NPORT-EX 2 NPORT_5835934055371196.htm BlackRock Capital Allocation Trust Fund

Schedule of Investments (unaudited)

September 30, 2020

   

BlackRock Capital Allocation Trust Fund (BCAT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  

Asset-Backed Securities

 

Cayman Islands(a)(b) — 0.3%  

AGL CORE CLO Ltd.,
6.82%, 07/20/30

     USD       2,500     $ 2,415,063  

Elmwood CLO II Ltd.,
Series 2019-2A, Class E,
(3 mo. LIBOR US + 6.80%),
7.07%, 04/20/31

       4,225       4,009,125  
     

 

 

  
        6,424,188  
United States(a) — 0.6%  

Ajax Mortgage Loan Trust

      

Series 2020-D, Class A,
2.25%, 06/25/60(c)

      5,625       5,533,082  

Series 2020-D, Class B,
5.00%, 06/25/60

       525       517,676  

Series 2020-D, Class C,
0.00%, 06/25/60

       1,350       1,076,240  

Cayuga Park CLO Ltd.,
Series 2020-1A, Class E,
(3 mo. LIBOR US + 7.33%),
7.75%, 07/17/31(b)

      500       496,293  

Progress Residential Trust,
5.46%, 08/17/35

       2,750       2,762,556  

Whitebox Clo II Ltd., Series 2020-2A, Class D, (3 mo. LIBOR US + 4.15%),
4.40%, 10/24/31(b)

      1,000       993,837  
     

 

 

  
        11,379,684  
     

 

 

  

Total Asset-Backed Securities — 0.9%
(Cost: $17,895,971)

 

     17,803,872  
     

 

 

  
            Shares         

Common Stocks

 

Canada — 0.3%  

Enbridge, Inc.

       188,892       5,518,305  
     

 

 

  
China — 0.3%  

Alibaba Group Holding Ltd., ADR(d)

      12,820       3,768,824  

Tencent Holdings Ltd.

       38,600       2,547,583  
     

 

 

  
        6,316,407  
Finland — 0.1%  

Neste OYJ

       30,219       1,593,299  
     

 

 

  
France — 0.8%  

Arkema SA

       23,767       2,525,182  

Danone SA

       82,196       5,321,589  

LVMH Moet Hennessy Louis Vuitton SE

       4,938       2,312,349  

Safran SA(d)

      21,538       2,132,298  

Sanofi

       28,258       2,827,075  
     

 

 

  
        15,118,493  
Germany — 0.5%  

adidas AG, Class N(d)

      9,142       2,959,388  

Deutsche Telekom AG, Class N, Registered Shares

       257,628       4,316,379  

Siemens AG, Class N, Registered Shares

       22,174       2,804,653  
     

 

 

  
        10,080,420  
Hong Kong — 0.3%  

AIA Group Ltd.

       256,400       2,511,050  

Sun Hung Kai Properties Ltd.

       201,000       2,562,409  
     

 

 

  
        5,073,459  
Italy — 0.3%  

Enel SpA

       525,716       4,572,274  

UniCredit SpA(d)

      258,480       2,135,021  
     

 

 

  
        6,707,295  
Japan — 0.3%  

Ajinomoto Co., Inc.

       152,800       3,128,007  

 

Security          Shares     Value  
Japan (continued)  

Astellas Pharma, Inc.

       35,600     $ 528,945  

Hoya Corp.

       9,200       1,034,580  

Shin-Etsu Chemical Co. Ltd.

       15,200       1,972,332  
     

 

 

  
        6,663,864  
Netherlands — 0.8%  

Adyen NV(a)(d)

      1,670       3,078,941  

Akzo Nobel NV

       30,889       3,129,769  

ASML Holding NV

       10,421       3,845,036  

ING Groep NV(d)

      511,914       3,635,372  

NXP Semiconductors NV

       22,732       2,837,181  
     

 

 

  
        16,526,299  
Spain — 0.2%  

Cellnex Telecom SA(a)

      46,598       2,840,958  
     

 

 

  
Sweden — 0.2%  

Volvo AB, B Shares(d)

      203,319       3,928,645  
     

 

 

  
Switzerland — 0.4%  

Roche Holding AG

       24,504       8,384,383  
     

 

 

  
Taiwan — 0.2%  

Taiwan Semiconductor Manufacturing Co. Ltd., ADR

       50,174       4,067,606  
     

 

 

  
United Kingdom — 0.3%  

Unilever PLC

       68,822       4,241,299  

Vodafone Group PLC

       1,734,790       2,298,476  
     

 

 

  
        6,539,775  
United States — 11.5%  

Abbott Laboratories

       36,359       3,956,950  

AbbVie, Inc.

       63,995       5,605,322  

Air Products & Chemicals, Inc.

       21,859       6,510,922  

Alphabet, Inc., Class C(d)

      5,294       7,780,062  

Amazon.com, Inc.(d)

      2,437       7,673,455  

Apple, Inc.

       50,804       5,883,611  

Applied Materials, Inc.

       51,648       3,070,474  

Aptiv PLC(d)

      38,633       3,541,874  

Autodesk, Inc.(d)

      18,572       4,290,318  

Bank of America Corp.

       86,553       2,085,062  

Becton Dickinson and Co.

       33,690       7,838,989  

Boston Scientific Corp.(d)

      40,803       1,559,083  

Bristol-Myers Squibb Co.

       66,514       4,010,129  

Capital One Financial Corp.

       49,669       3,569,214  

Charter Communications, Inc., Class A(d)

      8,379       5,231,345  

Comcast Corp., Class A

       113,925       5,270,171  

Costco Wholesale Corp.

       12,944       4,595,120  

D.R. Horton, Inc.

       24,062       1,819,809  

Fortive Corp.

       67,303       5,129,162  

Gilead Sciences, Inc.

       55,730       3,521,579  

HCA Healthcare, Inc.(d)

      32,628       4,068,059  

International Flavors & Fragrances, Inc.

       30,010       3,674,725  

Johnson & Johnson

       36,367       5,414,319  

JPMorgan Chase & Co.

       33,871       3,260,761  

L3Harris Technologies, Inc.

       42,172       7,162,493  

Liberty Media Corp. - Liberty SiriusXM,
Class C(d)

      85,798       2,838,198  

Lowe’s Cos., Inc.

       20,776       3,445,907  

Marsh & McLennan Cos., Inc.

       38,399       4,404,365  

Mastercard, Inc., Class A

       17,972       6,077,591  

McDonald’s Corp.

       13,513       2,965,968  

Merck & Co., Inc.

       55,873       4,634,665  

Micron Technology, Inc.(d)

      44,015       2,066,944  
 

 

 

S C H E D U L E    O F    I N V E S T  M E N T S

   1

Schedule of Investments  (unaudited) (continued)

September 30, 2020

   

BlackRock Capital Allocation Trust Fund (BCAT)

(Percentages shown are based on Net Assets)

 

Security              
Shares		     Value  
United States (continued)                  

Microsoft Corp.

       51,687     $ 10,871,327  

Morgan Stanley

       136,444       6,597,067  

NextEra Energy, Inc.

       14,463       4,014,350  

PayPal Holdings, Inc.(d)

      21,311       4,198,906  

PPG Industries, Inc.

       35,453       4,328,102  

PTC, Inc.(d)

      38,067       3,148,902  

Raytheon Technologies Corp.

       96,755       5,567,283  

salesforce.com, Inc.(d)

      14,882       3,740,144  

Starbucks Corp.

       56,374       4,843,654  

Thermo Fisher Scientific, Inc.

       10,764       4,752,521  

TJX Cos., Inc.(d)

      44,766       2,491,228  

Union Pacific Corp.

       37,188       7,321,202  

UnitedHealth Group, Inc.

       24,388       7,603,447  

Vertex Pharmaceuticals, Inc.(d)

      5,609       1,526,321  

Vertiv Holdings Co.(d)

      177,617       3,076,327  

VMware, Inc., Class A(d)

      38,976       5,599,682  

Walmart, Inc.

       37,198       5,204,372  

Walt Disney Co.(d)

      16,328       2,025,978  
     

 

 

  
        229,867,459  
     

 

 

  

Total Common Stocks — 16.5%
(Cost: $328,833,214)

 

     329,226,667  
     

 

 

  
            Par
(000)		         

Corporate Bonds

 

Austria — 0.0%  

BRF GmbH, 4.35%, 09/29/26

     USD       200       206,813  
     

 

 

  
Brazil — 0.2%  

Braskem Netherlands Finance BV,
(5 year CMT + 8.22%),
8.50%, 01/23/81(a)(e)

      297       298,949  

BRF SA, 4.88%, 01/24/30

       292       299,178  

Centrais Eletricas Brasileiras SA,
4.63%, 02/04/30(a)

      299       298,252  

Embraer Netherlands Finance BV,
5.40%, 02/01/27

       315       297,478  

Gol Finance SA, 7.00%, 01/31/25(a)

      62       43,215  

Itau Unibanco Holding SA,
5.13%, 05/13/23(a)

      200       210,813  

Minerva Luxembourg SA,
6.50%, 09/20/26(a)

      288       299,160  

Oi SA, (10% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(f)

      309       296,881  

Petrobras Global Finance BV

      

5.30%, 01/27/25

       138       149,575  

6.00%, 01/27/28

       136       150,593  

5.09%, 01/15/30

       144       151,322  

5.60%, 01/03/31

       282       301,235  

7.25%, 03/17/44

       265       301,471  

Suzano Austria GmbH, 3.75%, 01/15/31

       150       149,850  

Ultrapar International SA,
5.25%, 06/06/29(a)

      200       207,688  

Usiminas International Sarl,
5.88%, 07/18/26(a)

      200       203,688  
     

 

 

  
        3,659,348  
Security          Par
(000)		     Value  
Cayman Islands — 0.1%                  

Bioceanico Sovereign Certificate Ltd.,
0.00%, 06/05/34(g)

    USD       201     $ 149,785  

Fantasia Holdings Group Co. Ltd.,
9.25%, 07/28/23

       2,000       1,898,125  
     

 

 

  
        2,047,910  
Chile — 0.0%                  

Celulosa Arauco y Constitucion SA,
4.20%, 01/29/30

       283       299,272  
     

 

 

  
China — 0.1%                  

New Metro Global Ltd., 6.50%, 05/20/22

       2,500       2,550,000  
     

 

 

  
Colombia — 0.1%                  

Ecopetrol SA, 5.88%, 05/28/45

       413       449,912  

Empresas Publicas de Medellin ESP,
4.25%, 07/18/29(a)

      299       298,581  

Geopark Ltd., 6.50%, 09/21/24(a)

      316       297,040  

Grupo Aval Ltd., 4.38%, 02/04/30(a)

      200       192,780  

Millicom International Cellular SA,
5.13%, 01/15/28

       434       448,241  
     

 

 

  
        1,686,554  
Dominican Republic — 0.0%                  

Aeropuertos Dominicanos Siglo XXI SA,
6.75%, 03/30/29(a)

      200       178,000  
     

 

 

  
Guatemala(a) — 0.1%                  

Central American Bottling Corp.,
5.75%, 01/31/27

       289       299,492  

Comunicaciones Celulares SA Via Comcel Trust, 6.88%, 02/06/24

       293       296,302  

Energuate Trust, 5.88%, 05/03/27

       288       299,070  
     

 

 

  
        894,864  
India — 0.4%                  

Delhi International Airport Ltd., 6.13%, 10/31/26

       1,000       1,007,313  

GMR Hyderabad International Airport Ltd., 5.38%, 04/10/24

       1,000       987,331  

HPCL-Mittal Energy Ltd., 5.45%, 10/22/26

       1,000       1,007,812  

ReNew Power Pvt Ltd., 5.88%, 03/05/27

       2,500       2,485,750  

Shriram Transport Finance Co. Ltd.,
5.10%, 07/16/23

       2,500       2,292,969  
     

 

 

  
        7,781,175  
Indonesia — 0.1%                  

Medco Oak Tree Pte Ltd., 7.38%, 05/14/26

       1,000       954,687  
     

 

 

  
Israel — 0.0%                  

Leviathan Bond Ltd., 5.75%, 06/30/23(a)

      291       299,721  
     

 

 

  
Luxembourg — 0.0%                  

MHP Lux SA, 6.25%, 09/19/29

       311       295,450  
     

 

 

  
Macau — 0.2%                  

MGM China Holdings Ltd., 5.88%, 05/15/26

       2,500       2,587,500  

Wynn Macau Ltd., 5.50%, 01/15/26

       2,000       1,975,000  
     

 

 

  
        4,562,500  
Mauritius — 0.0%                  

HTA Group Ltd., 7.00%, 12/18/25(a)

      285       297,112  
     

 

 

  
Mexico — 0.2%                  

Credito Real SAB de C.V. Sofom ENR ,
7.25%, 07/20/23(a)

      200       195,550  

Axtel SAB de CV, 6.38%, 11/14/24(a)

      287       298,121  
 

 

 

2  

Schedule of Investments  (unaudited) (continued)

September 30, 2020

   

BlackRock Capital Allocation Trust Fund (BCAT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Mexico (continued)                  

Cemex SAB de CV, 5.45%, 11/19/29

     USD       296     $ 299,330  

Controladora Mabe SA de CV,
5.60%, 10/23/28(a)

      200       223,540  

Cydsa SAB de CV, 6.25%, 10/04/27(a)

      295       297,305  

Grupo Bimbo SAB de CV, (5 year CMT +
3.28%), 5.95%(a)(e)(h)

      200       209,281  

Grupo KUO SAB de CV, 5.75%, 07/07/27(a)

      200       193,125  

Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(a)

      324       296,663  

Orbia Advance Corp. SAB de CV,
5.50%, 01/15/48(a)

      200       224,250  

Petroleos Mexicanos

      

6.88%, 08/04/26

       316       304,118  

6.50%, 01/23/29

       341       305,338  

5.95%, 01/28/31(a)

      366       305,477  
     

 

 

  
        3,152,098  
Netherlands(a) — 0.0%                  

Equate Petrochemical BV, 4.25%, 11/03/26

       287       300,756  

VEON Holdings BV, 4.00%, 04/09/25

       289       299,115  
     

 

 

  
        599,871  
Panama — 0.0%                  

AES Panama Generation Holdings SRL,
4.38%, 05/31/30(a)

      292       299,209  

Banistmo SA, 3.65%, 09/19/22

       200       202,500  

Cable Onda SA, 4.50%, 01/30/30

       287       299,018  
     

 

 

  
        800,727  
Peru — 0.1%                  

Consorcio Transmantaro SA,
4.70%, 04/16/34(a)

      200       235,819  

Inkia Energy Ltd., 5.88%, 11/09/27

       286       298,602  

Lima Metro Line Finance Ltd.,
4.35%, 04/05/36(a)

      200       220,500  

Nexa Resources SA, 5.38%, 05/04/27(a)

      288       299,880  
     

 

 

  
        1,054,801  
Saudi Arabia — 0.0%                  

Saudi Arabian Oil Co., 3.50%, 04/16/29

       273       299,532  
     

 

 

  
Singapore — 0.0%                  

Puma International Financing SA

      

5.13%, 10/06/24(a)

      200       177,000  

5.00%, 01/24/26

       354       295,701  
     

 

 

  
        472,701  
South Africa — 0.0%                  

Gold Fields Orogen Holdings BVI Ltd.,
5.13%, 05/15/24(a)

      200       217,250  

SASOL Financing USA LLC, 6.50%, 09/27/28

       317       297,187  
     

 

 

  
        514,437  
United Arab Emirates — 0.0%                  

DP World Salaam, (5 year CMT + 5.75%), 6.00%(e)(h)

      285       298,894  

MAF Sukuk Ltd., 4.64%, 05/14/29

       200       216,875  
     

 

 

  
        515,769  
United States — 2.9%                  

Acadia Healthcare Co., Inc.,
5.00%, 04/15/29(a)(i)

      243       245,126  

Albertsons Cos., Inc., 4.88%, 02/15/30(a)

      3,801       3,962,542  

Allegiant Travel Co., 8.50%, 02/05/24

       5,000       5,000,000  

Caesars Entertainment, Inc.,
6.25%, 07/01/25(a)

      2,011       2,101,988  

Calpine Corp., 4.50%, 02/15/28(a)

      3,903       3,997,218  

Cheniere Energy Partners LP,
5.63%, 10/01/26

       3,740       3,889,600  

Hilton Domestic Operating Co., Inc.,
5.13%, 05/01/26

       2,000       2,058,540  
Security          Par
(000)		     Value  
United States (continued)                  

Howmet Aerospace, Inc., 6.88%, 05/01/25

     USD       3,522     $ 3,891,810  

JBS USA LUX SA/JBS USA Finance, Inc.,
6.75%, 02/15/28(a)

      1,916       2,078,860  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,
4.63%, 06/15/25(a)

      3,880       3,957,600  

Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.88%, 03/01/31(a)

      4,048       3,997,400  

Service Properties Trust, 4.50%, 06/15/23

       2,122       2,081,003  

Sirius XM Radio, Inc., 5.50%, 07/01/29(a)

      3,689       3,956,453  

Sunoco LP/Sunoco Finance Corp.,
5.50%, 02/15/26

       3,963       3,958,046  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
5.88%, 04/15/26

       3,805       3,906,594  

VICI Properties LP/VICI Note Co., Inc.,
4.25%, 12/01/26(a)

      3,926       3,944,256  

Vistra Operations Co. LLC, 5.00%, 07/31/27(a)

      3,809       3,991,832  
     

 

 

  
        57,018,868  
     

 

 

  

Total Corporate Bonds — 4.5%
(Cost: $90,401,331)

 

       90,142,210  
     

 

 

  

Foreign Agency Obligations

      
Bahrain — 0.1%                  

Bahrain Government International Bond

      

7.00%, 01/26/26

       269       298,085  

6.75%, 09/20/29

       279       298,530  

CBB International Sukuk Co. 7 SPC,
6.88%, 10/05/25

       268       298,150  
     

 

 

  
        894,765  
Colombia — 0.1%                  

Colombia Government International Bond

      

8.13%, 05/21/24

       124       149,978  

4.50%, 01/28/26

       200       221,063  

3.88%, 04/25/27

       200       216,000  

3.00%, 01/30/30

       294       299,696  

4.13%, 05/15/51

       288       300,240  
     

 

 

  
        1,186,977  
Dominican Republic — 0.1%                  

Dominican Republic International Bond

      

5.50%, 01/27/25

       141       149,812  

5.95%, 01/25/27

       140       150,194  

4.50%, 01/30/30(a)

      305       298,805  

4.88%, 09/23/32(a)

      303       299,970  

6.40%, 06/05/49

       300       300,844  
     

 

 

  
        1,199,625  
Egypt — 0.1%                  

Egypt Government International Bond

      

5.58%, 02/21/23(a)

      200       205,188  

5.75%, 05/29/24(a)

      200       204,500  

5.88%, 06/11/25

       291       298,457  

7.60%, 03/01/29

       292       298,661  

6.38%, 04/11/31(a)

    EUR       320       349,038  

8.50%, 01/31/47(a)

    USD       309       298,185  
     

 

 

  
        1,654,029  
 

 

 

S C H E D U L E    O F    I N V E S T  M E N T S

   3

Schedule of Investments (unaudited) (continued)

September 30, 2020

   

BlackRock Capital Allocation Trust Fund (BCAT)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)		     Value  
Indonesia — 0.0%                  

Indonesia Government International Bond

      

3.50%, 01/11/28

     USD       200     $     218,625  

4.10%, 04/24/28

       200       227,250  
   

 

 

  
        445,875  
Mexico — 0.0%  

Mexico Government International Bond

      

4.15%, 03/28/27

       200       222,300  

3.75%, 01/11/28

       200       215,125  

4.50%, 04/22/29

       268       300,411  
   

 

 

  
        737,836  
Panama — 0.0%  

Panama Government International Bond

      

3.88%, 03/17/28

       200       226,813  

3.16%, 01/23/30

       200       217,250  

4.50%, 04/16/50

       359       448,301  
   

 

 

  
        892,364  
Paraguay(a) — 0.0%  

Paraguay Government International Bond

      

4.95%, 04/28/31

       388       448,140  

5.40%, 03/30/50

       246       297,814  
   

 

 

  
        745,954  
Peru — 0.0%  

Peruvian Government International Bond,
5.63%, 11/18/50

       188       299,919  
   

 

 

  
Qatar — 0.0%  

Qatar Government International Bond,
4.40%, 04/16/50

       349       449,774  
   

 

 

  
Romania — 0.0%  

Romanian Government International Bond, 3.00%, 02/14/31(a)

      436       447,445  
   

 

 

  
Russia — 0.0%  

Russian Foreign Bond - Eurobond

      

4.75%, 05/27/26

       200       229,000  

4.25%, 06/23/27

       400       450,000  
   

 

 

  
        679,000  
Saudi Arabia — 0.1%  

Saudi Government International Bond

      

3.63%, 03/04/28

       200       221,437  

4.38%, 04/16/29(a)

      256       300,000  

4.50%, 04/17/30

       375       448,594  
   

 

 

  
        970,031  
South Africa — 0.0%  

Republic of South Africa Government International Bond,
5.88%, 05/30/22

       283       298,211  
   

 

 

  
Sri Lanka — 0.0%  

Sri Lanka Government International Bond,
5.75%, 04/18/23

       620       459,187  
   

 

 

  
Security          Par
(000)		     Value  
Ukraine — 0.1%  

Ukraine Government International Bond

      

7.75%, 09/01/22

     USD       146     $ 150,088  

7.75%, 09/01/23

       147       149,352  

8.99%, 02/01/24

       200       208,700  

7.75%, 09/01/24

       297       298,114  

7.75%, 09/01/25

       298       298,000  

7.25%, 03/15/33(a)

      324       297,270  
   

 

 

  
        1,401,524  
Uruguay — 0.0%  

Uruguay Government International Bond,
4.98%, 04/20/55

       225       299,804  
   

 

 

  

Total Foreign Agency Obligations — 0.6%
(Cost: $13,125,791)

 

     13,062,320  
   

 

 

  
            Shares         

Investment Companies

 

United States — 1.1%  

iShares iBoxx $ High Yield Corporate Bond ETF(j)(k)

      253,000       21,226,700  
   

 

 

  

Total Investment Companies — 1.1%
(Cost: $21,090,446)

 

     21,226,700  
   

 

 

  
            Par
(000)		         

Non-Agency Mortgage-Backed Securities

 

United States(a) — 1.3%  

AJAX Mortgage Loan Trust

      

Series 2020-C, Class A,
2.25%, 09/27/60(c)

    USD       5,850       5,750,327  

Series 2020-C, Class B, 5.00%, 09/27/60

       375       369,769  

Series 2020-C, Class C, 0.00%, 09/27/60

       1,275       1,040,729  

Banc of America Merrill Lynch Commercial Mortgage Trust, 1.85%, 09/15/34(b)

      2,000       1,848,078  

BFLD Trust, 3.90%, 10/15/22(b)

      4,000       4,000,000  

LCCM Mortgage Trust, Series 2014-909, Class D, 4.03%, 05/15/31(l)

      4,000       3,971,617  

Seasoned Loans Structured Transaction Trust , Series 2020-2, Class M1,
4.75%, 09/25/60(l)

      10,000       10,025,000  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 1.3%
(Cost: $27,023,339)

 

     27,005,520  
   

 

 

  
 

 

 

4  

Schedule of Investments  (unaudited) (continued)

September 30, 2020

   

BlackRock Capital Allocation Trust Fund (BCAT)

(Percentages shown are based on Net Assets)

 

Security

         

Par

(000)

    

Value

  

Preferred Securities

      
Capital Trusts — 0.0%(e)                  
Mexico — 0.0%                  

Banco Mercantil del Norte SA,
6.75%(a)(h)

    USD               200     $ 196,625  

BBVA Bancomer SA, 5.13%

       200       191,875  
     

 

 

  

Total Preferred Securities — 0.0%
(Cost: $388,400)

         388,500  
     

 

 

  

Total Long-Term Investments — 24.9%
(Cost: $498,758,492)

 

       498,855,789  
     

 

 

  

 

Security       
Shares		     Value  

Short-Term Securities

    
Money Market Funds — 99.1%            

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.02%(j)(k)

    1,982,736,877     $ 1,982,736,877  
   

 

 

  

Total Short-Term Securities — 99.1%
(Cost: $1,982,736,877)

 

     1,982,736,877  
   

 

 

  

Total Investments Before Options Written — 124.0%
(Cost: $2,481,495,369)

 

      2,481,592,666  
   

 

 

  

Options Written — (0.0)%
(Premiums Received: $(754,193))

 

     (735,050 ) 
   

 

 

  

Total Investments, Net of Options Written — 124.0%
(Cost: $2,480,741,176)

 

     2,480,857,616  

Liabilities in Excess of Other Assets — (24.0)%

 

     (480,738,210 ) 
   

 

 

  

Net Assets — 100.0%

 

   $ 2,000,119,406  
   

 

 

  

 

(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. Rate shown is the rate in effect as of period end.

(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) 

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(f) 

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.

(g) 

Zero-coupon bond.

(h) 

Perpetual security with no stated maturity date.

(i) 

When-issued security.

(j) 

Affiliate of the Trust.

(k) 

Annualized 7-day yield as of period end.

(l) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Trust during the period ended September 30, 2020, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
12/31/19		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Value at
09/30/20		     Shares
Held at
09/30/20		     Income     Capital Gain
Distributions
from
Underlying
Funds		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $ —     $ 1,982,736,877 (a)    $ —     $ —     $ —     $  1,982,736,877       1,982,736,877     $ 3,824     $ —  

iShares iBoxx $ High Yield Corporate Bond ETF

     —       21,090,446       —       —       136,254       21,226,700       253,000       —       —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  
        $ —     $ 136,254     $ 2,003,963,577       $ 3,824     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold        Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)		  

USD

      3,976,778        CAD    5,298,289        JPMorgan Chase Bank N.A.        12/18/20        $ (3,666 ) 
                      

 

 

  

 

 

S C H E D U L E    O F    I N V E S T  M E N T S

   5

Schedule of Investments  (unaudited) (continued)

September 30, 2020

   

BlackRock Capital Allocation Trust Fund (BCAT)

 

Exchange-Traded Options Written

 

Description    Number of
Contracts		        Expiration
Date		        Exercise Price        Notional
Amount (000)		        Value  
Put                                                   

Amazon.Com, Inc.

      6          11/20/20        USD     2,845.00        USD     1,889        $ (63,150 ) 

Apple, Inc.

      120          11/20/20        USD     100.00        USD     1,390          (29,160 ) 

Applied Materials, Inc.

      170          11/20/20        USD     52.50        USD     1,011          (26,605 ) 

Autodesk, Inc.

      40          11/20/20        USD     210.00        USD     924          (27,200 ) 

JPMorgan Chase & Co.

      73          11/20/20        USD     85.00        USD     703          (13,943 ) 

Marsh & Mclennan Cos

      87          11/20/20        USD     105.00        USD     998          (15,443 ) 

Mastercard, Inc., Class A

      40          11/20/20        USD     305.00        USD     1,353          (26,300 ) 

Micron Technology, Inc.

      147          11/20/20        USD     45.00        USD     690          (33,222 ) 

Microsoft Corp.

      113          11/20/20        USD     190.00        USD     2,377          (49,155 ) 

Paypal Holdings, Inc.

      40          11/20/20        USD     175.00        USD     788          (20,300 ) 

salesforce.com, Inc.

      33          11/20/20        USD     220.00        USD     829          (19,387 ) 

Starbucks Corp.

      120          11/20/20        USD     77.50        USD     1,031          (19,680 ) 

VMware, Inc., Class A

      93          11/20/20        USD     130.00        USD     1,336          (26,505 ) 

Amazon.Com, Inc.

      5          01/15/21        USD     2,840.00        USD     1,574          (80,875 ) 

Apple, Inc.

      90          01/15/21        USD     100.00        USD     1,042          (39,150 ) 

Applied Materials, Inc.

      57          01/15/21        USD     52.50        USD     339          (18,297 ) 

Autodesk, Inc.

      20          01/15/21        USD     210.00        USD     462          (25,100 ) 

JPMorgan Chase & Co.

      37          01/15/21        USD     85.00        USD     356          (13,968 ) 

Marsh & Mclennan Cos

      43          01/15/21        USD     100.00        USD     493          (9,675 ) 

Mastercard, Inc., Class A

      20          01/15/21        USD     300.00        USD     676          (22,050 ) 

Micron Technology, Inc.

      73          01/15/21        USD     45.00        USD     343          (27,375 ) 

Microsoft Corp.

      57          01/15/21        USD     190.00        USD     1,199          (44,032 ) 

Paypal Holdings, Inc.

      20          01/15/21        USD     175.00        USD     394          (17,050 ) 

salesforce.com, Inc.

      17          01/15/21        USD     220.00        USD     427          (17,723 ) 

Starbucks Corp.

      60          01/15/21        USD     77.50        USD     516          (18,450 ) 

VMware, Inc., Class A

      47          01/15/21        USD     130.00        USD     675          (31,255 ) 
                          

 

 

  
                           $ (735,050 ) 
                          

 

 

  

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 market–corroborated inputs)

 

  •  

Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                  

Investments

                  

Long-Term Investments

                  

Asset-Backed Securities

    $          —        $          12,270,790        $          5,533,082        $          17,803,872  

 

 

6  

Schedule of Investments  (unaudited) (continued)

September 30, 2020

    BlackRock Capital Allocation Trust Fund (BCAT)

 

Fair Value Hierarchy as of Period End (continued)

 

      Level 1        Level 2        Level 3        Total  

Common Stocks

                  

Canada

    $ 5,518,305        $ —        $ —        $ 5,518,305  

China

      3,768,824          2,547,583          —          6,316,407  

Finland

      —          1,593,299          —          1,593,299  

France

      —          15,118,493          —          15,118,493  

Germany

      —          10,080,420          —          10,080,420  

Hong Kong

      —          5,073,459          —          5,073,459  

Italy

      —          6,707,295          —          6,707,295  

Japan

      —          6,663,864          —          6,663,864  

Netherlands

      2,837,181          13,689,118          —          16,526,299  

Spain

      —          2,840,958          —          2,840,958  

Sweden

      —          3,928,645          —          3,928,645  

Switzerland

      —          8,384,383          —          8,384,383  

Taiwan

      4,067,606          —          —          4,067,606  

United Kingdom

      —          6,539,775          —          6,539,775  

United States

      229,867,459          —          —          229,867,459  

Corporate Bonds

      —          90,142,210          —          90,142,210  

Foreign Agency Obligations

      —          13,062,320          —          13,062,320  

Investment Companies

      21,226,700          —          —          21,226,700  

Non-Agency Mortgage-Backed Securities

      —          21,255,193          5,750,327          27,005,520  

Preferred Securities

                  

Capital Trusts

      —          388,500          —          388,500  

Short-Term Securities

                  

Money Market Funds

      1,982,736,877          —          —          1,982,736,877  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $  2,250,022,952        $   220,286,305        $     11,283,409        $  2,481,592,666  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments(a)

                 

Liabilities

                  

Equity Contracts

    $ (735,050 )       $ —        $ —        $ (735,050 ) 

Foreign Currency Exchange Contracts

      —          (3,666 )         —          (3,666 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ (735,050 )       $ (3,666 )       $ —        $ (738,716 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

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.

 

Currency Abbreviation

 

CAD   Canadian Dollar
EUR   Euro
USD   United States Dollar

Portfolio Abbreviation

 

ADR   American Depositary Receipt
CLO   Collateralized Loan Obligation
CMT   Constant Maturity Treasury
ETF   Exchange-Traded Fund
GOL   General Obligation Ltd.
LIBOR   London Interbank Offered Rate
PIK   Payment-in-Kind
SAB   Special Assessment Bonds

 

 

S C H E D U L E    O F    I N V E S T  M E N T S

   7