N-Q 1 d366725dnq.htm BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST BlackRock Resources & Commodities Strategy Trust

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: 12/31/2017

Date of reporting period: 03/31/2017

Item 1 – Schedule of Investments

 

Schedule of Investments March 31, 2017 (Unaudited)      BlackRock Resources & Commodities Strategy Trust (BCX)  
     (Percentages shown are based on Net Assets)  

 

Common Stocks   Shares     Value  

Chemicals — 16.8%

    

Agrium, Inc. (a)

     180,162     $ 17,194,542  

CF Industries Holdings, Inc. (a)

     850,336       24,957,362  

Monsanto Co. (b)

     411,288       46,557,802  

Mosaic Co. (a)

     448,493       13,087,026  

Potash Corp. of Saskatchewan, Inc. (a)

     1,149,440       19,632,435  

Syngenta AG

     70,481       31,127,269  

Yara International ASA

     266,000       10,245,721  
   

 

 

  
              162,802,157  

Containers & Packaging — 5.3%

    

International Paper Co. (a)

     509,511       25,872,969  

Packaging Corp. of America (a)

     282,775       25,907,846  
   

 

 

  
              51,780,815  

Energy Equipment & Services — 4.6%

    

Baker Hughes, Inc. (a)

     219,027       13,102,195  

Halliburton Co. (a)(b)

     293,700       14,452,977  

Precision Drilling Corp. (a)(c)

     1,602,100       7,577,704  

Superior Energy Services, Inc. (a)(b)(c)

     654,550       9,333,883  
   

 

 

  
              44,466,759  

Equity Real Estate Investment Trusts (REITs) — 0.4%

    

Weyerhaeuser Co. (a)

     126,828       4,309,615  

Food Products — 4.9%

    

AGT Food & Ingredients, Inc.

     433,633       10,167,069  

BRF SA — ADR

     581,457       7,122,848  

Elders Ltd. (c)

     1,246,695       4,324,238  

First Resources Ltd.

     6,685,100       9,277,802  

Glanbia PLC (c)

     497,794       9,614,628  

Golden Agri-Resources Ltd.

     25,261,900       6,956,815  
   

 

 

  
              47,463,400  

Independent Power and Renewable Electricity Producers — 0.0%

 

  

Greenko Group PLC (c)

     59,000       1  

Machinery — 1.0%

    

Deere & Co. (a)

     93,587       10,187,881  

Metals & Mining — 32.6%

    

ArcelorMittal (c)

     1,994,279       16,684,342  

Barrick Gold Corp. (a)

     1,325,111       25,163,858  

Boliden AB

     328,757       9,785,564  

Detour Gold Corp. (a)(c)

     422,269       4,839,177  

First Quantum Minerals Ltd. (a)

     1,716,135       18,234,378  

Fresnillo PLC

     853,273       16,625,446  

Glencore PLC (c)

     13,585,484       53,303,216  

Lundin Mining Corp.

     1,957,438       11,024,710  

MMC Norilsk Nickel PJSC — ADR

     803,995       12,620,310  

Nevsun Resources Ltd.

     2,927,285       7,528,153  

Newcrest Mining Ltd.

     1,661,434       28,319,953  

Newmont Mining Corp. (a)

     450,000       14,832,000  

Rio Tinto PLC — ADR (a)

     1,018,534       41,433,963  

Silver Wheaton Corp.

     1,024,650       21,353,706  
Common Stocks   Shares     Value  

Metals & Mining (continued)

    

Vale SA — ADR (a)

     3,646,065     $ 34,637,618  
   

 

 

  
              316,386,394  

Oil, Gas & Consumable Fuels — 33.1%

    

Anadarko Petroleum Corp. (a)

     292,575       18,139,650  

BP PLC — ADR (a)

     1,549,552       53,490,531  

Cairn Energy PLC (c)

     2,536,430       6,507,101  

Chevron Corp. (a)(b)

     136,002       14,602,535  

Cimarex Energy Co. (a)

     115,567       13,809,101  

ConocoPhillips (a)(b)

     458,544       22,867,589  

Devon Energy Corp. (a)

     412,950       17,228,274  

Encana Corp. (a)

     1,268,850       14,865,348  

Eni SpA — ADR

     416,520       13,632,700  

EOG Resources, Inc. (a)

     224,318       21,882,221  

Exxon Mobil Corp. (a)(b)

     208,754       17,119,916  

Hess Corp. (a)

     290,772       14,018,118  

Kosmos Energy Ltd. (c)

     1,280,850       8,530,461  

Pioneer Natural Resources Co. (a)

     95,850       17,850,146  

Royal Dutch Shell PLC, A Shares

     180,127       4,747,826  

Royal Dutch Shell PLC, A Shares — ADR (a)

     1,176,324       62,027,565  
   

 

 

  
              321,319,082  

Paper & Forest Products — 0.7%

    

Precious Woods Holding AG (c)

     20,000       119,802  

Quintis Ltd. (d)

     7,903,565       6,274,733  
   

 

 

  
              6,394,535  

Total Long-Term Investments

(Cost — $823,852,636) — 99.4%

             965,110,639  
   
Short-Term Securities              

BlackRock Liquidity Funds, T-Fund, Institutional
Class, 0.60% (e)(f)

     5,632,767       5,632,767  

SL Liquidity Series, LLC Money Market Series,
1.11% (e)(f)(g)

     3,281,376       3,281,704  

Total Short-Term Securities

(Cost — $8,914,267) — 0.9%

             8,914,471  

Total Investments Before Options Written

(Cost — $832,766,903*) — 100.3%

             974,025,110  
   
Options Written              

(Premiums Received — $9,164,505) — (0.5)%

             (5,023,248 ) 

Total Investments Net of Options Written — 99.8%

       969,001,862  

Other Assets Less Liabilities — 0.2%

       1,633,171  
   

 

 

  

Net Assets — 100.0%

     $ 970,635,033  
   

 

 

  
 
    

 

      Portfolio Abbreviations               
ADR    American Depositary Receipt      EUR    Euro    SEK    Swedish Krona
AUD    Australian Dollar      GBP    British Pound    SGD    Singapore
CAD    Canadian Dollar      NOK    Norwegian Krone    USD    U.S. Dollar
CHF    Swiss Franc      REIT    Real Estate Investment Trust      

 

    

 

          MARCH 31, 2017    1

Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)  

 

      Notes to Schedule of Investments

 

* As of March 31, 2017, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

    $ 859,101,163  
  

 

 

  

Gross unrealized appreciation

    $ 136,662,025  

Gross unrealized depreciation

      (21,738,078 ) 
  

 

 

  

Net unrealized appreciation

    $ 114,923,947  
  

 

 

  

 

(a) All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

 

(b) All or a portion of security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(c) Non-income producing security.

 

(d) Security, or a portion of security, is on loan.

 

(e) During the period ended March 31, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliates   

Shares Held at

December 31,

2016

     

Net

Activity

    

Shares Held at

March 31,

2017

     

Value at

March 31,

2017

      Income    

Net

Realized

Gain

     

Change in

Unrealized

Appreciation

(Depreciation)

  

BlackRock Liquidity Funds, T-Fund, Institutional Class

      12,603,929        (6,971,162 )      5,632,767      $ 5,632,767      $ 12,494       —        —  

SL Liquidity Series, LLC, Money Market Series

      3,936,869        (655,493 )      3,281,376        3,281,704        73,826 1    $ 43        —  

Total

            $ 8,914,471      $ 86,320     $ 43        —  
          

 

 

  

 

  1   

Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

(f) Current yield as of period end.

 

(g) Security was purchased with the cash collateral from loaned securities.

 

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

 

      Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written

                          
Description   

Put/

Call

       

Expiration

Date

       

Strike

Price

        Contracts        Value  

Anadarko Petroleum Corp.

      Call          4/07/17          USD        67.00          553        $ (3,318 ) 

Baker Hughes, Inc.

      Call          4/07/17          USD        62.00          158          (2,370 ) 

BP PLC — ADR

      Call          4/07/17          USD        34.50          1,000          (25,500 ) 

ConocoPhillips

      Call          4/07/17          USD        48.50          211          (31,439 ) 

Detour Gold Corp.

      Call          4/07/17          CAD        17.00          500          (1,316 ) 

Devon Energy Corp.

      Call          4/07/17          USD        45.00          616          (1,848 ) 

EOG Resources, Inc.

      Call          4/07/17          USD        100.00          269          (8,070 ) 

Halliburton Co.

      Call          4/07/17          USD        55.00          72          (504 ) 

Hess Corp.

      Call          4/07/17          USD        55.50          89          (801 ) 

International Paper Co.

      Call          4/07/17          USD        54.50          498          (8,964 ) 

Newmont Mining Corp.

      Call          4/07/17          USD        34.50          600          (4,800 ) 

Pioneer Natural Resources Co.

      Call          4/07/17          USD        190.00          157          (16,485 ) 

Potash Corp. of Saskatchewan, Inc.

      Call          4/07/17          USD        17.50          245          (1,470 ) 

Royal Dutch Shell PLC, A Shares — ADR

      Call          4/07/17          USD        52.00          520          (37,700 ) 

Royal Dutch Shell PLC, A Shares — ADR

      Call          4/07/17          USD        52.50          260          (12,350 ) 

Barrick Gold Corp.

      Call          4/11/17          USD        19.50          1,000          (20,495 ) 

BP PLC — ADR

      Call          4/13/17          USD        35.00          400          (6,000 ) 

CF Industries Holdings, Inc.

      Call          4/13/17          USD        31.00          459          (7,574 ) 

ConocoPhillips

      Call          4/13/17          USD        47.50          90          (22,455 ) 

Devon Energy Corp.

      Call          4/13/17          USD        45.00          113          (1,469 ) 

EOG Resources, Inc.

      Call          4/13/17          USD        98.00          148          (19,610 ) 

Exxon Mobil Corp.

      Call          4/13/17          USD        84.00          80          (1,200 ) 

Newmont Mining Corp.

      Call          4/13/17          USD        34.50          600          (12,000 ) 

Potash Corp. of Saskatchewan, Inc.

      Call          4/13/17          USD        17.50          246          (3,813 ) 

Potash Corp. of Saskatchewan, Inc.

      Call          4/13/17          USD        18.00          272          (1,496 ) 

Royal Dutch Shell PLC, A Shares — ADR

      Call          4/13/17          USD        52.50          1,612          (124,930 ) 

Vale SA — ADR

      Call          4/13/17          USD        10.00          604          (9,966 ) 

 

    

 

2         MARCH 31, 2017     

Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)  

 

Description    Put/
Call		        Expiration
Date		     

Strike

Price

        Contracts        Value  

Agrium, Inc.

      Call        4/21/17      CAD      140.00          187        $ (1,266 ) 

Anadarko Petroleum Corp.

      Call        4/21/17      USD      65.00          87          (3,002 ) 

Baker Hughes, Inc.

      Call        4/21/17      USD      60.00          248          (26,660 ) 

Barrick Gold Corp.

      Call        4/21/17      USD      18.00          1,000          (119,500 ) 

Barrick Gold Corp.

      Call        4/21/17      USD      20.00          1,766          (36,203 ) 

BP PLC — ADR

      Call        4/21/17      USD      35.00          378          (9,450 ) 

BP PLC — ADR

      Call        4/21/17      USD      36.00          421          (2,316 ) 

Chevron Corp.

      Call        4/21/17      USD      115.00          35          (158 ) 

Cimarex Energy Co.

      Call        4/21/17      USD      125.00          212          (17,490 ) 

Cimarex Energy Co.

      Call        4/21/17      USD      135.00          53          (795 ) 

Deere & Co.

      Call        4/21/17      USD      110.00          149          (14,676 ) 

Detour Gold Corp.

      Call        4/21/17      CAD      18.00          470          (2,474 ) 

Encana Corp.

      Call        4/21/17      CAD      16.00          510          (13,231 ) 

EOG Resources, Inc.

      Call        4/21/17      USD      105.00          143          (2,145 ) 

Exxon Mobil Corp.

      Call        4/21/17      USD      85.00          107          (1,552 ) 

First Quantum Minerals Ltd.

      Call        4/21/17      CAD      15.00          600          (11,054 ) 

International Paper Co.

      Call        4/21/17      USD      55.00          340          (6,460 ) 

Mosaic Co.

      Call        4/21/17      USD      31.00          260          (4,160 ) 

Newmont Mining Corp.

      Call        4/21/17      USD      35.00          600          (15,000 ) 

Packaging Corp. of America

      Call        4/21/17      USD      97.50          493          (22,185 ) 

Pioneer Natural Resources Co.

      Call        4/21/17      USD      195.00          121          (16,032 ) 

Potash Corp. of Saskatchewan, Inc.

      Call        4/21/17      USD      18.00          245          (2,205 ) 

Rio Tinto PLC — ADR

      Call        4/21/17      USD      47.50          804          (4,020 ) 

Royal Dutch Shell PLC, A Shares — ADR

      Call        4/21/17      USD      55.00          260          (2,600 ) 

Superior Energy Services, Inc.

      Call        4/21/17      USD      17.50          200          (1,000 ) 

Vale SA — ADR

      Call        4/21/17      USD      11.00          2,140          (12,840 ) 

Anadarko Petroleum Corp.

      Call        4/28/17      USD      64.00          243          (20,412 ) 

Baker Hughes, Inc.

      Call        4/28/17      USD      60.00          432          (58,536 ) 

BP PLC — ADR

      Call        4/28/17      USD      35.00          383          (13,788 ) 

Chevron Corp.

      Call        4/28/17      USD      113.00          35          (1,085 ) 

ConocoPhillips

      Call        4/28/17      USD      47.50          637          (181,545 ) 

Deere & Co.

      Call        4/28/17      USD      111.00          225          (21,825 ) 

Devon Energy Corp.

      Call        4/28/17      USD      42.00          610          (72,895 ) 

Encana Corp.

      Call        4/28/17      CAD      16.50          311          (6,197 ) 

EOG Resources, Inc.

      Call        4/28/17      USD      98.50          131          (24,824 ) 

Exxon Mobil Corp.

      Call        4/28/17      USD      83.50          92          (7,084 ) 

Hess Corp.

      Call        4/28/17      USD      49.00          250          (30,750 ) 

International Paper Co.

      Call        4/28/17      USD      52.50          690          (45,540 ) 

Mosaic Co.

      Call        4/28/17      USD      31.00          260          (7,930 ) 

Pioneer Natural Resources Co.

      Call        4/28/17      USD      192.50          26          (6,890 ) 

Potash Corp. of Saskatchewan, Inc.

      Call        4/28/17      USD      18.00          1,102          (28,652 ) 

Vale SA — ADR

      Call        4/28/17      USD      11.16          3,220          (25,258 ) 

Weyerhaeuser Co.

      Call        4/28/17      USD      34.00          500          (43,750 ) 

Anadarko Petroleum Corp.

      Call        5/05/17      USD      64.00          243          (30,375 ) 

Baker Hughes, Inc.

      Call        5/05/17      USD      60.50          38          (4,902 ) 

Chevron Corp.

      Call        5/05/17      USD      111.00          219          (16,644 ) 

EOG Resources, Inc.

      Call        5/05/17      USD      96.50          89          (32,485 ) 

Exxon Mobil Corp.

      Call        5/05/17      USD      83.50          73          (6,680 ) 

Halliburton Co.

      Call        5/05/17      USD      50.50          312          (32,916 ) 

International Paper Co.

      Call        5/05/17      USD      52.00          546          (51,597 ) 

Mosaic Co.

      Call        5/05/17      USD      30.00          520          (41,340 ) 

Potash Corp. of Saskatchewan, Inc.

      Call        5/05/17      USD      17.50          424          (18,868 ) 

Vale SA — ADR

      Call        5/05/17      USD      10.50          1,129          (25,402 ) 

Weyerhaeuser Co.

      Call        5/05/17      USD      34.50          7          (490 ) 

BP PLC — ADR

      Call        5/12/17      USD      35.00          307          (17,192 ) 

Chevron Corp.

      Call        5/12/17      USD      110.00          47          (5,758 ) 

ConocoPhillips

      Call        5/12/17      USD      51.00          481          (53,872 ) 

Devon Energy Corp.

      Call        5/12/17      USD      43.00          305          (39,040 ) 

EOG Resources, Inc.

      Call        5/12/17      USD      100.00          117          (27,788 ) 

Exxon Mobil Corp.

      Call        5/12/17      USD      84.50          51          (3,213 ) 

Halliburton Co.

      Call        5/12/17      USD      50.50          312          (37,752 ) 

Hess Corp.

      Call        5/12/17      USD      50.00          247          (33,098 ) 

Mosaic Co.

      Call        5/12/17      USD      31.00          520          (28,860 ) 

Royal Dutch Shell PLC, A Shares — ADR

      Call        5/12/17      USD      54.00          650          (53,625 ) 

Agrium, Inc.

      Call        5/19/17      CAD      135.00          350          (27,108 ) 

 

    

 

          MARCH 31, 2017    3

Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)  

 

 

Description   

Put/

Call

       

Expiration

Date

       

Strike

Price

        Contracts        Value  

Anadarko Petroleum Corp.

      Call          5/19/17        USD      62.50          44        $ (10,010 ) 

Barrick Gold Corp.

      Call          5/19/17        USD      20.00          1,766          (105,960 ) 

BP PLC — ADR

      Call          5/19/17        USD      35.00          2,083          (123,938 ) 

CF Industries Holdings, Inc.

      Call          5/19/17        USD      32.50          500          (31,750 ) 

Chevron Corp.

      Call          5/19/17        USD      110.00          18          (2,340 ) 

ConocoPhillips

      Call          5/19/17        USD      47.00          417          (152,205 ) 

Detour Gold Corp.

      Call          5/19/17        CAD      20.00          250          (1,786 ) 

Exxon Mobil Corp.

      Call          5/19/17        USD      85.00          137          (7,604 ) 

Halliburton Co.

      Call          5/19/17        USD      52.50          478          (32,504 ) 

Hess Corp.

      Call          5/19/17        USD      50.00          333          (47,786 ) 

Potash Corp. of Saskatchewan, Inc.

      Call          5/19/17        USD      18.00          367          (11,928 ) 

Precision Drilling Corp.

      Call          5/19/17        CAD      7.00          1,131          (10,631 ) 

Rio Tinto PLC — ADR

      Call          5/19/17        USD      42.50          1,459          (171,432 ) 

Royal Dutch Shell PLC, A Shares — ADR

      Call          5/19/17        USD      53.85          753          (71,616 ) 

Vale SA — ADR

      Call          5/19/17        USD      11.00          3,000          (60,000 ) 

Exxon Mobil Corp.

      Call          6/16/17        USD      85.00          90          (8,231 ) 

Pioneer Natural Resources Co.

      Call          6/16/17        USD      190.00          93          (81,840 ) 

Total

                           $ (2,853,944 ) 
                         

 

 

  

 

OTC Options Written

                         
Description   

Put/

Call

      Counterparty   

Expiration

Date

       

Strike

Price

      Contracts        Value  

AGT Food & Ingredients, Inc.

      Call      Citibank N.A.      4/03/17          CAD        34.35        10,000        $ —  

First Quantum Minerals Ltd.

      Call      Morgan Stanley & Co. International PLC      4/03/17          CAD        16.30        152,000          (1 ) 

Lundin Mining Corp.

      Call      Citibank N.A.      4/03/17          CAD        7.44        320,000          (32,259 ) 

ArcelorMittal

      Call      Deutsche Bank AG      4/04/17          EUR        7.70        355,000          (83,343 ) 

ArcelorMittal

      Call      Deutsche Bank AG      4/04/17          EUR        8.89        47,900          (61 ) 

Glanbia PLC

      Call      Morgan Stanley & Co. International PLC      4/05/17          EUR        18.66        16,000          (495 ) 

Glencore PLC

      Call      Morgan Stanley & Co. International PLC      4/06/17          GBP        3.27        1,899,200          (27,543 ) 

MMC Norilsk Nickel PJSC — ADR

      Call      Credit Suisse International      4/06/17          USD        17.90        119,800          (2 ) 

Quintis Ltd.

      Call      Deutsche Bank AG      4/06/17          AUD        1.60        250,000          (2 ) 

Rio Tinto PLC — ADR

      Call      Deutsche Bank AG      4/06/17          USD        42.90        90,800          (5,349 ) 

BRF SA — ADR

      Call      Barclays Bank PLC      4/07/17          USD        14.42        36,300          —  

BRF SA — ADR

      Call      Morgan Stanley & Co. International PLC      4/07/17          USD        14.82        36,200          —  

Eni SpA — ADR

      Call      Bank of America N.A.      4/07/17          USD        32.22        38,800          (26,281 ) 

AGT Food & Ingredients, Inc.

      Call      Morgan Stanley & Co. International PLC      4/11/17          CAD        33.02        20,000          (931 ) 

Boliden AB

      Call      Morgan Stanley & Co. International PLC      4/11/17          SEK        277.98        10,000          (1,584 ) 

Boliden AB

      Call      UBS AG      4/11/17          SEK        291.92        28,500          (444 ) 

Elders Ltd.

      Call      Deutsche Bank AG      4/11/17          AUD        4.56        75,000          (2,296 ) 

Encana Corp.

      Call      Citibank N.A.      4/11/17          CAD        16.55        140,000          (8,652 ) 

Fresnillo PLC

      Call      Morgan Stanley & Co. International PLC      4/11/17          GBP        15.87        65,000          (14,364 ) 

Quintis Ltd.

      Call      Deutsche Bank AG      4/11/17          AUD        1.59        200,000          (2 ) 

Glanbia PLC

      Call      Morgan Stanley & Co. International PLC      4/12/17          EUR        18.64        20,000          (2,230 ) 

MMC Norilsk Nickel PJSC — ADR

      Call      Morgan Stanley & Co. International PLC      4/12/17          USD        17.49        184,000          (782 ) 

Mosaic Co.

      Call      Citibank N.A.      4/12/17          USD        34.02        23,300          (26 ) 

Eni SpA — ADR

      Call      JPMorgan Chase Bank N.A.      4/13/17          USD        31.93        55,000          (55,120 ) 

Lundin Mining Corp.

      Call      Morgan Stanley & Co. International PLC      4/17/17          CAD        8.75        300,000          (1,173 ) 

Precision Drilling Corp.

      Call      UBS AG      4/17/17          CAD        6.34        75,000          (11,075 ) 

Quintis Ltd.

      Call      Deutsche Bank AG      4/18/17          AUD        1.52        200,000          (2 ) 

AGT Food & Ingredients, Inc.

      Call      Morgan Stanley & Co. International PLC      4/19/17          CAD        33.02        20,000          (2,287 ) 

Elders Ltd.

      Call      Morgan Stanley & Co. International PLC      4/19/17          AUD        4.46        61,000          (5,339 ) 

Fresnillo PLC

      Call      Morgan Stanley & Co. International PLC      4/19/17          GBP        15.49        61,300          (34,220 ) 

Rio Tinto PLC — ADR

      Call      Morgan Stanley & Co. International PLC      4/20/17          USD        42.67        88,200          (37,643 ) 

ArcelorMittal

      Call      Citibank N.A.      4/25/17          EUR        8.72        355,000          (16,722 ) 

Glanbia PLC

      Call      Morgan Stanley & Co. International PLC      4/25/17          EUR        18.58        20,000          (5,189 ) 

Glencore PLC

      Call      Morgan Stanley & Co. International PLC      4/25/17          GBP        3.24        375,000          (30,118 ) 

Yara International ASA

      Call      Morgan Stanley & Co. International PLC      4/25/17          NOK        326.72        35,500          (46,628 ) 

Yara International ASA

      Call      Morgan Stanley & Co. International PLC      4/25/17          NOK        332.03        35,500          (35,930 ) 

Elders Ltd.

      Call      Deutsche Bank AG      4/26/17          AUD        4.58        25,000          (1,166 ) 

Glencore PLC

      Call      Goldman Sachs International      4/26/17          GBP        3.21        520,000          (49,096 ) 

Syngenta AG

      Call      Morgan Stanley & Co. International PLC      4/26/17          CHF        432.68        9,300          (104,319 ) 

AGT Food & Ingredients, Inc.

      Call      Goldman Sachs International      4/27/17          CAD        32.52        20,000          (5,290 ) 

Elders Ltd.

      Call      Deutsche Bank AG      4/27/17          AUD        4.40        61,000          (7,741 ) 

Encana Corp.

      Call      UBS AG      4/27/17          CAD        15.01        192,000          (133,133 ) 

 

    

 

4         MARCH 31, 2017     

Schedule of Investments (continued)      BlackRock Resources & Commodities Strategy Trust (BCX)  

 

 

Description    Put/
Call		      Counterparty    Expiration
Date		       

Strike

Price

      Contracts        Value  

First Quantum Minerals Ltd.

      Call      Citibank N.A.      4/27/17        CAD      14.52        225,000        $ (86,439 ) 

Glanbia PLC

      Call      Morgan Stanley & Co. International PLC      4/27/17        EUR      18.66        16,000          (4,062 ) 

Glencore PLC

      Call      Morgan Stanley & Co. International PLC      4/27/17        GBP      3.35        1,390,000          (58,768 ) 

Lundin Mining Corp.

      Call      Citibank N.A.      4/27/17        CAD      7.93        162,900          (16,434 ) 

Quintis Ltd.

      Call      Morgan Stanley & Co. International PLC      4/27/17        AUD      1.49        125,000          (22 ) 

Golden Agri-Resources Ltd.

      Call      UBS AG      4/28/17        SGD      0.40        3,156,000          (9,651 ) 

Royal Dutch Shell PLC, A Shares

      Call      Morgan Stanley & Co. International PLC      4/28/17        GBP      21.21        43,000          (15,088 ) 

Glencore PLC

      Call      UBS AG      5/02/17        GBP      3.36        634,000          (37,881 ) 

ArcelorMittal

      Call      HSBC Bank PLC      5/03/17        EUR      8.57        39,800          (5,711 ) 

Elders Ltd.

      Call      Deutsche Bank AG      5/03/17        AUD      4.60        35,000          (1,669 ) 

First Quantum Minerals Ltd.

      Call      Morgan Stanley & Co. International PLC      5/03/17        CAD      15.14        249,500          (75,945 ) 

Fresnillo PLC

      Call      Bank of America N.A.      5/03/17        GBP      14.34        150,000          (239,277 ) 

Glanbia PLC

      Call      Goldman Sachs International      5/03/17        EUR      18.66        16,000          (4,815 ) 

Glencore PLC

      Call      Credit Suisse International      5/03/17        GBP      3.39        615,900          (33,980 ) 

Syngenta AG

      Call      HSBC Bank PLC      5/03/17        CHF      442.18        4,400          (7,317 ) 

Syngenta AG

      Call      UBS AG      5/03/17        CHF      447.53        14,500          (7,580 ) 

BRF SA — ADR

      Call      Barclays Bank PLC      5/04/17        USD      13.08        110,000          (21,018 ) 

Packaging Corp. of America

      Call      Citibank N.A.      5/08/17        USD      95.50        30,000          (40,230 ) 

AGT Food & Ingredients, Inc.

      Call      Morgan Stanley & Co. International PLC      5/09/17        CAD      31.93        20,000          (10,357 ) 

Boliden AB

      Call      Credit Suisse International      5/09/17        SEK      275.41        33,100          (20,167 ) 

Elders Ltd.

      Call      Deutsche Bank AG      5/09/17        AUD      4.53        75,000          (5,919 ) 

Eni SpA — ADR

      Call      Citibank N.A.      5/09/17        USD      33.13        29,800          (9,014 ) 

Glanbia PLC

      Call      Morgan Stanley & Co. International PLC      5/09/17        EUR      18.51        25,000          (9,918 ) 

Golden Agri-Resources Ltd.

      Call      Bank of America N.A.      5/09/17        SGD      0.41        1,000,000          (3,693 ) 

Fresnillo PLC

      Call      Credit Suisse International      5/10/17        GBP      16.30        65,000          (23,046 ) 

Yara International ASA

      Call      Credit Suisse International      5/10/17        NOK      331.20        35,400          (51,787 ) 

Boliden AB

      Call      Morgan Stanley & Co. International PLC      5/11/17        SEK      279.44        60,000          (31,440 ) 

Glanbia PLC

      Call      Morgan Stanley & Co. International PLC      5/11/17        EUR      18.50        20,000          (8,326 ) 

Superior Energy Services, Inc.

      Call      Morgan Stanley & Co. International PLC      5/11/17        USD      14.65        67,300          (43,788 ) 

Eni SpA — ADR

      Call      Bank of America N.A.      5/15/17        USD      32.00        43,000          (42,996 ) 

Vale SA — ADR

      Call      Morgan Stanley & Co. International PLC      5/15/17        USD      10.80        220,000          (43,336 ) 

AGT Food & Ingredients, Inc.

      Call      Citibank N.A.      5/16/17        CAD      32.83        10,000          (3,671 ) 

Elders Ltd.

      Call      Deutsche Bank AG      5/16/17        AUD      4.60        35,000          (2,101 ) 

Glanbia PLC

      Call      Morgan Stanley & Co. International PLC      5/16/17        EUR      18.36        25,000          (12,861 ) 

Golden Agri-Resources Ltd.

      Call      Morgan Stanley & Co. International PLC      5/17/17        SGD      0.39        3,150,000          (30,264 ) 

Superior Energy Services, Inc.

      Call      Citibank N.A.      5/17/17        USD      14.51        43,600          (40,120 ) 

Glanbia PLC

      Call      Morgan Stanley & Co. International PLC      5/18/17        EUR      18.59        20,000          (8,587 ) 

Packaging Corp. of America

      Call      Bank of America N.A.      5/22/17        USD      94.14        38,500          (96,287 ) 

Superior Energy Services, Inc.

      Call      UBS AG      5/22/17        USD      14.29        26,300          (27,822 ) 

Elders Ltd.

      Call      Deutsche Bank AG      5/23/17        AUD      4.60        35,000          (2,312 ) 

AGT Food & Ingredients, Inc.

      Call      Citibank N.A.      5/24/17        CAD      30.54        10,000          (11,311 ) 

MMC Norilsk Nickel PJSC — ADR

      Call      UBS AG      5/24/17        USD      16.25        17,800          (6,859 ) 

Royal Dutch Shell PLC, A Shares

      Call      Credit Suisse International      5/25/17        GBP      21.38        43,300          (14,079 ) 

Agrium, Inc.

      Call      Deutsche Bank AG      5/31/17        CAD      129.07        18,300          (45,127 ) 

AGT Food & Ingredients, Inc.

      Call      Citibank N.A.      5/31/17        CAD      30.35        20,000          (25,272 ) 

Elders Ltd.

      Call      Deutsche Bank AG      5/31/17        AUD      4.56        32,000          (2,772 ) 

Superior Energy Services, Inc.

      Call      Citibank N.A.      5/31/17        USD      14.51        43,600          (46,409 ) 

Elders Ltd.

      Call      Deutsche Bank AG      6/07/17        AUD      4.56        32,000          (2,947 ) 

Elders Ltd.

      Call      Deutsche Bank AG      6/14/17        AUD      4.56        33,000          (3,211 ) 

Superior Energy Services, Inc.

      Call      Morgan Stanley & Co. International PLC      6/14/17        USD      14.99        30,500          (28,780 ) 

Total

                          $ (2,169,304 ) 
                        

 

 

  

 

      Fair Value Hierarchy as of Period End

 

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

 

    

 

          MARCH 31, 2017    5

Schedule of Investments (concluded)      BlackRock Resources & Commodities Strategy Trust (BCX)  

 

 

   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 BlackRock Global Valuation Methodologies Committee (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. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

 

   Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its annual report.

 

   The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                  

Investments:

                  

Long-Term Investments:

                  

Common Stocks:

                  

Chemicals

    $         121,429,167        $ 41,372,990          —        $ 162,802,157  

Containers & Packaging

      51,780,815          —          —          51,780,815  

Energy Equipment & Services

      44,466,759          —          —          44,466,759  

Equity Real Estate Investment Trusts (REITs)

      4,309,615          —          —          4,309,615  

Food Products

      31,228,783          16,234,617          —          47,463,400  

Independent Power and Renewable Electricity Producers

      —          —        $ 1          1  

Machinery

      10,187,881          —          —          10,187,881  

Metals & Mining

      179,047,563          137,338,831          —          316,386,394  

Oil, Gas & Consumable Fuels

      310,064,155          11,254,927          —          321,319,082  

Paper & Forest Products

      —          6,394,535          —          6,394,535  

Short-Term Securities

      5,632,767          —          —          5,632,767  
  

 

 

  

Subtotal

    $ 758,147,505        $         212,595,900        $         1        $         970,743,406  
  

 

 

  

Investments Valued at NAV1

                     3,281,704  
                 

 

 

  

Total Investments

                   $ 974,025,110  
                 

 

 

  
                 

Derivative Financial Instruments2

                                          

Liabilities:

                  

Equity contracts

    $ (2,736,575 )       $ (2,286,673 )         —        $ (5,023,248 ) 
  

 

 

  

 

  1 

As of March 31, 2017, certain of the Fund’s investments were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

  2 

Derivative financial instruments are options written, which are shown at value.

 

  During the period ended March 31, 2017, there were no transfers between levels.

 

    

 

6         MARCH 31, 2017     

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:   May 23, 2017
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:   May 23, 2017
By:       /s/ Neal J. Andrews                
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Resources & Commodities Strategy Trust
Date:   May 23, 2017