
Distributions
from
Underlying
Funds |
BlackRock Cash Funds: Institutional, SL Agency Shares | | | | | | | | | |
BlackRock Liquidity Funds, T-Fund, Institutional Shares | | | | | | | | | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | | | | | | | | | |
iShares JP Morgan USD Emerging Markets Bond ETF | | | | | | | | | |
| | | | | | | | | |
iShares Russell Mid-Cap Growth ETF | | | | | | | | | |
SL Liquidity Series, LLC, Money Market Series(c) | | | | | | | | | |
| | | | | | | | | |
| Represents net amount purchased (sold). |
522024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
| 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. |
| As of period end, the entity is no longer held. |
Derivative Financial Instruments Outstanding as of Period End
| | | | Value/
Unrealized
Appreciation
(Depreciation) |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
10-Year Australian Treasury Bonds | | | | |
| | | | |
| | | | |
| | | | |
MSCI Emerging Markets Index | | | | |
| | | | |
| | | | |
| | | | |
5-Year U.S. Treasury Note | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
10-Year Japanese Government Treasury Bonds | | | | |
10-Year U.S. Treasury Note | | | | |
10-Year U.S. Ultra Long Treasury Note | | | | |
| | | | |
E-mini Russell 2000 Index | | | | |
2-Year U.S. Treasury Note | | | | |
| | | | |
| | | | |
| All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly-owned subsidiary. |
Forward Foreign Currency Exchange Contracts
| | | | Unrealized
Appreciation
(Depreciation) |
| | | | | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | Goldman Sachs International | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Consolidated Schedule of Investments53
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
Forward Foreign Currency Exchange Contracts (continued)
| | | | Unrealized Appreciation (Depreciation) |
| | | | | | |
| | | | | | |
| | | | Goldman Sachs International | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | The Bank of New York Mellon | | |
| | | | The Bank of New York Mellon | | |
| | | | The Bank of New York Mellon | | |
| | | | The Bank of New York Mellon | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | Morgan Stanley & Co. International PLC | | |
| | | | | | |
| |
Exchange-Traded Options Purchased
| | | | | |
| | | | | | | |
| | | | | | | |
InvesCo QQQ Trust, Series 1 | | | | | | | |
| | | | | | | |
| | | | | | | |
Advanced Micro Devices, Inc. | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Crowdstrike Holdings, Inc. | | | | | | | |
| | | | | | | |
iShares China Large-Cap ETF | | | | | | | |
Mastercard, Inc., Class A | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
542024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
Exchange-Traded Options Purchased (continued)
| | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
iShares Biotechnology ETF | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Advanced Micro Devices, Inc. | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
OTC Credit Default Swaptions Purchased
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | |
Bought Protection 5-Year Credit Default Swap, 06/20/29 | | | | | Morgan Stanley & Co. International PLC | | | | | | |
Bought Protection 5-Year Credit Default Swap, 06/20/29 | | | | | | | | | | | |
Bought Protection 5-Year Credit Default Swap, 06/20/29 | | | | | | | | | | | |
| | | | | | | | | | | |
Consolidated Schedule of Investments55
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
OTC Interest Rate Swaptions Purchased
| | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | |
2-Year Interest Rate Swap, 07/20/26 | | | | | | | | | | |
10-Year Interest Rate Swap, 10/25/34 | | | | | | | | | | |
2-Year Interest Rate Swap, 10/26/26 | | | | | | | | | | |
5-Year Interest Rate Swap, 12/19/29 | | | | | | | | | | |
5-Year Interest Rate Swap, 12/19/29 | | | | | | | | | | |
10-Year Interest Rate Swap, 01/25/35 | | | | | Goldman Sachs International | | | | | |
| | | | | | | | | | |
Exchange-Traded Options Written
| | | | | |
| | | | | | | |
InvesCo QQQ Trust, Series 1 | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
iShares China Large-Cap ETF | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
562024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
Exchange-Traded Options Written (continued)
| | | | | |
| | | | | | | |
Advanced Micro Devices, Inc. | | | | | | | |
| | | | | | | |
| | | | | | | |
Crowdstrike Holdings, Inc. | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
iShares Biotechnology ETF | | | | | | | |
iShares iBoxx $ High Yield Corporate Bond ETF | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
OTC Credit Default Swaptions Written
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | |
Sold Protection 5-Year Credit Default Swap, 06/20/29 | | | | | Morgan Stanley & Co. International PLC | | | | | | |
Sold Protection 5-Year Credit Default Swap, 06/20/29 | | | | | | | | | | | |
| | | | | | | | | | | |
OTC Interest Rate Swaptions Written
| | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | |
2-Year Interest Rate Swap, 07/20/26 | | | | | | | | | | |
10-Year Interest Rate Swap, 10/25/34 | | | | | | | | | | |
2-Year Interest Rate Swap, 10/26/26 | | | | | | | | | | |
5-Year Interest Rate Swap, 12/19/29 | | | | | | | | | | |
Consolidated Schedule of Investments57
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
OTC Interest Rate Swaptions Written (continued)
| | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | |
5-Year Interest Rate Swap, 12/19/29 | | | | | | | | | | |
10-Year Interest Rate Swap, 01/25/35 | | | | | Goldman Sachs International | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
5-Year Interest Rate Swap, 07/03/29 | | | | | Morgan Stanley & Co. International PLC | | | | | |
5-Year Interest Rate Swap, 07/04/29 | | | | | | | | | | |
2-Year Interest Rate Swap, 07/20/26 | | | | | | | | | | |
5-Year Interest Rate Swap, 07/20/29 | | | | | | | | | | |
2-Year Interest Rate Swap, 09/15/26 | | | | | Goldman Sachs International | | | | | |
2-Year Interest Rate Swap, 11/23/26 | | | | | | | | | | |
5-Year Interest Rate Swap, 12/19/29 | | | | | | | | | | |
5-Year Interest Rate Swap, 12/19/29 | | | | | | | | | | |
2-Year Interest Rate Swap, 04/27/27 | | | | | Goldman Sachs International | | | | | |
2-Year Interest Rate Swap, 05/25/27 | | | | | Goldman Sachs International | | | | | |
2-Year Interest Rate Swap, 05/25/27 | | | | | Goldman Sachs International | | | | | |
2-Year Interest Rate Swap, 06/15/27 | | | | | Morgan Stanley & Co. International PLC | | | | | |
5-Year Interest Rate Swap, 06/22/30 | | | | | Goldman Sachs International | | | | | |
5-Year Interest Rate Swap, 06/29/30 | | | | | Morgan Stanley & Co. International PLC | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Centrally Cleared Credit Default Swaps — Buy Protection
Reference Obligation/Index | Financing
Rate Paid
by the Trust | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
582024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
Centrally Cleared Credit Default Swaps — Sell Protection
Reference Obligation/Index | Financing
Rate Received
by the Trust | | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
| | | | | | | | | |
| Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| 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
| | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
| | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | Tokyo Overnight Average Rate, 0.08% | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
New Index, Research, 6.86% | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
New Index, Research, 6.86% | | | | | | | | | | |
New Index, Research, 6.86% | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Consolidated Schedule of Investments59
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
Centrally Cleared Interest Rate Swaps (continued)
| | | | | | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) |
| | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
New Index, Research, 6.86% | | | | | | | | | | |
New Index, Research, 6.86% | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | |
OTC Credit Default Swaps — Buy Protection
Reference Obligations/Index | Financing
Rate Paid
by the Trust | | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
| | | | | | | | | |
| | | | | | | | | |
| | | Goldman Sachs International | | | | | | |
| | | | | | | | | |
OTC Credit Default Swaps — Sell Protection
Reference Obligation/Index | Financing
Rate Received
by the Trust | | | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
| | | Morgan Stanley & Co. International PLC | | | | | | | |
| | | | | | | | | |
| | | | | | | | | Upfront
Premium
Paid
(Received) | Unrealized
Appreciation
(Depreciation) |
| | | | Morgan Stanley & Co. International PLC | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
602024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
OTC Interest Rate Swaps (continued)
| | | | | | | | | |
| | | | | | | | | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | Morgan Stanley & Co. International PLC | | | | | | | |
| | | | | | |
Balances Reported in the Consolidated Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
| | | | | |
Centrally Cleared Swaps(a) | | | | | |
| | | | | |
| | | | | |
| Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Consolidated Statements of Assets and Liabilities were as follows:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Assets — Derivative Financial Instruments | | | | | | | |
Futures contracts
Unrealized appreciation on futures contracts(a) | | | | | | | |
Forward foreign currency exchange contracts
Unrealized appreciation on forward foreign currency exchange contracts | | | | | | | |
Options purchased
Investments at value — unaffiliated(b) | | | | | | | |
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps(a) | | | | | | | |
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid | | | | | | | |
| | | | | | | |
Liabilities — Derivative Financial Instruments | | | | | | | |
Futures contracts
Unrealized depreciation on futures contracts(a) | | | | | | | |
Forward foreign currency exchange contracts
Unrealized depreciation on forward foreign currency exchange contracts | | | | | | | |
Consolidated Schedule of Investments61
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
Derivative Financial Instruments Categorized by Risk Exposure (continued)
| | | | Foreign Currency Exchange Contracts | | | |
Options written
Options written at value | | | | | | | |
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps(a) | | | | | | | |
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received | | | | | | | |
| | | | | | | |
| Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
| Includes options purchased at value as reported in the Consolidated Schedule of Investments. |
For the period ended June 30, 2024, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:
| | | | Foreign
Currency
Exchange
Contracts | | | |
Net Realized Gain (Loss) from: | | | | | | | |
| | | | | | | |
Forward foreign currency exchange contracts | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | |
| | | | | | | |
Forward foreign currency exchange contracts | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
| Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| |
Average notional value of contracts — long | |
Average notional value of contracts — short | |
Forward foreign currency exchange contracts: | |
Average amounts purchased — in USD | |
Average amounts sold — in USD | |
| |
Average value of option contracts purchased | |
Average value of option contracts written | |
Average notional value of swaption contracts purchased | |
Average notional value of swaption contracts written | |
| |
Average notional value — buy protection | |
Average notional value — sell protection | |
| |
Average notional value — pays fixed rate | |
Average notional value — receives fixed rate | |
| |
| |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Consolidated Financial Statements.
622024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
Derivative Financial Instruments — Offsetting as of Period End
The Trust’s derivative assets and liabilities (by type) were as follows:
| | |
Derivative Financial Instruments | | |
| | |
Forward foreign currency exchange contracts | | |
| | |
Swaps — centrally cleared | | |
| | |
Total derivative assets and liabilities in the Consolidated Statements of Assets and Liabilities | | |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | | |
Total derivative assets and liabilities subject to an MNA | | |
| Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statements of Assets and Liabilities and reported in the Consolidated Schedule of Investments. |
| Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Consolidated Statements of Assets and Liabilities. |
The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Trust:
| Derivative
Assets
Subject to
an MNA by
Counterparty | Derivatives
Available
for Offset(a) | Non-Cash
Collateral
Received | | Net Amount
of Derivative
Assets(b)(c) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Goldman Sachs International | | | | | |
| | | | | |
Morgan Stanley & Co. International PLC | | | | | |
| | | | | |
| | | | | |
| | | | | |
| Derivative
Liabilities
Subject to
an MNA by
Counterparty | Derivatives
Available
for Offset(a) | Non-Cash
Collateral
Pledged(d) | | Net Amount
of Derivative
Liabilities(b)(e) |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Goldman Sachs International | | | | | |
| | | | | |
Morgan Stanley & Co. International PLC | | | | | |
| | | | | |
The Bank of New York Mellon | | | | | |
| | | | | |
| | | | | |
| The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
| Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
| Net amount represents the net amount receivable from the counterparty in the event of default. |
| Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
| Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Consolidated Statements of Assets and Liabilities. |
Consolidated Schedule of Investments63
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Consolidated Financial Statements.
The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Consolidated Schedule of Investments above.
| | | | |
| | | | |
| | | | |
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Fixed Rate Loan Interests | | | | |
Floating Rate Loan Interests | | | | |
Foreign Agency Obligations | | | | |
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Non-Agency Mortgage-Backed Securities | | | | |
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U.S. Government Sponsored Agency Securities | | | | |
U.S. Treasury Obligations | | | | |
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642024 BlackRock Semi-Annual Report to Shareholders
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
Fair Value Hierarchy as of Period End (continued)
| | | | |
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Unfunded Floating Rate Loan Interests(a) | | | | |
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Unfunded Floating Rate Loan Interests(a) | | | | |
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Derivative Financial Instruments(b) | | | | |
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Foreign Currency Exchange Contracts | | | | |
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Foreign Currency Exchange Contracts | | | | |
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| Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
| 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:
| | | | | Floating
Rate Loan
Interests | | Unfunded
Floating
Rate Loan
Interest |
| | | | | | | |
Opening balance, as of December 31, 2023 | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Accrued discounts/premiums | | | | | | | |
| | | | | | | |
Net change in unrealized appreciation (depreciation)(b)(c) | | | | | | | |
| | | | | | | |
| | | | | | | |
Closing balance, as of June 30, 2024 | | | | | | | |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024(c) | | | | | | | |
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| | |
Opening balance, as of December 31, 2023 | | |
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| | |
Accrued discounts/premiums | | |
| | |
Net change in unrealized appreciation (depreciation)(b)(c) | | |
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| | |
Closing balance, as of June 30, 2024 | | |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2024(c) | | |
| Certain Level 3 investments were re-classified between Common Stocks and Preferred Stocks. |
Consolidated Schedule of Investments65
Consolidated Schedule of Investments (unaudited)(continued)June 30, 2024
BlackRock ESG Capital Allocation Term Trust (ECAT)
| Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations. |
| Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 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 Trust’s Level 3 financial instruments as of period end. The table does not include Level 3 financial instruments with values based upon unadjusted third-party pricing information in the amount of $1,687,352. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.
| | | | Range of
Unobservable
Inputs
| Weighted
Average of
Unobservable
Inputs Based
on Fair Value |
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Floating Rate Loan Interests | | | | | |
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Fixed Rate Loan Interests | | | | | |
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| A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
| The fund valued certain of its Level 3 Direct Investments using recent transactions as the best approximation of fair value. The value of Level 3 investments obtained using recent prior transaction prices, for which inputs are unobservable, is $1,594,000 as of June 30, 2024. |
See notes to consolidated financial statements.
662024 BlackRock Semi-Annual Report to Shareholders
Consolidated Statements of Assets and Liabilities (unaudited)June 30, 2024
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Investments, at value — unaffiliated(a)(b) | | |
Investments, at value — affiliated(c) | | |
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Foreign currency, at value(d) | | |
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Securities lending income — affiliated | | |
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Variation margin on futures contracts | | |
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Unrealized appreciation on: | | |
Forward foreign currency exchange contracts | | |
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Unfunded floating rate loan interests | | |
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Collateral — OTC derivatives | | |
Collateral — TBA commitments | | |
Collateral on securities loaned | | |
Options written, at value(e) | | |
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Deferred foreign capital gain tax | | |
Income dividend distributions | | |
Interest expense and fees | | |
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Trustees’ and Officer’s fees | | |
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Variation margin on futures contracts | | |
Variation margin on centrally cleared swaps | | |
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Consolidated Financial Statements67
Consolidated Statements of Assets and Liabilities (unaudited) (continued)June 30, 2024 | | |
Unrealized depreciation on: | | |
Forward foreign currency exchange contracts | | |
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Unfunded floating rate loan interests | | |
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Commitments and contingent liabilities | | |
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Accumulated earnings (loss) | | |
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(a) Investments, at cost—unaffiliated | | |
(b) Securities loaned, at value | | |
(c) Investments, at cost—affiliated | | |
(d) Foreign currency, at cost | | |
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See notes to consolidated financial statements.
682024 BlackRock Semi-Annual Report to Shareholders
Consolidated Statements of Operations (unaudited)Six Months Ended June 30, 2024
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Securities lending income — affiliated — net | | |
Other income — unaffiliated | | |
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Total expenses excluding interest expense | | |
Interest expense and fees — unaffiliated | | |
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Fees waived and/or reimbursed by the Manager | | |
Total expenses after fees waived and/or reimbursed | | |
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REALIZED AND UNREALIZED GAIN (LOSS) | | |
Net realized gain (loss) from: | | |
Investments — unaffiliated | | |
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Forward foreign currency exchange contracts | | |
Foreign currency transactions | | |
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Net change in unrealized appreciation (depreciation) on: | | |
Investments — unaffiliated(a) | | |
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Forward foreign currency exchange contracts | | |
Foreign currency translations | | |
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Unfunded floating rate loan interests | | |
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Net realized and unrealized gain | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | |
(a) Net of reduction in/(increase in) deferred foreign capital gain tax of | | |
See notes to consolidated financial statements.
Consolidated Financial Statements69
Consolidated Statements of Changes in Net Assets
| | |
| Six Months Ended
06/30/24
(unaudited) | | Six Months Ended
06/30/24
(unaudited) | |
INCREASE (DECREASE) IN NET ASSETS | | | | |
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Net change in unrealized appreciation (depreciation) | | | | |
Net increase in net assets resulting from operations | | | | |
DISTRIBUTIONS TO SHAREHOLDERS(a) | | | | |
From net investment income | | | | |
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Decrease in net assets resulting from distributions to shareholders | | | | |
CAPITAL SHARE TRANSACTIONS | | | | |
Redemption of shares resulting from share repurchase program (including transaction costs) | | | | |
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Total increase in net assets | | | | |
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| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
See notes to consolidated financial statements.
702024 BlackRock Semi-Annual Report to Shareholders
Consolidated Statements of Cash Flows (unaudited)Six Months Ended June 30, 2024
| | |
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES | | |
Net increase in net assets resulting from operations | | |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | | |
Proceeds from sales of long-term investments and principal paydowns/payups | | |
Purchases of long-term investments | | |
Net proceeds from sales (purchases) of short-term securities | | |
Amortization of premium and accretion of discount on investments and other fees | | |
| | |
Premiums paid on closing options written | | |
Premiums received from options written | | |
Net realized gain on investments and options written | | |
Net unrealized appreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests | | |
(Increase) Decrease in Assets | | |
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Securities lending income — affiliated | | |
| | |
Variation margin on futures contracts | | |
Variation margin on centrally cleared swaps | | |
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| | |
Increase (Decrease) in Liabilities | | |
| | |
| | |
Collateral — OTC derivatives | | |
Collateral — TBA commitments | | |
Collateral on securities loaned | | |
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Deferred foreign capital gain tax | | |
Interest expense and fees | | |
| | |
Trustees’ and Officer’s fees | | |
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Variation margin on futures contracts | | |
Variation margin on centrally cleared swaps | | |
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Net cash provided by operating activities | | |
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES | | |
Cash dividends paid to shareholders | | |
Net cash used for financing activities | | |
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | | |
Cash impact from foreign exchange fluctuations | | |
Consolidated Financial Statements71
Consolidated Statements of Cash Flows (unaudited) (continued)Six Months Ended June 30, 2024 | | |
CASH AND FOREIGN CURRENCY | | |
Net increase in restricted and unrestricted cash and foreign currency | | |
Restricted and unrestricted cash and foreign currency at beginning of period | | |
Restricted and unrestricted cash and foreign currency at end of period | | |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | | |
Cash paid during the period for interest expense | | |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES | | |
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Foreign currency at value | | |
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See notes to consolidated financial statements.
722024 BlackRock Semi-Annual Report to Shareholders
Financial Highlights(For a share outstanding throughout each period)
| |
| | | | | |
|
Net asset value, beginning of period | | | | | |
| | | | | |
Net realized and unrealized gain (loss) | | | | | |
Net increase (decrease) from investment operations | | | | | |
| | | | | |
From net investment income | | | | | |
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Net asset value, end of period | | | | | |
Market price, end of period | | | | | |
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Ratios to Average Net Assets(i) | | | | | |
| | | | | |
Total expenses after fees waived and/or reimbursed | | | | | |
Total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs | | | | | |
| | | | | |
| | | | | |
Net assets, end of period (000) | | | | | |
Borrowings outstanding, end of period (000) | | | | | |
Asset coverage, end of period per $1,000 of bank borrowings | | | | | |
Portfolio turnover rate(n) | | | | | |
| Consolidated Financial Highlights. |
| Commencement of operations. |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
| Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
| Includes payment from an affiliate, which had no impact on the Trust’s total return. |
| |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| |
| Proxy fees were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs would have been 1.50%, 1.48% and 1.41% respectively. |
| Includes non-recurring expenses of proxy costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs would have been 1.39% ,1.37% and 1.30%, respectively. |
| Includes non-recurring expenses of proxy costs and offering costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs would have been 1.38% ,1.37% and 1.29%, respectively. |
| Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| | | | | |
|
Portfolio turnover rate (excluding MDRs) | | | | | |
| Excludes underlying investments in total return swaps. |
See notes to consolidated financial statements.
Financial Highlights (continued)(For a share outstanding throughout each period)
| |
| | | | |
|
Net asset value, beginning of period | | | | |
Net investment income (loss)(c) | | | | |
Net realized and unrealized gain (loss) | | | | |
Net increase (decrease) from investment operations | | | | |
| | | | |
From net investment income | | | | |
| | | | |
| | | | |
| | | | |
Net asset value, end of period | | | | |
Market price, end of period | | | | |
| | | | |
| | | | |
| | | | |
Ratios to Average Net Assets(h) | | | | |
| | | | |
Total expenses after fees waived and/or reimbursed | | | | |
Net investment income (loss) | | | | |
| | | | |
Net assets, end of period (000) | | | | |
Portfolio turnover rate(m) | | | | |
| Consolidated Financial Highlights. |
| Commencement of operations. |
| Based on average shares outstanding. |
| Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
| Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
| |
| Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| The proxy fees and reorganization costs were not annualized in the calculation of the expense ratios. If these expense was annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.46% and 1.44%, respectively. |
| Includes non-recurring expenses of proxy fees and reorganization costs. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 1.32% and 1.30%, respectively. |
| |
| Includes non-recurring expenses of proxy fees. Without these costs, total expenses and total expenses after fees waived and/or reimbursed would have been 1.31% and 1.27%, respectively. |
| Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
| | | | |
|
Portfolio turnover rate (excluding MDRs) | | | | |
See notes to consolidated financial statements.
742024 BlackRock Semi-Annual Report to Shareholders
Notes to Consolidated Financial Statements (unaudited)
The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:
| | | Diversification
Classification |
BlackRock Capital Allocation Term Trust | | | |
BlackRock ESG Capital Allocation Term Trust | | | |
The Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board,” and the trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.
The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of funds referred to as the BlackRock Fixed-Income Complex.
Basis of Consolidation: The accompanying consolidated financial statements of BCAT include the account of Cayman Capital Allocation Fund, Ltd. (the “BCAT Cayman Subsidiary”), which is a wholly-owned subsidiary of BCAT and primarily invests in commodity-related instruments and other derivatives. The BCAT Cayman Subsidiary enables BCAT to hold these commodity-related instruments and satisfy regulated investment company tax requirements. BCAT may invest up to 25% of its total assets in the BCAT Cayman Subsidiary. The net assets of the BCAT Cayman Subsidiary as of period end were $5,215,414, which is 0.3% of BCAT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The BCAT Cayman Subsidiary is subject to the same investment policies and restrictions that apply to BCAT, except that the BCAT Cayman Subsidiary may invest without limitation in commodity-related instruments.
The accompanying consolidated financial statements of ECAT include the account of Cayman ESG Capital Allocation Fund, Ltd. (the “ECAT Cayman Subsidiary”, and together with the BCAT Cayman Subsidiary, the “Cayman Subsidiaries”), which is a wholly-owned subsidiary of the ECAT and primarily invests in commodity-related instruments and other derivatives. The ECAT Cayman Subsidiary enables ECAT to hold these commodity related instruments and satisfy regulated investment company tax requirements. ECAT may invest up to 25% of its total assets in the ECAT Cayman Subsidiary. The net assets of the ECAT Cayman Subsidiary as of period end were $124,411, which is less than 0.1% of ECAT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The ECAT Cayman Subsidiary is subject to the same investment policies and restrictions that apply to ECAT, except that the ECAT Cayman Subsidiary may invest without limitation in commodity-related instruments.
The accompanying consolidated financial statements of BCAT include the account of BCAT Subsidiary LLC (the “BCAT Taxable Subsidiary”), which is a wholly-owned taxable subsidiary of BCAT. The BCAT Taxable Subsidiary enables BCAT to certain pass-through investments and satisfy regulated investment company tax requirements. Income earned and gains realized on the investment held by the Taxable Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statements of Operations for BCAT. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statements of Operations for BCAT. Taxes payable or deferred as of June 30, 2024, if any, are disclosed in the Consolidated Statements of Assets and Liabilities. BCAT may invest up to 25% of its total assets in the BCAT Taxable Subsidiary. The net assets of the BCAT Taxable Subsidiary as of period end were $4,071,446, which is 0.2% of BCAT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The BCAT Taxable Subsidiary is subject to the same investment policies and restrictions that apply to BCAT.
2.
SIGNIFICANT ACCOUNTING POLICIES
The consolidated financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the consolidated financial statements, disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Trusts are informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets. For convertible securities, premiums attributable to the debt instrument are amortized, but premiums attributable to the conversion feature are not amortized.
Foreign Currency Translation: Each Trust’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Trust does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Consolidated Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses)
Notes to Consolidated Financial Statements75
Notes to Consolidated Financial Statements (unaudited) (continued)
on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Foreign Taxes: The Trusts may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Trust invests. These foreign taxes, if any, are paid by each Trust and are reflected in its Consolidated Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2024, if any, are disclosed in the Consolidated Statements of Assets and Liabilities.
The Trusts file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Trusts may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Consolidated Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Bank Overdraft: The Trusts had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Trusts are obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Consolidated Statements of Operations.
Collateralization: If required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.
Distributions: Distributions paid by the Trusts are recorded on the ex-dividend dates. Subject to the Trusts’ managed distribution plan, the Trusts intend to make monthly cash distributions to shareholders, which may consist of net investment income, and net realized and unrealized gains on investments and/or return of capital.
The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital.
Net income and realized gains from investments held by the Cayman Subsidiaries are treated as ordinary income for tax purposes. If a net loss is realized by the Cayman Subsidiaries in any taxable year, the loss will generally not be available to offset the Trusts’ ordinary income and/or capital gains for that year.
Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the trustees who are not “interested persons” of the Trusts, as defined in the 1940 Act (“Independent Trustees”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, as applicable. Deferred compensation liabilities, if any, are included in the Trustees’ and Officer’s fees payable in the Consolidated Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the BlackRock Fixed-Income Complex and reflected as Trustees and Officer expense on the Consolidated Statements of Operations. The Trustees and Officer expense may be negative as a result of a decrease in value of the deferred accounts.
Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.
Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
3.
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
Investment Valuation Policies: Each Trust’s investments are valued at fair value (also referred to as “market value” within the consolidated financial statements) each day that the Trust is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board has approved the designation of each Trust’s Manager as the valuation designee for each Trust. Each Trust determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
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Notes to Consolidated Financial Statements (unaudited) (continued)
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:
•Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.
•Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third-party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.
•Exchange-traded funds (“ETFs”) and closed-end funds traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. ETFs and closed-end funds traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.
•Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV.
•Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.
•Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies.
•Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.
•Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Trusts use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.
| Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services |
| | recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; |
| | recapitalizations and other transactions across the capital structure; and |
| | market multiples of comparable issuers. |
| | future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; |
| | quoted prices for similar investments or assets in active markets; and |
| | other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. |
| | audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; |
Notes to Consolidated Financial Statements77
Notes to Consolidated Financial Statements (unaudited) (continued)
| Standard Inputs Generally Considered By The Valuation Committee And Third-Party Pricing Services |
| | changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; |
| | relevant news and other public sources; and |
| | known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involves a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.
Fair Value Hierarchy: 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 each 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 market–corroborated inputs); and
•Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have 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.
As of June 30, 2024, certain investments of BCAT were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
4.
SECURITIES AND OTHER INVESTMENTS
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO
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Notes to Consolidated Financial Statements (unaudited) (continued)
can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the Secured Overnight Financing Rate (“SOFR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower
Notes to Consolidated Financial Statements79
Notes to Consolidated Financial Statements (unaudited) (continued)
with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
In connection with floating rate loan interests, the Trusts may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Consolidated Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Consolidated Statements of Assets and Liabilities and Consolidated Statements of Operations. As of period end, the Trusts had the following unfunded floating rate loan interests:
| | | | | Unrealized
Appreciation
(Depreciation) |
| | | | | |
| Coreweave Compute Acquisition Co. II, LLC | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| Coreweave Compute Acquisition Co. II, LLC | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
Forward Commitments, When-Issued and Delayed Delivery Securities: The Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Trusts may purchase securities under such conditions with the intention of actually acquiring them but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions. These types of securities may be considered unfunded and may obligate the Trusts to make future cash payments. An unfunded commitment is marked-to-market and any unrealized appreciation (depreciation) is separately presented in the Consolidated Statements of Assets and Liabilities and Consolidated Statements of Operations.
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Consolidated Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Consolidated Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.
Mortgage Dollar Roll Transactions: The Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Commitments: Commitments are agreements to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Such agreements may obligate a fund to make future cash payments. As of June 30, 2024, BCAT had outstanding commitments of $5,743,804. These commitments are not included in the net assets of BCAT as of June 30, 2024.
Securities Lending: Certain Trusts may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Trusts collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial
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Notes to Consolidated Financial Statements (unaudited) (continued)
collateral received by each Trust is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Trust and any additional required collateral is delivered to the Trust, or excess collateral returned by the Trust, on the next business day. During the term of the loan, the Trusts are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Consolidated Schedules of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Trust, except in the event of borrower default. The securities on loan, if any, are disclosed in the Trusts’ Consolidated Schedules of Investments. The market value of any securities on loan and the value of related collateral, if any, are shown separately in the Consolidated Statements of Assets and Liabilities as a component of investments at value – affiliated and collateral on securities loaned, respectively.
Securities lending transactions are entered into by the Trusts under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Trusts, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Trusts can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of ECAT’s securities on loan by counterparty which are subject to offset under an MSLA:
| Securities
Loaned at Value | | Non-Cash Collateral
Received, at Fair Value(a) | |
| | | | |
| | | | |
| | | | |
Citigroup Global Markets, Inc. | | | | |
| | | | |
| | | | |
| Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Trust is disclosed in the Trust’s Consolidated Statements of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Trusts benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Trust could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Trusts.
5.
DERIVATIVE FINANCIAL INSTRUMENTS
The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Consolidated Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk) or carbon credits (commodity risk).
Futures contracts are exchange-traded agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date.The Trusts may invest in carbon credit futures that are traded on commodity exchanges with the Commodity Futures Trading Commission. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Consolidated Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Consolidated Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Consolidated Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Consolidated Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the
Notes to Consolidated Financial Statements81
Notes to Consolidated Financial Statements (unaudited) (continued)
Consolidated Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Consolidated Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Consolidated Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Consolidated Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Consolidated Statements of Assets and Liabilities. The Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Trust.
Options: The Trusts may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value – unaffiliated and options written at value, respectively, in the Consolidated Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Consolidated Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Consolidated Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Consolidated Statements of Assets and Liabilities.
•Swaptions — The Trusts may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Trusts’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.
The Trusts may invest in various types of barrier options, including down-and-out options, down-and-in options, double no-touch options, one-touch options, instant one-touch options, up-and-out options and up-and-in options. Down-and-out options expire worthless to the purchaser if the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Down-and-in options expire worthless to the purchaser unless the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Double no-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument does not reach or surpass predetermined barrier price levels prior to the option’s expiration date. One-touch options and instant one-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument reaches or surpasses predetermined barrier price levels prior to the expiration date. Up-and-out options expire worthless to the purchaser if the price of the underlying instrument increases beyond a predetermined barrier price level prior to the expiration date. Up-and-in options can only be exercised when the price of the underlying instrument increases beyond a predetermined barrier price level.
In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when they otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Trusts and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Consolidated Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC swaps in the Consolidated Statements of Assets and Liabilities. Payments received or paid are recorded in the Consolidated Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Consolidated Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
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Notes to Consolidated Financial Statements (unaudited) (continued)
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Trusts’ counterparty on the swap. Each Trust is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Trust is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Consolidated Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Consolidated Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Consolidated Statements of Assets and Liabilities. Pursuant to the contract, each Trust agrees to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Consolidated Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Consolidated Statements of Operations, including those at termination.
•Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).
The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
•Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Trusts receive payment from or make a payment to the counterparty.
Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Trust has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.
Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Trusts and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Consolidated Statements of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Trusts and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.
•Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
•Forward swaps — The Trusts may enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Trust and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination.
•Inflation swaps — Inflation swaps are entered into to gain or reduce exposure to inflation (inflation risk). In an inflation swap, one party makes fixed interest payments on a notional principal amount in exchange for another party’s variable payments based on an inflation index, such as the Consumer Price Index.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Trust may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Notes to Consolidated Financial Statements83
Notes to Consolidated Financial Statements (unaudited) (continued)
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trusts and the counterparty.
Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately in the Consolidated Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Consolidated Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from the counterparties are not fully collateralized, each Trust bears the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Trust bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Consolidated Statements of Assets and Liabilities.
6.
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.
For such services, each Trust pays the Manager a monthly fee at an annual rate equal to 1.25% of the average daily value of each Trust’s managed assets. For purposes of calculating these fees,“managed assets” are determined as total assets of each Trust (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).
With respect to each Trust, the Manager entered into separate sub-advisory agreements with each of, effective March 11, 2024, BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BSL”) (collectively, the “Sub-Advisers”), each an affiliate of the Manager. The Manager pays BIL and BSL for services they provide for that portion of each Trust for which BIL and BSL, as applicable, acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Trust to the Manager.
The Manager provides investment management and other services to the Cayman Subsidiaries and the BCAT Taxable Subsidiary. The Manager does not receive separate compensation from the Cayman Subsidiaries and the BCAT Taxable Subsidiary for providing investment management or administrative services. However, the Trusts pay the Manager based on the Trusts’ net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage which includes the assets of the Cayman Subsidiaries and the BCAT Taxable Subsidiary.
Expense Waivers and Reimbursements: With respect to each Trust, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver") through June 30, 2025. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of a Trust. These amounts are included in fees waived and/or reimbursed by the Manager in the Consolidated Statements of Operations. For the six months ended June 30, 2024, the amounts waived were as follows:
| Fees Waived and/or Reimbursed
by the Manager |
| |
| |
The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee, and with respect to BCAT, any portion of the Trust’s assets invested in other exchange-traded products sponsored by BlackRock or its affiliates, through June 30, 2025. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. These amounts are included in fees waived and/or reimbursed by the Manager in the Consolidated Statements of Operations. For the six months ended June 30, 2024, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
| Fees Waived and/or Reimbursed
by the Manager |
| |
| |
Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Trusts, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Trusts are responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional, managed by the Manager or its affiliates. However, BIM has agreed to reduce the amount of securities
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Notes to Consolidated Financial Statements (unaudited) (continued)
lending income it receives in order to effectively limit the collateral investment fees the Trusts bear to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, redemption fee, distribution fee or service fee. The money market fund in which the cash collateral has been reinvested may impose a discretionary liquidity fee of up to 2% of the value redeemed, if such fee, is determined to be in the best interests of such money market fund.
Securities lending income is generally equal to the total of income earned from the reinvestment of cash collateral (and excludes collateral investment fees), and any fees or other payments to and from borrowers of securities. Each Trust retains a portion of the securities lending income and remits the remaining portion to BIM as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, each Trust retains 82% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Fixed-Income Complex in a calendar year exceeds a specified threshold, each Trust, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 85% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.
The share of securities lending income earned by each Trust is shown as securities lending income — affiliated — net in the Consolidated Statements of Operations. For the six months ended June 30, 2024, each Trust paid BIM the following amounts for securities lending agent services:
Trustees and Officers: Certain trustees and/or officers of the Trusts are directors and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Consolidated Statements of Operations.
Other Transactions: During the six months ended June 30, 2024, BCAT received a reimbursement of $3,850 from an affiliate, which is included in payment by affiliate in the Consolidated Statements of Operations, related to an operating event.
For the six months ended June 30, 2024, purchases and sales of investments, including paydowns/payups, mortgage dollar rolls and excluding short-term securities, were as follows:
| U.S. Government Securities | |
| | | | |
| | | | |
| | | | |
For the six months ended June 30, 2024, purchases and sales related to mortgage dollar rolls were as follows:
It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’ s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Trusts as of June 30, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ consolidated financial statements.
As of December 31, 2023, the Trusts had non-expiring capital loss carryforwards available to offset future realized capital gains and qualified late-year losses as follows:
| Non-Expiring
Capital Loss
Carryforwards | Qualified
Late-Year
Ordinary Losses |
| | |
| | |
Notes to Consolidated Financial Statements85
Notes to Consolidated Financial Statements (unaudited) (continued)
As of June 30, 2024, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
| | Gross Unrealized
Appreciation | Gross Unrealized
Depreciation | Net Unrealized
Appreciation
(Depreciation) |
| | | | |
| | | | |
BCAT entered into a 179-day rolling line of credit facility with BNP Paribas Prime Brokerage International, Limited (“BNP”). BNP is required to provide 179 days’ notice of termination to BCAT absent a default or certain similar events. BCAT has granted a security interest in substantially all of its assets to BNP. BCAT can borrow up to $550,000,000 at any time, subject to asset coverage and other limitations as specified in the credit facility. Advances will be made by BNP to BCAT at the Overnight Bank Funding Rate plus 0.75%. In addition, BCAT pays a commitment fee of 0.25% per annum on the daily unused amount if utilization is less than 80% of the committed line amount. For the six months ended June 30, 2024, the Trust did not borrow under the credit agreement.
In the normal course of business, the Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Trusts and their investments. Each Trust ’s prospectus provides details of the risks to which each Trust is subject.
The Trusts may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to discretionary liquidity fees under certain circumstances.
Illiquidity Risk: Each Trust may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Trust may not be able to readily dispose of such investments at prices that approximate those at which a Trust could sell such investments if they were more widely traded and, as a result of such illiquidity, a Trust may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Trust’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Market Risk: Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolio’s current earnings rate.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Trust may invest in illiquid investments. An illiquid investment is any investment that a Trust reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Trust may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trust’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which a Trust invests.
The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trust’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trust’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.
Counterparty Credit Risk: The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Consolidated Statements of Assets and Liabilities, less any collateral held by the Trusts.
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Notes to Consolidated Financial Statements (unaudited) (continued)
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent each Trust deposits collateral with its counterparty to a written option.
With exchange-traded options purchased, exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.
Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Trust’s portfolio are disclosed in its Consolidated Schedule of Investments.
The Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Trusts may be subject to a greater risk of rising interest rates during a period of historically low interest rates. The Federal Reserve has raised the federal funds rate as part of its efforts to address inflation. Changing interest rates may have unpredictable effects on markets, may result in heightened market volatility, and could negatively impact the Trusts’ performance.
The Trusts invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Trusts invest.
LIBOR Transition Risk: The Trusts may be exposed to financial instruments that recently transitioned from, or continue to be tied to, the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. The ultimate effect of the LIBOR transition process on the Trusts is uncertain.
11.
CAPITAL SHARE TRANSACTIONS
Each Trust is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. Each Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.
The Trusts participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2023 through November 30, 2024, each Trust may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2023, subject to certain conditions. The Repurchase Program has an accretive effect as shares are purchased at a discount to the Trust’s NAV. There is no assurance that the Trusts will purchase shares in any particular amounts. For the six months ended June 30, 2024, the Trusts did not repurchase any shares.
For the six months ended June 30, 2024, shares issued and outstanding remained constant. For the year ended December 31, 2023, shares issued and outstanding increased by 673,184 and 489,120 for BCAT and ECAT respectively, as a result of shares repurchased.
On May 3, 2024, the Board approved each Trust’s adoption of a one-year discount management program (the “Program”) that is comprised of four 3-month measurement periods, expiring with the measurement period ending March 31, 2025, unless continued by the Board. Under the Program, each Trust intends to offer to repurchase a portion of its common shares via tender offer if the Trust’s common shares trade at an average daily discount to NAV of more than 7.5% during a 3-month measurement period. The Board approved each Trust offering to repurchase 2.5% of its outstanding common shares for the first measurement period, which began on April 1, 2024 and ended on June 30, 2024, as the discount trigger was met. The results of the second, third and fourth measurement periods, and any action approved by the Board as a result, will be announced promptly after the end of each applicable measurement period. There is no guarantee that shareholders will be able to sell all of the shares that they desire to sell
Notes to Consolidated Financial Statements87
Notes to Consolidated Financial Statements (unaudited) (continued)
in any particular tender offer that is executed and there can be no assurances as to the effect that the Program will have on the market for a Trust’s shares or the discount at which a Trust’s shares may trade relative to its NAV.
As of June 30, 2024, BlackRock Financial Management, Inc., an affiliate of the Trusts, owned 5,000 shares of each of BCAT and ECAT.
Management’s evaluation of the impact of all subsequent events on the Trusts’ consolidated financial statements was completed through the date the consolidated financial statements were issued and the following items were noted:
The Trusts declared and paid or will pay distributions to Common Shareholders as follows:
As a result of the discount trigger being met during the first measurement period under the discount management program, BCAT conducted a tender offer for 2.5% of its outstanding common shares, at a price equal to 98% of the NAV per share, determined on the business day after the tender offer expired. The tender offer expired on August 16, 2024 and the results of the tender offer were as follows:
Commencement
Date of Tender
| | | Tendered Shares
as a Percentage of
Outstanding Shares | Number of Tendered
Shares to be
Purchased | Tendered Shares to be
Purchased
as a Percentage of
Outstanding Shares | | |
| | | | | | | |
| Date the tender offer period began. |
On July 22, 2024, ECAT commenced a tender offer for 2.5% of its outstanding common shares as a result of the discount trigger being met during the first measurement period under the discount management program. The tender offer expired on August 21, 2024 and the results are pending at the time of release of this report.
882024 BlackRock Semi-Annual Report to Shareholders
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
The Boards of Trustees (together, the “Board,” the members of which are referred to as “Board Members”) of BlackRock Capital Allocation Term Trust (“BCAT”) and BlackRock ESG Capital Allocation Term Trust (“ECAT”) (together, the “Funds” and each, a “Fund”) met on May 3, 2024 (the “May Meeting”) and June 6-7, 2024 (the “June Meeting”) to consider the approval to continue the investment advisory agreements (the “Advisory Agreements”) between each Fund and BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board also considered the approval to continue the sub-advisory agreements (the “Sub-Advisory Agreements”) between the Manager, BlackRock (Singapore) Limited (the “Sub-Advisor”) and each Fund. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreements for each Fund on an annual basis. The Board members who are not “interested persons” of each Fund, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to each Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each of which extended over a two-day period, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information regarding the renewal of the Agreements. In considering the renewal of the Agreements, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considered information that was relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ investment performance analyses, and the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to each Fund; (e) the resources devoted to risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (f) BlackRock’s and each Fund’s adherence to applicable compliance policies and procedures; (g) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as available; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) execution quality of portfolio transactions; (k) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (l) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (m) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; (n) periodic updates on BlackRock’s business; and (o) each Fund’s market discount/premium compared to peer funds.
Prior to and in preparation for the May Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreements. The Independent Board Members continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the May Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, closed-end funds, and open-end funds, under similar investment mandates, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.
At the May Meeting, the Board reviewed materials relating to its consideration of the Agreements and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the June Meeting, and such responses were reviewed by the Board Members.
At the June Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board evaluated the information available to it on a fund-by-fund basis. The following paragraphs provide more
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements89
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of closed-end funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the experience of each Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of each Fund; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of third-party service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans.
The Board noted that the engagement of the Sub-Advisor with respect to each Fund facilitates the provision of investment advice and trading by investment personnel out of non-U.S. jurisdictions. The Board considered that this arrangement provides additional flexibility to the portfolio management team, which may benefit each Fund and its shareholders.
B. The Investment Performance of each Fund
The Board, including the Independent Board Members, reviewed and considered the performance history of each Fund throughout the year and at the May Meeting. In preparation for the May Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2023, as compared to its Performance Peers. The performance information is based on net asset value (“NAV”), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and, in light of each Fund’s outcome-oriented investment objective, certain performance metrics (“Outcome-Oriented Performance Metrics”). The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board reviewed and considered BCAT’s performance relative to BCAT’s Outcome-Oriented Performance Metrics including a total return target. The Board noted that for the one-year, three-year and since-inception periods reported, BCAT outperformed, underperformed and underperformed, respectively, its total return target. The Board noted that BlackRock believes that the Outcome-Oriented Performance Metrics are an appropriate performance metric for BCAT, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed BCAT’s underperformance relative to its total return target during the applicable periods.
The Board reviewed and considered ECAT’s performance relative to ECAT’s Outcome-Oriented Performance Metrics, including a total return target. The Board noted that for the one-year and since-inception periods reported, ECAT outperformed and underperformed, respectively, its total return target. The Board noted that BlackRock believes that the Outcome-Oriented Performance Metrics are an appropriate performance metric for ECAT, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed ECAT’s underperformance relative to its total return target during the applicable period.
902024 BlackRock Semi-Annual Report to Shareholders
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund
The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate as a percentage of managed assets, which is the total assets of each Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of each Fund’s accrued liabilities (other than money borrowed for investment purposes) to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered that the fee and expense information in the Broadridge report for each Fund reflected information for a specific period and that historical asset levels and expenses may differ from current levels, particularly in a period of market volatility. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2023 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time and resources, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that BCAT’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the third and first quartiles, respectively, relative to the Expense Peers.
The Board noted that ECAT’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the third and first quartiles, respectively, relative to the Expense Peers.
The Board, including the Independent Board Members, considered the extent to which any economies of scale might benefit each Fund in a variety of ways as the assets of each Fund increase. The Board considered multiple factors, including the advisory fee rate and breakpoints, and fee waivers, as applicable. The Board considered each Fund’s asset levels and whether the current fee was appropriate.
Based on the Board’s review and consideration of the issue, the Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. Closed-end funds are typically priced at scale at a fund’s inception.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, securities lending and cash management services. With respect to securities lending, during the year the Board also considered information provided by independent third-party consultants related to the performance of each BlackRock affiliate as securities lending agent. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and efforts to reduce fund discounts, including continued communication efforts with
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements91
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.
At the June Meeting, in a continuation of the discussions that occurred during the May Meeting, and as a culmination of the Board’s year-long deliberative process, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and each Fund for a one-year term ending June 30, 2025, and the Sub-Advisory Agreements among the Manager, the Sub-Advisor and each Fund for a one-year term ending June 30, 2025. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were advised by independent legal counsel throughout the deliberative process.
922024 BlackRock Semi-Annual Report to Shareholders
Disclosure of Sub-Advisory Agreements
BlackRock Capital Allocation Term Trust
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock Capital Allocation Term Trust (the “Fund”) met on February 29, 2024 (the “February Meeting”) to consider the initial approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, and BlackRock International Limited, with respect to the Fund. The Sub-Advisory Agreement is substantially similar to the sub-advisory agreements previously approved with respect to certain other funds in the BlackRock Fixed-Income Complex.
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), at the February Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreement. The Board Members whom are not “interested persons” of the Fund, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board previously met on June 1-2, 2023 (the “June 2023 Meeting”) to consider the approval of the continuation of the Fund’s investment advisory agreement (the “Advisory Agreement”) between the Fund and BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor. At the June 2023 Meeting, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement for a one-year term ending June 30, 2024. A discussion of the basis for the Board’s approval of the Advisory Agreement at the June 2023 Meeting is included in the semi-annual shareholder report for the Fund for the period ended June 30, 2023. The factors considered by the Board at the Meeting in connection with the approval of the proposed Sub-Advisory Agreement were substantially the same as the factors considered at the June 2023 Meeting with respect to approval of the Advisory Agreement.
Following discussion, the Board, including all of the Independent Board Members, unanimously approved the Sub-Advisory Agreement between the Manager and BlackRock International Limited, with respect to the Fund, for a two-year term beginning on the effective date of the Sub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreements were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Sub-Advisory Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
BlackRock ESG Capital Allocation Term Trust
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of BlackRock ESG Capital Allocation Term Trust (the “Fund”) met on February 29, 2024 (the “February Meeting”) to consider the initial approval of the sub-advisory agreement (the “Sub-Advisory Agreement”) between BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor, and BlackRock International Limited, with respect to the Fund. The Sub-Advisory Agreement is substantially similar to the sub-advisory agreements previously approved with respect to certain other funds in the BlackRock Fixed-Income Complex.
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), at the February Meeting, the Board reviewed materials relating to its consideration of the proposed Sub-Advisory Agreement. The Board Members whom are not “interested persons” of the Fund, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board previously met on June 1-2, 2023 (the “June 2023 Meeting”) to consider the approval of the continuation of the Fund’s investment advisory agreement (the “Advisory Agreement”) between the Fund and BlackRock Advisors, LLC (the “Manager”), the Fund’s investment advisor. At the June 2023 Meeting, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement for a one-year term ending June 30, 2024. A discussion of the basis for the Board’s approval of the Advisory Agreement at the June 2023 Meeting is included in the semi-annual shareholder report for the Fund for the period ended June 30, 2023. The factors considered by the Board at the Meeting in connection with the approval of the proposed Sub-Advisory Agreement were substantially the same as the factors considered at the June 2023 Meeting with respect to approval of the Advisory Agreement.
Following discussion, the Board, including all of the Independent Board Members, unanimously approved the Sub-Advisory Agreement between the Manager and BlackRock International Limited, with respect to the Fund, for a two-year term beginning on the effective date of the Sub-Advisory Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, the Board, including the Independent Board Members, was satisfied that the terms of the Sub-Advisory Agreements were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Sub-Advisory Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
Disclosure of Sub-Advisory Agreements93
Proxy Results
The Annual Meeting of Shareholders of BCAT (the “Meeting”) was held on June 26, 2024 for shareholders of record on April 3, 2024 to consider and vote on the election of three Class II Trustees and to consider and vote on a shareholder proposal submitted by an activist hedge fund to terminate the investment management agreement between BCAT and BlackRock Advisors, LLC. There were no broker non-votes.
The vote results in the election of Class II Trustees were as follows:
No nominee received the required number of votes to be re-elected or elected to the Board of BCAT. The vote standard to elect Board members is described in BCAT’s most recent proxy statement. R. Glenn Hubbard, W. Carl Kester and John M. Perlowski, incumbent Class II Trustees, will continue to serve as Class II Trustees until their successors have been duly elected and qualified.
The Trustees of BCAT whose term of office continued after the Meeting because they were not up for election are Cynthia L. Egan, Robert Fairbairn, Lorenzo A. Flores, Stayce D. Harris, J. Phillip Holloman, Catherine A. Lynch and Arthur P. Steinmetz.
The shareholder proposal to terminate the investment management agreement between BCAT and BlackRock Advisors, LLC was not approved by shareholders:
The vote standard to approve the shareholder proposal is described in BCAT’s most recent proxy statement.
The Annual Meeting of Shareholders of ECAT (the “Meeting”) was held on June 26, 2024 for shareholders of record on April 3, 2024 to consider and vote on the election of four Class I Trustees and three Class II Trustees and to consider and vote on a shareholder proposal submitted by an activist hedge fund to terminate the investment management agreement between ECAT and BlackRock Advisors, LLC. There were no broker non-votes.
The vote results in the election of Class I Trustees were as follows:
The vote results in the election of Class II Trustees were as follows:
942024 BlackRock Semi-Annual Report to Shareholders
Additional Information (continued)
No nominee received the required number of votes to be re-elected or elected to the Board of ECAT. The vote standard to elect Board members is described in ECAT’s most recent proxy statement. Cynthia L. Egan, Lorenzo A. Flores, Stayce D. Harris, and Catherine A. Lynch, incumbent Class I Trustees, will continue to serve as Class I Trustees and R. Glenn Hubbard, W. Carl Kester and John M. Perlowski, incumbent Class II Trustees, will continue to serve as Class II Trustees until their successors have been duly elected and qualified.
The Trustees of ECAT whose term of office continued after the Meeting because they were not up for election are Robert Fairbairn, J. Phillip Holloman and Arthur P. Steinmetz.
The shareholder proposal to terminate the investment management agreement between ECAT and BlackRock Advisors, LLC was not approved by shareholders:
The vote standard to approve the shareholder proposal is described in ECAT’s most recent proxy statement.
The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by Section 302 of the Sarbanes-Oxley Act.
Environmental, Social and Governance (“ESG”) Integration
Although the Trusts do not seek to implement a specific sustainability objective, strategy or process unless otherwise disclosed, Trust management will consider ESG factors as part of the investment process for the Trusts. Trust management views ESG integration as the practice of incorporating financially material ESG data or information into investment processes with the objective of enhancing risk-adjusted returns. These ESG considerations will vary depending on the Trusts’ particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. The ESG characteristics utilized in the Trusts’ investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. Certain of these considerations may affect the Trusts’ exposure to certain companies or industries. While Trust management views ESG considerations as having the potential to contribute to the Trusts’ long-term performance, there is no guarantee that such results will be achieved.
Each Trust’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Trust employs a managed distribution plan (the "Plan"), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Trust.
The distributions paid by each Trust for any particular month may be more or less than the amount of net investment income earned by each Trust during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of each Trust and is reported in each Trust’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. Each Trust’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Trust’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.
A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.
Such distributions, under certain circumstances, may exceed a Trust’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Trust’s total assets and net asset value (“NAV”) per share and, therefore, could have the effect of increasing the Trust’s expense ratio and reducing the amount of assets the Trust has available for long term investment.
The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.
The following information is a summary of certain changes since December 31, 2023. This information may not reflect all of the changes that have occurred since you purchased the relevant Trust.
Except if noted otherwise herein, there were no changes to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders.
In accordance with Section 23(c) of the Investment Company Act of 1940, each Trust may from time to time purchase shares of its common stock in the open market or in private transactions.
Additional Information (continued)
General Information (continued)
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.
Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service.
The Trusts will mail only one copy of shareholder documents, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.
Availability of Quarterly Schedule of Investments
The Trusts file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Trusts’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Trust makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities and information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 882-0052; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.
Availability of Trust Updates
BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
962024 BlackRock Semi-Annual Report to Shareholders
Additional Information (continued)
Trust and Service Providers
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
BlackRock (Singapore) Limited
079912 Singapore
BlackRock International Limited
Edinburgh, EH3 8BL
United Kingdom
Accounting Agent and Custodian
State Street Bank and Trust Company
Boston, MA 02114
Transfer Agent
Computershare Trust Company, N.A.
Canton, MA 02021
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Willkie Farr & Gallagher LLP
New York, NY 10019
100 Bellevue Parkway
Wilmington, DE 19809
Glossary of Terms Used in this Report
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| American Depositary Receipt |
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| Overnight Brazil Interbank Deposit (CETIP) |
| Collateralized Loan Obligation |
| Constant Maturity Treasury |
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| Designated Activity Company |
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| Euro Interbank Offered Rate |
| Freddie Mac Multifamily Securities |
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| London Interbank Offered Rate |
| Morgan Stanley Capital International |
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| Mexico Interbank TIIE 28-Day |
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| Private Investment in Public Equity |
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| Societe en Commandite par Actions |
| Secured Overnight Financing Rate |
| Sterling Overnight Interbank Average Rate |
| Standard & Poor’s Depository Receipt |
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982024 BlackRock Semi-Annual Report to Shareholders
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Want to know more?
blackrock.com | 800-882-0052
This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.
(b) Not Applicable
| Item 2 – | Code of Ethics – Not Applicable to this semi-annual report |
| Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
| Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
| Item 5 – | Audit Committee of Listed Registrant – Not Applicable to this semi-annual report |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
| Item 7 – | Financial Statements and Financial Highlights for Open-End Management Investment Companies – Not Applicable |
| Item 8 – | Changes in and Disagreements with Accountants for Open-End Management Investment Companies – Not Applicable |
| Item 9 – | Proxy Disclosures for Open-End Management Investment Companies – Not Applicable |
| Item 10 – | Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies – Not Applicable |
| Item 11 – | Statement Regarding Basis for Approval of Investment Advisory Contract – The registrant’s statement regarding the basis for approval of the investment advisory contract is included as part of the Report to Stockholders filed under Item 1(a) of this Form. |
| Item 12 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
| Item 13 – | Portfolio Managers of Closed-End Management Investment Companies |
(a)(1) As of the date of filing this Report:
The registrant is managed by a team of investment professionals comprised of Rick Rieder, Managing Director at BlackRock, Russ Koesterich, CFA, JD, Managing Director at BlackRock, Kate Moore, Managing Director at BlackRock, Sarah Thompson, CFA, Managing Director at BlackRock and Randy Berkowitz, CFA, Managing Director at BlackRock. Messrs. Rieder, Koesterich and Berkowitz and Mses. Moore and Thompson are the Fund’s portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Messrs. Rieder and Koesterich have been members of the Fund’s portfolio management team since 2020. Mses. Moore and Thompson and Mr. Berkowitz have been members of the Fund’s portfolio management team since 2024.
Information below is with respect to Mses. Moore and Thompson and Mr. Berkowitz who became a portfolio manager to the Fund on June 30, 2024.
| | |
| Portfolio Manager | | Biography |
Kate Moore | | Managing Director of BlackRock since 2016; Chief Investment Strategist at J.P. Morgan from 2013 to 2016; Senior Global Equity Strategist at BofA Merrill Lynch Global Research from 2009 to 2013. |
Sarah Thompson, CFA | | Managing Director of BlackRock, Inc. since 2013. |
Randy Berkowitz, CFA | | Managing Director of BlackRock, Inc. since 2021; Director of BlackRock, Inc. from 2014 to 2021. |
(a)(2) As of June 30, 2024:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (ii) Number of Other Accounts Managed and Assets by Account Type | | (iii) Number of Other Accounts and Assets for Which Advisory Fee is Performance-Based |
(i) Name of
Portfolio Manager | | Other Registered Investment Companies | | Other Pooled Investment Vehicles | | Other Accounts | | Other Registered Investment Companies | | Other Pooled Investment Vehicles | | Other Accounts |
Kate Moore | | 1 | | 4 | | 0 | | 0 | | 0 | | 0 |
| | $1.91 Billion | | $857.8 Million | | $0 | | $0 | | $0 | | $0 |
Sarah Thompson, CFA | | 2 | | 4 | | 0 | | 0 | | 0 | | 0 |
| | $2.82 Billion | | $1.68 Billion | | $0 | | $0 | | $0 | | $0 |
Randy Berkowitz, CFA | | 3 | | 4 | | 0 | | 0 | | 0 | | 0 |
| | $3.35 Billion | | $1.68 Billion | | $0 | | $0 | | $0 | | $0 |
(iv) Portfolio Manager Potential Material Conflicts of Interest
BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant
shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that [a portfolio manager may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Such portfolio managers may therefore be entitled to receive a portion of any incentive fees earned on such accounts. Currently, the portfolio managers of this fund are not entitled to receive a portion of incentive fees of other accounts.
As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.
(a)(3) As of June 30, 2024:
Portfolio Manager Compensation Overview
The discussion below describes the portfolio managers’ compensation as of June 30, 2024.
BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.
Base Compensation. Generally, portfolio managers receive base compensation based on their position with the firm.
Discretionary Incentive Compensation
Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1- and 5-year periods, as applicable, is generally assessed over trailing 1-, 3- and 5-year periods relative to benchmarks plus an alpha
target as well as against peer groups. With respect to these portfolio managers in relation to these portfolios, the benchmarks for the Fund and other accounts are:
| | |
| Portfolio Manager | | Benchmark |
Kate Moore | | S&P 500 Index, FTSE World ex-US Index, ICE BofA Current 5-Year Treasury Index and FTSE Non-US Dollar World Government Bond Index. |
Sarah Thompson, CFA | | MSCI World Net TR Index. |
Randy Berkowitz, CFA | | MSCI ACWI Minimum Volatility (USD) Index (USD) and MSCI World Net TR Index. |
Distribution of Discretionary Incentive Compensation
Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.
Portfolio managers receive their annual discretionary incentive compensation in the form of cash. Portfolio managers whose total compensation is above a specified threshold also receive deferred BlackRock, Inc. stock awards annually as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align interests with long-term shareholders and motivate performance. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.
For certain portfolio managers, a portion of the discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage, which provides direct alignment of portfolio manager discretionary incentive compensation with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Only portfolio managers who manage specified products and whose total compensation is above a specified threshold are eligible to participate in the deferred cash award program.
Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:
Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($345,000 for 2024). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year
in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.
(a)(4) Beneficial Ownership of Securities – As of June 30, 2024.
| | |
| Portfolio Manager | | Dollar Range of Equity Securities of the
Fund Beneficially Owned |
Kate Moore | | None |
Sarah Thompson, CFA | | None |
Randy Berkowitz, CFA | | $100,001 - $500,000 |
(b) Not Applicable
| Item 14 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report. |
| Item 15 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
| Item 16 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 17 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
| Item 18 – | Recovery of Erroneously Awarded Compensation – Not Applicable |
| Item 19 – | Exhibits attached hereto |
(a)(1) Code of Ethics – Not Applicable to this semi-annual report
(a)(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant’s securities are listed – Not Applicable
(a)(3) Section 302 Certifications are attached
(a)(4) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(5) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
(c) Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091
| 1 | | The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period. |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Capital Allocation Term Trust
| | | | |
| | By: | | /s/ John M. Perlowski |
| | | | John M. Perlowski |
| | | | Chief Executive Officer (principal executive officer) of |
| | | | BlackRock Capital Allocation Term Trust |
Date: August 23, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | | | |
| | By: | | /s/ John M. Perlowski |
| | | | John M. Perlowski |
| | | | Chief Executive Officer (principal executive officer) of |
| | | | BlackRock Capital Allocation Term Trust |
Date: August 23, 2024
| | | | |
| | By: | | /s/ Trent Walker |
| | | | Trent Walker |
| | | | Chief Financial Officer (principal financial officer) of |
| | | | BlackRock Capital Allocation Term Trust |
Date: August 23, 2024
