N-Q 1 d301309dnq.htm BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST(BCX) <![CDATA[BlackRock Resources & Commodities Strategy Trust(BCX)]]>

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22501

Name of Fund: BlackRock Resources & Commodities Strategy Trust (BCX)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Resources &

                Commodities Strategy Trust, 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 10/31/2012

Date of reporting period: 01/31/2012

Item 1 – Schedule of Investments

 

 

Consolidated  Schedule of Investments January 31, 2012 (Unaudited)

  

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares      Value  

 

  
Chemicals – 18.4%      

Agrium, Inc. (a)

      135,800       $ 10,899,308   

CF Industries Holdings, Inc. (a)

      59,500         10,554,110   

E.I. du Pont de Nemours & Co. (a)

      357,800         18,208,442   

Israel Chemicals Ltd.

      507,000         5,291,723   

K+S AG

      110,800         5,296,989   

Monsanto Co. (a)

      275,800         22,629,390   

The Mosaic Co. (a)

      193,600         10,835,792   

Potash Corp. of Saskatchewan, Inc. (a)

      604,400         28,249,656   

Sociedad Quimica y Minera de Chile
SA - ADR

      130,000         7,636,200   

Syngenta AG (b)

      46,900         14,242,324   

Uralkali - GDR

      262,800         9,386,571   
     

 

 

  
        143,230,505   

 

  
Energy Equipment & Services – 3.6%   

Atwood Oceanics, Inc. (a)(b)

      18,600         855,228   

Basic Energy Services, Inc. (a)(b)

      24,900         448,449   

Calfrac Well Services Ltd. (a)

      7,700         199,200   

Core Laboratories NV (a)

      30,800         3,271,884   

Guide Exploration Ltd., Class A (b)

      155,700         402,177   

Halliburton Co. (a)

      99,100         3,644,898   

Key Energy Services, Inc. (a)(b)

      156,200         2,261,776   

Patterson-UTI Energy, Inc. (a)

      90,400         1,705,848   

Schlumberger Ltd. (a)

      16,800         1,262,856   

Seadrill Ltd.

      48,754         1,815,398   

Technip SA

      12,900         1,215,214   

Transocean Ltd. (a)

      196,000         9,270,800   

Trican Well Service Ltd. (a)

      76,800         1,277,575   
     

 

 

  
        27,631,303   

 

  
Food Products – 2.7%      

Archer-Daniels-Midland Co.

      275,200         7,878,976   

Bunge Ltd. (a)

      120,300         6,889,581   

China Agri-Industries Holdings Ltd.

      4,673,000         3,788,440   

SLC Agricola SA

      300,600         2,752,747   
     

 

 

  
        21,309,744   

 

  
Machinery – 4.3%      

AGCO Corp.

      257,900         13,134,843   

Deere & Co. (a)

      123,700         10,656,755   

Joy Global, Inc. (a)

      103,300         9,368,277   
     

 

 

  
        33,159,875   

 

  
Materials – 0.4%      

Rentech Nitrogen Partners LP

      150,000         3,430,500   

 

  
Metals & Mining – 26.9%      

Alexco Resource Corp. (a)(b)

      645,700         4,946,062   

Allegheny Technologies, Inc. (a)

      128,800         5,846,232   

Allied Nevada Gold Corp. (a)(b)

      277,600         9,974,168   

Augusta Resource Corp.

      914,000         2,897,380   

Avalon Rare Metals, Inc. (b)

      106,000         359,430   

BHP Billiton Ltd. - ADR (a)

      72,300         5,743,512   

Centerra Gold, Inc. (a)

      227,900         4,511,634   

Compass Minerals International, Inc. (a)

      75,700         5,531,399   

Detour Gold Corp. (a)(b)

      271,800         7,595,329   

Eldorado Gold Corp. (a)

      585,100         8,840,861   

Franco-Nevada Corp. (a)

      323,600         14,619,607   

Fresnillo Plc

      414,500         11,358,428   

Goldcorp, Inc. (a)

      312,400         15,117,036   

HudBay Minerals, Inc. (a)

      405,800         4,739,122   

Kenmare Resources Plc (b)

      4,399,400         3,324,348   

MAG Silver Corp. (a)(b)

      449,200         3,736,240   
Common Stocks    Shares      Value  

 

  
Metals & Mining (concluded)      

McEwen Mining, Inc. (a)(b)

      729,800       $ 4,232,840   

New Gold, Inc. (a)(b)

      527,500         6,177,025   

Newmont Mining Corp. (a)

      228,000         14,017,440   

Novagold Resources, Inc. (a)(b)

      765,200         7,919,820   

Pan American Silver Corp. (a)

      104,800         2,397,824   

Quadra FNX Mining Ltd. (a)(b)

      416,300         6,244,292   

Rio Tinto Plc - ADR (a)

      94,100         5,689,286   

Seabridge Gold, Inc. (a)(b)

      448,400         9,044,228   

Silver Wheaton Corp. (a)

      651,300         23,192,793   

Silvercorp Metals, Inc. (a)

      1,080,000         8,899,200   

Teck Resources Ltd., Class B (a)

      178,500         7,569,383   

Titanium Metals Corp. (a)

      357,200         5,493,736   
     

 

 

  
        210,018,655   

 

  
Oil, Gas & Consumable Fuels – 32.8%   

Alpha Natural Resources, Inc. (a)(b)

      301,165         6,059,440   

AltaGas Ltd. (a)

      319,700         9,654,449   

Anadarko Petroleum Corp. (a)

      28,800         2,324,736   

Angle Energy, Inc. (a)(b)

      100,000         544,530   

Apache Corp. (a)

      53,500         5,290,080   

Baytex Energy Corp. (a)

      76,100         4,374,593   

Bill Barrett Corp. (a)(b)

      64,400         1,778,728   

Bonanza Creek Energy, Inc. (b)

      76,500         1,248,480   

Bonavista Energy Corp. (a)

      135,000         3,048,170   

BP Plc - ADR (a)

      47,700         2,189,907   

Cenovus Energy, Inc. (a)

      69,600         2,536,224   

Cheniere Energy, Inc. (a)(b)

      115,000         1,470,850   

Chesapeake Energy Corp. (a)

      118,600         2,506,018   

Chevron Corp. (a)

      31,600         3,257,328   

Concho Resources, Inc. (a)(b)

      13,100         1,397,246   

Consol Energy, Inc. (a)

      242,500         8,666,950   

Continental Resources, Inc. (a)(b)

      23,900         1,928,252   

Crescent Point Energy Corp. (a)

      185,600         8,488,697   

Denbury Resources, Inc. (a)(b)

      211,400         3,987,004   

Enbridge Energy Partners LP

      113,811         3,686,338   

Energy XXI (Bermuda) Ltd. (a)(b)

      45,700         1,500,331   

Enterprise Products Partners LP (a)

      282,500         13,644,750   

EOG Resources, Inc. (a)

      61,800         6,559,452   

EQT Corp. (a)

      63,900         3,228,228   

Exxon Mobil Corp. (a)

      13,600         1,138,864   

Gasco Energy, Inc. (b)

      366,500         74,949   

Hess Corp. (a)

      31,000         1,745,300   

James River Coal Co. (a)(b)

      87,800         552,262   

Keyera Corp. (a)

      206,200         9,657,078   

Kodiak Oil & Gas Corp. (b)

      137,000         1,242,590   

Kosmos Energy Ltd. (a)

      48,600         610,416   

Magellan Midstream Partners LP (a)

      138,400         9,283,872   

MarkWest Energy Partners LP (a)

      177,400         10,282,104   

Noble Energy, Inc. (a)

      46,200         4,650,954   

Occidental Petroleum Corp. (a)

      122,100         12,181,917   

OGX Petroleo e Gas Participacoes SA (b)

      205,500         1,946,557   

ONEOK Partners LP

      282,000         15,825,840   

Patriot Coal Corp. (a)(b)

      63,000         478,800   

Peabody Energy Corp. (a)

      118,500         4,039,665   

Permian Basin Royalty Trust

      407,052         8,202,098   

PetroBakken Energy Ltd., Class A (a)

      15,400         225,463   

PetroChina Co. Ltd. - ADR (a)

      7,100         1,033,050   

Plains All American Pipeline LP (a)

      189,200         14,757,600   

Plains Exploration & Production Co. (a)(b)

      83,000         3,130,760   

QEP Resources, Inc. (a)

      61,600         1,764,224   

Range Resources Corp. (a)

      55,100         3,169,352   

Rex Energy Corp. (a)(b)

      70,400         665,984   
 

 

                   
          JANUARY 31, 2012    1

 

 

Consolidated Schedule of Investments (continued)

  

 

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares      Value  

 

  
Oil, Gas & Consumable Fuels (concluded)   

Rosetta Resources, Inc. (a)(b)

      45,800       $ 2,197,942   

Royal Dutch Shell Plc, Class A -ADR (a)

      92,700         6,615,072   

Ship Finance International Ltd.

      403,600         4,532,428   

Southwestern Energy Co. (a)(b)

      18,800         585,432   

Statoil ASA

      103,800         2,613,393   

Suncor Energy, Inc. (a)

      160,300         5,530,350   

Targa Resources Partners LP (a)

      97,400         3,824,898   

Vermilion Energy, Inc. (a)

      81,100         3,720,556   

Whiting Petroleum Corp. (a)(b)

      114,700         5,745,323   

Williams Partners LP

      235,700         14,705,323   
     

 

 

  
        256,101,197   

 

  

Total Common Stocks – 89.1%

         694,881,779   

 

  
     
     

Exchange-Traded Funds – 2.4%

  

 

  

Sprott Physical Gold Trust (b)

      1,258,400         19,001,840   

 

  

Total Long-Term Investments

(Cost – $766,118,332) – 91.5%

         713,883,619   

 

  
     
     

Short-Term Securities

      

 

  

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (c)(d)

      45,505,843         45,505,843   

 

  

Total Short-Term Securities

(Cost – $45,505,843) – 5.8%

         45,505,843   

 

  

Total Investments Before Outstanding Options Written

  

(Cost – $811,624,175*) – 97.3%

         759,389,462   

 

  
     
     
Options Written    Contracts         

 

  
Exchange-Traded Call Options – (1.3)%   

Agrium, Inc., Strike Price USD 70, Expires 2/20/12

      475         (498,750 ) 

Alexco Resource Corp.:

      

Strike Price USD 7.50, Expires 2/20/12

      460         (16,100 ) 

Strike Price USD 7.50, Expires 4/23/12

      450         (34,875 ) 

Allegheny Technologies, Inc.:

      

Strike Price USD 45, Expires 2/20/12

      265         (47,700 ) 

Strike Price USD 50, Expires 3/19/12

      195         (17,062 ) 

Strike Price USD 52.50, Expires 3/19/12

      185         (7,862 ) 

Allied Nevada Gold Corp.:

      

Strike Price USD 35, Expires 2/20/12

      440         (82,500 ) 

Strike Price USD 35, Expires 3/19/12

      530         (148,400 ) 

Alpha Natural Resources, Inc.:

      

Strike Price USD 25, Expires 2/20/12

      113         (622 ) 

Strike Price USD 23, Expires 3/19/12

      415         (31,540 ) 

AltaGas Ltd.:

      

Strike Price CAD 30, Expires 3/19/12

      204         (16,276 ) 

Strike Price CAD 31, Expires 3/19/12

      200         (5,984 ) 

Strike Price CAD 32, Expires 4/23/12

      300         (5,984 ) 

Anadarko Petroleum Corp., Strike Price USD 80, Expires 3/19/12

      100         (40,500 ) 

Angle Energy, Inc., Strike Price CAD 7, Expires 2/20/12

      300         (2,992 ) 
Options Written    Contracts      Value  

 

  
Exchange-Traded Call Options (continued)   

Apache Corp., Strike Price USD 100, Expires 3/19/12

      185       $ (70,300 ) 

Atwood Oceanics, Inc., Strike Price USD 45, Expires 2/20/12

      65         (12,675 ) 

Basic Energy Services, Inc.:

      

Strike Price USD 20, Expires 2/20/12

      42         (1,155 ) 

Strike Price USD 22.50, Expires 2/20/12

      42         (630 ) 

Baytex Energy Corp.:

      

Strike Price CAD 56, Expires 2/20/12

      130         (25,930 ) 

Strike Price CAD 58, Expires 3/19/12

      135         (20,532 ) 

BHP Billiton Ltd. - ADR:

      

Strike Price USD 77.50, Expires 2/20/12

      125         (41,250 ) 

Strike Price USD 80, Expires 3/19/12

      236         (63,956 ) 

Bill Barrett Corp., Strike Price USD 35, Expires 2/20/12

      225         (3,375 ) 

Bonavista Energy Corp., Strike Price CAD 27, Expires 2/20/12

      450         (4,488 ) 

BP Plc - ADR, Strike Price USD 42, Expires 2/20/12

      165         (66,825 ) 

Bunge Ltd., Strike Price USD 60, Expires 3/19/12

      422         (37,980 ) 

Calfrac Well Services Ltd., Strike Price CAD 28, Expires 3/19/12

      25         (1,060 ) 

Cenovus Energy, Inc., Strike Price USD 35, Expires 3/19/12

      200         (49,500 ) 

Centerra Gold, Inc., Strike Price CAD 21, Expires 2/20/12

      800         (19,946 ) 

CF Industries Holdings, Inc., Strike Price USD 175, Expires 3/19/12

      210         (260,925 ) 

Cheniere Energy, Inc.:

      

Strike Price USD 14, Expires 3/19/12

      13         (1,300 ) 

Strike Price USD 16, Expires 3/19/12

      400         (18,000 ) 

Chesapeake Energy Corp.:

      

Strike Price USD 23, Expires 2/20/12

      217         (5,642 ) 

Strike Price USD 23, Expires 3/19/12

      200         (12,200 ) 

Chevron Corp.:

      

Strike Price USD 105, Expires 2/20/12

      75         (6,900 ) 

Strike Price USD 110, Expires 2/20/12

      35         (368 ) 

Compass Minerals International, Inc.:

      

Strike Price USD 71, Expires 2/20/12

      230         (74,868 ) 

Strike Price USD 75, Expires 2/20/12

      165         (20,625 ) 

Strike Price USD 75, Expires 3/19/12

      60         (11,400 ) 

Concho Resources, Inc.:

      

Strike Price USD 100, Expires 3/19/12

      23         (21,850 ) 

Strike Price USD 105, Expires 3/19/12

      23         (14,260 ) 

Consol Energy, Inc., Strike Price USD 36, Expires 3/19/12

      848         (161,544 ) 

Continental Resources, Inc., Strike Price USD 75, Expires 3/19/12

      85         (71,400 ) 

Core Laboratories NV, Strike Price USD 120, Expires 2/20/12

      105         (3,675 ) 

Crescent Point Energy Corp., Strike Price CAD 47, Expires 3/19/12

      620         (20,096 ) 

Deere & Co., Strike Price USD 87.50, Expires 3/19/12

      435         (108,098 ) 

Denbury Resources, Inc., Strike Price USD 16, Expires 2/06/12

      740         (211,658 ) 

Detour Gold Corp.:

      

Strike Price CAD 27, Expires 2/20/12

      550         (75,421 ) 

Strike Price CAD 28, Expires 4/23/12

      400         (80,782 ) 
 

 

                   
2           JANUARY 31, 2012   

 

 

Consolidated Schedule of Investments (continued)

 

 

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Options Written    Contracts      Value  

 

  
Exchange-Traded Call Options (continued)   

E.I. du Pont de Nemours & Co.:

      

Strike Price USD 46, Expires 2/20/12

      475       $ (233,938 ) 

Strike Price USD 50, Expires 3/19/12

      780         (143,130 ) 

Strike Price USD 51.25, Expires 3/27/12

      535         (75,936 ) 

Eldorado Gold Corp.:

      

Strike Price USD 15, Expires 2/20/12

      350         (21,000 ) 

Strike Price USD 14, Expires 3/19/12

      875         (135,625 ) 

Strike Price USD 15, Expires 4/23/12

      875         (109,375 ) 

Energy XXI (Bermuda) Ltd., Strike Price USD 35, Expires 3/19/12

      160         (20,400 ) 

Enterprise Products Partners L P:

      

Strike Price USD 48, Expires 2/20/12

      20         (1,900 ) 

Strike Price USD 49, Expires 3/19/12

      450         (33,750 ) 

Strike Price USD 50, Expires 3/19/12

      490         (18,375 ) 

EOG Resources, Inc., Strike Price USD 100, Expires 2/20/12

      210         (156,450 ) 

EQT Corp., Strike Price USD 60, Expires 2/20/12

      210         (3,150 ) 

Exxon Mobil Corp., Strike Price USD 87.50, Expires 2/20/12

      45         (562 ) 

Franco-Nevada Corp.:

      

Strike Price CAD 40, Expires 2/20/12

      565         (301,461 ) 

Strike Price CAD 43, Expires 4/23/12

      570         (187,594 ) 

Goldcorp, Inc., Strike Price USD 46, Expires 3/19/12

      1,095         (388,725 ) 

Halliburton Co., Strike Price USD 36, Expires 2/20/12

      170         (27,455 ) 

Hess Corp., Strike Price USD 62.50, Expires 3/19/12

      110         (5,885 ) 

HudBay Minerals, Inc.:

      

Strike Price CAD 11, Expires 2/20/12

      450         (38,147 ) 

Strike Price CAD 12, Expires 3/19/12

      970         (50,788 ) 

Strike Price CAD 12, Expires 4/23/12

      610         (41,064 ) 

James River Coal Co., Strike Price USD 8, Expires 3/19/12

      150         (4,125 ) 

Joy Global, Inc., Strike Price USD 90, Expires 2/20/12

      345         (112,988 ) 

Key Energy Services, Inc., Strike Price USD 15, Expires 3/19/12

      545         (42,238 ) 

Keyera Corp., Strike Price CAD 48, Expires 4/23/12

      360         (20,644 ) 

Kosmos Energy Ltd., Strike Price USD 15, Expires 4/23/12

      160         (4,800 ) 

MAG Silver Corp., Strike Price CAD 8, Expires 3/19/12

      500         (42,386 ) 

Magellan Midstream Partners LP:

      

Strike Price USD 67.50, Expires 2/20/12

      150         (5,250 ) 

Strike Price USD 67.50, Expires 3/19/12

      310         (26,350 ) 

MarkWest Energy Partners LP, Strike Price USD 57.50, Expires 3/19/12

      660         (84,150 ) 

McEwen Mining, Inc., Strike Price USD 5, Expires 2/20/12

      1,625         (134,062 ) 

Monsanto Co.:

      

Strike Price USD 70, Expires 2/20/12

      285         (344,850 ) 

Strike Price USD 80, Expires 3/19/12

      965         (398,062 ) 

Strike Price USD 82.50, Expires 3/19/12

      680         (184,280 ) 

The Mosaic Co., Strike Price USD 57.50, Expires 3/19/12

      680         (132,940 ) 
Options Written    Contracts      Value  

 

  
Exchange-Traded Call Options (continued)   

New Gold, Inc.:

      

Strike Price USD 11, Expires 2/20/12

      730       $ (65,700 ) 

Strike Price USD 11, Expires 3/19/12

      1,200         (138,000 ) 

Newmont Mining Corp.:

      

Strike Price USD 65, Expires 2/20/12

      400         (15,200 ) 

Strike Price USD 60, Expires 3/19/12

      400         (132,000 ) 

Noble Energy, Inc., Strike Price USD 97.50, Expires 2/20/12

      165         (77,550 ) 

Novagold Resources, Inc.:

      

Strike Price USD 10, Expires 2/20/12

      1,550         (108,500 ) 

Strike Price USD 10, Expires 3/19/12

      1,100         (115,500 ) 

Occidental Petroleum Corp.:

      

Strike Price USD 100, Expires 2/20/12

      350         (82,950 ) 

Strike Price USD 105, Expires 3/19/12

      80         (13,400 ) 

Pan American Silver Corp., Strike Price USD 24, Expires 4/23/12

      185         (29,600 ) 

Patriot Coal Corp., Strike Price USD 11, Expires 2/20/12

      95         (190 ) 

Patterson-UTI Energy, Inc., Strike Price USD 23, Expires 2/20/12

      315         (3,150 ) 

Peabody Energy Corp., Strike Price USD 39, Expires 3/19/12

      415         (17,638 ) 

PetroBakken Energy Ltd., Class A, Strike Price CAD 17, Expires 3/19/12

      54         (1,077 ) 

PetroChina Co. Ltd. - ADR, Strike Price USD 120, Expires 2/20/12

      25         (64,250 ) 

Plains All American Pipeline LP, Strike Price USD 77.50, Expires 3/19/12

      375         (54,375 ) 

Plains Exploration & Production Co.:

      

Strike Price USD 35, Expires 2/20/12

      180         (53,370 ) 

Strike Price USD 39, Expires 3/19/12

      110         (15,895 ) 

Potash Corp. of Saskatchewan, Inc.:

      

Strike Price USD 40, Expires 2/20/12

      605         (409,888 ) 

Strike Price USD 42.50, Expires 2/20/12

      605         (266,200 ) 

Strike Price USD 45, Expires 3/19/12

      905         (285,075 ) 

QEP Resources, Inc., Strike Price USD 30, Expires 3/19/12

      215         (23,650 ) 

Quadra FNX Mining Ltd.:

      

Strike Price CAD 15, Expires 4/23/12

      725         (27,114 ) 

Strike Price CAD 16, Expires 4/23/12

      32         (351 ) 

Range Resources Corp., Strike Price USD 65, Expires 2/20/12

      195         (10,725 ) 

Rex Energy Corp., Strike Price USD 12.50, Expires 3/19/12

      250         (3,125 ) 

Rio Tinto Plc - ADR, Strike Price USD 62.50, Expires 3/19/12

      140         (24,150 ) 

Rosetta Resources, Inc.:

      

Strike Price USD 50, Expires 2/20/12

      80         (8,200 ) 

Strike Price USD 50, Expires 4/23/12

      80         (25,600 ) 

Royal Dutch Shell Plc, Class A - ADR:

      

Strike Price USD 75, Expires 2/20/12

      250         (5,000 ) 

Strike Price USD 75, Expires 3/19/12

      25         (1,125 ) 

Schlumberger Ltd., Strike Price USD 70, Expires 2/20/12

      65         (36,888 ) 

Seabridge Gold, Inc.:

      

Strike Price USD 19, Expires 3/19/12

      785         (147,188 ) 

Strike Price USD 20, Expires 3/19/12

      785         (100,088 ) 

Silver Wheaton Corp.:

      

Strike Price USD 31, Expires 2/20/12

      200         (95,000 ) 

Strike Price USD 33, Expires 3/19/12

      1,040         (377,000 ) 

Strike Price USD 34, Expires 3/19/12

      1,040         (308,880 ) 
 

 

                   
          JANUARY 31, 2012    3

 
Consolidated Schedule of Investments (continued)  

 

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Options Written    Contracts      Value  

 

  
Exchange-Traded Call Options (concluded)   

Silvercorp Metals, Inc.:

      

Strike Price USD 8, Expires 2/20/12

      809       $ (38,428 ) 

Strike Price USD 8, Expires 3/19/12

      1,000         (70,000 ) 

Strike Price USD 9, Expires 3/19/12

      65         (1,788 ) 

Southwestern Energy Co., Strike Price USD 34, Expires 2/20/12

      135         (4,320 ) 

Suncor Energy, Inc.:

      

Strike Price USD 28, Expires 2/20/12

      97         (62,565 ) 

Strike Price USD 29, Expires 2/20/12

      97         (53,108 ) 

Strike Price USD 34, Expires 3/19/12

      340         (60,860 ) 

Targa Resources Partners LP, Strike Price USD 39, Expires 3/19/12

      330         (33,000 ) 

Teck Resources Ltd., Class B:

      

Strike Price CAD 41, Expires 2/20/12

      620         (144,998 ) 

Strike Price CAD 43, Expires 3/19/12

      270         (53,047 ) 

Titanium Metals Corp.:

      

Strike Price USD 16, Expires 2/20/12

      625         (10,938 ) 

Strike Price USD 16, Expires 3/19/12

      310         (14,725 ) 

Strike Price USD 17, Expires 3/19/12

      310         (6,200 ) 

Transocean Ltd., Strike Price USD 45, Expires 2/20/12

      295         (89,828 ) 

Trican Well Service Ltd., Strike Price CAD 18, Expires 2/20/12

      265         (4,625 ) 

Vermilion Energy, Inc., Strike Price CAD 46, Expires 2/20/12

      280         (14,660 ) 

Whiting Petroleum Corp.:

      

Strike Price USD 50, Expires 2/20/12

      118         (19,470 ) 

Strike Price USD 52.50, Expires 2/20/12

      112         (7,840 ) 

Strike Price USD 52.50, Expires 3/19/12

      170         (32,725 ) 

 

  

Total Exchange-Traded Call Options

  

      (9,956,313 ) 

 

  
Over-the-Counter Call Options – (0.2)%   

AGCO Corp., Strike Price USD 51.11, Expires 2/23/12, Broker Citigroup Global Markets, Inc.

      90,300         (153,175 ) 

Alexco Resource Corp.:

      

Strike Price USD 8.50, Expires 2/03/12, Broker Citigroup Global Markets, Inc.

      80,000         (82 ) 

Strike Price USD 8.01, Expires 3/30/12, Broker Morgan Stanley & Co., Inc.

      55,000         (35,300 ) 

Archer-Daniels-Midland Co., Strike Price USD 28.17, Expires 2/09/12, Broker Goldman Sachs & Co.

      96,000         (62,349 ) 

Augusta Resource Corp.:

      

Strike Price USD 3.66, Expires 2/03/12, Broker Deutsche Bank Securities Corp.

      50,000         (20 ) 

Strike Price USD 3.34, Expires 2/10/12, Broker Goldman Sachs & Co.

      96,000         (6,456 ) 

Strike Price USD 3.53, Expires 2/23/12, Broker Morgan Stanley & Co., Inc.

      53,000         (4,158 ) 

Strike Price USD 3.62, Expires 3/06/12, Broker Deutsche Bank Securities Corp.

      53,000         (5,226 ) 
Options Written    Contracts      Value  

 

  
Over-the-Counter Call Options (continued)   

Bonanza Creek Energy, Inc., Strike Price USD 17, Expires 3/09/12, Broker Goldman Sachs & Co.

      26,500       $ (12,428 ) 

Fresnillo Plc:

      

Strike Price GBP 17.49, Expires 2/29/12, Broker Morgan Stanley & Co., Inc.

      72,500         (106,215 ) 

Strike Price GBP 17.83, Expires 3/07/12, Broker Citigroup Global Markets, Inc.

      72,500         (102,523 ) 

Halliburton Co., Strike Price USD 36.12, Expires 3/05/12, Broker Morgan Stanley & Co., Inc.

      17,500         (34,210 ) 

Israel Chemicals Ltd., Strike Price ILS 40.35, Expires 3/07/12, Broker Citigroup Global Markets, Inc.

      177,000         (50,361 ) 

K+S AG, Strike Price EUR 37.16, Expires 2/29/12, Broker Morgan Stanley & Co., Inc.

      38,800         (46,193 ) 

Kenmare Resources Plc:

      

Strike Price GBP 0.50, Expires 2/29/12, Broker Societe General Securities Corp.

      890,000         (34,773 ) 

Strike Price GBP 0.47, Expires 3/07/12, Broker Morgan Stanley & Co., Inc.

      650,000         (45,302 ) 

Strike Price GBP 0.48, Expires 3/07/12, Broker Societe General Securities Corp.

      659,700         (37,258 ) 

Kodiak Oil & Gas Corp., Strike Price USD 10.10, Expires 3/06/12, Broker Morgan Stanley & Co., Inc.

      46,000         (15,053 ) 

McEwen Mining, Inc., Strike Price USD 5.25, Expires 3/21/12, Broker Citigroup Global Markets, Inc.

      90,000         (78,263 ) 

OGX Petroleo e Gas Participacoes SA, Strike Price BRL 15.85, Expires 3/08/12, Broker Citigroup Global Markets, Inc.

      72,000         (47,748 ) 

ONEOK Partners LP:

      

Strike Price USD 58.53, Expires 2/29/12, Broker Citigroup Global Markets, Inc.

      75,000         (25,564 ) 

Strike Price USD 57.04, Expires 3/30/12, Broker UBS Securities LLC

      20,000         (17,866 ) 

Permian Basin Royalty Trust:

      

Strike Price USD 20.15, Expires 3/07/12, Broker Deutsche Bank Securities Corp.

      37,000         (10,101 ) 

Strike Price USD 20.71, Expires 3/09/12, Broker Banc of America Securities

      50,000         (5,282 ) 

Strike Price USD 20.41, Expires 4/10/12, Broker Morgan Stanley & Co., Inc.

      29,500         (8,998 ) 

Rentech Nitrogen Partners LP, Strike Price USD 21, Expires 2/24/12, Broker Deutsche Bank Securities Corp.

      50,000         (101,744 ) 

Rio Tinto Plc - ADR, Strike Price USD 59.05, Expires 3/12/12, Broker Credit Suisse First Boston

      33,000         (163,532 ) 

Royal Dutch Shell Plc, Class A - ADR, Strike Price USD 73.48, Expires 2/08/12, Broker UBS Securities LLC

      5,000         (870 ) 
 

 

                   
4           JANUARY 31, 2012   

 

 

Consolidated Schedule of Investments (continued)

  

 

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Options Written    Contracts      Value  

 

  
Over-the-Counter Call Options (continued)   

Seadrill Ltd., Strike Price NOK 214.71, Expires 2/29/12, Broker Morgan Stanley & Co., Inc.

      17,000       $ (23,021 ) 

SLC Agricola SA:

      

Strike Price BRL 15.99, Expires 2/10/12, Broker Deutsche Bank Securities Corp.

      31,500         (6,354 ) 

Strike Price BRL 15.41, Expires 2/22/12, Broker Credit Suisse First Boston

      26,300         (12,835 ) 

Strike Price BRL 15.36, Expires 3/08/12, Broker Deutsche Bank Securities Corp.

      16,000         (9,399 ) 

Strike Price BRL 15.56, Expires 3/22/12, Broker Citigroup Global Markets, Inc.

      31,500         (18,343 ) 

Sociedad Quimica y Minera de Chile SA - ADR:

      

Strike Price USD 54.22, Expires 2/02/12, Broker Goldman Sachs & Co.

      25,000         (113,000 ) 

Strike Price USD 56.25, Expires 2/10/12, Broker Goldman Sachs & Co.

      13,000         (35,976 ) 

Sprott Physical Gold Trust:

      

Strike Price USD 15.10, Expires 2/29/12, Broker Morgan Stanley & Co., Inc.

      125,000         (47,461 ) 

Strike Price USD 15.68, Expires 3/09/12, Broker Morgan Stanley & Co., Inc.

      60,000         (12,710 ) 

Strike Price USD 15.19, Expires 4/10/12, Broker Credit Suisse First Boston

      234,000         (104,247 ) 

Statoil ASA, Strike Price NOK 150.75, Expires 3/07/12, Broker Morgan Stanley & Co., Inc.

      36,400         (15,770 ) 

Syngenta AG, Strike Price CHF 285.83, Expires 2/29/12, Broker UBS Securities LLC

      16,600         (71,703 ) 

Technip SA, Strike Price EUR 73.75, Expires 2/29/12, Broker UBS Securities LLC

      4,500         (10,519 ) 

Titanium Metals Corp., Strike Price USD 16.30, Expires 3/09/12, Broker Goldman Sachs & Co.

      54,000         (16,319 ) 
Options Written    Contracts      Value  

 

  
Over-the-Counter Call Options (concluded)   

Transocean Ltd., Strike Price USD 45.98, Expires 2/29/12, Broker Goldman Sachs & Co.

      40,000       $ (102,708 ) 

Uralkali - GDR, Strike Price USD 35.56, Expires 3/14/12, Broker Citigroup Global Markets, Inc.

      92,000         (185,533 ) 

Williams Partners LP:

      

Strike Price USD 60, Expires 2/06/12, Broker Deutsche Bank Securities Corp.

      10,000         (23,900 ) 

Strike Price USD 62.64, Expires 3/30/12, Broker Deutsche Bank Securities Corp.

      10,000         (14,297 ) 

 

  

Total Over-the-Counter Call Options

  

      (2,035,145 ) 

 

  

Total Options Written

(Premiums Received – $8,326,012) – (1.5)%

  

  

      (11,991,458 ) 

 

  

Total Investments Net of Outstanding Options Written – 95.8%

   

      747,398,004   

Other Assets Less Liabilities – 4.2%

  

      32,624,024   
     

 

 

  

Net Assets – 100.0%

       $ 780,022,028   
     

 

 

  

 

* As of January 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

    $ 815,453,760   
  

 

 

  

Gross unrealized appreciation

    $ 31,855,708   

Gross unrealized depreciation

      (87,920,006 ) 
  

 

 

  

Net unrealized depreciation

    $ (56,064,298 ) 
  

 

 

  

 

(a) All or a portion of security has been pledged/segregated as collateral in connection with outstanding options written.
(b) Non-income producing security.
(c) Represents the current yield as of report date.

 

 

 

(d) Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   

Shares

Held at
October 31,
2011

     

Net

Activity

    

Shares

Held at
January 31,
2012

      Realized
Gain		      Income  

BlackRock Liquidity Funds, TempFund,

              

Institutional Class

      90,423,660         (44,917,817 )      45,505,843       $ 1,105       $ 23,404   

 

                   
          JANUARY 31, 2012    5

 

 

Consolidated Schedule of Investments (concluded)

 

 

BlackRock Resources & Commodities Strategy Trust (BCX)

 

• Foreign currency exchange contracts as of January 31, 2012 were as follows:

 

Currency

Purchased

   Currency
Sold		   Counterparty   Settlement
Date		   Unrealized
Appreciation
(Depreciation)

 

USD  38,953  CAD

   39,000  

Deutsche Bank

Securities Corp.

   2/01/12   $    58

USD   83,670  CAD

   84,000  

Deutsche Bank

Securities Corp.

   2/01/12   (104)

USD  21,967  GBP

   14,000  

Citigroup Global

Markets, Inc.

   2/02/12   (94)

 

Total

         $(140)
       

 

 

— For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

— Fair Value Measurements – Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  — Level 1 - unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

  — 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 Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its annual report.

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

Valuation Inputs   Level 1     Level 2     Level 3   Total

 

Assets:

        

Investments:

        

Long-Term Investments:

        

Common Stocks:

        

Chemicals

   $ 109,012,898      $ 34,217,607      –     $143,230,505

Energy Equipment & Services

     24,600,691        3,030,612      –     27,631,303

Food Products

     17,521,304        3,788,440      –     21,309,744

Machinery

     33,159,875        –      –     33,159,875

Materials

     3,430,500        –      –     3,430,500

Metals & Mining

     195,335,879        14,682,776      –     210,018,655

Oil, Gas & Consumable Fuels

     253,487,804        2,613,393      –     256,101,197

Exchange-Traded Funds

     19,001,840        –      –     19,001,840

Short-Term Securities

     45,505,843        –      –     45,505,843

 

Total

   $ 701,056,634      $ 58,332,828      –     $759,389,462
 

 

 

       
Valuation Inputs   Level 1     Level 2     Level 3   Total

 

Derivative Financial Instruments1

        

Assets:

        

Foreign currency exchange contracts

   $ 58        –        –     $                58

Liabilities:

        

Equity contracts

     (9,593,845 )    $ (2,397,613 )    –     (11,991,458)

Foreign currency exchange contracts

     (198 )      –        –     (198)

 

Total

   $ (9,593,787 )    $ (2,397,613 )    –     $(11,991,400)
 

 

 

 

1 

Derivative financial instruments are foreign currency exchange contracts and options. Foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options are shown at value.

 

            Portfolio Abbreviations

 

To simplify the listings of portfolio holdings in the Trust’s Schedule    ADR    American Depositary Receipt    GBP    British Pound
of Investments, the names and descriptions of many securities    BRL    Brazil Real    GDR    Global Depositary Receipt
have been abbreviated according to the following list:    CAD    Canadian Dollar    ILS    Israeli Shekel
   CHF    Swiss Franc    NOK    Norwegian Krone
   EUR    Euro    USD    US Dollar

 

                   
6           JANUARY 31, 2012   

Item 2 –   Controls and Procedures
2(a) –   The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) –   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3 –   Exhibits
  Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

BlackRock Resources & Commodities Strategy Trust
By:   /s/ John M. Perlowski  
  John M. Perlowski  
  Chief Executive Officer (principal executive officer) of
  BlackRock Resources & Commodities Strategy Trust
Date:   March 23, 2012  

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ John M. Perlowski

  
  John M. Perlowski  
  Chief Executive Officer (principal executive officer) of
  BlackRock Resources & Commodities Strategy Trust
Date:   March 23, 2012  

 

By:  

/s/ Neal J. Andrews

  
  Neal J. Andrews  
  Chief Financial Officer (principal financial officer) of
  BlackRock Resources & Commodities Strategy Trust
Date:   March 23, 2012