Form NPORT-P/A - Monthly Portfolio Investments Report on Form N-PORT (Public): [Amend]
2023年8月15日 - 5:31AM
Edgar (US Regulatory)
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Consolidated Schedule of Investments (unaudited)
March 31, 2023 |
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BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
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Security |
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Par
(000) |
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Value |
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Asset-Backed Securities |
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Canada 0.0% |
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Fairstone Financial Issuance Trust I, Series 2020-1A, Class D,
6.87%, 10/20/39(a) |
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|
CAD 1,270 |
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$ |
861,598 |
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Cayman Islands 5.4% |
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522 Funding CLO Ltd., Series 2019-4A, Class DR, (3 mo.
LIBOR US + 3.65%), 8.46%, 04/20/30(a)(b) |
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USD 1,950 |
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1,766,843 |
|
AGL CLO 3 Ltd., Series 2020-3A, Class D, (3 mo. LIBOR
US + 3.30%), 8.09%, 01/15/33(a)(b) |
|
|
550 |
|
|
|
515,108 |
|
AGL CLO 5 Ltd., Series 2020-5A, Class ER, (3 mo. LIBOR US
+ 6.45%), 11.26%, 07/20/34(a)(b) |
|
|
3,000 |
|
|
|
2,752,828 |
|
AGL CLO 7 Ltd., Series 2020-7A, Class DR, (3 mo. LIBOR US
+ 3.10%), 7.89%, 07/15/34(a)(b) |
|
|
250 |
|
|
|
230,816 |
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AGL CLO 9 Ltd., Series 2020-9A, Class D, (3 mo. LIBOR US
+ 3.70%), 8.51%, 01/20/34(a)(b) |
|
|
850 |
|
|
|
799,263 |
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AIG CLO LLC, Series 2020-1A, Class ER, (3 mo. LIBOR US
+ 6.30%), 11.09%, 04/15/34(a)(b) |
|
|
500 |
|
|
|
448,450 |
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AIMCO CLO, Series 2017-AA, Class DR, (3 mo. LIBOR US +
3.15%), 7.96%, 04/20/34(a)(b) |
|
|
250 |
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|
|
226,100 |
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ALM Ltd., Series 2020-1A, Class D, (3 mo. LIBOR US +
6.00%), 10.79%, 10/15/29(a)(b) |
|
|
950 |
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838,738 |
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Apidos CLO XXII, Series 2015-22A, Class CR, (3 mo. LIBOR US
+ 2.95%), 7.76%, 04/20/31(a)(b) |
|
|
250 |
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|
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234,992 |
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Apidos CLO XXXII, Series 2019-32A, Class D, (3 mo. LIBOR US
+ 3.50%), 8.31%, 01/20/33(a)(b) |
|
|
250 |
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|
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238,730 |
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Apidos CLO XXXV, Series 2021-35A, Class E, (3 mo. LIBOR US
+ 5.75%), 10.56%, 04/20/34(a)(b) |
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|
375 |
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346,342 |
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Apidos CLO XXXVII, Series 2021-37A, Class E, (3 mo. LIBOR
US + 6.30%), 11.12%, 10/22/34(a)(b) |
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250 |
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233,347 |
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Apres Static CLO Ltd., Series 2019-1A, Class CR, (3 mo.
LIBOR US + 4.25%), 9.04%, 10/15/28(a)(b) |
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3,000 |
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2,822,873 |
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Ares LIX CLO Ltd., Series 2021-59A, Class E, (3 mo. LIBOR
US + 6.25%), 11.07%, 04/25/34(a)(b) |
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700 |
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638,537 |
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Ares Loan Funding I Ltd.(a)(b) |
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Series 2021-ALFA, Class E, (3 mo. LIBOR US + 6.70%), 11.49%, 10/15/34 |
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1,250 |
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1,171,211 |
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Series 2021-ALFA, Class SUB, 0.00%, 10/15/34 |
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2,150 |
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1,564,125 |
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Ares LV CLO Ltd., Series 2020-55A, Class DR, (3 mo. LIBOR
US + 3.15%), 7.94%, 07/15/34(a)(b) |
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1,500 |
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1,376,063 |
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Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3 mo. LIBOR
US + 6.50%), 11.32%, 10/25/34(a)(b) |
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|
625 |
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578,864 |
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Atrium IX, Series 9A, Class CR2, (3 mo. LIBOR US + 2.00%), 6.95%, 05/28/30(a)(b) |
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|
370 |
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354,240 |
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Ballyrock CLO Ltd., Series 2019-1A, Class CR, (3 mo. LIBOR
US + 3.05%), 7.84%, 07/15/32(a)(b) |
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2,700 |
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2,462,367 |
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Bardot CLO Ltd., Series 2019-2A, Class DR, (3 mo. LIBOR US
+ 3.00%), 7.82%, 10/22/32(a)(b) |
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250 |
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232,968 |
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Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3 mo.
LIBOR US + 3.25%), 8.04%, 07/15/31(a)(b) |
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250 |
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221,423 |
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Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class ER, (3 mo. LIBOR US + 6.75%),
11.54%, 07/15/34(a)(b) |
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250 |
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222,124 |
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Birch Grove CLO 2 Ltd., Series 2021-2A, Class D1, (3 mo.
LIBOR US + 3.30%), 8.10%, 10/19/34(a)(b) |
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750 |
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681,177 |
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Birch Grove CLO Ltd., Series 19A, Class DR, (3 mo. LIBOR US + 3.35%), 8.22%, 06/15/31(a)(b) |
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1,500 |
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1,417,459 |
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BlueMountain CLO Ltd., Series 2016-2A, Class C1R2, (3 mo.
LIBOR US + 3.10%), 8.02%, 08/20/32(a)(b) |
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1,000 |
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925,587 |
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Security |
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Par
(000) |
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Value |
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Cayman Islands (continued) |
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Buttermilk Park CLO Ltd., Series 2018-1A, Class D, (3 mo.
LIBOR US + 3.10%), 7.89%, 10/15/31(a)(b) |
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USD 250 |
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$ |
222,646 |
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Canyon CLO Ltd., Series 2020-3A, Class E, (3 mo. LIBOR US
+ 7.25%), 12.04%, 01/15/34(a)(b) |
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250 |
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226,160 |
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CarVal CLO II Ltd., Series 2019-1A, Class DR, (3 mo. LIBOR
US + 3.20%), 8.01%, 04/20/32(a)(b) |
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1,425 |
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1,296,703 |
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CarVal CLO VC Ltd., Series 2021-2A, Class E, (3 mo. LIBOR
US + 6.75%), 11.54%, 10/15/34(a)(b) |
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500 |
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440,182 |
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CIFC Funding Ltd.(a)(b) |
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Series 2014-2RA, Class B1, (3 mo. LIBOR US + 2.80%),
7.62%, 04/24/30 |
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1,000 |
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940,055 |
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Series 2019-3A, Class CR, (3 mo. LIBOR US + 3.05%),
7.84%, 10/16/34 |
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1,000 |
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942,715 |
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Crown City CLO III(a)(b) |
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Series 2021-1A, Class C, (3 mo. LIBOR US + 3.30%),
8.11%, 07/20/34 |
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1,250 |
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1,085,449 |
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Series 2021-1A, Class D, (3 mo. LIBOR US + 6.75%),
11.56%, 07/20/34 |
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500 |
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416,833 |
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Crown Point CLO 9 Ltd., Series 2020-9A, Class DR, (3 mo.
LIBOR US + 3.75%), 8.54%, 07/14/34(a)(b) |
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500 |
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450,374 |
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Eaton Vance CLO Ltd., Series 2019-1A, Class ER, (3 mo.
LIBOR US + 6.50%), 11.29%, 04/15/31(a)(b) |
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500 |
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450,677 |
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Elmwood CLO I Ltd.(a)(b) |
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Series 2019-1A, Class DR, (3 mo. LIBOR US + 4.40%),
9.21%, 10/20/33 |
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5,750 |
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5,461,015 |
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Series 2019-1A, Class ER, (3 mo. LIBOR US + 7.71%),
12.52%, 10/20/33 |
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2,375 |
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2,246,137 |
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Elmwood CLO II Ltd.(a)(b) |
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Series 2019-2A, Class ER, (3 mo. LIBOR US + 6.80%),
11.61%, 04/20/34 |
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3,000 |
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2,845,173 |
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Series 2019-2A, Class SUB, 0.00%, 04/20/34 |
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1,000 |
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745,712 |
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Elmwood CLO V Ltd., Series 2020-2A, Class ER, (3 mo. LIBOR
US + 6.10%), 10.91%, 10/20/34(a)(b) |
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250 |
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230,230 |
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Elmwood CLO VIII Ltd., Series 2021-1A, Class E1, (3 mo.
LIBOR US + 6.00%), 10.81%, 01/20/34(a)(b) |
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500 |
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462,024 |
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Elmwood CLO X Ltd., Series 2021-3A, Class E, (3 mo. LIBOR
US + 5.85%), 10.66%, 10/20/34(a)(b) |
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1,000 |
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899,928 |
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Flatiron CLO 19 Ltd., Series 2019-1A, Class DR, (3 mo.
LIBOR US + 3.00%), 7.87%, 11/16/34(a)(b) |
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700 |
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652,871 |
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GoldenTree Loan Management U.S. CLO 1 Ltd., |
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Series 2021-9A, Class E, (3 mo. LIBOR US + 4.75%),
9.56%, 01/20/33(a)(b) |
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1,000 |
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831,037 |
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GoldenTree Loan Opportunities X Ltd., Series 2015-10A, Class DR, (3 mo. LIBOR US + 3.05%),
7.86%, 07/20/31(a)(b) |
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750 |
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709,732 |
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Golub Capital Partners CLO 53B Ltd., Series 2021- 53A, Class E, (3 mo. LIBOR US + 6.70%),
11.51%, 07/20/34(a)(b) |
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250 |
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220,878 |
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Golub Capital Partners CLO 55B Ltd., Series 2021- 55A, Class E, (3 mo. LIBOR US + 6.56%),
11.37%, 07/20/34(a)(b) |
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1,000 |
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891,067 |
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Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E,
(3 mo. LIBOR US + 6.45%), 11.24%, 04/15/33(a)(b) |
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2,625 |
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2,255,524 |
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Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class D,
(3 mo. Term SOFR + 6.85%), 11.48%, 07/15/35(a)(b) |
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750 |
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646,654 |
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Madison Park Funding XLIX Ltd., Series 2021-49A, Class E,
(3 mo. LIBOR US + 6.25%), 11.05%, 10/19/34(a)(b) |
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250 |
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237,317 |
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1
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Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
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Security |
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Par
(000) |
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Value |
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Cayman Islands (continued) |
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Madison Park Funding XLVIII Ltd., Series 2021-48A, Class C,
(3 mo. LIBOR US + 2.00%), 7.27%, 04/19/33 |
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USD 404 |
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$ |
391,437 |
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Madison Park Funding XVII Ltd., Series 2015-17A, Class CR2,
(3 mo. LIBOR US + 1.90%), 7.16%, 07/21/30 |
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|
708 |
|
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680,686 |
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Madison Park Funding XXIX Ltd., Series 2018-29A, Class E,
(3 mo. LIBOR US + 5.70%), 10.49%, 10/18/30(a)(b) |
|
|
500 |
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|
450,635 |
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Niagara Park CLO Ltd., Series 2019-1A, Class ER, (3 mo.
LIBOR US + 5.95%), 10.74%, 07/17/32(a)(b) |
|
|
1,000 |
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|
903,409 |
|
OCP CLO Ltd.(a)(b) |
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Series 2019-16A, Class ER, (3 mo. LIBOR US + 6.35%),
11.16%, 04/10/33 |
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|
400 |
|
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352,741 |
|
Series 2020-18A, Class DR, (3 mo. LIBOR US + 3.20%),
8.01%, 07/20/32 |
|
|
500 |
|
|
|
465,350 |
|
Series 2020-20A, Class D1, (3 mo. LIBOR US + 3.95%), 8.76%,
10/09/33 |
|
|
3,500 |
|
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|
3,306,893 |
|
Series 2020-20A, Class E, (3 mo. LIBOR US + 7.66%),
12.47%, 10/09/33 |
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|
2,250 |
|
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|
2,104,461 |
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Octagon 54 Ltd., Series 2021-1A, Class D, (3 mo. LIBOR US
+ 3.05%), 7.84%, 07/15/34(a)(b) |
|
|
250 |
|
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|
227,906 |
|
OHA Credit Partners VII Ltd., Series 2012-7A, Class CR3,
(3 mo. LIBOR US + 1.80%), 6.72%, 02/20/34 |
|
|
1,011 |
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962,384 |
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OSD CLO Ltd., Series 2021-23A, Class E, (3 mo. LIBOR US
+ 6.00%), 10.79%, 04/17/31(a)(b) |
|
|
250 |
|
|
|
224,253 |
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Palmer Square CLO Ltd.(a)(b) |
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Series 2018-2A, Class D, (3 mo. LIBOR US + 5.60%),
10.43%, 07/16/31 |
|
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250 |
|
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|
224,095 |
|
Series 2021-2A, Class E, (3 mo. LIBOR US + 6.35%),
11.14%, 07/15/34 |
|
|
250 |
|
|
|
238,405 |
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Palmer Square Loan Funding Ltd.(a)(b) |
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Series 2020-1A, Class D, (3 mo. LIBOR US + 4.85%),
9.53%, 02/20/28 |
|
|
250 |
|
|
|
239,970 |
|
Series 2020-4A, Class C, (3 mo. LIBOR US + 3.60%),
8.56%, 11/25/28 |
|
|
1,000 |
|
|
|
991,829 |
|
Series 2021-1A, Class D, (3 mo. LIBOR US + 6.00%),
10.81%, 04/20/29 |
|
|
1,250 |
|
|
|
1,193,423 |
|
Series 2021-3A, Class C, (3 mo. LIBOR US + 2.50%),
7.31%, 07/20/29 |
|
|
250 |
|
|
|
237,193 |
|
Series 2021-3A, Class D, (3 mo. LIBOR US + 5.00%),
9.81%, 07/20/29 |
|
|
250 |
|
|
|
225,690 |
|
Series 2021-4A, Class D, (3 mo. LIBOR US + 5.00%),
9.79%, 10/15/29 |
|
|
750 |
|
|
|
674,748 |
|
Series 2021-4A, Class E, (3 mo. LIBOR US + 7.51%),
12.30%, 10/15/29 |
|
|
500 |
|
|
|
464,602 |
|
Park Avenue Institutional Advisers CLO Ltd.(a)(b)
|
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|
|
|
|
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Series 2021-1A, Class D, (3 mo. LIBOR US + 7.30%),
12.11%, 01/20/34 |
|
|
600 |
|
|
|
535,118 |
|
Series 2021-2A, Class D, (3 mo. LIBOR US + 3.40%),
8.19%, 07/15/34 |
|
|
1,000 |
|
|
|
900,356 |
|
Pikes Peak CLO 4, Series 2019-4A, Class DR, (3 mo. LIBOR US
+ 3.25%), 8.04%, 07/15/34(a)(b) |
|
|
1,000 |
|
|
|
873,563 |
|
Pikes Peak CLO 6, Series 2020-6A, Class ER2, (3 mo. LIBOR
US + 6.43%), 11.35%, 05/18/34(a)(b) |
|
|
500 |
|
|
|
432,184 |
|
Post CLO Ltd.(a)(b) |
|
|
|
|
|
|
|
|
Series 2018-1A, Class D, (3 mo. LIBOR US + 2.95%),
7.74%, 04/16/31 |
|
|
500 |
|
|
|
467,518 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
Cayman Islands (continued) |
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Post CLO Ltd.(a)(b) (continued) |
|
|
|
|
|
|
|
|
Series 2021-1A, Class E, (3 mo. LIBOR US + 6.45%),
11.24%, 10/15/34 |
|
|
USD 750 |
|
|
$ |
651,044 |
|
Rad CLO 3 Ltd., Series 2019-3A, Class DR, (3 mo. LIBOR US
+ 2.75%), 7.54%, 04/15/32(a)(b) |
|
|
250 |
|
|
|
227,282 |
|
Rad CLO 9 Ltd., Series 2020-9A, Class E, (3 mo. LIBOR US
+ 7.59%), 12.38%, 01/15/34(a)(b) |
|
|
5,000 |
|
|
|
4,630,094 |
|
Regatta XVII Funding Ltd.(a)(b) |
|
|
|
|
|
|
|
|
Series 2020-1A, Class D, (3 mo. LIBOR US + 4.15%),
8.94%, 10/15/33 |
|
|
750 |
|
|
|
713,205 |
|
Series 2020-1A, Class E, (3 mo. LIBOR US + 7.61%),
12.40%, 10/15/33 |
|
|
250 |
|
|
|
234,938 |
|
Regatta XVIII Funding Ltd., Series 2021-1A, Class C, (3 mo.
LIBOR US + 1.75%), 7.01%, 01/15/34 |
|
|
1,011 |
|
|
|
955,935 |
|
Regatta XX Funding Ltd., Series 2021-2A, Class D, (3 mo.
LIBOR US + 3.10%), 7.89%, 10/15/34(a)(b) |
|
|
1,500 |
|
|
|
1,431,032 |
|
Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3 mo.
LIBOR US + 6.80%), 11.61%, 01/20/35(a)(b) |
|
|
500 |
|
|
|
469,221 |
|
RR 19 Ltd., Series 2021-19A, Class D, (3 mo. LIBOR US
+ 6.50%), 11.29%, 10/15/35(a)(b) |
|
|
250 |
|
|
|
235,159 |
|
Sixth Street CLO XIX Ltd., Series 2021-19A, Class E, (3 mo.
LIBOR US + 5.90%), 10.71%, 07/20/34(a)(b) |
|
|
3,750 |
|
|
|
3,454,915 |
|
Sixth Street CLO XVI Ltd., Series 2020-16A, Class E, (3 mo.
LIBOR US + 7.32%), 12.13%, 10/20/32(a)(b) |
|
|
1,480 |
|
|
|
1,354,751 |
|
Sound Point CLO XII Ltd., Series 2016-2A, Class BR2, (3 mo.
LIBOR US + 1.50%), 6.75%, 10/20/28 |
|
|
2,299 |
|
|
|
2,267,791 |
|
Sound Point CLO XXVI Ltd., Series 2020-1A, Class DR, (3 mo.
LIBOR US + 3.35%), 8.16%, 07/20/34(a)(b) |
|
|
250 |
|
|
|
216,160 |
|
Stratus CLO Ltd.(a)(b) |
|
|
|
|
|
|
|
|
Series 2021-1A, Class E, (3 mo. LIBOR US + 5.00%),
9.81%, 12/29/29 |
|
|
1,500 |
|
|
|
1,320,355 |
|
Series 2021-1A, Class SUB, 0.00%, 12/29/29 |
|
|
1,000 |
|
|
|
446,000 |
|
Series 2021-2A, Class E, (3 mo. LIBOR US + 5.75%),
10.56%, 12/28/29 |
|
|
1,000 |
|
|
|
909,505 |
|
Series 2021-3A, Class E, (3 mo. LIBOR US + 5.75%),
10.56%, 12/29/29 |
|
|
500 |
|
|
|
455,300 |
|
Symphony CLO XXI Ltd., Series 2019-21A, Class DR, (3 mo.
LIBOR US + 3.30%), 8.09%, 07/15/32(a)(b) |
|
|
500 |
|
|
|
444,796 |
|
Symphony CLO XXIII Ltd., Series 2020-23A, Class ER, (3 mo.
LIBOR US + 6.15%), 10.94%, 01/15/34(a)(b) |
|
|
500 |
|
|
|
445,980 |
|
TICP CLO I-2 Ltd., Series
2018-IA, Class B, (3 mo. LIBOR US + 2.20%), 7.02%, 04/26/28 |
|
|
566 |
|
|
|
565,490 |
|
TICP CLO II-2 Ltd., Series
2018-IIA, Class C, (3 mo. LIBOR US + 2.95%), 7.76%, 04/20/28(a)(b) |
|
|
250 |
|
|
|
250,000 |
|
TICP CLO IX Ltd., Series 2017-9A, Class D, (3 mo. LIBOR US
+ 2.90%), 7.71%, 01/20/31(a)(b) |
|
|
500 |
|
|
|
473,727 |
|
TICP CLO XI Ltd.(a)(b) |
|
|
|
|
|
|
|
|
Series 2018-11A, Class D, (3 mo. LIBOR US + 3.05%),
7.86%, 10/20/31 |
|
|
250 |
|
|
|
239,413 |
|
Series 2018-11A, Class E, (3 mo. LIBOR US + 6.00%),
10.81%, 10/20/31 |
|
|
500 |
|
|
|
449,933 |
|
TICP CLO XV Ltd., Series 2020-15A, Class E, (3 mo. LIBOR US
+ 6.15%), 10.96%, 04/20/33(a)(b) |
|
|
500 |
|
|
|
452,643 |
|
Trestles CLO Ltd., Series 2017-1A, Class CR, (3 mo. LIBOR
US + 2.90%), 7.72%, 04/25/32(a)(b) |
|
|
500 |
|
|
|
448,074 |
|
|
|
|
C O N S O L I D A T E D S C H E D U L E
O F I N V E S T M E N T S |
|
2 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
Cayman Islands (continued) |
|
Trimaran CAVU Ltd. |
|
|
|
|
|
|
|
|
Series 2019-1A, Class D, (3 mo. LIBOR US + 4.15%),
8.96%, 07/20/32(a)(b) |
|
|
USD 1,750 |
|
|
$ |
1,620,319 |
|
Series 2021-1A, Class C, (3 mo. LIBOR US + 2.10%),
6.92%, 04/23/32 |
|
|
1,440 |
|
|
|
1,355,719 |
|
Voya CLO Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US
+ 6.60%), 11.41%, 07/20/32(a)(b) |
|
|
250 |
|
|
|
228,501 |
|
Whitebox CLO I Ltd.(a)(b) |
|
|
|
|
|
|
|
|
Series 2019-1A, Class CR, (3 mo. LIBOR US + 3.05%),
7.87%, 07/24/32 |
|
|
250 |
|
|
|
231,174 |
|
Series 2019-1A, Class DR, (3 mo. LIBOR US + 6.40%),
11.22%, 07/24/32 |
|
|
1,300 |
|
|
|
1,175,430 |
|
Series 2019-1A, Class SUB, 0.00%, 07/24/32 |
|
|
1,000 |
|
|
|
543,300 |
|
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3 mo.
LIBOR US + 3.35%), 8.17%, 10/24/34(a)(b) |
|
|
2,750 |
|
|
|
2,528,497 |
|
Whitebox CLO III Ltd.(a)(b) |
|
|
|
|
|
|
|
|
Series 2021-3A, Class D, (3 mo. LIBOR US + 3.35%),
8.14%, 10/15/34 |
|
|
500 |
|
|
|
449,163 |
|
Series 2021-3A, Class E, (3 mo. LIBOR US + 6.85%),
11.64%, 10/15/34 |
|
|
500 |
|
|
|
451,706 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
99,203,069 |
|
|
Ireland(a)(b) 0.5% |
|
Anchorage Capital Europe CLO DAC, Series 4A, Class D, (1 mo. EURIBOR + 3.20%),
5.65%, 04/25/34 |
|
|
EUR 868 |
|
|
|
842,805 |
|
CIFC European Funding CLO III DAC, Series 3A, Class D, (1 mo. EURIBOR + 3.60%),
5.89%, 01/15/34 |
|
|
700 |
|
|
|
680,265 |
|
CVC Cordatus Loan Fund XIX DAC, Series 19A, Class D, (1 mo. EURIBOR + 3.80%),
6.71%, 12/23/33 |
|
|
2,300 |
|
|
|
2,232,611 |
|
Henley CLO IV DAC, Series 4A, Class D, (1 mo. EURIBOR + 3.00%), 5.45%, 04/25/34 |
|
|
1,000 |
|
|
|
954,022 |
|
Invesco Euro CLO V DAC, Series D, Class 5A, (1 mo. EURIBOR + 3.80%),
6.09%, 01/15/34 |
|
|
3,150 |
|
|
|
3,084,162 |
|
Prodigy Finance DAC |
|
|
|
|
|
|
|
|
Series 2021-1A, Class C, (1 mo. LIBOR US + 3.75%),
8.60%, 07/25/51 |
|
|
USD 340 |
|
|
|
336,698 |
|
Series 2021-1A, Class D, (1 mo. LIBOR US + 5.90%),
10.75%, 07/25/51 |
|
|
340 |
|
|
|
335,126 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,465,689 |
|
|
Netherlands 0.1% |
|
Alme Loan Funding V DAC, Series ER, Class 5A, (1 mo. EURIBOR + 5.41%), 7.70%, 07/15/31(a)(b) |
|
|
EUR 2,250 |
|
|
|
2,173,352 |
|
|
|
|
|
|
|
|
|
|
|
United Kingdom 0.0% |
|
Ares European CLO XII DAC, Series 12A, Class DR, (1 mo. EURIBOR + 3.00%), 5.34%, 04/20/32(a)(b) |
|
|
875 |
|
|
|
846,350 |
|
|
|
|
|
|
|
|
|
|
|
United States 3.2% |
|
510 Loan Acquisition Trust, Series 2020-1, Class A,
5.11%, 09/25/60(a) |
|
|
USD 4,434 |
|
|
|
4,268,445 |
|
Ajax Mortgage Loan Trust(a) |
|
|
|
|
|
|
|
|
Series 2020-C, Class A, 2.25%, 09/27/60 |
|
|
172 |
|
|
|
168,899 |
|
Series 2020-C, Class B, 5.00%, 09/27/60 |
|
|
375 |
|
|
|
348,786 |
|
Series 2020-C, Class C, 6.50%, 09/27/60 |
|
|
1,177 |
|
|
|
998,188 |
|
Series 2020-D, Class B, 5.00%, 06/25/60 |
|
|
525 |
|
|
|
488,301 |
|
Series 2020-D, Class C, 6.50%, 06/25/60 |
|
|
1,239 |
|
|
|
1,072,860 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
United States (continued) |
|
Ajax Mortgage Loan Trust(a) (continued) |
|
|
|
|
|
|
|
|
Series 2021-E, Class B3, 3.42%, 12/25/60(b) |
|
|
USD 955 |
|
|
$ |
354,674 |
|
Series 2021-E, Class SA, 0.00%, 12/25/60(b) |
|
|
14 |
|
|
|
6,615 |
|
Series 2021-E, Class XS, 0.00%, 12/25/60(b) |
|
|
13,863 |
|
|
|
555,860 |
|
AMSR Trust, Series 2020-SFR5, Class G,
4.11%, 11/17/37(a) |
|
|
2,899 |
|
|
|
2,666,059 |
|
Citigroup Mortgage Loan Trust(b) |
|
|
|
|
|
|
|
|
Series 2007-AHL2, Class A3B, (1 mo. LIBOR US + 0.20%), 5.05%, 05/25/37 |
|
|
4,457 |
|
|
|
2,934,612 |
|
Series 2007-AHL3, Class A3B, (1 mo. LIBOR US + 0.17%), 5.02%, 07/25/45 |
|
|
3,334 |
|
|
|
2,332,457 |
|
College Ave Student Loans LLC, Series 2021-A, Class D,
4.12%, 07/25/51(a) |
|
|
310 |
|
|
|
278,176 |
|
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class R1,
6.00%, 04/25/43(a)(c) |
|
|
5 |
|
|
|
3,629,160 |
|
Home Partners of America Trust, Series 2021-2, Class F,
3.80%, 12/17/26(a) |
|
|
2,421 |
|
|
|
2,099,309 |
|
Lending Funding Trust(a) |
|
|
|
|
|
|
|
|
Series 2020-2A, Class C, 4.30%, 04/21/31 |
|
|
980 |
|
|
|
847,797 |
|
Series 2020-2A, Class D, 6.77%, 04/21/31 |
|
|
2,830 |
|
|
|
2,452,583 |
|
Lendmark Funding Trust, Series 2021-1A, Class D,
5.05%, 11/20/31(a) |
|
|
2,320 |
|
|
|
1,839,425 |
|
Litigation Fee Residual, 4.00%, 10/30/27(c)
|
|
|
2,763 |
|
|
|
2,663,387 |
|
Mariner Finance Issuance Trust(a) |
|
|
|
|
|
|
|
|
Series 2021-BA, Class E, 4.68%, 11/20/36 |
|
|
540 |
|
|
|
414,466 |
|
Series 2022-AA, Class E, 5.40%, 03/20/36 |
|
|
1,420 |
|
|
|
1,126,760 |
|
Navient Private Education Refi Loan Trust, Series 2021-DA,
Class D, 4.00%, 04/15/60(a) |
|
|
1,340 |
|
|
|
1,216,228 |
|
Nelnet Student Loan Trust(a) |
|
|
|
|
|
|
|
|
Series 2021-A, Class D, 4.93%, 04/20/62 |
|
|
1,670 |
|
|
|
1,421,011 |
|
Series 2021-BA, Class D, 4.75%, 04/20/62(c) |
|
|
340 |
|
|
|
293,046 |
|
Series 2021-CA, Class D, 4.44%, 04/20/62 |
|
|
110 |
|
|
|
90,022 |
|
Progress Residential(a) |
|
|
|
|
|
|
|
|
Series 2021-SFR1, Class H, 5.00%, 04/17/38 |
|
|
750 |
|
|
|
648,249 |
|
Series 2021-SFR3, Class H, 4.75%, 05/17/26 |
|
|
1,140 |
|
|
|
1,005,828 |
|
Regional Management Issuance Trust 3.88%, 10/17/33(c)
|
|
|
4,780 |
|
|
|
4,152,864 |
|
Series 2020-1, Class D, 6.77%, 10/15/30(a) |
|
|
2,050 |
|
|
|
1,849,842 |
|
Republic Finance Issuance Trust(a) |
|
|
|
|
|
|
|
|
Series 2020-A, Class D, 7.00%, 11/20/30 |
|
|
5,110 |
|
|
|
4,689,043 |
|
Series 2021-A, Class D, 5.23%, 12/22/31 |
|
|
800 |
|
|
|
658,360 |
|
Residential Mortgage Loan Trust, Series 2020-1, Class B1,
3.95%, 01/26/60(a)(b) |
|
|
400 |
|
|
|
301,877 |
|
SMB Private Education Loan Trust(a) |
|
|
|
|
|
|
|
|
Series 2021-A, Class D1, 3.86%, 01/15/53 |
|
|
3,500 |
|
|
|
3,205,475 |
|
Series 2021-A, Class D2, 3.86%, 01/15/53 |
|
|
1,910 |
|
|
|
1,749,273 |
|
Series 2021-C, Class D, 3.93%, 01/15/53 |
|
|
780 |
|
|
|
715,047 |
|
SoFi Professional Loan Program LLC(a) |
|
|
|
|
|
|
|
|
Series 2017-A, Class R, 6.00%, 03/26/40 |
|
|
105 |
|
|
|
733,365 |
|
Series 2018-A, Class R1, 6.50%, 02/25/42 |
|
|
115 |
|
|
|
1,856,873 |
|
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-WF2, Class M8, (1 mo. LIBOR US + 1.80%), 6.65%, 05/25/35(b) |
|
|
182 |
|
|
|
170,775 |
|
3
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
United States (continued) |
|
Tricon Residential Trust(a) |
|
|
|
|
|
|
|
|
Series 2021-SFR1, Class F, 3.69%, 07/17/38 |
|
|
USD 1,375 |
|
|
$ |
1,211,732 |
|
Series 2021-SFR1, Class G, 4.13%, 07/17/38 |
|
|
887 |
|
|
|
773,862 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
58,289,591 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities 9.2% (Cost: $191,679,217) |
|
|
|
169,839,649 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
Australia 0.4% |
|
Glencore PLC |
|
|
1,193,449 |
|
|
|
6,867,362 |
|
|
|
|
|
|
|
|
|
|
|
Canada 1.2% |
|
Cameco Corp. |
|
|
181,561 |
|
|
|
4,751,451 |
|
Enbridge, Inc. |
|
|
367,004 |
|
|
|
13,993,131 |
|
Suncor Energy, Inc. |
|
|
119,295 |
|
|
|
3,703,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,448,332 |
|
|
Cayman Islands 0.0% |
|
Crown PropTech Acquisitions, Class A(d) |
|
|
29,568 |
|
|
|
296,567 |
|
Hedosophia European Growth(d) |
|
|
2 |
|
|
|
21 |
|
Salt Pay Co. Ltd., Series C, (Acquired 11/16/21, Cost: $2,398,802)(c)(e) |
|
|
1,235 |
|
|
|
904,675 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,201,263 |
|
|
China 0.4% |
|
Kindstar Globalgene Technology, Inc.(a)(d) |
|
|
2,024,500 |
|
|
|
514,472 |
|
Meituan, Class B(a)(d) |
|
|
13,088 |
|
|
|
237,446 |
|
Tencent Holdings Ltd. |
|
|
130,888 |
|
|
|
6,396,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,148,322 |
|
|
France 3.1% |
|
BNP Paribas SA |
|
|
170,232 |
|
|
|
10,165,834 |
|
Cie de Saint-Gobain |
|
|
108,482 |
|
|
|
6,166,504 |
|
Danone SA |
|
|
62,658 |
|
|
|
3,898,807 |
|
Hermes International |
|
|
2,618 |
|
|
|
5,302,119 |
|
Kering SA |
|
|
13,348 |
|
|
|
8,708,603 |
|
LVMH Moet Hennessy Louis Vuitton SE |
|
|
16,632 |
|
|
|
15,266,651 |
|
Sanofi |
|
|
25,646 |
|
|
|
2,782,045 |
|
TotalEnergies SE |
|
|
79,651 |
|
|
|
4,696,515 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,987,078 |
|
|
Germany 2.1% |
|
Bayer AG, Registered Shares |
|
|
58,363 |
|
|
|
3,728,322 |
|
Commerzbank AG(d) |
|
|
119,690 |
|
|
|
1,260,124 |
|
Deutsche Telekom AG, Registered Shares |
|
|
238,715 |
|
|
|
5,784,612 |
|
Mercedes-Benz Group AG, Registered Shares |
|
|
103,840 |
|
|
|
7,985,582 |
|
SAP SE |
|
|
92,426 |
|
|
|
11,670,674 |
|
SAP SE, ADR |
|
|
7,100 |
|
|
|
898,505 |
|
Siemens AG, Registered Shares |
|
|
42,531 |
|
|
|
6,890,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,218,007 |
|
|
Hong Kong 0.3% |
|
AIA Group Ltd. |
|
|
545,970 |
|
|
|
5,725,781 |
|
|
|
|
|
|
|
|
|
|
|
India 0.2% |
|
Think & Learn Private Ltd., (Acquired 12/11/20, Cost: $5,113,105)(c)(e) |
|
|
2,279 |
|
|
|
4,043,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
Israel 0.5% |
|
Nice Ltd., ADR(d) |
|
|
38,347 |
|
|
$ |
8,777,245 |
|
|
|
|
|
|
|
|
|
|
|
Italy 0.5% |
|
Ariston Holding NV |
|
|
476,063 |
|
|
|
5,244,292 |
|
Intesa Sanpaolo SpA |
|
|
1,358,699 |
|
|
|
3,487,020 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,731,312 |
|
|
Japan 1.7% |
|
FANUC Corp. |
|
|
243,315 |
|
|
|
8,786,637 |
|
Hoya Corp. |
|
|
35,186 |
|
|
|
3,888,483 |
|
Keyence Corp. |
|
|
16,300 |
|
|
|
7,988,766 |
|
Kose Corp. |
|
|
10,998 |
|
|
|
1,307,203 |
|
Mitsubishi UFJ Financial Group, Inc. |
|
|
742,400 |
|
|
|
4,757,795 |
|
Sysmex Corp. |
|
|
65,800 |
|
|
|
4,318,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,047,439 |
|
|
Netherlands 2.2% |
|
Adyen NV(a)(d) |
|
|
3,814 |
|
|
|
6,077,334 |
|
ASML Holding NV |
|
|
18,973 |
|
|
|
12,929,112 |
|
ING Groep NV, Series N(d) |
|
|
1,001,835 |
|
|
|
11,897,126 |
|
Shell PLC |
|
|
325,019 |
|
|
|
9,312,140 |
|
Shell PLC, ADR |
|
|
933 |
|
|
|
53,685 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,269,397 |
|
|
South Korea 0.4% |
|
Amorepacific Corp. |
|
|
28,737 |
|
|
|
3,033,073 |
|
LG Energy Solution Ltd.(d) |
|
|
9,583 |
|
|
|
4,317,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,350,720 |
|
|
Spain 0.6% |
|
Cellnex Telecom SA(a) |
|
|
282,951 |
|
|
|
11,003,293 |
|
|
|
|
|
|
|
|
|
|
|
Switzerland 1.5% |
|
Alcon, Inc. |
|
|
54,205 |
|
|
|
3,847,877 |
|
Nestle SA, Registered Shares |
|
|
110,531 |
|
|
|
13,477,100 |
|
On Holding AG, Class A(d) |
|
|
104,674 |
|
|
|
3,248,034 |
|
Roche Holding AG |
|
|
7,920 |
|
|
|
2,263,080 |
|
TE Connectivity Ltd. |
|
|
45,118 |
|
|
|
5,917,226 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,753,317 |
|
|
Taiwan 0.3% |
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR |
|
|
69,341 |
|
|
|
6,450,100 |
|
|
|
|
|
|
|
|
|
|
|
United Kingdom 2.7% |
|
Alphawave IP Group PLC(d) |
|
|
400,901 |
|
|
|
582,565 |
|
AstraZeneca PLC |
|
|
48,177 |
|
|
|
6,675,129 |
|
AstraZeneca PLC, ADR |
|
|
58,044 |
|
|
|
4,028,834 |
|
BAE Systems PLC |
|
|
348,202 |
|
|
|
4,211,894 |
|
BP PLC |
|
|
73,129 |
|
|
|
462,213 |
|
BP PLC, ADR |
|
|
4,783 |
|
|
|
181,467 |
|
Compass Group PLC |
|
|
337,716 |
|
|
|
8,487,323 |
|
Exscientia PLC, ADR(d) |
|
|
100,350 |
|
|
|
531,855 |
|
Genius Sports Ltd.(d) |
|
|
186,939 |
|
|
|
930,956 |
|
Hedosophia European Growth(d) |
|
|
139,284 |
|
|
|
1,485,429 |
|
Lloyds Banking Group PLC |
|
|
15,710,663 |
|
|
|
9,237,037 |
|
Unilever PLC |
|
|
247,748 |
|
|
|
12,838,052 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,652,754 |
|
|
United States 31.6% |
|
Abbott Laboratories(f) |
|
|
103,467 |
|
|
|
10,477,068 |
|
AbbVie, Inc. |
|
|
28,521 |
|
|
|
4,545,392 |
|
Activision Blizzard, Inc. |
|
|
35,291 |
|
|
|
3,020,557 |
|
ACV Auctions, Inc., Class A(d) |
|
|
203,406 |
|
|
|
2,625,973 |
|
Adobe, Inc.(d) |
|
|
1,504 |
|
|
|
579,596 |
|
|
|
|
C O N S O L I D A T E D S C H E D U L E
O F I N V E S T M E N T S |
|
4 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
United States (continued) |
|
Advanced Micro Devices, Inc.(d) |
|
|
62,139 |
|
|
$ |
6,090,243 |
|
Air Products & Chemicals, Inc. |
|
|
31,902 |
|
|
|
9,162,573 |
|
Albemarle Corp. |
|
|
25,988 |
|
|
|
5,744,388 |
|
Alphabet, Inc., Class C(d) |
|
|
205,643 |
|
|
|
21,386,872 |
|
Amazon.com, Inc.(d)(f) |
|
|
220,550 |
|
|
|
22,780,609 |
|
American Tower Corp. |
|
|
41,671 |
|
|
|
8,515,052 |
|
AmerisourceBergen Corp. |
|
|
8,277 |
|
|
|
1,325,230 |
|
Amgen, Inc. |
|
|
5,487 |
|
|
|
1,326,482 |
|
Apple, Inc. |
|
|
34,894 |
|
|
|
5,754,021 |
|
Applied Materials, Inc. |
|
|
45,247 |
|
|
|
5,557,689 |
|
Aptiv PLC(d) |
|
|
34,079 |
|
|
|
3,823,323 |
|
Archer-Daniels-Midland Co. |
|
|
172,239 |
|
|
|
13,720,559 |
|
Astra Space, Inc. |
|
|
205,519 |
|
|
|
87,346 |
|
Atlas Energy Solutions, Inc., Class A |
|
|
22,504 |
|
|
|
383,243 |
|
Bank of America Corp. |
|
|
26,226 |
|
|
|
750,064 |
|
Boston Scientific Corp.(d)(f) |
|
|
230,570 |
|
|
|
11,535,417 |
|
Bunge Ltd. |
|
|
44,663 |
|
|
|
4,266,210 |
|
California Resources Corp. |
|
|
47,698 |
|
|
|
1,836,373 |
|
Centene Corp.(d) |
|
|
10,766 |
|
|
|
680,519 |
|
CF Industries Holdings, Inc. |
|
|
85,954 |
|
|
|
6,230,805 |
|
Charles Schwab Corp.(f) |
|
|
93,537 |
|
|
|
4,899,468 |
|
Charter Communications, Inc., Class A(d) |
|
|
9,297 |
|
|
|
3,324,700 |
|
Chesapeake Energy Corp. |
|
|
13,724 |
|
|
|
1,043,573 |
|
Chipotle Mexican Grill, Inc.(d) |
|
|
639 |
|
|
|
1,091,597 |
|
Chubb Ltd. |
|
|
45,664 |
|
|
|
8,867,036 |
|
Comcast Corp., Class A |
|
|
57,932 |
|
|
|
2,196,202 |
|
ConocoPhillips |
|
|
4,797 |
|
|
|
475,910 |
|
Constellation Brands, Inc., Class A |
|
|
1,821 |
|
|
|
411,346 |
|
Costco Wholesale Corp. |
|
|
18,784 |
|
|
|
9,333,206 |
|
Coterra Energy, Inc. |
|
|
4,939 |
|
|
|
121,203 |
|
Crown PropTech Acquisitions(c) |
|
|
62,088 |
|
|
|
39,736 |
|
CVS Health Corp. |
|
|
1,110 |
|
|
|
82,484 |
|
Datadog, Inc., Class A(d) |
|
|
2,278 |
|
|
|
165,519 |
|
Davidson Kempner Merchant Co-investment Fund LP,
(Acquired 04/01/21, Cost: $908,457)(e)(g) |
|
|
|
(h) |
|
|
4,132,943 |
|
Deere & Co. |
|
|
17,226 |
|
|
|
7,112,271 |
|
Delta Air Lines, Inc.(d) |
|
|
21,203 |
|
|
|
740,409 |
|
Devon Energy Corp. |
|
|
3,021 |
|
|
|
152,893 |
|
Dexcom, Inc.(d) |
|
|
29,768 |
|
|
|
3,458,446 |
|
Dominos Pizza, Inc. |
|
|
4,508 |
|
|
|
1,487,054 |
|
Dynatrace, Inc.(d) |
|
|
3,965 |
|
|
|
167,719 |
|
Edwards Lifesciences Corp.(d) |
|
|
10,652 |
|
|
|
881,240 |
|
Element Solutions, Inc. |
|
|
49,065 |
|
|
|
947,445 |
|
Eli Lilly and Co. |
|
|
19,289 |
|
|
|
6,624,228 |
|
Energy Transfer LP |
|
|
24,198 |
|
|
|
301,749 |
|
Enterprise Products Partners LP |
|
|
328,803 |
|
|
|
8,515,998 |
|
Epic Games, Inc., (Acquired 03/29/21, Cost: $2,499,240)(c)(e)
|
|
|
2,824 |
|
|
|
2,030,202 |
|
EQT Corp.(f) |
|
|
249,471 |
|
|
|
7,960,620 |
|
F5, Inc.(d) |
|
|
42,439 |
|
|
|
6,182,938 |
|
Fanatics Holdings, Inc., (Acquired 12/15/21, Cost:
$8,566,971)(c)(e) |
|
|
126,282 |
|
|
|
9,473,676 |
|
Fortive Corp. |
|
|
152,788 |
|
|
|
10,415,558 |
|
Freeport-McMoRan, Inc.(f) |
|
|
170,071 |
|
|
|
6,957,605 |
|
General Motors Co. |
|
|
19,008 |
|
|
|
697,213 |
|
Globalfoundries, Inc.(d) |
|
|
73,546 |
|
|
|
5,308,550 |
|
Green Plains, Inc.(d) |
|
|
46,023 |
|
|
|
1,426,253 |
|
Halliburton Co. |
|
|
40,161 |
|
|
|
1,270,694 |
|
Hilton Worldwide Holdings, Inc. |
|
|
26,899 |
|
|
|
3,789,262 |
|
Humana, Inc. |
|
|
19,780 |
|
|
|
9,602,399 |
|
Informatica, Inc., Class A(d) |
|
|
41,280 |
|
|
|
676,992 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
United States (continued) |
|
Intuit, Inc. |
|
|
3,145 |
|
|
$ |
1,402,135 |
|
Intuitive Surgical, Inc.(d) |
|
|
15,934 |
|
|
|
4,070,659 |
|
Johnson & Johnson |
|
|
41,371 |
|
|
|
6,412,505 |
|
JPMorgan Chase & Co. |
|
|
25,694 |
|
|
|
3,348,185 |
|
KINS Technology Group, Inc.(c) |
|
|
35,193 |
|
|
|
51,030 |
|
KLA Corp. |
|
|
6,833 |
|
|
|
2,727,529 |
|
Latch, Inc. |
|
|
142,273 |
|
|
|
108,426 |
|
Liberty Broadband Corp., Class C(d) |
|
|
39,610 |
|
|
|
3,236,137 |
|
Liberty Media Corp.-Liberty SiriusXM, Class C(d)
|
|
|
249,230 |
|
|
|
6,975,948 |
|
Lions Gate Entertainment Corp., Class A(d)
|
|
|
44,712 |
|
|
|
494,962 |
|
Lockheed Martin Corp. |
|
|
6,916 |
|
|
|
3,269,401 |
|
Lowes Cos., Inc. |
|
|
2,802 |
|
|
|
560,316 |
|
LPL Financial Holdings, Inc. |
|
|
51,105 |
|
|
|
10,343,652 |
|
LyondellBasell Industries NV, Class A |
|
|
14,062 |
|
|
|
1,320,281 |
|
Marathon Oil Corp. |
|
|
121,020 |
|
|
|
2,899,639 |
|
Marathon Petroleum Corp. |
|
|
5,414 |
|
|
|
729,970 |
|
Marsh & McLennan Cos., Inc. |
|
|
85,904 |
|
|
|
14,307,311 |
|
Masco Corp. |
|
|
11,041 |
|
|
|
548,959 |
|
Mastercard, Inc., Class A |
|
|
42,485 |
|
|
|
15,439,474 |
|
McDonalds Corp. |
|
|
7,384 |
|
|
|
2,064,640 |
|
McKesson Corp. |
|
|
3,710 |
|
|
|
1,320,945 |
|
Merck & Co., Inc. |
|
|
111,645 |
|
|
|
11,877,912 |
|
Micron Technology, Inc. |
|
|
120,573 |
|
|
|
7,275,375 |
|
Microsoft Corp. |
|
|
151,927 |
|
|
|
43,800,554 |
|
Mirion Technologies, Inc. |
|
|
477,390 |
|
|
|
4,076,911 |
|
Mirion Technologies, Inc.(d) |
|
|
219,122 |
|
|
|
1,871,302 |
|
Morgan Stanley |
|
|
4,400 |
|
|
|
386,320 |
|
Mr. Cooper Group, Inc.(d) |
|
|
15,882 |
|
|
|
650,686 |
|
NextEra Energy, Inc.(f) |
|
|
130,522 |
|
|
|
10,060,636 |
|
Northrop Grumman Corp. |
|
|
26,668 |
|
|
|
12,313,149 |
|
Offerpad Solutions, Inc. |
|
|
180,031 |
|
|
|
94,876 |
|
Park Hotels & Resorts, Inc. |
|
|
35,866 |
|
|
|
443,304 |
|
Pfizer, Inc. |
|
|
45,065 |
|
|
|
1,838,652 |
|
Phillips 66 |
|
|
11,986 |
|
|
|
1,215,141 |
|
Playstudios, Inc. |
|
|
226,924 |
|
|
|
837,350 |
|
Proof Acquisition Corp.(c) |
|
|
29,114 |
|
|
|
23,000 |
|
Rockwell Automation, Inc. |
|
|
8,330 |
|
|
|
2,444,438 |
|
Rotor Acquisition Corp. |
|
|
23,869 |
|
|
|
9,786 |
|
RXO, Inc.(d) |
|
|
5,629 |
|
|
|
110,554 |
|
Salesforce, Inc.(d) |
|
|
14,375 |
|
|
|
2,871,837 |
|
Sarcos Technology and Robotics Corp. |
|
|
964,459 |
|
|
|
457,829 |
|
Sarcos Technology and Robotics Corp.(d) |
|
|
45,102 |
|
|
|
21,410 |
|
Schlumberger NV |
|
|
30,299 |
|
|
|
1,487,681 |
|
Sempra Energy |
|
|
93,572 |
|
|
|
14,144,343 |
|
Snorkel AI, Inc., (Acquired 06/30/21, Cost: $189,563)(c)(e)
|
|
|
12,621 |
|
|
|
89,862 |
|
Sonder Holdings, Inc., Class A |
|
|
223,319 |
|
|
|
169,075 |
|
SPDR S&P Biotech ETF(d) |
|
|
45,000 |
|
|
|
3,429,450 |
|
SPDR S&P Metals & Mining ETF |
|
|
5,633 |
|
|
|
299,450 |
|
Starbucks Corp. |
|
|
37,146 |
|
|
|
3,868,013 |
|
Sun Country Airlines Holdings, Inc. |
|
|
175,935 |
|
|
|
3,606,667 |
|
Symbotic Corp., Class A |
|
|
22,948 |
|
|
|
524,132 |
|
Symbotic, Inc.(d) |
|
|
2,105 |
|
|
|
48,078 |
|
Taboola.com Ltd. |
|
|
64,770 |
|
|
|
176,174 |
|
Tesla, Inc.(d) |
|
|
27,918 |
|
|
|
5,791,868 |
|
Thermo Fisher Scientific, Inc. |
|
|
19,916 |
|
|
|
11,478,985 |
|
TJX Cos., Inc. |
|
|
60,008 |
|
|
|
4,702,227 |
|
Transocean Ltd.(d) |
|
|
168,799 |
|
|
|
1,073,562 |
|
Union Pacific Corp. |
|
|
3,636 |
|
|
|
731,781 |
|
United Parcel Service, Inc., Class B |
|
|
50,501 |
|
|
|
9,796,689 |
|
United Rentals, Inc. |
|
|
1,045 |
|
|
|
413,569 |
|
5
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
United States (continued) |
|
UnitedHealth Group, Inc.(f) |
|
|
38,067 |
|
|
$ |
17,990,084 |
|
Valero Energy Corp. |
|
|
26,840 |
|
|
|
3,746,864 |
|
Vertiv Holdings Co. |
|
|
121,173 |
|
|
|
1,733,986 |
|
Visa, Inc., Class A |
|
|
16,202 |
|
|
|
3,652,903 |
|
Vulcan Materials Co. |
|
|
25,948 |
|
|
|
4,451,639 |
|
Walmart, Inc. |
|
|
41,499 |
|
|
|
6,119,028 |
|
Walt Disney Co.(d) |
|
|
84,362 |
|
|
|
8,447,167 |
|
Wells Fargo & Co. |
|
|
144,714 |
|
|
|
5,409,409 |
|
Zoetis, Inc. |
|
|
12,652 |
|
|
|
2,105,799 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
584,373,552 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks 49.7% (Cost: $885,662,347) |
|
|
|
919,048,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par (000) |
|
|
|
|
|
|
|
Corporate Bonds |
|
|
|
|
|
|
|
Australia(c) 0.3% |
|
Oceana Australian Fixed Income Trust 10.00%, 08/31/23 |
|
|
AUD 4,163 |
|
|
|
2,779,418 |
|
10.25%, 08/31/25 |
|
|
4,163 |
|
|
|
2,869,719 |
|
Oceana Australian Fixed Income Trust, A Note
Upsize(b) |
|
|
|
|
|
|
|
|
8.00%, 01/21/24 |
|
|
810 |
|
|
|
533,323 |
|
8.00%, 03/28/26 |
|
|
100 |
|
|
|
65,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,248,222 |
|
|
|
|
Austria 0.1% |
|
|
|
|
|
|
BRF GmbH, 4.35%, 09/29/26(i) |
|
|
USD 200 |
|
|
|
176,865 |
|
Klabin Austria GmbH, 3.20%, 01/12/31(a) |
|
|
619 |
|
|
|
507,704 |
|
Suzano Austria GmbH, 3.13%, 01/15/32 |
|
|
200 |
|
|
|
163,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
847,569 |
|
|
|
|
Bahamas 0.0% |
|
|
|
|
|
|
Intercorp Peru Ltd., 3.88%, 08/15/29(a) |
|
|
560 |
|
|
|
463,330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Belgium(i) 0.0% |
|
|
|
|
|
|
Anheuser-Busch InBev SA, 4.00%, 09/24/25 |
|
|
GBP 100 |
|
|
|
121,471 |
|
KBC Group NV, (1 year UK Government Bond + 0.92%), 1.25%, 09/21/27(b) |
|
|
100 |
|
|
|
106,368 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
227,839 |
|
|
|
|
Bermuda 0.0% |
|
|
|
|
|
|
Geopark Ltd., 5.50%, 01/17/27(a) |
|
|
USD 448 |
|
|
|
369,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Brazil 0.1% |
|
|
|
|
|
|
Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81(a)(b) |
|
|
645 |
|
|
|
640,566 |
|
BRF SA, 4.88%, 01/24/30(i) |
|
|
383 |
|
|
|
315,209 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
955,775 |
|
|
|
|
Canada 0.7% |
|
|
|
|
|
|
First Quantum Minerals Ltd., 7.50%, 04/01/25(a)
|
|
|
500 |
|
|
|
496,777 |
|
Garda World Security Corp., 7.75%, 02/15/28(a)
|
|
|
238 |
|
|
|
234,573 |
|
HR Ottawa LP, 11.00%, 03/31/31 |
|
|
9,658 |
|
|
|
9,368,260 |
|
Rogers Communications, Inc., 3.80%, 03/15/32(a)
|
|
|
2,675 |
|
|
|
2,400,680 |
|
Toronto-Dominion Bank, 2.88%, 04/05/27(i) |
|
|
GBP 100 |
|
|
|
112,495 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,612,785 |
|
|
|
|
Cayman Islands 0.5% |
|
|
|
|
|
|
ABRA Global Finance, 11.50%, 03/02/28 |
|
|
USD 1,577 |
|
|
|
1,230,828 |
|
China Evergrande Group, 8.25%, 03/23/22(d)(i)(j)
|
|
|
500 |
|
|
|
37,500 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
Cayman Islands (continued) |
|
Fantasia Holdings Group Co.
Ltd.(d)(i)(j) 6.95%, 12/17/21 |
|
|
USD 320 |
|
|
$ |
32,800 |
|
9.25%, 07/28/23 |
|
|
1,200 |
|
|
|
123,000 |
|
IHS Holding Ltd. 5.63%, 11/29/26(i) |
|
|
747 |
|
|
|
625,052 |
|
6.25%, 11/29/28(a) |
|
|
569 |
|
|
|
454,062 |
|
Jingrui Holdings
Ltd.(d)(i)(j) 12.00%, 07/25/22 |
|
|
370 |
|
|
|
31,619 |
|
12.75%, 09/09/23 |
|
|
355 |
|
|
|
26,337 |
|
Liberty Costa Rica Senior Secured Finance,
10.88%, 01/15/31(a) |
|
|
458 |
|
|
|
430,177 |
|
MAF Sukuk Ltd., 3.93%, 02/28/30(i) |
|
|
650 |
|
|
|
608,684 |
|
Melco Resorts Finance Ltd., 5.38%, 12/04/29(i)
|
|
|
250 |
|
|
|
204,375 |
|
Modern Land China Co. Ltd.(d)(i)(j)(k) |
|
|
|
|
|
|
|
|
8.00%, 12/30/24 |
|
|
278 |
|
|
|
18,821 |
|
9.00%, 12/30/27 |
|
|
290 |
|
|
|
18,986 |
|
(2.00% Cash or 2.00% PIK), 9.00%, 12/30/26 |
|
|
199 |
|
|
|
13,444 |
|
Oryx Funding Ltd., 5.80%, 02/03/31(a) |
|
|
324 |
|
|
|
310,392 |
|
Ronshine China Holdings
Ltd.(d)(i)(j) 7.35%, 12/15/23 |
|
|
200 |
|
|
|
13,500 |
|
7.10%, 01/25/25 |
|
|
400 |
|
|
|
27,000 |
|
Seagate HDD Cayman, 9.63%, 12/01/32(a) |
|
|
550 |
|
|
|
616,367 |
|
Shelf Drilling Holdings Ltd., 8.88%, 11/15/24(a)
|
|
|
96 |
|
|
|
95,358 |
|
Shelf Drilling North Sea Holdings Ltd.,
10.25%, 10/31/25(a) |
|
|
1,419 |
|
|
|
1,411,728 |
|
Sinic Holdings Group Co.
Ltd.(d)(j) 8.50%, 01/24/22(i) |
|
|
1,100 |
|
|
|
11,000 |
|
10.50%, 06/18/22 |
|
|
200 |
|
|
|
2,000 |
|
Transocean Titan Financing Ltd., 8.38%, 02/01/28(a)
|
|
|
424 |
|
|
|
436,326 |
|
Transocean, Inc., 8.75%, 02/15/30(a) |
|
|
450 |
|
|
|
459,000 |
|
Vantage Drilling International, 9.50%, 02/15/28(a)
|
|
|
1,352 |
|
|
|
1,325,244 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,563,600 |
|
|
|
|
Chile 0.0% |
|
|
|
|
|
|
Kenbourne Invest SA, 6.88%, 11/26/24(a) |
|
|
868 |
|
|
|
650,891 |
|
|
|
|
|
|
|
|
|
|
|
|
|
China(i) 0.0% |
|
|
|
|
|
|
China Aoyuan Group Ltd., 8.50%, 01/23/22(d)(j)
|
|
|
359 |
|
|
|
32,310 |
|
Fantasia Holdings Group Co. Ltd., 11.75%, 04/17/22(d)(j)
|
|
|
520 |
|
|
|
53,300 |
|
Fortune Star BVI Ltd., 5.05%, 01/27/27 |
|
|
200 |
|
|
|
137,600 |
|
RKPF Overseas Ltd., Series 2020-A, 5.20%, 01/12/26 |
|
|
200 |
|
|
|
143,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
366,435 |
|
|
|
|
Colombia 0.3% |
|
|
|
|
|
|
Ecopetrol SA 4.13%, 01/16/25 |
|
|
829 |
|
|
|
798,327 |
|
4.63%, 11/02/31 |
|
|
833 |
|
|
|
636,954 |
|
8.88%, 01/13/33 |
|
|
800 |
|
|
|
807,000 |
|
5.88%, 05/28/45 |
|
|
624 |
|
|
|
427,440 |
|
Grupo Aval Ltd., 4.38%, 02/04/30(a) |
|
|
702 |
|
|
|
530,466 |
|
Millicom International Cellular SA, 5.13%, 01/15/28(i)
|
|
|
615 |
|
|
|
547,884 |
|
SURA Asset Management SA, 4.88%, 04/17/24(i)
|
|
|
967 |
|
|
|
947,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,695,731 |
|
|
|
|
Dominican Republic 0.0% |
|
|
|
|
|
|
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(a)
|
|
|
791 |
|
|
|
768,753 |
|
|
|
|
|
|
|
|
|
|
|
|
|
France 0.2% |
|
|
|
|
|
|
BNP Paribas SA(i) |
|
|
|
|
|
|
|
|
3.38%, 01/23/26 |
|
|
GBP 100 |
|
|
|
116,835 |
|
|
|
|
C O N S O L I D A T E D S C H E D U L E
O F I N V E S T M E N T S |
|
6 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
France (continued) |
|
BNP Paribas SA (i)
(continued) 1.88%, 12/14/27 |
|
|
GBP 100 |
|
|
$ |
105,251 |
|
Sabena Technics Sas, (3 mo. EURIBOR + 5.00%), (Acquired 10/28/22, Cost: $2,350,610),
6.58%, 09/30/29(c)(e) |
|
|
EUR 2,397 |
|
|
|
2,599,546 |
|
Societe Generale SA, 1.88%, 10/03/24(i) |
|
|
GBP 100 |
|
|
|
116,862 |
|
TotalEnergies Capital International SA,
1.66%, 07/22/26(i) |
|
|
100 |
|
|
|
112,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,051,043 |
|
|
|
|
Germany 0.4% |
|
|
|
|
|
|
Adler Pelzer Holding GmbH, 4.13%, 04/01/24(a)
|
|
|
EUR 3,303 |
|
|
|
3,001,803 |
|
APCOA Parking Holdings GmbH, (1 mo. EURIBOR + 5.00%), 7.29%, 01/15/27(a)(b) |
|
|
852 |
|
|
|
903,204 |
|
Douglas GmbH, 6.00%, 04/08/26(a) |
|
|
702 |
|
|
|
668,438 |
|
Kirk Beauty SUN GmbH, (8.25% Cash or 9.00% PIK), 8.25%, 10/01/26(a)(k) |
|
|
144 |
|
|
|
111,705 |
|
Project Champion, (6 mo. EURIBOR + 9.50%), 10.25%, 03/31/31(c) |
|
|
2,900 |
|
|
|
3,050,698 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,735,848 |
|
|
|
|
Hong Kong(d)(j) 0.0% |
|
|
|
|
|
|
Yango Justice International Ltd. 10.25%, 09/15/22 |
|
|
USD 1,200 |
|
|
|
24,000 |
|
7.50%, 04/15/24(i) |
|
|
2,000 |
|
|
|
40,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
64,000 |
|
|
|
|
India(i) 0.0% |
|
|
|
|
|
|
ReNew Power Pvt Ltd., 5.88%, 03/05/27 |
|
|
120 |
|
|
|
191,735 |
|
Vedanta Resources Finance II PLC, 13.88%, 01/21/24 |
|
|
200 |
|
|
|
160,163 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
351,898 |
|
|
|
|
Indonesia(i) 0.1% |
|
|
|
|
|
|
Freeport Indonesia PT, 4.76%, 04/14/27 |
|
|
1,005 |
|
|
|
978,179 |
|
Medco Oak Tree Pte. Ltd., 7.38%, 05/14/26 |
|
|
300 |
|
|
|
286,500 |
|
Pertamina Persero PT, 3.65%, 07/30/29 |
|
|
645 |
|
|
|
598,308 |
|
Theta Capital Pte. Ltd., 8.13%, 01/22/25 |
|
|
200 |
|
|
|
160,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,023,650 |
|
|
|
|
Isle of Man 0.0% |
|
|
|
|
|
|
AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30 |
|
|
300 |
|
|
|
260,494 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Israel 0.1% |
|
|
|
|
|
|
Leviathan Bond Ltd., 5.75%, 06/30/23(a)(i)
|
|
|
1,110 |
|
|
|
1,102,811 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Italy(a) 0.4% |
|
|
|
|
|
|
Fiber Bidco Spa 11.00%, 10/25/27 |
|
|
EUR 1,050 |
|
|
|
1,221,282 |
|
(1 mo. EURIBOR + 6.00%), 9.02%, 10/25/27(b)
|
|
|
695 |
|
|
|
757,496 |
|
Forno dAsolo SpA, (1 mo. EURIBOR + 5.50%), 8.52%, 04/30/27(b) |
|
|
3,040 |
|
|
|
2,868,285 |
|
Marcolin SpA, 6.13%, 11/15/26 |
|
|
928 |
|
|
|
844,383 |
|
Shiba Bidco SpA, 4.50%, 10/31/28 |
|
|
1,882 |
|
|
|
1,645,580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,337,026 |
|
|
|
|
Japan 0.2% |
|
|
|
|
|
|
Rakuten Group, Inc., 10.25%, 11/30/24(a) |
|
|
USD 605 |
|
|
|
574,750 |
|
Takeda Pharmaceutical Co. Ltd., 2.05%, 03/31/30 |
|
|
3,300 |
|
|
|
2,786,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,361,250 |
|
|
|
|
Jersey 0.1% |
|
|
|
|
|
|
Aptiv PLC/Aptiv Corp., 3.25%, 03/01/32 |
|
|
3,000 |
|
|
|
2,612,742 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Luxembourg 0.2% |
|
|
|
|
|
|
Atento Luxco 1 SA, 8.00%, 02/10/26(a) |
|
|
202 |
|
|
|
58,580 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
Luxembourg (continued) |
|
EIG Pearl Holdings SARL, 3.55%, 08/31/36(a)
|
|
|
USD 872 |
|
|
$ |
744,470 |
|
FEL Energy VI SARL, 5.75%, 12/01/40 |
|
|
566 |
|
|
|
464,433 |
|
Herens Midco SARL, 5.25%, 05/15/29(a) |
|
|
EUR 1,006 |
|
|
|
723,337 |
|
Kenbourne Invest SA, 4.70%, 01/22/28(a) |
|
|
USD 340 |
|
|
|
195,670 |
|
MC Brazil Downstream Trading SARL 7.25%, 06/30/31(a)
|
|
|
702 |
|
|
|
545,415 |
|
7.25%, 06/30/31(i) |
|
|
193 |
|
|
|
150,252 |
|
Sani/Ikos Financial Holdings 1 SARL, 5.63%, 12/15/26(a)
|
|
|
EUR 718 |
|
|
|
719,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,601,649 |
|
|
|
|
Macau 0.0% |
|
|
|
|
|
|
MGM China Holdings Ltd., 5.88%, 05/15/26(i)
|
|
|
USD 250 |
|
|
|
235,281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mauritius 0.1% |
|
|
|
|
|
|
CA Magnum Holdings, 5.38%, 10/31/26(i) |
|
|
200 |
|
|
|
176,500 |
|
HTA Group Ltd., 7.00%, 12/18/25(a) |
|
|
828 |
|
|
|
786,082 |
|
India Green Energy Holdings, 5.38%, 04/29/24(a)
|
|
|
281 |
|
|
|
271,165 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,233,747 |
|
|
|
|
Mexico 0.5% |
|
|
|
|
|
|
Axtel SAB de CV, 6.38%, 11/14/24(a) |
|
|
620 |
|
|
|
549,397 |
|
Braskem Idesa SAPI, 6.99%, 02/20/32(a) |
|
|
668 |
|
|
|
497,660 |
|
Comision Federal de Electricidad, 4.88%, 01/15/24 |
|
|
983 |
|
|
|
967,825 |
|
Grupo Bimbo SAB de CV(b)(l) |
|
|
|
|
|
|
|
|
(5 year CMT + 3.28%), 5.95%(i) |
|
|
1,019 |
|
|
|
1,013,778 |
|
(5 year CMT + 3.28%), 5.95%(a) |
|
|
585 |
|
|
|
582,002 |
|
Grupo KUO SAB De CV, 5.75%, 07/07/27(a) |
|
|
585 |
|
|
|
527,231 |
|
Mexico City Airport Trust, 5.50%, 07/31/47(i)
|
|
|
613 |
|
|
|
468,209 |
|
Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(a) |
|
|
1,475 |
|
|
|
708,277 |
|
Petroleos Mexicanos 6.50%, 03/13/27 |
|
|
997 |
|
|
|
900,889 |
|
8.75%, 06/02/29 |
|
|
972 |
|
|
|
898,517 |
|
5.95%, 01/28/31 |
|
|
1,189 |
|
|
|
904,710 |
|
6.70%, 02/16/32 |
|
|
1,116 |
|
|
|
884,765 |
|
6.38%, 01/23/45 |
|
|
155 |
|
|
|
98,270 |
|
Trust Fibra Uno, 5.25%, 01/30/26(a) |
|
|
495 |
|
|
|
468,023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,469,553 |
|
|
|
|
Morocco 0.0% |
|
|
|
|
|
|
OCP SA, 3.75%, 06/23/31(i) |
|
|
541 |
|
|
|
444,972 |
|
|
|
|
|
|
|
|
|
|
|
|
|
MultiNational 0.1% |
|
|
|
|
|
|
Connect Finco SARL/Connect U.S. Finco LLC,
6.75%, 10/01/26(a) |
|
|
1,500 |
|
|
|
1,410,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Netherlands 0.4% |
|
|
|
|
|
|
Braskem Netherlands Finance BV 4.50%, 01/31/30(i)
|
|
|
556 |
|
|
|
468,986 |
|
7.25%, 02/13/33(a) |
|
|
820 |
|
|
|
785,560 |
|
Cooperatieve Rabobank UA, (1 year UK Government Bond + 1.05%), 1.88%, 07/12/28(b)(i) |
|
|
GBP 100 |
|
|
|
107,098 |
|
Equate Petrochemical BV 4.25%, 11/03/26(i)
|
|
|
USD 297 |
|
|
|
288,053 |
|
2.63%, 04/28/28(a) |
|
|
405 |
|
|
|
357,362 |
|
ING Groep NV, 3.00%, 02/18/26(i) |
|
|
GBP 100 |
|
|
|
115,549 |
|
Metinvest BV(i) 8.50%, 04/23/26 |
|
|
USD 669 |
|
|
|
408,090 |
|
7.65%, 10/01/27 |
|
|
682 |
|
|
|
392,363 |
|
NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, 05/01/30 |
|
|
3,260 |
|
|
|
2,921,367 |
|
7
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
Netherlands (continued) |
|
Vivo Energy Investments BV 5.13%, 09/24/27(a)
|
|
|
USD 1,540 |
|
|
$ |
1,405,539 |
|
5.13%, 09/24/27(i) |
|
|
913 |
|
|
|
833,284 |
|
Volkswagen Financial Services NV, 1.88%, 12/03/24(i)
|
|
|
GBP 100 |
|
|
|
116,267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,199,518 |
|
|
|
|
Oman 0.0% |
|
|
|
|
|
|
OQ SAOC, 5.13%, 05/06/28(a) |
|
|
USD 342 |
|
|
|
324,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Panama 0.0% |
|
|
|
|
|
|
Aeropuerto Internacional de Tocumen SA,
5.13%, 08/11/61(a) |
|
|
400 |
|
|
|
308,200 |
|
AES Panama Generation Holdings SRL, 4.38%, 05/31/30(i)
|
|
|
565 |
|
|
|
483,301 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
791,501 |
|
|
|
|
Peru 0.0% |
|
|
|
|
|
|
Inkia Energy Ltd., 5.88%, 11/09/27(i) |
|
|
438 |
|
|
|
403,179 |
|
Nexa Resources SA, 5.38%, 05/04/27(a) |
|
|
292 |
|
|
|
273,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
676,564 |
|
|
|
|
Singapore 0.1% |
|
|
|
|
|
|
Puma International Financing SA 5.13%, 10/06/24(a)
|
|
|
585 |
|
|
|
546,975 |
|
5.00%, 01/24/26(i) |
|
|
719 |
|
|
|
639,820 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,186,795 |
|
|
|
|
South Africa 0.1% |
|
|
|
|
|
|
Sasol Financing USA LLC, 6.50%, 09/27/28 |
|
|
1,198 |
|
|
|
1,118,483 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Spain(i) 0.1% |
|
|
|
|
|
|
AI Candelaria Spain SA, 7.50%, 12/15/28 |
|
|
517 |
|
|
|
470,447 |
|
Banco Santander SA, (1 year UK Government Bond + 1.80%), 3.13%, 10/06/26(b) |
|
|
GBP 400 |
|
|
|
458,204 |
|
Telefonica Emisiones SA, 5.38%, 02/02/26 |
|
|
200 |
|
|
|
247,533 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,176,184 |
|
Sweden 0.1% |
|
|
|
|
|
|
|
|
Swedbank AB, (1 year UK Government Bond + 1.00%), 1.38%, 12/08/27(b)(i) |
|
|
100 |
|
|
|
106,015 |
|
Verisure Holding AB 3.25%, 02/15/27(i) |
|
|
EUR 751 |
|
|
|
720,797 |
|
7.13%, 02/01/28(a) |
|
|
414 |
|
|
|
448,197 |
|
Verisure Midholding AB, 5.25%, 02/15/29(i)
|
|
|
751 |
|
|
|
676,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,951,043 |
|
|
|
|
Switzerland 0.1% |
|
|
|
|
|
|
UBS Group AG, (1 year CMT + 0.83%),
1.01%, 07/30/24(a)(b) |
|
|
USD 1,697 |
|
|
|
1,663,255 |
|
|
|
|
|
|
|
|
|
|
|
|
|
United Arab Emirates(i) 0.1% |
|
|
|
|
|
|
DP World Salaam, (5 year CMT + 5.75%), 6.00%(b)(l)
|
|
|
1,060 |
|
|
|
1,054,038 |
|
MAF Sukuk Ltd., 4.64%, 05/14/29 |
|
|
527 |
|
|
|
517,876 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,571,914 |
|
|
|
|
United Kingdom 0.6% |
|
|
|
|
|
|
Avianca Midco 2 PLC, 9.00%, 12/01/28(a) |
|
|
763 |
|
|
|
625,607 |
|
Barclays PLC(i) 3.00%, 05/08/26 |
|
|
GBP 100 |
|
|
|
113,409 |
|
3.25%, 02/12/27 |
|
|
100 |
|
|
|
112,054 |
|
BCP V Modular Services Finance II PLC, 6.13%, 11/30/28(a)
|
|
|
2,355 |
|
|
|
2,469,357 |
|
BCP V Modular Services Finance PLC, 6.75%, 11/30/29(a)
|
|
|
EUR 3,137 |
|
|
|
2,703,467 |
|
BG Energy Capital PLC, 5.13%, 12/01/25(i) |
|
|
GBP 200 |
|
|
|
248,568 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
United Kingdom (continued) |
|
Deuce Finco PLC, 5.50%, 06/15/27(a) |
|
|
GBP 1,634 |
|
|
$ |
1,676,761 |
|
HSBC Holdings PLC, (3 mo. LIBOR GBP + 1.31%), 1.75%, 07/24/27(b) |
|
|
100 |
|
|
|
107,963 |
|
Informa PLC, 3.13%, 07/05/26(i) |
|
|
100 |
|
|
|
114,433 |
|
Inspired Entertainment Financing PLC, 7.88%, 06/01/26(a)
|
|
|
675 |
|
|
|
788,964 |
|
Kane Bidco Ltd.(a) 5.00%, 02/15/27 |
|
|
EUR 615 |
|
|
|
614,835 |
|
6.50%, 02/15/27 |
|
|
GBP 699 |
|
|
|
767,386 |
|
Lloyds Banking Group PLC, 2.25%, 10/16/24(i)
|
|
|
200 |
|
|
|
234,439 |
|
NatWest Group PLC(b)(i) |
|
|
|
|
|
|
|
|
(1 year GBP Swap + 1.49%), 2.88%, 09/19/26 |
|
|
100 |
|
|
|
114,804 |
|
(1 year GBP Swap + 2.01%), 3.13%, 03/28/27 |
|
|
100 |
|
|
|
113,731 |
|
Santander U.K. Group Holdings PLC, 3.63%, 01/14/26(i)
|
|
|
100 |
|
|
|
116,438 |
|
Vedanta Resources Finance II PLC, 8.95%, 03/11/25(a)
|
|
|
USD 1,348 |
|
|
|
822,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,744,496 |
|
|
|
|
United States 9.4% |
|
|
|
|
|
|
AbbVie, Inc., 3.20%, 11/21/29 |
|
|
3,265 |
|
|
|
3,029,984 |
|
Affinity Interactive, 6.88%, 12/15/27(a) |
|
|
1,000 |
|
|
|
892,020 |
|
Alexandria Real Estate Equities, Inc., 2.95%, 03/15/34 |
|
|
2,370 |
|
|
|
1,895,566 |
|
Allegiant Travel Co., 8.50%, 02/05/24(a) |
|
|
5,000 |
|
|
|
5,000,000 |
|
American Tower Corp., 2.70%, 04/15/31 |
|
|
3,010 |
|
|
|
2,524,305 |
|
Amgen, Inc. 5.50%, 12/07/26(i) |
|
|
GBP 100 |
|
|
|
124,844 |
|
4.05%, 08/18/29 |
|
|
USD 3,355 |
|
|
|
3,236,999 |
|
Amkor Technology, Inc., 6.63%, 09/15/27(a)
|
|
|
350 |
|
|
|
350,042 |
|
Anheuser-Busch InBev Worldwide, Inc., 3.50%, 06/01/30 |
|
|
3,045 |
|
|
|
2,870,891 |
|
AT&T, Inc. 2.90%, 12/04/26 |
|
|
GBP 200 |
|
|
|
228,681 |
|
5.50%, 03/15/27(i) |
|
|
100 |
|
|
|
124,116 |
|
Bank of America Corp., (1 day SOFR + 1.53%), 1.90%, 07/23/31(b) |
|
|
USD 3,340 |
|
|
|
2,678,509 |
|
Bank of New York Mellon Corp., (1 day SOFR Index + 2.07%), 5.83%, 10/25/33(b) |
|
|
2,285 |
|
|
|
2,440,086 |
|
Baxter International, Inc., 2.54%, 02/01/32 |
|
|
2,830 |
|
|
|
2,304,041 |
|
Beeper CO, (6 mo. SOFR + 6.88%, 1.50% Floor), 8.38%, 12/21/27(c) |
|
|
3,362 |
|
|
|
3,328,380 |
|
Broadcom, Inc., 3.42%, 04/15/33(a) |
|
|
2,615 |
|
|
|
2,187,995 |
|
California Resources Corp., 7.13%, 02/01/26(a)
|
|
|
583 |
|
|
|
590,188 |
|
Caresyntax, Inc., 15.00%, 12/31/24(c) |
|
|
200 |
|
|
|
214,963 |
|
Carrols Restaurant Group, Inc., 5.88%, 07/01/29(a)
|
|
|
220 |
|
|
|
177,100 |
|
Cinemark Holdings, Inc., 4.50%, 08/15/25 |
|
|
4,035 |
|
|
|
5,116,221 |
|
Citigroup, Inc., 1.75%, 10/23/26 |
|
|
GBP 200 |
|
|
|
218,528 |
|
Cloud Software Group Holdings, Inc., 6.50%, 03/31/29(a)
|
|
|
USD 120 |
|
|
|
106,152 |
|
CVS Health Corp., 1.88%, 02/28/31 |
|
|
2,285 |
|
|
|
1,850,679 |
|
DAE Funding LLC, 1.55%, 08/01/24(i) |
|
|
532 |
|
|
|
499,415 |
|
Ecolab, Inc., 4.80%, 03/24/30 |
|
|
2,000 |
|
|
|
2,036,447 |
|
Flyr Convertible Notes, 8.00%, 07/20/23(c)
|
|
|
2,231 |
|
|
|
2,164,565 |
|
Flyr Secured Notes, (1 mo. SOFR + 5.00%, 0.50% Floor), 9.56%, 05/10/27(c) |
|
|
1,113 |
|
|
|
1,026,742 |
|
Forestar Group, Inc., 5.00%, 03/01/28(a) |
|
|
2,600 |
|
|
|
2,327,000 |
|
Freed Corp., 10.00%, 12/07/23(c) |
|
|
5,808 |
|
|
|
5,677,344 |
|
Freedom Mortgage
Corp.(a) 8.13%, 11/15/24 |
|
|
1,409 |
|
|
|
1,356,162 |
|
8.25%, 04/15/25 |
|
|
1,295 |
|
|
|
1,196,256 |
|
|
|
|
C O N S O L I D A T E D S C H E D U L E
O F I N V E S T M E N T S |
|
8 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
United States (continued) |
|
FreeWire Technologies, Inc., (3 mo. SOFRTE CME + 9.00%), 14.91%, 03/31/25(c) |
|
|
USD 2,346 |
|
|
$ |
2,240,583 |
|
Frontier Communications Holdings LLC(a) 5.88%,
10/15/27 |
|
|
1,128 |
|
|
|
1,025,465 |
|
8.75%, 05/15/30 |
|
|
1,000 |
|
|
|
996,010 |
|
8.63%, 03/15/31 |
|
|
745 |
|
|
|
729,504 |
|
Frontier Florida LLC, Series E, 6.86%, 02/01/28 |
|
|
760 |
|
|
|
678,440 |
|
Full House Resorts, Inc., 8.25%, 02/15/28(a) |
|
|
230 |
|
|
|
209,300 |
|
Gen Digital, Inc.(a) 6.75%, 09/30/27 |
|
|
120 |
|
|
|
120,624 |
|
7.13%, 09/30/30 |
|
|
705 |
|
|
|
701,475 |
|
General Mills, Inc., 2.88%, 04/15/30 |
|
|
3,210 |
|
|
|
2,874,272 |
|
General Motors Co., 5.60%, 10/15/32 |
|
|
1,265 |
|
|
|
1,238,536 |
|
Goldman Sachs Group, Inc. 7.25%, 04/10/28 |
|
|
GBP 100 |
|
|
|
132,995 |
|
(1 day SOFR + 1.09%), 1.99%, 01/27/32(b) |
|
|
USD 3,150 |
|
|
|
2,516,296 |
|
GoTo Group, Inc., 5.50%, 09/01/27(a) |
|
|
1,675 |
|
|
|
857,139 |
|
HCA, Inc. 3.50%, 09/01/30 |
|
|
132 |
|
|
|
117,571 |
|
3.63%, 03/15/32(a) |
|
|
2,120 |
|
|
|
1,868,845 |
|
Home Depot, Inc., 1.38%, 03/15/31 |
|
|
3,020 |
|
|
|
2,416,493 |
|
Homes By West Bay LLC, 9.50%, 04/30/27(c) |
|
|
5,256 |
|
|
|
4,796,100 |
|
Howard Hughes Corp.(a) 4.13%, 02/01/29 |
|
|
1,002 |
|
|
|
848,624 |
|
4.38%, 02/01/31 |
|
|
1,102 |
|
|
|
887,110 |
|
Howmet Aerospace, Inc., 6.88%, 05/01/25 |
|
|
115 |
|
|
|
119,382 |
|
JPMorgan Chase & Co., (3 mo. LIBOR GBP + 0.68%), 0.99%, 04/28/26(b)(i) |
|
|
GBP 200 |
|
|
|
225,145 |
|
Kraft Heinz Foods Co., 3.75%, 04/01/30 |
|
|
USD 3,150 |
|
|
|
2,978,990 |
|
Lessen, Inc., 9.31%, 01/04/28(c) |
|
|
1,902 |
|
|
|
1,825,913 |
|
Lightning eMotors, Inc., 7.50%, 05/15/24(a) |
|
|
945 |
|
|
|
519,750 |
|
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(a)
|
|
|
590 |
|
|
|
387,925 |
|
Lowes Cos., Inc., 2.63%, 04/01/31 |
|
|
2,960 |
|
|
|
2,529,912 |
|
Mauser Packaging Solutions Holding Co., 7.88%, 08/15/26(a)
|
|
|
2,240 |
|
|
|
2,240,000 |
|
Maxar Technologies, Inc., 7.75%, 06/15/27(a) |
|
|
636 |
|
|
|
664,581 |
|
MCM Trust, 1.00%, 01/01/59(c) |
|
|
3,888 |
|
|
|
3,727,454 |
|
Merck & Co., Inc., 2.15%, 12/10/31 |
|
|
1,360 |
|
|
|
1,151,361 |
|
Morgan Stanley, (1 day SOFR + 1.02%), 1.93%, 04/28/32(b)
|
|
|
3,055 |
|
|
|
2,403,382 |
|
Nationstar Mortgage Holdings, Inc.(a) 6.00%,
01/15/27 |
|
|
242 |
|
|
|
219,615 |
|
5.50%, 08/15/28 |
|
|
1,128 |
|
|
|
967,260 |
|
5.75%, 11/15/31 |
|
|
488 |
|
|
|
378,524 |
|
Newmont Corp., 2.60%, 07/15/32 |
|
|
2,720 |
|
|
|
2,276,601 |
|
NVIDIA Corp., 2.00%, 06/15/31 |
|
|
2,895 |
|
|
|
2,435,672 |
|
Oracle Corp., 6.15%, 11/09/29 |
|
|
750 |
|
|
|
798,846 |
|
Parsley Energy LLC/Parsley Finance Corp., 4.13%, 02/15/28(a)
|
|
|
1,275 |
|
|
|
1,198,234 |
|
Pioneer Midco Notes, 10.50%, 11/18/30(c) |
|
|
3,903 |
|
|
|
3,824,940 |
|
Pitney Bowes, Inc., 6.88%, 03/15/27(a) |
|
|
2,080 |
|
|
|
1,647,298 |
|
Rand Parent LLC, 8.50%, 02/15/30(a) |
|
|
1,055 |
|
|
|
991,700 |
|
Regal Rexnord Corp., 6.05%, 02/15/26(a) |
|
|
355 |
|
|
|
356,556 |
|
Republic Services, Inc., 1.45%, 02/15/31 |
|
|
3,080 |
|
|
|
2,449,906 |
|
Sabre Global, Inc.(a) 9.25%, 04/15/25 |
|
|
1,071 |
|
|
|
1,008,882 |
|
7.38%, 09/01/25 |
|
|
405 |
|
|
|
361,865 |
|
11.25%, 12/15/27 |
|
|
750 |
|
|
|
698,880 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
United States (continued) |
|
Sasol Financing USA LLC 4.38%, 09/18/26 |
|
|
USD 404 |
|
|
$ |
365,191 |
|
5.50%, 03/18/31 |
|
|
954 |
|
|
|
796,769 |
|
Service Properties Trust, 4.35%, 10/01/24 |
|
|
190 |
|
|
|
181,737 |
|
Sitio Royalties Corp., (3 mo. SOFR + 6.50%, 1.50% Floor), 11.40%, 09/21/26(c) |
|
|
7,751 |
|
|
|
7,625,680 |
|
Sonder Secured Notes, (13.50% PIK),
13.50%, 01/19/27(b)(c)(k) |
|
|
9,331 |
|
|
|
8,398,267 |
|
Stem, Inc., 0.50%, 12/01/28(a) |
|
|
200 |
|
|
|
112,990 |
|
Stillwater Mining Co., 4.00%, 11/16/26(i) |
|
|
1,071 |
|
|
|
955,867 |
|
Tap Rock Resources LLC, 7.00%, 10/01/26(a) |
|
|
1,444 |
|
|
|
1,265,028 |
|
Tenet Healthcare Corp., 4.25%, 06/01/29 |
|
|
4,566 |
|
|
|
4,130,906 |
|
Texas Capital Bank NA, (3 mo. LIBOR US + 4.50%), 9.66%, 09/30/24(a)(b) |
|
|
3,800 |
|
|
|
3,686,371 |
|
T-Mobile USA, Inc., 2.70%, 03/15/32 |
|
|
2,955 |
|
|
|
2,489,152 |
|
Topaz Solar Farms LLC, 5.75%, 09/30/39(a) |
|
|
74 |
|
|
|
69,779 |
|
Union Pacific Corp., 2.40%, 02/05/30 |
|
|
2,000 |
|
|
|
1,759,078 |
|
United Wholesale Mortgage LLC, 5.75%, 06/15/27(a)
|
|
|
741 |
|
|
|
659,388 |
|
UnitedHealth Group, Inc., 4.20%, 05/15/32 |
|
|
2,430 |
|
|
|
2,381,702 |
|
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(a) |
|
|
461 |
|
|
|
447,170 |
|
Verizon Communications, Inc. 1.13%, 11/03/28 |
|
|
GBP 100 |
|
|
|
100,551 |
|
2.55%, 03/21/31 |
|
|
USD 3,000 |
|
|
|
2,555,673 |
|
Viasat, Inc., 5.63%, 04/15/27(a) |
|
|
512 |
|
|
|
480,768 |
|
VICI Properties LP 5.13%, 05/15/32 |
|
|
1,885 |
|
|
|
1,775,934 |
|
5.63%, 05/15/52 |
|
|
689 |
|
|
|
620,424 |
|
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25(a)
|
|
|
3,880 |
|
|
|
3,751,239 |
|
Walt Disney Co., 3.80%, 03/22/30 |
|
|
3,055 |
|
|
|
2,945,330 |
|
Waste Management, Inc., 4.15%, 04/15/32 |
|
|
1,875 |
|
|
|
1,817,222 |
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%,
03/01/25(a) |
|
|
1,134 |
|
|
|
1,112,737 |
|
Xerox Holdings Corp., 5.00%, 08/15/25(a) |
|
|
2,080 |
|
|
|
1,962,428 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
173,865,558 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds 15.4% (Cost: $308,904,928) |
|
|
|
285,336,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests(b) |
|
|
|
|
|
|
|
Belgium 0.1% |
|
Apollo Finco, 2021 EUR Term Loan B, (3 mo. EURIBOR + 4.85%), 7.60%, 10/01/28(c) |
|
|
EUR 3,264 |
|
|
|
2,406,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Canada 0.0% |
|
|
|
|
|
|
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3 mo. SOFRTE at 1.00% Floor + 6.00%),
11.02%, 12/22/26 |
|
|
USD 515 |
|
|
|
498,693 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Jersey(c) 0.5% |
|
|
|
|
|
|
Vita Global Finco Ltd. |
|
|
|
|
|
|
|
|
EUR Term Loan B, (6 mo. EURIBOR + 7.00%), 9.44%, 07/06/27 |
|
|
EUR 4,945 |
|
|
|
4,994,425 |
|
GBP Incremental Term Loan, (1 day SONIA + 7.00%), 10.93%, 07/06/27 |
|
|
GBP 2,967 |
|
|
|
3,482,688 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,477,113 |
|
9
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
Luxembourg 0.4% |
|
|
|
|
|
|
Luxembourg Life Fund(c) |
|
|
|
|
|
|
|
|
2021 1st Lien Term Loan, (3 mo. LIBOR US + 9.25%), 13.98%, 05/27/26 |
|
USD |
2,858 |
|
|
$ |
2,848,608 |
|
2021 Term Loan, (3 mo. LIBOR US + 9.25%), 14.41%, 04/01/23 |
|
|
1,888 |
|
|
|
1,888,517 |
|
Speed Midco 3 SARL, EUR Term Loan B1, 04/26/29(m)
|
|
EUR |
1,931 |
|
|
|
2,078,078 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,815,203 |
|
|
Netherlands 0.1% |
|
Cypher Bidco, EUR Term Loan, (6 mo. EURIBOR + 4.50%), 6.61%, 03/01/28(c) |
|
|
1,828 |
|
|
|
1,838,405 |
|
|
|
|
|
|
|
|
|
|
|
United States 5.6% |
|
Altar Bidco, Inc. |
|
|
|
|
|
|
|
|
2021 2nd Lien Term Loan, (12 mo. SOFR CME at 0.50% Floor + 5.60%), 10.49%, 02/01/30 |
|
USD |
1,800 |
|
|
|
1,575,000 |
|
2021 Term Loan, (12 mo. SOFRTE + 3.10%), 6.61%, 02/01/29 |
|
|
|
(n) |
|
|
222 |
|
American Auto Auction Group LLC, 2021 Term Loan B, (3 mo. SOFRTE at 0.75% Floor + 5.00%), 10.05%,
12/30/27 |
|
|
867 |
|
|
|
747,195 |
|
American Rock Salt Co. LLC, 2021 Term Loan, (1 mo. LIBOR US at 0.75% Floor + 4.00%), 8.84%,
06/09/28 |
|
|
427 |
|
|
|
410,124 |
|
AMF MF Portfolio, Term Loan, 0.00%, 11/01/28(c)
|
|
|
2,975 |
|
|
|
2,945,531 |
|
Ballys Corp., 2021 Term Loan B, (1 mo. LIBOR US at 0.50% Floor + 3.25%), 7.96%, 10/02/28 |
|
|
2,467 |
|
|
|
2,350,303 |
|
City Brewing Co. LLC, Closing Date Term Loan, (3 mo. LIBOR US at 0.75% Floor + 3.50%), 8.33%,
04/05/28 |
|
|
699 |
|
|
|
280,561 |
|
CML Hyatt Lost Pines, Term Loan, (1 mo. LIBOR US + 3.43%), 8.24%, 09/09/26(c) |
|
|
5,000 |
|
|
|
4,893,024 |
|
CML La Quinta Resort, Term Loan, (3 mo. LIBOR US + 3.20%), 8.07%, 12/09/26(c) |
|
|
6,800 |
|
|
|
6,578,302 |
|
CML ST Regis Aspen, Term Loan, (1 mo. LIBOR US at 1.00% Floor + 2.90%), 7.70%, 02/09/27(c) |
|
|
5,100 |
|
|
|
4,899,427 |
|
Conair Holdings LLC, Term Loan B, (3 mo. LIBOR US at 0.50% Floor + 3.75%), 8.91%, 05/17/28(c) |
|
|
419 |
|
|
|
381,061 |
|
ConnectWise LLC, 2021 Term Loan B, (1 mo. LIBOR US at 0.50% Floor + 3.50%), 8.34%, 09/29/28 |
|
|
788 |
|
|
|
759,257 |
|
Digital Room Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR US at 0.50% Floor + 5.25%), 10.09%,
12/21/28 |
|
|
974 |
|
|
|
865,785 |
|
DirecTV Financing LLC, Term Loan, (1 mo. LIBOR US at 0.75% Floor + 5.00%), 9.84%, 08/02/27 |
|
|
1,533 |
|
|
|
1,472,634 |
|
DS Parent, Inc., Term Loan, (3 mo. LIBOR US at 0.75% Floor + 5.75%), 10.79%, 12/10/28 |
|
|
1,476 |
|
|
|
1,421,514 |
|
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR US + 3.25%), 8.10%, 02/06/26 |
|
|
246 |
|
|
|
244,879 |
|
ECL Entertainment LLC, Term Loan, (1 mo. LIBOR US at 0.75% Floor + 7.50%), 12.42%, 05/01/28 |
|
|
3,991 |
|
|
|
3,953,535 |
|
EIS Group, Inc., Term Loan, (3 mo. SOFR CME + 7.00%), 11.85%, 05/01/28(c) |
|
|
3,734 |
|
|
|
3,668,357 |
|
Emerald Electronics Manufacturing Services, Term Loan, (1 mo. SOFRTE at 1.00% Floor + 6.25%), 11.16%,
12/29/27 |
|
|
1,152 |
|
|
|
1,083,303 |
|
Galaxy Universal LLC, 1st Lien Term Loan, (3 mo. LIBOR US at 1.00% Floor + 5.75%), 10.98%, 11/12/26(c) |
|
|
13,158 |
|
|
|
12,664,610 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
United States (continued) |
|
|
|
|
|
|
GoTo Group, Inc., Term Loan B, (1 mo. LIBOR US + 4.75%), 9.59%, 08/31/27 |
|
USD |
859 |
|
|
$ |
485,787 |
|
Green Plains Operating Co. LLC, Term Loan, (3 mo. LIBOR US + 8.00%), 10.51%, 07/20/26(c) |
|
|
7,098 |
|
|
|
7,053,992 |
|
Herschend Entertainment Co. LLC, 2021 Term Loan, (1 mo. LIBOR US at 0.50% Floor + 3.75%), 8.63%,
08/27/28 |
|
|
389 |
|
|
|
385,809 |
|
Hydrofarm Holdings LLC, 2021 Term Loan, (1 mo. LIBOR US at -4.50%
Floor + 5.50%), 10.35%, 09/27/28(c) |
|
|
1,912 |
|
|
|
1,663,266 |
|
Indy U.S. Holdco LLC, 2023 EUR Incremental Term Loan B,
03/06/28(m) |
|
EUR |
5,784 |
|
|
|
5,692,518 |
|
IPS Corp. |
|
|
|
|
|
|
|
|
2021 Delayed Draw Term Loan, 0.00%, 10/02/28 |
|
|
45 |
|
|
|
|
|
2021 Term Loan, (1 mo. LIBOR US at 0.50% Floor + 3.50%), 8.41%, 10/02/28 |
|
USD |
253 |
|
|
|
236,203 |
|
J&J Ventures Gaming LLC, Term Loan, (3 mo. LIBOR US at 0.75% Floor + 4.00%), 9.16%,
04/26/28 |
|
|
1,429 |
|
|
|
1,380,056 |
|
Jack Ohio Finance LLC, Term Loan, (1 mo. LIBOR US at 0.75% Floor + 4.75%), 9.59%, 10/04/28 |
|
|
567 |
|
|
|
542,910 |
|
LSF11 A5 Holdco LLC, Term Loan, (1 mo. SOFRTE at 0.50% Floor + 3.50%), 8.42%, 10/15/28 |
|
|
436 |
|
|
|
422,416 |
|
Maverick Gaming LLC, Term Loan B, (3 mo. LIBOR US at 1.00% Floor + 7.50%), 12.45%, 09/03/26 |
|
|
932 |
|
|
|
628,079 |
|
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3 mo. SOFR CME at 0.50% Floor + 7.00%),
11.99%, 11/01/29 |
|
|
1,052 |
|
|
|
952,060 |
|
Medline Borrower LP, USD Term Loan B, (1 mo. LIBOR US at 0.50% Floor + 3.25%), 8.09%, 10/23/28 |
|
|
3,642 |
|
|
|
3,547,185 |
|
Naked Juice LLC, 2nd Lien Term Loan, (3 mo. SOFRTE at 0.50% Floor + 6.00%), 11.00%, 01/24/30 |
|
|
141 |
|
|
|
105,162 |
|
Opendoor GP II LLC, Mezzanine Term Loan, 0.00%, 01/23/26(c)
|
|
|
3,554 |
|
|
|
3,351,176 |
|
Opendoor Mezz Commitment(m) |
|
|
3,337 |
|
|
|
3,336,739 |
|
OVG Business Services LLC, Initial Term Loan, (1 mo. LIBOR US at 1.00% Floor + 6.25%), 11.10%, 10/13/28(c) |
|
|
5,195 |
|
|
|
5,038,694 |
|
Park River Holdings, Inc., Term Loan, (3 mo. LIBOR US at 0.75% Floor + 3.25%), 8.00%, 12/28/27 |
|
|
1,437 |
|
|
|
1,318,479 |
|
Profrac Services LLC, 2022 Term Loan, (3 mo. SOFRTE at 1.00% Floor + 7.25%), 12.08%, 03/04/25 |
|
|
1,570 |
|
|
|
1,551,855 |
|
Redstone Holdco 2 LP |
|
|
|
|
|
|
|
|
2021 2nd Lien Term Loan, (3 mo. LIBOR US at 0.75% Floor + 7.75%), 12.56%, 04/27/29 |
|
|
620 |
|
|
|
345,873 |
|
2021 Term Loan, (3 mo. LIBOR US at 0.75% Floor + 4.75%), 9.57%, 04/27/28 |
|
|
1,969 |
|
|
|
1,538,108 |
|
Roper Industrial Products Investment Co., USD Term Loan, (3 mo. SOFR CME + 4.50%), 9.40%,
11/22/29 |
|
|
1,893 |
|
|
|
1,876,096 |
|
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR US at 0.75% Floor + 4.00%), 8.83%,
03/16/27 |
|
|
855 |
|
|
|
832,870 |
|
Signal Parent, Inc., Term Loan B, (1 mo. LIBOR US at 0.75% Floor + 3.50%), 8.31%, 04/03/28 |
|
|
2,843 |
|
|
|
1,872,906 |
|
|
|
|
C O N S O L I D A T E D S C H E D U L E
O F I N V E S T M E N T S |
|
10 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par (000) |
|
|
Value |
|
|
|
|
United States (continued) |
|
|
|
|
|
|
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1 mo. LIBOR US at 0.75% Floor + 4.00%), 8.75%,
10/06/28 |
|
|
USD 544 |
|
|
$ |
456,471 |
|
Talen Energy Supply LLC, 2022 DIP Term Loan, (3 mo. SOFR CME at 0.75% Floor + 4.75%), 9.52%,
11/10/23 |
|
|
4,613 |
|
|
|
4,609,540 |
|
Triton Water Holdings, Inc., Term Loan, (3 mo. LIBOR US at 0.50% Floor + 3.50%), 8.66%,
03/31/28 |
|
|
1,173 |
|
|
|
1,048,424 |
|
Ultimate Software Group, Inc., 2021 Term Loan, (3 mo. LIBOR US at 0.50% Floor + 3.25%), 8.03%,
05/04/26 |
|
|
405 |
|
|
|
393,838 |
|
Vaco Holdings LLC, 2022 Term Loan, (3 mo. SOFR CME + 5.00%), 10.05%, 01/21/29 |
|
|
1,151 |
|
|
|
1,128,396 |
|
VS Buyer LLC, Term Loan B, (2 mo. LIBOR US + 3.00%), 7.70%, 02/28/27 |
|
|
252 |
|
|
|
249,209 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
103,238,741 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests 6.7% (Cost: $130,734,881) |
|
|
|
|
|
|
123,274,936 |
|
|
|
|
|
|
|
|
|
|
|
Foreign Agency Obligations |
|
|
Bahrain 0.0% |
|
Bahrain Government International Bond |
|
|
|
|
|
|
|
|
5.63%, 09/30/31(a) |
|
|
321 |
|
|
|
296,524 |
|
5.45%, 09/16/32(i) |
|
|
457 |
|
|
|
407,872 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
704,396 |
|
|
Brazil 0.5% |
|
Brazil Letras do Tesouro Nacional, 0.00%,
07/01/24(o) |
|
|
54,542 |
|
|
|
9,308,399 |
|
|
|
|
|
|
|
|
|
|
|
Chile 0.0% |
|
Chile Government International Bond, 4.34%, 03/07/42 |
|
|
694 |
|
|
|
611,067 |
|
|
|
|
|
|
|
|
|
|
|
Colombia 0.2% |
|
Colombia Government International Bond 3.88%, 04/25/27 |
|
|
1,295 |
|
|
|
1,175,455 |
|
3.13%, 04/15/31 |
|
|
2,643 |
|
|
|
2,016,609 |
|
8.00%, 04/20/33 |
|
|
956 |
|
|
|
980,378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,172,442 |
|
|
Dominican Republic 0.2% |
|
Dominican Republic International Bond 5.95%, 01/25/27(i)
|
|
|
1,307 |
|
|
|
1,283,964 |
|
5.50%, 02/22/29(a) |
|
|
646 |
|
|
|
606,554 |
|
4.50%, 01/30/30(a) |
|
|
1,312 |
|
|
|
1,139,636 |
|
7.05%, 02/03/31(a) |
|
|
360 |
|
|
|
362,025 |
|
4.88%, 09/23/32(a) |
|
|
1,000 |
|
|
|
848,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,240,179 |
|
|
Egypt(a) 0.0% |
|
Egypt Government International Bond 5.75%, 05/29/24 |
|
|
572 |
|
|
|
516,516 |
|
8.50%, 01/31/47 |
|
|
400 |
|
|
|
231,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
748,216 |
|
|
Guatemala 0.1% |
|
Guatemala Government Bond 5.25%, 08/10/29(a)
|
|
|
477 |
|
|
|
463,525 |
|
5.38%, 04/24/32(a) |
|
|
735 |
|
|
|
711,021 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
Guatemala (continued) |
|
|
|
|
|
|
Guatemala Government Bond (continued) |
|
|
|
|
|
|
|
|
3.70%, 10/07/33(i) |
|
|
596 |
|
|
$ |
494,419 |
|
4.65%, 10/07/41(a) |
|
|
551 |
|
|
|
448,996 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,117,961 |
|
|
Hungary 0.1% |
|
Hungary Government International Bond 5.38%, 03/25/24 |
|
|
162 |
|
|
|
161,879 |
|
5.25%, 06/16/29(a) |
|
|
771 |
|
|
|
754,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
916,495 |
|
|
Ivory Coast 0.1% |
|
Ivory Coast Government International Bond, 6.38%, 03/03/28(i)
|
|
|
1,567 |
|
|
|
1,499,619 |
|
|
|
|
|
|
|
|
|
|
|
Mexico 0.2% |
|
Mexico Government International Bond 4.50%, 04/22/29 |
|
|
400 |
|
|
|
391,400 |
|
2.66%, 05/24/31 |
|
|
1,724 |
|
|
|
1,442,988 |
|
4.88%, 05/19/33 |
|
|
971 |
|
|
|
930,703 |
|
6.35%, 02/09/35 |
|
|
220 |
|
|
|
234,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,999,171 |
|
|
Morocco 0.1% |
|
Kingdom of Morocco, 5.95%, 03/08/28 |
|
|
516 |
|
|
|
526,320 |
|
Morocco Government International Bond, 2.38%, 12/15/27(a)
|
|
|
303 |
|
|
|
266,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
792,960 |
|
|
Nigeria 0.0% |
|
Nigeria Government International Bond, 8.38%, 03/24/29(a)
|
|
|
851 |
|
|
|
699,948 |
|
|
|
|
|
|
|
|
|
|
|
Oman(i) 0.1% |
|
Oman Government International Bond 6.50%, 03/08/47 |
|
|
909 |
|
|
|
838,553 |
|
6.75%, 01/17/48 |
|
|
1,130 |
|
|
|
1,069,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,907,815 |
|
|
Panama 0.2% |
|
Panama Government International Bond 3.88%, 03/17/28 |
|
|
1,508 |
|
|
|
1,443,721 |
|
9.38%, 04/01/29 |
|
|
200 |
|
|
|
243,475 |
|
3.16%, 01/23/30 |
|
|
439 |
|
|
|
384,619 |
|
6.40%, 02/14/35 |
|
|
374 |
|
|
|
389,147 |
|
3.87%, 07/23/60 |
|
|
799 |
|
|
|
521,747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,982,709 |
|
|
Paraguay 0.1% |
|
Paraguay Government International Bond 5.60%, 03/13/48(i)
|
|
|
529 |
|
|
|
467,438 |
|
5.40%, 03/30/50(a) |
|
|
643 |
|
|
|
551,091 |
|
5.40%, 03/30/50(i) |
|
|
554 |
|
|
|
474,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,493,341 |
|
|
Peru 0.1% |
|
Corp. Financiera de Desarrollo SA, 4.75%,
07/15/25(i). |
|
|
741 |
|
|
|
714,509 |
|
Peruvian Government International Bond 2.78%, 01/23/31 |
|
|
250 |
|
|
|
213,250 |
|
1.86%, 12/01/32 |
|
|
850 |
|
|
|
641,644 |
|
3.00%, 01/15/34 |
|
|
504 |
|
|
|
409,910 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,979,313 |
|
11
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
Poland 0.1% |
|
|
|
|
|
|
Republic of Poland Government International Bond 4.88%, 10/04/33(p) |
|
|
385 |
|
|
$ |
383,356 |
|
4.25%, 02/14/43(i) |
|
|
440 |
|
|
|
462,736 |
|
5.50%, 04/04/53(p) |
|
|
589 |
|
|
|
594,154 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,440,246 |
|
|
Romania 0.2% |
|
Romanian Government International Bond 5.25%, 11/25/27(a)
|
|
|
414 |
|
|
|
407,272 |
|
2.88%, 03/11/29(i) |
|
|
752 |
|
|
|
692,856 |
|
2.50%, 02/08/30(i) |
|
|
790 |
|
|
|
683,262 |
|
2.12%, 07/16/31(i) |
|
|
1,258 |
|
|
|
994,234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,777,624 |
|
|
Saudi Arabia 0.1% |
|
Saudi Government International Bond 4.75%, 01/18/28(a)
|
|
|
300 |
|
|
|
303,600 |
|
2.25%, 02/02/33(i) |
|
|
920 |
|
|
|
755,435 |
|
5.00%, 01/18/53(a) |
|
|
1,058 |
|
|
|
982,485 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,041,520 |
|
|
Senegal 0.0% |
|
Senegal Government International Bond, 6.25%, 05/23/33(i)
|
|
|
580 |
|
|
|
461,100 |
|
|
|
|
|
|
|
|
|
|
|
South Africa 0.1% |
|
Republic of South Africa Government International Bond |
|
|
|
|
|
|
|
|
5.88%, 04/20/32 |
|
|
1,080 |
|
|
|
978,750 |
|
5.00%, 10/12/46 |
|
|
1,287 |
|
|
|
888,030 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,866,780 |
|
|
Spain(a)(i) 2.3% |
|
Spain Government Bond 0.50%, 10/31/31 |
|
|
1,487 |
|
|
|
1,292,282 |
|
2.55%, 10/31/32 |
|
|
17,348 |
|
|
|
17,713,291 |
|
3.15%, 04/30/33 |
|
|
14,633 |
|
|
|
15,623,510 |
|
3.90%, 07/30/39 |
|
|
2,343 |
|
|
|
2,604,556 |
|
2.90%, 10/31/46 |
|
|
2,252 |
|
|
|
2,134,076 |
|
3.45%, 07/30/66 |
|
|
2,440 |
|
|
|
2,417,254 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,784,969 |
|
|
Sri Lanka 0.0% |
|
Sri Lanka Government International Bond, 5.75%,
04/18/23(d)(i)(j) |
|
|
300 |
|
|
|
105,431 |
|
|
|
|
|
|
|
|
|
|
|
Ukraine(d)(j) 0.0% |
|
Ukraine Government International Bond 7.75%, 09/01/25(i)
|
|
|
515 |
|
|
|
102,453 |
|
8.99%, 02/01/26(i) |
|
|
1,113 |
|
|
|
203,331 |
|
7.25%, 03/15/35(a) |
|
|
955 |
|
|
|
163,126 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
468,910 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Agency Obligations 4.8% (Cost: $95,775,862) |
|
|
|
|
|
|
88,120,611 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
Investment Companies |
|
|
|
|
|
|
United States 1.8% |
|
Invesco QQQ Trust, Series 1 |
|
|
11,800 |
|
|
|
3,786,974 |
|
iShares China Large-Cap ETF(q) |
|
|
3,285 |
|
|
|
97,006 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
|
|
United States (continued) |
|
|
|
|
|
|
iShares iBoxx $ High Yield Corporate Bond ETF(q)
|
|
|
52,660 |
|
|
$ |
3,978,463 |
|
iShares iBoxx $ Investment Grade Corporate Bond ETF(q)
|
|
|
66,540 |
|
|
|
7,293,449 |
|
iShares JP Morgan USD Emerging Markets Bond ETF(q)
|
|
|
131,768 |
|
|
|
11,368,943 |
|
iShares MSCI Brazil ETF(q) |
|
|
23,271 |
|
|
|
637,160 |
|
iShares Russell 2000 ETF(q) |
|
|
9,800 |
|
|
|
1,748,320 |
|
KraneShares CSI China Internet ETF(d) |
|
|
56,138 |
|
|
|
1,750,944 |
|
SPDR S&P 500 ETF Trust |
|
|
2,700 |
|
|
|
1,105,353 |
|
VanEck Semiconductor ETF(d) |
|
|
2,681 |
|
|
|
705,613 |
|
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF |
|
|
20,352 |
|
|
|
513,888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Companies 1.8% (Cost: $33,478,200) |
|
|
|
|
|
|
32,986,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000) |
|
|
|
|
|
|
Municipal Bonds |
|
|
|
|
|
|
|
Puerto Rico(b) 0.1% |
|
|
|
|
Commonwealth of Puerto Rico, GO |
|
|
|
|
|
|
|
|
0.00%, 11/01/43 |
|
USD |
420 |
|
|
|
182,920 |
|
0.00%, 11/01/51 |
|
|
4,668 |
|
|
|
1,563,960 |
|
Commonwealth of Puerto Rico, RB, 0.00%, 11/01/51 |
|
|
1,977 |
|
|
|
629,629 |
|
|
|
|
|
|
|
|
|
|
Total Municipal Bonds 0.1% (Cost: $2,973,196) |
|
|
|
2,376,509 |
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
|
United States 6.1% |
|
|
|
|
Ajax Mortgage Loan Trust(a) |
|
|
|
|
|
|
|
|
Series 2021-G, Class A, 1.88%, 06/25/61(b) |
|
|
4,989 |
|
|
|
4,587,272 |
|
Series 2021-G, Class B, 3.75%, 06/25/61(b) |
|
|
705 |
|
|
|
623,561 |
|
Series 2021-G, Class C, 12.00%, 06/25/61 |
|
|
1,274 |
|
|
|
1,263,876 |
|
BAMLL Commercial Mortgage Securities Trust(a)(b)
|
|
|
|
|
|
|
|
|
Class D, (1 mo. LIBOR US + 1.70%), 6.39%, 09/15/34 |
|
|
2,000 |
|
|
|
1,899,504 |
|
Series 2017-SCH, Class AL, (1 mo. LIBOR US + 0.90%), 5.59%,
11/15/32 |
|
|
2,000 |
|
|
|
1,843,786 |
|
BFLD Trust, (1 mo. LIBOR US + 3.70%), 8.38%,
10/15/35(a)(b) |
|
|
790 |
|
|
|
578,430 |
|
BX Commercial Mortgage Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2019-XL, Class J, (1 mo. SOFR + 2.76%), 7.59%,
10/15/36 |
|
|
1,581 |
|
|
|
1,510,877 |
|
Series 2020-VIV3, Class B, 3.54%, 03/09/44 |
|
|
1,600 |
|
|
|
1,399,111 |
|
Series 2020-VKNG, Class G, (1 mo. SOFR + 3.36%), 8.19%, 10/15/37 |
|
|
1,610 |
|
|
|
1,497,370 |
|
Series 2021-MFM1, Class G, (1 mo. SOFR + 4.01%), 8.84%, 01/15/34 |
|
|
1,610 |
|
|
|
1,466,688 |
|
BX Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2021-LBA, Class GV, (1 mo. SOFR + 3.11%), 7.94%,
02/15/36 |
|
|
1,030 |
|
|
|
895,565 |
|
Series 2021-VIEW, Class E, (1 mo. LIBOR US + 3.60%), 8.28%, 06/15/36 |
|
|
897 |
|
|
|
815,301 |
|
CFMT LLC, Series 2020-HB4, Class M4, 4.95%, 12/26/30(a)(b) |
|
|
3,400 |
|
|
|
3,156,094 |
|
|
|
|
C O N S O L I D A T E D S C H E D U L E
O F I N V E S T M E N T S |
|
12 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
United States (continued) |
|
|
|
|
|
|
Citigroup Commercial Mortgage Trust, Series 2016- C1, Class C, 4.94%, 05/10/49(b) |
|
USD |
1,735 |
|
|
$ |
1,572,812 |
|
Cold Storage Trust, Series 2020-ICE5, Class F, (1 mo. LIBOR US + 3.49%), 8.18%, 11/15/37(a)(b) |
|
|
3,932 |
|
|
|
3,792,582 |
|
Commercial Mortgage Trust(b) |
|
|
|
|
|
|
|
|
Series 2015-CR25, Class C, 4.52%, 08/10/48 |
|
|
2,000 |
|
|
|
1,812,254 |
|
Series 2019-GC44, Class 180B, 3.40%, 08/15/57(a)
|
|
|
1,900 |
|
|
|
1,645,383 |
|
Credit Suisse Mortgage Capital Certificates Trust 4.61%, 02/15/27 |
|
|
3,400 |
|
|
|
3,327,891 |
|
Series 2019-ICE4, Class F, (1 mo. LIBOR US + 2.65%), 7.33%, 05/15/36(a)(b) |
|
|
4,389 |
|
|
|
4,266,990 |
|
Series 2020-FACT, Class F, (1 mo. LIBOR US + 6.16%), 10.84%, 10/15/37(a)(b) |
|
|
1,700 |
|
|
|
1,410,929 |
|
Series 2020-NET, Class D, 3.70%, 08/15/37(a)(b) |
|
|
1,275 |
|
|
|
1,139,882 |
|
Series 2021-980M, Class E, 3.54%, 07/15/31(a)(b)
|
|
|
2,410 |
|
|
|
1,799,894 |
|
Series 2021-BHAR, Class E, (1 mo. LIBOR US + 3.50%), 8.19%, 11/15/38(a)(b) |
|
|
2,500 |
|
|
|
2,332,759 |
|
Csmc Trust, Series 2020-FACT, Class E, (1 mo. LIBOR US + 4.86%), 9.55%, 10/15/37(a)(b) |
|
|
1,000 |
|
|
|
892,379 |
|
Deephaven Residential Mortgage Trust, Series 2021-1, Class B2,
3.96%, 05/25/65(a)(b) |
|
|
1,550 |
|
|
|
1,188,748 |
|
FREMF 2018-KW05 Trust, Series 2018-W5FX, Class CFX, 3.42%, 04/25/28(a)(b) |
|
|
437 |
|
|
|
365,247 |
|
GS Mortgage Securities Corp. Trust, Series 2021-IP, Class E, (1
mo. LIBOR US + 3.55%), 8.23%, 10/15/36(a)(b) |
|
|
1,540 |
|
|
|
1,413,457 |
|
HONO Mortgage Trust, Series 2021-LULU, Class E, (1 mo. LIBOR US + 3.35%), 8.03%, 10/15/36(a)(b) |
|
|
1,080 |
|
|
|
984,340 |
|
Imperial Fund Mortgage Trust, Series 2020-NQM1, Class B1, 4.00%, 10/25/55(a)(b) |
|
|
3,603 |
|
|
|
2,960,243 |
|
JP Morgan Mortgage Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2021-1, Class A3X, 0.50%, 06/25/51 |
|
|
51,473 |
|
|
|
1,191,825 |
|
Series 2021-1, Class AX1, 0.13%, 06/25/51 |
|
|
208,877 |
|
|
|
1,062,789 |
|
Series 2021-1, Class AX4, 0.40%, 06/25/51 |
|
|
13,339 |
|
|
|
246,981 |
|
Series 2021-1, Class B4, 3.03%, 06/25/51 |
|
|
819 |
|
|
|
538,133 |
|
Series 2021-1, Class B5, 3.03%, 06/25/51 |
|
|
982 |
|
|
|
562,515 |
|
Series 2021-1, Class B6, 2.97%, 06/25/51 |
|
|
1,536 |
|
|
|
416,830 |
|
Series 2021-4, Class B4, 2.90%, 08/25/51 |
|
|
1,222 |
|
|
|
793,645 |
|
Series 2021-4, Class B5, 2.90%, 08/25/51 |
|
|
916 |
|
|
|
552,335 |
|
Series 2021-4, Class B6, 2.90%, 08/25/51 |
|
|
2,203 |
|
|
|
568,727 |
|
Lehman Brothers Small Balance Commercial Mortgage Trust, Series
2007-2A, Class M2, (1 mo. LIBOR US + 0.60%), 5.45%, 06/25/37(a)(b) |
|
|
2,735 |
|
|
|
2,059,545 |
|
MCM Trust, 0.00%, 08/25/28(c) |
|
|
2,382 |
|
|
|
1,564,821 |
|
MED Trust, Series 2021, Class G, (1 mo. LIBOR US + 5.25%), 9.94%, 11/15/38(a)(b) |
|
|
5,929 |
|
|
|
5,404,863 |
|
MSCG Trust, Series 2018-SELF, Class F, (1 mo. LIBOR US + 3.05%), 7.74%, 10/15/37(a)(b) |
|
|
2,742 |
|
|
|
2,542,140 |
|
New Residential Mortgage Loan Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2019-RPL2, Class B3, 3.99%, 02/25/59 |
|
|
9,329 |
|
|
|
9,151,314 |
|
Series 2021-NQ1R, Class B1, 3.53%, 07/25/55 |
|
|
1,370 |
|
|
|
995,688 |
|
Series 2021-NQ1R, Class B2, 4.33%, 07/25/55 |
|
|
1,022 |
|
|
|
732,573 |
|
One New York Plaza Trust, Series 2020-1NYP, Class D, (1 mo. LIBOR US + 2.75%), 7.43%, 01/15/36(a)(b) |
|
|
630 |
|
|
|
549,495 |
|
Seasoned Credit Risk Transfer Trust, Series 2020-3, Class BXS,
7.18%, 05/25/60(a)(b) |
|
|
7,641 |
|
|
|
3,342,372 |
|
Seasoned Loans Structured Transaction
Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2020-2, Class M1, 4.75%, 09/25/60 |
|
|
5,000 |
|
|
|
4,775,878 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
|
|
|
United States (continued) |
|
|
|
|
|
|
Seasoned Loans Structured Transaction Trust(a)(b)
(continued) Series 2020-3, Class M1, 4.75%, 04/26/60 |
|
USD |
8,000 |
|
|
$ |
7,680,432 |
|
Starwood Mortgage Residential Trust, Series 2020-INV, Class B2, 4.26%, 11/25/55(a) |
|
|
1,225 |
|
|
|
940,060 |
|
TVC DSCR(c) |
|
|
|
|
|
|
|
|
0.00%, 02/01/51(o) |
|
|
1,323 |
|
|
|
1,153,833 |
|
2.38%, 02/01/51 |
|
|
5,291 |
|
|
|
4,924,971 |
|
Verus Securitization Trust(a)(b) |
|
|
|
|
|
|
|
|
Series 2020-5, Class B1, 3.71%, 05/25/65 |
|
|
2,400 |
|
|
|
1,926,294 |
|
Series 2020-5, Class B2, 4.71%, 05/25/65 |
|
|
1,400 |
|
|
|
1,119,734 |
|
Series 2021-R2, Class B1, 3.25%, 02/25/64 |
|
|
2,735 |
|
|
|
1,948,448 |
|
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA6,
Class 1A, (12 mo. MTA + 0.81%), 3.95%, 07/25/47(b) |
|
|
1,187 |
|
|
|
927,887 |
|
Wells Fargo Commercial Mortgage Trust(b) |
|
|
|
|
|
|
|
|
Series 2019-C50, Class XA, 1.41%, 05/15/52 |
|
|
23,164 |
|
|
|
1,382,414 |
|
Series 2021-FCMT, Class D, (1 mo. LIBOR US + 3.50%), 8.18%, 05/15/31(a) |
|
|
750 |
|
|
|
656,250 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-Agency Mortgage-Backed Securities
6.1% (Cost: $122,098,332) |
|
|
|
112,156,017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Benefical Interest (000) |
|
|
|
|
|
|
Other Interests |
|
|
|
|
|
|
|
Canada 0.3% |
|
|
|
|
|
|
Sprott Private Resource Streaming(c)(r) |
|
USD |
4,640 |
|
|
|
5,957,296 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Other Interests 0.3% (Cost: $4,681,796) |
|
|
|
5,957,296 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000) |
|
|
|
|
|
|
Preferred Securities |
|
|
|
|
|
|
|
Capital Trust 0.0% |
|
|
|
|
|
|
|
|
|
Mexico 0.0% |
|
|
|
|
|
|
Banco Mercantil del Norte SA, 6.75%(a)(b)(l) |
|
USD |
913 |
|
|
|
865,524 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
865,524 |
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
|
Preferred Stocks 3.8% |
|
|
|
|
|
|
|
|
|
|
|
China 0.3% |
|
|
|
|
|
|
ByteDance Ltd., Series E-1, (Acquired 11/11/20, Cost: |
|
|
|
|
|
|
|
|
$4,390,747)(c)(e) |
|
|
40,071 |
|
|
|
6,337,825 |
|
|
|
|
|
|
|
|
|
|
|
Finland 0.2% |
|
Aiven, Series D(c) |
|
|
37,890 |
|
|
|
3,033,094 |
|
|
|
|
|
|
|
|
|
|
|
Germany 0.5% |
|
Dr Ing hc F Porsche AG(d) |
|
|
40,630 |
|
|
|
5,214,826 |
|
Volocopter GmbH, (Acquired 03/03/21, Cost: |
|
|
|
|
|
|
|
|
$4,145,649)(c)(e) |
|
|
780 |
|
|
|
4,955,399 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,170,225 |
|
|
|
|
|
|
|
|
|
|
13
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
Israel(c)(e) 0.3% |
|
Deep Instinct Ltd. |
|
|
|
|
|
|
|
|
Series D-2, (Acquired 03/19/21, Cost: $2,130,236) |
|
|
350,490 |
|
|
$ |
2,470,955 |
|
Series D-4, (Acquired 09/20/22, Cost: $2,188,898) |
|
|
310,467 |
|
|
|
2,188,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,659,747 |
|
|
Sweden 0.0% |
|
Volta, Series C, (Acquired 02/22/22, Cost: $322,254)(c)(e)
|
|
|
2,732 |
|
|
|
286,093 |
|
|
|
|
|
|
|
|
|
|
|
United Kingdom 0.1% |
|
10X Future Technologies Holdings Ltd., (Acquired 05/13/21, Cost: $4,334,124)(c)(e) |
|
|
114,500 |
|
|
|
1,464,733 |
|
|
|
|
|
|
|
|
|
|
|
United States(c) 2.4% |
|
Breeze Aviation Group, Inc., Series B, (Acquired 07/30/21, Cost: $3,044,600)(e) |
|
|
5,637 |
|
|
|
1,701,810 |
|
Cap Hill Brands |
|
|
1,185,824 |
|
|
|
1,802,453 |
|
Caresyntax, Inc. |
|
|
7,084 |
|
|
|
455,147 |
|
Clarify Health |
|
|
345,315 |
|
|
|
2,275,626 |
|
Cruise, Series GClass G, (Acquired 03/25/21, Cost:
$1,886,159)(e) |
|
|
71,581 |
|
|
|
1,078,010 |
|
Databricks, Inc., Series G, (Acquired 02/01/21, Cost: $2,392,693)(e) |
|
|
40,470 |
|
|
|
2,206,424 |
|
Dream Finders Homes, Inc. |
|
|
10,172 |
|
|
|
9,192,945 |
|
Exo Imaging, Inc., Series C, (Acquired 06/24/21, Cost: $1,482,935)(e) |
|
|
253,147 |
|
|
|
711,343 |
|
Jumpcloud, Inc.(e) |
|
|
|
|
|
|
|
|
Series E-1, (Acquired 10/30/20, Cost: $2,052,443) |
|
|
1,125,428 |
|
|
|
3,455,064 |
|
Series F, (Acquired 09/03/21, Cost: $443,302) |
|
|
74,023 |
|
|
|
227,251 |
|
Lesson Nine GmbH |
|
|
|
|
|
|
|
|
Series B, |
|
|
489,075 |
|
|
|
6,333,521 |
|
Series C, |
|
|
25,831 |
|
|
|
334,511 |
|
MNTN Digital, Inc., Series D, (Acquired 11/05/21, Cost: $1,353,207)(e) |
|
|
58,924 |
|
|
|
570,974 |
|
Mythic AI, Inc., Series C, (Acquired 01/26/21, Cost:
$560,518)(e) |
|
|
81,588 |
|
|
|
1 |
|
Noodle Partners, Inc., Series C, (Acquired 08/26/21, Cost: $1,751,669)(e) |
|
|
196,272 |
|
|
|
1,044,167 |
|
PsiQuantum Corp., Series D, (Acquired 05/21/21, Cost:
$945,402)(e) |
|
|
36,048 |
|
|
|
864,431 |
|
Relativity Space, Inc., Series E, (Acquired 05/27/21, Cost: $814,688)(e) |
|
|
35,677 |
|
|
|
590,454 |
|
SambaNova Systems, Inc., Series D, (Acquired 04/09/21, Cost: $1,250,247)(e) |
|
|
13,158 |
|
|
|
835,401 |
|
SCI PH Parent, Inc., (Acquired 02/10/23, Cost: $1,183,000)(e)
|
|
|
1,183 |
|
|
|
1,192,630 |
|
Snorkel AI, Inc., Series C, (Acquired 06/30/21, Cost:
$678,934)(e) |
|
|
45,203 |
|
|
|
321,845 |
|
Ursa Major Technologies, Inc.(e) |
|
|
|
|
|
|
|
|
Series C, (Acquired 09/13/21, Cost: $1,732,297) |
|
|
290,420 |
|
|
|
1,925,485 |
|
Series D, (Acquired 10/14/22, Cost: $235,803) |
|
|
35,579 |
|
|
|
235,889 |
|
Verge Genomics, Inc., Series B, (Acquired 11/05/21, Cost: $1,626,608)(e) |
|
|
305,363 |
|
|
|
1,603,156 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
United States (continued) |
|
Versa Networks, Inc., Series E, (Acquired 10/14/22, Cost: $4,906,958), 12.00%, 10/07/32(e) |
|
|
1,681,498 |
|
|
$ |
4,775,454 |
|
Zero Mass Water, Inc., Series D, (Acquired 07/05/22, Cost: $271,491)(e) |
|
|
6,628 |
|
|
|
266,180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,000,172 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,951,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Securities 3.8% (Cost: $76,242,418) |
|
|
|
|
|
|
70,817,413 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par (000) |
|
|
|
|
|
|
U.S. Government Sponsored Agency Securities |
|
|
|
|
|
|
Mortgage-Backed Securities 14.8% |
|
Freddie Mac Multifamily Structured Pass Through Certificates, Series KL06, Class XFX,
1.36%, 12/25/29(b) |
|
USD |
18,250 |
|
|
|
1,157,656 |
|
Uniform Mortgage-Backed Securities 3.00%, 02/25/52 - 04/13/53 |
|
|
15,657 |
|
|
|
14,053,856 |
|
3.50%, 03/25/52 - 04/13/53 |
|
|
170,462 |
|
|
|
158,443,117 |
|
4.50%, 04/13/53 |
|
|
102,150 |
|
|
|
100,086,072 |
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Sponsored Agency Securities 14.8% (Cost:
$269,420,926) |
|
|
|
273,740,701 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
Warrants |
|
|
|
|
|
|
Cayman Islands 0.0% |
|
Lavoro Ltd., Class A, (Issued 12/27/22, Exercisable 12/27/23, 1 Share for 1 Warrant, Expires 12/27/27,
Strike Price USD 11.50)(d) |
|
|
25,681 |
|
|
|
16,271 |
|
|
|
|
|
|
|
|
|
|
|
Israel(d) 0.0% |
|
Deep Instinct Ltd., (Acquired 09/20/22, Cost: $0), (1 Share for 1 Warrant, Expires 09/20/32) (c)(e) |
|
|
21,889 |
|
|
|
130,458 |
|
Innovid Corp., (Issued/Exercisable 01/28/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD
11.50) |
|
|
8,959 |
|
|
|
741 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
131,199 |
|
|
United Kingdom 0.0% |
|
Hedosophia European Growth, (Issued 05/13/21, Exercisable 05/13/22, 1 Share for 1 Warrant, Expires 05/13/27,
Strike Price EUR 11.50)(d) |
|
|
46,897 |
|
|
|
509 |
|
|
|
|
|
|
|
|
|
|
|
United States(d) 0.1% |
|
Cano Health, Inc., (Issued 07/06/20, Exercisable 07/06/21, 1 Share for 1 Warrant, Expires 06/03/26, Strike
Price USD 11.50) |
|
|
33,630 |
|
|
|
5,381 |
|
Crown PropTech Acquisitions, (Issued 02/05/21, 1 Share for 1 Warrant, Expires 02/01/26, Strike Price USD
11.50)(c) |
|
|
74,120 |
|
|
|
5,930 |
|
Crown PropTech Acquisitions, (Issued/Exercisable 01/25/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike
Price USD 11.50) |
|
|
44,352 |
|
|
|
4,435 |
|
|
|
|
C O N S O L I D A T E D S C H E D U L E
O F I N V E S T M E N T S |
|
14 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
|
|
United States (continued) |
|
|
|
|
|
|
CXApp, Inc., Class A, (Issued/Exercisable 02/02/21, 1 Share for 1 Warrant, Expires 12/15/25, Strike
Price USD 11.50) |
|
|
156,413 |
|
|
$ |
6,913 |
|
Embark Technology, Inc., (Issued/Exercisable 12/28/20, 0.05 Share for 1 Warrant, Expires 12/31/27, Strike
Price USD 230.00) |
|
|
34,926 |
|
|
|
657 |
|
EVgo, Inc., (Issued/Exercisable 11/10/20, 1 Share for 1 Warrant, Expires 09/15/25, Strike Price USD
11.50) |
|
|
40,220 |
|
|
|
43,438 |
|
Flyr Warrants, (Issued 05/10/22, 1 Share for 1 Warrant, Expires 05/10/32, Strike Price USD 3.95)(c) |
|
|
5,990 |
|
|
|
94,402 |
|
FreeWire Technologies, Inc. Tranche A, (Issued 04/27/22, 1 Share for 1 Warrant, Expires 04/26/27, Strike
Price USD 3.35)(c) |
|
|
252,094 |
|
|
|
123,526 |
|
Hippo Holdings, Inc., (Issued/Exercisable 01/04/21, 0.04 Share for 1 Warrant, Expires 08/02/26, Strike Price
USD 287.50) |
|
|
11,689 |
|
|
|
652 |
|
KINS Private Placement, (Issued 10/16/20, 1 Share for 1 Warrant, Expires 12/31/25, Strike Price USD 11.50)(c) |
|
|
184,016 |
|
|
|
9,201 |
|
Latch, Inc., (Issued/Exercisable 12/29/20, 1 Share for 1 Warrant, Expires 06/04/26, Strike Price USD
11.50) |
|
|
10,196 |
|
|
|
607 |
|
Lightning eMotors, Inc., (Issued/Exercisable 05/13/20, 1 Share for 1 Warrant, Expires 05/18/25, Strike Price
USD 11.50) |
|
|
82,174 |
|
|
|
5,058 |
|
Offerpad Solutions, Inc., (Issued/Exercisable 10/13/20, 1 Share for 1 Warrant, Expires 09/01/26, Strike Price
USD 11.50) |
|
|
60,706 |
|
|
|
2,428 |
|
Pear Therapeutics, Inc., (Issued/Exercisable 03/23/21, 1 Share for 1 Warrant, Expires 12/01/26, Strike Price
USD 11.50) |
|
|
9,900 |
|
|
|
188 |
|
Proof Acquisition Corp. I, (1 Share for 1 Warrant, Expires 12/23/28, Strike Price USD 11.50)(c) |
|
|
72,784 |
|
|
|
4,367 |
|
Rotor Acquisition Corp., (Issued/Exercisable 01/14/21, 1 Share for 1 Warrant, Expires 06/15/27, Strike Price
USD 11.50) |
|
|
25,291 |
|
|
|
2,023 |
|
Sarcos Technology and Robotics Corp., Class A, (Issued/Exercisable 12/21/20, 1 Share for 1 Warrant,
Expires 09/24/26, Strike Price USD 11.50) |
|
|
68,671 |
|
|
|
7,478 |
|
Sonder Holdings, Inc., (Issued 11/19/20, Exercisable 01/19/21, 1 Share for 1 Warrant, Expires 11/19/26,
Strike Price USD 12.50)(c) |
|
|
126,000 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
|
United States (continued) |
|
|
|
|
Versa Networks, Inc., (Acquired 10/14/22, Cost: $0), (1 Share for 1 Warrant, Expires 10/07/32) (c)(e) |
|
|
207,248 |
|
|
$ |
553,352 |
|
Volta, Inc., Series C, (Issued/Exercisable 10/22/20, 1 Share for 1 Warrant, Expires 08/26/26, Strike Price
USD 11.50) |
|
|
41,430 |
|
|
|
8,908 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
878,945 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Warrants 0.1% (Cost: $1,236,039) |
|
|
1,026,924 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Long-Term Investments 112.8% (Cost: $2,122,888,142) |
|
|
2,084,681,363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000) |
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
|
Certificates of Deposit 0.2% |
|
|
|
|
|
|
United States 0.2% |
|
|
|
|
Citibank N.A., 5.00%, 09/21/23 |
|
USD |
2,940 |
|
|
|
2,933,379 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,933,379 |
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Paper 0.0% |
|
|
|
|
|
|
United States 0.0% |
|
|
|
|
Enel Finance America LLC, 5.27%, 09/06/23(s) |
|
|
780 |
|
|
|
758,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
758,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
|
|
Money Market Funds 0.2% |
|
|
|
|
BlackRock Liquidity Funds, T-Fund, Institutional Class, 4.70%(q)(t) |
|
|
3,257,468 |
|
|
|
3,257,468 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Securities 0.4% (Cost: $6,960,351) |
|
|
|
6,949,013 |
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased 0.5% (Cost: $10,192,301) |
|
|
|
10,455,865 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments Before TBA Sale Commitments and Options
Written 113.7% (Cost: $2,140,040,794) |
|
|
|
2,102,086,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000) |
|
|
|
|
|
|
TBA Sale Commitments(u) |
|
|
|
|
|
|
|
United States (6.0)% |
|
|
|
|
Uniform Mortgage-Backed Securities 3.00%, 04/13/53 |
|
USD |
|
(6,100) |
|
|
(5,473,283 |
) |
15
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
(Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
Security |
|
Par
(000) |
|
|
Value |
|
United States (continued) |
|
|
|
|
|
|
|
|
Uniform Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
|
|
3.50%, 04/13/53 |
|
USD |
(85,231 |
) |
|
$ |
(79,194,924 |
) |
4.50%, 04/13/53 |
|
|
(25,855 |
) |
|
|
(25,332,621 |
) |
|
|
|
|
|
|
|
|
|
Total TBA Sale Commitments (6.0)% (Proceeds: $(109,207,184)) |
|
|
|
(110,000,828 |
) |
|
|
|
|
|
|
|
|
|
Options Written (0.4)% (Premiums Received: $(8,165,302)) |
|
|
|
(8,878,108 |
) |
|
|
|
|
|
|
|
|
|
Total Investments, Net of TBA Sale Commitments and Options Written 107.3% (Cost:
$2,022,668,308) |
|
|
|
1,983,207,305 |
|
Liabilities in Excess of Other Assets (7.3)% |
|
|
|
(135,582,902 |
) |
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0% |
|
|
$ |
1,847,624,403 |
|
|
|
|
|
|
|
|
|
|
(a) |
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. |
(b) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period
end. Security description also includes the reference rate and spread if published and available. |
(c) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
|
(d) |
Non-income producing security.
|
(e) |
Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value
of $65,267,951, representing 3.5% of its net assets as of period end, and an original cost of $68,151,610. |
(f) |
All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding
exchange-traded options written. |
(g) |
All or a portion of the security is held by a wholly-owned subsidiary. |
(h) |
Investment does not issue shares. |
(i) |
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the
Securities Act of 1933. |
(j) |
Issuer filed for bankruptcy and/or is in default. |
(k) |
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. |
(l) |
Perpetual security with no stated maturity date. |
(m) |
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. |
(n) |
Rounds to less than 1,000. |
(p) |
When-issued security. |
(q) |
Affiliate of the Trust. |
(r) |
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
|
(s) |
Rates are discount rates or a range of discount rates as of period end. |
(t) |
Annualized 7-day yield as of period end. |
(u) |
Represents or includes a TBA transaction.
|
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the period ended March 31, 2023 for purposes of Section 2(a)(3) of the
Investment Company Act of 1940, as amended, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliated Issuer |
|
Value at 12/31/22 |
|
|
Purchases at Cost |
|
|
Proceeds from Sales |
|
|
Net Realized Gain (Loss) |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
|
Value at 03/31/23 |
|
|
Shares Held at 03/31/23 |
|
|
Income |
|
|
Capital Gain Distributions from Underlying Funds |
|
BlackRock Liquidity Funds, T-Fund, Institutional Class |
|
$ |
49,048,882 |
|
|
$ |
|
|
|
$ |
(45,791,414 |
(a) |
|
$ |
|
|
|
$ |
|
|
|
$ |
3,257,468 |
|
|
|
3,257,468 |
|
|
$ |
255,421 |
|
|
$ |
|
|
iShares China Large-Cap ETF |
|
|
903,534 |
|
|
|
421,399 |
|
|
|
(1,382,590 |
) |
|
|
50,798 |
|
|
|
103,865 |
|
|
|
97,006 |
|
|
|
3,285 |
|
|
|
|
|
|
|
|
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
3,877,356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
101,107 |
|
|
|
3,978,463 |
|
|
|
52,660 |
|
|
|
43,082 |
|
|
|
|
|
iShares iBoxx $ Investment Grade Corporate Bond ETF |
|
|
|
|
|
|
25,713,893 |
|
|
|
(18,514,327 |
) |
|
|
50,717 |
|
|
|
43,166 |
|
|
|
7,293,449 |
|
|
|
66,540 |
|
|
|
|
|
|
|
|
|
iShares JP Morgan USD Emerging Markets Bond ETF |
|
|
8,837,878 |
|
|
|
2,423,503 |
|
|
|
|
|
|
|
|
|
|
|
107,562 |
|
|
|
11,368,943 |
|
|
|
131,768 |
|
|
|
90,996 |
|
|
|
|
|
iShares MSCI Brazil ETF |
|
|
650,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(13,730 |
) |
|
|
637,160 |
|
|
|
23,271 |
|
|
|
|
|
|
|
|
|
iShares Russell 2000 ETF |
|
|
1,708,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,592 |
|
|
|
1,748,320 |
|
|
|
9,800 |
|
|
|
6,181 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
101,515 |
|
|
$ |
381,562 |
|
|
$ |
28,380,809 |
|
|
|
|
|
|
$ |
395,680 |
|
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
|
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Notional
Amount (000) |
|
Value/ Unrealized Appreciation
(Depreciation) |
|
Long Contracts |
|
|
|
|
|
|
|
|
|
|
|
Euro Bund |
|
|
454 |
|
|
|
06/08/23 |
|
|
$ 66,883 |
|
$ |
2,322,202 |
|
Euro OAT |
|
|
30 |
|
|
|
06/08/23 |
|
|
4,237 |
|
|
140,130 |
|
Euro Stoxx Banks Index |
|
|
47 |
|
|
|
06/16/23 |
|
|
253 |
|
|
(2,099 |
) |
FTSE 100 Index |
|
|
3 |
|
|
|
06/16/23 |
|
|
283 |
|
|
1,958 |
|
MSCI Emerging Markets Index |
|
|
14 |
|
|
|
06/16/23 |
|
|
697 |
|
|
29,486 |
|
10-Year U.S. Treasury Note |
|
|
22 |
|
|
|
06/21/23 |
|
|
2,531 |
|
|
(2,406 |
) |
U.S. Long Bond |
|
|
240 |
|
|
|
06/21/23 |
|
|
31,523 |
|
|
1,479,917 |
|
Ultra U.S. Treasury Bond |
|
|
521 |
|
|
|
06/21/23 |
|
|
73,803 |
|
|
3,161,296 |
|
|
|
|
C O N S O L I D A T E D S C H E D
U L E O F I N V E S T M E N T S |
|
16 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
Futures Contracts (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Notional
Amount (000) |
|
Value/ Unrealized Appreciation
(Depreciation) |
|
Long Contracts (continued) |
|
|
|
|
|
|
|
|
|
|
|
5-Year U.S. Treasury Note |
|
|
676 |
|
|
|
06/30/23 |
|
|
$ 74,122 |
|
$ |
(97,322 |
) |
3-Month SONIA Index |
|
|
136 |
|
|
|
09/19/23 |
|
|
40,032 |
|
|
207,787 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,240,949 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30-Year Euro Buxl Bond |
|
|
21 |
|
|
|
06/08/23 |
|
|
3,208 |
|
|
(193,843 |
) |
Euro BTP |
|
|
381 |
|
|
|
06/08/23 |
|
|
47,662 |
|
|
(1,626,592 |
) |
Euro-Schatz |
|
|
91 |
|
|
|
06/08/23 |
|
|
10,431 |
|
|
(101,919 |
) |
Euro Stoxx 50 Index |
|
|
287 |
|
|
|
06/16/23 |
|
|
13,284 |
|
|
(682,069 |
) |
NASDAQ 100 E-Mini Index |
|
|
57 |
|
|
|
06/16/23 |
|
|
15,164 |
|
|
(1,353,616 |
) |
Russell 2000 E-Mini Index |
|
|
70 |
|
|
|
06/16/23 |
|
|
6,347 |
|
|
(151,994 |
) |
S&P 500 E-Mini Index |
|
|
70 |
|
|
|
06/16/23 |
|
|
14,482 |
|
|
(747,436 |
) |
10-Year U.S. Ultra Long Treasury Note |
|
|
2,229 |
|
|
|
06/21/23 |
|
|
270,301 |
|
|
(8,344,581 |
) |
Long Gilt |
|
|
44 |
|
|
|
06/28/23 |
|
|
5,610 |
|
|
(181,875 |
) |
2-Year U.S. Treasury Note |
|
|
932 |
|
|
|
06/30/23 |
|
|
192,553 |
|
|
(1,951,843 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(15,335,768 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(8,094,819 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
|
Currency Sold |
|
|
Counterparty |
|
Settlement Date |
|
|
Unrealized
Appreciation (Depreciation) |
|
BRL |
|
|
19,495,221 |
|
|
USD |
|
|
3,692,263 |
|
|
HSBC Bank PLC |
|
|
06/02/23 |
|
|
$ |
113,723 |
|
BRL |
|
|
51,005,004 |
|
|
USD |
|
|
9,773,826 |
|
|
Goldman Sachs International |
|
|
06/15/23 |
|
|
|
158,570 |
|
CAD |
|
|
772,633 |
|
|
USD |
|
|
563,516 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/15/23 |
|
|
|
8,837 |
|
CAD |
|
|
1,174,797 |
|
|
USD |
|
|
857,976 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/15/23 |
|
|
|
12,291 |
|
CAD |
|
|
316,784 |
|
|
USD |
|
|
232,358 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/15/23 |
|
|
|
2,310 |
|
CHF |
|
|
178,682 |
|
|
USD |
|
|
192,238 |
|
|
Bank of America N.A. |
|
|
06/15/23 |
|
|
|
4,572 |
|
EUR |
|
|
287,514 |
|
|
USD |
|
|
310,916 |
|
|
Bank of America N.A. |
|
|
06/15/23 |
|
|
|
2,158 |
|
EUR |
|
|
1,677,282 |
|
|
USD |
|
|
1,778,202 |
|
|
Bank of America N.A. |
|
|
06/15/23 |
|
|
|
48,193 |
|
EUR |
|
|
527,341 |
|
|
USD |
|
|
569,597 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
4,626 |
|
EUR |
|
|
981,072 |
|
|
USD |
|
|
1,059,009 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
9,282 |
|
EUR |
|
|
1,250,810 |
|
|
USD |
|
|
1,335,786 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
26,222 |
|
EUR |
|
|
332,990 |
|
|
USD |
|
|
358,691 |
|
|
Goldman Sachs International |
|
|
06/15/23 |
|
|
|
3,902 |
|
EUR |
|
|
991,992 |
|
|
USD |
|
|
1,063,496 |
|
|
Goldman Sachs International |
|
|
06/15/23 |
|
|
|
16,686 |
|
EUR |
|
|
417,814 |
|
|
USD |
|
|
450,308 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/15/23 |
|
|
|
4,650 |
|
EUR |
|
|
979,013 |
|
|
USD |
|
|
1,060,693 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/15/23 |
|
|
|
5,356 |
|
EUR |
|
|
7,000,139 |
|
|
USD |
|
|
7,446,735 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
175,728 |
|
GBP |
|
|
431,173 |
|
|
USD |
|
|
526,897 |
|
|
Bank of America N.A. |
|
|
06/15/23 |
|
|
|
5,756 |
|
GBP |
|
|
219,889 |
|
|
USD |
|
|
267,435 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/15/23 |
|
|
|
4,207 |
|
GBP |
|
|
548,091 |
|
|
USD |
|
|
659,474 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/15/23 |
|
|
|
17,616 |
|
GBP |
|
|
163,659 |
|
|
USD |
|
|
200,844 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/15/23 |
|
|
|
1,334 |
|
GBP |
|
|
170,742 |
|
|
USD |
|
|
205,519 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
5,409 |
|
JPY |
|
|
604,943,175 |
|
|
USD |
|
|
4,503,537 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/15/23 |
|
|
|
100,636 |
|
MXN |
|
|
86,569,730 |
|
|
USD |
|
|
4,707,308 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/15/23 |
|
|
|
30,259 |
|
MXN |
|
|
3,463,652 |
|
|
USD |
|
|
179,757 |
|
|
UBS AG |
|
|
06/15/23 |
|
|
|
9,793 |
|
USD |
|
|
739,668 |
|
|
CHF |
|
|
667,107 |
|
|
Bank of America N.A. |
|
|
06/15/23 |
|
|
|
4,882 |
|
USD |
|
|
819,939 |
|
|
CHF |
|
|
744,055 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
399 |
|
USD |
|
|
1,146,373 |
|
|
CHF |
|
|
1,037,429 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
3,696 |
|
USD |
|
|
4,382,531 |
|
|
EUR |
|
|
3,997,065 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
30,120 |
|
USD |
|
|
360,331 |
|
|
JPY |
|
|
47,185,369 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
1,207 |
|
USD |
|
|
506,543 |
|
|
JPY |
|
|
65,691,158 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
6,573 |
|
USD |
|
|
531,087 |
|
|
JPY |
|
|
69,591,776 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
1,430 |
|
BRL |
|
|
11,995,688 |
|
|
USD |
|
|
2,243,233 |
|
|
HSBC Bank PLC |
|
|
06/21/23 |
|
|
|
89,988 |
|
BRL |
|
|
9,924,251 |
|
|
USD |
|
|
1,900,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/21/23 |
|
|
|
30,316 |
|
COP |
|
|
10,807,443,780 |
|
|
USD |
|
|
2,237,566 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/21/23 |
|
|
|
46,998 |
|
HUF |
|
|
813,828,190 |
|
|
USD |
|
|
2,217,327 |
|
|
Bank of America N.A. |
|
|
06/21/23 |
|
|
|
49,693 |
|
17
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
Forward Foreign Currency Exchange Contracts (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
|
Currency Sold |
|
|
Counterparty |
|
Settlement Date |
|
|
Unrealized
Appreciation (Depreciation) |
|
MXN |
|
|
42,182,495 |
|
|
USD |
|
|
2,240,056 |
|
|
Citibank N.A. |
|
|
06/21/23 |
|
|
$ |
65,695 |
|
MXN |
|
|
90,889,096 |
|
|
USD |
|
|
4,780,391 |
|
|
Deutsche Bank AG |
|
|
06/21/23 |
|
|
|
187,727 |
|
MXN |
|
|
54,961,244 |
|
|
USD |
|
|
3,000,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/21/23 |
|
|
|
4,254 |
|
USD |
|
|
2,294,373 |
|
|
EUR |
|
|
2,105,818 |
|
|
UBS AG |
|
|
06/21/23 |
|
|
|
584 |
|
USD |
|
|
2,313,090 |
|
|
TWD |
|
|
69,473,658 |
|
|
HSBC Bank PLC |
|
|
06/21/23 |
|
|
|
19,660 |
|
ZAR |
|
|
33,719,191 |
|
|
USD |
|
|
1,800,000 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/21/23 |
|
|
|
80,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,396,337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
USD |
|
|
2,355,034 |
|
|
EUR |
|
|
2,213,362 |
|
|
HSBC Bank PLC |
|
|
06/14/23 |
|
|
|
(54,966 |
) |
USD |
|
|
692,020 |
|
|
EUR |
|
|
638,131 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/14/23 |
|
|
|
(2,804 |
) |
EUR |
|
|
1,201,746 |
|
|
USD |
|
|
1,314,157 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/15/23 |
|
|
|
(5,574 |
) |
USD |
|
|
6,364,350 |
|
|
AUD |
|
|
9,599,792 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/15/23 |
|
|
|
(69,404 |
) |
USD |
|
|
528,525 |
|
|
CAD |
|
|
718,022 |
|
|
Bank of America N.A. |
|
|
06/15/23 |
|
|
|
(3,372 |
) |
USD |
|
|
760,600 |
|
|
CAD |
|
|
1,034,281 |
|
|
HSBC Bank PLC |
|
|
06/15/23 |
|
|
|
(5,576 |
) |
USD |
|
|
752,457 |
|
|
CAD |
|
|
1,021,423 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/15/23 |
|
|
|
(4,193 |
) |
USD |
|
|
10,719,092 |
|
|
CAD |
|
|
14,759,816 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/15/23 |
|
|
|
(214,701 |
) |
USD |
|
|
545,539 |
|
|
CHF |
|
|
500,358 |
|
|
Bank of America N.A. |
|
|
06/15/23 |
|
|
|
(5,581 |
) |
USD |
|
|
752,525 |
|
|
CHF |
|
|
698,663 |
|
|
Bank of America N.A. |
|
|
06/15/23 |
|
|
|
(17,019 |
) |
USD |
|
|
957,124 |
|
|
CHF |
|
|
871,477 |
|
|
Barclays Bank PLC |
|
|
06/15/23 |
|
|
|
(2,765 |
) |
USD |
|
|
317,816 |
|
|
CHF |
|
|
288,806 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(289 |
) |
USD |
|
|
509,246 |
|
|
CHF |
|
|
464,476 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(2,352 |
) |
USD |
|
|
12,396,227 |
|
|
CHF |
|
|
11,490,425 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(259,913 |
) |
USD |
|
|
732,889 |
|
|
CHF |
|
|
668,380 |
|
|
Goldman Sachs International |
|
|
06/15/23 |
|
|
|
(3,300 |
) |
USD |
|
|
640,613 |
|
|
CHF |
|
|
584,585 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
(3,279 |
) |
USD |
|
|
819,613 |
|
|
CHF |
|
|
746,234 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
(2,328 |
) |
USD |
|
|
22,947,700 |
|
|
CNH |
|
|
159,078,048 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(332,298 |
) |
USD |
|
|
482,455 |
|
|
DKK |
|
|
3,371,861 |
|
|
HSBC Bank PLC |
|
|
06/15/23 |
|
|
|
(10,746 |
) |
USD |
|
|
427,098 |
|
|
EUR |
|
|
400,433 |
|
|
Barclays Bank PLC |
|
|
06/15/23 |
|
|
|
(8,934 |
) |
USD |
|
|
215,425,004 |
|
|
EUR |
|
|
202,504,412 |
|
|
Barclays Bank PLC |
|
|
06/15/23 |
|
|
|
(5,082,367 |
) |
USD |
|
|
251,873 |
|
|
EUR |
|
|
231,361 |
|
|
BNP Paribas SA |
|
|
06/15/23 |
|
|
|
(56 |
) |
USD |
|
|
253,964 |
|
|
EUR |
|
|
238,946 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(6,224 |
) |
USD |
|
|
261,105 |
|
|
EUR |
|
|
243,782 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(4,349 |
) |
USD |
|
|
600,894 |
|
|
EUR |
|
|
563,742 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(12,965 |
) |
USD |
|
|
837,250 |
|
|
EUR |
|
|
781,062 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(13,250 |
) |
USD |
|
|
882,212 |
|
|
EUR |
|
|
827,586 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(18,948 |
) |
USD |
|
|
249,889 |
|
|
EUR |
|
|
230,639 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
(1,254 |
) |
USD |
|
|
313,800 |
|
|
EUR |
|
|
288,421 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
(261 |
) |
USD |
|
|
519,890 |
|
|
EUR |
|
|
490,274 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
(13,970 |
) |
USD |
|
|
1,287,536 |
|
|
EUR |
|
|
1,203,292 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
(22,731 |
) |
USD |
|
|
228,657 |
|
|
GBP |
|
|
186,693 |
|
|
Bank of America N.A. |
|
|
06/15/23 |
|
|
|
(1,976 |
) |
USD |
|
|
248,122 |
|
|
GBP |
|
|
201,773 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(1,141 |
) |
USD |
|
|
481,409 |
|
|
GBP |
|
|
390,654 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(1,189 |
) |
USD |
|
|
58,855,359 |
|
|
GBP |
|
|
49,241,622 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(1,975,733 |
) |
USD |
|
|
315,209 |
|
|
GBP |
|
|
263,760 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/15/23 |
|
|
|
(10,630 |
) |
USD |
|
|
477,928 |
|
|
GBP |
|
|
395,112 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/15/23 |
|
|
|
(10,177 |
) |
USD |
|
|
617,029 |
|
|
GBP |
|
|
499,549 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/15/23 |
|
|
|
(93 |
) |
USD |
|
|
507,376 |
|
|
GBP |
|
|
419,778 |
|
|
Morgan Stanley & Co. International PLC |
|
|
06/15/23 |
|
|
|
(11,201 |
) |
USD |
|
|
435,490 |
|
|
GBP |
|
|
352,982 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
(570 |
) |
USD |
|
|
15,904,789 |
|
|
HKD |
|
|
124,464,631 |
|
|
State Street Bank and Trust Co. |
|
|
06/15/23 |
|
|
|
(4,453 |
) |
USD |
|
|
803,533 |
|
|
JPY |
|
|
107,933,648 |
|
|
Bank of America N.A. |
|
|
06/15/23 |
|
|
|
(17,941 |
) |
USD |
|
|
25,285,795 |
|
|
JPY |
|
|
3,396,400,596 |
|
|
Barclays Bank PLC |
|
|
06/15/23 |
|
|
|
(563,931 |
) |
USD |
|
|
189,648 |
|
|
JPY |
|
|
25,127,804 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(1,598 |
) |
USD |
|
|
1,120,334 |
|
|
JPY |
|
|
147,530,579 |
|
|
HSBC Bank PLC |
|
|
06/15/23 |
|
|
|
(2,509 |
) |
USD |
|
|
1,184,381 |
|
|
MXN |
|
|
21,777,383 |
|
|
Deutsche Bank AG |
|
|
06/15/23 |
|
|
|
(7,396 |
) |
USD |
|
|
177,632 |
|
|
NOK |
|
|
1,881,150 |
|
|
HSBC Bank PLC |
|
|
06/15/23 |
|
|
|
(2,627 |
) |
USD |
|
|
391,982 |
|
|
SEK |
|
|
4,178,345 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/15/23 |
|
|
|
(12,107 |
) |
USD |
|
|
1,827,426 |
|
|
BRL |
|
|
9,782,211 |
|
|
Barclays Bank PLC |
|
|
06/21/23 |
|
|
|
(75,263 |
) |
USD |
|
|
1,839,525 |
|
|
BRL |
|
|
9,677,741 |
|
|
Citibank N.A. |
|
|
06/21/23 |
|
|
|
(42,844 |
) |
USD |
|
|
904,393 |
|
|
BRL |
|
|
4,874,398 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/21/23 |
|
|
|
(43,702 |
) |
USD |
|
|
2,295,132 |
|
|
CNH |
|
|
15,681,030 |
|
|
Goldman Sachs International |
|
|
06/21/23 |
|
|
|
(820 |
) |
USD |
|
|
3,418,095 |
|
|
EUR |
|
|
3,163,951 |
|
|
Deutsche Bank AG |
|
|
06/21/23 |
|
|
|
(28,279 |
) |
USD |
|
|
2,230,049 |
|
|
EUR |
|
|
2,081,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/21/23 |
|
|
|
(36,707 |
) |
|
|
|
C O N S O L I D A T E D S C H E D
U L E O F I N V E S T M E N T S |
|
18 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
Forward Foreign Currency Exchange Contracts (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
|
Currency Sold |
|
|
Counterparty |
|
Settlement Date |
|
|
Unrealized Appreciation (Depreciation) |
|
USD |
|
|
2,287,965 |
|
|
EUR |
|
|
2,152,000 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/21/23 |
|
|
$ |
(56,129 |
) |
USD |
|
|
2,294,729 |
|
|
GBP |
|
|
1,865,573 |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/21/23 |
|
|
|
(10,161 |
) |
USD |
|
|
1,827,426 |
|
|
MXN |
|
|
35,176,123 |
|
|
Citibank N.A. |
|
|
06/21/23 |
|
|
|
(95,347 |
) |
USD |
|
|
904,393 |
|
|
MXN |
|
|
17,478,751 |
|
|
Goldman Sachs International |
|
|
06/21/23 |
|
|
|
(51,019 |
) |
USD |
|
|
1,839,525 |
|
|
MXN |
|
|
34,480,792 |
|
|
Goldman Sachs International |
|
|
06/21/23 |
|
|
|
(45,240 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(9,296,552 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(7,900,215 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Caps/Floors Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Exercise Rate |
|
|
Counterparty |
|
|
Expiration Date |
|
Notional Amount (000) |
|
|
Value |
|
|
Premiums Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5Y-30Y CMS Index Cap |
|
|
0.07 |
% |
|
|
Goldman Sachs International |
|
|
09/27/23 |
|
|
USD 120,008 |
|
|
$ |
152,160 |
|
|
$ |
210,014 |
|
|
$ |
(57,854 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust |
|
|
390 |
|
|
|
04/06/23 |
|
|
|
USD |
|
|
|
407.00 |
|
|
|
USD |
|
|
|
15,966 |
|
|
$ |
181,155 |
|
Advanced Micro Devices, Inc. |
|
|
84 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
85.00 |
|
|
|
USD |
|
|
|
823 |
|
|
|
117,239 |
|
Advanced Micro Devices, Inc. |
|
|
36 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
95.00 |
|
|
|
USD |
|
|
|
353 |
|
|
|
21,330 |
|
Advanced Micro Devices, Inc. |
|
|
217 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
90.00 |
|
|
|
USD |
|
|
|
2,127 |
|
|
|
207,235 |
|
Alphabet Inc., Class C |
|
|
250 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
95.00 |
|
|
|
USD |
|
|
|
2,600 |
|
|
|
242,500 |
|
Apple, Inc. |
|
|
196 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
155.00 |
|
|
|
USD |
|
|
|
3,232 |
|
|
|
213,640 |
|
Bank of America Corp. |
|
|
161 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
36.00 |
|
|
|
USD |
|
|
|
460 |
|
|
|
242 |
|
BNP Paribas SA |
|
|
52 |
|
|
|
04/21/23 |
|
|
|
EUR |
|
|
|
66.00 |
|
|
|
EUR |
|
|
|
287 |
|
|
|
310 |
|
Bunge Ltd. |
|
|
35 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
100.00 |
|
|
|
USD |
|
|
|
334 |
|
|
|
2,800 |
|
Charles Schwab Corp. |
|
|
118 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
82.50 |
|
|
|
USD |
|
|
|
618 |
|
|
|
649 |
|
Chipotle Mexican Grill, Inc. |
|
|
6 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
1,550.00 |
|
|
|
USD |
|
|
|
1,025 |
|
|
|
99,900 |
|
Chubb Ltd. |
|
|
30 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
220.00 |
|
|
|
USD |
|
|
|
583 |
|
|
|
1,725 |
|
Constellation Brands, Inc., Class A |
|
|
113 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
240.00 |
|
|
|
USD |
|
|
|
2,553 |
|
|
|
14,125 |
|
Costco Wholesale Corp. |
|
|
14 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
500.00 |
|
|
|
USD |
|
|
|
696 |
|
|
|
11,865 |
|
Deere & Co. |
|
|
11 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
440.00 |
|
|
|
USD |
|
|
|
454 |
|
|
|
1,177 |
|
EOG Resources, Inc. |
|
|
80 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
157.50 |
|
|
|
USD |
|
|
|
917 |
|
|
|
89,976 |
|
Euro Stoxx 50 |
|
|
40 |
|
|
|
04/21/23 |
|
|
|
EUR |
|
|
|
4,400.00 |
|
|
|
EUR |
|
|
|
1,726 |
|
|
|
11,322 |
|
Intuit, Inc. |
|
|
54 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
430.00 |
|
|
|
USD |
|
|
|
2,407 |
|
|
|
122,850 |
|
Invesco QQQ Trust, Series 1 |
|
|
280 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
320.00 |
|
|
|
USD |
|
|
|
8,986 |
|
|
|
207,200 |
|
Lowes Cos., Inc. |
|
|
54 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
230.00 |
|
|
|
USD |
|
|
|
1,080 |
|
|
|
405 |
|
Mastercard, Inc., Class A |
|
|
26 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
370.00 |
|
|
|
USD |
|
|
|
945 |
|
|
|
10,335 |
|
Microsoft Corp. |
|
|
87 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
280.00 |
|
|
|
USD |
|
|
|
2,508 |
|
|
|
105,270 |
|
Microsoft Corp. |
|
|
37 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
260.00 |
|
|
|
USD |
|
|
|
1,067 |
|
|
|
107,022 |
|
Morgan Stanley |
|
|
31 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
100.00 |
|
|
|
USD |
|
|
|
272 |
|
|
|
295 |
|
NextEra Energy, Inc. |
|
|
117 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
75.00 |
|
|
|
USD |
|
|
|
902 |
|
|
|
39,780 |
|
Nice Ltd. |
|
|
25 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
220.00 |
|
|
|
USD |
|
|
|
572 |
|
|
|
29,375 |
|
Northrop Grumman Corp. |
|
|
18 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
490.00 |
|
|
|
USD |
|
|
|
831 |
|
|
|
1,305 |
|
Rockwell Automation, Inc. |
|
|
15 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
290.00 |
|
|
|
USD |
|
|
|
440 |
|
|
|
14,400 |
|
Shell PLC, ADR |
|
|
344 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
60.00 |
|
|
|
USD |
|
|
|
1,979 |
|
|
|
17,200 |
|
Shell PLC, ADR |
|
|
221 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
62.50 |
|
|
|
USD |
|
|
|
1,272 |
|
|
|
3,315 |
|
SPDR S&P 500 ETF Trust |
|
|
236 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
405.00 |
|
|
|
USD |
|
|
|
9,662 |
|
|
|
231,870 |
|
Starbucks Corp. |
|
|
47 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
105.00 |
|
|
|
USD |
|
|
|
489 |
|
|
|
8,625 |
|
Tesla, Inc. |
|
|
83 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
175.00 |
|
|
|
USD |
|
|
|
1,722 |
|
|
|
293,820 |
|
Union Pacific Corp. |
|
|
55 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
220.00 |
|
|
|
USD |
|
|
|
1,107 |
|
|
|
1,788 |
|
Walmart, Inc. |
|
|
30 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
145.00 |
|
|
|
USD |
|
|
|
442 |
|
|
|
12,675 |
|
Walt Disney Co. |
|
|
75 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
105.00 |
|
|
|
USD |
|
|
|
751 |
|
|
|
6,375 |
|
Wells Fargo & Co. |
|
|
107 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
50.00 |
|
|
|
USD |
|
|
|
400 |
|
|
|
161 |
|
Xtrackers Harvest CSI 300 China A-Shares Fund |
|
|
900 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
33.00 |
|
|
|
USD |
|
|
|
2,653 |
|
|
|
4,050 |
|
19
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
Exchange-Traded Options Purchased (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Xtrackers Harvest CSI 300 China A-Shares Fund |
|
|
593 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
32.00 |
|
|
|
USD |
|
|
|
1,748 |
|
|
$ |
3,262 |
|
Invesco QQQ Trust, Series 1 |
|
|
148 |
|
|
|
04/28/23 |
|
|
|
USD |
|
|
|
310.00 |
|
|
|
USD |
|
|
|
4,750 |
|
|
|
233,174 |
|
3-Month SOFR Future |
|
|
246 |
|
|
|
05/12/23 |
|
|
|
USD |
|
|
|
96.00 |
|
|
|
USD |
|
|
|
59,341 |
|
|
|
324,412 |
|
Advanced Micro Devices, Inc. |
|
|
178 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
105.00 |
|
|
|
USD |
|
|
|
1,745 |
|
|
|
76,985 |
|
Alphabet Inc., Class C |
|
|
109 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
100.00 |
|
|
|
USD |
|
|
|
1,134 |
|
|
|
86,382 |
|
Amazon.com, Inc. |
|
|
109 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
100.00 |
|
|
|
USD |
|
|
|
1,126 |
|
|
|
90,197 |
|
Apple, Inc. |
|
|
87 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
160.00 |
|
|
|
USD |
|
|
|
1,435 |
|
|
|
84,607 |
|
Apple, Inc. |
|
|
108 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
170.00 |
|
|
|
USD |
|
|
|
1,781 |
|
|
|
43,740 |
|
Charles Schwab Corp. |
|
|
220 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
70.00 |
|
|
|
USD |
|
|
|
1,152 |
|
|
|
4,510 |
|
ConocoPhillips |
|
|
344 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
120.00 |
|
|
|
USD |
|
|
|
3,413 |
|
|
|
10,320 |
|
ConocoPhillips |
|
|
163 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
110.00 |
|
|
|
USD |
|
|
|
1,617 |
|
|
|
22,983 |
|
Delta Air Lines, Inc. |
|
|
254 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
35.00 |
|
|
|
USD |
|
|
|
887 |
|
|
|
48,641 |
|
Euro Stoxx 50 |
|
|
23 |
|
|
|
05/19/23 |
|
|
|
EUR |
|
|
|
4,100.00 |
|
|
|
EUR |
|
|
|
992 |
|
|
|
55,449 |
|
Euro Stoxx Banks |
|
|
154 |
|
|
|
05/19/23 |
|
|
|
EUR |
|
|
|
102.00 |
|
|
|
EUR |
|
|
|
785 |
|
|
|
31,315 |
|
General Dynamics Corp. |
|
|
34 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
230.00 |
|
|
|
USD |
|
|
|
776 |
|
|
|
20,230 |
|
Lockheed Martin Corp. |
|
|
17 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
500.00 |
|
|
|
USD |
|
|
|
804 |
|
|
|
7,310 |
|
Mercedes-Benz Group AG |
|
|
244 |
|
|
|
05/19/23 |
|
|
|
EUR |
|
|
|
76.00 |
|
|
|
EUR |
|
|
|
1,727 |
|
|
|
17,862 |
|
Microsoft Corp. |
|
|
54 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
270.00 |
|
|
|
USD |
|
|
|
1,557 |
|
|
|
132,030 |
|
Nestle SA |
|
|
249 |
|
|
|
05/19/23 |
|
|
|
CHF |
|
|
|
110.00 |
|
|
|
CHF |
|
|
|
2,775 |
|
|
|
130,358 |
|
Nike, Inc., Class B |
|
|
68 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
125.00 |
|
|
|
USD |
|
|
|
834 |
|
|
|
25,670 |
|
Northrop Grumman Corp. |
|
|
6 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
500.00 |
|
|
|
USD |
|
|
|
277 |
|
|
|
2,025 |
|
NVIDIA Corp. |
|
|
65 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
295.00 |
|
|
|
USD |
|
|
|
1,806 |
|
|
|
71,012 |
|
salesforce.com, Inc. |
|
|
65 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
200.00 |
|
|
|
USD |
|
|
|
1,299 |
|
|
|
60,450 |
|
Tesla, Inc. |
|
|
162 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
180.00 |
|
|
|
USD |
|
|
|
3,361 |
|
|
|
578,340 |
|
United Airlines Holdings, Inc. |
|
|
127 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
45.00 |
|
|
|
USD |
|
|
|
562 |
|
|
|
32,830 |
|
Alphabet Inc., Class C |
|
|
162 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
110.00 |
|
|
|
USD |
|
|
|
1,685 |
|
|
|
64,800 |
|
Charles Schwab Corp. |
|
|
259 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
65.00 |
|
|
|
USD |
|
|
|
1,357 |
|
|
|
21,497 |
|
CVS Health Corp. |
|
|
31 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
85.00 |
|
|
|
USD |
|
|
|
230 |
|
|
|
1,132 |
|
Delta Air Lines, Inc. |
|
|
322 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
35.00 |
|
|
|
USD |
|
|
|
1,124 |
|
|
|
78,246 |
|
Health Care Select Sector SPDR Fund |
|
|
79 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
138.00 |
|
|
|
USD |
|
|
|
1,023 |
|
|
|
5,293 |
|
Intuit, Inc. |
|
|
46 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
440.00 |
|
|
|
USD |
|
|
|
2,051 |
|
|
|
153,870 |
|
JPMorgan Chase & Co. |
|
|
216 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
135.00 |
|
|
|
USD |
|
|
|
2,815 |
|
|
|
89,640 |
|
salesforce.com, Inc. |
|
|
62 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
200.00 |
|
|
|
USD |
|
|
|
1,239 |
|
|
|
84,320 |
|
Uber Technologies, Inc. |
|
|
277 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
40.00 |
|
|
|
USD |
|
|
|
878 |
|
|
|
11,773 |
|
United Airlines Holdings, Inc. |
|
|
323 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
46.00 |
|
|
|
USD |
|
|
|
1,429 |
|
|
|
90,601 |
|
Walt Disney Co. |
|
|
162 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
105.00 |
|
|
|
USD |
|
|
|
1,622 |
|
|
|
63,990 |
|
Waste Management, Inc. |
|
|
79 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
165.00 |
|
|
|
USD |
|
|
|
1,289 |
|
|
|
40,685 |
|
Kroger Co. |
|
|
155 |
|
|
|
07/21/23 |
|
|
|
USD |
|
|
|
50.00 |
|
|
|
USD |
|
|
|
765 |
|
|
|
38,208 |
|
Tesla, Inc. |
|
|
87 |
|
|
|
08/18/23 |
|
|
|
USD |
|
|
|
210.00 |
|
|
|
USD |
|
|
|
1,805 |
|
|
|
258,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,632,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3-Month SOFR Future |
|
|
286 |
|
|
|
04/14/23 |
|
|
|
USD |
|
|
|
95.00 |
|
|
|
USD |
|
|
|
68,014 |
|
|
|
32,175 |
|
3-Month SOFR Future |
|
|
338 |
|
|
|
04/14/23 |
|
|
|
USD |
|
|
|
95.81 |
|
|
|
USD |
|
|
|
81,534 |
|
|
|
16,900 |
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
1,333 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
73.00 |
|
|
|
USD |
|
|
|
10,071 |
|
|
|
29,326 |
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
2,449 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
72.00 |
|
|
|
USD |
|
|
|
18,502 |
|
|
|
29,388 |
|
iShares iBoxx $ Investment Grade Corporate Bond ETF |
|
|
1,182 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
105.00 |
|
|
|
USD |
|
|
|
12,956 |
|
|
|
15,957 |
|
iShares iBoxx $ Investment Grade Corporate Bond ETF |
|
|
3,699 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
104.00 |
|
|
|
USD |
|
|
|
40,545 |
|
|
|
36,990 |
|
iShares Russell 2000 ETF |
|
|
1,532 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
155.00 |
|
|
|
USD |
|
|
|
27,331 |
|
|
|
28,342 |
|
Lloyds Banking Group PLC |
|
|
1,625 |
|
|
|
04/21/23 |
|
|
|
GBP |
|
|
|
0.50 |
|
|
|
GBP |
|
|
|
775 |
|
|
|
79,182 |
|
PulteGroup, Inc. |
|
|
108 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
50.00 |
|
|
|
USD |
|
|
|
629 |
|
|
|
1,620 |
|
SPDR S&P 500 ETF Trust |
|
|
428 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
363.00 |
|
|
|
USD |
|
|
|
17,522 |
|
|
|
13,482 |
|
SPDR S&P Regional Banking ETF |
|
|
395 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
45.00 |
|
|
|
USD |
|
|
|
1,732 |
|
|
|
102,502 |
|
ConocoPhillips |
|
|
217 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
100.00 |
|
|
|
USD |
|
|
|
2,153 |
|
|
|
117,722 |
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
726 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
72.00 |
|
|
|
USD |
|
|
|
5,485 |
|
|
|
30,855 |
|
iShares Russell 2000 ETF |
|
|
271 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
168.00 |
|
|
|
USD |
|
|
|
4,835 |
|
|
|
63,549 |
|
3-Month SOFR Future |
|
|
197 |
|
|
|
03/15/24 |
|
|
|
USD |
|
|
|
95.75 |
|
|
|
USD |
|
|
|
47,346 |
|
|
|
249,944 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
847,934 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
6,480,214 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
C O N S O L I D A T E D S C H E D
U L E O F I N V E S T M E N T S |
|
20 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
OTC Barrier Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Type of Option |
|
Counterparty |
|
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Barrier
Price/Range |
|
|
Notional Amount
(000) |
|
|
Value |
|
|
|
|
|
|
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Euro Stoxx 50 |
|
Down-and-in |
|
|
Citibank N.A. |
|
|
|
384 |
|
|
|
04/21/23 |
|
|
|
EUR |
|
|
|
4,100.00 |
|
|
|
EUR |
|
|
|
3,971.00 |
|
|
|
EUR |
|
|
|
1,575 |
|
|
$ |
799 |
|
|
|
EUR Currency |
|
Up-and-out |
|
|
HSBC Bank PLC |
|
|
|
|
|
|
|
06/27/23 |
|
|
|
USD |
|
|
|
1.09 |
|
|
|
USD |
|
|
|
1.10 |
|
|
|
EUR |
|
|
|
3,887 |
|
|
|
16,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GBP Currency |
|
One Touch |
|
|
JPMorgan Chase Bank N.A. |
|
|
|
|
|
|
|
05/11/23 |
|
|
|
USD |
|
|
|
1.00 |
|
|
|
USD |
|
|
|
1.00 |
|
|
|
GBP |
|
|
|
415 |
|
|
|
82 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
16,976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ING Groep NV |
|
Goldman Sachs International |
|
|
73,000 |
|
|
|
05/19/23 |
|
|
|
EUR |
|
|
|
11.50 |
|
|
|
EUR |
|
|
|
798 |
|
|
$ |
15,747 |
|
TOPIX Banks Index |
|
BNP Paribas SA |
|
|
378,103 |
|
|
|
07/14/23 |
|
|
|
JPY |
|
|
|
218.87 |
|
|
|
JPY |
|
|
|
71,083 |
|
|
|
9,062 |
|
TOPIX Banks Index |
|
Goldman Sachs International |
|
|
629,919 |
|
|
|
07/14/23 |
|
|
|
JPY |
|
|
|
226.71 |
|
|
|
JPY |
|
|
|
118,425 |
|
|
|
10,333 |
|
TOPIX Banks Index |
|
JPMorgan Chase Bank N.A. |
|
|
252,321 |
|
|
|
07/14/23 |
|
|
|
JPY |
|
|
|
227.60 |
|
|
|
JPY |
|
|
|
47,436 |
|
|
|
3,961 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Select Sector SPDR Fund |
|
Citibank N.A. |
|
|
218,100 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
29.00 |
|
|
|
USD |
|
|
|
7,012 |
|
|
|
19,629 |
|
USD Currency |
|
Deutsche Bank AG |
|
|
|
|
|
|
05/04/23 |
|
|
|
MXN |
|
|
|
18.00 |
|
|
|
USD |
|
|
|
3,824 |
|
|
|
38,032 |
|
USD Currency |
|
Bank of America N.A. |
|
|
|
|
|
|
05/25/23 |
|
|
|
MXN |
|
|
|
18.25 |
|
|
|
USD |
|
|
|
14,362 |
|
|
|
280,966 |
|
USD Currency |
|
Bank of America N.A. |
|
|
|
|
|
|
05/29/23 |
|
|
|
JPY |
|
|
|
130.00 |
|
|
|
USD |
|
|
|
9,740 |
|
|
|
137,652 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
476,279 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
515,382 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Dual Binary Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description(a) |
|
Counterparty |
|
Units |
|
|
Expiration Date |
|
|
Notional
Amount (000) |
|
|
Value |
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payout at expiry if S&P 500 <= 3848.02 and 2-year swap
>= 4.99(b) |
|
Citibank N.A. |
|
|
395,402 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
1,521,515 |
|
|
$ |
5,477 |
|
Payout at expiry if S&P 500 <= 3848.02 and 2-year swap
>= 5.09(b) |
|
Citibank N.A. |
|
|
395,402 |
|
|
|
05/19/23 |
|
|
|
USD |
|
|
|
1,521,515 |
|
|
|
8,106 |
|
Payout at expiry if S&P 500 <= 3848.02 and 2-year swap
>= 4.92(b) |
|
Citibank N.A. |
|
|
395,402 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
1,521,515 |
|
|
|
3,608 |
|
Payout at expiry if S&P 500 <= 3848.02 and 2-year swap
>= 5.02(b) |
|
Citibank N.A. |
|
|
395,402 |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
1,521,515 |
|
|
|
10,432 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
27,623 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Option only pays if both terms are met on the expiration date. |
|
|
(b) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
|
|
OTC Interest Rate Swaptions Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Rate |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Rate |
|
|
Frequency |
|
Rate |
|
|
Frequency |
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10-Year Interest Rate Swap, 08/09/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
2.85% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
08/07/23 |
|
|
|
2.85 |
% |
|
|
USD |
|
|
|
9,964 |
|
|
$ |
133,616 |
|
2-Year Interest Rate Swap, 08/24/23 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.10% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
08/22/23 |
|
|
|
3.10 |
|
|
|
USD |
|
|
|
29,077 |
|
|
|
227,087 |
|
2-Year Interest Rate Swap, 09/07/23 |
|
|
1-Day SONIA, 4.18% |
|
|
Quarterly |
|
|
3.25% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
09/05/23 |
|
|
|
3.25 |
|
|
|
USD |
|
|
|
57,664 |
|
|
|
722,539 |
|
10-Year Interest Rate Swap, 09/23/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
2.81% |
|
|
Semi-Annual |
|
Morgan Stanley & Co. International PLC |
|
|
09/21/23 |
|
|
|
2.81 |
|
|
|
USD |
|
|
|
7,177 |
|
|
|
112,632 |
|
10-Year Interest Rate Swap, 09/24/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
2.80% |
|
|
Semi-Annual |
|
Morgan Stanley & Co. International PLC |
|
|
09/22/23 |
|
|
|
2.80 |
|
|
|
USD |
|
|
|
3,073 |
|
|
|
47,563 |
|
10-Year Interest Rate Swap, 10/26/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.05% |
|
|
Semi-Annual |
|
Citibank N.A. |
|
|
10/24/23 |
|
|
|
3.05 |
|
|
|
USD |
|
|
|
11,317 |
|
|
|
296,840 |
|
21
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
OTC Interest Rate Swaptions Purchased (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Rate |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Rate |
|
|
Frequency |
|
Rate |
|
|
Frequency |
Call (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10-Year Interest Rate Swap, 11/01/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
2.90% |
|
|
Semi-Annual |
|
JPMorgan Chase Bank N.A. |
|
|
10/30/23 |
|
|
|
2.90 |
% |
|
|
USD |
|
|
|
11,317 |
|
|
$ |
239,374 |
|
10-Year Interest Rate Swap, 11/09/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
2.82% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
11/07/23 |
|
|
|
2.82 |
|
|
|
USD |
|
|
|
4,692 |
|
|
|
89,615 |
|
30-Year Interest Rate Swap, 11/16/53 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
2.85% |
|
|
Semi-Annual |
|
Citibank N.A. |
|
|
11/14/23 |
|
|
|
2.85 |
|
|
|
USD |
|
|
|
3,571 |
|
|
|
176,356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,045,622 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10-Year Interest Rate Swap, 04/05/33 |
|
|
3.80% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
04/03/23 |
|
|
|
3.80 |
|
|
|
USD |
|
|
|
9,594 |
|
|
|
|
|
1-Year Interest Rate Swap, 04/03/24 |
|
|
2.47% |
|
|
Annual |
|
|
1-Day SONIA, 4.18% |
|
|
Annual |
|
Goldman Sachs International |
|
|
04/03/23 |
|
|
|
2.47 |
|
|
|
GBP |
|
|
|
46,645 |
|
|
|
1,145,976 |
|
10-Year Interest Rate Swap, 10/26/33 |
|
|
4.55% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
Citibank N.A. |
|
|
10/24/23 |
|
|
|
4.55 |
|
|
|
USD |
|
|
|
11,317 |
|
|
|
27,016 |
|
10-Year Interest Rate Swap, 11/01/33 |
|
|
4.40% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
10/30/23 |
|
|
|
4.40 |
|
|
|
USD |
|
|
|
11,317 |
|
|
|
36,806 |
|
10-Year Interest Rate Swap, 11/09/33 |
|
|
4.82% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
Goldman Sachs International |
|
|
11/07/23 |
|
|
|
4.82 |
|
|
|
USD |
|
|
|
4,692 |
|
|
|
8,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,217,888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
3,263,510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Caps/Floors Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Excercise
Rate |
|
|
Counterparty |
|
|
Expiration Date |
|
Notional Amount (000) |
|
|
Value |
|
|
Premiums Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5Y-30Y CMS Index Cap |
|
|
0.57 |
% |
|
|
Goldman Sachs International |
|
|
09/27/23 |
|
|
USD 120,008 |
|
|
$ |
(43,947 |
) |
|
$ |
(61,641 |
) |
|
$ |
17,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5Y-30Y CMS Index Floor |
|
|
0.68 |
% |
|
|
Goldman Sachs International |
|
|
09/27/23 |
|
|
USD 120,008 |
|
|
|
(624,707 |
) |
|
|
(120,008 |
) |
|
|
(504,699 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(668,654 |
) |
|
$ |
(181,649 |
) |
|
$ |
(487,005 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange-Traded Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust |
|
|
390 |
|
|
|
04/06/23 |
|
|
|
USD |
|
|
|
414.00 |
|
|
|
USD |
|
|
|
15,966 |
|
|
$ |
(43,875 |
) |
Advanced Micro Devices, Inc. |
|
|
120 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
110.00 |
|
|
|
USD |
|
|
|
1,176 |
|
|
|
(7,320 |
) |
Advanced Micro Devices, Inc. |
|
|
326 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
105.00 |
|
|
|
USD |
|
|
|
3,195 |
|
|
|
(47,922 |
) |
Alphabet Inc., Class C |
|
|
250 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
105.00 |
|
|
|
USD |
|
|
|
2,600 |
|
|
|
(60,250 |
) |
Bank of America Corp. |
|
|
161 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
40.00 |
|
|
|
USD |
|
|
|
460 |
|
|
|
(161 |
) |
Bunge Ltd. |
|
|
46 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
110.00 |
|
|
|
USD |
|
|
|
774 |
|
|
|
(690 |
) |
Charles Schwab Corp. |
|
|
118 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
90.00 |
|
|
|
USD |
|
|
|
618 |
|
|
|
(295 |
) |
Chipotle Mexican Grill, Inc. |
|
|
6 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
1,680.00 |
|
|
|
USD |
|
|
|
1,025 |
|
|
|
(33,690 |
) |
Chubb Ltd. |
|
|
30 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
240.00 |
|
|
|
USD |
|
|
|
583 |
|
|
|
(14,400 |
) |
Constellation Brands, Inc., Class A |
|
|
22 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
260.00 |
|
|
|
USD |
|
|
|
497 |
|
|
|
(1,210 |
) |
EOG Resources, Inc. |
|
|
80 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
177.50 |
|
|
|
USD |
|
|
|
917 |
|
|
|
(800 |
) |
Invesco QQQ Trust, Series 1 |
|
|
280 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
335.00 |
|
|
|
USD |
|
|
|
8,986 |
|
|
|
(40,880 |
) |
Lloyds Banking Group PLC |
|
|
1,625 |
|
|
|
04/21/23 |
|
|
|
GBP |
|
|
|
0.58 |
|
|
|
GBP |
|
|
|
775 |
|
|
|
(42,097 |
) |
Mastercard, Inc., Class A |
|
|
26 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
400.00 |
|
|
|
USD |
|
|
|
945 |
|
|
|
(312 |
) |
Morgan Stanley |
|
|
31 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
110.00 |
|
|
|
USD |
|
|
|
272 |
|
|
|
(78 |
) |
NextEra Energy, Inc. |
|
|
117 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
80.00 |
|
|
|
USD |
|
|
|
902 |
|
|
|
(8,775 |
) |
Nice Ltd. |
|
|
25 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
240.00 |
|
|
|
USD |
|
|
|
572 |
|
|
|
(4,688 |
) |
Northrop Grumman Corp. |
|
|
18 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
540.00 |
|
|
|
USD |
|
|
|
831 |
|
|
|
(7,740 |
) |
Schlumberger Ltd. |
|
|
164 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
57.50 |
|
|
|
USD |
|
|
|
805 |
|
|
|
(1,968 |
) |
SPDR S&P 500 ETF Trust |
|
|
236 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
415.00 |
|
|
|
USD |
|
|
|
9,662 |
|
|
|
(95,344 |
) |
Starbucks Corp. |
|
|
47 |
|
|
|
04/21/23 |
|
|
|
USD |
|
|
|
115.00 |
|
|
|
USD |
|
|
|
489 |
|
|
|
(494 |
) |
|
|
|
C O N S O L I D A T E D S C H E D
U L E O F I N V E S T M E N T S |
|
22 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
Exchange-Traded Options Written (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tesla, Inc. |
|
|
83 |
|
|
|
04/21/23 |
|
|
USD |
|
|
208.33 |
|
|
USD |
|
|
1,722 |
|
|
$ |
(102,090 |
) |
Wells Fargo & Co. |
|
|
107 |
|
|
|
04/21/23 |
|
|
USD |
|
|
55.00 |
|
|
USD |
|
|
400 |
|
|
|
(107 |
) |
Xtrackers Harvest CSI 300 China A-Shares Fund |
|
|
900 |
|
|
|
04/21/23 |
|
|
USD |
|
|
37.00 |
|
|
USD |
|
|
2,653 |
|
|
|
(5,400 |
) |
Xtrackers Harvest CSI 300 China A-Shares Fund |
|
|
593 |
|
|
|
04/21/23 |
|
|
USD |
|
|
35.00 |
|
|
USD |
|
|
1,748 |
|
|
|
(1,779 |
) |
3-Month SOFR Future |
|
|
246 |
|
|
|
05/12/23 |
|
|
USD |
|
|
96.50 |
|
|
USD |
|
|
59,341 |
|
|
|
(166,050 |
) |
Advanced Micro Devices, Inc. |
|
|
178 |
|
|
|
05/19/23 |
|
|
USD |
|
|
120.00 |
|
|
USD |
|
|
1,745 |
|
|
|
(19,580 |
) |
Alphabet Inc., Class C |
|
|
109 |
|
|
|
05/19/23 |
|
|
USD |
|
|
110.00 |
|
|
USD |
|
|
1,134 |
|
|
|
(31,991 |
) |
Alphabet Inc., Class C |
|
|
215 |
|
|
|
05/19/23 |
|
|
USD |
|
|
115.00 |
|
|
USD |
|
|
2,236 |
|
|
|
(33,540 |
) |
Amazon.com, Inc. |
|
|
109 |
|
|
|
05/19/23 |
|
|
USD |
|
|
110.00 |
|
|
USD |
|
|
1,126 |
|
|
|
(37,060 |
) |
Apple, Inc. |
|
|
87 |
|
|
|
05/19/23 |
|
|
USD |
|
|
175.00 |
|
|
USD |
|
|
1,435 |
|
|
|
(19,444 |
) |
Bank of America Corp. |
|
|
324 |
|
|
|
05/19/23 |
|
|
USD |
|
|
31.00 |
|
|
USD |
|
|
927 |
|
|
|
(15,714 |
) |
CF Industries Holdings, Inc. |
|
|
151 |
|
|
|
05/19/23 |
|
|
USD |
|
|
80.00 |
|
|
USD |
|
|
1,095 |
|
|
|
(21,517 |
) |
Charles Schwab Corp. |
|
|
439 |
|
|
|
05/19/23 |
|
|
USD |
|
|
80.00 |
|
|
USD |
|
|
2,299 |
|
|
|
(2,415 |
) |
ConocoPhillips |
|
|
70 |
|
|
|
05/19/23 |
|
|
USD |
|
|
140.00 |
|
|
USD |
|
|
694 |
|
|
|
(280 |
) |
ConocoPhillips |
|
|
163 |
|
|
|
05/19/23 |
|
|
USD |
|
|
125.00 |
|
|
USD |
|
|
1,617 |
|
|
|
(2,690 |
) |
Dexcom, Inc. |
|
|
81 |
|
|
|
05/19/23 |
|
|
USD |
|
|
130.00 |
|
|
USD |
|
|
941 |
|
|
|
(20,857 |
) |
EQT Corp. |
|
|
560 |
|
|
|
05/19/23 |
|
|
USD |
|
|
35.00 |
|
|
USD |
|
|
1,787 |
|
|
|
(67,760 |
) |
Freeport-McMoRan, Inc. |
|
|
323 |
|
|
|
05/19/23 |
|
|
USD |
|
|
42.00 |
|
|
USD |
|
|
1,321 |
|
|
|
(68,153 |
) |
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
726 |
|
|
|
05/19/23 |
|
|
USD |
|
|
76.00 |
|
|
USD |
|
|
5,485 |
|
|
|
(47,553 |
) |
Marathon Oil Corp. |
|
|
645 |
|
|
|
05/19/23 |
|
|
USD |
|
|
26.00 |
|
|
USD |
|
|
1,545 |
|
|
|
(46,117 |
) |
Mercedes-Benz Group AG |
|
|
244 |
|
|
|
05/19/23 |
|
|
EUR |
|
|
82.00 |
|
|
EUR |
|
|
1,727 |
|
|
|
(2,117 |
) |
Microsoft Corp. |
|
|
54 |
|
|
|
05/19/23 |
|
|
USD |
|
|
290.00 |
|
|
USD |
|
|
1,557 |
|
|
|
(61,965 |
) |
Microsoft Corp. |
|
|
108 |
|
|
|
05/19/23 |
|
|
USD |
|
|
305.00 |
|
|
USD |
|
|
3,114 |
|
|
|
(54,000 |
) |
Nestle SA |
|
|
249 |
|
|
|
05/19/23 |
|
|
CHF |
|
|
116.00 |
|
|
CHF |
|
|
2,775 |
|
|
|
(10,205 |
) |
NVIDIA Corp. |
|
|
65 |
|
|
|
05/19/23 |
|
|
USD |
|
|
330.00 |
|
|
USD |
|
|
1,806 |
|
|
|
(18,525 |
) |
Starbucks Corp. |
|
|
92 |
|
|
|
05/19/23 |
|
|
USD |
|
|
105.00 |
|
|
USD |
|
|
958 |
|
|
|
(36,340 |
) |
Tesla, Inc. |
|
|
162 |
|
|
|
05/19/23 |
|
|
USD |
|
|
210.00 |
|
|
USD |
|
|
3,361 |
|
|
|
(279,450 |
) |
Alphabet Inc., Class C |
|
|
162 |
|
|
|
06/16/23 |
|
|
USD |
|
|
125.00 |
|
|
USD |
|
|
1,685 |
|
|
|
(16,767 |
) |
Charles Schwab Corp. |
|
|
259 |
|
|
|
06/16/23 |
|
|
USD |
|
|
75.00 |
|
|
USD |
|
|
1,357 |
|
|
|
(5,439 |
) |
CVS Health Corp. |
|
|
31 |
|
|
|
06/16/23 |
|
|
USD |
|
|
95.00 |
|
|
USD |
|
|
230 |
|
|
|
(264 |
) |
Delta Air Lines, Inc. |
|
|
322 |
|
|
|
06/16/23 |
|
|
USD |
|
|
40.00 |
|
|
USD |
|
|
1,124 |
|
|
|
(20,125 |
) |
Dexcom, Inc. |
|
|
81 |
|
|
|
06/16/23 |
|
|
USD |
|
|
130.00 |
|
|
USD |
|
|
941 |
|
|
|
(30,780 |
) |
Hilton Worldwide Holdings, Inc. |
|
|
54 |
|
|
|
06/16/23 |
|
|
USD |
|
|
155.00 |
|
|
USD |
|
|
761 |
|
|
|
(12,420 |
) |
Intuit, Inc. |
|
|
46 |
|
|
|
06/16/23 |
|
|
USD |
|
|
470.00 |
|
|
USD |
|
|
2,051 |
|
|
|
(86,480 |
) |
JPMorgan Chase & Co. |
|
|
216 |
|
|
|
06/16/23 |
|
|
USD |
|
|
150.00 |
|
|
USD |
|
|
2,815 |
|
|
|
(14,472 |
) |
salesforce.com, Inc. |
|
|
62 |
|
|
|
06/16/23 |
|
|
USD |
|
|
230.00 |
|
|
USD |
|
|
1,239 |
|
|
|
(19,220 |
) |
United Airlines Holdings, Inc. |
|
|
323 |
|
|
|
06/16/23 |
|
|
USD |
|
|
52.50 |
|
|
USD |
|
|
1,429 |
|
|
|
(28,747 |
) |
United Parcel Service, Inc., Class B |
|
|
65 |
|
|
|
06/16/23 |
|
|
USD |
|
|
210.00 |
|
|
USD |
|
|
1,261 |
|
|
|
(18,297 |
) |
Walt Disney Co. |
|
|
162 |
|
|
|
06/16/23 |
|
|
USD |
|
|
115.00 |
|
|
USD |
|
|
1,622 |
|
|
|
(19,764 |
) |
Tesla, Inc. |
|
|
87 |
|
|
|
08/18/23 |
|
|
USD |
|
|
260.00 |
|
|
USD |
|
|
1,805 |
|
|
|
(111,142 |
) |
SPDR S&P 500 ETF Trust |
|
|
30 |
|
|
|
12/15/23 |
|
|
USD |
|
|
420.00 |
|
|
USD |
|
|
1,228 |
|
|
|
(75,881 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,045,486 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3-Month SOFR Future |
|
|
451 |
|
|
|
04/14/23 |
|
|
USD |
|
|
95.13 |
|
|
USD |
|
|
108,792 |
|
|
|
(2,819 |
) |
3-Month SOFR Future |
|
|
429 |
|
|
|
04/14/23 |
|
|
USD |
|
|
94.50 |
|
|
USD |
|
|
102,022 |
|
|
|
(2,681 |
) |
Apple, Inc. |
|
|
167 |
|
|
|
04/21/23 |
|
|
USD |
|
|
135.00 |
|
|
USD |
|
|
2,754 |
|
|
|
(1,587 |
) |
Apple, Inc. |
|
|
93 |
|
|
|
04/21/23 |
|
|
USD |
|
|
140.00 |
|
|
USD |
|
|
1,534 |
|
|
|
(1,349 |
) |
BNP Paribas SA |
|
|
52 |
|
|
|
04/21/23 |
|
|
EUR |
|
|
60.00 |
|
|
EUR |
|
|
287 |
|
|
|
(27,943 |
) |
Constellation Brands, Inc., Class A |
|
|
96 |
|
|
|
04/21/23 |
|
|
USD |
|
|
200.00 |
|
|
USD |
|
|
2,169 |
|
|
|
(7,440 |
) |
EOG Resources, Inc. |
|
|
54 |
|
|
|
04/21/23 |
|
|
USD |
|
|
112.50 |
|
|
USD |
|
|
619 |
|
|
|
(14,580 |
) |
Euro Stoxx 50 |
|
|
40 |
|
|
|
04/21/23 |
|
|
EUR |
|
|
3,900.00 |
|
|
EUR |
|
|
1,726 |
|
|
|
(3,015 |
) |
Intuit, Inc. |
|
|
37 |
|
|
|
04/21/23 |
|
|
USD |
|
|
360.00 |
|
|
USD |
|
|
1,650 |
|
|
|
(1,943 |
) |
Invesco QQQ Trust, Series 1 |
|
|
417 |
|
|
|
04/21/23 |
|
|
USD |
|
|
280.00 |
|
|
USD |
|
|
13,383 |
|
|
|
(13,344 |
) |
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
1,333 |
|
|
|
04/21/23 |
|
|
USD |
|
|
69.00 |
|
|
USD |
|
|
10,071 |
|
|
|
(9,331 |
) |
iShares iBoxx $ Investment Grade Corporate Bond ETF |
|
|
1,182 |
|
|
|
04/21/23 |
|
|
USD |
|
|
101.00 |
|
|
USD |
|
|
12,956 |
|
|
|
(5,910 |
) |
iShares iBoxx $ Investment Grade Corporate Bond ETF |
|
|
3,699 |
|
|
|
04/21/23 |
|
|
USD |
|
|
100.00 |
|
|
USD |
|
|
40,545 |
|
|
|
(14,796 |
) |
Lloyds Banking Group PLC |
|
|
1,625 |
|
|
|
04/21/23 |
|
|
GBP |
|
|
0.44 |
|
|
GBP |
|
|
775 |
|
|
|
(23,053 |
) |
Lowes Cos., Inc. |
|
|
37 |
|
|
|
04/21/23 |
|
|
USD |
|
|
190.00 |
|
|
USD |
|
|
740 |
|
|
|
(4,958 |
) |
Microsoft Corp. |
|
|
59 |
|
|
|
04/21/23 |
|
|
USD |
|
|
230.00 |
|
|
USD |
|
|
1,701 |
|
|
|
(1,121 |
) |
PulteGroup, Inc. |
|
|
108 |
|
|
|
04/21/23 |
|
|
USD |
|
|
40.00 |
|
|
USD |
|
|
629 |
|
|
|
(540 |
) |
SPDR S&P 500 ETF Trust |
|
|
126 |
|
|
|
04/21/23 |
|
|
USD |
|
|
372.00 |
|
|
USD |
|
|
5,158 |
|
|
|
(6,111 |
) |
23
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
Exchange-Traded Options Written (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Put (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SPDR S&P 500 ETF Trust |
|
|
428 |
|
|
|
04/21/23 |
|
|
USD |
|
|
345.00 |
|
|
USD |
|
|
17,522 |
|
|
$ |
(6,634 |
) |
SPDR S&P 500 ETF Trust |
|
|
118 |
|
|
|
04/21/23 |
|
|
USD |
|
|
365.00 |
|
|
USD |
|
|
4,831 |
|
|
|
(4,071 |
) |
SPDR S&P Regional Banking ETF |
|
|
395 |
|
|
|
04/21/23 |
|
|
USD |
|
|
40.00 |
|
|
USD |
|
|
1,732 |
|
|
|
(29,230 |
) |
Union Pacific Corp. |
|
|
37 |
|
|
|
04/21/23 |
|
|
USD |
|
|
195.00 |
|
|
USD |
|
|
745 |
|
|
|
(9,435 |
) |
Invesco QQQ Trust, Series 1 |
|
|
74 |
|
|
|
04/28/23 |
|
|
USD |
|
|
280.00 |
|
|
USD |
|
|
2,375 |
|
|
|
(4,218 |
) |
3-Month SOFR Future |
|
|
123 |
|
|
|
05/12/23 |
|
|
USD |
|
|
95.25 |
|
|
USD |
|
|
29,671 |
|
|
|
(6,150 |
) |
Advanced Micro Devices, Inc. |
|
|
178 |
|
|
|
05/19/23 |
|
|
USD |
|
|
85.00 |
|
|
USD |
|
|
1,745 |
|
|
|
(41,118 |
) |
Alphabet Inc., Class C |
|
|
37 |
|
|
|
05/19/23 |
|
|
USD |
|
|
85.00 |
|
|
USD |
|
|
385 |
|
|
|
(2,479 |
) |
Amazon.com, Inc. |
|
|
37 |
|
|
|
05/19/23 |
|
|
USD |
|
|
85.00 |
|
|
USD |
|
|
382 |
|
|
|
(3,682 |
) |
Apple, Inc. |
|
|
30 |
|
|
|
05/19/23 |
|
|
USD |
|
|
140.00 |
|
|
USD |
|
|
495 |
|
|
|
(2,745 |
) |
Apple, Inc. |
|
|
108 |
|
|
|
05/19/23 |
|
|
USD |
|
|
145.00 |
|
|
USD |
|
|
1,781 |
|
|
|
(14,580 |
) |
ConocoPhillips |
|
|
184 |
|
|
|
05/19/23 |
|
|
USD |
|
|
85.00 |
|
|
USD |
|
|
1,825 |
|
|
|
(19,872 |
) |
ConocoPhillips |
|
|
441 |
|
|
|
05/19/23 |
|
|
USD |
|
|
90.00 |
|
|
USD |
|
|
4,375 |
|
|
|
(83,349 |
) |
Delta Air Lines, Inc. |
|
|
254 |
|
|
|
05/19/23 |
|
|
USD |
|
|
27.00 |
|
|
USD |
|
|
887 |
|
|
|
(4,572 |
) |
Euro Stoxx Banks |
|
|
154 |
|
|
|
05/19/23 |
|
|
EUR |
|
|
90.00 |
|
|
EUR |
|
|
785 |
|
|
|
(12,317 |
) |
iShares iBoxx $ High Yield Corporate Bond ETF |
|
|
726 |
|
|
|
05/19/23 |
|
|
USD |
|
|
68.00 |
|
|
USD |
|
|
5,485 |
|
|
|
(7,986 |
) |
iShares Russell 2000 ETF |
|
|
271 |
|
|
|
05/19/23 |
|
|
USD |
|
|
160.00 |
|
|
USD |
|
|
4,835 |
|
|
|
(32,926 |
) |
iShares Russell 2000 ETF |
|
|
135 |
|
|
|
05/19/23 |
|
|
USD |
|
|
152.00 |
|
|
USD |
|
|
2,408 |
|
|
|
(8,505 |
) |
Lockheed Martin Corp. |
|
|
17 |
|
|
|
05/19/23 |
|
|
USD |
|
|
420.00 |
|
|
USD |
|
|
804 |
|
|
|
(3,570 |
) |
Microsoft Corp. |
|
|
19 |
|
|
|
05/19/23 |
|
|
USD |
|
|
240.00 |
|
|
USD |
|
|
548 |
|
|
|
(2,489 |
) |
Nice Ltd. |
|
|
37 |
|
|
|
05/19/23 |
|
|
USD |
|
|
175.00 |
|
|
USD |
|
|
847 |
|
|
|
(17,760 |
) |
Nike, Inc., Class B |
|
|
68 |
|
|
|
05/19/23 |
|
|
USD |
|
|
105.00 |
|
|
USD |
|
|
834 |
|
|
|
(4,216 |
) |
Northrop Grumman Corp. |
|
|
6 |
|
|
|
05/19/23 |
|
|
USD |
|
|
400.00 |
|
|
USD |
|
|
277 |
|
|
|
(1,620 |
) |
NVIDIA Corp. |
|
|
65 |
|
|
|
05/19/23 |
|
|
USD |
|
|
220.00 |
|
|
USD |
|
|
1,806 |
|
|
|
(16,477 |
) |
Starbucks Corp. |
|
|
92 |
|
|
|
05/19/23 |
|
|
USD |
|
|
90.00 |
|
|
USD |
|
|
958 |
|
|
|
(7,038 |
) |
Tesla, Inc. |
|
|
110 |
|
|
|
05/19/23 |
|
|
USD |
|
|
120.00 |
|
|
USD |
|
|
2,282 |
|
|
|
(6,985 |
) |
United Airlines Holdings, Inc. |
|
|
127 |
|
|
|
05/19/23 |
|
|
USD |
|
|
38.00 |
|
|
USD |
|
|
562 |
|
|
|
(10,604 |
) |
Alphabet Inc., Class C |
|
|
162 |
|
|
|
06/16/23 |
|
|
USD |
|
|
90.00 |
|
|
USD |
|
|
1,685 |
|
|
|
(27,378 |
) |
Charles Schwab Corp. |
|
|
130 |
|
|
|
06/16/23 |
|
|
USD |
|
|
40.00 |
|
|
USD |
|
|
681 |
|
|
|
(15,795 |
) |
Delta Air Lines, Inc. |
|
|
322 |
|
|
|
06/16/23 |
|
|
USD |
|
|
27.00 |
|
|
USD |
|
|
1,124 |
|
|
|
(10,626 |
) |
Health Care Select Sector SPDR Fund |
|
|
79 |
|
|
|
06/16/23 |
|
|
USD |
|
|
120.00 |
|
|
USD |
|
|
1,023 |
|
|
|
(8,058 |
) |
JPMorgan Chase & Co. |
|
|
108 |
|
|
|
06/16/23 |
|
|
USD |
|
|
100.00 |
|
|
USD |
|
|
1,407 |
|
|
|
(7,290 |
) |
salesforce.com, Inc. |
|
|
62 |
|
|
|
06/16/23 |
|
|
USD |
|
|
160.00 |
|
|
USD |
|
|
1,239 |
|
|
|
(11,904 |
) |
Uber Technologies, Inc. |
|
|
277 |
|
|
|
06/16/23 |
|
|
USD |
|
|
30.00 |
|
|
USD |
|
|
878 |
|
|
|
(50,137 |
) |
United Airlines Holdings, Inc. |
|
|
323 |
|
|
|
06/16/23 |
|
|
USD |
|
|
36.00 |
|
|
USD |
|
|
1,429 |
|
|
|
(28,424 |
) |
Walt Disney Co. |
|
|
162 |
|
|
|
06/16/23 |
|
|
USD |
|
|
80.00 |
|
|
USD |
|
|
1,622 |
|
|
|
(12,636 |
) |
Waste Management, Inc. |
|
|
79 |
|
|
|
06/16/23 |
|
|
USD |
|
|
150.00 |
|
|
USD |
|
|
1,289 |
|
|
|
(13,232 |
) |
Kroger Co. |
|
|
155 |
|
|
|
07/21/23 |
|
|
USD |
|
|
40.00 |
|
|
USD |
|
|
765 |
|
|
|
(5,193 |
) |
Tesla, Inc. |
|
|
46 |
|
|
|
08/18/23 |
|
|
USD |
|
|
135.00 |
|
|
USD |
|
|
954 |
|
|
|
(22,310 |
) |
3-Month SOFR Future |
|
|
296 |
|
|
|
03/15/24 |
|
|
USD |
|
|
94.75 |
|
|
USD |
|
|
71,140 |
|
|
|
(125,800 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(845,932 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,891,418 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Options Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional
Amount (000) |
|
|
Value |
|
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ING Groep NV |
|
Goldman Sachs International |
|
|
73,000 |
|
|
|
05/19/23 |
|
|
EUR |
|
|
12.50 |
|
|
|
EUR |
|
|
|
798 |
|
|
$ |
(3,689 |
) |
USD Currency |
|
HSBC Bank PLC |
|
|
|
|
|
|
06/14/23 |
|
|
TWD |
|
|
30.58 |
|
|
|
TWD |
|
|
|
2,313 |
|
|
|
(22,340 |
) |
USD Currency |
|
Goldman Sachs International |
|
|
|
|
|
|
06/19/23 |
|
|
CNH |
|
|
6.88 |
|
|
|
CNH |
|
|
|
2,295 |
|
|
|
(20,103 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(46,132 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ING Groep NV |
|
Goldman Sachs International |
|
|
73,000 |
|
|
|
05/19/23 |
|
|
EUR |
|
|
9.00 |
|
|
|
EUR |
|
|
|
798 |
|
|
|
(12,754 |
) |
USD Currency |
|
Bank of America N.A. |
|
|
|
|
|
|
05/25/23 |
|
|
MXN |
|
|
17.75 |
|
|
|
MXN |
|
|
|
19,149 |
|
|
|
(133,510 |
) |
USD Currency |
|
Bank of America N.A. |
|
|
|
|
|
|
05/29/23 |
|
|
JPY |
|
|
124.00 |
|
|
|
JPY |
|
|
|
14,610 |
|
|
|
(60,411 |
) |
USD Currency |
|
HSBC Bank PLC |
|
|
|
|
|
|
06/14/23 |
|
|
BRL |
|
|
5.24 |
|
|
|
BRL |
|
|
|
2,243 |
|
|
|
(96,560 |
) |
USD Currency |
|
Morgan Stanley &8 Co. International PLC |
|
|
|
|
|
|
06/14/23 |
|
|
COP |
|
|
4,815.00 |
|
|
|
COP |
|
|
|
2,238 |
|
|
|
(96,546 |
) |
EUR Currency |
|
UBS AG |
|
|
|
|
|
|
06/19/23 |
|
|
USD |
|
|
1.08 |
|
|
|
USD |
|
|
|
2,106 |
|
|
|
(23,493 |
) |
|
|
|
C O N S O L I D A T E D S C H E D
U L E O F I N V E S T M E N T S |
|
24 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
OTC Options Written (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Counterparty |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Exercise Price |
|
|
Notional Amount (000) |
|
|
Value |
|
|
|
Put (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GBP Currency |
|
JPMorgan Chase Bank N.A. |
|
|
|
|
|
|
06/19/23 |
|
|
|
USD |
|
|
|
1.22 |
|
|
|
USD |
|
|
|
1,866 |
|
|
$ |
(27,106 |
) |
USD Currency |
|
Bank of America N.A. |
|
|
|
|
|
|
06/19/23 |
|
|
|
HUF |
|
|
|
362.05 |
|
|
|
HUF |
|
|
|
2,217 |
|
|
|
(83,952 |
) |
USD Currency |
|
Citibank N.A. |
|
|
|
|
|
|
06/19/23 |
|
|
|
MXN |
|
|
|
18.67 |
|
|
|
MXN |
|
|
|
2,240 |
|
|
|
(80,700 |
) |
TOPIX Banks Index |
|
BNP Paribas SA |
|
|
378,103 |
|
|
|
07/14/23 |
|
|
|
JPY |
|
|
|
175.10 |
|
|
|
JPY |
|
|
|
71,083 |
|
|
|
(22,007 |
) |
TOPIX Banks Index |
|
Goldman Sachs International |
|
|
629,919 |
|
|
|
07/14/23 |
|
|
|
JPY |
|
|
|
181.37 |
|
|
|
JPY |
|
|
|
118,425 |
|
|
|
(49,673 |
) |
TOPIX Banks Index |
|
JPMorgan Chase Bank N.A. |
|
|
252,321 |
|
|
|
07/14/23 |
|
|
|
JPY |
|
|
|
182.08 |
|
|
|
JPY |
|
|
|
47,436 |
|
|
|
(20,544 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(707,256 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(753,388 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Interest Rate Swaptions Written
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Rate |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Rate |
|
|
Frequency |
|
Rate |
|
|
Frequency |
Call |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2-Year Interest Rate Swap, 06/01/25 |
|
|
3.30% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
Morgan Stanley & Co. International PLC |
|
|
05/30/23 |
|
|
|
3.30 |
% |
|
|
USD |
|
|
|
46,497 |
|
|
$ |
(89,075 |
) |
5-Year Interest Rate Swap, 06/01/28 |
|
|
2.80% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
05/30/23 |
|
|
|
2.80 |
|
|
|
USD |
|
|
|
18,837 |
|
|
|
(65,408 |
) |
5-Year Interest Rate Swap, 06/16/28 |
|
|
2.50% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
Goldman Sachs International |
|
|
06/14/23 |
|
|
|
2.50 |
|
|
|
USD |
|
|
|
22,352 |
|
|
|
(51,100 |
) |
10-Year Interest Rate Swap, 07/21/33 |
|
|
2.41% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
Morgan Stanley & Co. International PLC |
|
|
07/19/23 |
|
|
|
2.41 |
|
|
|
USD |
|
|
|
24,382 |
|
|
|
(104,456 |
) |
2-Year Interest Rate Swap, 08/24/23 |
|
|
2.70% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
Goldman Sachs International |
|
|
08/22/23 |
|
|
|
2.70 |
|
|
|
USD |
|
|
|
29,077 |
|
|
|
(135,656 |
) |
2-Year Interest Rate Swap, 09/08/27 |
|
|
2.95% |
|
|
Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Annual |
|
Goldman Sachs International |
|
|
09/05/23 |
|
|
|
2.95 |
|
|
|
USD |
|
|
|
57,664 |
|
|
|
(530,681 |
) |
2-Year Interest Rate Swap, 10/26/25 |
|
|
3.09% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
Citibank N.A. |
|
|
10/24/23 |
|
|
|
3.09 |
|
|
|
USD |
|
|
|
45,268 |
|
|
|
(259,907 |
) |
2-Year Interest Rate Swap, 11/01/25 |
|
|
2.95% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
10/30/23 |
|
|
|
2.95 |
|
|
|
USD |
|
|
|
45,268 |
|
|
|
(231,863 |
) |
2-Year Interest Rate Swap, 11/09/25 |
|
|
3.26% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
Goldman Sachs International |
|
|
11/07/23 |
|
|
|
3.26 |
|
|
|
USD |
|
|
|
18,770 |
|
|
|
(136,840 |
) |
2-Year Interest Rate Swap, 11/16/25 |
|
|
2.75% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
Citibank N.A. |
|
|
11/14/23 |
|
|
|
2.75 |
|
|
|
USD |
|
|
|
35,707 |
|
|
|
(159,455 |
) |
10-Year Interest Rate Swap, 12/16/33 |
|
|
2.40% |
|
|
Semi-Annual |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
Morgan Stanley & Co. International PLC |
|
|
12/14/23 |
|
|
|
2.40 |
|
|
|
USD |
|
|
|
6,165 |
|
|
|
(66,879 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,831,320 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1-Year Interest Rate Swap, 04/03/24 |
|
|
1-Day SONIA, 4.18% |
|
|
Annual |
|
|
3.22% |
|
|
Annual |
|
Goldman Sachs International |
|
|
04/03/23 |
|
|
|
3.22 |
|
|
|
GBP |
|
|
|
93,289 |
|
|
|
(1,464,477 |
) |
10-Year Interest Rate Swap, 04/08/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.40% |
|
|
Semi-Annual |
|
Morgan Stanley & Co. International PLC |
|
|
04/06/23 |
|
|
|
3.40 |
|
|
|
USD |
|
|
|
11,867 |
|
|
|
(8,926 |
) |
10-Year Interest Rate Swap, 04/20/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.45% |
|
|
Semi-Annual |
|
Morgan Stanley & Co. International PLC |
|
|
04/18/23 |
|
|
|
3.45 |
|
|
|
USD |
|
|
|
11,734 |
|
|
|
(27,898 |
) |
5-Year Interest Rate Swap, 06/10/28 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
4.00% |
|
|
Semi-Annual |
|
JPMorgan Chase Bank N.A. |
|
|
06/08/23 |
|
|
|
4.00 |
|
|
|
USD |
|
|
|
18,832 |
|
|
|
(36,190 |
) |
5-Year Interest Rate Swap, 06/16/28 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.90% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
06/14/23 |
|
|
|
3.90 |
|
|
|
USD |
|
|
|
22,352 |
|
|
|
(62,669 |
) |
10-Year Interest Rate Swap, 07/05/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.85% |
|
|
Semi-Annual |
|
JPMorgan Chase Bank N.A. |
|
|
07/03/23 |
|
|
|
3.85 |
|
|
|
USD |
|
|
|
9,594 |
|
|
|
(33,024 |
) |
10-Year Interest Rate Swap, 07/21/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.61% |
|
|
Semi-Annual |
|
Morgan Stanley & Co. International PLC |
|
|
07/19/23 |
|
|
|
3.61 |
|
|
|
USD |
|
|
|
24,382 |
|
|
|
(189,424 |
) |
10-Year Interest Rate Swap, 08/09/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.75% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
08/07/23 |
|
|
|
3.75 |
|
|
|
USD |
|
|
|
12,455 |
|
|
|
(80,316 |
) |
2-Year Interest Rate Swap, 08/24/23 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.75% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
08/22/23 |
|
|
|
3.75 |
|
|
|
USD |
|
|
|
14,538 |
|
|
|
(49,997 |
) |
2-Year Interest Rate Swap, 09/07/23 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.85% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
09/05/23 |
|
|
|
3.85 |
|
|
|
USD |
|
|
|
28,832 |
|
|
|
(65,783 |
) |
25
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
OTC Interest Rate Swaptions Written (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Expiration Date |
|
|
Exercise Rate |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Rate |
|
|
Frequency |
|
Rate |
|
|
Frequency |
Put (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2-Year Interest Rate Swap, 09/23/25 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
4.73% |
|
|
Semi-Annual |
|
Morgan Stanley & Co. International PLC |
|
|
09/21/23 |
|
|
|
4.73 |
% |
|
|
USD |
|
|
|
70,836 |
|
|
$ |
(105,134 |
) |
2-Year Interest Rate Swap, 09/24/25 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
4.50% |
|
|
Semi-Annual |
|
Morgan Stanley & Co. International PLC |
|
|
09/22/23 |
|
|
|
4.50 |
|
|
|
USD |
|
|
|
35,389 |
|
|
|
(79,863 |
) |
10-Year Interest Rate Swap, 10/04/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.93% |
|
|
Semi-Annual |
|
Goldman Sachs International |
|
|
10/02/23 |
|
|
|
3.93 |
|
|
|
USD |
|
|
|
12,168 |
|
|
|
(76,597 |
) |
2-Year Interest Rate Swap, 11/16/25 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
4.75% |
|
|
Semi-Annual |
|
Citibank N.A. |
|
|
11/14/23 |
|
|
|
4.75 |
|
|
|
USD |
|
|
|
28,566 |
|
|
|
(46,201 |
) |
10-Year Interest Rate Swap, 12/16/33 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.60% |
|
|
Semi-Annual |
|
Morgan Stanley & Co. International PLC |
|
|
12/14/23 |
|
|
|
3.60 |
|
|
|
USD |
|
|
|
6,165 |
|
|
|
(89,726 |
) |
5-Year Interest Rate Swap, 03/29/29 |
|
|
1-Day SOFR, 4.80% |
|
|
Quarterly |
|
|
3.79% |
|
|
Semi-Annual |
|
JPMorgan Chase Bank N.A. |
|
|
03/27/24 |
|
|
|
3.79 |
|
|
|
USD |
|
|
|
35,313 |
|
|
|
(317,103 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,733,328 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(4,564,648 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation/Index |
|
Financing Rate Paid by the Trust |
|
|
Payment Frequency |
|
|
Termination Date |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
iTraxx.XO.38.V1 |
|
|
5.00 |
% |
|
|
Quarterly |
|
|
|
12/20/27 |
|
|
EUR |
4,652 |
|
|
$ |
(188,651 |
) |
|
$ |
88,694 |
|
|
$ |
(277,345 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps Sell Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation/Index |
|
|
Financing Rate Received by the Trust |
|
|
Payment Frequency |
|
|
Termination Date |
|
|
Credit Rating(a) |
|
|
Notional Amount (000) |
(b) |
|
|
Value |
|
|
|
Upfront Premium Paid (Received) |
|
|
|
Unrealized Appreciation (Depreciation) |
|
iTraxx.XO.34.V2 |
|
|
5.00 |
% |
|
Quarterly |
|
|
12/20/25 |
|
|
CC+ |
|
|
EUR 34,106 |
|
|
$ |
1,942,588 |
|
|
$ |
2,333,087 |
|
|
$ |
(390,499 |
) |
iTraxx.XO.35.V1 |
|
|
5.00 |
|
|
Quarterly |
|
|
06/20/26 |
|
|
CCC- |
|
|
EUR 1,440 |
|
|
|
76,643 |
|
|
|
145,806 |
|
|
|
(69,163 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,019,231 |
|
|
$ |
2,478,893 |
|
|
$ |
(459,662 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global
Ratings. |
|
|
(b) |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of
the agreement. |
|
Centrally Cleared Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
Received by the Trust |
|
Effective Date |
|
|
Termination Date |
|
|
Notional
Amount (000) |
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate |
|
Frequency |
|
Rate |
|
Frequency |
3.75% |
|
Monthly |
|
1-Day SOFR, 4.80% |
|
Monthly |
|
|
N/A |
|
|
|
02/13/24 |
|
|
USD |
|
92,095 |
|
$ |
932,753 |
|
|
$ |
142 |
|
|
$ |
932,611 |
|
1-Day SOFR, 4.80% |
|
Monthly |
|
4.40% |
|
Monthly |
|
|
N/A |
|
|
|
02/13/24 |
|
|
USD |
|
184,191 |
|
|
(697,693 |
) |
|
|
284 |
|
|
|
(697,977 |
) |
28-Day MXIBTIIE, 11.52% |
|
Monthly |
|
4.68% |
|
Monthly |
|
|
N/A |
|
|
|
02/27/24 |
|
|
MXN |
|
62,782 |
|
|
(206,882 |
) |
|
|
6 |
|
|
|
(206,888 |
) |
28-Day MXIBTIIE, 11.52% |
|
Monthly |
|
4.86% |
|
Monthly |
|
|
N/A |
|
|
|
03/01/24 |
|
|
MXN |
|
62,782 |
|
|
(201,191 |
) |
|
|
6 |
|
|
|
(201,197 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
1.13% |
|
Annual |
|
|
N/A |
|
|
|
03/07/24 |
|
|
USD |
|
51,255 |
|
|
(1,815,337 |
) |
|
|
106 |
|
|
|
(1,815,443 |
) |
1-Day SOFR, 4.80% |
|
Monthly |
|
4.50% |
|
Monthly |
|
|
N/A |
|
|
|
03/09/24 |
|
|
USD |
|
92,494 |
|
|
(232,087 |
) |
|
|
284 |
|
|
|
(232,371 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
1.08% |
|
Annual |
|
|
N/A |
|
|
|
03/18/24 |
|
|
USD |
|
103,986 |
|
|
(3,694,871 |
) |
|
|
224 |
|
|
|
(3,695,095 |
) |
4.18% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
06/28/24 |
|
|
USD |
|
16,487 |
|
|
57,444 |
|
|
|
(27,686 |
) |
|
|
85,130 |
|
4.16% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
07/13/24 |
|
|
USD |
|
14,859 |
|
|
54,132 |
|
|
|
(24,016 |
) |
|
|
78,148 |
|
4.16% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
07/20/24 |
|
|
USD |
|
21,852 |
|
|
77,706 |
|
|
|
(37,014 |
) |
|
|
114,720 |
|
4.16% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
07/23/24 |
|
|
USD |
|
28,619 |
|
|
101,399 |
|
|
|
(48,930 |
) |
|
|
150,329 |
|
4.14% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
08/12/24 |
|
|
USD |
|
21,139 |
|
|
77,001 |
|
|
|
(35,552 |
) |
|
|
112,553 |
|
4.14% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
08/13/24 |
|
|
USD |
|
13,774 |
|
|
49,973 |
|
|
|
(23,300 |
) |
|
|
73,273 |
|
4.13% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
08/27/24 |
|
|
USD |
|
33,815 |
|
|
122,194 |
|
|
|
(58,252 |
) |
|
|
180,446 |
|
1-Day SONIA, 4.18% |
|
Monthly |
|
4.26% |
|
Monthly |
|
|
09/06/23 |
(a) |
|
|
09/06/24 |
|
|
GBP |
|
25,649 |
|
|
(49,523 |
) |
|
|
140 |
|
|
|
(49,663 |
) |
28-Day MXIBTIIE, 11.52% |
|
Monthly |
|
9.78% |
|
Monthly |
|
|
N/A |
|
|
|
02/04/25 |
|
|
MXN |
|
48,743 |
|
|
(21,514 |
) |
|
|
10 |
|
|
|
(21,524 |
) |
28-Day MXIBTIIE, 11.52% |
|
Monthly |
|
9.79% |
|
Monthly |
|
|
N/A |
|
|
|
02/04/25 |
|
|
MXN |
|
24,371 |
|
|
(10,519 |
) |
|
|
5 |
|
|
|
(10,524 |
) |
|
|
|
C O N S O L I D A T E D S C H E D
U L E O F I N V E S T M E N T S |
|
26 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
Centrally Cleared Interest Rate Swaps (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
Received by the Trust |
|
Effective Date |
|
|
Termination Date |
|
|
Notional
Amount (000) |
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate |
|
Frequency |
|
Rate |
|
Frequency |
28-Day MXIBTIIE, 11.52% |
|
Monthly |
|
9.80% |
|
Monthly |
|
|
N/A |
|
|
|
02/04/25 |
|
|
MXN |
|
24,371 |
|
$ |
(10,164 |
) |
|
$ |
5 |
|
|
$ |
(10,169 |
) |
28-Day MXIBTIIE, 11.52% |
|
Monthly |
|
9.95% |
|
Monthly |
|
|
N/A |
|
|
|
02/07/25 |
|
|
MXN |
|
550,963 |
|
|
(141,187 |
) |
|
|
120 |
|
|
|
(141,307 |
) |
2.00% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
02/17/25 |
|
|
USD |
|
13,415 |
|
|
560,242 |
|
|
|
56 |
|
|
|
560,186 |
|
1-Day SOFR, 4.80% |
|
Annual |
|
2.60% |
|
Annual |
|
|
N/A |
|
|
|
02/17/25 |
|
|
USD |
|
47,688 |
|
|
(1,442,705 |
) |
|
|
199 |
|
|
|
(1,442,904 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
2.70% |
|
Annual |
|
|
N/A |
|
|
|
02/17/25 |
|
|
USD |
|
47,688 |
|
|
(1,351,225 |
) |
|
|
199 |
|
|
|
(1,351,424 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
4.03% |
|
Annual |
|
|
N/A |
|
|
|
03/10/25 |
|
|
USD |
|
93,515 |
|
|
(182,642 |
) |
|
|
402 |
|
|
|
(183,044 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
3.75% |
|
Annual |
|
|
N/A |
|
|
|
12/15/25 |
|
|
USD |
|
12,146 |
|
|
(39,357 |
) |
|
|
84 |
|
|
|
(39,441 |
) |
3.83% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
02/19/26 |
|
|
USD |
|
13,259 |
|
|
(22,709 |
) |
|
|
(69,699 |
) |
|
|
46,990 |
|
3.82% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
02/22/26 |
|
|
USD |
|
3,623 |
|
|
(5,595 |
) |
|
|
(18,286 |
) |
|
|
12,691 |
|
1-Day SOFR, 4.80% |
|
Annual |
|
3.82% |
|
Annual |
|
|
N/A |
|
|
|
03/08/26 |
|
|
USD |
|
42,033 |
|
|
92,819 |
|
|
|
224,106 |
|
|
|
(131,287 |
) |
3.78% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
05/26/26 |
|
|
USD |
|
61,194 |
|
|
(146,750 |
) |
|
|
(339,147 |
) |
|
|
192,397 |
|
3.78% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
05/27/26 |
|
|
USD |
|
123,103 |
|
|
(298,302 |
) |
|
|
(685,701 |
) |
|
|
387,399 |
|
1-Day SOFR, 4.80% |
|
Annual |
|
3.77% |
|
Annual |
|
|
N/A |
|
|
|
06/28/26 |
|
|
USD |
|
9,810 |
|
|
27,082 |
|
|
|
57,339 |
|
|
|
(30,257 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
3.76% |
|
Annual |
|
|
N/A |
|
|
|
07/13/26 |
|
|
USD |
|
8,779 |
|
|
23,563 |
|
|
|
50,670 |
|
|
|
(27,107 |
) |
3.73% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
10/14/26 |
|
|
USD |
|
13,157 |
|
|
(35,888 |
) |
|
|
(83,719 |
) |
|
|
47,831 |
|
3.73% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
11/10/26 |
|
|
USD |
|
21,067 |
|
|
(64,372 |
) |
|
|
(144,587 |
) |
|
|
80,215 |
|
1-Day SOFR, 4.80% |
|
Annual |
|
3.71% |
|
Annual |
|
|
N/A |
|
|
|
01/07/27 |
|
|
USD |
|
34,517 |
|
|
149,799 |
|
|
|
250,913 |
|
|
|
(101,114 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
3.71% |
|
Annual |
|
|
N/A |
|
|
|
01/10/27 |
|
|
USD |
|
14,027 |
|
|
62,391 |
|
|
|
102,805 |
|
|
|
(40,414 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
3.71% |
|
Annual |
|
|
N/A |
|
|
|
01/14/27 |
|
|
USD |
|
5,077 |
|
|
23,654 |
|
|
|
37,554 |
|
|
|
(13,900 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
3.70% |
|
Annual |
|
|
N/A |
|
|
|
02/09/27 |
|
|
USD |
|
45,774 |
|
|
246,251 |
|
|
|
342,359 |
|
|
|
(96,108 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
1.56% |
|
Annual |
|
|
N/A |
|
|
|
03/07/27 |
|
|
USD |
|
25,628 |
|
|
(1,863,067 |
) |
|
|
187 |
|
|
|
(1,863,254 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
3.47% |
|
Annual |
|
|
03/10/25 |
(a) |
|
|
03/10/27 |
|
|
USD |
|
9,910 |
|
|
108,586 |
|
|
|
44 |
|
|
|
108,542 |
|
1-Day SOFR, 4.80% |
|
Annual |
|
2.91% |
|
Annual |
|
|
N/A |
|
|
|
10/06/27 |
|
|
USD |
|
23,669 |
|
|
(633,813 |
) |
|
|
197 |
|
|
|
(634,010 |
) |
1-Day SONIA, 4.18% |
|
Monthly |
|
3.18% |
|
Monthly |
|
|
02/10/27 |
(a) |
|
|
02/10/28 |
|
|
GBP |
|
85,657 |
|
|
(24,796 |
) |
|
|
524 |
|
|
|
(25,320 |
) |
3.51% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
02/04/31 |
|
|
USD |
|
4,489 |
|
|
(83,290 |
) |
|
|
(76,220 |
) |
|
|
(7,070 |
) |
3.51% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
02/05/31 |
|
|
USD |
|
2,639 |
|
|
(48,985 |
) |
|
|
(44,820 |
) |
|
|
(4,165 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
3.50% |
|
Annual |
|
|
N/A |
|
|
|
04/07/31 |
|
|
USD |
|
20,008 |
|
|
353,433 |
|
|
|
337,973 |
|
|
|
15,460 |
|
1-Day SOFR, 4.80% |
|
Annual |
|
3.50% |
|
Annual |
|
|
N/A |
|
|
|
04/08/31 |
|
|
USD |
|
11,489 |
|
|
203,116 |
|
|
|
195,732 |
|
|
|
7,384 |
|
3.50% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
05/27/31 |
|
|
USD |
|
7,341 |
|
|
(133,113 |
) |
|
|
(127,135 |
) |
|
|
(5,978 |
) |
3.50% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
05/28/31 |
|
|
USD |
|
1,301 |
|
|
(23,601 |
) |
|
|
(22,362 |
) |
|
|
(1,239 |
) |
0.02% |
|
Annual |
|
6-Month EURIBOR, 3.34% |
|
Semi-Annual |
|
|
N/A |
|
|
|
08/26/31 |
|
|
EUR |
|
9,317 |
|
|
2,212,550 |
|
|
|
163 |
|
|
|
2,212,387 |
|
1-Day SOFR, 4.80% |
|
Annual |
|
3.50% |
|
Annual |
|
|
N/A |
|
|
|
10/14/31 |
|
|
USD |
|
19,924 |
|
|
372,498 |
|
|
|
367,157 |
|
|
|
5,341 |
|
3.50% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
10/12/31 |
|
|
USD |
|
6,327 |
|
|
(118,421 |
) |
|
|
(116,523 |
) |
|
|
(1,898 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
3.50% |
|
Annual |
|
|
N/A |
|
|
|
11/19/31 |
|
|
USD |
|
19,649 |
|
|
372,906 |
|
|
|
368,957 |
|
|
|
3,949 |
|
3.50% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
11/26/31 |
|
|
USD |
|
3,326 |
|
|
(63,565 |
) |
|
|
(62,652 |
) |
|
|
(913 |
) |
3.50% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
11/30/31 |
|
|
USD |
|
2,298 |
|
|
(44,003 |
) |
|
|
(43,327 |
) |
|
|
(676 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
3.50% |
|
Annual |
|
|
N/A |
|
|
|
01/28/32 |
|
|
USD |
|
31,646 |
|
|
663,544 |
|
|
|
618,607 |
|
|
|
44,937 |
|
2.38% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
04/08/32 |
|
|
USD |
|
2,085 |
|
|
141,363 |
|
|
|
30 |
|
|
|
141,333 |
|
2.58% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
05/24/32 |
|
|
USD |
|
14,246 |
|
|
762,596 |
|
|
|
(12,980 |
) |
|
|
775,576 |
|
2.60% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
05/26/32 |
|
|
USD |
|
2,456 |
|
|
127,478 |
|
|
|
36 |
|
|
|
127,442 |
|
1-Day SOFR, 4.80% |
|
Annual |
|
3.47% |
|
Annual |
|
|
N/A |
|
|
|
10/04/32 |
|
|
USD |
|
10,285 |
|
|
195,207 |
|
|
|
154 |
|
|
|
195,053 |
|
1-Day SOFR, 4.80% |
|
Annual |
|
3.42% |
|
Annual |
|
|
N/A |
|
|
|
10/05/32 |
|
|
USD |
|
4,848 |
|
|
70,245 |
|
|
|
75 |
|
|
|
70,170 |
|
1-Day SOFR, 4.80% |
|
Annual |
|
3.05% |
|
Annual |
|
|
N/A |
|
|
|
10/28/32 |
|
|
USD |
|
11,483 |
|
|
(198,272 |
) |
|
|
178 |
|
|
|
(198,450 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
2.88% |
|
Annual |
|
|
N/A |
|
|
|
11/02/32 |
|
|
USD |
|
11,632 |
|
|
(370,974 |
) |
|
|
181 |
|
|
|
(371,155 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
2.92% |
|
Annual |
|
|
N/A |
|
|
|
11/04/32 |
|
|
USD |
|
11,671 |
|
|
(331,796 |
) |
|
|
181 |
|
|
|
(331,977 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
2.90% |
|
Annual |
|
|
N/A |
|
|
|
11/15/32 |
|
|
USD |
|
18,790 |
|
|
(561,990 |
) |
|
|
293 |
|
|
|
(562,283 |
) |
1-Day SOFR, 4.80% |
|
Annual |
|
3.20% |
|
Annual |
|
|
N/A |
|
|
|
11/28/32 |
|
|
USD |
|
10,953 |
|
|
(42,381 |
) |
|
|
171 |
|
|
|
(42,552 |
) |
1-Day ESTR, 1,079.62% |
|
Annual |
|
2.34% |
|
Annual |
|
|
01/19/28 |
(a) |
|
|
01/19/33 |
|
|
EUR |
|
7,414 |
|
|
(107,972 |
) |
|
|
104 |
|
|
|
(108,076 |
) |
3.24% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
08/09/23 |
(a) |
|
|
08/09/33 |
|
|
USD |
|
6,094 |
|
|
(63,321 |
) |
|
|
98 |
|
|
|
(63,419 |
) |
3.45% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
11/26/41 |
|
|
USD |
|
1,670 |
|
|
(61,798 |
) |
|
|
(69,411 |
) |
|
|
7,613 |
|
3.24% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
12/11/50 |
|
|
USD |
|
1,632 |
|
|
(67,848 |
) |
|
|
(86,451 |
) |
|
|
18,603 |
|
3.23% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
01/07/51 |
|
|
USD |
|
5,340 |
|
|
(218,332 |
) |
|
|
(275,140 |
) |
|
|
56,808 |
|
3.23% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
01/08/51 |
|
|
USD |
|
1,844 |
|
|
(75,378 |
) |
|
|
(94,990 |
) |
|
|
19,612 |
|
3.23% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
01/25/51 |
|
|
USD |
|
3,941 |
|
|
(163,932 |
) |
|
|
(203,980 |
) |
|
|
40,048 |
|
3.23% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
02/01/51 |
|
|
USD |
|
4,033 |
|
|
(168,980 |
) |
|
|
(209,114 |
) |
|
|
40,134 |
|
3.23% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
02/04/51 |
|
|
USD |
|
2,285 |
|
|
(96,313 |
) |
|
|
(118,647 |
) |
|
|
22,334 |
|
3.23% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
02/05/51 |
|
|
USD |
|
2,366 |
|
|
(99,717 |
) |
|
|
(122,838 |
) |
|
|
23,121 |
|
3.23% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
02/22/51 |
|
|
USD |
|
943 |
|
|
(40,533 |
) |
|
|
(49,194 |
) |
|
|
8,661 |
|
3.22% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
05/27/51 |
|
|
USD |
|
3,534 |
|
|
(140,129 |
) |
|
|
(184,176 |
) |
|
|
44,047 |
|
3.22% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
05/28/51 |
|
|
USD |
|
579 |
|
|
(22,957 |
) |
|
|
(30,172 |
) |
|
|
7,215 |
|
3.22% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
06/07/51 |
|
|
USD |
|
1,105 |
|
|
(43,913 |
) |
|
|
(57,700 |
) |
|
|
13,787 |
|
27
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
Centrally Cleared Interest Rate Swaps (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
Received by the Trust |
|
Effective Date |
|
|
Termination Date |
|
|
Notional
Amount (000) |
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate |
|
Frequency |
|
Rate |
|
Frequency |
1-Day SOFR, 4.80% |
|
Annual |
|
3.22% |
|
Annual |
|
|
N/A |
|
|
|
06/22/51 |
|
|
USD |
|
2,396 |
|
$ |
95,614 |
|
|
$ |
125,718 |
|
|
$ |
(30,104 |
) |
3.22% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
08/23/51 |
|
|
USD |
|
793 |
|
|
(32,186 |
) |
|
|
(42,221 |
) |
|
|
10,035 |
|
3.21% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
10/15/51 |
|
|
USD |
|
1,158 |
|
|
(45,141 |
) |
|
|
(60,386 |
) |
|
|
15,245 |
|
3.21% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
10/18/51 |
|
|
USD |
|
1,791 |
|
|
(69,843 |
) |
|
|
(93,436 |
) |
|
|
23,593 |
|
1-Day SOFR, 4.80% |
|
Annual |
|
3.21% |
|
Annual |
|
|
N/A |
|
|
|
11/08/51 |
|
|
USD |
|
1,943 |
|
|
76,350 |
|
|
|
102,101 |
|
|
|
(25,751 |
) |
3.21% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
11/30/51 |
|
|
USD |
|
757 |
|
|
(30,268 |
) |
|
|
(40,004 |
) |
|
|
9,736 |
|
3.21% |
|
Annual |
|
1-Day SOFR, 4.80% |
|
Annual |
|
|
N/A |
|
|
|
01/21/52 |
|
|
USD |
|
7,765 |
|
|
(327,804 |
) |
|
|
(416,683 |
) |
|
|
88,879 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(8,675,056 |
) |
|
$ |
(1,069,572 |
) |
|
$ |
(7,605,484 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centrally Cleared Inflation Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
|
|
Received by the Fund |
|
Termination Date |
|
|
Notional
Amount (000) |
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Reference |
|
Frequency |
|
|
|
Rate |
|
Frequency |
Eurostat Eurozone HICP Ex Tobacco Unrevised |
|
Monthly |
|
|
|
2.69% |
|
Monthly |
|
|
08/15/32 |
|
|
EUR |
|
1,425 |
|
$ |
(15,943 |
) |
|
$ |
30 |
|
|
$ |
(15,973 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Credit Default Swaps Sell Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Obligation/Index |
|
|
Financing Rate Received by the Trust
|
|
|
|
Payment Frequency |
|
|
Counterparty |
|
|
Termination Date |
|
|
|
Credit Rating |
(a) |
|
|
Notional Amount (000)(b) |
|
|
|
Value |
|
|
|
Upfront Premium Paid (Received) |
|
|
|
Unrealized Appreciation (Depreciation) |
|
Vistra Operations Company LLC |
|
|
5.00% |
|
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/23 |
|
|
|
BB |
|
|
|
USD |
|
|
|
1,286 |
|
|
$ |
12,147 |
|
|
$ |
9,233 |
|
|
$ |
2,914 |
|
Vistra Operations Company LLC |
|
|
5.00 |
|
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
12/20/25 |
|
|
|
BB |
|
|
|
USD |
|
|
|
642 |
|
|
|
38,045 |
|
|
|
30,952 |
|
|
|
7,093 |
|
|
|
|
|
|
|
|
|
|
|
Morgan Stanley & Co. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CMBX.NA.9 |
|
|
3.00 |
|
|
|
Monthly |
|
|
International PLC |
|
|
09/17/58 |
|
|
|
N/R |
|
|
|
USD |
|
|
|
332 |
|
|
|
(81,769 |
) |
|
|
(71,191 |
) |
|
|
(10,578 |
) |
|
|
|
|
|
|
|
|
|
|
Morgan Stanley & Co. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CMBX.NA.15 |
|
|
3.00 |
|
|
|
Monthly |
|
|
International PLC |
|
|
11/18/64 |
|
|
|
N/R |
|
|
|
USD |
|
|
|
1,000 |
|
|
|
(285,042 |
) |
|
|
(186,840 |
) |
|
|
(98,202 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(316,619 |
) |
|
$ |
(217,846 |
) |
|
$ |
(98,773 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global
Ratings. |
|
(b) |
The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of
the agreement. |
|
|
|
|
C O N S O L I D A T E D S C H E D
U L E O F I N V E S T M E N T S |
|
28 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT) |
OTC Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Effective Date |
|
|
Termination Date |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate |
|
Frequency |
|
Rate |
|
|
Frequency |
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
12.78 |
% |
|
Monthly |
|
Morgan Stanley & Co. International PLC |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
143,166 |
|
|
$ |
344,186 |
|
|
$ |
|
|
|
$ |
344,186 |
|
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
13.15 |
% |
|
Monthly |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
7,385 |
|
|
|
27,077 |
|
|
|
|
|
|
|
27,077 |
|
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
13.18 |
% |
|
Monthly |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
7,381 |
|
|
|
27,803 |
|
|
|
|
|
|
|
27,803 |
|
1-Day BZDIOVER, 0.05% |
|
Monthly |
|
|
13.22 |
% |
|
Monthly |
|
Citibank N.A. |
|
|
N/A |
|
|
|
01/02/25 |
|
|
|
BRL |
|
|
|
3,883 |
|
|
|
15,187 |
|
|
|
|
|
|
|
15,187 |
|
China Fixing Repo Rates 7-Day, 2.70% |
|
Quarterly |
|
|
2.60 |
% |
|
Quarterly |
|
Morgan Stanley & Co. International PLC |
|
|
N/A |
|
|
|
09/15/26 |
|
|
|
CNY |
|
|
|
157,107 |
|
|
|
(43,823 |
) |
|
|
|
|
|
|
(43,823 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
370,430 |
|
|
$ |
|
|
|
$ |
370,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Total Return Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid by the Trust |
|
Received by the Trust |
|
Counterparty |
|
Effective Date |
|
|
Termination Date |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
Rate/Reference |
|
Frequency |
|
Rate/Reference |
|
Frequency |
iShares iBoxx $ High Yield Corporate Bond ETF |
|
Quarterly |
|
1-Day SOFR minus 2.50%, 4.80% |
|
Quarterly |
|
Goldman Sachs International |
|
|
N/A |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
2,452 |
|
|
$ |
(55,968 |
) |
|
$ |
|
|
|
$ |
(55,968 |
) |
iShares iBoxx $ High Yield Corporate Bond ETF |
|
Quarterly |
|
1-Day SOFR minus 2.50%, 4.80% |
|
Quarterly |
|
Goldman Sachs International |
|
|
N/A |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
1,226 |
|
|
|
(27,983 |
) |
|
|
|
|
|
|
(27,983 |
) |
iShares iBoxx $ High Yield Corporate Bond ETF |
|
Monthly |
|
1-Day SOFR minus 2.50%, 4.80% |
|
Monthly |
|
Goldman Sachs International |
|
|
N/A |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
1,923 |
|
|
|
(55,474 |
) |
|
|
109 |
|
|
|
(55,583 |
) |
iShares iBoxx $ High Yield Corporate Bond ETF |
|
Monthly |
|
1-Day SOFR minus 2.20%, 4.80% |
|
Monthly |
|
BNP Paribas SA |
|
|
N/A |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
1,961 |
|
|
|
(45,494 |
) |
|
|
|
|
|
|
(45,494 |
) |
1-Day SOFR minus 1.75%, 4.80% |
|
Monthly |
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
Monthly |
|
BNP Paribas SA |
|
|
N/A |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
2,433 |
|
|
|
58,566 |
|
|
|
|
|
|
|
58,566 |
|
1-Day SOFR, 4.80% |
|
Monthly |
|
iShares iBoxx $ Investment Grade Corporate Bond ETF |
|
Monthly |
|
JPMorgan Chase Bank N.A. |
|
|
N/A |
|
|
|
06/16/23 |
|
|
|
USD |
|
|
|
17,975 |
|
|
|
241,289 |
|
|
|
2,272 |
|
|
|
239,017 |
|
1-Day SOFR minus 1.75%, 4.80% |
|
Monthly |
|
iShares iBoxx $ High Yield Corporate Bond ETF |
|
Monthly |
|
BNP Paribas SA |
|
|
N/A |
|
|
|
06/21/23 |
|
|
|
USD |
|
|
|
1,217 |
|
|
|
29,027 |
|
|
|
|
|
|
|
29,027 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
143,963 |
|
|
$ |
2,381 |
|
|
$ |
141,582 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
|
OTC Total Return Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Entity |
|
Payment
Frequency |
|
Counterparty(a) |
|
Termination Date |
|
|
Net Notional |
|
|
Accrued Unrealized
Appreciation (Depreciation) |
|
|
Net Value of Reference Entity |
|
|
Gross Notional Amount Net Asset Percentage |
|
Equity Securities Long/Short |
|
Monthly |
|
Citibank N.A.(b) |
|
|
10/11/23 |
|
|
$ |
6,793,604 |
|
|
$ |
(131,886 |
)(c) |
|
$ |
6,693,461 |
|
|
|
0.4 |
% |
|
|
Monthly |
|
JPMorgan Chase Bank N.A.(d) |
|
|
02/08/24 |
|
|
|
(844,178 |
) |
|
|
(57,191 |
)(e) |
|
|
(903,890 |
) |
|
|
0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(189,077 |
) |
|
$ |
5,789,571 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
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. |
|
|
(c) |
Amount includes $(31,743) of net dividends and financing fees. |
|
|
(e) |
Amount includes $2,521 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:
|
|
|
|
|
|
|
(b) |
|
(d) |
Range: |
|
26 basis points |
|
25-26 basis points |
Benchmarks: |
|
USD - 1D Overnight Bank Funding Rate (OBFR01) |
|
USD - 1D Overnight Bank Funding Rate (OBFR01) |
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 October 11, 2023:
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
% of Basket Value |
|
|
|
|
|
Reference Entity Long |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
Italy |
|
|
|
|
|
|
|
|
|
Leonardo SpA |
|
|
570,746 |
|
|
$ |
6,693,461 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Value of Reference Entity Citibank N.A |
|
|
$6,693,461 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table represents the individual 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 February 8, 2024:
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Shares |
|
|
Value |
|
|
% of Basket Value |
|
|
|
|
|
Reference Entity Short |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
France |
|
|
|
|
|
|
|
|
|
Pernod Ricard SA |
|
|
(2,748 |
) |
|
$ |
(622,232 |
) |
|
|
68.8 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United Kingdom |
|
|
|
|
|
|
|
|
|
Diageo PLC |
|
|
(6,311 |
) |
|
|
(281,658 |
) |
|
|
31.2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(903,890 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Value of Reference Entity JPMorgan Chase Bank N.A |
|
|
$ |
(903,890 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value
hierarchy consisting of three broad levels for financial reporting purposes as follows:
|
|
|
Level 1 Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the
Trust has the ability to access; |
|
|
|
Level 2 Other observable inputs (including, but not limited to, quoted prices for similar assets or
liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield
curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other marketcorroborated inputs); and |
|
|
|
Level 3 Unobservable inputs based on the best information available in the circumstances, to the extent
observable inputs are not available (including the Valuation Committees assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the
lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into
different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies
or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the
|
|
|
C O N S O L I D A T E D S C H E D
U L E O F I N V E S T M E N T S |
|
30 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
|
Fair Value Hierarchy as of Period End (continued)
pricing
transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trusts policy regarding valuation of financial instruments, refer to its most
recent financial statements.
Certain investments of the Trust were fair valued using net asset value (NAV) as a practical expedient as no
quoted market value is available and therefore have been excluded from the fair value hierarchy.
The following table summarizes the Trusts
financial instruments categorized in the fair value hierarchy. The breakdown of the Trusts financial instruments into major categories is disclosed in the Consolidated Schedule of Investments above.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
$ |
|
|
|
$ |
159,101,192 |
|
|
$ |
10,738,457 |
|
|
$ |
169,839,649 |
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Australia |
|
|
|
|
|
|
6,867,362 |
|
|
|
|
|
|
|
6,867,362 |
|
Canada |
|
|
22,448,332 |
|
|
|
|
|
|
|
|
|
|
|
22,448,332 |
|
Cayman Islands |
|
|
296,588 |
|
|
|
|
|
|
|
904,675 |
|
|
|
1,201,263 |
|
China |
|
|
|
|
|
|
7,148,322 |
|
|
|
|
|
|
|
7,148,322 |
|
France |
|
|
|
|
|
|
56,987,078 |
|
|
|
|
|
|
|
56,987,078 |
|
Germany |
|
|
898,505 |
|
|
|
37,319,502 |
|
|
|
|
|
|
|
38,218,007 |
|
Hong Kong |
|
|
|
|
|
|
5,725,781 |
|
|
|
|
|
|
|
5,725,781 |
|
India |
|
|
|
|
|
|
|
|
|
|
4,043,471 |
|
|
|
4,043,471 |
|
Israel |
|
|
8,777,245 |
|
|
|
|
|
|
|
|
|
|
|
8,777,245 |
|
Italy |
|
|
|
|
|
|
8,731,312 |
|
|
|
|
|
|
|
8,731,312 |
|
Japan |
|
|
|
|
|
|
31,047,439 |
|
|
|
|
|
|
|
31,047,439 |
|
Netherlands |
|
|
53,685 |
|
|
|
40,215,712 |
|
|
|
|
|
|
|
40,269,397 |
|
South Korea |
|
|
|
|
|
|
7,350,720 |
|
|
|
|
|
|
|
7,350,720 |
|
Spain |
|
|
|
|
|
|
11,003,293 |
|
|
|
|
|
|
|
11,003,293 |
|
Switzerland |
|
|
9,165,260 |
|
|
|
19,588,057 |
|
|
|
|
|
|
|
28,753,317 |
|
Taiwan |
|
|
6,450,100 |
|
|
|
|
|
|
|
|
|
|
|
6,450,100 |
|
United Kingdom |
|
|
5,673,112 |
|
|
|
43,979,642 |
|
|
|
|
|
|
|
49,652,754 |
|
United States |
|
|
558,384,531 |
|
|
|
10,148,572 |
|
|
|
11,707,506 |
|
|
|
580,240,609 |
|
Corporate Bonds |
|
|
|
|
|
|
228,587,052 |
|
|
|
56,749,397 |
|
|
|
285,336,449 |
|
Floating Rate Loan Interests |
|
|
|
|
|
|
52,678,072 |
|
|
|
70,596,864 |
|
|
|
123,274,936 |
|
Foreign Agency Obligations |
|
|
|
|
|
|
88,120,611 |
|
|
|
|
|
|
|
88,120,611 |
|
Investment Companies |
|
|
32,986,113 |
|
|
|
|
|
|
|
|
|
|
|
32,986,113 |
|
Municipal Bonds |
|
|
|
|
|
|
2,376,509 |
|
|
|
|
|
|
|
2,376,509 |
|
Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
|
104,512,392 |
|
|
|
7,643,625 |
|
|
|
112,156,017 |
|
Other Interests |
|
|
|
|
|
|
|
|
|
|
5,957,296 |
|
|
|
5,957,296 |
|
Preferred Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Trust |
|
|
|
|
|
|
865,524 |
|
|
|
|
|
|
|
865,524 |
|
Preferred Stocks |
|
|
|
|
|
|
5,214,826 |
|
|
|
64,737,063 |
|
|
|
69,951,889 |
|
U.S. Government Sponsored Agency Securities |
|
|
|
|
|
|
273,740,701 |
|
|
|
|
|
|
|
273,740,701 |
|
Warrants |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cayman Islands |
|
|
16,271 |
|
|
|
|
|
|
|
|
|
|
|
16,271 |
|
Israel |
|
|
741 |
|
|
|
|
|
|
|
130,458 |
|
|
|
131,199 |
|
United Kingdom |
|
|
509 |
|
|
|
|
|
|
|
|
|
|
|
509 |
|
United States |
|
|
81,085 |
|
|
|
7,081 |
|
|
|
790,779 |
|
|
|
878,945 |
|
Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Certificates of Deposit |
|
|
|
|
|
|
2,933,379 |
|
|
|
|
|
|
|
2,933,379 |
|
Commercial Paper |
|
|
|
|
|
|
758,166 |
|
|
|
|
|
|
|
758,166 |
|
Money Market Funds |
|
|
3,257,468 |
|
|
|
|
|
|
|
|
|
|
|
3,257,468 |
|
Options Purchased |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Contracts |
|
|
5,856,783 |
|
|
|
59,531 |
|
|
|
|
|
|
|
5,916,314 |
|
Foreign Currency Exchange Contracts |
|
|
|
|
|
|
472,827 |
|
|
|
|
|
|
|
472,827 |
|
Interest Rate Contracts |
|
|
623,431 |
|
|
|
3,415,670 |
|
|
|
|
|
|
|
4,039,101 |
|
31
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
|
Fair Value Hierarchy as of Period End (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
Other Contracts |
|
$ |
|
|
|
$ |
|
|
|
$ |
27,623 |
|
|
$ |
27,623 |
|
Unfunded Floating Rate Loan Interests(a) |
|
|
|
|
|
|
|
|
|
|
4,427 |
|
|
|
4,427 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA Sale Commitments |
|
|
|
|
|
|
(110,000,828 |
) |
|
|
|
|
|
|
(110,000,828 |
) |
Unfunded Floating Rate Loan Interests(a) |
|
|
|
|
|
|
(5,798 |
) |
|
|
(4,466 |
) |
|
|
(10,264 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
654,969,759 |
|
|
$ |
1,098,949,699 |
|
|
$ |
234,027,175 |
|
|
|
1,987,946,633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments Valued at NAV(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,132,943 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,992,079,576 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Financial Instruments(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
$ |
|
|
|
$ |
10,007 |
|
|
$ |
|
|
|
$ |
10,007 |
|
Equity Contracts |
|
|
29,486 |
|
|
|
328,568 |
|
|
|
|
|
|
|
358,054 |
|
Foreign Currency Exchange Contracts |
|
|
|
|
|
|
1,396,337 |
|
|
|
|
|
|
|
1,396,337 |
|
Interest Rate Contracts |
|
|
7,311,332 |
|
|
|
7,626,217 |
|
|
|
|
|
|
|
14,937,549 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Contracts |
|
|
|
|
|
|
(845,787 |
) |
|
|
|
|
|
|
(845,787 |
) |
Equity Contracts |
|
|
(4,840,964 |
) |
|
|
(1,166,940 |
) |
|
|
|
|
|
|
(6,007,904 |
) |
Foreign Currency Exchange Contracts |
|
|
|
|
|
|
(9,941,273 |
) |
|
|
|
|
|
|
(9,941,273 |
) |
Interest Rate Contracts |
|
|
(12,803,881 |
) |
|
|
(20,094,573 |
) |
|
|
|
|
|
|
(32,898,454 |
) |
Other Contracts |
|
|
|
|
|
|
(15,973 |
) |
|
|
|
|
|
|
(15,973 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(10,304,027 |
) |
|
$ |
(22,703,417 |
) |
|
$ |
|
|
|
$ |
(33,007,444 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.
|
|
|
(b) |
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. |
|
|
(c) |
Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options
written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
|
A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of
Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were
used in determining fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
|
Common Stocks |
|
|
Corporate Bonds |
|
|
Floating Rate Loan Interests |
|
|
Non-Agency
Mortgage-Backed Securities |
|
|
Option Purchased |
|
|
Other Interests |
|
|
|
Assets/Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Opening balance, as of December 31, 2022 |
|
$ |
11,817,455 |
|
|
$ |
27,126,641 |
|
|
$ |
36,101,303 |
|
|
$ |
80,651,617 |
|
|
$ |
10,549,081 |
|
|
$ |
23,343 |
|
|
$ |
6,069,584 |
|
Transfers into Level 3 |
|
|
265,573 |
|
|
|
|
|
|
|
199,502 |
|
|
|
3,328,501 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out of Level 3 |
|
|
(1,024,116 |
) |
|
|
|
|
|
|
|
|
|
|
(2,184,857 |
) |
|
|
(866,700 |
) |
|
|
|
|
|
|
|
|
Other(a) |
|
|
|
|
|
|
(8,415,167 |
) |
|
|
8,754,728 |
|
|
|
(8,754,728 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Accrued discounts/premiums |
|
|
1,642 |
|
|
|
|
|
|
|
54,018 |
|
|
|
47,934 |
|
|
|
20,015 |
|
|
|
|
|
|
|
|
|
Net realized gain (loss) |
|
|
4,460 |
|
|
|
(297 |
) |
|
|
3,708 |
|
|
|
(160,654 |
) |
|
|
(202,487 |
) |
|
|
(43,332 |
) |
|
|
|
|
Net change in unrealized appreciation (depreciation)(b)
|
|
|
61,008 |
|
|
|
(2,055,525 |
) |
|
|
(124,534 |
) |
|
|
65,426 |
|
|
|
(124,471 |
) |
|
|
(110,549 |
) |
|
|
(112,288 |
) |
Purchases |
|
|
|
|
|
|
|
|
|
|
12,374,570 |
|
|
|
|
|
|
|
|
|
|
|
158,161 |
|
|
|
|
|
Sales |
|
|
(387,565 |
) |
|
|
|
|
|
|
(613,898 |
) |
|
|
(2,396,375 |
) |
|
|
(1,731,813 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Closing balance, as of March 31, 2023 |
|
$ |
10,738,457 |
|
|
$ |
16,655,652 |
|
|
$ |
56,749,397 |
|
|
$ |
70,596,864 |
|
|
$ |
7,643,625 |
|
|
$ |
27,623 |
|
|
$ |
5,957,296 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2023(b) |
|
$ |
61,008 |
|
|
$ |
(2,055,525 |
) |
|
$ |
(124,534 |
) |
|
$ |
(7,979 |
) |
|
$ |
(347,092 |
) |
|
$ |
(130,538 |
) |
|
$ |
(112,288 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
|
Unfunded Floating Rate Loan Interests |
|
|
Warrants |
|
|
Total |
|
|
|
Assets/Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Opening balance, as of December 31, 2022 |
|
$ |
56,384,367 |
|
|
$ |
|
|
|
$ |
957,038 |
|
|
$ |
229,680,429 |
|
Transfers into Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,793,576 |
|
Transfers out of Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(4,075,673 |
) |
Other(a) |
|
|
8,415,167 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Accrued discounts/premiums |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
123,609 |
|
|
|
|
C O N S O L I D A T E D S C H E D U L E
O F I N V E S T M E N T S |
|
32 |
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred
Stocks |
|
|
Unfunded
Floating Rate Loan Interests |
|
|
Warrants |
|
|
Total |
|
Net realized gain (loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(398,602 |
) |
Net change in unrealized appreciation (depreciation)(b)
|
|
$ |
(1,579,887 |
) |
|
$ |
(39 |
) |
|
$ |
(35,801 |
) |
|
$ |
(4,016,660 |
) |
Purchases |
|
|
1,517,416 |
|
|
|
|
|
|
|
|
|
|
|
14,050,147 |
|
Sales |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(5,129,651 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Closing balance, as of March 31, 2023 |
|
$ |
64,737,063 |
|
|
$ |
(39 |
) |
|
$ |
921,237 |
|
|
$ |
234,027,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2023(b) |
|
$ |
(1,579,887 |
) |
|
$ |
(39 |
) |
|
$ |
(35,801 |
) |
|
$ |
(4,332,675 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Certain Level 3 investments were re-classified between Common Stocks,
Corporate Bonds, Floating Rate Loan Interests and Preferred Stocks. |
|
|
(b) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation
(depreciation) on investments still held at March 31, 2023 is generally due to investments no longer held or categorized as Level 3 at period end. |
|
The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock
Valuation Committee (the Valuation Committee) to determine the value of certain of the Trusts Level 3 financial instruments as of period end. The table does not include Level 3 financial instruments with values based upon
unadjusted third-party pricing information in the amount of $36,747,157. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Value |
|
|
|
Valuation Approach |
|
|
Unobservable
Inputs |
|
|
Range of Unobservable Inputs Utilized |
(a) |
|
|
Weighted Average of Unobservable Inputs Based on Fair Value |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
16,655,652 |
|
|
|
Market |
|
|
Revenue Multiple |
|
|
3.85x - 6.00x |
|
|
|
4.66x |
|
|
|
|
|
|
|
|
|
|
|
Volatility |
|
|
52% -75% |
|
|
|
68% |
|
|
|
|
|
|
|
|
|
|
|
Time to Exit |
|
|
1.0 - 1.9 years |
|
|
|
1.4 years |
|
|
|
|
|
|
|
|
|
|
|
Market Adjustment Multiple |
|
|
0.50x |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Profit Multiple |
|
|
18.50x |
|
|
|
|
|
|
|
|
|
|
|
Asset Backed Securities |
|
|
6,816,251 |
|
|
|
Income |
|
|
Discount Rate |
|
|
8% - 9% |
|
|
|
8% |
|
|
|
|
|
|
|
Corporate Bonds |
|
|
42,817,927 |
|
|
|
Income |
|
|
Discount Rate |
|
|
8% - 35% |
|
|
|
14% |
|
|
|
|
|
|
|
|
Market |
|
|
Revenue Multiple |
|
|
5.00x |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Volatility |
|
|
65% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Time to Exit |
|
|
2.8 years |
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Loan Interests |
|
|
59,660,686 |
|
|
|
Income |
|
|
Discount Rate |
|
|
6% - 14% |
|
|
|
11% |
|
|
|
|
|
|
|
|
|
|
|
Credit Spread |
|
|
394 - 819 |
|
|
|
464 |
|
Other Interests |
|
|
5,957,296 |
|
|
|
Income |
|
|
Discount Rate |
|
|
6% - 7% |
|
|
|
7% |
|
|
|
|
|
|
|
Preferred Stock |
|
|
64,450,970 |
|
|
|
Market |
|
|
Revenue Multiple |
|
|
2.05x - 28.00x |
|
|
|
10.91x |
|
|
|
|
|
|
|
|
|
|
|
Volatility |
|
|
46% - 90% |
|
|
|
69% |
|
|
|
|
|
|
|
|
|
|
|
Time to Exit |
|
|
1.5 - 5.0 years |
|
|
|
3.5 years |
|
|
|
|
|
|
|
|
|
|
|
Market Adjustment Multiple |
|
|
0.50x -0.95x |
|
|
|
0.83x |
|
|
|
|
|
|
|
|
|
|
|
EBITDA Multiple |
|
|
15.00x |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EBITDAR Multiple |
|
|
6.75x |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Recent Transactions |
|
|
(b |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Profit Multiple |
|
|
5.76x |
|
|
|
|
|
|
|
|
|
|
|
|
Income |
|
|
Discount Rate |
|
|
13% - 14% |
|
|
|
13% |
|
|
|
|
|
|
|
Warrants |
|
|
921,236 |
|
|
|
Market |
|
|
Revenue Multiple |
|
|
9.25x -26.05x |
|
|
|
12.19x |
|
|
|
|
|
|
|
|
|
|
|
Volatility |
|
|
49% - 75% |
|
|
|
62% |
|
|
|
|
|
|
|
|
|
|
|
Time to Exit |
|
|
0.3 - 4.5 years |
|
|
|
4.0 years |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
197,280,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.
|
|
|
(b) |
For the period end March 31, 2023, the valuation technique for certain investments classified as Preferred Stock
used recent prior transaction prices as inputs within the model used for the approximation of fair value. |
|
33
|
|
|
Consolidated Schedule of Investments (unaudited) (continued)
March 31, 2023 |
|
BlackRock Capital Allocation Trust (BCAT)
|
|
|
|
|
Currency Abbreviation |
|
|
AUD |
|
Australian Dollar |
|
|
BRL |
|
Brazilian Real |
|
|
CAD |
|
Canadian Dollar |
|
|
CHF |
|
Swiss Franc |
|
|
CNH |
|
Chinese Yuan |
|
|
CNY |
|
Chinese Yuan |
|
|
COP |
|
Colombian Peso |
|
|
DKK |
|
Danish Krone |
|
|
EUR |
|
Euro |
|
|
GBP |
|
British Pound |
|
|
HKD |
|
Hong Kong Dollar |
|
|
HUF |
|
Hungarian Forint |
|
|
JPY |
|
Japanese Yen |
|
|
MXN |
|
Mexican Peso |
|
|
NOK |
|
Norwegian Krone |
|
|
SEK |
|
Swedish Krona |
|
|
TWD |
|
New Taiwan Dollar |
|
|
USD |
|
United States Dollar |
|
|
ZAR |
|
South African Rand |
|
Portfolio Abbreviation |
|
|
ABS |
|
Asset-Backed Security |
|
|
ADR |
|
American Depositary Receipt |
|
|
BZDIOVER |
|
Overnight Brazil Interbank Deposit (CETIP) |
|
|
CLO |
|
Collateralized Loan Obligation |
|
|
CMT |
|
Constant Maturity Treasury |
|
|
CR |
|
Custodian Receipt |
|
|
DAC |
|
Designated Activity Company |
|
|
DIP |
|
Debtor-In-Possession |
|
|
ESTR |
|
Euro Short Term Rate |
|
|
ETF |
|
Exchange-Traded Fund |
|
|
EURIBOR |
|
Euro Interbank Offered Rate |
|
|
FREMF |
|
Freddie Mac Multifamily Securities |
|
|
FTSE |
|
Financial Times Stock Exchange |
|
|
GO |
|
General Obligation Bonds |
|
|
LIBOR |
|
London Interbank Offered Rate |
|
|
MSCI |
|
Morgan Stanley Capital International |
|
|
MTA |
|
Month Treasury Average |
|
|
MXIBTIIE |
|
Mexico Interbank TIIE 28-Day |
|
|
PIK |
|
Payment-in-Kind |
|
|
RB |
|
Revenue Bond |
|
|
S&P |
|
Standard & Poors |
|
|
|
|
Portfolio Abbreviation (continued) |
|
|
SOFR |
|
Secured Overnight Financing Rate |
|
|
SOFR CME |
|
Secured Overnight Financing Rate Chicago Mercantile Exchange |
|
|
SOFRTE |
|
Term Secured Overnight Financing Rate |
|
|
SONIA |
|
Sterling Overnight Interbank Average Rate |
|
|
SPDR |
|
Standard & Poors Depository Receipt |
|
|
ST |
|
Special Tax |
|
|
TBA |
|
To-Be-Announced |
|
|
|
C O N S O L I D A T E D S C H E D
U L E O F I N V E S T M E N T S |
|
34 |
BlackRock Capital Alloca... (NYSE:BCAT)
過去 株価チャート
から 5 2024 まで 6 2024
BlackRock Capital Alloca... (NYSE:BCAT)
過去 株価チャート
から 6 2023 まで 6 2024