N-CSRS 1 d930137dncsrs.htm BLACKROCK UTILITIES, INFRASTRUCTURE & POWER OPPORTUNITIES TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22606

Name of Fund: BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Utilities, Infrastructure & Power Opportunities 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: 12/31/2020

Date of reporting period: 06/30/2020

Item 1 – Report to Stockholders

|  | JUNE 30, 2020

|  | 2020 Semi-Annual Report (Unaudited)

BlackRock Energy and Resources Trust (BGR)

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

BlackRock Enhanced Equity Dividend Trust (BDJ)

BlackRock Enhanced Global Dividend Trust (BOE)

BlackRock Enhanced International Dividend Trust (BGY)

BlackRock Health Sciences Trust (BME)

BlackRock Health Sciences Trust II (BMEZ)

BlackRock Resources & Commodities Strategy Trust (BCX)

BlackRock Science and Technology Trust (BST)

BlackRock Science and Technology Trust II (BSTZ)

BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Trust’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call Computershare at (800) 699-1236 to request that you continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC or its affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

Not FDIC Insured • May Lose Value • No Bank Guarantee

Supplemental Information (unaudited)

Section 19(a) Notices

BlackRock Energy and Resources Trust’s (BGR), BlackRock Enhanced Capital and Income Fund, Inc.’s (CII), BlackRock Enhanced Equity Dividend Trust’s (BDJ), BlackRock Enhanced Global Dividend Trust’s (BOE), BlackRock Enhanced International Dividend Trust’s (BGY), BlackRock Health Sciences Trust’s (BME), BlackRock Health Sciences Trust II’s (BMEZ), BlackRock Resources & Commodities Strategy Trust’s (BCX), BlackRock Science and Technology Trust’s (BST), BlackRock Science and Technology Trust II’s (BSTZ) and BlackRock Utilities, Infrastructure & Power Opportunities Trust’s (BUI) (each, a “Trust” and collectively, the “Trusts”), amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.

June 30, 2020

|  | Total Fiscal Year to Date Cumulative Distributions by Character |  |  | Percentage of Fiscal Year to Date Cumulative Distributions by Character |
Ticker |  | Net Investment Income |  |  | Net Realized Capital Gains Short-Term |  |  | Net Realized Capital Gains Long-Term |  |  | Return of Capital (a) |  |  | Total Per Common Share |  |  | Net Investment Income |  |  | Net Realized Capital Gains Short-Term |  |  | Net Realized Capital Gains Long-Term |  |  | Return of Capital |  |  | Total Per Common Share |
BGR |  | $ | 0.180872 |  |  | $ | — |  |  | $ | — |  |  | $ | 0.204328 |  |  | $ | 0.385200 |  |  |  | 47 | % |  |  | 0 | % |  |  | 0 | % |  |  | 53 | % |  |  | 100 | %
CII |  |  | 0.090988 |  |  |  | — |  |  |  | 0.434012 |  |  |  | — |  |  |  | 0.525000 |  |  |  | 17 |  |  |  | 0 |  |  |  | 83 |  |  |  | 0 |  |  |  | 100 |
BDJ |  |  | 0.212571 |  |  |  | — |  |  |  | 0.087429 |  |  |  | — |  |  |  | 0.300000 |  |  |  | 71 |  |  |  | 0 |  |  |  | 29 |  |  |  | 0 |  |  |  | 100 |
BOE |  |  | 0.152891 |  |  |  | — |  |  |  | — |  |  |  | 0.225109 |  |  |  | 0.378000 |  |  |  | 40 |  |  |  | 0 |  |  |  | 0 |  |  |  | 60 |  |  |  | 100 |
BGY |  |  | 0.071618 |  |  |  | — |  |  |  | — |  |  |  | 0.131182 |  |  |  | 0.202800 |  |  |  | 35 |  |  |  | 0 |  |  |  | 0 |  |  |  | 65 |  |  |  | 100 |
BME |  |  | 0.022858 |  |  |  | — |  |  |  | — |  |  |  | 1.177142 |  |  |  | 1.200000 |  |  |  | 2 |  |  |  | 0 |  |  |  | 0 |  |  |  | 98 |  |  |  | 100 |
BMEZ |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 0.300000 |  |  |  | 0.300000 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 100 |  |  |  | 100 |
BCX |  |  | 0.103460 |  |  |  | — |  |  |  | — |  |  |  | 0.182940 |  |  |  | 0.286400 |  |  |  | 36 |  |  |  | 0 |  |  |  | 0 |  |  |  | 64 |  |  |  | 100 |
BST |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 0.993000 |  |  |  | 0.993000 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 100 |  |  |  | 100 |
BSTZ |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 0.600000 |  |  |  | 0.600000 |  |  |  | 0 |  |  |  | 0 |  |  |  | 0 |  |  |  | 100 |  |  |  | 100 |
BUI |  |  | 0.173723 |  |  |  | — |  |  |  | — |  |  |  | 0.552277 |  |  |  | 0.726000 |  |  |  | 24 |  |  |  | 0 |  |  |  | 0 |  |  |  | 76 |  |  |  | 100 |

| (a) | Certain Trusts estimate that they have distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trust’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce the Trust’s net asset value per share. |

Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at blackrock.com.

Section 19(b) Disclosure

The Trusts, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Trust’s Board of Trustees/Directors (the “Board”), each have adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, the Trusts currently distribute the following fixed amounts per share on a monthly basis as of June 30, 2020:

Exchange Symbol |  | Amount Per Common Share |
BGR |  | $ | 0.0470 |
CII |  |  | 0.0875 |
BDJ |  |  | 0.0500 |
BOE |  |  | 0.0630 |
BGY |  |  | 0.0338 |
BME |  |  | 0.2000 |
BMEZ |  |  | 0.1000 |
BCX |  |  | 0.0400 |
BST |  |  | 0.1655 |
BSTZ |  |  | 0.1000 |
BUI |  |  | 0.1210 |

The fixed amounts distributed per share are subject to change at the discretion of each Trust’s Board. Under its Plan, each Trust will distribute all available investment income to its shareholders required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, the Trusts will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Trust may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).

Shareholders should not draw any conclusions about each Trust’s investment performance from the amount of these distributions or from the terms of the Plan. Each Trust’s total return performance is presented in its financial highlights table.

The Board may amend, suspend or terminate a Trust’s Plan at any time without prior notice to the Trust’s shareholders if it deems such actions to be in the best interests of the Trust or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Trust’s stock is trading at or above net asset value) or widening an existing trading discount. The Trusts are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code. Please refer to BME, BST and BUI’s prospectuses for a more complete description of each Trust’s risks.

2 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

The Markets in Review

Dear Shareholder,

The last 12 months have been a time of sudden change in global financial markets, as a long period of growth and positive returns was interrupted in early 2020 by the emergence and spread of the coronavirus. For the first part of the reporting period, U.S. equities and bonds both delivered impressive returns, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. But as the threat from the coronavirus became more apparent throughout February and March 2020, leading countries around the world took economically disruptive countermeasures, causing equity prices to fall sharply. While markets have since recovered some of these losses as countries around the world begin reopening, there is still significant uncertainty surrounding the course of the pandemic, and an uptick in U.S. infection rates caused concern late in the reporting period.

Returns for most securities were robust for the first part of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that had characterized this economic cycle. However, once stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off and unemployment claims spiked. With large portions of the global economy on hold, all types of international equities ended the 12-month reporting period with negative performance, while in the United States large-capitalization stocks, which investors saw as more resilient than smaller companies, delivered solid returns.

The performance of different types of fixed-income securities diverged substantially due to a reduced investor appetite for risk. Treasuries benefited from the risk-off environment, and posted healthy returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) fell to an all-time low. Investment-grade corporate bonds also delivered a solid return, while high-yield corporate returns were flat due to credit concerns.

The U.S. Federal Reserve (the “Fed”) reduced interest rates three times in 2019, to support slowing economic growth. After the coronavirus outbreak, the Fed instituted two emergency rate cuts, pushing short-term interest rates close to zero. To stabilize credit markets, the Fed also announced a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.

Looking ahead, while coronavirus-related disruption has clearly hindered worldwide economic growth, we believe that the global expansion is likely to continue once the impact of the outbreak subsides. Several risks remain, however, including a potential resurgence of the virus amid loosened restrictions, policy fatigue among governments already deep into deficit spending, and structural damage to the financial system from lengthy economic interruptions.

Overall, we favor a moderately positive stance toward risk, and in particular toward credit given the extraordinary central bank measures taken in recent months. This support extends beyond investment-grade corporates and into high-yield, leading to attractive opportunities throughout the credit market. We believe that both U.S. Treasuries and sustainable investments can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments. We remain neutral on equities overall while favoring European stocks, which are poised for a cyclical upside as re-openings continue.

In this environment, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

Rob Kapito

President, BlackRock Advisors, LLC

Rob Kapito

President, BlackRock Advisors, LLC

Total Returns as of June 30, 2020
|  | 6-month |  | 12-month
U.S. large cap equities (S&P 500® Index) |  | (3.08)% |  | 7.51%
U.S. small cap equities (Russell 2000® Index) |  | (12.98) |  | (6.63)
International equities (MSCI Europe, Australasia, Far East Index) |  | (11.34) |  | (5.13)
Emerging market equities (MSCI Emerging Markets Index) |  | (9.78) |  | (3.39)
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) |  | 0.60 |  | 1.63
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) |  | 12.68 |  | 14.21
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index) |  | 6.14 |  | 8.74
Tax-exempt municipal bonds (S&P Municipal Bond Index) |  | 1.97 |  | 4.23
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index) |  | (3.83) |  | 0.00
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

THIS PAGE IS NOT PART OF YOUR FUND REPORT |  |  | 3 |

Table of Contents

|  | Page |
Section 19(a) Notices |  |  | 2 |
Section 19(b) Disclosure |  |  | 2 |
The Markets in Review |  |  | 3 |
Semi-Annual Report: |  |  |  |
Option Over-Writing Strategy |  |  | 5 |
Trust Information |  |  | 6 |
Derivative Financial Instruments |  |  | 28 |
Financial Statements: |  |  |  |
Schedules of Investments |  |  | 29 |
Statements of Assets and Liabilities |  |  | 110 |
Statements of Operations |  |  | 112 |
Statements of Changes in Net Assets |  |  | 114 |
Statements of Cash Flows |  |  | 120 |
Financial Highlights |  |  | 122 |
Notes to Financial Statements |  |  | 133 |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements |  |  | 144 |
Trustee and Officer Information |  |  | 152 |
Additional Information |  |  | 153 |
Glossary of Terms Used in this Report |  |  | 155 |

4 |  |

Option Over-Writing Strategy

Overview

In general, the goal of each of the Trusts is to provide total return through a combination of current income and realized and unrealized gains (capital appreciation). The Trusts seek to pursue these goals primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options in an effort to generate current gains from option premiums and to enhance each Trust’s risk-adjusted return. Each Trust’s objectives cannot be achieved in all market conditions.

Each Trust primarily writes single stock covered call options, and may also from time to time write single stock put options. When writing (selling) a covered call option, a Trust holds an underlying equity security and enters into an option transaction which allows the counterparty to purchase the equity security at an agreed-upon price (“strike price”) within an agreed-upon time period. The Trust receives cash premiums from the counterparties upon writing (selling) the option, which along with net investment income and net realized gains, if any, are generally available to support current or future distributions paid by the Trust. During the option term, the counterparty may elect to exercise the option if the market value of the equity security rises above the strike price, and the Trust is obligated to sell the equity security to the counterparty at the strike price, realizing a gain or loss. Premiums received increase gains or reduce losses realized on the sale of the equity security. If the option remains unexercised upon its expiration, the Trust realizes gains equal to the premiums received. Alternatively, an option may be closed out by an offsetting purchase or sale of an option prior to expiration. The Trust realizes a capital gain from a closing purchase or sale transaction if the premium paid is less than the premium received from writing the option. The Trust realizes a capital loss from a closing purchase or sale transaction if the premium received is less than the premium paid to purchase the option.

Writing covered call options entails certain risks, which include, but are not limited to, the following: an increase in the value of the underlying equity security above the strike price can result in the exercise of a written option (sale by a Trust to the counterparty) when the Trust might not otherwise have sold the security; exercise of the option by the counterparty may result in a sale below the current market value and a gain or loss being realized by the Trust; and limiting the potential appreciation that could be realized on the underlying equity security to the extent of the strike price of the option. The premium that a Trust receives from writing a covered call option may not be sufficient to offset the potential appreciation on the underlying equity security above the strike price of the option that could have otherwise been realized by the Trust. As such, an option over-writing strategy may outperform the general equity market in flat or falling markets but underperform in rising markets.

Option Over-Writing Strategy Illustration

To illustrate these concepts, assume the following: (1) a common stock purchased at and currently trading at $37.15 per share; (2) a three-month call option is written by a Trust with a strike price of $40 (i.e., 7.7% higher than the current market price); and (3) the Trust receives $2.45, or 6.6% of the common stock’s value, as a premium. If the stock price remains unchanged, the option expires and there would be a 6.6% return for the three-month period. If the stock were to decline in price by 6.6% (i.e., decline to $34.70 per share), the option strategy would “break-even” from an economic perspective resulting in neither a gain nor a loss. If the stock were to climb to a price of $40 or above, the option would be exercised and the stock would return 7.7% coupled with the option premium received of 6.6% for a total return of 14.3%. Under this scenario, the Trust loses the benefit of any appreciation of the stock above $40, and thus is limited to a 14.3% total return. The premium from writing the call option serves to offset some of the unrealized loss on the stock in the event that the price of the stock declines, but if the stock were to decline more than 6.6% under this scenario, the Trust’s downside protection is eliminated and the stock could eventually become worthless.

Each Trust intends to write covered call and other options to varying degrees depending upon market conditions. Please refer to each Trust’s Schedule of Investments and the Notes to Financial Statements for details of written options.

THE BENEFITS AND RISKS OF OPTION OVER-WRITING |  |  | 5 |

Trust Information as of June 30, 2020 |  | BlackRock Energy and Resources Trust (BGR)

Investment Objective

BlackRock Energy and Resources Trust’s (BGR) (the “Trust”) investment objective is to provide total return through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities of energy and natural resources companies and equity derivatives with exposure to the energy and natural resources industry. The Trust may invest directly in such securities or synthetically through the use of derivatives. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

Symbol on New York Stock Exchange (“NYSE”) |  | BGR
Initial Offering Date |  | December 29, 2004
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($7.23)(a) |  | 7.80%
Current Monthly Distribution per Common Share(b) |  | $0.0470
Current Annualized Distribution per Common Share(b) |  | $0.5640

| (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2020 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | Net Asset Value |
BGR(a)(b) |  |  | (36.19 | )% |  |  | (32.77 | )%
MSCI World Energy Call Overwrite Index(c) |  |  | N/A |  |  |  | (38.19 | )

| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. |

| (b) | The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | MSCI World Energy Call Overwrite Index incorporates an option overlay component on the MSCI World Energy Index with a 33% overwrite level. |

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

Energy prices fell sharply in the first half of 2020, as the demand outlook was pressured by concerns about the economic impact of the coronavirus pandemic. In combination with the stock market downturn that occurred in February and March, this development led to poor returns for energy-related equities.

Consistent with this environment, the Trust produced a negative absolute return in the six-month period. While most of its holdings declined in value, its positions in more “defensive” energy companies — such as Total SA and the oil pipeline company Williams Cos. — outperformed. The Trust also benefited from not owning Occidental Petroleum Corp. and being significantly underweight Schlumberger NV, as both companies experienced sharp share price declines.

The oil refiner Marathon Petroleum Corp., which was hurt by the prospect of rising gasoline inventories, was the largest detractor from performance. The exploration and production (“E&P”) companies Kosmos Energy Ltd. and Noble Energy, Inc. also weighed on results. Shares of Kosmos slid after the company announced plans to reduce 2020 capital spending and suspend its dividend to preserve cash, while Noble lost ground due to its higher sensitivity to energy prices. An underweight in Enbridge, Inc., which outperformed thanks to progress on a proposed pipeline in the United States, was an additional detractor of note.

The Trust utilized an options overlay strategy in which calls are written on a portion of the portfolio’s holdings. The Trust’s option overlay strategy contributed positively to relative performance for the six-month period.

Early in the period, the Trust held a slightly elevated cash balance. The Trust’s cash balance had no material impact to performance.

Describe recent portfolio activity

The investment adviser adopted a more defensive posture in early March given the risks to oil demand stemming from the virus. This was achieved by remaining focused on high-quality producers that the investment adviser saw as having asset bases and balance sheets strong enough to weather the near-term storm and emerge well-positioned for an eventual upturn. Later in the period, the Trust added to its positions in non-U.S. oil producers.

6 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Information as of June 30, 2020 (continued) |  | BlackRock Energy and Resources Trust (BGR)

Describe portfolio positioning at period end.

The integrated energy subsector represented the Trust’s largest allocation, followed by the E&P, distribution, refining & marketing, and oil services industries, respectively.

As of June 30, 2020, the Trust had in place an option overwriting program in place whereby 34% of the underlying equities were overwritten with call options. These call options were typically written at levels above prevailing market prices (estimated to be 6.1% out of the money) with an average time until expiration of 45 days.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Market Price and Net Asset Value Per Share Summary

|  | 06/30/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 7.23 |  |  | $ | 11.88 |  |  |  | (39.14 | )% |  | $ | 12.66 |  |  | $ | 4.17 |
Net Asset Value |  |  | 8.06 |  |  |  | 12.57 |  |  |  | (35.88 | ) |  |  | 12.82 |  |  |  | 5.15 |

Market Price and Net Asset Value History For the Past Five Years

Overview of the Trust’s Total Investments *

TEN LARGEST HOLDINGS

Security |  | 6/30/20 |
Chevron Corp. |  |  | 14 | %
Royal Dutch Shell PLC — ADR |  |  | 10 |
TOTAL SA |  |  | 9 |
BP PLC |  |  | 8 |
ConocoPhillips |  |  | 5 |
TC Energy Corp |  |  | 4 |
Kinder Morgan, Inc. |  |  | 4 |
Williams Cos., Inc. |  |  | 4 |
Suncor Energy, Inc. |  |  | 4 |
Pioneer Natural Resources Co. |  |  | 3 |

| * | Excludes option positions and money market funds. |

INDUSTRY ALLOCATION

Industry |  | 6/30/20 |  |  | 12/31/19 |
Oil, Gas & Consumable Fuels |  |  | 96 | % |  |  | 97 | %
Energy Equipment & Services |  |  | 4 |  |  |  | 3 |

| 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |

TRUST INFORMATION |  |  | 7 |

Trust Information as of June 30, 2020 |  | BlackRock Enhanced Capital and Income Fund (CII)

Investment Objective

BlackRock Enhanced Capital and Income Fund, Inc.’s (CII) (the “Trust”) investment objective is to provide investors with a combination of current income and capital appreciation. The Trust seeks to achieve its investment objective by investing in a portfolio of equity securities of U.S. and foreign issuers. The Trust may invest directly in such securities or synthetically through the use of derivatives. The Trust also seeks to achieve its investment objective by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

Symbol on NYSE |  | CII
Initial Offering Date |  | April 30, 2004
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($14.47)(a) |  | 7.26%
Current Monthly Distribution per Common Share(b) |  | $0.0875
Current Annualized Distribution per Common Share(b) |  | $1.0500

| (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2020 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | Net Asset Value |
CII(a)(b) |  |  | (13.08 | )% |  |  | (7.29 | )%
MSCI USA Call Overwrite Index(c) |  |  | N/A |  |  |  | (10.36 | )

| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. |

| (b) | The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | MSCI USA Call Overwrite Index incorporates an option overlay component on the MSCI USA Index with a 55% overwrite level. |

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

In the equity allocation of the Trust, the largest contributor to relative performance was stock selection within the industrials sector. Most notably, an out-of-benchmark position in specialty contractor Quanta Services Inc. and a lack of exposure to aerospace manufacturer Boeing Co. provided strong relative returns. Underweight allocations to real estate also contributed to performance. Lastly, the Trust benefited from stock selection within the communication services sector, particularly given its overweight positions in tech giants Facebook Inc. and Alphabet Inc.

Conversely, the largest detractor from relative performance in the equity allocation of the Trust was stock selection in the information technology (“IT”) sector. Most notably, overweight positions in software developer CDK Global Inc. and IT consulting company Cognizant Technology Solutions Corp. weighed on results. Stock selection in financials also detracted, particularly due to overweight positions in U.S. Bancorp and Bank of America Corp. Also detracting from relative performance was stock selection in the energy sector, most notably through an overweight position in Marathon Oil Corp.

The Trust utilized an options overlay strategy in which calls are written on a portion of the portfolio’s holdings. The Trust’s option overlay strategy contributed positively to relative performance during the period.

Describe recent portfolio activity.

The Trust significantly increased its exposure to the IT sector. Holdings within consumer discretionary and real estate were also increased. Conversely, the Trust significantly reduced its exposure to the financials sector. The Trust also lowered its allocation to energy and consumer staples.

Describe portfolio positioning at period end.

In the equity portion of the portfolio, the Trust’s largest allocations relative to the benchmark were in the consumer discretionary, communication services, and industrials sectors. Conversely, the Trust’s largest relative underweights were in the real estate, IT, and utilities sectors.

As of June 30, 2020, the Trust had in place an option overwriting program whereby 52% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 5.0% out of the money) with an average time until expiration of 45 days.

8 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Information as of June 30, 2020 (continued) |  | BlackRock Enhanced Capital and Income Fund (CII)

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Market Price and Net Asset Value Per Share Summary

|  | 06/30/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 14.47 |  |  | $ | 17.25 |  |  |  | (16.12 | )% |  | $ | 17.86 |  |  | $ | 9.56 |
Net Asset Value |  |  | 16.07 |  |  |  | 17.96 |  |  |  | (10.52 | ) |  |  | 18.37 |  |  |  | 12.31 |

Market Price and Net Asset Value History For the Past Five Years

Overview of the Trust’s Total Investments *

TEN LARGEST HOLDINGS

Security |  | 6/30/20 |
Apple, Inc. |  |  | 7 | %
Microsoft Corp. |  |  | 7 |
Alphabet, Inc. |  |  | 5 |
Amazon.com, Inc. |  |  | 5 |
Facebook, Inc. |  |  | 4 |
Visa, Inc. |  |  | 3 |
UnitedHealth Group, Inc. |  |  | 3 |
Comcast Corp. |  |  | 3 |
Cisco Systems, Inc. |  |  | 2 |
Berkshire Hathaway, Inc. |  |  | 2 |

| * | Excludes option positions and money market funds. |

SECTOR ALLOCATION

Sector |  | 6/30/20 |  |  | 12/31/19 |
Information Technology |  |  | 26 | % |  |  | 21 | %
Consumer Discretionary |  |  | 16 |  |  |  | 12 |
Health Care |  |  | 14 |  |  |  | 14 |
Communication Services |  |  | 13 |  |  |  | 13 |
Industrials |  |  | 9 |  |  |  | 9 |
Financials |  |  | 9 |  |  |  | 13 |
Consumer Staples |  |  | 5 |  |  |  | 7 |
Energy |  |  | 3 |  |  |  | 6 |
Materials |  |  | 3 |  |  |  | 3 |
Utilities |  |  | 1 |  |  |  | 2 |
Real Estate |  |  | 1 |  |  |  | — |

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

TRUST INFORMATION |  |  | 9 |

Trust Information as of June 30, 2020 |  | BlackRock Enhanced Equity Dividend Trust (BDJ)

Investment Objective

BlackRock Enhanced Equity Dividend Trust’s (BDJ) (the “Trust”) primary investment objective is to provide current income and current gains, with a secondary investment objective of long-term capital appreciation. The Trust seeks to achieve its investment objectives by investing in common stocks that pay dividends and have the potential for capital appreciation and by employing a strategy of writing (selling) call and put options. The Trust invests, under normal market conditions, at least 80% of its total assets in dividend paying equities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.

Trust Information

Symbol on NYSE |  | BDJ
Initial Offering Date |  | August 31, 2005
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($7.34)(a) |  | 8.17%
Current Monthly Distribution per Common Share(b) |  | $0.0500
Current Annualized Distribution per Common Share(b) |  | $0.6000

| (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2020 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | Net Asset Value |
BDJ(a)(b) |  |  | (23.05 | )% |  |  | (15.70 | )%
MSCI USA Value Call Overwrite Index(c) |  |  | N/A |  |  |  | (22.21 | )

| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. |

| (b) | The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | MSCI USA Value Call Overwrite Index incorporates an option overlay component on the MSCI USA Value Index with a 55% overwrite level. |

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

The most significant contributors to relative performance during the six-month period were stock selection and allocation decisions within the consumer discretionary sector. In particular, stock selection in the multiline retail industry proved beneficial. In addition, an underweight to the hotels, restaurants & leisure industry boosted relative return in the sector. Within information technology (“IT”), an overweight to the software industry added to performance. Other notable contributors included an overweight to health care, stock selection in the communication services sector, and an underweight to real estate.

The largest detractor from relative performance was an overweight to the financials sector. Notably, overweight exposure to banks constrained performance, as did selection among capital markets firms. Additionally, underweights to electric utilities and multi-utilities weighed on relative return. Other modest detractors included an underweight to consumer staples as well as stock selection within industrials.

The Trust utilized an options overlay strategy, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The Trust’s option writing strategy contributed positively to performance during the six-month period.

Describe recent portfolio activity.

During the period, a combination of portfolio trading activity and market price changes resulted in increased exposure to the utilities, IT and consumer staples sectors. Conversely, the Trust’s exposures to financials, energy and industrials were reduced.

Describe portfolio positioning at period end.

The Trust’s largest allocations on an absolute basis were in the financials, health care and IT sectors. Relative to the benchmark, the Trust’s largest overweight positions were in the financials, health care and energy sectors. Conversely, the Trust’s largest relative underweights were in the real estate, industrials and consumer staples sectors.

10 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Information as of June 30, 2020 (continued) |  | BlackRock Enhanced Equity Dividend Trust (BDJ)

As of June 30, 2020, the Trust had in place an option overwriting program whereby 52% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 5.6% out of the money) with an average time until expiration of 47 days.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Market Price and Net Asset Value Per Share Summary

|  | 06/30/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 7.34 |  |  | $ | 9.92 |  |  |  | (26.01 | )% |  | $ | 9.97 |  |  | $ | 4.65 |
Net Asset Value |  |  | 8.13 |  |  |  | 10.03 |  |  |  | (18.94 | ) |  |  | 10.13 |  |  |  | 6.22 |

Market Price and Net Asset Value History For the Past Five Years

Overview of the Trust’s Total Investments *

TEN LARGEST HOLDINGS

Security |  | 6/30/20 |
Verizon Communications, Inc. |  |  | 4 | %
Bank of America Corp. |  |  | 3 |
Citigroup, Inc. |  |  | 3 |
Anthem, Inc. |  |  | 3 |
Medtronic PLC |  |  | 2 |
Cognizant Technology Solutions Corp. |  |  | 2 |
Altria Group, Inc. |  |  | 2 |
Morgan Stanley |  |  | 2 |
Unilever NV — NY Shares |  |  | 2 |
Koninklijke Philips NV |  |  | 2 |

| * | Excludes option positions and money market funds. |

SECTOR ALLOCATION

Sector |  | 6/30/20 |  |  | 12/31/19 |
Financials |  |  | 27 | % |  |  | 29 | %
Health Care |  |  | 19 |  |  |  | 19 |
Information Technology |  |  | 10 |  |  |  | 9 |
Energy |  |  | 8 |  |  |  | 10 |
Consumer Staples |  |  | 8 |  |  |  | 7 |
Communication Services |  |  | 8 |  |  |  | 8 |
Industrials |  |  | 7 |  |  |  | 8 |
Utilities |  |  | 6 |  |  |  | 3 |
Consumer Discretionary |  |  | 5 |  |  |  | 6 |
Materials |  |  | 2 |  |  |  | 1 |

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

TRUST INFORMATION |  |  | 11 |

Trust Information as of June 30, 2020 |  | BlackRock Enhanced Global Dividend Trust (BOE)

Investment Objective

BlackRock Enhanced Global Dividend Trust’s (BOE) (the “Trust”) primary investment objective is to provide current income and current gains, with a secondary investment objective of long-term capital appreciation. The Trust seeks to achieve its investment objectives by investing primarily in equity securities issued by companies located in countries throughout the world and by employing a strategy of writing (selling) call and put options. Under normal circumstances, the Trust invests at least 80% of its net assets in dividend-paying equity securities and at least 40% of its assets outside of the U.S. (unless market conditions are not deemed favorable by Trust management, in which case the Trust would invest at least 30% of its assets outside of the U.S.). The Trust may invest in securities of companies of any market capitalization, but intends to invest primarily in securities of large capitalization companies. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.

Trust Information

Symbol on NYSE |  | BOE
Initial Offering Date |  | May 31, 2005
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($9.42)(a) |  | 8.03%
Current Monthly Distribution per Common Share(b) |  | $0.0630
Current Annualized Distribution per Common Share(b) |  | $0.7560

| (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2020 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | Net Asset Value |
BOE(a)(b) |  |  | (10.83 | )% |  |  | (9.73 | )%
MSCI ACWI Call Overwrite Index(c) |  |  | N/A |  |  |  | (12.58 | )

| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. |

| (b) | The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | MSCI ACWI Call Overwrite Index incorporates an option overlay component on the MSCI ACWI Index with a 45% overwrite level. |

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

The Trust’s lack of exposure to the energy sector, particularly the oil, gas and consumable fuels industry, contributed to returns during the six-month period. Stock selection within the industrials sector, most notably within machinery, also contributed to relative performance. In addition, an underweight to the real estate sector added to relative return. At the security level, the Trust’s position in the U.S. biotechnology company AbbVie, Inc. was the top individual contributor to performance. AbbVie’s shares rose after the company reported strong financial results, with sales for a number of its products exceeding market expectations. Holdings in the U.S. pharmaceutical firm Johnson & Johnson represented another top contributor as the company’s shares were boosted by a stronger-than-expected profit report. The Trust’s position in the Finnish engineering company Kone OYJ also was additive.

Stock selection within and an underweight to information technology (“IT”), particularly a lack of holdings within software, represented the largest detractor from performance. Stock selection within and an underweight to the consumer discretionary sector, especially within the internet & direct marketing retail industry, also detracted, as did stock selection within the communication services sector. At the security level, the Trust’s position in U.S.-based Darden Restaurants, Inc. was the principal detractor as social distancing measures impacted the company’s earnings. Holdings in the U.S. financial firm M&T Bank Corp. also weighed on returns as the financials sector, and banks in particular, underperformed during the period. The Trust’s position in U.S. toymaker Hasbro, Inc. also traded lower due to potential disruptions in the company’s supply chain and a disappointing earnings projection.

The Trust made use of options, principally written call options on individual stocks, in order to seek enhanced income returns while continuing to participate in the performance of the underlying equities. The Trust’s options writing strategy contributed positively to performance for the six-month period..

Describe recent portfolio activity.

During the period, the Trust added exposure to the consumer staples sector, mainly within the beverages and household products industries. Exposure to the industrials sector also was added, especially within the machinery industry. Conversely, exposure to financials was reduced, especially among banks. The investment adviser also trimmed exposure to the materials sector, mostly within containers and packaging.

12 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Information as of June 30, 2020 (continued) |  | BlackRock Enhanced Global Dividend Trust (BOE)

Describe portfolio positioning at period end.

At the end of the period, the Trust’s largest sector exposures were in consumer staples and health care, driven by the pharmaceuticals and beverages industries. The largest underweights were to the IT, financials and consumer discretionary sectors. The Trust had no exposure to real estate, utilities or energy at period end. Regionally, the majority of the portfolio was listed in the United States or Europe, with significant exposure in the United Kingdom and Switzerland.

As of June 30, 2020, the Trust had in place an option overwriting program whereby 43% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 3.9% out of the money) with an average time until expiration of 45 days.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Market Price and Net Asset Value Per Share Summary

|  | 06/30/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 9.42 |  |  | $ | 10.99 |  |  |  | (14.29 | )% |  | $ | 11.25 |  |  | $ | 7.00 |
Net Asset Value |  |  | 10.69 |  |  |  | 12.32 |  |  |  | (13.23 | ) |  |  | 12.41 |  |  |  | 8.34 |

Market Price and Net Asset Value History For the Past Five Years

Overview of the Trust’s Total Investments *

TEN LARGEST HOLDINGS

Security |  | 6/30/20 |
Unilever PLC |  |  | 4 | %
TELUS Corp. |  |  | 3 |
Coca-Cola Co. |  |  | 3 |
Paychex, Inc. |  |  | 3 |
Sanofi SA |  |  | 3 |
Novartis AG, Registered Shares |  |  | 3 |
AbbVie, Inc. |  |  | 3 |
Lockheed Martin Corp. |  |  | 3 |
British American Tobacco PLC |  |  | 3 |
Medtronic PLC |  |  | 3 |

| * | Excludes option positions and money market funds. |

GEOGRAPHIC ALLOCATION

Country |  | 6/30/20 |  |  | 12/31/19 |
United States |  |  | 52 | % |  |  | 53 | %
United Kingdom |  |  | 16 |  |  |  | 13 |
Switzerland |  |  | 7 |  |  |  | 7 |
Canada |  |  | 5 |  |  |  | 7 |
France |  |  | 4 |  |  |  | 4 |
Netherlands |  |  | 4 |  |  |  | 3 |
Australia |  |  | 3 |  |  |  | 3 |
Singapore |  |  | 2 |  |  |  | 3 |
Denmark |  |  | 2 |  |  |  | 2 |
Germany |  |  | 2 |  |  |  | 2 |
Finland |  |  | 1 |  |  |  | 1 |
Sweden |  |  | 1 |  |  |  | 1 |
Taiwan |  |  | 1 |  |  |  | 1 |
India |  |  | — | (a) |  |  | — |
Japan |  |  | — |  |  |  | — | (a)

| (a) | Represents less than 1% of the Trust’s total investments. |

TRUST INFORMATION |  |  | 13 |

Trust Information as of June 30, 2020 |  | BlackRock Enhanced International Dividend Trust (BGY)

Investment Objective

BlackRock Enhanced International Dividend Trust’s (BGY) (the “Trust”) primary investment objective is to provide current income and current gains, with a secondary objective of long-term capital appreciation. The Trust seeks to achieve its investment objectives by investing primarily in equity securities issued by companies of any market capitalization located in countries throughout the world and by employing a strategy of writing (selling) call and put options. The Trust invests, under normal circumstances, at least 80% of its net assets in dividend-paying equity securities issued by non-U.S. companies of any market capitalization, but intends to invest primarily in securities of large capitalization companies. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objectives will be achieved.

Trust Information

Symbol on NYSE |  | BGY
Initial Offering Date |  | May 30, 2007
Current Distribution Rate on Closing Market Price as of as of June 30, 2020 ($5.14)(a) |  | 7.89%
Current Monthly Distribution per Common Share(b) |  | $0.0338
Current Annualized Distribution per Common Share(b) |  | $0.4056

| (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2020 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | Net Asset Value |
BGY(a)(b) |  |  | (9.25 | )% |  |  | (5.65 | )%
MSCI ACWI ex USA Call Overwrite Index(c) |  |  | N/A |  |  |  | (17.03 | )

| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. |

| (b) | The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | MSCI ACWI ex USA Call Overwrite Index incorporates an option overlay component on the MSCI ACWI ex USA Index with a 45% overwrite level. |

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

During the six-month period, the Trust’s lack of exposure to the energy sector, particularly the oil, gas and consumable fuels industry, contributed to returns. In addition, an underweight exposure to the financials sector, as well as an overweight to health care companies, added to relative performance. At the security level, the Trust’s position in Australian medical equipment company Ansell Ltd. was the top individual contributor to returns. Ansell’s shares were strong during the period owing to the increased usage of personal protective equipment, including medical gloves. Holdings in Danish pharmaceutical firm Novo Nordisk A/S and Finnish engineering company Kone OYJ also boosted performance.

Conversely, stock selection within and an underweight to information technology (“IT”), particularly a lack of holdings within software, represented one of the largest detractors from performance. Stock selection in the consumer discretionary and communication services sectors also weighed on returns. At the security level, a lack of exposure to Chinese gaming company Tencent Holdings Ltd. represented the largest individual detractor from relative return. Tencent performed strongly on continued momentum within technology stocks. The Trust’s position in British defense firm BAE Systems PLC also detracted as investors reacted negatively to BAE’s announcement that it would defer its dividend. A lack of exposure to Canadian e-commerce firm Shopify, Inc. also hindered relative performance.

The Trust utilized an options overlay strategy in which calls are written on a portion of the portfolio’s holdings. The Trust’s options overlay strategy contributed positively to relative performance for the six-month period.

Describe recent portfolio activity.

During the period, the Trust added exposure to the consumer staples sector, mainly within the beverages and household products industries. The portfolio also added exposure to the industrials sector, especially within the machinery industry. Exposure to financials, particularly among banks, was reduced. The investment adviser also trimmed its holdings in the materials sector, mainly within containers and packaging.

14 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Information as of June 30, 2020 (continued) |  | BlackRock Enhanced International Dividend Trust (BGY)

Describe portfolio positioning at period end.

At period end, the Trust’s largest sector exposures were in consumer staples and health care, with an emphasis on the pharmaceuticals and beverages industries, respectively. The largest underweights were to IT, financials and consumer discretionary. The Trust had no exposure to real estate, utilities or energy at the end of the period. From a regional perspective, a majority of portfolio assets was invested in Europe, with significant exposure to the United Kingdom and Switzerland.

As of June 30, 2020, the Trust had in place an option overwriting program whereby 45% of the underlying equities were overwritten with call options on individual stocks. These call options were typically written at prices above the prevailing market prices (estimated to be 3.0% out of the money) with an average time until expiration of 46 days.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Market Price and Net Asset Value Per Share Summary

|  | 06/30/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 5.14 |  |  | $ | 5.89 |  |  |  | (12.73 | )% |  | $ | 5.96 |  |  | $ | 3.73 |
Net Asset Value |  |  | 5.87 |  |  |  | 6.47 |  |  |  | (9.27 | ) |  |  | 6.52 |  |  |  | 4.60 |

Market Price and Net Asset Value History For the Past Five Years

Overview of the Trust’s Total Investments *

TEN LARGEST HOLDINGS

Security |  | 6/30/20 |
Unilever PLC |  |  | 6 | %
Novartis AG, Registered Shares |  |  | 5 |
TELUS Corp. |  |  | 5 |
Sanofi |  |  | 5 |
Nestle SA, Registered Shares |  |  | 5 |
British American Tobacco PLC |  |  | 4 |
Heineken NV |  |  | 4 |
BAE Systems PLC |  |  | 4 |
Sonic Healthcare Ltd. |  |  | 4 |
Koninklijke Philips NV |  |  | 4 |

| * | Excludes option positions and money market funds. |

GEOGRAPHIC ALLOCATION

Country |  | 6/30/20 |  |  | 12/31/19 |
United Kingdom |  |  | 29 | % |  |  | 26 | %
Switzerland |  |  | 15 |  |  |  | 13 |
Canada |  |  | 9 |  |  |  | 13 |
France |  |  | 8 |  |  |  | 7 |
Netherlands |  |  | 8 |  |  |  | 7 |
Australia |  |  | 6 |  |  |  | 5 |
Singapore |  |  | 5 |  |  |  | 5 |
Germany |  |  | 3 |  |  |  | 5 |
Denmark |  |  | 4 |  |  |  | 3 |
United States |  |  | 3 |  |  |  | 9 |
Finland |  |  | 3 |  |  |  | 2 |
Sweden |  |  | 3 |  |  |  | 2 |
Taiwan |  |  | 3 |  |  |  | 2 |
China |  |  | 1 |  |  |  | 1 |
India(a) |  |  | — |  |  |  | — |

| (a) | Represents less than 1% of the Trust’s total investments. |

TRUST INFORMATION |  |  | 15 |

Trust Information as of June 30, 2020 |  | BlackRock Health Sciences Trust (BME)

Investment Objective

BlackRock Health Sciences Trust’s (BME) (the “Trust”) investment objective is to provide total return through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities of companies engaged in the health sciences and related industries and equity derivatives with exposure to the health sciences industry. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

Symbol on NYSE |  | BME
Initial Offering Date |  | March 31, 2005
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($40.78)(a) |  | 5.89%
Current Monthly Distribution per Common Share(b) |  | $0.2000
Current Annualized Distribution per Common Share(b) |  | $2.4000

| (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2020 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | Net Asset Value |
BME(a)(b) |  |  | (1.08 | )% |  |  | 2.44 | %
MSCI USA IMI Health Care Call Overwrite Index(c) |  |  | N/A |  |  |  | (4.07 | )

| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. |

| (b) | The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | MSCI USA IMI Health Care Call Overwrite Index incorporates an option overlay component on the MSCI IMI Health Care Index with a 33% overwrite level. |

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

Global health care stocks outpaced the broader equity market in the first half of 2020. The sector benefited from its steady earnings and defensive qualities, as well as the outperformance for companies expected to benefit from the development of treatments for the coronavirus.

Strong stock selection, primarily in the pharmaceuticals and biotechnology sub-sectors, was the primary driver of the Trust’s return. An overweight position in the telemedicine company Teladoc Health, Inc., which benefited from increased demand for virtual diagnostics and telemedicine services, was the top contributor to performance. An overweight in the biotechnology company Seattle Genetics, Inc. — which received approval from the Food & Drug Administration for its breast cancer drug — was the second-largest contributor. The company also presented details on its expanding pipeline and investigational therapies.

Weak stock selection in the medical devices and supplies sub-sector detracted from relative performance. Zero weightings in AbbVie, Inc. and Danaher Corp., both of which outpaced the broader category by a wide margin, were the largest detractors. Underweight positions in the pharmaceutical companies Johnson & Johnson and Eli Lilly & Co., which benefited from their efforts at developing a coronavirus vaccine and therapy, respectively, also detracted.

The Trust utilized an options overlay strategy in which calls are written on a portion of the portfolio’s holdings. The Trust’s option overlay strategy contributed positively to relative performance for the six-month period.

Describe recent portfolio activity.

The Trust increased its weighting in the biotechnology industry, and it decreased its allocations to the pharmaceuticals, health care providers & services, and medical devices & supplies subsectors.

Describe portfolio positioning at period end.

As of June 30, 2020, the Trust was overweight in the medical devices & supplies, biotechnology, and health care providers & services sub-sectors, and it was underweight in pharmaceuticals.

16 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Information as of June 30, 2020 (continued) |  | BlackRock Health Sciences Trust (BME)

The Trust’s investment adviser continued to identify important secular trends that underpin the health care sector, such as an aging global population and rising spending on health care in emerging market economies. This process helps form the basis for an overweight in the medical devices & supplies sub-sector, where the investment adviser continued to see strong fundamentals and growing penetration in the emerging markets.

Demographic changes across the globe, especially increased longevity, are leading to demand for the health sciences industry. This is further supported by innovation in multiple areas within health care. In drug development, for example, biotechnology and pharmaceutical companies are utilizing genomic research that allows for earlier diagnosis of disease and is facilitating the shift toward preventative care. In addition, there has been significant innovation in medical equipment, diagnostic services and biosensors.

As of June 30, 2020, the Trust had an options overwriting program in place whereby 39% of the underlying equities were overwritten with call options. These options were typically written at prices above prevailing market prices (estimated to be 6.4% out of the money) with an average time line until expiration of 49 days.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Market Price and Net Asset Value Per Share Summary

|  | 06/30/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 40.78 |  |  | $ | 42.50 |  |  |  | (4.05 | )% |  | $ | 43.99 |  |  | $ | 27.00 |
Net Asset Value |  |  | 40.93 |  |  |  | 41.19 |  |  |  | (0.63 | ) |  |  | 42.23 |  |  |  | 30.41 |

Market Price and Net Asset Value History For the Past Five Years

Overview of the Trust’s Total Investments *

TEN LARGEST HOLDINGS

Security |  | 6/30/20 |
UnitedHealth Group, Inc. |  |  | 7 | %
Johnson & Johnson |  |  | 5 |
Abbott Laboratories |  |  | 5 |
Amgen, Inc. |  |  | 3 |
Thermo Fisher Scientific, Inc. |  |  | 3 |
Medtronic PLC |  |  | 3 |
Boston Scientific Corp. |  |  | 3 |
Eli Lilly & Co. |  |  | 3 |
Vertex Pharmaceuticals, Inc. |  |  | 3 |
Humana, Inc. |  |  | 2 |

| * | Excludes option positions and money market funds. |

INDUSTRY ALLOCATION

Industry |  | 6/30/20 |  |  | 12/31/19 |
Health Care Equipment & Supplies |  |  | 28 | % |  |  | 30 | %
Biotechnology |  |  | 23 |  |  |  | 17 |
Pharmaceuticals |  |  | 21 |  |  |  | 23 |
Health Care Providers & Services |  |  | 19 |  |  |  | 21 |
Life Sciences Tools & Services |  |  | 7 |  |  |  | 8 |
Health Care Technology |  |  | 2 |  |  |  | 1 |

| 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |

TRUST INFORMATION |  |  | 17 |

Trust Information as of June 30, 2020 |  | BlackRock Health Sciences Trust II (BMEZ)

Investment Objective

BlackRock Health Sciences Trust II’s (BMEZ) (the “Trust”) investment objective is to provide total return and income through a combination of current income, current gains and long-term capital appreciation. Under normal market conditions, the Trust will invest at least 80% of its total assets in equity securities of companies principally engaged in the health sciences group of industries and equity derivatives with exposure to the health sciences group of industries. Equity derivatives in which the Trust invests include purchased and sold (written) call and put options on equity securities of companies in the health sciences group of industries.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

Symbol on NYSE |  | BMEZ
Initial Offering Date |  | January 30, 2020
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($20.91)(a) |  | 5.74%
Current Monthly Distribution per Common Share(b) |  | $0.1000
Current Annualized Distribution per Common Share(b) |  | $1.2000

| (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

Performance and Portfolio Management Commentary

Returns for the period since inception (January 30, 2020) to June 30, 2020 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | Net Asset Value |
BMEZ(a)(b) |  |  | 6.10 | % |  |  | 19.29 | %
MSCI ACWI 25% Call Overwrite Index(c) |  |  | N/A |  |  |  | (9.65 | )

| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. |

| (b) | The Trust moved to a discount to NAV during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | MSCI ACWI 25% Call Overwrite Index incorporates an option overlay component on the MSCI ACWI Index with a 25% overwrite level. |

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

18 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Information as of June 30, 2020 (continued) |  | BlackRock Health Sciences Trust II (BMEZ)

Market Price and Net Asset Value Per Share Summary

|  | 06/30/20 |  |  | 01/30/20 (a) |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 20.91 |  |  | $ | 20.00 |  |  |  | 4.55 | % |  | $ | 21.90 |  |  | $ | 12.60 |
Net Asset Value |  |  | 23.51 |  |  |  | 20.00 |  |  |  | 17.55 |  |  |  | 23.65 |  |  |  | 16.49 |

Market Price and Net Asset Value History Since Inception

(a) | Commencement of operations.

Overview of the Trust’s Total Investments *

TEN LARGEST HOLDINGS

Security |  | 6/30/20 |
Seattle Genetics, Inc. |  |  | 3 | %
Genmab A/S |  |  | 3 |
Livongo Health, Inc. |  |  | 3 |
Varian Medical Systems, Inc. |  |  | 2 |
Masimo Corp. |  |  | 2 |
Baxter International, Inc. |  |  | 2 |
Teleflex, Inc. |  |  | 2 |
UCB SA |  |  | 2 |
Teladoc Health, Inc. |  |  | 2 |
Amedisys, Inc. |  |  | 2 |

| * | Excludes option positions and money market funds. |

INDUSTRY ALLOCATION

Industry |  | 6/30/20 |
Biotechnology |  |  | 41 | %
Health Care Equipment & Supplies |  |  | 28 |
Pharmaceuticals |  |  | 10 |
Health Care Providers & Services |  |  | 9 |
Life Sciences Tools & Services |  |  | 6 |
Health Care Technology |  |  | 5 |
Insurance |  |  | 1 |

| 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |

TRUST INFORMATION |  |  | 19 |

Trust Information as of June 30, 2020 |  | BlackRock Resources & Commodities Strategy Trust (BCX)

Investment Objective

BlackRock Resources & Commodities Strategy Trust’s (BCX) (the “Trust”) primary investment objective is to seek high current income and current gains, with a secondary objective of capital appreciation. The Trust will seek to achieve its investment objectives, under normal market conditions, by investing at least 80% of its total assets in equity securities issued by commodity or natural resources companies, derivatives with exposure to commodity or natural resources companies or investments in securities and derivatives linked to the underlying price movement of commodities or natural resources. While permitted, the Trust does not currently expect to invest in securities and derivatives linked to the underlying price movement of commodities or natural resources. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objectives will be achieved.

Trust Information

Symbol on NYSE |  | BCX
Initial Offering Date |  | March 30, 2011
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($6.13)(a) |  | 7.83%
Current Monthly Distribution per Common Share(b) |  | $0.0400
Current Annualized Distribution per Common Share(b) |  | $0.4800

| (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2020 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | Net Asset Value |
BCX(a)(b) |  |  | (20.43 | )% |  |  | (15.52 | )%
MSCI ACWI Select Liquidity Natural Resources Call Overwrite Index(c) |  |  | N/A |  |  |  | (23.83 | )

| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. |

| (b) | The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | MSCI ACWI Select Liquidity Natural Resources Call Overwrite Index incorporates an option overlay component on the MSCI ACWI Select Liquidity Natural Resources Index with a 33% overwrite level. |

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

Commodity prices fell sharply in the first half of 2020, as the demand outlook was pressured by concerns about the economic impact of the coronavirus. In combination with the stock market downturn that occurred in February and March, this development led to poor returns for commodity-related equities.

Consistent with this environment, the Trust produced a negative absolute return in the six-month period. While most of its holdings lost ground, CF Industries Holdings, Inc. was among the worst performers due to the broad-based weakness in fertilizer producers. Kosmos Energy Ltd. also detracted after it announced plans to reduce 2020 capital spending and suspend its dividend to preserve cash in response to the drop in oil prices. An underweight position in Newmont Mining Corp. was among the largest detractors, as well.

On the positive side, Wheaton Precious Metals Corp. — which rallied behind strength in the prices of gold and silver — was a top contributor. An out-of-benchmark position in the Russian mining Polyus PJSC, which gained ground after reporting strong production results, better-than-expected earnings, and positive free cash flow, was another key contributor. The U.S. retailer Tractor Supply Co. also performed well, as its “buy-online-pickup-in store” service led to record sales and earnings.

The Trust made use of options, principally written call options on individual stocks, to seek enhanced income while continuing to participate in the return of the underlying equities. The Trust’s option writing strategy contributed positively to relative performance for the six-month period.

Describe recent portfolio activity.

The investment adviser closely analyzed the portfolio to identify companies facing higher risk due to the combination of dependence on a single asset and elevated debt and sold holdings it believed could be vulnerable in this regard. In addition, the investment adviser made some stock-specific changes based on relative valuations. The investment adviser reduced the portfolio’s weighting in energy and increased its allocation to agriculture, with a focus on companies that are benefitting from changing consumer preferences toward food and nutrition.

20 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Information as of June 30, 2020 (continued) |  | BlackRock Resources & Commodities Strategy Trust (BCX)

Describe portfolio positioning at period end.

The mining industry represented the Trust’s largest allocation, followed by agriculture and energy, respectively.

As of June 30, 2020, the Trust had an options overwriting program in place whereby 36% of the underlying equities were overwritten with call options. These options were typically written at levels above prevailing market prices (estimated to be 6.3% out of the money) with an average time until expiration of 46 days.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Market Price and Net Asset Value Per Share Summary

|  | 06/30/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 6.13 |  |  | $ | 8.07 |  |  |  | (24.04 | )% |  | $ | 8.21 |  |  | $ | 3.28 |
Net Asset Value |  |  | 7.29 |  |  |  | 9.04 |  |  |  | (19.36 | ) |  |  | 9.07 |  |  |  | 4.99 |

Market Price and Net Asset Value History For Past Five Years

Overview of the Trust’s Total Investments *

TEN LARGEST HOLDINGS

Security |  | 6/30/20 |
BHP Group PLC |  |  | 6 | %
TOTAL SA |  |  | 6 |
Chevron Corp. |  |  | 5 |
BP PLC — ADR |  |  | 4 |
Newmont Corp. |  |  | 4 |
CF Industries Holdings, Inc. |  |  | 4 |
Vale SA — ADR |  |  | 4 |
Barrick Gold Corp. |  |  | 4 |
Wheaton Precious Metals Corp. |  |  | 4 |
FMC Corp. |  |  | 4 |

| * | Excludes option positions and money market funds. |

INDUSTRY ALLOCATION

Industry |  | 6/30/20 |  |  | 12/31/19 |
Chemicals |  |  | 13 | % |  |  | 11 | %
Containers & Packaging |  |  | 5 |  |  |  | 9 |
Electronic Equipment, Instruments & Components |  |  | 2 |  |  |  | 1 |
Food Products |  |  | 8 |  |  |  | 7 |
Metals & Mining |  |  | 38 |  |  |  | 35 |
Oil, Gas & Consumable Fuels |  |  | 32 |  |  |  | 35 |
Paper & Forest Products |  |  | — | (a) |  |  | — |
Specialty Retail |  |  | 2 |  |  |  | 1 |
Machinery |  |  | — |  |  |  | 1 |

| (a) | Represents less than 1% of the Trust’s total investments. |

| 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |

TRUST INFORMATION |  |  | 21 |

Trust Information as of June 30, 2020 |  | BlackRock Science and Technology Trust (BST)

Investment Objective

BlackRock Science and Technology Trust’s (BST) (the “Trust”) investment objective is to provide income and total return through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities of U.S. and non-U.S. science and technology companies in any market capitalization range, selected for their rapid and sustainable growth potential from the development, advancement and use of science and/or technology (high growth science and technology stocks), and/or potential to generate current income from advantageous dividend yields (cyclical science and technology stocks). The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

Symbol on NYSE |  | BST
Initial Offering Date |  | October 30, 2014
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($37.81)(a) |  | 5.25%
Current Monthly Distribution per Common Share(b) |  | $0.1655
Current Annualized Distribution per Common Share(b) |  | $1.9860

| (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2020 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | Net Asset Value |
BST(a)(b) |  |  | 17.06 | % |  |  | 21.45 | %
MSCI ACWI IT Call Overwrite Index(c) |  |  | N/A |  |  |  | 4.78 |

| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. |

| (b) | The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | MSCI ACWI IT Call Overwrite Index incorporates an option overlay component on the MSCI ACWI IT Index with a 33% overwrite level. |

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

The Trust’s positions in several software companies that benefited from increases in e-commerce activity were among the largest contributors to relative return. These included out-of-benchmark positions in Canadian e-commerce firm Shopify, Inc. as well as Amazon.com, Inc. E-commerce has received a significant boost as populations across the globe have been forced to make more purchases online due to the coronavirus pandemic lockdowns. Elsewhere, the Trust’s overweight position in cloud communications company Twilio, Inc. was also among the largest contributors, as the company reported favorable first quarter earnings and benefited from increased demand for communication services during the pandemic.

At the sub-sector level, an underweight to hardware was the most significant detractor from relative performance, led by a below-benchmark position in Apple, Inc. The company’s stock displayed resilience during first-quarter of 2020 market volatility based on increased demand for the company’s services segment. An underweight to Microsoft Corp. was also among the largest detractors from returns. Microsoft reported strong growth in its cloud business, and the stock price benefited as investors sought safety in the largest and most liquid names.

The Trust utilized an options overlay strategy in which calls are written on a portion of the portfolio’s holdings. The Trust’s option overlay strategy contributed positively to relative performance for the six-month period.

Describe recent portfolio activity.

During the period, the Trust increased exposure to software and semiconductors, while decreasing exposure to internet companies. From a regional perspective, the Trust’s allocations to Asia and the United States were increased.

Describe portfolio positioning at period end.

Our investment process aims to provide a balance of legacy technology firms that can continually innovate, and new disruptive companies displacing those companies failing to innovate, with approximately 40% of the portfolio consisting of these “core” legacy companies, and 60% making up the “opportunistic,” high-growth portion. At

22 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Information as of June 30, 2020 (continued) |  | BlackRock Science and Technology Trust (BST)

period end, the largest sub-sector exposures were in internet, and software & services companies. The Trust’s software exposure was characterized by companies that offer enterprise software solutions, cloud computing services, and software-as-a-service. Conversely, the Trust held an underweight position in the semiconductors and hardware sub-sectors due to their cyclical nature.

As of June 30, 2020, the Trust had in place an option overwriting program whereby 32% of the underlying equities were overwritten with call options. These call options were typically written at prices above the prevailing market prices (estimated to be 5.3% out of the money) with an average time until expiration of 45 days.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Market Price and Net Asset Value Per Share Summary

|  | 06/30/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 37.81 |  |  | $ | 33.27 |  |  |  | 13.65 | % |  | $ | 38.86 |  |  | $ | 22.41 |
Net Asset Value |  |  | 38.26 |  |  |  | 32.45 |  |  |  | 17.90 |  |  |  | 38.33 |  |  |  | 25.57 |

Market Price and Net Asset Value History For the Past Five Years

Overview of the Trust’s Total Investments *

TEN LARGEST HOLDINGS

Security |  | 6/30/20 |
Microsoft Corp. |  |  | 5 | %
Apple, Inc. |  |  | 4 |
Amazon.com, Inc. |  |  | 3 |
Tencent Holdings Ltd. |  |  | 3 |
Alibaba Group Holding Ltd. — ADR |  |  | 3 |
Alphabet, Inc. |  |  | 3 |
Mastercard, Inc. |  |  | 2 |
Twilio, Inc. |  |  | 2 |
Visa, Inc. |  |  | 2 |
Shopify, Inc. |  |  | 2 |

| * | Excludes option positions and money market funds. |

INDUSTRY ALLOCATION

Industry |  | 6/30/20 |  |  | 12/31/19 |
Software |  |  | 27 | % |  |  | 26 | %
IT Services |  |  | 19 |  |  |  | 19 |
Semiconductors & Semiconductor Equipment |  |  | 15 |  |  |  | 15 |
Interactive Media & Services |  |  | 10 |  |  |  | 10 |
Internet & Direct Marketing Retail |  |  | 10 |  |  |  | 10 |
Entertainment |  |  | 4 |  |  |  | 3 |
Technology Hardware, Storage & Peripherals |  |  | 4 |  |  |  | 3 |
Diversified Consumer Services |  |  | 2 |  |  |  | 2 |
Health Care Technology |  |  | 2 |  |  |  | 1 |
Electronic Equipment, Instruments & Components |  |  | 1 |  |  |  | 4 |
Road & Rail |  |  | 1 |  |  |  | 3 |
Diversified Telecommunication Services |  |  | 1 |  |  |  | 1 |
Automobiles |  |  | 1 |  |  |  | — |
Banks |  |  | 1 |  |  |  | 1 |
Diversified Financial Services |  |  | 1 |  |  |  | — |
Communications Equipment |  |  | 1 |  |  |  | 1 |
Professional Services |  |  | — |  |  |  | 1 |

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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

TRUST INFORMATION |  |  | 23 |

Trust Information as of June 30, 2020 |  | BlackRock Science and Technology Trust II (BSTZ)

Investment Objective

BlackRock Science and Technology Trust II’s (BSTZ) (the “Trust”) investment objective is to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its total assets in equity securities issued by U.S. and non-U.S. science and technology companies in any market capitalization range, selected for their rapid and sustainable growth potential from the development, advancement and use of science and/or technology. The Trust seeks to pursue this goal primarily by investing in a portfolio of equity securities and also by employing a strategy of writing (selling) call and put options.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

Symbol on NYSE |  | BSTZ
Initial Offering Date |  | June 27, 2019
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($22.67)(a) |  | 5.29%
Current Monthly Distribution per Common Share(b) |  | $0.1000
Current Annualized Distribution per Common Share(b) |  | $1.2000

| (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2020 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | Net Asset Value |
BSTZ(a)(b) |  |  | 13.89 | % |  |  | 27.13 | %
MSCI ACWI 25% Call Overwrite Index(c) |  |  | N/A |  |  |  | (9.66 | )

| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. |

| (b) | The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | MSCI ACWI 25% Call Overwrite Index incorporates an option overlay component on the MSCI ACWI Index with a 25% overwrite level. |

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

Within the software industry, the Trust’s positions in a number of companies benefiting from an increase in e-commerce activity were among the largest contributors to relative return during the period. This included positions in Shopify, Inc. and Locaweb. E-commerce has seen a significant increase as populations across the globe have been forced to make more purchases online because of economic lockdowns. Elsewhere, the Trust’s position in cloud communications company Twilio, Inc. was among the largest contributors, as the company reported favorable earnings for the first quarter of 2020 and benefited from increased demand for communication services during the coronavirus pandemic. The Trust’s position in electric vehicle manufacturer Tesla, Inc. also delivered strong positive returns during the period. Tesla announced two delivery updates during the period, both of which beat consensus estimates. The company’s first quarter earnings also exceeded market forecasts. A position in Livongo Health, Inc., a U.S.-based virtual health care company, was also among the largest contributors to return during the period. The company’s platform provides data-based health coaching programs for individuals with diabetes and hypertension. Using a smart glucose monitor, the service allows patients to share their blood glucose levels with certified diabetes educators and receive feedback in real time. This type of monitoring and coaching support is crucial for helping patients to effectively manage their health outcomes. The spread of the coronavirus and subsequent social distancing measures have resulted in increased demand for virtual diagnostics and telemedicine services.

Conversely, the Trust’s position in Chinese technology-centric coffee company Luckin Coffee, Inc. was among the largest detractors from performance. The company announced that in 2019 its chief operating officer, as well as other employees reporting to him, fabricated transactions amounting to 2.2 billion yuan, or $310 million. The Trust has since exited the position. In addition, the Trust’s position in Brazilian software company Linx SA came under pressure during the period. Linx generates revenue from selling software to retailers, but given the current shutdown of the Brazilian economy the stock declined. The Trust had initiated the position based on the company’s strategy to enter the payments space, but this strategy is now postponed and the position was reduced. Elsewhere, a position in Network International Holdings PLC, which provides technology-enabled payment solutions to merchants and financial institutions in the Middle East, weighed on performance. The company was hurt by the strict lockdowns enacted in many Middle Eastern countries, which reduced demand for its services. The Trust exited the position. Other detractors included holdings in Skyworks Solutions, Inc., a U.S.-based semiconductor company, and Sunny Optical Technology Group Co. Ltd., a China-based hardware firm.

The Trust utilized an options overlay strategy in which calls are written on a portion of the portfolio’s holdings. The Trust’s options overlay strategy contributed detracted from relative performance for the six-month period.

Describe recent portfolio activity.

During the period, the Trust deployed capital across both companies likely to experience increased demand in the current environment and those positioned to benefit from longer-term demand trends. This encompasses firms that are seeing an increase in demand due to social distancing and the migration to working remotely, such as those involved in cloud computing, digital transformation and gaming. In addition, the investment adviser continues to perform due diligence on multiple new opportunities in the private equity universe, and expects to further increase exposure to private assets over the coming quarters given a robust pipeline of private transaction opportunities. As of June 30, 2020, the Trust held 13 private investments, comprising approximately 11% of assets or a total commitment of approximately $220 million. Among the Trust’s

24 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Information as of June 30, 2020 (continued) |  | BlackRock Science and Technology Trust II (BSTZ)

13 private investments, four were initiated during the first half of 2020: A solid state driver controller company focused on cloud, hyperscale and enterprise markets; a “fabless” interconnect semiconductor company (i.e., one that designs microchips but contracts out their production) primarily serving the data center market; a software business providing cloud software that connects accommodation providers to distribution channels; and an artificial intelligence company that offers a complete, “full-stack” AI solution including both silicon and software.

Describe portfolio positioning at period end.

At period end, the Trust was fully invested in equity securities. The Trust held 36% of portfolio assets in software, 20% in semiconductors, 18% in services, 17% in internet, 5% in hardware and 5% in content/telecoms. These industry exposures were a result of bottom-up stock selection. From an options perspective, during periods of extreme volatility, the Trust typically sells further out-of-the-money calls to leave room for a potential rebound in the underlying stocks. Because of the recent extraordinary volatility, this often translated directly into higher option premiums.

As of June 30, 2020, the Trust had in place an option overwriting program whereby approximately 22% of the underlying equities were written with call options. These call options were typically written at prices above the prevailing market prices (estimated to be 6.4% out of the money) with an average time until expiration of 47 days.

Market Price and Net Asset Value Per Share Summary

|  | 06/30/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 22.67 |  |  | $ | 20.50 |  |  |  | 10.59 | % |  | $ | 23.28 |  |  | $ | 12.00 |
Net Asset Value |  |  | 25.86 |  |  |  | 20.95 |  |  |  | 23.44 |  |  |  | 25.86 |  |  |  | 15.57 |

Market Price and Net Asset Value History Since Inception

(a) | Commencement of operations.

Overview of the Trust’s Total Investments *

TEN LARGEST HOLDINGS

Security |  | 6/30/20 |
Tesla, Inc. |  |  | 2 | %
Shopify, Inc. |  |  | 2 |
Twilio, Inc. |  |  | 2 |
Lasertec Corp. |  |  | 2 |
Kakao Corp. |  |  | 2 |
SambaNova Systems, Inc., Series C |  |  | 2 |
Square, Inc. |  |  | 2 |
Delivery Hero SE |  |  | 2 |
RingCentral, Inc. |  |  | 2 |
Meituan Dianping |  |  | 2 |

| * | Figures exclude assets held in money market funds and option positions. |

INDUSTRY ALLOCATION

Industry |  | 6/30/20 |  |  | 12/31/19 |
Software |  |  | 29 | % |  |  | 26 | %
Semiconductors & Semiconductor Equipment |  |  | 20 |  |  |  | 20 |
IT Services |  |  | 18 |  |  |  | 17 |
Internet & Direct Marketing Retail |  |  | 7 |  |  |  | 7 |
Interactive Media & Services |  |  | 5 |  |  |  | 5 |
Entertainment |  |  | 4 |  |  |  | 3 |
Health Care Technology |  |  | 4 |  |  |  | 2 |
Diversified Consumer Services |  |  | 3 |  |  |  | 3 |
Electronic Equipment, Instruments & Components |  |  | 3 |  |  |  | 6 |
Automobiles |  |  | 2 |  |  |  | 1 |
Multiline Retail |  |  | 1 |  |  |  | 2 |
Banks |  |  | 1 |  |  |  | 1 |
Diversified Telecommunication Services |  |  | 1 |  |  |  | 1 |
Capital Markets |  |  | 1 |  |  |  | 1 |
Professional Services |  |  | 1 |  |  |  | 1 |
Road & Rail |  |  | — | (a) |  |  | 1 |
Communications Equipment |  |  | — |  |  |  | 2 |
Hotels, Restaurants & Leisure |  |  | — |  |  |  | 1 |

| (a) | Represents less than 1% of the Trust’s total investments. |

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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

TRUST INFORMATION |  |  | 25 |

Trust Information as of June 30, 2020 |  | BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

Investment Objective

BlackRock Utilities, Infrastructure & Power Opportunities Trust’s (BUI) (the “Trust”) investment objective is to provide total return through a combination of current income, current gains and long-term capital appreciation. The Trust seeks to achieve its investment objective by investing primarily in equity securities issued by companies that are engaged in the Utilities, Infrastructure and Power Opportunities business segments anywhere in the world and by employing a strategy of writing (selling) call and put options. The Trust considers the “Utilities” business segment to include products, technologies and services connected to the management, ownership, operation, construction, development or financing of facilities used to generate, transmit or distribute electricity, water, natural resources or telecommunications, the “Infrastructure” business segment to include companies that own or operate infrastructure assets or that are involved in the development, construction, distribution or financing of infrastructure assets and the “Power Opportunities” business segment to include companies with a significant involvement in, supporting, or necessary to renewable energy technology and development, alternative fuels, energy efficiency, automotive and sustainable mobility and technologies that enable or support the growth and adoption of new power and energy sources. Under normal circumstances, the Trust invests a substantial amount of its total assets in foreign issuers, issuers that primarily trade in a market located outside the United States or issuers that do a substantial amount of business outside the United States. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Trust Information

Symbol on NYSE |  | BUI
Initial Offering Date |  | November 25, 2011
Current Distribution Rate on Closing Market Price as of June 30, 2020 ($21.25)(a) |  | 6.83%
Current Monthly Distribution per Common Share(b) |  | $0.1210
Current Annualized Distribution per Common Share(b) |  | $1.4520

| (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate consists of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. |

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

Performance and Portfolio Management Commentary

Returns for the six months ended June 30, 2020 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | Net Asset Value |
BUI(a)(b) |  |  | (1.17 | )% |  |  | (5.75 | )%
MSCI World Select Energy, Utilities and Industry Call Overwrite Index(c) |  |  | N/A |  |  |  | (16.07 | )

| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. |

| (b) | The Trust’s premium to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | MSCI World Select Energy, Utilities and Industry Call Overwrite Index incorporates an option overlay component on the MSCI World Select Energy, Utilities and Industry Index with a 33% overwrite level. |

N/A — Not applicable as the index does not have a market price.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Trust’s relative performance based on the index cited above:

What factors influenced performance?

The largest contributors to relative returns were the Trust’s positions in clean-power utility companies. These positions benefited from resilient earnings during a challenging environment in which movement restrictions to fight the spread of the coronavirus had a negative impact on economic growth. Among individual clean-power utilities, U.S.-based NextEra Energy, Inc., Spanish utility EDP Renovaveis SA, Italy’s Enel SpA, and RWE AG in Germany made the most notable positive contributions.

The largest detractor from relative returns came from the Trust’s positions in companies with exposure to the automotive industry. In particular, specialty chemical manufacturer Johnson Matthey PLC weighed on performance. Among other individual positions, midstream energy services provider Enterprise Products Partners LP was a notable detractor, as volatility in oil prices had a negative impact on its business. U.S.-based electric power holding company Duke Energy Corp. also detracted from relative returns.

The Trust utilized an options overlay strategy in which calls are written on a portion of the portfolio’s holdings. The Trust’s options overlay strategy contributed positively to relative performance for the six-month period.

Describe recent portfolio activity.

During the period, the Trust took advantage of heightened market volatility to increase its exposure to companies that are playing a role in the energy transition from fossil-fuel based energy sources to renewable energy. In particular, the Trust added to positions in clean-power utilities, as well as companies in the solar power value chain.

26 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Trust Information as of June 30, 2020 (continued) |  | BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

Describe portfolio positioning at period end.

At period end, the utilities sector accounted for approximately 56% of the Trust’s assets. The Trust had approximately 23% and 10% of its assets invested in the industrials and energy sectors, respectively, and the remainder was invested in other infrastructure- and power-related sectors.

As of June 30, 2020, the Trust had an options overwriting program in place whereby 34% of the underlying equities were overwritten with call options. These call options were typically written at prices above prevailing market prices (estimated to be 4.4% out of the money) with an average time until expiration of 50 days.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Market Price and Net Asset Value Per Share Summary

|  | 06/30/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 21.25 |  |  | $ | 22.31 |  |  |  | (4.75 | )% |  | $ | 23.31 |  |  | $ | 12.48 |
Net Asset Value |  |  | 20.00 |  |  |  | 22.02 |  |  |  | (9.17 | ) |  |  | 22.96 |  |  |  | 15.06 |

Market Price and Net Asset Value History For the Past Five Years

Overview of the Trust’s Total Investments *

TEN LARGEST HOLDINGS

Security |  | 6/30/20 |
NextEra Energy, Inc. |  |  | 9 | %
Enel SpA |  |  | 6 |
Iberdrola SA |  |  | 4 |
EDP Renováveis, S.A. |  |  | 4 |
RWE AG |  |  | 4 |
Dominion Energy, Inc. |  |  | 3 |
Kinder Morgan, Inc. |  |  | 3 |
TC Energy Corp. |  |  | 3 |
Williams Cos., Inc. |  |  | 3 |
Vinci SA |  |  | 3 |

| * | Excludes option positions and money market funds. |

INDUSTRY ALLOCATION

Industry |  | 6/30/20 |  |  | 12/31/19 |
Electric Utilities |  |  | 33 | % |  |  | 31 | %
Multi-Utilities |  |  | 15 |  |  |  | 17 |
Oil, Gas & Consumable Fuels |  |  | 10 |  |  |  | 11 |
Independent Power and Renewable Electricity Producers |  |  | 8 |  |  |  | 8 |
Building Products |  |  | 6 |  |  |  | 5 |
Electrical Equipment |  |  | 6 |  |  |  | 9 |
Chemicals |  |  | 5 |  |  |  | 6 |
Commercial Services & Supplies |  |  | 5 |  |  |  | 2 |
Semiconductors & Semiconductor Equipment |  |  | 4 |  |  |  | 3 |
Construction & Engineering |  |  | 4 |  |  |  | 5 |
Machinery |  |  | 2 |  |  |  | 1 |
Electronic Equipment, Instruments & Components |  |  | 2 |  |  |  | 2 |

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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

TRUST INFORMATION |  |  | 27 |

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

28 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) June 30, 2020 |  | BlackRock Energy and Resources Trust (BGR) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Common Stocks — 97.6% |
Energy Equipment & Services — 4.0% |
Baker Hughes Co.(a) |  |  | 224,200 |  |  | $ | 3,450,438 |
Schlumberger Ltd.(a) |  |  | 344,030 |  |  |  | 6,326,711 |
|  |  |  | 9,777,149 |
Oil, Gas & Consumable Fuels — 93.6% |
Aker BP ASA |  |  | 133,000 |  |  |  | 2,461,270 |
BP PLC |  |  | 4,694,080 |  |  |  | 17,983,214 |
Cairn Energy PLC(c) |  |  | 1,276,691 |  |  |  | 1,857,938 |
Canadian Natural Resources Ltd. |  |  | 112,410 |  |  |  | 1,949,952 |
Chevron Corp.(a)(b) |  |  | 363,975 |  |  |  | 32,477,489 |
CNOOC Ltd. |  |  | 3,007,000 |  |  |  | 3,374,838 |
Concho Resources, Inc.(a) |  |  | 71,699 |  |  |  | 3,692,499 |
ConocoPhillips(a) |  |  | 297,700 |  |  |  | 12,509,354 |
Enbridge, Inc. |  |  | 155,950 |  |  |  | 4,741,909 |
EOG Resources, Inc.(a) |  |  | 129,190 |  |  |  | 6,544,765 |
Exxon Mobil Corp.(a)(b) |  |  | 87,562 |  |  |  | 3,915,773 |
Galp Energia SGPS SA |  |  | 374,735 |  |  |  | 4,346,919 |
Gazprom PJSC — ADR |  |  | 215,460 |  |  |  | 1,163,468 |
Hess Corp.(a) |  |  | 136,990 |  |  |  | 7,097,452 |
Kinder Morgan, Inc.(a) |  |  | 648,239 |  |  |  | 9,833,786 |
Kosmos Energy Ltd.(c) |  |  | 1,301,228 |  |  |  | 2,160,038 |
Lukoil PJSC — ADR |  |  | 30,810 |  |  |  | 2,290,234 |
Lundin Petroleum AB |  |  | 218,040 |  |  |  | 5,321,402 |
Marathon Petroleum Corp.(a) |  |  | 154,475 |  |  |  | 5,774,276 |
Oil Search Ltd. |  |  | 1,025,118 |  |  |  | 2,271,824 |
Petroleo Brasileiro SA — ADR(a)(c) |  |  | 288,821 |  |  |  | 2,388,550 |
Pioneer Natural Resources Co.(a) |  |  | 76,646 |  |  |  | 7,488,314 |
Royal Dutch Shell PLC — ADR, Class A(a) |  |  | 738,550 |  |  |  | 24,143,200 |
Santos Ltd. |  |  | 702,130 |  |  |  | 2,609,518 |
Suncor Energy, Inc. |  |  | 538,740 |  |  |  | 9,083,499 |
TC Energy Corp. |  |  | 241,350 |  |  |  | 10,311,064 |
TOTAL SA |  |  | 573,653 |  |  |  | 22,119,147 |
Valero Energy Corp.(a) |  |  | 95,068 |  |  |  | 5,591,900 |

Security |  | Shares |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |
Williams Cos., Inc.(a) |  |  | 501,490 |  |  | $ | 9,538,340 |
|  |  |  | 225,041,932 |
Total Long-Term Investments — 97.6% (Cost — $294,948,738) |  |  |  | 234,819,081 |
Short-Term Securities — 3.1% |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(d)(e) |  |  | 7,415,401 |  |  |  | 7,415,401 |
Total Short-Term Securities — 3.1% (Cost — $7,415,401) |  |  |  | 7,415,401 |
Total Investments Before Options Written — 100.7% (Cost — $302,364,139) |  |  |  | 242,234,482 |
Options Written — (0.7)% (Premiums Received — $2,894,347) |  |  |  | (1,754,336 | )
Total Investments, Net of Options Written — 100.0% (Cost — $299,469,792) |  |  |  | 240,480,146 |
Liabilities in Excess of Other Assets — (0.0)% |  |  |  | (70,763 | )
Net Assets — 100.0% |  |  | $ | 240,409,383 |

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

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

(c) | Non-income producing security.

(d) | Annualized 7-day yield as of period end.

(e) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Shares Held at 12/31/19 |  |  | Shares Purchased |  |  | Shares Sold |  |  | Shares Held at 06/30/20 |  |  | Value at 06/30/20 |  |  | Income |  |  | Net Realized Gain (Loss) (a) |  |  | Change in Unrealized Appreciation (Depreciation) |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  |  | 12,745,390 |  |  |  | — |  |  |  | (5,329,989 | )(b) |  |  | 7,415,401 |  |  | $ | 7,415,401 |  |  | $ | 39,731 |  |  | $ | — |  |  |  | — |

| (a) | Includes net capital gain distributions, if applicable. |

| (b) | Represents net shares purchased (sold). |

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 such industry sub-classifications for reporting ease.

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Kinder Morgan, Inc. |  |  | 330 |  |  |  | 07/02/20 |  |  | USD |  |  | 16.00 |  |  | USD |  |  | 501 |  |  | $ | (331 | )
Royal Dutch Shell PLC — ADR, Class A |  |  | 229 |  |  |  | 07/02/20 |  |  | USD |  |  | 34.50 |  |  | USD |  |  | 749 |  |  |  | (2,290 | )
Royal Dutch Shell PLC — ADR, Class A |  |  | 229 |  |  |  | 07/02/20 |  |  | USD |  |  | 39.00 |  |  | USD |  |  | 749 |  |  |  | (3,435 | )
Chevron Corp. |  |  | 426 |  |  |  | 07/10/20 |  |  | USD |  |  | 106.00 |  |  | USD |  |  | 3,801 |  |  |  | (3,834 | )
EOG Resources, Inc. |  |  | 303 |  |  |  | 07/10/20 |  |  | USD |  |  | 59.00 |  |  | USD |  |  | 1,535 |  |  |  | (1,969 | )
Kinder Morgan, Inc. |  |  | 27 |  |  |  | 07/10/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 41 |  |  |  | (243 | )

SCHEDULES OF INVESTMENTS |  |  | 29 |

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Energy and Resources Trust (BGR)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Marathon Petroleum Corp. |  |  | 18 |  |  |  | 07/10/20 |  |  | USD |  |  | 44.00 |  |  | USD |  |  | 67 |  |  | $ | (333 | )
Suncor Energy, Inc. |  |  | 96 |  |  |  | 07/10/20 |  |  | CAD |  |  | 26.50 |  |  | CAD |  |  | 220 |  |  |  | (354 | )
TC Energy Corp. |  |  | 370 |  |  |  | 07/10/20 |  |  | CAD |  |  | 60.50 |  |  | CAD |  |  | 2,146 |  |  |  | (3,679 | )
Baker Hughes Co. |  |  | 430 |  |  |  | 07/17/20 |  |  | USD |  |  | 14.00 |  |  | USD |  |  | 662 |  |  |  | (81,700 | )
Baker Hughes Co. |  |  | 354 |  |  |  | 07/17/20 |  |  | USD |  |  | 18.00 |  |  | USD |  |  | 545 |  |  |  | (2,655 | )
Canadian Natural Resources Ltd. |  |  | 300 |  |  |  | 07/17/20 |  |  | CAD |  |  | 26.00 |  |  | CAD |  |  | 707 |  |  |  | (4,530 | )
Chevron Corp. |  |  | 199 |  |  |  | 07/17/20 |  |  | USD |  |  | 97.50 |  |  | USD |  |  | 1,776 |  |  |  | (9,652 | )
ConocoPhillips |  |  | 253 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 1,063 |  |  |  | (2,909 | )
Enbridge, Inc. |  |  | 162 |  |  |  | 07/17/20 |  |  | CAD |  |  | 46.00 |  |  | CAD |  |  | 669 |  |  |  | (716 | )
Exxon Mobil Corp. |  |  | 57 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 255 |  |  |  | (1,453 | )
Hess Corp. |  |  | 270 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 1,399 |  |  |  | (99,225 | )
Hess Corp. |  |  | 7 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 36 |  |  |  | (70 | )
Kinder Morgan, Inc. |  |  | 620 |  |  |  | 07/17/20 |  |  | USD |  |  | 16.00 |  |  | USD |  |  | 941 |  |  |  | (12,090 | )
Marathon Petroleum Corp. |  |  | 384 |  |  |  | 07/17/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 1,435 |  |  |  | (83,136 | )
Petroleo Brasileiro SA — ADR |  |  | 135 |  |  |  | 07/17/20 |  |  | USD |  |  | 8.00 |  |  | USD |  |  | 112 |  |  |  | (7,627 | )
Pioneer Natural Resources Co. |  |  | 148 |  |  |  | 07/17/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 1,446 |  |  |  | (11,100 | )
Pioneer Natural Resources Co. |  |  | 9 |  |  |  | 07/17/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 88 |  |  |  | (3,060 | )
Royal Dutch Shell PLC — ADR, Class A |  |  | 631 |  |  |  | 07/17/20 |  |  | USD |  |  | 32.50 |  |  | USD |  |  | 2,063 |  |  |  | (82,030 | )
Suncor Energy, Inc. |  |  | 253 |  |  |  | 07/17/20 |  |  | CAD |  |  | 27.00 |  |  | CAD |  |  | 579 |  |  |  | (1,491 | )
Suncor Energy, Inc. |  |  | 253 |  |  |  | 07/17/20 |  |  | CAD |  |  | 28.00 |  |  | CAD |  |  | 579 |  |  |  | (1,305 | )
Suncor Energy, Inc. |  |  | 58 |  |  |  | 07/17/20 |  |  | CAD |  |  | 26.00 |  |  | CAD |  |  | 133 |  |  |  | (619 | )
TC Energy Corp. |  |  | 116 |  |  |  | 07/17/20 |  |  | CAD |  |  | 64.00 |  |  | CAD |  |  | 673 |  |  |  | (513 | )
Williams Cos., Inc. |  |  | 468 |  |  |  | 07/17/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 890 |  |  |  | (12,636 | )
Chevron Corp. |  |  | 100 |  |  |  | 07/24/20 |  |  | USD |  |  | 94.00 |  |  | USD |  |  | 892 |  |  |  | (18,800 | )
Concho Resources, Inc. |  |  | 130 |  |  |  | 07/24/20 |  |  | USD |  |  | 59.00 |  |  | USD |  |  | 670 |  |  |  | (7,800 | )
ConocoPhillips |  |  | 254 |  |  |  | 07/24/20 |  |  | USD |  |  | 50.50 |  |  | USD |  |  | 1,067 |  |  |  | (6,223 | )
EOG Resources, Inc. |  |  | 149 |  |  |  | 07/24/20 |  |  | USD |  |  | 63.00 |  |  | USD |  |  | 755 |  |  |  | (2,086 | )
Exxon Mobil Corp. |  |  | 113 |  |  |  | 07/24/20 |  |  | USD |  |  | 50.50 |  |  | USD |  |  | 505 |  |  |  | (3,898 | )
Hess Corp. |  |  | 202 |  |  |  | 07/24/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,047 |  |  |  | (36,057 | )
Kinder Morgan, Inc. |  |  | 330 |  |  |  | 07/24/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 501 |  |  |  | (3,960 | )
Marathon Petroleum Corp. |  |  | 30 |  |  |  | 07/24/20 |  |  | USD |  |  | 46.50 |  |  | USD |  |  | 112 |  |  |  | (1,170 | )
Petroleo Brasileiro SA — ADR |  |  | 261 |  |  |  | 07/24/20 |  |  | USD |  |  | 8.50 |  |  | USD |  |  | 216 |  |  |  | (10,571 | )
Pioneer Natural Resources Co. |  |  | 49 |  |  |  | 07/24/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 479 |  |  |  | (13,598 | )
Royal Dutch Shell PLC — ADR, Class A |  |  | 863 |  |  |  | 07/24/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 2,821 |  |  |  | (23,733 | )
Schlumberger Ltd. |  |  | 388 |  |  |  | 07/24/20 |  |  | USD |  |  | 23.00 |  |  | USD |  |  | 714 |  |  |  | (6,208 | )
TC Energy Corp. |  |  | 234 |  |  |  | 07/24/20 |  |  | CAD |  |  | 59.50 |  |  | CAD |  |  | 1,357 |  |  |  | (14,392 | )
Valero Energy Corp. |  |  | 121 |  |  |  | 07/24/20 |  |  | USD |  |  | 67.50 |  |  | USD |  |  | 712 |  |  |  | (8,833 | )
Williams Cos., Inc. |  |  | 291 |  |  |  | 07/24/20 |  |  | USD |  |  | 21.50 |  |  | USD |  |  | 553 |  |  |  | (4,219 | )
Williams Cos., Inc. |  |  | 361 |  |  |  | 07/24/20 |  |  | USD |  |  | 19.50 |  |  | USD |  |  | 687 |  |  |  | (21,480 | )
Chevron Corp. |  |  | 151 |  |  |  | 07/31/20 |  |  | USD |  |  | 97.50 |  |  | USD |  |  | 1,347 |  |  |  | (18,271 | )
Concho Resources, Inc. |  |  | 105 |  |  |  | 07/31/20 |  |  | USD |  |  | 56.00 |  |  | USD |  |  | 541 |  |  |  | (18,375 | )
ConocoPhillips |  |  | 534 |  |  |  | 07/31/20 |  |  | USD |  |  | 44.50 |  |  | USD |  |  | 2,244 |  |  |  | (81,702 | )
Exxon Mobil Corp. |  |  | 136 |  |  |  | 07/31/20 |  |  | USD |  |  | 47.50 |  |  | USD |  |  | 608 |  |  |  | (15,980 | )
Kinder Morgan, Inc. |  |  | 331 |  |  |  | 07/31/20 |  |  | USD |  |  | 17.00 |  |  | USD |  |  | 502 |  |  |  | (2,813 | )
Marathon Petroleum Corp. |  |  | 41 |  |  |  | 07/31/20 |  |  | USD |  |  | 43.50 |  |  | USD |  |  | 153 |  |  |  | (3,833 | )
Petroleo Brasileiro SA — ADR |  |  | 614 |  |  |  | 07/31/20 |  |  | USD |  |  | 10.00 |  |  | USD |  |  | 508 |  |  |  | (7,368 | )
Pioneer Natural Resources Co. |  |  | 54 |  |  |  | 07/31/20 |  |  | USD |  |  | 99.50 |  |  | USD |  |  | 528 |  |  |  | (32,940 | )
Royal Dutch Shell PLC — ADR, Class A |  |  | 632 |  |  |  | 07/31/20 |  |  | USD |  |  | 34.00 |  |  | USD |  |  | 2,066 |  |  |  | (88,480 | )
Valero Energy Corp. |  |  | 71 |  |  |  | 07/31/20 |  |  | USD |  |  | 62.00 |  |  | USD |  |  | 418 |  |  |  | (18,460 | )
Williams Cos., Inc. |  |  | 93 |  |  |  | 07/31/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 177 |  |  |  | (3,487 | )
Chevron Corp. |  |  | 127 |  |  |  | 08/07/20 |  |  | USD |  |  | 92.00 |  |  | USD |  |  | 1,133 |  |  |  | (43,879 | )
Concho Resources, Inc. |  |  | 15 |  |  |  | 08/07/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 77 |  |  |  | (3,562 | )
Kinder Morgan, Inc. |  |  | 630 |  |  |  | 08/07/20 |  |  | USD |  |  | 15.00 |  |  | USD |  |  | 956 |  |  |  | (51,345 | )
Schlumberger Ltd. |  |  | 410 |  |  |  | 08/07/20 |  |  | USD |  |  | 19.50 |  |  | USD |  |  | 754 |  |  |  | (47,560 | )
Williams Cos., Inc. |  |  | 117 |  |  |  | 08/07/20 |  |  | USD |  |  | 19.00 |  |  | USD |  |  | 223 |  |  |  | (15,561 | )
Canadian Natural Resources Ltd. |  |  | 93 |  |  |  | 08/21/20 |  |  | CAD |  |  | 30.00 |  |  | CAD |  |  | 219 |  |  |  | (1,747 | )
Chevron Corp. |  |  | 270 |  |  |  | 08/21/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 2,409 |  |  |  | (81,000 | )
Enbridge, Inc. |  |  | 383 |  |  |  | 08/21/20 |  |  | USD |  |  | 44.00 |  |  | USD |  |  | 1,581 |  |  |  | (13,400 | )
Marathon Petroleum Corp. |  |  | 67 |  |  |  | 08/21/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 250 |  |  |  | (24,623 | )
Schlumberger Ltd. |  |  | 410 |  |  |  | 08/21/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 754 |  |  |  | (48,380 | )
Suncor Energy, Inc. |  |  | 952 |  |  |  | 08/21/20 |  |  | CAD |  |  | 27.00 |  |  | CAD |  |  | 2,179 |  |  |  | (32,608 | )
Suncor Energy, Inc. |  |  | 268 |  |  |  | 08/21/20 |  |  | CAD |  |  | 26.00 |  |  | CAD |  |  | 613 |  |  |  | (12,930 | )

30 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Energy and Resources Trust (BGR)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
TC Energy Corp. |  |  | 124 |  |  |  | 08/21/20 |  |  | CAD |  |  | 60.00 |  |  | CAD |  |  | 719 |  |  | $ | (14,340 | )
Valero Energy Corp. |  |  | 140 |  |  |  | 08/21/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 823 |  |  |  | (32,200 | )
Williams Cos., Inc. |  |  | 425 |  |  |  | 08/21/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 808 |  |  |  | (33,363 | )
|  |  | $ | (1,366,220 | )

OTC Options Written

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |
Galp Energia SGPS SA |  | Credit Suisse International |  |  | 49,800 |  |  |  | 07/07/20 |  |  | EUR |  |  | 10.31 |  |  | EUR |  |  | 514 |  |  | $ | (18,057 | )
Lundin Petroleum AB |  | Credit Suisse International |  |  | 16,800 |  |  |  | 07/07/20 |  |  | SEK |  |  | 234.42 |  |  | SEK |  |  | 3,821 |  |  |  | (5,049 | )
TOTAL SA |  | Credit Suisse International |  |  | 39,400 |  |  |  | 07/07/20 |  |  | EUR |  |  | 33.55 |  |  | EUR |  |  | 1,352 |  |  |  | (54,528 | )
BP PLC |  | Credit Suisse International |  |  | 542,500 |  |  |  | 07/09/20 |  |  | GBP |  |  | 3.37 |  |  | GBP |  |  | 1,676 |  |  |  | (7,398 | )
BP PLC |  | Credit Suisse International |  |  | 304,000 |  |  |  | 07/14/20 |  |  | GBP |  |  | 3.30 |  |  | GBP |  |  | 939 |  |  |  | (13,680 | )
CNOOC Ltd. |  | Goldman Sachs International |  |  | 222,000 |  |  |  | 07/14/20 |  |  | HKD |  |  | 9.26 |  |  | HKD |  |  | 1,931 |  |  |  | (2,808 | )
CNOOC Ltd. |  | Goldman Sachs International |  |  | 520,000 |  |  |  | 07/14/20 |  |  | HKD |  |  | 9.15 |  |  | HKD |  |  | 4,524 |  |  |  | (7,700 | )
Gazprom PJSC — ADR |  | UBS AG |  |  | 8,500 |  |  |  | 07/14/20 |  |  | USD |  |  | 5.78 |  |  | USD |  |  | 46 |  |  |  | (91 | )
Lukoil PJSC — ADR |  | Morgan Stanley & Co. International PLC |  |  | 7,300 |  |  |  | 07/14/20 |  |  | USD |  |  | 79.98 |  |  | USD |  |  | 543 |  |  |  | (213 | )
Oil Search Ltd. |  | Goldman Sachs International |  |  | 208,900 |  |  |  | 07/14/20 |  |  | AUD |  |  | 3.60 |  |  | AUD |  |  | 671 |  |  |  | (5,581 | )
TOTAL SA |  | Credit Suisse International |  |  | 22,200 |  |  |  | 07/14/20 |  |  | EUR |  |  | 35.12 |  |  | EUR |  |  | 762 |  |  |  | (16,804 | )
Galp Energia SGPS SA |  | Goldman Sachs International |  |  | 23,500 |  |  |  | 07/15/20 |  |  | EUR |  |  | 12.21 |  |  | EUR |  |  | 243 |  |  |  | (728 | )
Gazprom PJSC — ADR |  | Credit Suisse International |  |  | 14,300 |  |  |  | 07/15/20 |  |  | USD |  |  | 6.03 |  |  | USD |  |  | 77 |  |  |  | (127 | )
Gazprom PJSC — ADR |  | Credit Suisse International |  |  | 47,000 |  |  |  | 07/15/20 |  |  | USD |  |  | 5.69 |  |  | USD |  |  | 254 |  |  |  | (564 | )
TOTAL SA |  | Credit Suisse International |  |  | 75,800 |  |  |  | 07/21/20 |  |  | EUR |  |  | 38.25 |  |  | EUR |  |  | 2,601 |  |  |  | (15,490 | )
Aker BP ASA |  | Citibank N.A. |  |  | 23,000 |  |  |  | 07/23/20 |  |  | NOK |  |  | 191.11 |  |  | NOK |  |  | 4,097 |  |  |  | (6,538 | )
BP PLC |  | Credit Suisse International |  |  | 603,200 |  |  |  | 07/23/20 |  |  | GBP |  |  | 3.58 |  |  | GBP |  |  | 1,864 |  |  |  | (8,462 | )
Gazprom PJSC — ADR |  | Credit Suisse International |  |  | 11,500 |  |  |  | 07/23/20 |  |  | USD |  |  | 6.09 |  |  | USD |  |  | 62 |  |  |  | (70 | )
Lukoil PJSC — ADR |  | Credit Suisse International |  |  | 5,300 |  |  |  | 07/23/20 |  |  | USD |  |  | 81.54 |  |  | USD |  |  | 394 |  |  |  | (193 | )
TOTAL SA |  | Goldman Sachs International |  |  | 51,200 |  |  |  | 07/23/20 |  |  | EUR |  |  | 38.50 |  |  | EUR |  |  | 1,757 |  |  |  | (9,789 | )
Lundin Petroleum AB |  | Credit Suisse International |  |  | 38,400 |  |  |  | 07/24/20 |  |  | SEK |  |  | 224.76 |  |  | SEK |  |  | 8,733 |  |  |  | (46,602 | )
Aker BP ASA |  | Goldman Sachs International |  |  | 23,000 |  |  |  | 07/29/20 |  |  | NOK |  |  | 193.94 |  |  | NOK |  |  | 4,097 |  |  |  | (6,292 | )
CNOOC Ltd. |  | Goldman Sachs International |  |  | 252,000 |  |  |  | 07/29/20 |  |  | HKD |  |  | 9.37 |  |  | HKD |  |  | 2,192 |  |  |  | (5,209 | )
TOTAL SA |  | Morgan Stanley & Co. International PLC |  |  | 14,400 |  |  |  | 07/29/20 |  |  | EUR |  |  | 38.34 |  |  | EUR |  |  | 494 |  |  |  | (4,764 | )
BP PLC |  | Credit Suisse International |  |  | 206,100 |  |  |  | 08/05/20 |  |  | GBP |  |  | 3.28 |  |  | GBP |  |  | 637 |  |  |  | (26,001 | )
Galp Energia SGPS SA |  | Goldman Sachs International |  |  | 64,200 |  |  |  | 08/05/20 |  |  | EUR |  |  | 10.90 |  |  | EUR |  |  | 663 |  |  |  | (31,220 | )
Lundin Petroleum AB |  | Goldman Sachs International |  |  | 21,700 |  |  |  | 08/12/20 |  |  | SEK |  |  | 241.61 |  |  | SEK |  |  | 4,935 |  |  |  | (15,991 | )
Oil Search Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 150,000 |  |  |  | 08/12/20 |  |  | AUD |  |  | 3.36 |  |  | AUD |  |  | 482 |  |  |  | (18,718 | )
Santos Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 245,700 |  |  |  | 08/12/20 |  |  | AUD |  |  | 5.40 |  |  | AUD |  |  | 1,324 |  |  |  | (59,449 | )
|  |  | $ | (388,116 | )

Balances Reported in the Statements of Assets and Liabilities for Options Written

|  | Swap Premium Paid |  |  | Swap Premium Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |  |  | Value |
Options Written |  |  | N/A |  |  |  | N/A |  |  | $ | 1,333,298 |  |  | $ | (193,287 | ) |  | $ | (1,754,336 | )

SCHEDULES OF INVESTMENTS |  |  | 31 |

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Energy and Resources Trust (BGR)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written, at value |  | $ | — |  |  | $ | — |  |  | $ | 1,754,336 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,754,336 |

For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | ($ | 815,024 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | ($ | 815,024 | )

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | 2,253,788 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2,253,788 |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Options: |
Average value of option contracts written |  | $ | 2,772,269 |

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |  |  |  |  |  |  |  |
Options |  | $ | — |  |  | $ | 1,754,336 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (1,366,220 | )
Total derivative assets and liabilities subject to an MNA |  | $ | — |  |  | $ | 388,116 |

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

Counterparty |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset |  |  | Non-cash Collateral Pledged (a) |  |  | Cash Collateral Pledged |  |  | Net Amount of Derivative Liabilities (b) |
Citibank N.A. |  | $ | 6,538 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  | 6,538 |
Credit Suisse International |  |  | 213,025 |  |  |  | — |  |  |  | (213,025 | ) |  |  | — |  |  |  | — |
Goldman Sachs International |  |  | 85,318 |  |  |  | — |  |  |  | (85,318 | ) |  |  | — |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | 83,144 |  |  |  | — |  |  |  | (27,458 | ) |  |  | — |  |  |  | 55,686 |
UBS AG |  |  | 91 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 91 |
|  | $ | 388,116 |  |  | $ | — |  |  | $ | (325,801 | ) |  | $ | — |  |  | $ | 62,315 |

| (a) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

| (b) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |

32 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Energy and Resources Trust (BGR)

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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: |
Common Stocks: |
Energy Equipment & Services |  | $ | 9,777,149 |  |  | $ | — |  |  | $ | — |  |  | $ | 9,777,149 |
Oil, Gas & Consumable Fuels |  |  | 159,242,160 |  |  |  | 65,799,772 |  |  |  | — |  |  |  | 225,041,932 |
Short-Term Securities |  |  | 7,415,401 |  |  |  | — |  |  |  | — |  |  |  | 7,415,401 |
|  | $ | 176,434,710 |  |  | $ | 65,799,772 |  |  | $ | — |  |  | $ | 242,234,482 |
Derivative Financial Instruments(a) |  |  |  |  |  |  |  |  |  |  |  |  |
Liabilities: |
Equity contracts |  | $ | (1,366,220 | ) |  | $ | (388,116 | ) |  | $ | — |  |  | $ | (1,754,336 | )

The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

| (a) | Derivative financial instruments are options written. Options written are shown at value. |

See notes to financial statements.

SCHEDULES OF INVESTMENTS |  |  | 33 |

Schedule of Investments (unaudited) June 30, 2020 |  | BlackRock Enhanced Capital and Income Fund (CII) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Common Stocks — 100.3% |
Aerospace & Defense — 1.2% |
BAE Systems PLC—ADR |  |  | 345,362 |  |  | $ | 8,288,688 |
Automobiles — 1.2% |
General Motors Co. |  |  | 339,495 |  |  |  | 8,589,224 |
Banks — 4.5% |
Bank of America Corp.(a) |  |  | 480,935 |  |  |  | 11,422,206 |
JPMorgan Chase & Co. |  |  | 139,233 |  |  |  | 13,096,256 |
U.S. Bancorp |  |  | 192,429 |  |  |  | 7,085,236 |
|  |  |  | 31,603,698 |
Biotechnology — 1.3% |
Biogen, Inc.(b) |  |  | 33,223 |  |  |  | 8,888,814 |
Capital Markets — 1.5% |
E*Trade Financial Corp. |  |  | 104,690 |  |  |  | 5,206,234 |
Raymond James Financial, Inc. |  |  | 77,318 |  |  |  | 5,321,798 |
|  |  |  | 10,528,032 |
Chemicals — 2.6% |
Axalta Coating Systems Ltd.(b) |  |  | 226,922 |  |  |  | 5,117,091 |
Corteva, Inc.(b) |  |  | 509,553 |  |  |  | 13,650,925 |
|  |  |  | 18,768,016 |
Communications Equipment — 2.5% |
Cisco Systems, Inc. |  |  | 379,539 |  |  |  | 17,701,699 |
Construction & Engineering — 2.0% |
Quanta Services, Inc. |  |  | 364,421 |  |  |  | 14,296,236 |
Consumer Finance — 0.9% |
Ally Financial, Inc. |  |  | 309,680 |  |  |  | 6,140,954 |
Diversified Financial Services — 2.3% |
Berkshire Hathaway, Inc., Class B(b) |  |  | 90,204 |  |  |  | 16,102,316 |
Diversified Telecommunication Services — 1.0% |
Verizon Communications, Inc. |  |  | 130,379 |  |  |  | 7,187,794 |
Electrical Equipment — 1.2% |
Hubbell, Inc. |  |  | 67,650 |  |  |  | 8,480,604 |
Food & Staples Retailing — 1.6% |
Walmart, Inc. |  |  | 93,940 |  |  |  | 11,252,133 |
Health Care Equipment & Supplies — 1.4% |
Koninklijke Philips NV—ADR(b) |  |  | 217,062 |  |  |  | 10,167,184 |
Health Care Providers & Services — 6.2% |
Anthem, Inc. |  |  | 45,210 |  |  |  | 11,889,326 |
Laboratory Corp. of America Holdings(b) |  |  | 77,439 |  |  |  | 12,863,392 |
UnitedHealth Group, Inc. |  |  | 65,930 |  |  |  | 19,446,054 |
|  |  |  | 44,198,772 |
Household Durables — 0.5% |
D.R. Horton, Inc. |  |  | 69,646 |  |  |  | 3,861,871 |
Independent Power and Renewable Electricity Producers — 1.1% |
AES Corp. |  |  | 530,186 |  |  |  | 7,682,395 |
Insurance — 0.3% |
Fidelity National Financial, Inc. |  |  | 61,839 |  |  |  | 1,895,984 |
Interactive Media & Services — 8.9% |
Alphabet, Inc., Class A(a)(b) |  |  | 26,728 |  |  |  | 37,901,640 |
Facebook, Inc., Class A(b) |  |  | 110,667 |  |  |  | 25,129,156 |
|  |  |  | 63,030,796 |
Internet & Direct Marketing Retail — 6.5% |
Alibaba Group Holding Ltd.—ADR(b) |  |  | 46,126 |  |  |  | 9,949,378 |
Amazon.com, Inc.(b) |  |  | 11,597 |  |  |  | 31,994,035 |
Booking Holdings, Inc.(b) |  |  | 2,690 |  |  |  | 4,283,395 |
|  |  |  | 46,226,808 |

Security |  | Shares |  |  | Value |
IT Services — 5.1% |
Cognizant Technology Solutions Corp., Class A |  |  | 217,777 |  |  | $ | 12,374,089 |
FleetCor Technologies, Inc.(b) |  |  | 6,036 |  |  |  | 1,518,235 |
Visa, Inc., Class A |  |  | 115,046 |  |  |  | 22,223,436 |
|  |  |  | 36,115,760 |
Machinery — 2.5% |
Fortive Corp. |  |  | 141,953 |  |  |  | 9,604,540 |
Otis Worldwide Corp. |  |  | 147,987 |  |  |  | 8,414,541 |
|  |  |  | 18,019,081 |
Media — 3.6% |
Comcast Corp., Class A |  |  | 461,744 |  |  |  | 17,998,781 |
Fox Corp., Class A |  |  | 272,700 |  |  |  | 7,313,814 |
|  |  |  | 25,312,595 |
Multiline Retail — 3.3% |
Dollar General Corp. |  |  | 44,435 |  |  |  | 8,465,312 |
Dollar Tree, Inc.(b) |  |  | 159,737 |  |  |  | 14,804,425 |
|  |  |  | 23,269,737 |
Oil, Gas & Consumable Fuels — 3.4% |
BP PLC — ADR |  |  | 284,859 |  |  |  | 6,642,912 |
Chevron Corp. |  |  | 102,513 |  |  |  | 9,147,235 |
ConocoPhillips |  |  | 191,127 |  |  |  | 8,031,156 |
|  |  |  | 23,821,303 |
Personal Products — 2.0% |
Unilever NV — NY Shares |  |  | 260,598 |  |  |  | 13,882,055 |
Pharmaceuticals — 4.7% |
Novo Nordisk A/S — ADR |  |  | 106,483 |  |  |  | 6,972,507 |
Pfizer, Inc. |  |  | 393,514 |  |  |  | 12,867,908 |
Sanofi — ADR |  |  | 268,542 |  |  |  | 13,709,069 |
|  |  |  | 33,549,484 |
Professional Services — 1.3% |
Robert Half International, Inc. |  |  | 169,613 |  |  |  | 8,960,655 |
Real Estate Management & Development — 0.5% |
CBRE Group, Inc., Class A(b) |  |  | 84,047 |  |  |  | 3,800,605 |
Road & Rail — 1.3% |
Norfolk Southern Corp. |  |  | 50,828 |  |  |  | 8,923,872 |
Semiconductors & Semiconductor Equipment — 2.3% |
NXP Semiconductors NV |  |  | 35,979 |  |  |  | 4,103,045 |
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 217,838 |  |  |  | 12,366,663 |
|  |  |  | 16,469,708 |
Software — 8.5% |
CDK Global, Inc. |  |  | 202,094 |  |  |  | 8,370,734 |
Microsoft Corp.(a) |  |  | 254,853 |  |  |  | 51,865,134 |
|  |  |  | 60,235,868 |
Specialty Retail — 3.4% |
Lowe’s Cos., Inc. |  |  | 74,579 |  |  |  | 10,077,115 |
O’Reilly Automotive, Inc.(b) |  |  | 18,841 |  |  |  | 7,944,684 |
Ross Stores, Inc. |  |  | 71,558 |  |  |  | 6,099,604 |
|  |  |  | 24,121,403 |
Technology Hardware, Storage & Peripherals — 7.3% |
Apple, Inc.(a)(c) |  |  | 142,306 |  |  |  | 51,913,229 |
Textiles, Apparel & Luxury Goods — 0.5% |
Skechers U.S.A., Inc., Class A(b) |  |  | 123,711 |  |  |  | 3,882,051 |
Tobacco — 1.9% |
Altria Group, Inc.(a) |  |  | 350,669 |  |  |  | 13,763,758 |
Total Long-Term Investments — 100.3% (Cost — $557,686,874) |  |  |  | 710,933,182 |

34 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Capital and Income Fund (CII) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Short-Term Securities — 1.6% |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(d)(e) |  |  | 11,280,090 |  |  | $ | 11,280,090 |
Total Short-Term Securities — 1.6% (Cost — $11,280,090) |  |  |  | 11,280,090 |
Total Investments Before Options Written — 101.9% (Cost — $568,966,964) |  |  |  | 722,213,272 |
Options Written — (1.9)% (Premiums Received — $11,792,720) |  |  |  | (13,728,981 | )
Total Investments, Net of Options Written — 100.0% (Cost — $557,174,244) |  |  |  | 708,484,291 |
Other Assets Less Liabilities — 0.0% |  |  |  | 354,060 |
Net Assets — 100.0% |  |  | $ | 708,838,351 |

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

(b) | Non-income producing security.

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

(d) | Annualized 7-day yield as of period end.

(e) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Shares Held at 12/31/19 |  |  | Shares Purchased |  |  | Shares Sold |  |  | Shares Held at 06/30/20 |  |  | Value at 06/30/20 |  |  | Income |  |  | Net Realized Gain (Loss) (a) |  |  | Change in Unrealized Appreciation (Depreciation) |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  |  | 4,423,595 |  |  |  | 6,856,495 | (b) |  |  | — |  |  |  | 11,280,090 |  |  | $ | 11,280,090 |  |  | $ | 19,932 |  |  | $ | — |  |  | $ | — |

| (a) | Includes net capital gain distributions, if applicable. |

| (b) | Represents net shares purchased (sold). |

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector 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 such sector sub-classifications for reporting ease.

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |
Alphabet, Inc., Class A |  |  | 52 |  |  |  | 07/02/20 |  |  | USD |  |  | 1,450.00 |  |  | USD |  |  | 7,374 |  |  | $ | (9,360 | )
Altria Group, Inc. |  |  | 195 |  |  |  | 07/02/20 |  |  | USD |  |  | 40.50 |  |  | USD |  |  | 765 |  |  |  | (780 | )
Amazon.com, Inc. |  |  | 14 |  |  |  | 07/02/20 |  |  | USD |  |  | 2,475.00 |  |  | USD |  |  | 3,862 |  |  |  | (397,390 | )
BP PLC — ADR |  |  | 92 |  |  |  | 07/02/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 215 |  |  |  | (276 | )
Bank of America Corp. |  |  | 286 |  |  |  | 07/02/20 |  |  | USD |  |  | 26.50 |  |  | USD |  |  | 679 |  |  |  | (429 | )
Bank of America Corp. |  |  | 158 |  |  |  | 07/02/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 375 |  |  |  | (869 | )
Bank of America Corp. |  |  | 81 |  |  |  | 07/02/20 |  |  | USD |  |  | 25.50 |  |  | USD |  |  | 192 |  |  |  | (202 | )
Cisco Systems, Inc. |  |  | 219 |  |  |  | 07/02/20 |  |  | USD |  |  | 47.00 |  |  | USD |  |  | 1,021 |  |  |  | (5,256 | )
Cognizant Technology Solutions Corp., Class A |  |  | 73 |  |  |  | 07/02/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 415 |  |  |  | (16,060 | )
Fox Corp., Class A |  |  | 486 |  |  |  | 07/02/20 |  |  | USD |  |  | 29.00 |  |  | USD |  |  | 1,303 |  |  |  | (109,350 | )
General Motors Co. |  |  | 356 |  |  |  | 07/02/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 901 |  |  |  | (2,314 | )
Microsoft Corp. |  |  | 172 |  |  |  | 07/02/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 3,500 |  |  |  | (320,780 | )
Norfolk Southern Corp. |  |  | 85 |  |  |  | 07/02/20 |  |  | USD |  |  | 175.00 |  |  | USD |  |  | 1,492 |  |  |  | (30,388 | )
Skechers U.S.A., Inc., Class A |  |  | 130 |  |  |  | 07/02/20 |  |  | USD |  |  | 29.50 |  |  | USD |  |  | 408 |  |  |  | (26,325 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 51 |  |  |  | 07/02/20 |  |  | USD |  |  | 56.50 |  |  | USD |  |  | 290 |  |  |  | (3,442 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 40 |  |  |  | 07/02/20 |  |  | USD |  |  | 53.50 |  |  | USD |  |  | 227 |  |  |  | (12,800 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 20 |  |  |  | 07/02/20 |  |  | USD |  |  | 54.50 |  |  | USD |  |  | 114 |  |  |  | (4,600 | )
U.S. Bancorp |  |  | 173 |  |  |  | 07/02/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 637 |  |  |  | (19,809 | )
Visa, Inc., Class A |  |  | 2 |  |  |  | 07/02/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 39 |  |  |  | (153 | )
Alibaba Group Holding Ltd. — ADR |  |  | 25 |  |  |  | 07/10/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 539 |  |  |  | (20,000 | )
Altria Group, Inc. |  |  | 196 |  |  |  | 07/10/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 769 |  |  |  | (8,526 | )

SCHEDULES OF INVESTMENTS |  |  | 35 |

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Capital and Income Fund (CII)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Anthem, Inc. |  |  | 77 |  |  |  | 07/10/20 |  |  | USD |  |  | 300.00 |  |  | USD |  |  | 2,025 |  |  | $ | (3,619 | )
Apple, Inc. |  |  | 193 |  |  |  | 07/10/20 |  |  | USD |  |  | 337.50 |  |  | USD |  |  | 7,041 |  |  |  | (544,260 | )
Bank of America Corp. |  |  | 456 |  |  |  | 07/10/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 1,083 |  |  |  | (4,560 | )
Bank of America Corp. |  |  | 286 |  |  |  | 07/10/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 679 |  |  |  | (1,144 | )
Bank of America Corp. |  |  | 59 |  |  |  | 07/10/20 |  |  | USD |  |  | 29.50 |  |  | USD |  |  | 140 |  |  |  | (118 | )
Berkshire Hathaway, Inc., Class B |  |  | 40 |  |  |  | 07/10/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 714 |  |  |  | (1,440 | )
BP PLC — ADR |  |  | 114 |  |  |  | 07/10/20 |  |  | USD |  |  | 26.50 |  |  | USD |  |  | 266 |  |  |  | (342 | )
BP PLC — ADR |  |  | 83 |  |  |  | 07/10/20 |  |  | USD |  |  | 28.00 |  |  | USD |  |  | 194 |  |  |  | (498 | )
Chevron Corp. |  |  | 193 |  |  |  | 07/10/20 |  |  | USD |  |  | 106.00 |  |  | USD |  |  | 1,722 |  |  |  | (1,737 | )
Cisco Systems, Inc. |  |  | 276 |  |  |  | 07/10/20 |  |  | USD |  |  | 47.00 |  |  | USD |  |  | 1,287 |  |  |  | (16,284 | )
Cognizant Technology Solutions Corp., Class A |  |  | 264 |  |  |  | 07/10/20 |  |  | USD |  |  | 59.00 |  |  | USD |  |  | 1,500 |  |  |  | (12,540 | )
Cognizant Technology Solutions Corp., Class A |  |  | 21 |  |  |  | 07/10/20 |  |  | USD |  |  | 57.00 |  |  | USD |  |  | 119 |  |  |  | (2,730 | )
Comcast Corp., Class A |  |  | 907 |  |  |  | 07/10/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 3,535 |  |  |  | (1,814 | )
Comcast Corp., Class A |  |  | 362 |  |  |  | 07/10/20 |  |  | USD |  |  | 41.50 |  |  | USD |  |  | 1,411 |  |  |  | (3,620 | )
ConocoPhillips |  |  | 120 |  |  |  | 07/10/20 |  |  | USD |  |  | 52.00 |  |  | USD |  |  | 504 |  |  |  | (840 | )
Facebook, Inc., Class A |  |  | 317 |  |  |  | 07/10/20 |  |  | USD |  |  | 237.50 |  |  | USD |  |  | 7,198 |  |  |  | (51,037 | )
General Motors Co. |  |  | 119 |  |  |  | 07/10/20 |  |  | USD |  |  | 29.50 |  |  | USD |  |  | 301 |  |  |  | (773 | )
JPMorgan Chase & Co. |  |  | 123 |  |  |  | 07/10/20 |  |  | USD |  |  | 114.00 |  |  | USD |  |  | 1,157 |  |  |  | (799 | )
Microsoft Corp. |  |  | 343 |  |  |  | 07/10/20 |  |  | USD |  |  | 187.50 |  |  | USD |  |  | 6,980 |  |  |  | (583,100 | )
Microsoft Corp. |  |  | 142 |  |  |  | 07/10/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 2,890 |  |  |  | (75,615 | )
Pfizer, Inc. |  |  | 85 |  |  |  | 07/10/20 |  |  | USD |  |  | 34.50 |  |  | USD |  |  | 278 |  |  |  | (1,190 | )
Ross Stores, Inc. |  |  | 11 |  |  |  | 07/10/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 94 |  |  |  | (1,650 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 20 |  |  |  | 07/10/20 |  |  | USD |  |  | 57.00 |  |  | USD |  |  | 114 |  |  |  | (1,750 | )
U.S. Bancorp |  |  | 179 |  |  |  | 07/10/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 659 |  |  |  | (1,074 | )
UnitedHealth Group, Inc. |  |  | 135 |  |  |  | 07/10/20 |  |  | USD |  |  | 312.50 |  |  | USD |  |  | 3,982 |  |  |  | (12,487 | )
Verizon Communications, Inc. |  |  | 139 |  |  |  | 07/10/20 |  |  | USD |  |  | 57.00 |  |  | USD |  |  | 766 |  |  |  | (1,668 | )
Verizon Communications, Inc. |  |  | 61 |  |  |  | 07/10/20 |  |  | USD |  |  | 58.00 |  |  | USD |  |  | 336 |  |  |  | (366 | )
Visa, Inc., Class A |  |  | 94 |  |  |  | 07/10/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 1,816 |  |  |  | (7,661 | )
Walmart, Inc. |  |  | 157 |  |  |  | 07/10/20 |  |  | USD |  |  | 127.00 |  |  | USD |  |  | 1,881 |  |  |  | (1,334 | )
AES Corp. |  |  | 502 |  |  |  | 07/17/20 |  |  | USD |  |  | 14.00 |  |  | USD |  |  | 727 |  |  |  | (42,670 | )
Alibaba Group Holding Ltd. — ADR |  |  | 115 |  |  |  | 07/17/20 |  |  | USD |  |  | 215.00 |  |  | USD |  |  | 2,481 |  |  |  | (73,025 | )
Ally Financial, Inc. |  |  | 933 |  |  |  | 07/17/20 |  |  | USD |  |  | 17.00 |  |  | USD |  |  | 1,850 |  |  |  | (303,225 | )
Ally Financial, Inc. |  |  | 150 |  |  |  | 07/17/20 |  |  | USD |  |  | 24.00 |  |  | USD |  |  | 297 |  |  |  | (2,625 | )
Alphabet, Inc., Class A |  |  | 34 |  |  |  | 07/17/20 |  |  | USD |  |  | 1,380.00 |  |  | USD |  |  | 4,821 |  |  |  | (193,290 | )
Alphabet, Inc., Class A |  |  | 31 |  |  |  | 07/17/20 |  |  | USD |  |  | 1,465.00 |  |  | USD |  |  | 4,396 |  |  |  | (33,945 | )
Altria Group, Inc. |  |  | 488 |  |  |  | 07/17/20 |  |  | USD |  |  | 42.50 |  |  | USD |  |  | 1,915 |  |  |  | (8,540 | )
Amazon.com, Inc. |  |  | 14 |  |  |  | 07/17/20 |  |  | USD |  |  | 2,460.00 |  |  | USD |  |  | 3,862 |  |  |  | (424,865 | )
Anthem, Inc. |  |  | 14 |  |  |  | 07/17/20 |  |  | USD |  |  | 290.00 |  |  | USD |  |  | 368 |  |  |  | (1,127 | )
Apple, Inc. |  |  | 315 |  |  |  | 07/17/20 |  |  | USD |  |  | 320.00 |  |  | USD |  |  | 11,491 |  |  |  | (1,415,138 | )
Axalta Coating Systems Ltd. |  |  | 156 |  |  |  | 07/17/20 |  |  | USD |  |  | 23.00 |  |  | USD |  |  | 352 |  |  |  | (9,360 | )
BP PLC — ADR |  |  | 182 |  |  |  | 07/17/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 424 |  |  |  | (2,275 | )
BP PLC — ADR |  |  | 83 |  |  |  | 07/17/20 |  |  | USD |  |  | 29.00 |  |  | USD |  |  | 194 |  |  |  | (830 | )
Bank of America Corp. |  |  | 150 |  |  |  | 07/17/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 356 |  |  |  | (7,725 | )
Bank of America Corp. |  |  | 46 |  |  |  | 07/17/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 109 |  |  |  | (1,288 | )
Bank of America Corp. |  |  | 285 |  |  |  | 07/17/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 677 |  |  |  | (4,417 | )
Berkshire Hathaway, Inc., Class B |  |  | 41 |  |  |  | 07/17/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 732 |  |  |  | (3,505 | )
Biogen, Inc. |  |  | 56 |  |  |  | 07/17/20 |  |  | USD |  |  | 335.00 |  |  | USD |  |  | 1,498 |  |  |  | (5,320 | )
Booking Holdings, Inc. |  |  | 3 |  |  |  | 07/17/20 |  |  | USD |  |  | 1,750.00 |  |  | USD |  |  | 478 |  |  |  | (3,960 | )
CBRE Group, Inc., Class A |  |  | 54 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 244 |  |  |  | (10,935 | )
CDK Global, Inc. |  |  | 354 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 1,466 |  |  |  | (7,965 | )
Chevron Corp. |  |  | 117 |  |  |  | 07/17/20 |  |  | USD |  |  | 97.50 |  |  | USD |  |  | 1,044 |  |  |  | (5,674 | )
Cisco Systems, Inc. |  |  | 146 |  |  |  | 07/17/20 |  |  | USD |  |  | 46.00 |  |  | USD |  |  | 681 |  |  |  | (20,148 | )
Cognizant Technology Solutions Corp., Class A |  |  | 84 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 477 |  |  |  | (21,840 | )
Comcast Corp., Class A |  |  | 439 |  |  |  | 07/17/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 1,711 |  |  |  | (89,995 | )
ConocoPhillips |  |  | 205 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 861 |  |  |  | (2,357 | )
Corteva, Inc. |  |  | 418 |  |  |  | 07/17/20 |  |  | USD |  |  | 29.00 |  |  | USD |  |  | 1,120 |  |  |  | (10,450 | )
D.R. Horton, Inc. |  |  | 306 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,697 |  |  |  | (11,934 | )
Dollar Tree, Inc. |  |  | 134 |  |  |  | 07/17/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 1,242 |  |  |  | (22,445 | )
E*Trade Financial Corp. |  |  | 337 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 1,676 |  |  |  | (337,843 | )
Facebook, Inc., Class A |  |  | 93 |  |  |  | 07/17/20 |  |  | USD |  |  | 250.00 |  |  | USD |  |  | 2,112 |  |  |  | (7,812 | )
Facebook, Inc., Class A |  |  | 43 |  |  |  | 07/17/20 |  |  | USD |  |  | 240.00 |  |  | USD |  |  | 976 |  |  |  | (9,761 | )
Fortive Corp. |  |  | 258 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,746 |  |  |  | (212,205 | )

36 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Capital and Income Fund (CII)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
General Motors Co. |  |  | 401 |  |  |  | 07/17/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 1,015 |  |  | $ | (20,652 | )
Hubbell, Inc. |  |  | 122 |  |  |  | 07/17/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 1,529 |  |  |  | (48,495 | )
JPMorgan Chase & Co. |  |  | 96 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 903 |  |  |  | (1,296 | )
Laboratory Corp. of America Holdings |  |  | 491 |  |  |  | 07/17/20 |  |  | USD |  |  | 180.00 |  |  | USD |  |  | 8,156 |  |  |  | (38,053 | )
Lowe’s Cos., Inc. |  |  | 272 |  |  |  | 07/17/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 3,675 |  |  |  | (303,960 | )
Lowe’s Cos., Inc. |  |  | 44 |  |  |  | 07/17/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 595 |  |  |  | (68,200 | )
Lowe’s Cos., Inc. |  |  | 43 |  |  |  | 07/17/20 |  |  | USD |  |  | 130.00 |  |  | USD |  |  | 581 |  |  |  | (30,423 | )
Microsoft Corp. |  |  | 289 |  |  |  | 07/17/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 5,881 |  |  |  | (400,265 | )
Norfolk Southern Corp. |  |  | 123 |  |  |  | 07/17/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 2,160 |  |  |  | (28,598 | )
Norfolk Southern Corp. |  |  | 61 |  |  |  | 07/17/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 1,071 |  |  |  | (14,335 | )
Novo Nordisk A/S — ADR |  |  | 339 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 2,220 |  |  |  | (9,322 | )
NXP Semiconductors NV |  |  | 126 |  |  |  | 07/17/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 1,437 |  |  |  | (142,065 | )
Otis Worldwide Corp. |  |  | 238 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,353 |  |  |  | (14,875 | )
Pfizer, Inc. |  |  | 928 |  |  |  | 07/17/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 3,035 |  |  |  | (3,248 | )
Quanta Services, Inc. |  |  | 599 |  |  |  | 07/17/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 2,350 |  |  |  | (19,468 | )
Raymond James Financial, Inc. |  |  | 169 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 1,163 |  |  |  | (88,725 | )
Robert Half International, Inc. |  |  | 674 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 3,561 |  |  |  | (259,490 | )
Ross Stores, Inc. |  |  | 103 |  |  |  | 07/17/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 878 |  |  |  | (14,677 | )
Ross Stores, Inc. |  |  | 11 |  |  |  | 07/17/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 94 |  |  |  | (247 | )
Sanofi — ADR |  |  | 301 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,537 |  |  |  | (6,772 | )
Skechers U.S.A., Inc., Class A |  |  | 219 |  |  |  | 07/17/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 687 |  |  |  | (6,022 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 61 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 346 |  |  |  | (15,403 | )
U.S. Bancorp |  |  | 146 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 538 |  |  |  | (8,176 | )
UnitedHealth Group, Inc. |  |  | 8 |  |  |  | 07/17/20 |  |  | USD |  |  | 300.00 |  |  | USD |  |  | 236 |  |  |  | (5,480 | )
Verizon Communications, Inc. |  |  | 179 |  |  |  | 07/17/20 |  |  | USD |  |  | 57.50 |  |  | USD |  |  | 987 |  |  |  | (2,685 | )
Visa, Inc., Class A |  |  | 94 |  |  |  | 07/17/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 1,816 |  |  |  | (31,584 | )
Walmart, Inc. |  |  | 284 |  |  |  | 07/17/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 3,402 |  |  |  | (11,928 | )
Alibaba Group Holding Ltd. — ADR |  |  | 13 |  |  |  | 07/24/20 |  |  | USD |  |  | 235.00 |  |  | USD |  |  | 280 |  |  |  | (1,703 | )
Altria Group, Inc. |  |  | 488 |  |  |  | 07/24/20 |  |  | USD |  |  | 43.50 |  |  | USD |  |  | 1,915 |  |  |  | (39,528 | )
Anthem, Inc. |  |  | 77 |  |  |  | 07/24/20 |  |  | USD |  |  | 300.00 |  |  | USD |  |  | 2,025 |  |  |  | (4,158 | )
Apple, Inc. |  |  | 208 |  |  |  | 07/24/20 |  |  | USD |  |  | 355.00 |  |  | USD |  |  | 7,588 |  |  |  | (346,840 | )
Bank of America Corp. |  |  | 50 |  |  |  | 07/24/20 |  |  | USD |  |  | 25.50 |  |  | USD |  |  | 119 |  |  |  | (2,450 | )
Bank of America Corp. |  |  | 38 |  |  |  | 07/24/20 |  |  | USD |  |  | 30.50 |  |  | USD |  |  | 90 |  |  |  | (133 | )
Bank of America Corp. |  |  | 29 |  |  |  | 07/24/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 69 |  |  |  | (652 | )
Berkshire Hathaway, Inc., Class B |  |  | 222 |  |  |  | 07/24/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 3,963 |  |  |  | (34,410 | )
Biogen, Inc. |  |  | 14 |  |  |  | 07/24/20 |  |  | USD |  |  | 280.00 |  |  | USD |  |  | 375 |  |  |  | (9,310 | )
Booking Holdings, Inc. |  |  | 7 |  |  |  | 07/24/20 |  |  | USD |  |  | 1,650.00 |  |  | USD |  |  | 1,115 |  |  |  | (35,210 | )
BP PLC — ADR |  |  | 186 |  |  |  | 07/24/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 434 |  |  |  | (4,185 | )
Chevron Corp. |  |  | 48 |  |  |  | 07/24/20 |  |  | USD |  |  | 94.00 |  |  | USD |  |  | 428 |  |  |  | (9,024 | )
Cisco Systems, Inc. |  |  | 147 |  |  |  | 07/24/20 |  |  | USD |  |  | 48.50 |  |  | USD |  |  | 686 |  |  |  | (8,085 | )
Cognizant Technology Solutions Corp., Class A |  |  | 141 |  |  |  | 07/24/20 |  |  | USD |  |  | 56.50 |  |  | USD |  |  | 801 |  |  |  | (34,545 | )
Comcast Corp., Class A |  |  | 419 |  |  |  | 07/24/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 1,633 |  |  |  | (11,103 | )
ConocoPhillips |  |  | 205 |  |  |  | 07/24/20 |  |  | USD |  |  | 50.50 |  |  | USD |  |  | 861 |  |  |  | (5,022 | )
Dollar General Corp. |  |  | 275 |  |  |  | 07/24/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 5,239 |  |  |  | (68,063 | )
D.R. Horton, Inc. |  |  | 180 |  |  |  | 07/24/20 |  |  | USD |  |  | 59.50 |  |  | USD |  |  | 998 |  |  |  | (17,550 | )
General Motors Co. |  |  | 120 |  |  |  | 07/24/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 304 |  |  |  | (1,740 | )
JPMorgan Chase & Co. |  |  | 96 |  |  |  | 07/24/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 903 |  |  |  | (1,728 | )
Microsoft Corp. |  |  | 143 |  |  |  | 07/24/20 |  |  | USD |  |  | 192.50 |  |  | USD |  |  | 2,910 |  |  |  | (186,258 | )
Pfizer, Inc. |  |  | 928 |  |  |  | 07/24/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 3,035 |  |  |  | (4,640 | )
Skechers U.S.A., Inc., Class A |  |  | 420 |  |  |  | 07/24/20 |  |  | USD |  |  | 34.00 |  |  | USD |  |  | 1,318 |  |  |  | (48,300 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 241 |  |  |  | 07/24/20 |  |  | USD |  |  | 57.50 |  |  | USD |  |  | 1,368 |  |  |  | (36,150 | )
U.S. Bancorp |  |  | 208 |  |  |  | 07/24/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 766 |  |  |  | (7,280 | )
UnitedHealth Group, Inc. |  |  | 24 |  |  |  | 07/24/20 |  |  | USD |  |  | 305.00 |  |  | USD |  |  | 708 |  |  |  | (15,060 | )
Verizon Communications, Inc. |  |  | 168 |  |  |  | 07/24/20 |  |  | USD |  |  | 58.00 |  |  | USD |  |  | 926 |  |  |  | (4,200 | )
Alibaba Group Holding Ltd. — ADR |  |  | 135 |  |  |  | 07/31/20 |  |  | USD |  |  | 220.00 |  |  | USD |  |  | 2,912 |  |  |  | (86,400 | )
Alphabet, Inc., Class A |  |  | 48 |  |  |  | 07/31/20 |  |  | USD |  |  | 1,450.00 |  |  | USD |  |  | 6,807 |  |  |  | (198,000 | )
Altria Group, Inc. |  |  | 391 |  |  |  | 07/31/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 1,535 |  |  |  | (13,880 | )
Amazon.com, Inc. |  |  | 31 |  |  |  | 07/31/20 |  |  | USD |  |  | 2,685.00 |  |  | USD |  |  | 8,552 |  |  |  | (509,408 | )
Apple, Inc. |  |  | 176 |  |  |  | 07/31/20 |  |  | USD |  |  | 362.50 |  |  | USD |  |  | 6,420 |  |  |  | (270,160 | )
Bank of America Corp. |  |  | 180 |  |  |  | 07/31/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 428 |  |  |  | (9,000 | )
Berkshire Hathaway, Inc., Class B |  |  | 12 |  |  |  | 07/31/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 214 |  |  |  | (2,550 | )
Biogen, Inc. |  |  | 46 |  |  |  | 07/31/20 |  |  | USD |  |  | 280.00 |  |  | USD |  |  | 1,231 |  |  |  | (36,340 | )

SCHEDULES OF INVESTMENTS |  | 37

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Capital and Income Fund (CII)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Booking Holdings, Inc. |  |  | 3 |  |  |  | 07/31/20 |  |  | USD |  |  | 1,730.00 |  |  | USD |  |  | 478 |  |  | $ | (10,455 | )
BP PLC — ADR |  |  | 83 |  |  |  | 07/31/20 |  |  | USD |  |  | 25.50 |  |  | USD |  |  | 194 |  |  |  | (3,527 | )
Chevron Corp. |  |  | 43 |  |  |  | 07/31/20 |  |  | USD |  |  | 97.50 |  |  | USD |  |  | 384 |  |  |  | (5,203 | )
Cisco Systems, Inc. |  |  | 231 |  |  |  | 07/31/20 |  |  | USD |  |  | 48.00 |  |  | USD |  |  | 1,077 |  |  |  | (19,866 | )
Cisco Systems, Inc. |  |  | 83 |  |  |  | 07/31/20 |  |  | USD |  |  | 47.00 |  |  | USD |  |  | 387 |  |  |  | (10,790 | )
Comcast Corp., Class A |  |  | 70 |  |  |  | 07/31/20 |  |  | USD |  |  | 41.00 |  |  | USD |  |  | 273 |  |  |  | (5,670 | )
ConocoPhillips |  |  | 244 |  |  |  | 07/31/20 |  |  | USD |  |  | 46.00 |  |  | USD |  |  | 1,025 |  |  |  | (25,986 | )
Dollar Tree, Inc. |  |  | 508 |  |  |  | 07/31/20 |  |  | USD |  |  | 93.00 |  |  | USD |  |  | 4,708 |  |  |  | (200,660 | )
Facebook, Inc., Class A |  |  | 108 |  |  |  | 07/31/20 |  |  | USD |  |  | 232.50 |  |  | USD |  |  | 2,452 |  |  |  | (103,140 | )
General Motors Co. |  |  | 119 |  |  |  | 07/31/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 301 |  |  |  | (3,153 | )
JPMorgan Chase & Co. |  |  | 105 |  |  |  | 07/31/20 |  |  | USD |  |  | 106.00 |  |  | USD |  |  | 988 |  |  |  | (9,135 | )
Lowe’s Cos., Inc. |  |  | 103 |  |  |  | 07/31/20 |  |  | USD |  |  | 135.00 |  |  | USD |  |  | 1,392 |  |  |  | (52,788 | )
Microsoft Corp. |  |  | 112 |  |  |  | 07/31/20 |  |  | USD |  |  | 202.50 |  |  | USD |  |  | 2,279 |  |  |  | (83,720 | )
Pfizer, Inc. |  |  | 501 |  |  |  | 07/31/20 |  |  | USD |  |  | 34.50 |  |  | USD |  |  | 1,638 |  |  |  | (28,056 | )
Ross Stores, Inc. |  |  | 94 |  |  |  | 07/31/20 |  |  | USD |  |  | 97.00 |  |  | USD |  |  | 801 |  |  |  | (21,620 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 339 |  |  |  | 07/31/20 |  |  | USD |  |  | 57.00 |  |  | USD |  |  | 1,925 |  |  |  | (66,953 | )
U.S. Bancorp |  |  | 163 |  |  |  | 07/31/20 |  |  | USD |  |  | 40.50 |  |  | USD |  |  | 600 |  |  |  | (12,714 | )
UnitedHealth Group, Inc. |  |  | 63 |  |  |  | 07/31/20 |  |  | USD |  |  | 305.00 |  |  | USD |  |  | 1,858 |  |  |  | (49,298 | )
Visa, Inc., Class A |  |  | 174 |  |  |  | 07/31/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 3,361 |  |  |  | (61,770 | )
Walmart, Inc. |  |  | 141 |  |  |  | 07/31/20 |  |  | USD |  |  | 121.00 |  |  | USD |  |  | 1,689 |  |  |  | (32,430 | )
Altria Group, Inc. |  |  | 418 |  |  |  | 08/07/20 |  |  | USD |  |  | 41.00 |  |  | USD |  |  | 1,641 |  |  |  | (43,681 | )
Bank of America Corp. |  |  | 67 |  |  |  | 08/07/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 159 |  |  |  | (3,819 | )
BP PLC — ADR |  |  | 91 |  |  |  | 08/07/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 212 |  |  |  | (6,552 | )
Chevron Corp. |  |  | 96 |  |  |  | 08/07/20 |  |  | USD |  |  | 92.00 |  |  | USD |  |  | 857 |  |  |  | (33,168 | )
Cisco Systems, Inc. |  |  | 113 |  |  |  | 08/07/20 |  |  | USD |  |  | 45.50 |  |  | USD |  |  | 527 |  |  |  | (26,160 | )
Cisco Systems, Inc. |  |  | 57 |  |  |  | 08/07/20 |  |  | USD |  |  | 46.00 |  |  | USD |  |  | 266 |  |  |  | (11,685 | )
Cisco Systems, Inc. |  |  | 56 |  |  |  | 08/07/20 |  |  | USD |  |  | 46.50 |  |  | USD |  |  | 261 |  |  |  | (9,744 | )
Cognizant Technology Solutions Corp., Class A |  |  | 38 |  |  |  | 08/07/20 |  |  | USD |  |  | 58.00 |  |  | USD |  |  | 216 |  |  |  | (9,975 | )
Comcast Corp., Class A |  |  | 374 |  |  |  | 08/07/20 |  |  | USD |  |  | 39.50 |  |  | USD |  |  | 1,458 |  |  |  | (55,913 | )
ConocoPhillips |  |  | 410 |  |  |  | 08/07/20 |  |  | USD |  |  | 44.50 |  |  | USD |  |  | 1,723 |  |  |  | (69,495 | )
Dollar Tree, Inc. |  |  | 348 |  |  |  | 08/07/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 3,225 |  |  |  | (39,150 | )
JPMorgan Chase & Co. |  |  | 125 |  |  |  | 08/07/20 |  |  | USD |  |  | 98.00 |  |  | USD |  |  | 1,176 |  |  |  | (38,000 | )
Microsoft Corp. |  |  | 142 |  |  |  | 08/07/20 |  |  | USD |  |  | 207.50 |  |  | USD |  |  | 2,890 |  |  |  | (90,525 | )
Ross Stores, Inc. |  |  | 73 |  |  |  | 08/07/20 |  |  | USD |  |  | 87.00 |  |  | USD |  |  | 622 |  |  |  | (25,733 | )
U.S. Bancorp |  |  | 209 |  |  |  | 08/07/20 |  |  | USD |  |  | 38.50 |  |  | USD |  |  | 770 |  |  |  | (32,918 | )
Verizon Communications, Inc. |  |  | 28 |  |  |  | 08/07/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 154 |  |  |  | (4,130 | )
AES Corp. |  |  | 1,671 |  |  |  | 08/21/20 |  |  | USD |  |  | 14.00 |  |  | USD |  |  | 2,421 |  |  |  | (213,053 | )
Amazon.com, Inc. |  |  | 12 |  |  |  | 08/21/20 |  |  | USD |  |  | 2,780.00 |  |  | USD |  |  | 3,311 |  |  |  | (169,800 | )
Axalta Coating Systems Ltd. |  |  | 638 |  |  |  | 08/21/20 |  |  | USD |  |  | 23.00 |  |  | USD |  |  | 1,439 |  |  |  | (81,345 | )
Axalta Coating Systems Ltd. |  |  | 482 |  |  |  | 08/21/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 1,087 |  |  |  | (27,715 | )
Bank of America Corp. |  |  | 67 |  |  |  | 08/21/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 159 |  |  |  | (3,316 | )
Booking Holdings, Inc. |  |  | 4 |  |  |  | 08/21/20 |  |  | USD |  |  | 1,710.00 |  |  | USD |  |  | 637 |  |  |  | (27,740 | )
BP PLC — ADR |  |  | 83 |  |  |  | 08/21/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 194 |  |  |  | (4,482 | )
CBRE Group, Inc., Class A |  |  | 255 |  |  |  | 08/21/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 1,153 |  |  |  | (89,250 | )
CDK Global, Inc. |  |  | 354 |  |  |  | 08/21/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 1,466 |  |  |  | (44,250 | )
Chevron Corp. |  |  | 138 |  |  |  | 08/21/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 1,231 |  |  |  | (41,400 | )
Cognizant Technology Solutions Corp., Class A |  |  | 141 |  |  |  | 08/21/20 |  |  | USD |  |  | 57.50 |  |  | USD |  |  | 801 |  |  |  | (41,948 | )
Comcast Corp., Class A |  |  | 291 |  |  |  | 08/21/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 1,134 |  |  |  | (47,142 | )
Corteva, Inc. |  |  | 237 |  |  |  | 08/21/20 |  |  | USD |  |  | 29.00 |  |  | USD |  |  | 635 |  |  |  | (21,330 | )
Corteva, Inc. |  |  | 236 |  |  |  | 08/21/20 |  |  | USD |  |  | 28.00 |  |  | USD |  |  | 632 |  |  |  | (30,090 | )
Facebook, Inc., Class A |  |  | 125 |  |  |  | 08/21/20 |  |  | USD |  |  | 260.00 |  |  | USD |  |  | 2,838 |  |  |  | (36,250 | )
Fidelity National Financial, Inc. |  |  | 192 |  |  |  | 08/21/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 589 |  |  |  | (7,200 | )
Fidelity National Financial, Inc. |  |  | 191 |  |  |  | 08/21/20 |  |  | USD |  |  | 34.00 |  |  | USD |  |  | 586 |  |  |  | (14,802 | )
Fortive Corp. |  |  | 247 |  |  |  | 08/21/20 |  |  | USD |  |  | 69.00 |  |  | USD |  |  | 1,671 |  |  |  | (91,939 | )
General Motors Co. |  |  | 73 |  |  |  | 08/21/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 185 |  |  |  | (9,380 | )
Hubbell, Inc. |  |  | 86 |  |  |  | 08/21/20 |  |  | USD |  |  | 135.00 |  |  | USD |  |  | 1,078 |  |  |  | (26,660 | )
JPMorgan Chase & Co. |  |  | 116 |  |  |  | 08/21/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 1,091 |  |  |  | (35,612 | )
Koninklijke Philips NV — ADR |  |  | 481 |  |  |  | 08/21/20 |  |  | USD |  |  | 47.83 |  |  | USD |  |  | 2,253 |  |  |  | (78,403 | )
Microsoft Corp. |  |  | 237 |  |  |  | 08/21/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 4,823 |  |  |  | (151,088 | )
Novo Nordisk A/S — ADR |  |  | 339 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 2,220 |  |  |  | (38,985 | )
O’Reilly Automotive, Inc. |  |  | 120 |  |  |  | 08/21/20 |  |  | USD |  |  | 440.00 |  |  | USD |  |  | 5,060 |  |  |  | (180,000 | )
Otis Worldwide Corp. |  |  | 285 |  |  |  | 08/21/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,621 |  |  |  | (79,800 | )

38 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Capital and Income Fund (CII)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Quanta Services, Inc. |  |  | 599 |  |  |  | 08/21/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 2,350 |  |  | $ | (77,870 | )
Quanta Services, Inc. |  |  | 250 |  |  |  | 08/21/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 981 |  |  |  | (24,375 | )
Quanta Services, Inc. |  |  | 75 |  |  |  | 08/21/20 |  |  | USD |  |  | 39.00 |  |  | USD |  |  | 294 |  |  |  | (19,875 | )
Raymond James Financial, Inc. |  |  | 198 |  |  |  | 08/21/20 |  |  | USD |  |  | 80.00 |  |  | USD |  |  | 1,363 |  |  |  | (22,770 | )
Robert Half International, Inc. |  |  | 377 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,992 |  |  |  | (97,078 | )
Ross Stores, Inc. |  |  | 80 |  |  |  | 08/21/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 682 |  |  |  | (19,000 | )
Ross Stores, Inc. |  |  | 71 |  |  |  | 08/21/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 605 |  |  |  | (11,360 | )
Sanofi — ADR |  |  | 1,363 |  |  |  | 08/21/20 |  |  | USD |  |  | 52.26 |  |  | USD |  |  | 6,958 |  |  |  | (219,428 | )
U.S. Bancorp |  |  | 115 |  |  |  | 08/21/20 |  |  | USD |  |  | 42.50 |  |  | USD |  |  | 423 |  |  |  | (8,452 | )
Unilever NV — NY Shares |  |  | 235 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,252 |  |  |  | (25,850 | )
Verizon Communications, Inc. |  |  | 315 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,737 |  |  |  | (51,818 | )
Visa, Inc., Class A |  |  | 40 |  |  |  | 08/21/20 |  |  | USD |  |  | 205.00 |  |  | USD |  |  | 773 |  |  |  | (13,560 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (12,783,160 | )

OTC Options Written

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
AES Corp. |  | Bank of America N.A. |  |  | 111,400 |  |  |  | 07/08/20 |  |  |  | USD |  |  |  | 12.38 |  |  |  | USD |  |  |  | 1,614 |  |  | $ | (236,490 | )
BAE Systems PLC — ADR |  | JPMorgan Chase Bank N.A. |  |  | 62,600 |  |  |  | 07/15/20 |  |  |  | USD |  |  |  | 25.95 |  |  |  | USD |  |  |  | 1,502 |  |  |  | (25,234 | )
BAE Systems PLC — ADR |  | JPMorgan Chase Bank N.A. |  |  | 25,000 |  |  |  | 08/19/20 |  |  |  | USD |  |  |  | 25.14 |  |  |  | USD |  |  |  | 600 |  |  |  | (15,262 | )
BAE Systems PLC — ADR |  | Bank of America N.A. |  |  | 17,300 |  |  |  | 08/06/20 |  |  |  | USD |  |  |  | 25.46 |  |  |  | USD |  |  |  | 415 |  |  |  | (18,924 | )
BAE Systems PLC — ADR |  | JPMorgan Chase Bank N.A. |  |  | 15,900 |  |  |  | 07/28/20 |  |  |  | USD |  |  |  | 25.88 |  |  |  | USD |  |  |  | 382 |  |  |  | (12,085 | )
Hubbell, Inc. |  | Credit Suisse International |  |  | 22,600 |  |  |  | 07/20/20 |  |  |  | USD |  |  |  | 118.58 |  |  |  | USD |  |  |  | 2,833 |  |  |  | (210,903 | )
Koninklijke Philips NV — ADR |  | Credit Suisse International |  |  | 29,400 |  |  |  | 07/15/20 |  |  |  | USD |  |  |  | 41.97 |  |  |  | USD |  |  |  | 1,377 |  |  |  | (148,118 | )
Quanta Services, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 73,600 |  |  |  | 07/29/20 |  |  |  | USD |  |  |  | 40.64 |  |  |  | USD |  |  |  | 2,887 |  |  |  | (87,368 | )
Unilever NV — NY Shares |  | Bank of America N.A. |  |  | 25,900 |  |  |  | 07/08/20 |  |  |  | USD |  |  |  | 49.61 |  |  |  | USD |  |  |  | 1,380 |  |  |  | (95,787 | )
Unilever NV — NY Shares |  | Credit Suisse International |  |  | 24,200 |  |  |  | 09/09/20 |  |  |  | USD |  |  |  | 53.75 |  |  |  | USD |  |  |  | 1,289 |  |  |  | (44,709 | )
Unilever NV — NY Shares |  | Credit Suisse International |  |  | 17,600 |  |  |  | 07/22/20 |  |  |  | USD |  |  |  | 52.56 |  |  |  | USD |  |  |  | 938 |  |  |  | (50,941 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (945,821 | )

Balances Reported in the Statements of Assets and Liabilities for Options Written

|  | Swap Premium Paid |  |  | Swap Premium Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |  |  | Value |
Options Written |  |  | N/A |  |  |  | N/A |  |  | $ | 3,584,763 |  |  | $ | (5,521,024 | ) |  | $ | (13,728,981 | )

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written at value |  | $ | — |  |  | $ | — |  |  | $ | 13,728,981 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 13,728,981 |

SCHEDULES OF INVESTMENTS |  | 39

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Capital and Income Fund (CII)

Derivative Financial Instruments Categorized by Risk Exposure (continued)

For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | (20,598,491 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (20,598,491 | )
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | 655,814 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 655,814 |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Options: |
Average value of option contracts written |  | $ | 12,459,696 |

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |  |  |  |  |  |  |  |
Options |  | $ | — |  |  | $ | 13,728,981 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (12,783,160 | )
Total derivative assets and liabilities subject to an MNA |  | $ | — |  |  | $ | 945,821 |

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

Counterparty |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset |  |  | Non-cash Collateral Pledged (a) |  |  | Cash Collateral Pledged (a) |  |  | Net Amount of Derivative Liabilities |
Bank of America N.A. |  | $ | 351,201 |  |  | $ | — |  |  | $ | (351,201 | ) |  | $ | — |  |  | $ | — |
Credit Suisse International |  |  | 454,671 |  |  |  | — |  |  |  | — |  |  |  | (454,671 | ) |  |  | — |
JPMorgan Chase Bank N.A. |  |  | 139,949 |  |  |  | — |  |  |  | (139,949 | ) |  |  | — |  |  |  | — |
|  | $ | 945,821 |  |  | $ | — |  |  | $ | (491,150 | ) |  | $ | (454,671 | ) |  | $ | — |

| (a) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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 |  | $ | 710,933,182 |  |  | $ | — |  |  | $ | — |  |  | $ | 710,933,182 |
Short-Term Securities |  |  | 11,280,090 |  |  |  | — |  |  |  | — |  |  |  | 11,280,090 |
|  | $ | 722,213,272 |  |  | $ | — |  |  | $ | — |  |  | $ | 722,213,272 |
Derivative Financial Instruments(a) |
Liabilities: |
Equity contracts |  | $ | (12,393,390 | ) |  | $ | (1,335,591 | ) |  | $ | — |  |  | $ | (13,728,981 | )

The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

| (a) | Derivative financial instruments are options written. Options written are shown at value. |

See notes to financial statements.

40 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) June 30, 2020 |  | BlackRock Enhanced Equity Dividend Trust (BDJ) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Common Stocks — 99.4% |
Aerospace & Defense — 2.0% |
BAE Systems PLC |  |  | 5,018,436 |  |  | $ | 30,007,541 |
Air Freight & Logistics — 0.5% |
FedEx Corp.(a) |  |  | 53,750 |  |  |  | 7,536,825 |
Automobiles — 1.4% |
General Motors Co.(a) |  |  | 839,680 |  |  |  | 21,243,904 |
Banks — 10.7% |
Bank of America Corp.(a) |  |  | 2,233,352 |  |  |  | 53,042,110 |
Citigroup, Inc.(a) (b) |  |  | 1,030,792 |  |  |  | 52,673,471 |
JPMorgan Chase & Co.(a) (b) |  |  | 269,219 |  |  |  | 25,322,739 |
Wells Fargo & Co.(a) |  |  | 1,277,818 |  |  |  | 32,712,141 |
|  |  |  | 163,750,461 |
Beverages — 1.4% |
Constellation Brands, Inc., Class A(a) |  |  | 123,741 |  |  |  | 21,648,488 |
Capital Markets — 5.8% |
Charles Schwab Corp.(a) |  |  | 598,200 |  |  |  | 20,183,268 |
CME Group, Inc.(a) |  |  | 62,710 |  |  |  | 10,192,883 |
Morgan Stanley(a) |  |  | 697,706 |  |  |  | 33,699,200 |
Raymond James Financial, Inc.(a) |  |  | 354,610 |  |  |  | 24,407,806 |
|  |  |  | 88,483,157 |
Chemicals — 1.6% |
Corteva, Inc.(a)(c) |  |  | 364,551 |  |  |  | 9,766,321 |
DuPont de Nemours, Inc.(a) |  |  | 265,974 |  |  |  | 14,131,199 |
|  |  |  | 23,897,520 |
Communications Equipment — 2.0% |
Cisco Systems, Inc.(a) |  |  | 339,868 |  |  |  | 15,851,443 |
Motorola Solutions, Inc.(a) |  |  | 100,230 |  |  |  | 14,045,230 |
|  |  |  | 29,896,673 |
Consumer Finance — 0.6% |
American Express Co.(a) |  |  | 105,400 |  |  |  | 10,034,080 |
Diversified Financial Services — 2.2% |
Berkshire Hathaway, Inc., Class B(a) (c) |  |  | 124,625 |  |  |  | 22,246,809 |
Equitable Holdings, Inc.(a) |  |  | 579,562 |  |  |  | 11,179,751 |
|  |  |  | 33,426,560 |
Diversified Telecommunication Services — 4.4% |
Verizon Communications, Inc.(a) (b) |  |  | 1,216,250 |  |  |  | 67,051,863 |
Electric Utilities — 3.6% |
Edison International(a) |  |  | 262,790 |  |  |  | 14,272,125 |
FirstEnergy Corp.(a) (b) |  |  | 834,530 |  |  |  | 32,363,074 |
PPL Corp.(a) |  |  | 319,054 |  |  |  | 8,244,355 |
|  |  |  | 54,879,554 |
Food Products — 0.9% |
Nestle SA, Registered Shares |  |  | 127,108 |  |  |  | 14,092,543 |
Health Care Equipment & Supplies — 5.7% |
Alcon, Inc.(c) |  |  | 265,830 |  |  |  | 15,274,387 |
Koninklijke Philips NV(c) |  |  | 719,193 |  |  |  | 33,548,701 |
Medtronic PLC(a) |  |  | 409,309 |  |  |  | 37,533,635 |
|  |  |  | 86,356,723 |
Health Care Providers & Services — 7.2% |
Anthem, Inc.(a)(b) |  |  | 159,101 |  |  |  | 41,840,381 |
CVS Health Corp.(a) |  |  | 414,822 |  |  |  | 26,950,985 |
McKesson Corp.(a) |  |  | 91,066 |  |  |  | 13,971,346 |
Quest Diagnostics, Inc.(a) |  |  | 42,404 |  |  |  | 4,832,360 |
UnitedHealth Group, Inc.(a) |  |  | 73,080 |  |  |  | 21,554,946 |
|  |  |  | 109,150,018 |

Security |  | Shares |  |  | Value |
Household Durables — 0.7% |
Newell Brands, Inc.(a) |  |  | 667,896 |  |  | $ | 10,606,188 |
Industrial Conglomerates — 2.9% |
General Electric Co.(a) |  |  | 3,246,203 |  |  |  | 22,171,567 |
Siemens AG, Registered Shares |  |  | 186,180 |  |  |  | 21,957,528 |
|  |  |  | 44,129,095 |
Insurance — 7.3% |
Allstate Corp.(a) |  |  | 131,757 |  |  |  | 12,779,111 |
American International Group, Inc.(a) |  |  | 1,057,676 |  |  |  | 32,978,338 |
Arthur J Gallagher & Co.(a) |  |  | 277,288 |  |  |  | 27,032,807 |
Fidelity National Financial, Inc.(a) |  |  | 269,940 |  |  |  | 8,276,360 |
MetLife, Inc.(a) |  |  | 624,633 |  |  |  | 22,811,597 |
Willis Towers Watson PLC(a) |  |  | 36,410 |  |  |  | 7,170,950 |
|  |  |  | 111,049,163 |
IT Services — 3.6% |
Cognizant Technology Solutions Corp., Class A(a) |  |  | 609,619 |  |  |  | 34,638,552 |
Visa, Inc., Class A(a) |  |  | 104,413 |  |  |  | 20,169,459 |
|  |  |  | 54,808,011 |
Media — 3.1% |
Comcast Corp., Class A(a) |  |  | 816,675 |  |  |  | 31,833,991 |
Fox Corp., Class A(a) |  |  | 550,700 |  |  |  | 14,769,774 |
Fox Corp., Class B(c) |  |  | 26,570 |  |  |  | 713,139 |
|  |  |  | 47,316,904 |
Multi-Utilities — 2.0% |
NiSource, Inc.(a) |  |  | 193,480 |  |  |  | 4,399,735 |
Public Service Enterprise Group, Inc.(a) |  |  | 524,385 |  |  |  | 25,778,767 |
|  |  |  | 30,178,502 |
Multiline Retail — 0.7% |
Dollar General Corp.(a) |  |  | 54,572 |  |  |  | 10,396,512 |
Oil, Gas & Consumable Fuels — 8.4% |
BP PLC |  |  | 3,146,820 |  |  |  | 12,055,597 |
ConocoPhillips(a) |  |  | 408,460 |  |  |  | 17,163,489 |
Enterprise Products Partners LP(a) |  |  | 1,157,821 |  |  |  | 21,037,608 |
Equinor ASA |  |  | 1,142,170 |  |  |  | 16,453,721 |
Marathon Petroleum Corp.(a) |  |  | 625,376 |  |  |  | 23,376,555 |
Pioneer Natural Resources Co.(a) |  |  | 225,989 |  |  |  | 22,079,125 |
Williams Cos., Inc.(a) |  |  | 832,029 |  |  |  | 15,825,192 |
|  |  |  | 127,991,287 |
Personal Products — 2.2% |
Unilever NV — NY Shares(a) |  |  | 630,160 |  |  |  | 33,568,623 |
Pharmaceuticals — 6.5% |
AstraZeneca PLC |  |  | 226,698 |  |  |  | 23,593,459 |
Bayer AG, Registered Shares |  |  | 437,514 |  |  |  | 32,430,058 |
Pfizer, Inc.(a) |  |  | 360,488 |  |  |  | 11,787,958 |
Sanofi |  |  | 301,690 |  |  |  | 30,767,722 |
|  |  |  | 98,579,197 |
Road & Rail — 1.0% |
Union Pacific Corp.(a) |  |  | 94,690 |  |  |  | 16,009,238 |
Semiconductors & Semiconductor Equipment — 1.3% |
Applied Materials, Inc.(a) |  |  | 137,030 |  |  |  | 8,283,464 |
NXP Semiconductors NV(a) |  |  | 103,750 |  |  |  | 11,831,650 |
|  |  |  | 20,115,114 |
Software — 2.3% |
CDK Global, Inc.(a) |  |  | 160,450 |  |  |  | 6,645,839 |
Microsoft Corp.(a) |  |  | 136,540 |  |  |  | 27,787,255 |
Open Text Corp. |  |  | 17,970 |  |  |  | 763,366 |
|  |  |  | 35,196,460 |
Specialty Retail — 2.5% |
Lowe’s Cos., Inc.(a) |  |  | 118,770 |  |  |  | 16,048,203 |

SCHEDULES OF INVESTMENTS |  | 41

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Equity Dividend Trust (BDJ) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Specialty Retail (continued) |
Ross Stores, Inc.(a) |  |  | 163,600 |  |  | $ | 13,945,264 |
TJX Cos., Inc.(a) |  |  | 153,520 |  |  |  | 7,761,971 |
|  |  |  | 37,755,438 |
Technology Hardware, Storage & Peripherals — 1.6% |
Samsung Electronics Co. Ltd. — GDR |  |  | 22,649 |  |  |  | 24,760,208 |
Tobacco — 2.4% |
Altria Group, Inc.(a) |  |  | 877,976 |  |  |  | 34,460,558 |
Philip Morris International, Inc.(a) |  |  | 40,940 |  |  |  | 2,868,256 |
|  |  |  | 37,328,814 |
Trading Companies & Distributors — 0.9% |
Ferguson PLC |  |  | 178,110 |  |  |  | 14,563,438 |
Total Common Stocks — 99.4% (Cost — $1,376,031,397) |  |  |  | 1,515,808,102 |
Preferred Stock — 1.3% |
Household Products — 1.3% |
Henkel AG & Co. KGaA, Preference Shares, 0.00% |  |  | 203,170 |  |  |  | 18,954,477 |
Total Preferred Securities — 1.3% (Cost — $18,703,928) |  |  |  | 18,954,477 |
Total Long-Term Investments — 100.7% (Cost — $1,394,735,325) |  |  |  | 1,534,762,579 |

Security |  | Shares |  |  | Value |
Short-Term Securities — 0.5% |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(d)(e) |  |  | 8,249,540 |  |  | $ | 8,249,540 |
Total Short-Term Securities — 0.5% (Cost — $8,249,540) |  |  |  | 8,249,540 |
Total Investments Before Options Written — 101.2% (Cost — $1,402,984,865) |  |  |  | 1,543,012,119 |
Options Written — (1.3)% (Premiums Received — $25,160,970) |  |  |  | (19,243,435 | )
Total Investments, Net of Options Written — 99.9% (Cost — $1,377,823,895) |  |  |  | 1,523,768,684 |
Other Assets Less Liabilities — 0.1% |  |  |  | 925,977 |
Net Assets — 100.0% |  |  | $ | 1,524,694,661 |

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

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

(c) | Non-income producing security.

(d) | Annualized 7-day yield as of period end.

(e) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Shares Held at 12/31/19 |  |  | Shares Purchased |  |  | Shares Sold |  |  | Shares Held at 06/30/20 |  |  | Value at 06/30/20 |  |  | Income |  |  | Net Realized Gain (Loss) (a) |  |  | Change in Unrealized Appreciation (Depreciation) |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  |  | — |  |  |  | 8,249,540 | (b) |  |  | — |  |  |  | 8,249,540 |  |  | $ | 8,249,540 |  |  | $ | 28,938 |  |  | $ | — |  |  | $ | — |

| (a) | Includes net capital gain distributions, if applicable. |

| (b) | Represents net shares purchased (sold). |

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector 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 such sector sub-classifications for reporting ease.

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |
Altria Group, Inc. |  |  | 491 |  |  |  | 07/10/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 1,927 |  |  | $ | (21,358 | )
Altria Group, Inc. |  |  | 490 |  |  |  | 07/02/20 |  |  | USD |  |  | 40.50 |  |  | USD |  |  | 1,923 |  |  |  | (1,960 | )
American Express Co. |  |  | 165 |  |  |  | 07/02/20 |  |  | USD |  |  | 104.00 |  |  | USD |  |  | 1,571 |  |  |  | (2,145 | )
American International Group, Inc. |  |  | 328 |  |  |  | 07/10/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 1,023 |  |  |  | (3,280 | )
Anthem, Inc. |  |  | 159 |  |  |  | 07/10/20 |  |  | USD |  |  | 300.00 |  |  | USD |  |  | 4,181 |  |  |  | (7,473 | )
Anthem, Inc. |  |  | 97 |  |  |  | 07/02/20 |  |  | USD |  |  | 290.00 |  |  | USD |  |  | 2,551 |  |  |  | (17,945 | )
AXA Equitable Holdings, Inc. |  |  | 987 |  |  |  | 07/10/20 |  |  | USD |  |  | 21.01 |  |  | USD |  |  | 1,904 |  |  |  | (20,133 | )
Bank of America Corp. |  |  | 1,323 |  |  |  | 07/02/20 |  |  | USD |  |  | 26.50 |  |  | USD |  |  | 3,142 |  |  |  | (1,984 | )
Bank of America Corp. |  |  | 1,051 |  |  |  | 07/02/20 |  |  | USD |  |  | 25.50 |  |  | USD |  |  | 2,496 |  |  |  | (2,627 | )
Bank of America Corp. |  |  | 1,023 |  |  |  | 07/02/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 2,430 |  |  |  | (5,626 | )
Charles Schwab Corp. |  |  | 223 |  |  |  | 07/02/20 |  |  | USD |  |  | 35.50 |  |  | USD |  |  | 752 |  |  |  | (4,460 | )
Charles Schwab Corp. |  |  | 139 |  |  |  | 07/02/20 |  |  | USD |  |  | 36.50 |  |  | USD |  |  | 469 |  |  |  | (3,475 | )
Charles Schwab Corp. |  |  | 139 |  |  |  | 07/02/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 469 |  |  |  | (2,780 | )

42 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Equity Dividend Trust (BDJ)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Cisco Systems, Inc. |  |  | 98 |  |  |  | 07/02/20 |  |  | USD |  |  | 47.00 |  |  | USD |  |  | 457 |  |  | $ | (2,352 | )
Citigroup, Inc. |  |  | 702 |  |  |  | 07/02/20 |  |  | USD |  |  | 54.00 |  |  | USD |  |  | 3,587 |  |  |  | (8,073 | )
Citigroup, Inc. |  |  | 511 |  |  |  | 07/02/20 |  |  | USD |  |  | 49.50 |  |  | USD |  |  | 2,611 |  |  |  | (96,835 | )
CME Group, Inc. |  |  | 105 |  |  |  | 07/02/20 |  |  | USD |  |  | 187.50 |  |  | USD |  |  | 1,707 |  |  |  | (2,100 | )
Cognizant Technology Solutions Corp., Class A |  |  | 748 |  |  |  | 07/02/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 4,250 |  |  |  | (164,560 | )
Fox Corp., Class A |  |  | 530 |  |  |  | 07/02/20 |  |  | USD |  |  | 29.00 |  |  | USD |  |  | 1,421 |  |  |  | (119,250 | )
General Electric Co. |  |  | 5,004 |  |  |  | 07/02/20 |  |  | USD |  |  | 7.00 |  |  | USD |  |  | 3,418 |  |  |  | (32,526 | )
General Motors Co. |  |  | 681 |  |  |  | 07/02/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 1,723 |  |  |  | (4,426 | )
MetLife, Inc. |  |  | 1,232 |  |  |  | 07/02/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 4,499 |  |  |  | (26,488 | )
MetLife, Inc. |  |  | 406 |  |  |  | 07/02/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 1,483 |  |  |  | (70,847 | )
Microsoft Corp. |  |  | 71 |  |  |  | 07/02/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 1,445 |  |  |  | (132,415 | )
Ross Stores, Inc. |  |  | 116 |  |  |  | 07/02/20 |  |  | USD |  |  | 103.00 |  |  | USD |  |  | 989 |  |  |  | (8,120 | )
Union Pacific Corp. |  |  | 141 |  |  |  | 07/02/20 |  |  | USD |  |  | 175.00 |  |  | USD |  |  | 2,384 |  |  |  | (16,356 | )
Visa, Inc., Class A |  |  | 110 |  |  |  | 07/02/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 2,125 |  |  |  | (8,415 | )
Wells Fargo & Co. |  |  | 678 |  |  |  | 07/02/20 |  |  | USD |  |  | 26.50 |  |  | USD |  |  | 1,736 |  |  |  | (11,187 | )
Bank of America Corp. |  |  | 1,632 |  |  |  | 07/10/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 3,876 |  |  |  | (16,320 | )
Bank of America Corp. |  |  | 1,324 |  |  |  | 07/10/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 3,145 |  |  |  | (5,296 | )
Bank of America Corp. |  |  | 384 |  |  |  | 07/10/20 |  |  | USD |  |  | 29.50 |  |  | USD |  |  | 912 |  |  |  | (768 | )
Berkshire Hathaway, Inc., Class B |  |  | 194 |  |  |  | 07/10/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 3,463 |  |  |  | (6,984 | )
Charles Schwab Corp. |  |  | 268 |  |  |  | 07/10/20 |  |  | USD |  |  | 39.50 |  |  | USD |  |  | 904 |  |  |  | (4,020 | )
Cisco Systems, Inc. |  |  | 330 |  |  |  | 07/10/20 |  |  | USD |  |  | 47.00 |  |  | USD |  |  | 1,539 |  |  |  | (19,470 | )
Citigroup, Inc. |  |  | 405 |  |  |  | 07/10/20 |  |  | USD |  |  | 57.00 |  |  | USD |  |  | 2,070 |  |  |  | (5,872 | )
Cognizant Technology Solutions Corp., Class A |  |  | 187 |  |  |  | 07/10/20 |  |  | USD |  |  | 57.00 |  |  | USD |  |  | 1,063 |  |  |  | (24,310 | )
Comcast Corp., Class A |  |  | 634 |  |  |  | 07/10/20 |  |  | USD |  |  | 41.50 |  |  | USD |  |  | 2,471 |  |  |  | (6,340 | )
Comcast Corp., Class A |  |  | 272 |  |  |  | 07/10/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 1,060 |  |  |  | (544 | )
ConocoPhillips |  |  | 449 |  |  |  | 07/10/20 |  |  | USD |  |  | 52.00 |  |  | USD |  |  | 1,887 |  |  |  | (3,143 | )
General Electric Co. |  |  | 4,461 |  |  |  | 07/10/20 |  |  | USD |  |  | 8.50 |  |  | USD |  |  | 3,047 |  |  |  | (6,691 | )
General Motors Co. |  |  | 227 |  |  |  | 07/10/20 |  |  | USD |  |  | 29.50 |  |  | USD |  |  | 574 |  |  |  | (1,475 | )
JPMorgan Chase & Co. |  |  | 328 |  |  |  | 07/10/20 |  |  | USD |  |  | 114.00 |  |  | USD |  |  | 3,085 |  |  |  | (2,132 | )
Marathon Petroleum Corp. |  |  | 345 |  |  |  | 07/10/20 |  |  | USD |  |  | 44.00 |  |  | USD |  |  | 1,290 |  |  |  | (6,382 | )
Microsoft Corp. |  |  | 142 |  |  |  | 07/10/20 |  |  | USD |  |  | 187.50 |  |  | USD |  |  | 2,890 |  |  |  | (241,400 | )
Microsoft Corp. |  |  | 66 |  |  |  | 07/10/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 1,343 |  |  |  | (35,145 | )
NXP Semiconductors NV |  |  | 138 |  |  |  | 07/10/20 |  |  | USD |  |  | 109.00 |  |  | USD |  |  | 1,574 |  |  |  | (97,635 | )
Ross Stores, Inc. |  |  | 240 |  |  |  | 07/10/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 2,046 |  |  |  | (36,000 | )
Verizon Communications, Inc. |  |  | 749 |  |  |  | 07/10/20 |  |  | USD |  |  | 57.00 |  |  | USD |  |  | 4,129 |  |  |  | (8,988 | )
Verizon Communications, Inc. |  |  | 534 |  |  |  | 07/10/20 |  |  | USD |  |  | 58.00 |  |  | USD |  |  | 2,944 |  |  |  | (3,204 | )
Visa, Inc., Class A |  |  | 140 |  |  |  | 07/10/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 2,704 |  |  |  | (11,410 | )
Wells Fargo & Co. |  |  | 703 |  |  |  | 07/10/20 |  |  | USD |  |  | 31.00 |  |  | USD |  |  | 1,800 |  |  |  | (3,515 | )
AXA Equitable Holdings, Inc. |  |  | 927 |  |  |  | 07/17/20 |  |  | USD |  |  | 21.01 |  |  | USD |  |  | 1,788 |  |  |  | (34,771 | )
Allstate Corp. |  |  | 308 |  |  |  | 07/17/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 2,987 |  |  |  | (38,808 | )
Allstate Corp. |  |  | 107 |  |  |  | 07/17/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 1,038 |  |  |  | (3,638 | )
Altria Group, Inc. |  |  | 1,099 |  |  |  | 07/17/20 |  |  | USD |  |  | 42.50 |  |  | USD |  |  | 4,314 |  |  |  | (19,232 | )
American International Group, Inc. |  |  | 1,019 |  |  |  | 07/17/20 |  |  | USD |  |  | 32.00 |  |  | USD |  |  | 3,177 |  |  |  | (112,600 | )
American International Group, Inc. |  |  | 814 |  |  |  | 07/17/20 |  |  | USD |  |  | 34.00 |  |  | USD |  |  | 2,538 |  |  |  | (39,072 | )
Anthem, Inc. |  |  | 221 |  |  |  | 07/17/20 |  |  | USD |  |  | 290.00 |  |  | USD |  |  | 5,812 |  |  |  | (17,790 | )
Applied Materials, Inc. |  |  | 376 |  |  |  | 07/17/20 |  |  | USD |  |  | 62.50 |  |  | USD |  |  | 2,273 |  |  |  | (48,128 | )
Arthur J Gallagher & Co. |  |  | 893 |  |  |  | 07/17/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 8,706 |  |  |  | (763,515 | )
Arthur J Gallagher & Co. |  |  | 536 |  |  |  | 07/17/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 5,225 |  |  |  | (69,680 | )
Arthur J Gallagher & Co. |  |  | 96 |  |  |  | 07/17/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 936 |  |  |  | (39,840 | )
Bank of America Corp. |  |  | 1,324 |  |  |  | 07/17/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 3,145 |  |  |  | (20,522 | )
Bank of America Corp. |  |  | 836 |  |  |  | 07/17/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 1,986 |  |  |  | (43,054 | )
Bank of America Corp. |  |  | 369 |  |  |  | 07/17/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 876 |  |  |  | (10,332 | )
Berkshire Hathaway, Inc., Class B |  |  | 253 |  |  |  | 07/17/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 4,516 |  |  |  | (21,632 | )
CVS Health Corp. |  |  | 460 |  |  |  | 07/17/20 |  |  | USD |  |  | 67.50 |  |  | USD |  |  | 2,989 |  |  |  | (31,740 | )
Charles Schwab Corp. |  |  | 222 |  |  |  | 07/17/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 749 |  |  |  | (8,325 | )
Charles Schwab Corp. |  |  | 222 |  |  |  | 07/17/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 749 |  |  |  | (2,220 | )
Cisco Systems, Inc. |  |  | 358 |  |  |  | 07/17/20 |  |  | USD |  |  | 46.00 |  |  | USD |  |  | 1,670 |  |  |  | (49,404 | )
Citigroup, Inc. |  |  | 809 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 4,134 |  |  |  | (80,091 | )
CME Group, Inc. |  |  | 86 |  |  |  | 07/17/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 1,398 |  |  |  | (4,300 | )
CME Group, Inc. |  |  | 33 |  |  |  | 07/17/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 536 |  |  |  | (577 | )
Cognizant Technology Solutions Corp., Class A |  |  | 747 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 4,244 |  |  |  | (194,220 | )

SCHEDULES OF INVESTMENTS |  | 43

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Equity Dividend Trust (BDJ)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Comcast Corp., Class A |  |  | 1,604 |  |  |  | 07/17/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 6,252 |  |  | $ | (328,820 | )
ConocoPhillips |  |  | 629 |  |  |  | 07/17/20 |  |  | USD |  |  | 46.00 |  |  | USD |  |  | 2,643 |  |  |  | (35,224 | )
ConocoPhillips |  |  | 85 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 357 |  |  |  | (977 | )
Constellation Brands, Inc., Class A |  |  | 77 |  |  |  | 07/17/20 |  |  | USD |  |  | 175.00 |  |  | USD |  |  | 1,347 |  |  |  | (54,285 | )
Corteva, Inc. |  |  | 960 |  |  |  | 07/17/20 |  |  | USD |  |  | 29.00 |  |  | USD |  |  | 2,572 |  |  |  | (24,000 | )
DuPont de Nemours, Inc. |  |  | 292 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 1,551 |  |  |  | (116,070 | )
Edison International |  |  | 121 |  |  |  | 07/17/20 |  |  | USD |  |  | 62.50 |  |  | USD |  |  | 657 |  |  |  | (1,815 | )
Edison International |  |  | 203 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 1,102 |  |  |  | (2,537 | )
Edison International |  |  | 373 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 2,026 |  |  |  | (8,392 | )
Enterprise Products Partners LP |  |  | 2,667 |  |  |  | 07/17/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 4,846 |  |  |  | (20,002 | )
FedEx Corp. |  |  | 149 |  |  |  | 07/17/20 |  |  | USD |  |  | 130.00 |  |  | USD |  |  | 2,089 |  |  |  | (192,583 | )
Fidelity National Financial, Inc. |  |  | 257 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 788 |  |  |  | (39,193 | )
Fidelity National Financial, Inc. |  |  | 500 |  |  |  | 07/17/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 1,533 |  |  |  | (5,000 | )
FirstEnergy Corp. |  |  | 681 |  |  |  | 07/17/20 |  |  | USD |  |  | 47.00 |  |  | USD |  |  | 2,641 |  |  |  | (6,810 | )
FirstEnergy Corp. |  |  | 1,332 |  |  |  | 07/17/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 5,165 |  |  |  | (6,660 | )
Fox Corp., Class A |  |  | 530 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 1,421 |  |  |  | (10,600 | )
General Electric Co. |  |  | 1,520 |  |  |  | 07/17/20 |  |  | USD |  |  | 7.00 |  |  | USD |  |  | 1,038 |  |  |  | (41,800 | )
General Motors Co. |  |  | 409 |  |  |  | 07/17/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 1,035 |  |  |  | (21,063 | )
JPMorgan Chase & Co. |  |  | 167 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 1,571 |  |  |  | (2,254 | )
Lowe’s Cos., Inc. |  |  | 192 |  |  |  | 07/17/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 2,594 |  |  |  | (297,600 | )
Lowe’s Cos., Inc. |  |  | 334 |  |  |  | 07/17/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 4,513 |  |  |  | (373,245 | )
Marathon Petroleum Corp. |  |  | 590 |  |  |  | 07/17/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 2,205 |  |  |  | (127,735 | )
McKesson Corp. |  |  | 323 |  |  |  | 07/17/20 |  |  | USD |  |  | 165.00 |  |  | USD |  |  | 4,955 |  |  |  | (23,418 | )
Medtronic PLC |  |  | 1,044 |  |  |  | 07/17/20 |  |  | USD |  |  | 97.50 |  |  | USD |  |  | 9,573 |  |  |  | (48,024 | )
MetLife, Inc. |  |  | 593 |  |  |  | 07/17/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 2,166 |  |  |  | (144,099 | )
Microsoft Corp. |  |  | 256 |  |  |  | 07/17/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 5,210 |  |  |  | (354,560 | )
Motorola Solutions, Inc. |  |  | 355 |  |  |  | 07/17/20 |  |  | USD |  |  | 140.00 |  |  | USD |  |  | 4,975 |  |  |  | (149,100 | )
Newell Brands, Inc. |  |  | 4,341 |  |  |  | 07/17/20 |  |  | USD |  |  | 16.00 |  |  | USD |  |  | 6,894 |  |  |  | (249,608 | )
NiSource, Inc. |  |  | 416 |  |  |  | 07/17/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 946 |  |  |  | (49,920 | )
NiSource, Inc. |  |  | 324 |  |  |  | 07/17/20 |  |  | USD |  |  | 24.00 |  |  | USD |  |  | 737 |  |  |  | (5,670 | )
NXP Semiconductors NV |  |  | 99 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 1,129 |  |  |  | (44,550 | )
PPL Corp. |  |  | 877 |  |  |  | 07/17/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 2,266 |  |  |  | (26,310 | )
Pfizer, Inc. |  |  | 809 |  |  |  | 07/17/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 2,645 |  |  |  | (2,831 | )
Philip Morris International, Inc. |  |  | 158 |  |  |  | 07/17/20 |  |  | USD |  |  | 72.50 |  |  | USD |  |  | 1,107 |  |  |  | (10,665 | )
Pioneer Natural Resources Co. |  |  | 189 |  |  |  | 07/17/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 1,847 |  |  |  | (14,175 | )
Public Service Enterprise Group, Inc. |  |  | 1,762 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 8,662 |  |  |  | (132,150 | )
Public Service Enterprise Group, Inc. |  |  | 244 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,200 |  |  |  | (3,660 | )
Quest Diagnostics, Inc. |  |  | 65 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 741 |  |  |  | (15,437 | )
Raymond James Financial, Inc. |  |  | 506 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 3,483 |  |  |  | (265,650 | )
Raymond James Financial, Inc. |  |  | 353 |  |  |  | 07/17/20 |  |  | USD |  |  | 87.50 |  |  | USD |  |  | 2,430 |  |  |  | (14,120 | )
Raymond James Financial, Inc. |  |  | 110 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 757 |  |  |  | (23,650 | )
Ross Stores, Inc. |  |  | 240 |  |  |  | 07/17/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 2,046 |  |  |  | (5,400 | )
TJX Cos., Inc. |  |  | 844 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 4,267 |  |  |  | (8,440 | )
Unilever NV — NY Shares |  |  | 1,041 |  |  |  | 07/17/20 |  |  | USD |  |  | 51.75 |  |  | USD |  |  | 5,545 |  |  |  | (232,945 | )
UnitedHealth Group, Inc. |  |  | 225 |  |  |  | 07/17/20 |  |  | USD |  |  | 300.00 |  |  | USD |  |  | 6,636 |  |  |  | (154,125 | )
Verizon Communications, Inc. |  |  | 972 |  |  |  | 07/17/20 |  |  | USD |  |  | 57.50 |  |  | USD |  |  | 5,359 |  |  |  | (14,580 | )
Visa, Inc., Class A |  |  | 140 |  |  |  | 07/17/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 2,704 |  |  |  | (47,040 | )
Wells Fargo & Co. |  |  | 1,199 |  |  |  | 07/17/20 |  |  | USD |  |  | 27.50 |  |  | USD |  |  | 3,069 |  |  |  | (66,545 | )
Williams Cos., Inc. |  |  | 1,234 |  |  |  | 07/17/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 2,347 |  |  |  | (33,318 | )
Willis Towers Watson PLC |  |  | 100 |  |  |  | 07/17/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 1,970 |  |  |  | (33,250 | )
AXA Equitable Holdings, Inc. |  |  | 987 |  |  |  | 07/24/20 |  |  | USD |  |  | 21.01 |  |  | USD |  |  | 1,904 |  |  |  | (53,309 | )
Altria Group, Inc. |  |  | 1,099 |  |  |  | 07/24/20 |  |  | USD |  |  | 43.50 |  |  | USD |  |  | 4,314 |  |  |  | (89,019 | )
American Express Co. |  |  | 207 |  |  |  | 07/24/20 |  |  | USD |  |  | 113.00 |  |  | USD |  |  | 1,971 |  |  |  | (4,450 | )
American International Group, Inc. |  |  | 603 |  |  |  | 07/24/20 |  |  | USD |  |  | 39.00 |  |  | USD |  |  | 1,880 |  |  |  | (9,949 | )
American International Group, Inc. |  |  | 529 |  |  |  | 07/24/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 1,649 |  |  |  | (23,805 | )
Anthem, Inc. |  |  | 159 |  |  |  | 07/24/20 |  |  | USD |  |  | 300.00 |  |  | USD |  |  | 4,181 |  |  |  | (8,586 | )
Bank of America Corp. |  |  | 484 |  |  |  | 07/24/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 1,150 |  |  |  | (10,890 | )
Bank of America Corp. |  |  | 276 |  |  |  | 07/24/20 |  |  | USD |  |  | 25.50 |  |  | USD |  |  | 656 |  |  |  | (13,524 | )
Bank of America Corp. |  |  | 253 |  |  |  | 07/24/20 |  |  | USD |  |  | 30.50 |  |  | USD |  |  | 601 |  |  |  | (885 | )
Berkshire Hathaway, Inc., Class B |  |  | 238 |  |  |  | 07/24/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 4,249 |  |  |  | (36,890 | )
CVS Health Corp. |  |  | 506 |  |  |  | 07/24/20 |  |  | USD |  |  | 72.00 |  |  | USD |  |  | 3,287 |  |  |  | (15,180 | )
CME Group, Inc. |  |  | 63 |  |  |  | 07/24/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 1,024 |  |  |  | (13,860 | )

44 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Equity Dividend Trust (BDJ)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Charles Schwab Corp. |  |  | 612 |  |  |  | 07/24/20 |  |  | USD |  |  | 39.50 |  |  | USD |  |  | 2,065 |  |  | $ | (39,780 | )
Cisco Systems, Inc. |  |  | 347 |  |  |  | 07/24/20 |  |  | USD |  |  | 48.50 |  |  | USD |  |  | 1,618 |  |  |  | (19,085 | )
Citigroup, Inc. |  |  | 482 |  |  |  | 07/24/20 |  |  | USD |  |  | 56.50 |  |  | USD |  |  | 2,463 |  |  |  | (43,139 | )
Citigroup, Inc. |  |  | 202 |  |  |  | 07/24/20 |  |  | USD |  |  | 57.00 |  |  | USD |  |  | 1,032 |  |  |  | (16,261 | )
Cognizant Technology Solutions Corp., Class A |  |  | 494 |  |  |  | 07/24/20 |  |  | USD |  |  | 56.50 |  |  | USD |  |  | 2,807 |  |  |  | (121,030 | )
ConocoPhillips |  |  | 85 |  |  |  | 07/24/20 |  |  | USD |  |  | 50.50 |  |  | USD |  |  | 357 |  |  |  | (2,082 | )
Constellation Brands, Inc., Class A |  |  | 242 |  |  |  | 07/24/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 4,234 |  |  |  | (65,340 | )
Dollar General Corp. |  |  | 300 |  |  |  | 07/24/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 5,715 |  |  |  | (74,250 | )
DuPont de Nemours, Inc. |  |  | 470 |  |  |  | 07/24/20 |  |  | USD |  |  | 53.50 |  |  | USD |  |  | 2,497 |  |  |  | (104,575 | )
Enterprise Products Partners LP |  |  | 1,721 |  |  |  | 07/24/20 |  |  | USD |  |  | 19.50 |  |  | USD |  |  | 3,127 |  |  |  | (43,025 | )
Fox Corp., Class A |  |  | 907 |  |  |  | 07/24/20 |  |  | USD |  |  | 31.50 |  |  | USD |  |  | 2,433 |  |  |  | (13,605 | )
General Electric Co. |  |  | 887 |  |  |  | 07/24/20 |  |  | USD |  |  | 8.50 |  |  | USD |  |  | 606 |  |  |  | (3,991 | )
General Motors Co. |  |  | 392 |  |  |  | 07/24/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 992 |  |  |  | (5,684 | )
General Motors Co. |  |  | 171 |  |  |  | 07/24/20 |  |  | USD |  |  | 33.50 |  |  | USD |  |  | 433 |  |  |  | (2,565 | )
JPMorgan Chase & Co. |  |  | 167 |  |  |  | 07/24/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 1,571 |  |  |  | (3,006 | )
Marathon Petroleum Corp. |  |  | 610 |  |  |  | 07/24/20 |  |  | USD |  |  | 46.50 |  |  | USD |  |  | 2,280 |  |  |  | (23,790 | )
Medtronic PLC |  |  | 221 |  |  |  | 07/24/20 |  |  | USD |  |  | 96.00 |  |  | USD |  |  | 2,027 |  |  |  | (28,509 | )
MetLife, Inc. |  |  | 405 |  |  |  | 07/24/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 1,479 |  |  |  | (52,245 | )
Microsoft Corp. |  |  | 67 |  |  |  | 07/24/20 |  |  | USD |  |  | 192.50 |  |  | USD |  |  | 1,364 |  |  |  | (87,268 | )
Morgan Stanley |  |  | 1,307 |  |  |  | 07/24/20 |  |  | USD |  |  | 52.50 |  |  | USD |  |  | 6,313 |  |  |  | (91,490 | )
NXP Semiconductors NV |  |  | 166 |  |  |  | 07/24/20 |  |  | USD |  |  | 117.00 |  |  | USD |  |  | 1,893 |  |  |  | (92,545 | )
Pfizer, Inc. |  |  | 809 |  |  |  | 07/24/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 2,645 |  |  |  | (4,045 | )
Philip Morris International, Inc. |  |  | 33 |  |  |  | 07/24/20 |  |  | USD |  |  | 76.00 |  |  | USD |  |  | 231 |  |  |  | (1,485 | )
Pioneer Natural Resources Co. |  |  | 332 |  |  |  | 07/24/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 3,244 |  |  |  | (92,130 | )
Union Pacific Corp. |  |  | 180 |  |  |  | 07/24/20 |  |  | USD |  |  | 177.50 |  |  | USD |  |  | 3,043 |  |  |  | (72,900 | )
Verizon Communications, Inc. |  |  | 1,481 |  |  |  | 07/24/20 |  |  | USD |  |  | 58.00 |  |  | USD |  |  | 8,165 |  |  |  | (37,025 | )
Wells Fargo & Co. |  |  | 648 |  |  |  | 07/24/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 1,659 |  |  |  | (5,184 | )
Wells Fargo & Co. |  |  | 351 |  |  |  | 07/24/20 |  |  | USD |  |  | 31.50 |  |  | USD |  |  | 899 |  |  |  | (5,440 | )
Williams Cos., Inc. |  |  | 860 |  |  |  | 07/24/20 |  |  | USD |  |  | 19.50 |  |  | USD |  |  | 1,636 |  |  |  | (51,170 | )
Altria Group, Inc. |  |  | 812 |  |  |  | 07/31/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 3,187 |  |  |  | (28,826 | )
American Express Co. |  |  | 207 |  |  |  | 07/31/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 1,971 |  |  |  | (48,956 | )
American International Group, Inc. |  |  | 2,524 |  |  |  | 07/31/20 |  |  | USD |  |  | 34.00 |  |  | USD |  |  | 7,870 |  |  |  | (241,042 | )
Bank of America Corp. |  |  | 1,002 |  |  |  | 07/31/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 2,380 |  |  |  | (50,100 | )
Charles Schwab Corp. |  |  | 714 |  |  |  | 07/31/20 |  |  | USD |  |  | 39.50 |  |  | USD |  |  | 2,409 |  |  |  | (16,065 | )
Cisco Systems, Inc. |  |  | 389 |  |  |  | 07/31/20 |  |  | USD |  |  | 48.00 |  |  | USD |  |  | 1,814 |  |  |  | (33,454 | )
Citigroup, Inc. |  |  | 405 |  |  |  | 07/31/20 |  |  | USD |  |  | 59.00 |  |  | USD |  |  | 2,070 |  |  |  | (26,528 | )
Citigroup, Inc. |  |  | 202 |  |  |  | 07/31/20 |  |  | USD |  |  | 59.50 |  |  | USD |  |  | 1,032 |  |  |  | (11,716 | )
CME Group, Inc. |  |  | 86 |  |  |  | 07/31/20 |  |  | USD |  |  | 175.00 |  |  | USD |  |  | 1,398 |  |  |  | (16,770 | )
Comcast Corp., Class A |  |  | 719 |  |  |  | 07/31/20 |  |  | USD |  |  | 41.00 |  |  | USD |  |  | 2,803 |  |  |  | (58,239 | )
ConocoPhillips |  |  | 705 |  |  |  | 07/31/20 |  |  | USD |  |  | 46.00 |  |  | USD |  |  | 2,962 |  |  |  | (75,083 | )
Constellation Brands, Inc., Class A |  |  | 361 |  |  |  | 07/31/20 |  |  | USD |  |  | 180.00 |  |  | USD |  |  | 6,316 |  |  |  | (258,115 | )
CVS Health Corp. |  |  | 277 |  |  |  | 07/31/20 |  |  | USD |  |  | 67.00 |  |  | USD |  |  | 1,800 |  |  |  | (31,163 | )
Enterprise Products Partners LP |  |  | 631 |  |  |  | 07/31/20 |  |  | USD |  |  | 21.00 |  |  | USD |  |  | 1,147 |  |  |  | (22,085 | )
FedEx Corp. |  |  | 146 |  |  |  | 07/31/20 |  |  | USD |  |  | 145.00 |  |  | USD |  |  | 2,047 |  |  |  | (81,760 | )
Fox Corp., Class A |  |  | 1,061 |  |  |  | 07/31/20 |  |  | USD |  |  | 31.00 |  |  | USD |  |  | 2,846 |  |  |  | (26,525 | )
General Electric Co. |  |  | 5,095 |  |  |  | 07/31/20 |  |  | USD |  |  | 8.50 |  |  | USD |  |  | 3,480 |  |  |  | (40,760 | )
General Motors Co. |  |  | 682 |  |  |  | 07/31/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 1,725 |  |  |  | (18,073 | )
JPMorgan Chase & Co. |  |  | 532 |  |  |  | 07/31/20 |  |  | USD |  |  | 106.00 |  |  | USD |  |  | 5,004 |  |  |  | (46,284 | )
Lowe’s Cos., Inc. |  |  | 127 |  |  |  | 07/31/20 |  |  | USD |  |  | 135.00 |  |  | USD |  |  | 1,716 |  |  |  | (65,088 | )
Marathon Petroleum Corp. |  |  | 610 |  |  |  | 07/31/20 |  |  | USD |  |  | 43.50 |  |  | USD |  |  | 2,280 |  |  |  | (57,035 | )
McKesson Corp. |  |  | 41 |  |  |  | 07/31/20 |  |  | USD |  |  | 155.00 |  |  | USD |  |  | 629 |  |  |  | (23,370 | )
Medtronic PLC |  |  | 766 |  |  |  | 07/31/20 |  |  | USD |  |  | 92.00 |  |  | USD |  |  | 7,024 |  |  |  | (253,163 | )
MetLife, Inc. |  |  | 176 |  |  |  | 07/31/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 643 |  |  |  | (10,120 | )
Microsoft Corp. |  |  | 67 |  |  |  | 07/31/20 |  |  | USD |  |  | 202.50 |  |  | USD |  |  | 1,364 |  |  |  | (50,083 | )
Morgan Stanley |  |  | 942 |  |  |  | 07/31/20 |  |  | USD |  |  | 50.50 |  |  | USD |  |  | 4,550 |  |  |  | (137,061 | )
NXP Semiconductors NV |  |  | 167 |  |  |  | 07/31/20 |  |  | USD |  |  | 118.00 |  |  | USD |  |  | 1,904 |  |  |  | (86,840 | )
Pfizer, Inc. |  |  | 364 |  |  |  | 07/31/20 |  |  | USD |  |  | 34.50 |  |  | USD |  |  | 1,190 |  |  |  | (20,384 | )
Philip Morris International, Inc. |  |  | 33 |  |  |  | 07/31/20 |  |  | USD |  |  | 76.00 |  |  | USD |  |  | 231 |  |  |  | (2,046 | )
Pioneer Natural Resources Co. |  |  | 440 |  |  |  | 07/31/20 |  |  | USD |  |  | 99.50 |  |  | USD |  |  | 4,299 |  |  |  | (268,400 | )
Ross Stores, Inc. |  |  | 303 |  |  |  | 07/31/20 |  |  | USD |  |  | 97.00 |  |  | USD |  |  | 2,583 |  |  |  | (69,690 | )
UnitedHealth Group, Inc. |  |  | 35 |  |  |  | 07/31/20 |  |  | USD |  |  | 305.00 |  |  | USD |  |  | 1,032 |  |  |  | (27,388 | )
Verizon Communications, Inc. |  |  | 368 |  |  |  | 07/31/20 |  |  | USD |  |  | 58.00 |  |  | USD |  |  | 2,029 |  |  |  | (11,776 | )

SCHEDULES OF INVESTMENTS |  | 45

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Equity Dividend Trust (BDJ)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Visa, Inc., Class A |  |  | 184 |  |  |  | 07/31/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 3,554 |  |  | $ | (65,320 | )
Wells Fargo & Co. |  |  | 590 |  |  |  | 07/31/20 |  |  | USD |  |  | 32.00 |  |  | USD |  |  | 1,510 |  |  |  | (10,325 | )
Wells Fargo & Co. |  |  | 351 |  |  |  | 07/31/20 |  |  | USD |  |  | 31.50 |  |  | USD |  |  | 899 |  |  |  | (7,722 | )
Williams Cos., Inc. |  |  | 8 |  |  |  | 07/31/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 15 |  |  |  | (300 | )
Altria Group, Inc. |  |  | 837 |  |  |  | 08/07/20 |  |  | USD |  |  | 41.00 |  |  | USD |  |  | 3,285 |  |  |  | (87,467 | )
Bank of America Corp. |  |  | 418 |  |  |  | 08/07/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 993 |  |  |  | (23,826 | )
Cisco Systems, Inc. |  |  | 174 |  |  |  | 08/07/20 |  |  | USD |  |  | 45.50 |  |  | USD |  |  | 812 |  |  |  | (40,281 | )
Cisco Systems, Inc. |  |  | 87 |  |  |  | 08/07/20 |  |  | USD |  |  | 46.50 |  |  | USD |  |  | 406 |  |  |  | (15,138 | )
Cisco Systems, Inc. |  |  | 86 |  |  |  | 08/07/20 |  |  | USD |  |  | 46.00 |  |  | USD |  |  | 401 |  |  |  | (17,630 | )
Cognizant Technology Solutions Corp., Class A |  |  | 683 |  |  |  | 08/07/20 |  |  | USD |  |  | 58.00 |  |  | USD |  |  | 3,881 |  |  |  | (179,288 | )
Comcast Corp., Class A |  |  | 990 |  |  |  | 08/07/20 |  |  | USD |  |  | 39.50 |  |  | USD |  |  | 3,859 |  |  |  | (148,005 | )
ConocoPhillips |  |  | 293 |  |  |  | 08/07/20 |  |  | USD |  |  | 44.50 |  |  | USD |  |  | 1,231 |  |  |  | (49,664 | )
DuPont de Nemours, Inc. |  |  | 272 |  |  |  | 08/07/20 |  |  | USD |  |  | 52.50 |  |  | USD |  |  | 1,445 |  |  |  | (91,800 | )
Enterprise Products Partners LP |  |  | 1,349 |  |  |  | 08/07/20 |  |  | USD |  |  | 18.50 |  |  | USD |  |  | 2,451 |  |  |  | (431,680 | )
General Electric Co. |  |  | 887 |  |  |  | 08/07/20 |  |  | USD |  |  | 7.50 |  |  | USD |  |  | 606 |  |  |  | (25,723 | )
JPMorgan Chase & Co. |  |  | 174 |  |  |  | 08/07/20 |  |  | USD |  |  | 98.00 |  |  | USD |  |  | 1,637 |  |  |  | (52,896 | )
Microsoft Corp. |  |  | 67 |  |  |  | 08/07/20 |  |  | USD |  |  | 207.50 |  |  | USD |  |  | 1,364 |  |  |  | (42,713 | )
Morgan Stanley |  |  | 646 |  |  |  | 08/07/20 |  |  | USD |  |  | 51.00 |  |  | USD |  |  | 3,120 |  |  |  | (91,086 | )
Union Pacific Corp. |  |  | 294 |  |  |  | 08/07/20 |  |  | USD |  |  | 170.00 |  |  | USD |  |  | 4,971 |  |  |  | (228,585 | )
Verizon Communications, Inc. |  |  | 1,280 |  |  |  | 08/07/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 7,057 |  |  |  | (188,800 | )
Williams Cos., Inc. |  |  | 1,021 |  |  |  | 08/07/20 |  |  | USD |  |  | 19.00 |  |  | USD |  |  | 1,942 |  |  |  | (135,793 | )
Allstate Corp. |  |  | 309 |  |  |  | 08/21/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 2,997 |  |  |  | (53,766 | )
American Express Co. |  |  | 165 |  |  |  | 08/21/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 1,571 |  |  |  | (36,630 | )
Applied Materials, Inc. |  |  | 376 |  |  |  | 08/21/20 |  |  | USD |  |  | 62.50 |  |  | USD |  |  | 2,273 |  |  |  | (122,388 | )
Bank of America Corp. |  |  | 418 |  |  |  | 08/21/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 993 |  |  |  | (20,691 | )
CDK Global, Inc. |  |  | 441 |  |  |  | 08/21/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 1,827 |  |  |  | (55,125 | )
Charles Schwab Corp. |  |  | 751 |  |  |  | 08/21/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 2,534 |  |  |  | (142,690 | )
Citigroup, Inc. |  |  | 405 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 2,070 |  |  |  | (80,798 | )
CME Group, Inc. |  |  | 34 |  |  |  | 08/21/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 553 |  |  |  | (5,015 | )
Cognizant Technology Solutions Corp., Class A |  |  | 494 |  |  |  | 08/21/20 |  |  | USD |  |  | 57.50 |  |  | USD |  |  | 2,807 |  |  |  | (146,965 | )
Comcast Corp., Class A |  |  | 272 |  |  |  | 08/21/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 1,060 |  |  |  | (44,064 | )
Corteva, Inc. |  |  | 523 |  |  |  | 08/21/20 |  |  | USD |  |  | 29.00 |  |  | USD |  |  | 1,401 |  |  |  | (47,070 | )
Corteva, Inc. |  |  | 522 |  |  |  | 08/21/20 |  |  | USD |  |  | 28.00 |  |  | USD |  |  | 1,398 |  |  |  | (66,555 | )
CVS Health Corp. |  |  | 416 |  |  |  | 08/21/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 2,703 |  |  |  | (120,224 | )
DuPont de Nemours, Inc. |  |  | 428 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 2,274 |  |  |  | (111,280 | )
Edison International |  |  | 374 |  |  |  | 08/21/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 2,031 |  |  |  | (10,285 | )
Edison International |  |  | 374 |  |  |  | 08/21/20 |  |  | USD |  |  | 62.50 |  |  | USD |  |  | 2,031 |  |  |  | (21,505 | )
Fidelity National Financial, Inc. |  |  | 364 |  |  |  | 08/21/20 |  |  | USD |  |  | 34.00 |  |  | USD |  |  | 1,116 |  |  |  | (28,210 | )
Fidelity National Financial, Inc. |  |  | 363 |  |  |  | 08/21/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 1,113 |  |  |  | (13,612 | )
FirstEnergy Corp. |  |  | 644 |  |  |  | 08/21/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 2,497 |  |  |  | (30,590 | )
General Motors Co. |  |  | 796 |  |  |  | 08/21/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 2,014 |  |  |  | (102,286 | )
JPMorgan Chase & Co. |  |  | 112 |  |  |  | 08/21/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 1,053 |  |  |  | (34,384 | )
Marathon Petroleum Corp. |  |  | 346 |  |  |  | 08/21/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 1,293 |  |  |  | (127,155 | )
Medtronic PLC |  |  | 220 |  |  |  | 08/21/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 2,017 |  |  |  | (65,340 | )
MetLife, Inc. |  |  | 623 |  |  |  | 08/21/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 2,275 |  |  |  | (121,485 | )
Microsoft Corp. |  |  | 14 |  |  |  | 08/21/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 285 |  |  |  | (8,925 | )
Morgan Stanley |  |  | 942 |  |  |  | 08/21/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 4,550 |  |  |  | (203,943 | )
Motorola Solutions, Inc. |  |  | 296 |  |  |  | 08/21/20 |  |  | USD |  |  | 150.00 |  |  | USD |  |  | 4,148 |  |  |  | (118,400 | )
NiSource, Inc. |  |  | 324 |  |  |  | 08/21/20 |  |  | USD |  |  | 24.00 |  |  | USD |  |  | 737 |  |  |  | (17,010 | )
PPL Corp. |  |  | 877 |  |  |  | 08/21/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 2,266 |  |  |  | (76,738 | )
Pioneer Natural Resources Co. |  |  | 281 |  |  |  | 08/21/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 2,745 |  |  |  | (106,780 | )
Quest Diagnostics, Inc. |  |  | 210 |  |  |  | 08/21/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 2,393 |  |  |  | (66,150 | )
Raymond James Financial, Inc. |  |  | 981 |  |  |  | 08/21/20 |  |  | USD |  |  | 80.00 |  |  | USD |  |  | 6,752 |  |  |  | (112,815 | )
Unilever NV — NY Shares |  |  | 1,183 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 6,302 |  |  |  | (130,130 | )
UnitedHealth Group, Inc. |  |  | 141 |  |  |  | 08/21/20 |  |  | USD |  |  | 310.00 |  |  | USD |  |  | 4,159 |  |  |  | (118,793 | )
Verizon Communications, Inc. |  |  | 1,305 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 7,194 |  |  |  | (214,673 | )
Wells Fargo & Co. |  |  | 591 |  |  |  | 08/21/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 1,513 |  |  |  | (33,096 | )
Williams Cos., Inc. |  |  | 1,453 |  |  |  | 08/21/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 2,764 |  |  |  | (114,061 | )
Willis Towers Watson PLC |  |  | 100 |  |  |  | 08/21/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 1,970 |  |  |  | (39,000 | )
Public Service Enterprise Group, Inc. |  |  | 878 |  |  |  | 09/18/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 4,316 |  |  |  | (79,020 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (15,568,304 | )

46 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Equity Dividend Trust (BDJ)

OTC Options Written

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |
BAE Systems PLC |  | UBS AG |  |  | 309,200 |  |  |  | 07/01/20 |  |  |  | GBP |  |  |  | 5.08 |  |  |  | GBP |  |  |  | 1,493 |  |  | $ | (419 | )
Bayer AG, Registered Shares |  | Morgan Stanley & Co. International PLC |  |  | 62,700 |  |  |  | 07/07/20 |  |  |  | EUR |  |  |  | 60.76 |  |  |  | EUR |  |  |  | 4,137 |  |  |  | (402,262 | )
Nestle SA, Registered Shares |  | Credit Suisse International |  |  | 5,900 |  |  |  | 07/07/20 |  |  |  | CHF |  |  |  | 109.37 |  |  |  | CHF |  |  |  | 620 |  |  |  | (147 | )
Henkel AG & Co. KGaA, Preference Shares |  | UBS AG |  |  | 35,600 |  |  |  | 07/08/20 |  |  |  | EUR |  |  |  | 80.38 |  |  |  | EUR |  |  |  | 2,956 |  |  |  | (128,739 | )
Unilever NV — NY Shares |  | Bank of America N.A. |  |  | 47,200 |  |  |  | 07/08/20 |  |  |  | USD |  |  |  | 49.61 |  |  |  | USD |  |  |  | 2,514 |  |  |  | (174,562 | )
Sanofi |  | UBS AG |  |  | 13,400 |  |  |  | 07/09/20 |  |  |  | EUR |  |  |  | 91.04 |  |  |  | EUR |  |  |  | 1,216 |  |  |  | (23,179 | )
Alcon, Inc. |  | UBS AG |  |  | 85,300 |  |  |  | 07/14/20 |  |  |  | CHF |  |  |  | 62.26 |  |  |  | CHF |  |  |  | 4,644 |  |  |  | (2,979 | )
AstraZeneca PLC |  | Credit Suisse International |  |  | 2,400 |  |  |  | 07/14/20 |  |  |  | GBP |  |  |  | 89.15 |  |  |  | GBP |  |  |  | 202 |  |  |  | (2,801 | )
BAE Systems PLC |  | UBS AG |  |  | 213,900 |  |  |  | 07/14/20 |  |  |  | GBP |  |  |  | 5.24 |  |  |  | GBP |  |  |  | 1,033 |  |  |  | (3,996 | )
Bayer AG, Registered Shares |  | UBS AG |  |  | 49,500 |  |  |  | 07/14/20 |  |  |  | EUR |  |  |  | 65.84 |  |  |  | EUR |  |  |  | 3,266 |  |  |  | (113,507 | )
Sanofi |  | UBS AG |  |  | 13,300 |  |  |  | 07/14/20 |  |  |  | EUR |  |  |  | 89.69 |  |  |  | EUR |  |  |  | 1,207 |  |  |  | (38,915 | )
Statoil ASA |  | UBS AG |  |  | 278,700 |  |  |  | 07/14/20 |  |  |  | NOK |  |  |  | 156.00 |  |  |  | NOK |  |  |  | 38,645 |  |  |  | (37,926 | )
Statoil ASA |  | Credit Suisse International |  |  | 120,000 |  |  |  | 07/14/20 |  |  |  | NOK |  |  |  | 158.34 |  |  |  | NOK |  |  |  | 16,639 |  |  |  | (13,086 | )
Ferguson PLC |  | UBS AG |  |  | 65,900 |  |  |  | 07/15/20 |  |  |  | GBP |  |  |  | 69.15 |  |  |  | GBP |  |  |  | 4,349 |  |  |  | (74,410 | )
Henkel AG & Co. KGaA, Preference Shares |  | Credit Suisse International |  |  | 76,100 |  |  |  | 07/15/20 |  |  |  | EUR |  |  |  | 87.22 |  |  |  | EUR |  |  |  | 6,319 |  |  |  | (40,753 | )
Nestle SA, Registered Shares |  | Goldman Sachs International |  |  | 400 |  |  |  | 07/15/20 |  |  |  | CHF |  |  |  | 104.74 |  |  |  | CHF |  |  |  | 42 |  |  |  | (650 | )
Alcon, Inc. |  | UBS AG |  |  | 23,500 |  |  |  | 07/21/20 |  |  |  | CHF |  |  |  | 65.04 |  |  |  | CHF |  |  |  | 1,279 |  |  |  | (906 | )
BAE Systems PLC |  | Goldman Sachs International |  |  | 518,400 |  |  |  | 07/21/20 |  |  |  | GBP |  |  |  | 5.27 |  |  |  | GBP |  |  |  | 2,504 |  |  |  | (14,426 | )
Bayer AG, Registered Shares |  | UBS AG |  |  | 62,800 |  |  |  | 07/21/20 |  |  |  | EUR |  |  |  | 68.59 |  |  |  | EUR |  |  |  | 4,144 |  |  |  | (92,272 | )
Statoil ASA |  | Credit Suisse International |  |  | 146,900 |  |  |  | 07/21/20 |  |  |  | NOK |  |  |  | 156.77 |  |  |  | NOK |  |  |  | 20,369 |  |  |  | (31,788 | )
BP PLC |  | Morgan Stanley & Co. International PLC |  |  | 865,000 |  |  |  | 07/22/20 |  |  |  | GBP |  |  |  | 3.31 |  |  |  | GBP |  |  |  | 2,673 |  |  |  | (57,688 | )
Sanofi |  | Goldman Sachs International |  |  | 93,900 |  |  |  | 07/22/20 |  |  |  | EUR |  |  |  | 93.11 |  |  |  | EUR |  |  |  | 8,523 |  |  |  | (136,732 | )
Unilever NV — NY Shares |  | Credit Suisse International |  |  | 43,600 |  |  |  | 07/22/20 |  |  |  | USD |  |  |  | 52.56 |  |  |  | USD |  |  |  | 2,323 |  |  |  | (126,194 | )
Koninklijke Philips NV |  | Goldman Sachs International |  |  | 143,900 |  |  |  | 07/23/20 |  |  |  | EUR |  |  |  | 43.07 |  |  |  | EUR |  |  |  | 5,975 |  |  |  | (102,398 | )
Siemens AG, Registered Shares |  | Credit Suisse International |  |  | 42,700 |  |  |  | 07/24/20 |  |  |  | EUR |  |  |  | 103.07 |  |  |  | EUR |  |  |  | 4,482 |  |  |  | (226,609 | )
BAE Systems PLC |  | Goldman Sachs International |  |  | 518,400 |  |  |  | 07/29/20 |  |  |  | GBP |  |  |  | 5.27 |  |  |  | GBP |  |  |  | 2,504 |  |  |  | (25,384 | )
BP PLC |  | Credit Suisse International |  |  | 865,000 |  |  |  | 07/29/20 |  |  |  | GBP |  |  |  | 3.32 |  |  |  | GBP |  |  |  | 2,673 |  |  |  | (79,101 | )
Ferguson PLC |  | Credit Suisse International |  |  | 32,000 |  |  |  | 07/29/20 |  |  |  | GBP |  |  |  | 68.92 |  |  |  | GBP |  |  |  | 2,112 |  |  |  | (67,353 | )
Koninklijke Philips NV |  | Goldman Sachs International |  |  | 143,900 |  |  |  | 07/29/20 |  |  |  | EUR |  |  |  | 43.07 |  |  |  | EUR |  |  |  | 5,975 |  |  |  | (123,826 | )
Siemens AG, Registered Shares |  | Morgan Stanley & Co. International PLC |  |  | 59,600 |  |  |  | 07/29/20 |  |  |  | EUR |  |  |  | 106.48 |  |  |  | EUR |  |  |  | 6,256 |  |  |  | (218,417 | )
FirstEnergy Corp. |  | JPMorgan Chase Bank N.A. |  |  | 128,800 |  |  |  | 08/04/20 |  |  |  | USD |  |  |  | 42.73 |  |  |  | USD |  |  |  | 4,995 |  |  |  | (26,248 | )
AstraZeneca PLC |  | Goldman Sachs International |  |  | 122,100 |  |  |  | 08/05/20 |  |  |  | GBP |  |  |  | 86.68 |  |  |  | GBP |  |  |  | 10,255 |  |  |  | (440,826 | )
BAE Systems PLC |  | UBS AG |  |  | 1,200,200 |  |  |  | 08/05/20 |  |  |  | GBP |  |  |  | 5.04 |  |  |  | GBP |  |  |  | 5,797 |  |  |  | (186,872 | )
Alcon, Inc. |  | Citibank N.A. |  |  | 37,350 |  |  |  | 08/12/20 |  |  |  | CHF |  |  |  | 55.58 |  |  |  | CHF |  |  |  | 2,033 |  |  |  | (77,076 | )
Nestle SA, Registered Shares |  | Morgan Stanley & Co. International PLC |  |  | 63,700 |  |  |  | 08/12/20 |  |  |  | CHF |  |  |  | 105.83 |  |  |  | CHF |  |  |  | 6,691 |  |  |  | (136,714 | )
Samsung Electronics Co. Ltd. — GDR |  | Morgan Stanley & Co. International PLC |  |  | 12,400 |  |  |  | 08/12/20 |  |  |  | USD |  |  |  | 1,134.69 |  |  |  | USD |  |  |  | 13,556 |  |  |  | (346,208 | )
Statoil ASA |  | UBS AG |  |  | 82,600 |  |  |  | 08/12/20 |  |  |  | NOK |  |  |  | 142.11 |  |  |  | NOK |  |  |  | 11,453 |  |  |  | (38,240 | )
Unilever NV — NY Shares |  | Credit Suisse International |  |  | 33,300 |  |  |  | 09/09/20 |  |  |  | USD |  |  |  | 53.75 |  |  |  | USD |  |  |  | 1,774 |  |  |  | (61,522 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (3,675,131 | )

Balances Reported in the Statements of Assets and Liabilities for Options Written

|  | Swap Premium Paid |  |  | Swap Premium Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |  |  | Value |
Options Written |  |  | N/A |  |  |  | N/A |  |  | $ | 10,535,318 |  |  | $ | (4,617,783 | ) |  | $ | (19,243,435 | )

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written at value |  | $ | — |  |  | $ | — |  |  | $ | 19,243,435 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 19,243,435 |

SCHEDULES OF INVESTMENTS |  | 47

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Equity Dividend Trust (BDJ)

Derivative Financial Instruments Categorized by Risk Exposure (continued)

For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options purchased(a) |  | $ | — |  |  | $ | — |  |  | $ | (1,788,785 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (1,788,785 | )
Options written |  |  | — |  |  |  | — |  |  |  | (15,418,259 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (15,418,259 | )
|  | $ | — |  |  | $ | — |  |  | $ | (17,207,044 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (17,207,044 | )

| (a) | Options purchased are included in net realized gain (loss) from investments. |

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | 10,833,983 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 10,833,983 |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Options: |  |  |  |
Average value of option contracts purchased |  | $ | 19,690 |
Average value of option contracts written |  | $ | 22,681,626 |

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |  |  |  |  |  |  |  |
Options |  | $ | — |  |  | $ | 19,243,435 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (15,568,304 | )
Total derivative assets and liabilities subject to an MNA |  | $ | — |  |  | $ | 3,675,131 |

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by

the Trust:

Counterparty |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset |  |  | Non-cash Collateral Pledged (a) |  |  | Cash Collateral Pledged |  |  | Net Amount of Derivative Liabilities (b) |
Bank of America N.A. |  | $ | 174,562 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 174,562 |
Citibank N.A. |  |  | 77,076 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 77,076 |
Credit Suisse International |  |  | 649,354 |  |  |  | — |  |  |  | (649,354 | ) |  |  | — |  |  |  | — |
Goldman Sachs International |  |  | 844,242 |  |  |  | — |  |  |  | (844,242 | ) |  |  | — |  |  |  | — |
JPMorgan Chase Bank N.A. |  |  | 26,248 |  |  |  | — |  |  |  | (26,248 | ) |  |  | — |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | 1,161,289 |  |  |  | — |  |  |  | (1,161,289 | ) |  |  | — |  |  |  | — |
UBS AG |  |  | 742,360 |  |  |  | — |  |  |  | (742,360 | ) |  |  | — |  |  |  | — |
|  | $ | 3,675,131 |  |  | $ | — |  |  | $ | (3,423,493 | ) |  | $ | — |  |  | $ | 251,638 |

| (a) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

| (b) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |

48 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Equity Dividend Trust (BDJ)

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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: |
Common Stocks: |
Aerospace & Defense |  | $ | — |  |  | $ | 30,007,541 |  |  | $ | — |  |  | $ | 30,007,541 |
Air Freight & Logistics |  |  | 7,536,825 |  |  |  | — |  |  |  | — |  |  |  | 7,536,825 |
Automobiles |  |  | 21,243,904 |  |  |  | — |  |  |  | — |  |  |  | 21,243,904 |
Banks |  |  | 163,750,461 |  |  |  | — |  |  |  | — |  |  |  | 163,750,461 |
Beverages |  |  | 21,648,488 |  |  |  | — |  |  |  | — |  |  |  | 21,648,488 |
Capital Markets |  |  | 88,483,157 |  |  |  | — |  |  |  | — |  |  |  | 88,483,157 |
Chemicals |  |  | 23,897,520 |  |  |  | — |  |  |  | — |  |  |  | 23,897,520 |
Communications Equipment |  |  | 29,896,673 |  |  |  | — |  |  |  | — |  |  |  | 29,896,673 |
Consumer Finance |  |  | 10,034,080 |  |  |  | — |  |  |  | — |  |  |  | 10,034,080 |
Diversified Financial Services |  |  | 33,426,560 |  |  |  | — |  |  |  | — |  |  |  | 33,426,560 |
Diversified Telecommunication Services |  |  | 67,051,863 |  |  |  | — |  |  |  | — |  |  |  | 67,051,863 |
Electric Utilities |  |  | 54,879,554 |  |  |  | — |  |  |  | — |  |  |  | 54,879,554 |
Food Products |  |  | — |  |  |  | 14,092,543 |  |  |  | — |  |  |  | 14,092,543 |
Health Care Equipment & Supplies |  |  | 71,082,336 |  |  |  | 15,274,387 |  |  |  | — |  |  |  | 86,356,723 |
Health Care Providers & Services |  |  | 109,150,018 |  |  |  | — |  |  |  | — |  |  |  | 109,150,018 |
Household Durables |  |  | 10,606,188 |  |  |  | — |  |  |  | — |  |  |  | 10,606,188 |
Industrial Conglomerates |  |  | 22,171,567 |  |  |  | 21,957,528 |  |  |  | — |  |  |  | 44,129,095 |
Insurance |  |  | 111,049,163 |  |  |  | — |  |  |  | — |  |  |  | 111,049,163 |
IT Services |  |  | 54,808,011 |  |  |  | — |  |  |  | — |  |  |  | 54,808,011 |
Media |  |  | 47,316,904 |  |  |  | — |  |  |  | — |  |  |  | 47,316,904 |
Multi-Utilities |  |  | 30,178,502 |  |  |  | — |  |  |  | — |  |  |  | 30,178,502 |
Multiline Retail |  |  | 10,396,512 |  |  |  | — |  |  |  | — |  |  |  | 10,396,512 |
Oil, Gas & Consumable Fuels |  |  | 99,481,969 |  |  |  | 28,509,318 |  |  |  | — |  |  |  | 127,991,287 |
Personal Products |  |  | 33,568,623 |  |  |  | — |  |  |  | — |  |  |  | 33,568,623 |
Pharmaceuticals |  |  | 11,787,958 |  |  |  | 86,791,239 |  |  |  | — |  |  |  | 98,579,197 |
Road & Rail |  |  | 16,009,238 |  |  |  | — |  |  |  | — |  |  |  | 16,009,238 |
Semiconductors & Semiconductor Equipment |  |  | 20,115,114 |  |  |  | — |  |  |  | — |  |  |  | 20,115,114 |
Software |  |  | 35,196,460 |  |  |  | — |  |  |  | — |  |  |  | 35,196,460 |
Specialty Retail |  |  | 37,755,438 |  |  |  | — |  |  |  | — |  |  |  | 37,755,438 |
Technology Hardware, Storage & Peripherals |  |  | — |  |  |  | 24,760,208 |  |  |  | — |  |  |  | 24,760,208 |
Tobacco |  |  | 37,328,814 |  |  |  | — |  |  |  | — |  |  |  | 37,328,814 |
Trading Companies & Distributors |  |  | — |  |  |  | 14,563,438 |  |  |  | — |  |  |  | 14,563,438 |
Preferred Stock |  |  | — |  |  |  | 18,954,477 |  |  |  | — |  |  |  | 18,954,477 |
Short-Term Securities |  |  | 8,249,540 |  |  |  | — |  |  |  | — |  |  |  | 8,249,540 |
|  | $ | 1,288,101,440 |  |  | $ | 254,910,679 |  |  | $ | — |  |  | $ | 1,543,012,119 |
Derivative Financial Instruments(a) |
Liabilities: |
Equity contracts |  | $ | (15,227,147 | ) |  | $ | (4,016,288 | ) |  | $ | — |  |  | $ | (19,243,435 | )

The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

| (a) | Derivative financial instruments are options written. Options written are shown at value. |

See notes to financial statements.

SCHEDULES OF INVESTMENTS |  | 49

Schedule of Investments (unaudited) June 30, 2020 |  | BlackRock Enhanced Global Dividend Trust (BOE) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Common Stocks — 99.4% |
Australia — 2.7% |
Ansell Ltd. |  |  | 237,398 |  |  | $ | 6,034,646 |
Ensogo Ltd.(a)(b) |  |  | 418,198 |  |  |  | 3 |
Sonic Healthcare Ltd. |  |  | 593,197 |  |  |  | 12,526,423 |
|  |  |  | 18,561,072 |
Canada — 5.1% |
Rogers Communications, Inc., Class B |  |  | 313,838 |  |  |  | 12,610,388 |
TELUS Corp. |  |  | 1,356,985 |  |  |  | 22,759,685 |
|  |  |  | 35,370,073 |
Denmark — 1.6% |
Novo Nordisk A/S, Class B |  |  | 174,231 |  |  |  | 11,350,755 |
Finland — 1.2% |
Kone OYJ, Class B |  |  | 124,071 |  |  |  | 8,557,099 |
France — 4.5% |
Sanofi |  |  | 207,790 |  |  |  | 21,191,371 |
Schneider Electric SE |  |  | 88,097 |  |  |  | 9,799,612 |
|  |  |  | 30,990,983 |
Germany — 1.5% |
Deutsche Post AG, Registered Shares |  |  | 286,210 |  |  |  | 10,509,588 |
India — 0.1% |
Jasper Infotech Private Ltd., Series I, (Acquired 08/08/15, cost $2,637,143)(a)(c) |  |  | 3,540 |  |  |  | 841,210 |
Netherlands — 4.1% |
Heineken NV |  |  | 170,373 |  |  |  | 15,707,432 |
Koninklijke Philips NV |  |  | 279,337 |  |  |  | 13,030,429 |
|  |  |  | 28,737,861 |
Singapore — 2.2% |
DBS Group Holdings Ltd. |  |  | 618,868 |  |  |  | 9,311,996 |
United Overseas Bank Ltd. |  |  | 406,700 |  |  |  | 5,942,645 |
|  |  |  | 15,254,641 |
Sweden — 1.1% |
Tele2 AB, Class B |  |  | 553,835 |  |  |  | 7,372,568 |
Switzerland — 6.8% |
Cie Financiere Richemont SA, Registered Shares |  |  | 79,365 |  |  |  | 5,119,067 |
Nestle SA, Registered Shares |  |  | 140,895 |  |  |  | 15,621,117 |
Novartis AG, Registered Shares |  |  | 236,620 |  |  |  | 20,614,574 |
SGS SA, Registered Shares |  |  | 2,439 |  |  |  | 5,974,681 |
|  |  |  | 47,329,439 |
Taiwan — 0.9% |
Taiwan Semiconductor Manufacturing Co. Ltd. |  |  | 611,000 |  |  |  | 6,525,182 |
United Kingdom — 16.3% |
AstraZeneca PLC |  |  | 52,627 |  |  |  | 5,477,124 |
BAE Systems PLC |  |  | 2,825,288 |  |  |  | 16,893,698 |
British American Tobacco PLC |  |  | 512,582 |  |  |  | 19,658,965 |
Diageo PLC |  |  | 296,007 |  |  |  | 9,838,487 |
GlaxoSmithKline PLC |  |  | 717,987 |  |  |  | 14,503,112 |
Reckitt Benckiser Group PLC |  |  | 117,945 |  |  |  | 10,850,753 |
RELX PLC |  |  | 425,736 |  |  |  | 9,853,273 |
Unilever PLC |  |  | 478,800 |  |  |  | 25,826,990 |
|  |  |  | 112,902,402 |
United States — 51.3% |
AbbVie, Inc.(d)(e) |  |  | 206,454 |  |  |  | 20,269,654 |
Altria Group, Inc.(e) |  |  | 231,231 |  |  |  | 9,075,817 |
Amcor PLC |  |  | 1,237,447 |  |  |  | 12,498,389 |
Carrier Global Corp.(e) |  |  | 438,780 |  |  |  | 9,749,692 |
Cisco Systems, Inc.(d)(e) |  |  | 231,960 |  |  |  | 10,818,614 |
Citizens Financial Group, Inc.(e) |  |  | 322,324 |  |  |  | 8,135,458 |

Security |  | Shares |  |  | Value |
United States (continued) |
Coca-Cola Co.(e) |  |  | 508,372 |  |  | $ | 22,714,061 |
Eaton Corp. PLC(e) |  |  | 99,007 |  |  |  | 8,661,132 |
Genuine Parts Co.(d)(e) |  |  | 155,821 |  |  |  | 13,550,194 |
Hasbro, Inc.(d)(e) |  |  | 227,622 |  |  |  | 17,060,269 |
Home Depot, Inc.(e) |  |  | 55,630 |  |  |  | 13,935,871 |
International Paper Co.(e) |  |  | 335,860 |  |  |  | 11,825,631 |
Johnson & Johnson(d)(e) |  |  | 107,264 |  |  |  | 15,084,536 |
Lockheed Martin Corp.(e) |  |  | 54,739 |  |  |  | 19,975,356 |
M&T Bank Corp.(e) |  |  | 91,363 |  |  |  | 9,499,011 |
Medtronic PLC(e) |  |  | 206,139 |  |  |  | 18,902,946 |
Otis Worldwide Corp.(e) |  |  | 171,178 |  |  |  | 9,733,181 |
Paychex, Inc.(d)(e) |  |  | 298,887 |  |  |  | 22,640,690 |
PepsiCo, Inc.(e) |  |  | 122,130 |  |  |  | 16,152,914 |
Pfizer, Inc.(d)(e) |  |  | 460,718 |  |  |  | 15,065,479 |
Philip Morris International, Inc.(d)(e) |  |  | 269,126 |  |  |  | 18,854,967 |
Procter & Gamble Co.(e) |  |  | 131,545 |  |  |  | 15,728,836 |
Raytheon Technologies Corp.(e) |  |  | 126,376 |  |  |  | 7,787,289 |
Texas Instruments, Inc.(e) |  |  | 145,964 |  |  |  | 18,533,049 |
U.S. Bancorp(e) |  |  | 275,858 |  |  |  | 10,157,092 |
|  |  |  | 356,410,128 |
Total Common Stocks — 99.4% (Cost — $663,791,279) |  |  |  | 690,713,001 |
Preferred Stock — 0.5% |
United States — 0.5% |
Palantir Technologies, Inc., Series I (Acquired 3/27/14, cost $3,118,944), 0.00%(a)(c) |  |  | 508,800 |  |  |  | 3,495,456 |
Total Preferred Securities — 0.5% |  |  |  | 3,495,456 |
Total Long-Term Investments — 99.9% (Cost — $666,910,223) |  |  |  | 694,208,457 |
Short-Term Securities — 0.1% |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(f)(g) |  |  | 500,656 |  |  |  | 500,656 |
Total Short-Term Securities — 0.1% (Cost — $500,656) |  |  |  | 500,656 |
Total Investments Before Options Written — 100.0% (Cost — $667,410,879) |  |  |  | 694,709,113 |
Options Written — (0.9)% (Premiums Received — $7,024,625) |  |  |  | (6,317,059 | )
Total Investments, Net of Options Written — 99.1% (Cost — $660,386,254) |  |  |  | 688,392,054 |
Other Assets Less Liabilities — 0.9% |  |  |  | 6,501,368 |
Net Assets — 100.0% |  |  | $ | 694,893,422 |

(a) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(b) | Non-income producing security.

(c) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $4,336,666, representing 0.6% of its net assets as of period end, and an original cost of $5,756,087.

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

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

(f) | Annualized 7-day yield as of period end.

50 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Global Dividend Trust (BOE)

(g) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Shares Held at 12/31/19 |  |  | Shares Purchased |  |  | Shares Sold |  |  | Shares Held at 06/30/20 |  |  | Value at 06/30/20 |  |  | Income |  |  | Net Realized Gain (Loss) (a) |  |  | Change in Unrealized Appreciation (Depreciation) |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  |  | 1,138,392 |  |  |  | — |  |  |  | (637,736 | )(b) |  |  | 500,656 |  |  | $ | 500,656 |  |  | $ | 24,020 |  |  | $ | — |  |  | $ | — |

| (a) | Includes net capital gain distributions, if applicable. |

| (b) | Represents net shares purchased (sold). |

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 such industry sub-classifications for reporting ease.

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Altria Group, Inc. |  |  | 88 |  |  |  | 07/02/20 |  |  | USD |  |  | 40.50 |  |  | USD |  |  | 345 |  |  | $ | (352 | )
Cisco Systems, Inc. |  |  | 237 |  |  |  | 07/02/20 |  |  | USD |  |  | 47.00 |  |  | USD |  |  | 1,105 |  |  |  | (5,688 | )
Eaton Corp. PLC |  |  | 137 |  |  |  | 07/02/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 1,198 |  |  |  | (4,110 | )
Hasbro, Inc. |  |  | 165 |  |  |  | 07/02/20 |  |  | USD |  |  | 77.00 |  |  | USD |  |  | 1,237 |  |  |  | (6,600 | )
International Paper Co. |  |  | 446 |  |  |  | 07/02/20 |  |  | USD |  |  | 34.00 |  |  | USD |  |  | 1,570 |  |  |  | (64,224 | )
PepsiCo, Inc. |  |  | 97 |  |  |  | 07/02/20 |  |  | USD |  |  | 133.00 |  |  | USD |  |  | 1,283 |  |  |  | (6,353 | )
PepsiCo, Inc. |  |  | 97 |  |  |  | 07/02/20 |  |  | USD |  |  | 135.00 |  |  | USD |  |  | 1,283 |  |  |  | (1,455 | )
U.S. Bancorp |  |  | 119 |  |  |  | 07/02/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 438 |  |  |  | (13,626 | )
Altria Group, Inc. |  |  | 89 |  |  |  | 07/10/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 349 |  |  |  | (3,871 | )
Altria Group, Inc. |  |  | 162 |  |  |  | 07/10/20 |  |  | USD |  |  | 43.50 |  |  | USD |  |  | 636 |  |  |  | (810 | )
Cisco Systems, Inc. |  |  | 34 |  |  |  | 07/10/20 |  |  | USD |  |  | 47.00 |  |  | USD |  |  | 159 |  |  |  | (2,006 | )
Coca-Cola Co. |  |  | 323 |  |  |  | 07/10/20 |  |  | USD |  |  | 47.50 |  |  | USD |  |  | 1,443 |  |  |  | (1,615 | )
International Paper Co. |  |  | 283 |  |  |  | 07/10/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 996 |  |  |  | (5,801 | )
Johnson & Johnson |  |  | 33 |  |  |  | 07/10/20 |  |  | USD |  |  | 150.00 |  |  | USD |  |  | 464 |  |  |  | (280 | )
PepsiCo, Inc. |  |  | 46 |  |  |  | 07/10/20 |  |  | USD |  |  | 134.00 |  |  | USD |  |  | 608 |  |  |  | (4,508 | )
Pfizer, Inc. |  |  | 72 |  |  |  | 07/10/20 |  |  | USD |  |  | 34.50 |  |  | USD |  |  | 235 |  |  |  | (1,008 | )
Texas Instruments, Inc. |  |  | 74 |  |  |  | 07/10/20 |  |  | USD |  |  | 136.00 |  |  | USD |  |  | 940 |  |  |  | (703 | )
U.S. Bancorp |  |  | 89 |  |  |  | 07/10/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 328 |  |  |  | (534 | )
Altria Group, Inc. |  |  | 81 |  |  |  | 07/17/20 |  |  | USD |  |  | 42.50 |  |  | USD |  |  | 318 |  |  |  | (1,417 | )
Carrier Global Corp. |  |  | 326 |  |  |  | 07/17/20 |  |  | USD |  |  | 22.00 |  |  | USD |  |  | 724 |  |  |  | (35,860 | )
Carrier Global Corp. |  |  | 827 |  |  |  | 07/17/20 |  |  | USD |  |  | 23.00 |  |  | USD |  |  | 1,838 |  |  |  | (53,755 | )
Cisco Systems, Inc. |  |  | 196 |  |  |  | 07/17/20 |  |  | USD |  |  | 46.00 |  |  | USD |  |  | 914 |  |  |  | (27,048 | )
Citizens Financial Group, Inc. |  |  | 503 |  |  |  | 07/17/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 1,270 |  |  |  | (279,165 | )
Citizens Financial Group, Inc. |  |  | 625 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 1,578 |  |  |  | (9,375 | )
Coca-Cola Co. |  |  | 99 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 442 |  |  |  | (8,365 | )
Coca-Cola Co. |  |  | 699 |  |  |  | 07/17/20 |  |  | USD |  |  | 47.50 |  |  | USD |  |  | 3,123 |  |  |  | (10,835 | )
Eaton Corp. PLC |  |  | 154 |  |  |  | 07/17/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 1,347 |  |  |  | (34,650 | )
Genuine Parts Co. |  |  | 501 |  |  |  | 07/17/20 |  |  | USD |  |  | 92.50 |  |  | USD |  |  | 4,357 |  |  |  | (37,575 | )
Home Depot, Inc. |  |  | 68 |  |  |  | 07/17/20 |  |  | USD |  |  | 260.00 |  |  | USD |  |  | 1,703 |  |  |  | (13,158 | )
Johnson & Johnson |  |  | 107 |  |  |  | 07/17/20 |  |  | USD |  |  | 150.00 |  |  | USD |  |  | 1,505 |  |  |  | (4,119 | )
Lockheed Martin Corp. |  |  | 82 |  |  |  | 07/17/20 |  |  | USD |  |  | 390.00 |  |  | USD |  |  | 2,992 |  |  |  | (11,890 | )
M&T Bank Corp. |  |  | 159 |  |  |  | 07/17/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 1,653 |  |  |  | (5,565 | )
M&T Bank Corp. |  |  | 160 |  |  |  | 07/17/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 1,664 |  |  |  | (129,600 | )
Medtronic PLC |  |  | 672 |  |  |  | 07/17/20 |  |  | USD |  |  | 97.50 |  |  | USD |  |  | 6,162 |  |  |  | (30,912 | )
Otis Worldwide Corp. |  |  | 235 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,336 |  |  |  | (69,325 | )
Otis Worldwide Corp. |  |  | 268 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,524 |  |  |  | (16,750 | )
Paychex, Inc. |  |  | 347 |  |  |  | 07/17/20 |  |  | USD |  |  | 75.00 |  |  | USD |  |  | 2,629 |  |  |  | (114,510 | )
Pfizer, Inc. |  |  | 797 |  |  |  | 07/17/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 2,606 |  |  |  | (2,789 | )
Philip Morris International, Inc. |  |  | 66 |  |  |  | 07/17/20 |  |  | USD |  |  | 72.50 |  |  | USD |  |  | 462 |  |  |  | (4,455 | )
Raytheon Technologies Corp. |  |  | 281 |  |  |  | 07/17/20 |  |  | USD |  |  | 63.00 |  |  | USD |  |  | 1,732 |  |  |  | (51,142 | )
Rogers Communications, Inc., Class B |  |  | 21 |  |  |  | 07/17/20 |  |  | CAD |  |  | 56.00 |  |  | CAD |  |  | 115 |  |  |  | (975 | )
Rogers Communications, Inc., Class B |  |  | 445 |  |  |  | 07/17/20 |  |  | CAD |  |  | 60.00 |  |  | CAD |  |  | 2,427 |  |  |  | (1,967 | )
TELUS Corp. |  |  | 1,859 |  |  |  | 07/17/20 |  |  | CAD |  |  | 25.00 |  |  | CAD |  |  | 4,233 |  |  |  | (5,477 | )
Texas Instruments, Inc. |  |  | 233 |  |  |  | 07/17/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 2,958 |  |  |  | (106,015 | )

SCHEDULES OF INVESTMENTS |  |  | 51 |

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Global Dividend Trust (BOE)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Bancorp |  |  | 218 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 803 |  |  | $ | (12,208 | )
AbbVie, Inc. |  |  | 242 |  |  |  | 07/24/20 |  |  | USD |  |  | 97.00 |  |  | USD |  |  | 2,376 |  |  |  | (79,860 | )
Altria Group, Inc. |  |  | 81 |  |  |  | 07/24/20 |  |  | USD |  |  | 43.50 |  |  | USD |  |  | 318 |  |  |  | (6,561 | )
Cisco Systems, Inc. |  |  | 148 |  |  |  | 07/24/20 |  |  | USD |  |  | 48.50 |  |  | USD |  |  | 690 |  |  |  | (8,140 | )
Coca-Cola Co. |  |  | 117 |  |  |  | 07/24/20 |  |  | USD |  |  | 47.50 |  |  | USD |  |  | 523 |  |  |  | (4,270 | )
Eaton Corp. PLC |  |  | 154 |  |  |  | 07/24/20 |  |  | USD |  |  | 91.50 |  |  | USD |  |  | 1,347 |  |  |  | (35,805 | )
Hasbro, Inc. |  |  | 136 |  |  |  | 07/24/20 |  |  | USD |  |  | 82.00 |  |  | USD |  |  | 1,019 |  |  |  | (13,940 | )
Home Depot, Inc. |  |  | 118 |  |  |  | 07/24/20 |  |  | USD |  |  | 250.00 |  |  | USD |  |  | 2,956 |  |  |  | (87,910 | )
International Paper Co. |  |  | 446 |  |  |  | 07/24/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 1,570 |  |  |  | (24,084 | )
Medtronic PLC |  |  | 11 |  |  |  | 07/24/20 |  |  | USD |  |  | 96.00 |  |  | USD |  |  | 101 |  |  |  | (1,419 | )
Pfizer, Inc. |  |  | 797 |  |  |  | 07/24/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 2,606 |  |  |  | (3,985 | )
Philip Morris International, Inc. |  |  | 212 |  |  |  | 07/24/20 |  |  | USD |  |  | 73.00 |  |  | USD |  |  | 1,485 |  |  |  | (24,486 | )
Procter & Gamble Co. |  |  | 196 |  |  |  | 07/24/20 |  |  | USD |  |  | 121.00 |  |  | USD |  |  | 2,344 |  |  |  | (75,460 | )
Texas Instruments, Inc. |  |  | 175 |  |  |  | 07/24/20 |  |  | USD |  |  | 132.00 |  |  | USD |  |  | 2,222 |  |  |  | (46,988 | )
U.S. Bancorp |  |  | 158 |  |  |  | 07/24/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 582 |  |  |  | (5,530 | )
Altria Group, Inc. |  |  | 154 |  |  |  | 07/31/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 604 |  |  |  | (5,467 | )
Cisco Systems, Inc. |  |  | 35 |  |  |  | 07/31/20 |  |  | USD |  |  | 48.00 |  |  | USD |  |  | 163 |  |  |  | (3,010 | )
Cisco Systems, Inc. |  |  | 122 |  |  |  | 07/31/20 |  |  | USD |  |  | 47.00 |  |  | USD |  |  | 569 |  |  |  | (15,860 | )
Coca-Cola Co. |  |  | 541 |  |  |  | 07/31/20 |  |  | USD |  |  | 47.00 |  |  | USD |  |  | 2,417 |  |  |  | (31,108 | )
Hasbro, Inc. |  |  | 165 |  |  |  | 07/31/20 |  |  | USD |  |  | 81.00 |  |  | USD |  |  | 1,237 |  |  |  | (40,425 | )
Home Depot, Inc. |  |  | 119 |  |  |  | 07/31/20 |  |  | USD |  |  | 255.00 |  |  | USD |  |  | 2,981 |  |  |  | (71,698 | )
Johnson & Johnson |  |  | 156 |  |  |  | 07/31/20 |  |  | USD |  |  | 146.00 |  |  | USD |  |  | 2,194 |  |  |  | (29,016 | )
Lockheed Martin Corp. |  |  | 75 |  |  |  | 07/31/20 |  |  | USD |  |  | 400.00 |  |  | USD |  |  | 2,737 |  |  |  | (22,500 | )
Medtronic PLC |  |  | 234 |  |  |  | 07/31/20 |  |  | USD |  |  | 92.00 |  |  | USD |  |  | 2,146 |  |  |  | (77,337 | )
PepsiCo, Inc. |  |  | 216 |  |  |  | 07/31/20 |  |  | USD |  |  | 136.00 |  |  | USD |  |  | 2,857 |  |  |  | (45,360 | )
Pfizer, Inc. |  |  | 407 |  |  |  | 07/31/20 |  |  | USD |  |  | 34.50 |  |  | USD |  |  | 1,331 |  |  |  | (22,792 | )
Philip Morris International, Inc. |  |  | 308 |  |  |  | 07/31/20 |  |  | USD |  |  | 76.00 |  |  | USD |  |  | 2,158 |  |  |  | (19,096 | )
Procter & Gamble Co. |  |  | 318 |  |  |  | 07/31/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 3,802 |  |  |  | (98,580 | )
Raytheon Technologies Corp. |  |  | 160 |  |  |  | 07/31/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 986 |  |  |  | (15,360 | )
Texas Instruments, Inc. |  |  | 174 |  |  |  | 07/31/20 |  |  | USD |  |  | 128.00 |  |  | USD |  |  | 2,209 |  |  |  | (90,393 | )
U.S. Bancorp |  |  | 143 |  |  |  | 07/31/20 |  |  | USD |  |  | 40.50 |  |  | USD |  |  | 527 |  |  |  | (11,154 | )
Altria Group, Inc. |  |  | 154 |  |  |  | 08/07/20 |  |  | USD |  |  | 41.00 |  |  | USD |  |  | 604 |  |  |  | (16,093 | )
Cisco Systems, Inc. |  |  | 67 |  |  |  | 08/07/20 |  |  | USD |  |  | 46.00 |  |  | USD |  |  | 312 |  |  |  | (13,735 | )
Cisco Systems, Inc. |  |  | 68 |  |  |  | 08/07/20 |  |  | USD |  |  | 46.50 |  |  | USD |  |  | 317 |  |  |  | (31,484 | )
Cisco Systems, Inc. |  |  | 136 |  |  |  | 08/07/20 |  |  | USD |  |  | 45.50 |  |  | USD |  |  | 634 |  |  |  | (11,832 | )
Hasbro, Inc. |  |  | 330 |  |  |  | 08/07/20 |  |  | USD |  |  | 76.50 |  |  | USD |  |  | 2,473 |  |  |  | (140,250 | )
Johnson & Johnson |  |  | 29 |  |  |  | 08/07/20 |  |  | USD |  |  | 143.00 |  |  | USD |  |  | 408 |  |  |  | (9,265 | )
Philip Morris International, Inc. |  |  | 355 |  |  |  | 08/07/20 |  |  | USD |  |  | 72.50 |  |  | USD |  |  | 2,487 |  |  |  | (67,273 | )
U.S. Bancorp |  |  | 159 |  |  |  | 08/07/20 |  |  | USD |  |  | 38.50 |  |  | USD |  |  | 585 |  |  |  | (25,043 | )
AbbVie, Inc. |  |  | 687 |  |  |  | 08/21/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 6,745 |  |  |  | (214,688 | )
Carrier Global Corp. |  |  | 407 |  |  |  | 08/21/20 |  |  | USD |  |  | 21.75 |  |  | USD |  |  | 904 |  |  |  | (87,801 | )
Carrier Global Corp. |  |  | 414 |  |  |  | 08/21/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 920 |  |  |  | (43,470 | )
Genuine Parts Co. |  |  | 44 |  |  |  | 08/21/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 383 |  |  |  | (17,380 | )
Johnson & Johnson |  |  | 264 |  |  |  | 08/21/20 |  |  | USD |  |  | 145.00 |  |  | USD |  |  | 3,713 |  |  |  | (80,388 | )
Lockheed Martin Corp. |  |  | 89 |  |  |  | 08/21/20 |  |  | USD |  |  | 380.00 |  |  | USD |  |  | 3,248 |  |  |  | (105,020 | )
Medtronic PLC |  |  | 10 |  |  |  | 08/21/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 92 |  |  |  | (2,970 | )
Otis Worldwide Corp. |  |  | 267 |  |  |  | 08/21/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,518 |  |  |  | (74,760 | )
Paychex, Inc. |  |  | 337 |  |  |  | 08/21/20 |  |  | USD |  |  | 75.00 |  |  | USD |  |  | 2,553 |  |  |  | (153,335 | )
PepsiCo, Inc. |  |  | 216 |  |  |  | 08/21/20 |  |  | USD |  |  | 140.00 |  |  | USD |  |  | 2,857 |  |  |  | (30,888 | )
Procter & Gamble Co. |  |  | 209 |  |  |  | 08/21/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 2,499 |  |  |  | (80,988 | )
Rogers Communications, Inc., Class B |  |  | 272 |  |  |  | 08/21/20 |  |  | CAD |  |  | 58.00 |  |  | CAD |  |  | 1,484 |  |  |  | (17,531 | )
TELUS Corp. |  |  | 1,859 |  |  |  | 08/21/20 |  |  | CAD |  |  | 25.00 |  |  | CAD |  |  | 4,233 |  |  |  | (17,117 | )
U.S. Bancorp |  |  | 79 |  |  |  | 08/21/20 |  |  | USD |  |  | 42.50 |  |  | USD |  |  | 291 |  |  |  | (5,806 | )
Paychex, Inc. |  |  | 362 |  |  |  | 09/18/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 2,742 |  |  |  | (50,680 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (3,517,837 | )

52 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Global Dividend Trust (BOE)

OTC Options Written

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |
BAE Systems PLC |  | UBS AG |  |  | 272,000 |  |  |  | 07/01/20 |  |  | GBP |  |  | 5.08 |  |  | GBP |  |  | 1,315 |  |  | $ | (368 | )
Novartis AG, Registered Shares |  | UBS AG |  |  | 42,800 |  |  |  | 07/01/20 |  |  | CHF |  |  | 84.43 |  |  | CHF |  |  | 3,528 |  |  |  | (2,139 | )
Novo Nordisk A/S, Class B |  | UBS AG |  |  | 61,200 |  |  |  | 07/01/20 |  |  | DKK |  |  | 451.07 |  |  | DKK |  |  | 26,279 |  |  |  | (866 | )
Ansell Ltd. |  | Citibank N.A. |  |  | 45,600 |  |  |  | 07/07/20 |  |  | AUD |  |  | 32.76 |  |  | AUD |  |  | 1,674 |  |  |  | (128,265 | )
British American Tobacco PLC |  | UBS AG |  |  | 89,800 |  |  |  | 07/07/20 |  |  | GBP |  |  | 32.78 |  |  | GBP |  |  | 2,788 |  |  |  | (8,296 | )
DBS Group Holdings Ltd. |  | Goldman Sachs International |  |  | 71,600 |  |  |  | 07/07/20 |  |  | SGD |  |  | 20.15 |  |  | SGD |  |  | 1,489 |  |  |  | (53,210 | )
Diageo PLC |  | Morgan Stanley & Co. International PLC |  |  | 92,900 |  |  |  | 07/07/20 |  |  | GBP |  |  | 29.99 |  |  | GBP |  |  | 2,491 |  |  |  | (26 | )
GlaxoSmithKline PLC |  | UBS AG |  |  | 1,200 |  |  |  | 07/07/20 |  |  | GBP |  |  | 17.58 |  |  | GBP |  |  | 20 |  |  |  | (5 | )
Heineken NV |  | Credit Suisse International |  |  | 16,800 |  |  |  | 07/07/20 |  |  | EUR |  |  | 78.77 |  |  | EUR |  |  | 1,379 |  |  |  | (68,394 | )
Koninklijke Philips NV |  | UBS AG |  |  | 102,000 |  |  |  | 07/07/20 |  |  | EUR |  |  | 41.14 |  |  | EUR |  |  | 4,235 |  |  |  | (102,717 | )
Nestle SA, Registered Shares |  | Credit Suisse International |  |  | 22,100 |  |  |  | 07/07/20 |  |  | CHF |  |  | 109.37 |  |  | CHF |  |  | 2,315 |  |  |  | (551 | )
Sonic Healthcare Ltd. |  | UBS AG |  |  | 68,800 |  |  |  | 07/07/20 |  |  | AUD |  |  | 27.62 |  |  | AUD |  |  | 2,094 |  |  |  | (141,500 | )
Kone OYJ, Class B |  | UBS AG |  |  | 49,100 |  |  |  | 07/08/20 |  |  | EUR |  |  | 62.97 |  |  | EUR |  |  | 3,006 |  |  |  | (37,040 | )
RELX PLC |  | UBS AG |  |  | 52,000 |  |  |  | 07/08/20 |  |  | EUR |  |  | 21.85 |  |  | EUR |  |  | 1,071 |  |  |  | (2,589 | )
Rogers Communications, Inc., Class B |  | Goldman Sachs International |  |  | 40,200 |  |  |  | 07/08/20 |  |  | CAD |  |  | 59.04 |  |  | CAD |  |  | 2,193 |  |  |  | (497 | )
Unilever PLC |  | Credit Suisse International |  |  | 66,300 |  |  |  | 07/08/20 |  |  | GBP |  |  | 42.46 |  |  | GBP |  |  | 2,887 |  |  |  | (124,590 | )
Amcor PLC |  | UBS AG |  |  | 39,400 |  |  |  | 07/09/20 |  |  | AUD |  |  | 15.24 |  |  | AUD |  |  | 571 |  |  |  | (2,284 | )
Sanofi |  | UBS AG |  |  | 16,900 |  |  |  | 07/09/20 |  |  | EUR |  |  | 91.04 |  |  | EUR |  |  | 1,532 |  |  |  | (29,233 | )
Schneider Electric SE |  | Citibank N.A. |  |  | 13,600 |  |  |  | 07/09/20 |  |  | EUR |  |  | 93.63 |  |  | EUR |  |  | 1,345 |  |  |  | (93,003 | )
Ansell Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 12,700 |  |  |  | 07/14/20 |  |  | AUD |  |  | 35.80 |  |  | AUD |  |  | 466 |  |  |  | (12,878 | )
AstraZeneca PLC |  | Credit Suisse International |  |  | 17,900 |  |  |  | 07/14/20 |  |  | GBP |  |  | 89.15 |  |  | GBP |  |  | 1,507 |  |  |  | (20,889 | )
BAE Systems PLC |  | UBS AG |  |  | 155,900 |  |  |  | 07/14/20 |  |  | GBP |  |  | 5.24 |  |  | GBP |  |  | 754 |  |  |  | (2,913 | )
British American Tobacco PLC |  | Credit Suisse International |  |  | 45,000 |  |  |  | 07/14/20 |  |  | GBP |  |  | 34.06 |  |  | GBP |  |  | 1,397 |  |  |  | (1,360 | )
DBS Group Holdings Ltd. |  | Goldman Sachs International |  |  | 72,500 |  |  |  | 07/14/20 |  |  | SGD |  |  | 20.22 |  |  | SGD |  |  | 1,508 |  |  |  | (59,979 | )
Novartis AG, Registered Shares |  | UBS AG |  |  | 23,400 |  |  |  | 07/14/20 |  |  | CHF |  |  | 84.21 |  |  | CHF |  |  | 1,929 |  |  |  | (19,236 | )
Novo Nordisk A/S, Class B |  | UBS AG |  |  | 22,300 |  |  |  | 07/14/20 |  |  | DKK |  |  | 445.26 |  |  | DKK |  |  | 9,576 |  |  |  | (16,478 | )
Sanofi |  | UBS AG |  |  | 46,500 |  |  |  | 07/14/20 |  |  | EUR |  |  | 89.69 |  |  | EUR |  |  | 4,215 |  |  |  | (136,057 | )
Sonic Healthcare Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 86,400 |  |  |  | 07/14/20 |  |  | AUD |  |  | 29.94 |  |  | AUD |  |  | 2,629 |  |  |  | (63,038 | )
Tele2 AB, Class B |  | Morgan Stanley & Co. International PLC |  |  | 83,000 |  |  |  | 07/14/20 |  |  | SEK |  |  | 129.26 |  |  | SEK |  |  | 10,255 |  |  |  | (9,194 | )
Amcor PLC |  | Morgan Stanley & Co. International PLC |  |  | 280,000 |  |  |  | 07/15/20 |  |  | AUD |  |  | 15.48 |  |  | AUD |  |  | 4,054 |  |  |  | (19,516 | )
Ansell Ltd. |  | Citibank N.A. |  |  | 19,500 |  |  |  | 07/15/20 |  |  | AUD |  |  | 36.77 |  |  | AUD |  |  | 716 |  |  |  | (12,105 | )
Cie Financiere Richemont SA, Registered Shares |  | UBS AG |  |  | 15,500 |  |  |  | 07/15/20 |  |  | CHF |  |  | 64.39 |  |  | CHF |  |  | 937 |  |  |  | (14,046 | )
Kone OYJ, Class B |  | UBS AG |  |  | 3,000 |  |  |  | 07/15/20 |  |  | EUR |  |  | 64.05 |  |  | EUR |  |  | 184 |  |  |  | (2,542 | )
Nestle SA, Registered Shares |  | Goldman Sachs International |  |  | 12,600 |  |  |  | 07/15/20 |  |  | CHF |  |  | 104.74 |  |  | CHF |  |  | 1,320 |  |  |  | (20,477 | )
Reckitt Benckiser Group PLC |  | Goldman Sachs International |  |  | 23,000 |  |  |  | 07/15/20 |  |  | GBP |  |  | 72.94 |  |  | GBP |  |  | 1,709 |  |  |  | (61,469 | )
SGS SA, Registered Shares |  | Credit Suisse International |  |  | 400 |  |  |  | 07/15/20 |  |  | CHF |  |  | 2,462.73 |  |  | CHF |  |  | 926 |  |  |  | (1,372 | )
Unilever PLC |  | UBS AG |  |  | 95,500 |  |  |  | 07/15/20 |  |  | GBP |  |  | 44.18 |  |  | GBP |  |  | 4,159 |  |  |  | (87,872 | )
BAE Systems PLC |  | Goldman Sachs International |  |  | 391,700 |  |  |  | 07/21/20 |  |  | GBP |  |  | 5.27 |  |  | GBP |  |  | 1,893 |  |  |  | (10,900 | )
British American Tobacco PLC |  | UBS AG |  |  | 44,700 |  |  |  | 07/21/20 |  |  | GBP |  |  | 34.04 |  |  | GBP |  |  | 1,388 |  |  |  | (3,753 | )
Diageo PLC |  | Credit Suisse International |  |  | 30,900 |  |  |  | 07/21/20 |  |  | GBP |  |  | 29.81 |  |  | GBP |  |  | 829 |  |  |  | (3,272 | )
Heineken NV |  | Credit Suisse International |  |  | 43,000 |  |  |  | 07/21/20 |  |  | EUR |  |  | 90.36 |  |  | EUR |  |  | 3,529 |  |  |  | (5,979 | )
RELX PLC |  | Goldman Sachs International |  |  | 139,500 |  |  |  | 07/21/20 |  |  | EUR |  |  | 21.74 |  |  | EUR |  |  | 2,874 |  |  |  | (32,068 | )
Sonic Healthcare Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 34,800 |  |  |  | 07/21/20 |  |  | AUD |  |  | 29.70 |  |  | AUD |  |  | 1,059 |  |  |  | (32,035 | )
Tele2 AB, Class B |  | Credit Suisse International |  |  | 83,200 |  |  |  | 07/21/20 |  |  | SEK |  |  | 130.96 |  |  | SEK |  |  | 10,279 |  |  |  | (10,022 | )
Unilever PLC |  | Credit Suisse International |  |  | 53,700 |  |  |  | 07/21/20 |  |  | GBP |  |  | 44.66 |  |  | GBP |  |  | 2,339 |  |  |  | (47,804 | )
Cie Financiere Richemont SA, Registered Shares |  | Goldman Sachs International |  |  | 20,300 |  |  |  | 07/22/20 |  |  | CHF |  |  | 61.80 |  |  | CHF |  |  | 1,227 |  |  |  | (40,288 | )
DBS Group Holdings Ltd. |  | Citibank N.A. |  |  | 72,500 |  |  |  | 07/22/20 |  |  | SGD |  |  | 22.20 |  |  | SGD |  |  | 1,508 |  |  |  | (22,155 | )
SGS SA, Registered Shares |  | Goldman Sachs International |  |  | 700 |  |  |  | 07/22/20 |  |  | CHF |  |  | 2,300.10 |  |  | CHF |  |  | 1,621 |  |  |  | (47,057 | )
Sanofi |  | Goldman Sachs International |  |  | 30,100 |  |  |  | 07/22/20 |  |  | EUR |  |  | 93.11 |  |  | EUR |  |  | 2,729 |  |  |  | (43,830 | )
TELUS Corp. |  | Credit Suisse International |  |  | 239,100 |  |  |  | 07/22/20 |  |  | CAD |  |  | 24.50 |  |  | CAD |  |  | 5,444 |  |  |  | (8,517 | )
GlaxoSmithKline PLC |  | Goldman Sachs International |  |  | 213,200 |  |  |  | 07/23/20 |  |  | GBP |  |  | 16.89 |  |  | GBP |  |  | 3,489 |  |  |  | (39,505 | )
Koninklijke Philips NV |  | Goldman Sachs International |  |  | 14,600 |  |  |  | 07/23/20 |  |  | EUR |  |  | 42.42 |  |  | EUR |  |  | 606 |  |  |  | (14,444 | )
Nestle SA, Registered Shares |  | Credit Suisse International |  |  | 46,500 |  |  |  | 07/23/20 |  |  | CHF |  |  | 107.37 |  |  | CHF |  |  | 4,870 |  |  |  | (38,454 | )
Reckitt Benckiser Group PLC |  | Morgan Stanley & Co. International PLC |  |  | 11,700 |  |  |  | 07/23/20 |  |  | GBP |  |  | 70.34 |  |  | GBP |  |  | 870 |  |  |  | (64,760 | )
Schneider Electric SE |  | Goldman Sachs International |  |  | 26,000 |  |  |  | 07/24/20 |  |  | EUR |  |  | 94.41 |  |  | EUR |  |  | 2,571 |  |  |  | (192,446 | )
United Overseas Bank Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 18,571 |  |  |  | 07/24/20 |  |  | SGD |  |  | 22.78 |  |  | SGD |  |  | 376 |  |  |  | (2,141 | )
Amcor PLC |  | UBS AG |  |  | 237,400 |  |  |  | 07/29/20 |  |  | AUD |  |  | 15.23 |  |  | AUD |  |  | 3,438 |  |  |  | (40,597 | )
Ansell Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 21,600 |  |  |  | 07/29/20 |  |  | AUD |  |  | 36.49 |  |  | AUD |  |  | 793 |  |  |  | (22,516 | )
BAE Systems PLC |  | Goldman Sachs International |  |  | 391,700 |  |  |  | 07/29/20 |  |  | GBP |  |  | 5.27 |  |  | GBP |  |  | 1,893 |  |  |  | (19,180 | )
Diageo PLC |  | Goldman Sachs International |  |  | 9,400 |  |  |  | 07/29/20 |  |  | GBP |  |  | 29.65 |  |  | GBP |  |  | 252 |  |  |  | (1,517 | )
GlaxoSmithKline PLC |  | Goldman Sachs International |  |  | 108,600 |  |  |  | 07/29/20 |  |  | GBP |  |  | 16.90 |  |  | GBP |  |  | 1,777 |  |  |  | (25,002 | )
Koninklijke Philips NV |  | Goldman Sachs International |  |  | 9,200 |  |  |  | 07/29/20 |  |  | EUR |  |  | 43.07 |  |  | EUR |  |  | 382 |  |  |  | (7,917 | )

SCHEDULES OF INVESTMENTS |  |  | 53 |

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Global Dividend Trust (BOE)

OTC Options Written (continued)

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Reckitt Benckiser Group PLC |  | Credit Suisse International |  |  | 30,100 |  |  |  | 07/29/20 |  |  | GBP |  |  | 71.95 |  |  | GBP |  |  | 2,237 |  |  | $ | (122,726 | )
Taiwan Semiconductor Manufacturing Co. Ltd. |  | Goldman Sachs International |  |  | 107,000 |  |  |  | 07/29/20 |  |  | TWD |  |  | 330.72 |  |  | TWD |  |  | 33,491 |  |  |  | (3,613 | )
Tele2 AB, Class B |  | Credit Suisse International |  |  | 83,000 |  |  |  | 07/29/20 |  |  | SEK |  |  | 124.83 |  |  | SEK |  |  | 10,255 |  |  |  | (29,365 | )
BAE Systems PLC |  | UBS AG |  |  | 60,000 |  |  |  | 08/05/20 |  |  | GBP |  |  | 5.04 |  |  | GBP |  |  | 290 |  |  |  | (9,342 | )
Kone OYJ, Class B |  | UBS AG |  |  | 16,200 |  |  |  | 08/05/20 |  |  | EUR |  |  | 62.71 |  |  | EUR |  |  | 992 |  |  |  | (33,202 | )
Novartis AG, Registered Shares |  | UBS AG |  |  | 40,300 |  |  |  | 08/05/20 |  |  | CHF |  |  | 86.68 |  |  | CHF |  |  | 3,322 |  |  |  | (30,658 | )
Novo Nordisk A/S, Class B |  | UBS AG |  |  | 12,400 |  |  |  | 08/05/20 |  |  | DKK |  |  | 451.17 |  |  | DKK |  |  | 5,325 |  |  |  | (15,772 | )
Sonic Healthcare Ltd. |  | UBS AG |  |  | 77,000 |  |  |  | 08/05/20 |  |  | AUD |  |  | 31.24 |  |  | AUD |  |  | 2,343 |  |  |  | (38,506 | )
Taiwan Semiconductor Manufacturing Co. Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 168,000 |  |  |  | 08/05/20 |  |  | TWD |  |  | 323.85 |  |  | TWD |  |  | 52,584 |  |  |  | (15,807 | )
United Overseas Bank Ltd. |  | UBS AG |  |  | 123,900 |  |  |  | 08/05/20 |  |  | SGD |  |  | 21.04 |  |  | SGD |  |  | 2,506 |  |  |  | (66,876 | )
Ansell Ltd. |  | UBS AG |  |  | 31,100 |  |  |  | 08/12/20 |  |  | AUD |  |  | 37.80 |  |  | AUD |  |  | 1,141 |  |  |  | (18,361 | )
AstraZeneca PLC |  | Goldman Sachs International |  |  | 11,100 |  |  |  | 08/12/20 |  |  | GBP |  |  | 86.46 |  |  | GBP |  |  | 935 |  |  |  | (46,701 | )
Deutsche Post AG, Registered Shares |  | Goldman Sachs International |  |  | 100,200 |  |  |  | 08/12/20 |  |  | EUR |  |  | 31.75 |  |  | EUR |  |  | 3,262 |  |  |  | (206,412 | )
Heineken NV |  | Goldman Sachs International |  |  | 16,800 |  |  |  | 08/12/20 |  |  | EUR |  |  | 85.61 |  |  | EUR |  |  | 1,379 |  |  |  | (28,728 | )
|  |  | $ | (2,799,222 | )

Balances Reported in the Statements of Assets and Liabilities for Options Written

|  | Swap Premium Paid |  |  | Swap Premium Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |  |  | Value |
Options Written |  |  | N/A |  |  |  | N/A |  |  | $ | 2,533,206 |  |  | $ | (1,825,640 | ) |  | $ | (6,317,059 | )

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written at value |  | $ | — |  |  | $ | — |  |  | $ | 6,317,059 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 6,317,059 |

For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | (6,235,765 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (6,235,765 | )

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | 2,499,638 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2,499,638 |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Options: |
Average value of option contracts written |  | $ | 7,298,951 |

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

54 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced Global Dividend Trust (BOE)

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |  |  |  |  |  |  |  |
Options |  | $ | — |  |  | $ | 6,317,059 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (3,517,837 | )
Total derivative assets and liabilities subject to an MNA |  | $ | — |  |  | $ | 2,799,222 |

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

Counterparty |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset |  |  | Non-cash Collateral Pledged (a) |  |  | Cash Collateral Pledged |  |  | Net Amount of Derivative Liabilities (b) |
Citibank N.A. |  | $ | 255,528 |  |  | $ | — |  |  | $ | (26,285 | ) |  | $ | — |  |  | $ | 229,243 |
Credit Suisse International |  |  | 483,295 |  |  |  | — |  |  |  | (483,295 | ) |  |  | — |  |  |  | — |
Goldman Sachs International |  |  | 955,240 |  |  |  | — |  |  |  | (955,240 | ) |  |  | — |  |  |  | — |
JPMorgan Chase Bank N.A. |  |  | 47,054 |  |  |  | — |  |  |  | (47,054 | ) |  |  | — |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | 194,857 |  |  |  | — |  |  |  | (194,857 | ) |  |  | — |  |  |  | — |
UBS AG |  |  | 863,248 |  |  |  | — |  |  |  | (863,248 | ) |  |  | — |  |  |  | — |
|  | $ | 2,799,222 |  |  | $ | — |  |  | $ | (2,569,979 | ) |  | $ | — |  |  | $ | 229,243 |

| (a) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

| (b) | Net amount represents the net amount receivable from the counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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: |
Common Stocks: |
Australia |  | $ | — |  |  | $ | 18,561,069 |  |  | $ | 3 |  |  | $ | 18,561,072 |
Canada |  |  | 35,370,073 |  |  |  | — |  |  |  | — |  |  |  | 35,370,073 |
Denmark |  |  | — |  |  |  | 11,350,755 |  |  |  | — |  |  |  | 11,350,755 |
Finland |  |  | — |  |  |  | 8,557,099 |  |  |  | — |  |  |  | 8,557,099 |
France |  |  | — |  |  |  | 30,990,983 |  |  |  | — |  |  |  | 30,990,983 |
Germany |  |  | — |  |  |  | 10,509,588 |  |  |  | — |  |  |  | 10,509,588 |
India |  |  | — |  |  |  | — |  |  |  | 841,210 |  |  |  | 841,210 |
Netherlands |  |  | 28,737,861 |  |  |  | — |  |  |  | — |  |  |  | 28,737,861 |
Singapore |  |  | — |  |  |  | 15,254,641 |  |  |  | — |  |  |  | 15,254,641 |
Sweden |  |  | — |  |  |  | 7,372,568 |  |  |  | — |  |  |  | 7,372,568 |
Switzerland |  |  | — |  |  |  | 47,329,439 |  |  |  | — |  |  |  | 47,329,439 |
Taiwan |  |  | — |  |  |  | 6,525,182 |  |  |  | — |  |  |  | 6,525,182 |
United Kingdom |  |  | 9,853,273 |  |  |  | 103,049,129 |  |  |  | — |  |  |  | 112,902,402 |
United States |  |  | 343,911,739 |  |  |  | 12,498,389 |  |  |  | — |  |  |  | 356,410,128 |
Short Term Securities |  |  | 500,656 |  |  |  | — |  |  |  | — |  |  |  | 500,656 |
Preferred Stock |  |  | — |  |  |  | — |  |  |  | 3,495,456 |  |  |  | 3,495,456 |
|  | $ | 418,373,602 |  |  | $ | 271,998,842 |  |  | $ | 4,336,669 |  |  | $ | 694,709,113 |
Derivative Financial Instruments(a) |
Liabilities: |
Equity contracts |  | $ | (3,430,036 | ) |  | $ | (2,887,023 | ) |  | $ | — |  |  | $ | (6,317,059 | )

The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

| (a) | Derivative financial instruments are options written. Options written are shown at value. |

See notes to financial statements.

SCHEDULES OF INVESTMENTS |  |  | 55 |

Schedule of Investments (unaudited) June 30, 2020 |  | BlackRock Enhanced International Dividend Trust (BGY) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Common Stocks — 97.6% |
Australia — 6.1% |
Ansell Ltd. |  |  | 594,743 |  |  | $ | 15,118,340 |
Sonic Healthcare Ltd. |  |  | 1,057,925 |  |  |  | 22,339,991 |
|  |  |  | 37,458,331 |
Canada — 8.3% |
Rogers Communications, Inc., Class B |  |  | 523,032 |  |  |  | 21,016,054 |
TELUS Corp. |  |  | 1,807,028 |  |  |  | 30,307,917 |
|  |  |  | 51,323,971 |
Denmark — 3.4% |
Novo Nordisk A/S, Class B |  |  | 323,908 |  |  |  | 21,101,872 |
Finland — 3.2% |
Kone OYJ, Class B |  |  | 286,790 |  |  |  | 19,779,727 |
France — 8.0% |
Sanofi |  |  | 289,945 |  |  |  | 29,569,913 |
Schneider Electric SE |  |  | 177,395 |  |  |  | 19,732,819 |
|  |  |  | 49,302,732 |
Germany — 3.5% |
Deutsche Post AG, Registered Shares |  |  | 583,422 |  |  |  | 21,423,167 |
India — 0.2% |
Jasper Infotech Private Ltd., Series I, (Acquired 08/08/15, cost $3,948,600)(a)(b) |  |  | 5,300 |  |  |  | 1,259,439 |
Netherlands — 7.7% |
Heineken NV |  |  | 278,778 |  |  |  | 25,701,763 |
Koninklijke Philips NV(c) |  |  | 464,302 |  |  |  | 21,658,621 |
|  |  |  | 47,360,384 |
Singapore — 4.6% |
DBS Group Holdings Ltd. |  |  | 1,013,900 |  |  |  | 15,255,971 |
United Overseas Bank Ltd. |  |  | 916,400 |  |  |  | 13,390,312 |
|  |  |  | 28,646,283 |
Sweden — 2.9% |
Tele2 AB, Class B |  |  | 1,323,966 |  |  |  | 17,624,435 |
Switzerland — 15.2% |
Cie Financiere Richemont SA, Registered Shares |  |  | 255,698 |  |  |  | 16,492,601 |
Nestle SA, Registered Shares |  |  | 259,588 |  |  |  | 28,780,684 |
Novartis AG, Registered Shares |  |  | 354,161 |  |  |  | 30,854,866 |
SGS SA, Registered Shares |  |  | 7,273 |  |  |  | 17,816,258 |
|  |  |  | 93,944,409 |
Taiwan — 2.7% |
Taiwan Semiconductor Manufacturing Co. Ltd. |  |  | 1,535,000 |  |  |  | 16,393,051 |
United Kingdom — 28.5% |
AstraZeneca PLC |  |  | 131,433 |  |  |  | 13,678,811 |
BAE Systems PLC |  |  | 3,849,818 |  |  |  | 23,019,835 |

Security |  | Shares |  |  | Value |
United Kingdom (continued) |
British American Tobacco PLC |  |  | 717,913 |  |  | $ | 27,533,987 |
Diageo PLC |  |  | 519,826 |  |  |  | 17,277,637 |
GlaxoSmithKline PLC |  |  | 1,056,543 |  |  |  | 21,341,837 |
Reckitt Benckiser Group PLC |  |  | 230,060 |  |  |  | 21,165,156 |
RELX PLC |  |  | 760,217 |  |  |  | 17,594,532 |
Unilever PLC |  |  | 637,151 |  |  |  | 34,368,614 |
|  |  |  | 175,980,409 |
United States — 3.3% |
Amcor PLC |  |  | 2,012,711 |  |  |  | 20,328,665 |
Total Common Stocks — 97.6% (Cost — $558,224,457) |  |  |  | 601,926,875 |
Preferred Stock — 0.7% |
China — 0.7% |
Xiaoju Kuaizhi, Inc., Series A-17, (Acquired 07/28/15, cost $ 2,106,332), 0.00%(a)(b) |  |  | 76,800 |  |  |  | 3,992,832 |
Total Preferred Securities— 0.7% (Cost — $2,106,332) |  |  |  | 3,992,832 |
Total Long-Term Investments — 98.3% (Cost — $560,330,789) |  |  |  | 605,919,707 |
Short-Term Securities — 0.2% |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(d)(e) |  |  | 1,439,314 |  |  |  | 1,439,314 |
Total Short-Term Securities — 0.2% (Cost — $1,439,314) |  |  |  | 1,439,314 |
Total Investments Before Options Written — 98.5% (Cost — $561,770,103) |  |  |  | 607,359,021 |
Options Written — (0.9)% (Premiums Received — $5,554,320) |  |  |  | (5,623,423 | )
Total Investments, Net of Options Written — 97.6% (Cost — $556,215,783) |  |  |  | 601,735,598 |
Other Assets Less Liabilities — 2.4% |  |  |  | 14,814,103 |
Net Assets — 100.0% |  |  | $ | 616,549,701 |

(a) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(b) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $5,252,271, representing 0.9% of its net assets as of period end, and an original cost of $6,054,932.

(c) | Non-income producing security.

(d) | Annualized 7-day yield as of period end.

(e) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Shares Held at 12/31/19 |  |  | Shares Purchased |  |  | Shares Sold |  |  | Shares Held at 06/30/20 |  |  | Value at 06/30/20 |  |  | Income |  |  | Net Realized Gain (Loss) (a) |  |  | Change in Unrealized Appreciation (Depreciation) |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  |  | 17,518,842 |  |  |  | — |  |  |  | (16,079,528 | )(b) |  |  | 1,439,314 |  |  | $ | 1,439,314 |  |  | $ | 55,261 |  |  | $ | — |  |  | $ | — |

| (a) | Includes net capital gain distributions, if applicable. |

| (b) | Represents net shares purchased (sold). |

56 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced International Dividend Trust (BGY)

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 such industry sub-classifications for reporting ease.

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Rogers Communications, Inc., Class B |  |  | 715 |  |  |  | 07/17/20 |  |  | CAD |  |  | 60.00 |  |  | CAD |  |  | 3,900 |  |  | $ | (3,160 | )
Rogers Communications, Inc., Class B |  |  | 29 |  |  |  | 07/17/20 |  |  | CAD |  |  | 56.00 |  |  | CAD |  |  | 158 |  |  |  | (1,346 | )
TELUS Corp. |  |  | 2,631 |  |  |  | 07/17/20 |  |  | CAD |  |  | 25.00 |  |  | CAD |  |  | 5,991 |  |  |  | (7,752 | )
Rogers Communications, Inc., Class B |  |  | 543 |  |  |  | 08/21/20 |  |  | CAD |  |  | 58.00 |  |  | CAD |  |  | 2,962 |  |  |  | (34,997 | )
TELUS Corp. |  |  | 2,631 |  |  |  | 08/21/20 |  |  | CAD |  |  | 25.00 |  |  | CAD |  |  | 5,991 |  |  |  | (24,225 | )
|  |  | $ | (71,480 | )

OTC Options Written

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |
BAE Systems PLC |  | UBS AG |  |  | 440,500 |  |  |  | 07/01/20 |  |  | GBP |  |  | 5.08 |  |  |  | GBP |  |  |  | 2,129 |  |  | $ | (597 | )
Novartis AG, Registered Shares |  | UBS AG |  |  | 73,400 |  |  |  | 07/01/20 |  |  | CHF |  |  | 84.43 |  |  |  | CHF |  |  |  | 6,050 |  |  |  | (3,668 | )
Novo Nordisk A/S, Class B |  | UBS AG |  |  | 53,600 |  |  |  | 07/01/20 |  |  | DKK |  |  | 451.07 |  |  |  | DKK |  |  |  | 23,016 |  |  |  | (759 | )
Ansell Ltd. |  | Citibank N.A. |  |  | 98,900 |  |  |  | 07/07/20 |  |  | AUD |  |  | 32.76 |  |  |  | AUD |  |  |  | 3,630 |  |  |  | (278,189 | )
British American Tobacco PLC |  | UBS AG |  |  | 84,900 |  |  |  | 07/07/20 |  |  | GBP |  |  | 32.78 |  |  |  | GBP |  |  |  | 2,636 |  |  |  | (7,843 | )
DBS Group Holdings Ltd. |  | Goldman Sachs International |  |  | 64,200 |  |  |  | 07/07/20 |  |  | SGD |  |  | 20.12 |  |  |  | SGD |  |  |  | 1,335 |  |  |  | (48,167 | )
Diageo PLC |  | Morgan Stanley & Co. International PLC |  |  | 151,200 |  |  |  | 07/07/20 |  |  | GBP |  |  | 29.99 |  |  |  | GBP |  |  |  | 4,054 |  |  |  | (43 | )
Heineken NV |  | Credit Suisse International |  |  | 55,900 |  |  |  | 07/07/20 |  |  | EUR |  |  | 78.77 |  |  |  | EUR |  |  |  | 4,587 |  |  |  | (227,573 | )
Koninklijke Philips NV |  | UBS AG |  |  | 114,500 |  |  |  | 07/07/20 |  |  | EUR |  |  | 41.14 |  |  |  | EUR |  |  |  | 4,754 |  |  |  | (115,304 | )
Nestle SA, Registered Shares |  | Credit Suisse International |  |  | 25,900 |  |  |  | 07/07/20 |  |  | CHF |  |  | 109.37 |  |  |  | CHF |  |  |  | 2,713 |  |  |  | (645 | )
Sonic Healthcare Ltd. |  | UBS AG |  |  | 95,000 |  |  |  | 07/07/20 |  |  | AUD |  |  | 27.62 |  |  |  | AUD |  |  |  | 2,981 |  |  |  | (195,385 | )
Kone OYJ, Class B |  | UBS AG |  |  | 42,100 |  |  |  | 07/08/20 |  |  | EUR |  |  | 62.97 |  |  |  | EUR |  |  |  | 2,577 |  |  |  | (31,759 | )
RELX PLC |  | UBS AG |  |  | 40,700 |  |  |  | 07/08/20 |  |  | EUR |  |  | 21.85 |  |  |  | EUR |  |  |  | 838 |  |  |  | (2,027 | )
Rogers Communications, Inc., Class B |  | Goldman Sachs International |  |  | 52,300 |  |  |  | 07/08/20 |  |  | CAD |  |  | 59.04 |  |  |  | CAD |  |  |  | 2,853 |  |  |  | (646 | )
Unilever PLC |  | Credit Suisse International |  |  | 188,400 |  |  |  | 07/08/20 |  |  | GBP |  |  | 42.46 |  |  |  | GBP |  |  |  | 8,205 |  |  |  | (354,038 | )
Amcor PLC |  | UBS AG |  |  | 334,800 |  |  |  | 07/09/20 |  |  | AUD |  |  | 15.24 |  |  |  | AUD |  |  |  | 4,848 |  |  |  | (19,405 | )
Sanofi |  | UBS AG |  |  | 34,900 |  |  |  | 07/09/20 |  |  | EUR |  |  | 91.04 |  |  |  | EUR |  |  |  | 3,164 |  |  |  | (60,369 | )
Schneider Electric SE |  | Citibank N.A. |  |  | 52,700 |  |  |  | 07/09/20 |  |  | EUR |  |  | 93.63 |  |  |  | EUR |  |  |  | 5,211 |  |  |  | (360,389 | )
Ansell Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 70,900 |  |  |  | 07/14/20 |  |  | AUD |  |  | 35.80 |  |  |  | AUD |  |  |  | 2,602 |  |  |  | (71,893 | )
AstraZeneca PLC |  | Credit Suisse International |  |  | 40,200 |  |  |  | 07/14/20 |  |  | GBP |  |  | 89.15 |  |  |  | GBP |  |  |  | 3,385 |  |  |  | (46,914 | )
BAE Systems PLC |  | UBS AG |  |  | 126,400 |  |  |  | 07/14/20 |  |  | GBP |  |  | 5.24 |  |  |  | GBP |  |  |  | 611 |  |  |  | (2,362 | )
British American Tobacco PLC |  | Credit Suisse International |  |  | 97,000 |  |  |  | 07/14/20 |  |  | GBP |  |  | 34.06 |  |  |  | GBP |  |  |  | 3,001 |  |  |  | (2,931 | )
DBS Group Holdings Ltd. |  | Goldman Sachs International |  |  | 145,300 |  |  |  | 07/14/20 |  |  | SGD |  |  | 20.22 |  |  |  | SGD |  |  |  | 3,022 |  |  |  | (120,206 | )
Deutsche Post AG, Registered Shares |  | UBS AG |  |  | 69,600 |  |  |  | 07/14/20 |  |  | EUR |  |  | 30.09 |  |  |  | EUR |  |  |  | 2,265 |  |  |  | (217,824 | )
Novartis AG, Registered Shares |  | UBS AG |  |  | 29,400 |  |  |  | 07/14/20 |  |  | CHF |  |  | 84.21 |  |  |  | CHF |  |  |  | 2,423 |  |  |  | (24,168 | )
Novo Nordisk A/S, Class B |  | UBS AG |  |  | 56,600 |  |  |  | 07/14/20 |  |  | DKK |  |  | 445.26 |  |  |  | DKK |  |  |  | 24,304 |  |  |  | (41,824 | )
Sanofi |  | UBS AG |  |  | 39,800 |  |  |  | 07/14/20 |  |  | EUR |  |  | 89.69 |  |  |  | EUR |  |  |  | 3,608 |  |  |  | (116,453 | )
Sonic Healthcare Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 184,800 |  |  |  | 07/14/20 |  |  | AUD |  |  | 29.94 |  |  |  | AUD |  |  |  | 5,623 |  |  |  | (134,831 | )
Tele2 AB, Class B |  | Morgan Stanley & Co. International PLC |  |  | 81,600 |  |  |  | 07/14/20 |  |  | SEK |  |  | 129.26 |  |  |  | SEK |  |  |  | 10,082 |  |  |  | (9,039 | )
Amcor PLC |  | Morgan Stanley & Co. International PLC |  |  | 400,000 |  |  |  | 07/15/20 |  |  | AUD |  |  | 15.48 |  |  |  | AUD |  |  |  | 5,792 |  |  |  | (27,879 | )
Ansell Ltd. |  | Citibank N.A. |  |  | 62,500 |  |  |  | 07/15/20 |  |  | AUD |  |  | 36.77 |  |  |  | AUD |  |  |  | 2,294 |  |  |  | (38,799 | )
Cie Financiere Richemont SA, Registered Shares |  | UBS AG |  |  | 48,500 |  |  |  | 07/15/20 |  |  | CHF |  |  | 64.39 |  |  |  | CHF |  |  |  | 2,931 |  |  |  | (43,951 | )
Kone OYJ, Class B |  | UBS AG |  |  | 24,200 |  |  |  | 07/15/20 |  |  | EUR |  |  | 64.05 |  |  |  | EUR |  |  |  | 1,482 |  |  |  | (20,507 | )
Nestle SA, Registered Shares |  | Goldman Sachs International |  |  | 41,500 |  |  |  | 07/15/20 |  |  | CHF |  |  | 104.74 |  |  |  | CHF |  |  |  | 4,347 |  |  |  | (67,444 | )
Reckitt Benckiser Group PLC |  | Goldman Sachs International |  |  | 51,000 |  |  |  | 07/15/20 |  |  | GBP |  |  | 72.94 |  |  |  | GBP |  |  |  | 3,790 |  |  |  | (136,301 | )
SGS SA, Registered Shares |  | Credit Suisse International |  |  | 1,300 |  |  |  | 07/15/20 |  |  | CHF |  |  | 2,462.73 |  |  |  | CHF |  |  |  | 3,010 |  |  |  | (4,460 | )
Unilever PLC |  | UBS AG |  |  | 28,500 |  |  |  | 07/15/20 |  |  | GBP |  |  | 44.18 |  |  |  | GBP |  |  |  | 1,241 |  |  |  | (26,224 | )
BAE Systems PLC |  | Goldman Sachs International |  |  | 468,000 |  |  |  | 07/21/20 |  |  | GBP |  |  | 5.27 |  |  |  | GBP |  |  |  | 2,262 |  |  |  | (13,023 | )
British American Tobacco PLC |  | UBS AG |  |  | 54,000 |  |  |  | 07/21/20 |  |  | GBP |  |  | 34.04 |  |  |  | GBP |  |  |  | 1,676 |  |  |  | (4,534 | )
Diageo PLC |  | Credit Suisse International |  |  | 20,600 |  |  |  | 07/21/20 |  |  | GBP |  |  | 29.81 |  |  |  | GBP |  |  |  | 552 |  |  |  | (2,182 | )
Heineken NV |  | Credit Suisse International |  |  | 29,000 |  |  |  | 07/21/20 |  |  | EUR |  |  | 90.36 |  |  |  | EUR |  |  |  | 2,380 |  |  |  | (4,032 | )

SCHEDULES OF INVESTMENTS |  | 57

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced International Dividend Trust (BGY)

OTC Options Written (continued)

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
RELX PLC |  | Goldman Sachs International |  |  | 116,500 |  |  |  | 07/21/20 |  |  | EUR |  |  | 21.74 |  |  |  | EUR |  |  |  | 2,400 |  |  | $ | (26,781 | )
Sonic Healthcare Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 109,800 |  |  |  | 07/21/20 |  |  | AUD |  |  | 29.70 |  |  |  | AUD |  |  |  | 3,341 |  |  |  | (101,076 | )
Tele2 AB, Class B |  | Credit Suisse International |  |  | 268,000 |  |  |  | 07/21/20 |  |  | SEK |  |  | 130.96 |  |  |  | SEK |  |  |  | 33,111 |  |  |  | (32,283 | )
Unilever PLC |  | Credit Suisse International |  |  | 69,800 |  |  |  | 07/21/20 |  |  | GBP |  |  | 44.66 |  |  |  | GBP |  |  |  | 3,040 |  |  |  | (62,137 | )
DBS Group Holdings Ltd. |  | Citibank N.A. |  |  | 145,300 |  |  |  | 07/22/20 |  |  | SGD |  |  | 22.20 |  |  |  | SGD |  |  |  | 3,022 |  |  |  | (44,402 | )
Cie Financiere Richemont SA, Registered Shares |  | Goldman Sachs International |  |  | 57,500 |  |  |  | 07/22/20 |  |  | CHF |  |  | 61.80 |  |  |  | CHF |  |  |  | 3,475 |  |  |  | (114,117 | )
SGS SA, Registered Shares |  | Goldman Sachs International |  |  | 1,900 |  |  |  | 07/22/20 |  |  | CHF |  |  | 2,300.10 |  |  |  | CHF |  |  |  | 5,049 |  |  |  | (127,726 | )
Sanofi |  | Goldman Sachs International |  |  | 55,700 |  |  |  | 07/22/20 |  |  | EUR |  |  | 93.11 |  |  |  | EUR |  |  |  | 4,399 |  |  |  | (81,107 | )
TELUS Corp. |  | Credit Suisse International |  |  | 287,000 |  |  |  | 07/22/20 |  |  | CAD |  |  | 24.50 |  |  |  | CAD |  |  |  | 6,535 |  |  |  | (10,223 | )
GlaxoSmithKline PLC |  | Goldman Sachs International |  |  | 115,100 |  |  |  | 07/23/20 |  |  | GBP |  |  | 16.89 |  |  |  | GBP |  |  |  | 1,884 |  |  |  | (21,327 | )
Koninklijke Philips NV |  | Goldman Sachs International |  |  | 59,900 |  |  |  | 07/23/20 |  |  | EUR |  |  | 42.42 |  |  |  | EUR |  |  |  | 2,487 |  |  |  | (59,262 | )
Nestle SA, Registered Shares |  | Credit Suisse International |  |  | 67,300 |  |  |  | 07/23/20 |  |  | CHF |  |  | 107.37 |  |  |  | CHF |  |  |  | 7,049 |  |  |  | (55,656 | )
Reckitt Benckiser Group PLC |  | Morgan Stanley & Co. International PLC |  |  | 23,700 |  |  |  | 07/23/20 |  |  | GBP |  |  | 70.34 |  |  |  | GBP |  |  |  | 1,761 |  |  |  | (131,181 | )
Schneider Electric SE |  | Goldman Sachs International |  |  | 18,800 |  |  |  | 07/24/20 |  |  | EUR |  |  | 94.41 |  |  |  | EUR |  |  |  | 1,859 |  |  |  | (139,153 | )
United Overseas Bank Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 59,346 |  |  |  | 07/24/20 |  |  | SGD |  |  | 22.78 |  |  |  | SGD |  |  |  | 1,201 |  |  |  | (6,841 | )
Amcor PLC |  | UBS AG |  |  | 170,900 |  |  |  | 07/29/20 |  |  | AUD |  |  | 15.23 |  |  |  | AUD |  |  |  | 2,475 |  |  |  | (29,225 | )
Ansell Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 56,400 |  |  |  | 07/29/20 |  |  | AUD |  |  | 36.49 |  |  |  | AUD |  |  |  | 2,070 |  |  |  | (58,792 | )
BAE Systems PLC |  | Goldman Sachs International |  |  | 468,000 |  |  |  | 07/29/20 |  |  | GBP |  |  | 5.27 |  |  |  | GBP |  |  |  | 2,262 |  |  |  | (22,916 | )
Diageo PLC |  | Goldman Sachs International |  |  | 62,100 |  |  |  | 07/29/20 |  |  | GBP |  |  | 29.65 |  |  |  | GBP |  |  |  | 1,665 |  |  |  | (10,022 | )
GlaxoSmithKline PLC |  | Goldman Sachs International |  |  | 360,300 |  |  |  | 07/29/20 |  |  | GBP |  |  | 16.90 |  |  |  | GBP |  |  |  | 5,897 |  |  |  | (82,947 | )
Kone OYJ, Class B |  | Morgan Stanley & Co. International PLC |  |  | 28,600 |  |  |  | 07/29/20 |  |  | EUR |  |  | 62.44 |  |  |  | EUR |  |  |  | 1,751 |  |  |  | (58,229 | )
Koninklijke Philips NV |  | Goldman Sachs International |  |  | 34,600 |  |  |  | 07/29/20 |  |  | EUR |  |  | 43.07 |  |  |  | EUR |  |  |  | 1,437 |  |  |  | (29,773 | )
Reckitt Benckiser Group PLC |  | Credit Suisse International |  |  | 51,800 |  |  |  | 07/29/20 |  |  | GBP |  |  | 71.95 |  |  |  | GBP |  |  |  | 3,850 |  |  |  | (211,203 | )
Relx PLC |  | Goldman Sachs International |  |  | 184,800 |  |  |  | 07/29/20 |  |  | EUR |  |  | 22.04 |  |  |  | EUR |  |  |  | 3,807 |  |  |  | (36,801 | )
Taiwan Semiconductor Manufacturing Co. Ltd. |  | Goldman Sachs International |  |  | 425,000 |  |  |  | 07/29/20 |  |  | TWD |  |  | 330.72 |  |  |  | TWD |  |  |  | 133,025 |  |  |  | (14,352 | )
Tele2 AB, Class B |  | Credit Suisse International |  |  | 199,900 |  |  |  | 07/29/20 |  |  | SEK |  |  | 124.83 |  |  |  | SEK |  |  |  | 24,698 |  |  |  | (70,723 | )
United Overseas Bank Ltd. |  | Goldman Sachs International |  |  | 50,100 |  |  |  | 07/29/20 |  |  | SGD |  |  | 21.62 |  |  |  | SGD |  |  |  | 1,014 |  |  |  | (16,652 | )
BAE Systems PLC |  | UBS AG |  |  | 229,500 |  |  |  | 08/05/20 |  |  | GBP |  |  | 5.04 |  |  |  | GBP |  |  |  | 1,109 |  |  |  | (35,733 | )
Kone OYJ, Class B |  | UBS AG |  |  | 62,800 |  |  |  | 08/05/20 |  |  | EUR |  |  | 62.71 |  |  |  | EUR |  |  |  | 3,845 |  |  |  | (128,711 | )
Novartis AG, Registered Shares |  | UBS AG |  |  | 66,500 |  |  |  | 08/05/20 |  |  | CHF |  |  | 86.68 |  |  |  | CHF |  |  |  | 5,481 |  |  |  | (50,589 | )
Novo Nordisk A/S, Class B |  | UBS AG |  |  | 68,000 |  |  |  | 08/05/20 |  |  | DKK |  |  | 451.17 |  |  |  | DKK |  |  |  | 29,199 |  |  |  | (86,490 | )
Sonic Healthcare Ltd. |  | UBS AG |  |  | 86,400 |  |  |  | 08/05/20 |  |  | AUD |  |  | 31.24 |  |  |  | AUD |  |  |  | 2,629 |  |  |  | (43,206 | )
Taiwan Semiconductor Manufacturing Co. Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 266,000 |  |  |  | 08/05/20 |  |  | TWD |  |  | 323.85 |  |  |  | TWD |  |  |  | 83,258 |  |  |  | (25,028 | )
United Overseas Bank Ltd. |  | UBS AG |  |  | 110,700 |  |  |  | 08/05/20 |  |  | SGD |  |  | 21.04 |  |  |  | SGD |  |  |  | 2,239 |  |  |  | (59,751 | )
Ansell Ltd. |  | UBS AG |  |  | 38,400 |  |  |  | 08/12/20 |  |  | AUD |  |  | 37.80 |  |  |  | AUD |  |  |  | 1,409 |  |  |  | (22,671 | )
AstraZeneca PLC |  | Goldman Sachs International |  |  | 32,100 |  |  |  | 08/12/20 |  |  | GBP |  |  | 86.46 |  |  |  | GBP |  |  |  | 2,703 |  |  |  | (135,053 | )
Deutsche Post AG, Registered Shares |  | Goldman Sachs International |  |  | 134,600 |  |  |  | 08/12/20 |  |  | EUR |  |  | 31.75 |  |  |  | EUR |  |  |  | 4,381 |  |  |  | (277,276 | )
Heineken NV |  | Goldman Sachs International |  |  | 40,500 |  |  |  | 08/12/20 |  |  | EUR |  |  | 85.61 |  |  |  | EUR |  |  |  | 3,323 |  |  |  | (69,255 | )
Nestle SA, Registered Shares |  | Morgan Stanley & Co. International PLC |  |  | 8,100 |  |  |  | 08/12/20 |  |  | CHF |  |  | 105.83 |  |  |  | CHF |  |  |  | 848 |  |  |  | (17,384 | )
Schneider Electric SE |  | Morgan Stanley & Co. International PLC |  |  | 8,300 |  |  |  | 08/12/20 |  |  | EUR |  |  | 102.84 |  |  |  | EUR |  |  |  | 821 |  |  |  | (25,256 | )
Tele2 AB, Class B |  | Goldman Sachs International |  |  | 46,200 |  |  |  | 08/12/20 |  |  | SEK |  |  | 127.26 |  |  |  | SEK |  |  |  | 5,708 |  |  |  | (11,482 | )
United Overseas Bank Ltd. |  | UBS AG |  |  | 100,000 |  |  |  | 08/12/20 |  |  | SGD |  |  | 20.63 |  |  |  | SGD |  |  |  | 2,023 |  |  |  | (24,564 | )
|  |  | $ | (5,551,943 | )

Balances Reported in the Statements of Assets and Liabilities for Options Written

|  | Swap Premium Paid |  |  | Swap Premium Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |  |  | Value |
Options Written |  |  | N/A |  |  |  | N/A |  |  | $ | 2,066,866 |  |  | $ | (2,135,969 | ) |  | $ | (5,623,423 | )

58 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced International Dividend Trust (BGY)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Liabilities — Derivative Financial Instrument |
Options written |
Options written at value |  | $ | — |  |  | $ | — |  |  | $ | 5,623,423 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 5,623,423 |

For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | (7,138,108 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (7,138,108 | )

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  |  | 1,758,197 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,758,197 |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Options: |
Average value of option contracts written |  | $ | 6,135,486 |

For more information about the Trust’s Investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |  |  |  |  |  |  |  |
Options |  | $ | — |  |  | $ | 5,623,423 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (71,480 | )
Total derivative assets and liabilities subject to an MNA |  | $ | — |  |  | $ | 5,551,943 |

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

Counterparty |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset |  |  | Non-cash Collateral Pledged (a) |  |  | Cash Collateral Pledged |  |  | Net Amount of Derivative Liabilities (b) |
Citibank N.A. |  | $ | 721,779 |  |  | $ | — |  |  | $ | (368,000) |  |  | $ | — |  |  | $ | 353,779 |
Credit Suisse International |  |  | 1,085,000 |  |  |  | — |  |  |  | (1,085,000 | ) |  |  | — |  |  |  | — |
Goldman Sachs International |  |  | 1,661,789 |  |  |  | — |  |  |  | (1,482,000 | ) |  |  | — |  |  |  | 179,789 |
JPMorgan Chase Bank N.A. |  |  | 179,810 |  |  |  | — |  |  |  | (179,810 | ) |  |  | — |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | 487,662 |  |  |  | — |  |  |  | (487,662 | ) |  |  | — |  |  |  | — |
UBS AG |  |  | 1,415,903 |  |  |  | — |  |  |  | (1,415,903 | ) |  |  | — |  |  |  | — |
|  | $ | 5,551,943 |  |  | $ | — |  |  | $ | (5,018,375 | ) |  | $ | — |  |  | $ | 533,568 |

| (a) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

| (b) | Net amount represents the net amount receivable from the counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |

SCHEDULES OF INVESTMENTS |  | 59

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Enhanced International Dividend Trust (BGY)

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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: |
Common Stocks: |
Australia |  | $ | — |  |  | $ | 37,458,331 |  |  | $ | — |  |  | $ | 37,458,331 |
Canada |  |  | 51,323,971 |  |  |  | — |  |  |  | — |  |  |  | 51,323,971 |
Denmark |  |  | — |  |  |  | 21,101,872 |  |  |  | — |  |  |  | 21,101,872 |
Finland |  |  | — |  |  |  | 19,779,727 |  |  |  | — |  |  |  | 19,779,727 |
France |  |  | — |  |  |  | 49,302,732 |  |  |  | — |  |  |  | 49,302,732 |
Germany |  |  | — |  |  |  | 21,423,167 |  |  |  | — |  |  |  | 21,423,167 |
India |  |  | — |  |  |  | — |  |  |  | 1,259,439 |  |  |  | 1,259,439 |
Netherlands |  |  | 25,701,763 |  |  |  | 21,658,621 |  |  |  | — |  |  |  | 47,360,384 |
Singapore |  |  | — |  |  |  | 28,646,283 |  |  |  | — |  |  |  | 28,646,283 |
Sweden |  |  | — |  |  |  | 17,624,435 |  |  |  | — |  |  |  | 17,624,435 |
Switzerland |  |  | — |  |  |  | 93,944,409 |  |  |  | — |  |  |  | 93,944,409 |
Taiwan |  |  | — |  |  |  | 16,393,051 |  |  |  | — |  |  |  | 16,393,051 |
United Kingdom |  |  | 17,594,532 |  |  |  | 158,385,877 |  |  |  | — |  |  |  | 175,980,409 |
United States |  |  | — |  |  |  | 20,328,665 |  |  |  | — |  |  |  | 20,328,665 |
Preferred Stock |  |  | — |  |  |  | — |  |  |  | 3,992,832 |  |  |  | 3,992,832 |
Short-Term Securities |  |  | 1,439,314 |  |  |  | — |  |  |  | — |  |  |  | 1,439,314 |
|  | $ | 96,059,580 |  |  | $ | 506,047,170 |  |  | $ | 5,252,271 |  |  | $ | 607,359,021 |
Derivative Financial Instruments(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Liabilities: |
Equity contracts |  | $ | (71,480 | ) |  | $ | (5,551,943 | ) |  | $ | — |  |  | $ | (5,623,423 | )

The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

| (a) | Derivative financial instruments are options written. Options written are shown at value. |

See notes to financial statements.

60 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) June 30, 2020 |  | BlackRock Health Sciences Trust (BME) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Common Stocks — 100.2% |
Biotechnology — 23.2% |
ACADIA Pharmaceuticals, Inc.(a) |  |  | 10,520 |  |  | $ | 509,904 |
Acceleron Pharma, Inc.(a)(b) |  |  | 38,131 |  |  |  | 3,632,740 |
Acerta Pharma BV, Series B, (Acquired 2/01/16, cost $986,402)(c)(d) |  |  | 17,146,440 |  |  |  | 2,256,300 |
Agios Pharmaceuticals, Inc.(a)(b) |  |  | 25,150 |  |  |  | 1,345,022 |
Alector, Inc.(a) |  |  | 21,341 |  |  |  | 521,574 |
Alexion Pharmaceuticals, Inc.(a) |  |  | 26,878 |  |  |  | 3,016,787 |
Allakos, Inc.(a)(b) |  |  | 31,025 |  |  |  | 2,229,457 |
Allogene Therapeutics, Inc.(a) |  |  | 30,786 |  |  |  | 1,318,257 |
Alnylam Pharmaceuticals, Inc.(a)(b) |  |  | 31,968 |  |  |  | 4,734,780 |
Amgen, Inc. |  |  | 59,118 |  |  |  | 13,943,571 |
Apellis Pharmaceuticals, Inc.(a)(b) |  |  | 22,450 |  |  |  | 733,217 |
Arcutis Biotherapeutics, Inc.(a) |  |  | 5,322 |  |  |  | 160,937 |
Arena Pharmaceuticals, Inc.(a) |  |  | 29,254 |  |  |  | 1,841,539 |
ARYA Sciences Acquisition Corp. II(a) |  |  | 12,589 |  |  |  | 146,032 |
Atreca, Inc., Class A(a) |  |  | 19,453 |  |  |  | 413,960 |
Biogen, Inc.(a)(b) |  |  | 10,940 |  |  |  | 2,926,997 |
BioMarin Pharmaceutical, Inc.(a)(b) |  |  | 55,788 |  |  |  | 6,880,892 |
Blueprint Medicines Corp.(a)(b) |  |  | 9,623 |  |  |  | 750,594 |
ChemoCentryx, Inc.(a)(b) |  |  | 7,300 |  |  |  | 420,042 |
Corbus Pharmaceuticals Holdings, Inc.(a)(b) |  |  | 29,797 |  |  |  | 249,997 |
Dicerna Pharmaceuticals, Inc.(a)(b) |  |  | 14,790 |  |  |  | 375,666 |
Eidos Therapeutics, Inc.(a)(b) |  |  | 8,058 |  |  |  | 384,125 |
FibroGen, Inc.(a)(b) |  |  | 5,980 |  |  |  | 242,369 |
Galapagos NV, ADR(a)(b) |  |  | 5,792 |  |  |  | 1,142,704 |
Genfit ADR(e) |  |  | 7,123 |  |  |  | 39,461 |
Genmab A/S, ADR(a) |  |  | 14,763 |  |  |  | 4,977,980 |
Genmab A/S, ADR(a)(b) |  |  | 43,661 |  |  |  | 1,479,671 |
Gilead Sciences, Inc.(b) |  |  | 76,057 |  |  |  | 5,851,826 |
Halozyme Therapeutics, Inc.(a) |  |  | 25,850 |  |  |  | 693,039 |
Immunomedics, Inc.(a)(b) |  |  | 32,291 |  |  |  | 1,144,393 |
Immunovant, Inc.(a) |  |  | 34,300 |  |  |  | 835,205 |
Incyte Corp.(a)(b) |  |  | 23,637 |  |  |  | 2,457,539 |
Intellia Therapeutics, Inc.(a)(b) |  |  | 13,519 |  |  |  | 284,169 |
Iovance Biotherapeutics, Inc.(a)(b) |  |  | 30,890 |  |  |  | 847,931 |
Kodiak Sciences, Inc.(a)(b) |  |  | 9,010 |  |  |  | 487,621 |
Krystal Biotech, Inc.(a) |  |  | 5,200 |  |  |  | 215,384 |
Longview Acquisition Corp.(a) |  |  | 35,345 |  |  |  | 356,985 |
Mersana Therapeutics, Inc.(a)(b) |  |  | 57,220 |  |  |  | 1,338,948 |
Mirati Therapeutics, Inc.(a)(b) |  |  | 5,271 |  |  |  | 601,790 |
Molecular Templates, Inc.(a)(b) |  |  | 21,176 |  |  |  | 292,017 |
Neurocrine Biosciences, Inc.(a)(b) |  |  | 32,744 |  |  |  | 3,994,768 |
Passage Bio, Inc.(a) |  |  | 8,140 |  |  |  | 222,466 |
Principia Biopharma, Inc.(a)(b) |  |  | 4,185 |  |  |  | 250,221 |
Rapt Therapeutics, Inc.(a) |  |  | 8,660 |  |  |  | 251,313 |
Regeneron Pharmaceuticals, Inc.(a)(b) |  |  | 12,485 |  |  |  | 7,786,270 |
Sarepta Therapeutics, Inc.(a)(b) |  |  | 8,718 |  |  |  | 1,397,844 |
Seattle Genetics, Inc.(a)(b) |  |  | 62,768 |  |  |  | 10,665,539 |
Syndax Pharmaceuticals, Inc.(a) |  |  | 1,080 |  |  |  | 16,006 |
Vertex Pharmaceuticals, Inc.(a)(b) |  |  | 41,693 |  |  |  | 12,103,895 |
Vir Biotechnology, Inc.(a)(b) |  |  | 12,460 |  |  |  | 510,486 |
|  |  |  | 109,280,230 |
Health Care Equipment & Supplies — 28.0% |
Abbott Laboratories |  |  | 236,025 |  |  |  | 21,579,766 |
ABIOMED, Inc.(a) |  |  | 10,647 |  |  |  | 2,571,889 |
Alcon, Inc.(a)(b) |  |  | 115,493 |  |  |  | 6,620,059 |
Baxter International, Inc. |  |  | 125,666 |  |  |  | 10,819,843 |
Becton Dickinson & Co. |  |  | 31,153 |  |  |  | 7,453,978 |
Boston Scientific Corp.(a)(b) |  |  | 366,053 |  |  |  | 12,852,121 |
Edwards Lifesciences Corp.(a) |  |  | 157,245 |  |  |  | 10,867,202 |
Envista Holdings Corp.(b) |  |  | 36,720 |  |  |  | 774,425 |

Security |  | Shares |  |  | Value |
Health Care Equipment & Supplies (continued) |
Intuitive Surgical, Inc.(a)(b) |  |  | 14,158 |  |  | $ | 8,067,653 |
Kangji Medical Holdings Ltd.(a)(c) |  |  | 264,936 |  |  |  | 1,018,656 |
Masimo Corp.(a)(b) |  |  | 29,400 |  |  |  | 6,702,906 |
Medtronic PLC(b) |  |  | 140,686 |  |  |  | 12,900,906 |
Nevro Corp.(a)(b) |  |  | 13,352 |  |  |  | 1,595,163 |
ResMed, Inc.(b) |  |  | 25,314 |  |  |  | 4,860,288 |
SI-BONE, Inc.(a) |  |  | 4,237 |  |  |  | 67,538 |
Silk Road Medical, Inc.(a)(b) |  |  | 9,292 |  |  |  | 389,242 |
Stryker Corp.(b) |  |  | 59,696 |  |  |  | 10,756,622 |
Teleflex, Inc.(b) |  |  | 19,140 |  |  |  | 6,966,577 |
Varian Medical Systems, Inc.(a)(b) |  |  | 42,899 |  |  |  | 5,255,986 |
|  |  |  | 132,120,820 |
Health Care Providers & Services — 18.6% |
Amedisys, Inc.(a) |  |  | 19,072 |  |  |  | 3,786,555 |
AmerisourceBergen Corp. |  |  | 14,280 |  |  |  | 1,438,995 |
Anthem, Inc. |  |  | 37,297 |  |  |  | 9,808,365 |
Arcutis Biotherapeutics, Inc. Series C, (Acquired 2/01/16, cost $431,098)(d) |  |  | 37,056 |  |  |  | 1,111,546 |
Cardinal Health, Inc.(b) |  |  | 25,630 |  |  |  | 1,337,630 |
Centene Corp.(a)(b) |  |  | 83,954 |  |  |  | 5,335,277 |
Cigna Corp.(a)(b) |  |  | 53,197 |  |  |  | 9,982,417 |
Encompass Health Corp.(b) |  |  | 40,167 |  |  |  | 2,487,542 |
Humana, Inc.(b) |  |  | 29,780 |  |  |  | 11,547,195 |
LHC Group, Inc.(a)(b) |  |  | 20,424 |  |  |  | 3,560,312 |
McKesson Corp.(b) |  |  | 6,180 |  |  |  | 948,136 |
Oak Street Health LLC, Series III-E, (Acquired 2/01/16, cost $575,147)(c)(d) |  |  | 3,680 |  |  |  | 575,147 |
Quest Diagnostics, Inc.(b) |  |  | 12,824 |  |  |  | 1,461,423 |
UnitedHealth Group, Inc.(b)(f) |  |  | 115,262 |  |  |  | 33,996,527 |
|  |  |  | 87,377,067 |
Health Care Technology — 2.0% |
Livongo Health, Inc.(a)(b) |  |  | 33,420 |  |  |  | 2,512,850 |
Teladoc Health, Inc.(a)(b) |  |  | 36,970 |  |  |  | 7,055,354 |
|  |  |  | 9,568,204 |
Life Sciences Tools & Services — 7.0% |
Agilent Technologies, Inc.(b) |  |  | 13,960 |  |  |  | 1,233,645 |
Avantor, Inc.(a)(b) |  |  | 131,114 |  |  |  | 2,228,938 |
Illumina, Inc.(a)(b) |  |  | 14,172 |  |  |  | 5,248,600 |
IQVIA Holdings, Inc.(a)(b) |  |  | 25,873 |  |  |  | 3,670,862 |
PPD, Inc.(a)(b) |  |  | 79,380 |  |  |  | 2,127,384 |
Thermo Fisher Scientific, Inc.(b) |  |  | 37,181 |  |  |  | 13,472,164 |
WuXi AppTec Co. Ltd., Class H(g) |  |  | 217,028 |  |  |  | 2,834,312 |
Wuxi Biologics Cayman, Inc.(a)(g) |  |  | 120,500 |  |  |  | 2,211,850 |
|  |  |  | 33,027,755 |
Pharmaceuticals — 21.4% |
AstraZeneca PLC |  |  | 15,836 |  |  |  | 1,648,122 |
Bristol-Myers Squibb Co.(b) |  |  | 167,123 |  |  |  | 9,826,832 |
Eisai Co. Ltd. |  |  | 30,500 |  |  |  | 2,423,191 |
Eli Lilly & Co.(b) |  |  | 75,883 |  |  |  | 12,458,471 |
GlaxoSmithKline PLC |  |  | 99,782 |  |  |  | 2,015,565 |
Hansoh Pharmaceutical Group Co. Ltd.(a)(g) |  |  | 882,438 |  |  |  | 4,173,413 |
Hua Medicine(a)(g) |  |  | 735,105 |  |  |  | 671,511 |
Johnson & Johnson(b) |  |  | 157,637 |  |  |  | 22,168,491 |
Merck & Co., Inc.(b) |  |  | 103,567 |  |  |  | 8,008,836 |
Merck KGaA |  |  | 25,216 |  |  |  | 2,936,348 |
MyoKardia, Inc.(a)(b) |  |  | 6,691 |  |  |  | 646,485 |
Nektar Therapeutics(a)(b) |  |  | 24,513 |  |  |  | 567,721 |
Pfizer, Inc.(b) |  |  | 313,195 |  |  |  | 10,241,477 |
Reata Pharmaceuticals, Inc., Class A(a)(b) |  |  | 2,863 |  |  |  | 446,685 |
Roche Holding AG |  |  | 12,627 |  |  |  | 4,374,618 |
Royalty Pharma PLC, Class A(a) |  |  | 15,446 |  |  |  | 749,903 |
Sanofi |  |  | 68,455 |  |  |  | 6,981,353 |

SCHEDULES OF INVESTMENTS |  | 61

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust (BME) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Pharmaceuticals (continued) |
Sanofi — ADR(b) |  |  | 54,625 |  |  | $ | 2,788,606 |
Tricida, Inc.(a) |  |  | 12,925 |  |  |  | 355,179 |
Urovant Sciences Ltd.(a)(e) |  |  | 6,874 |  |  |  | 67,640 |
Zoetis, Inc.(b) |  |  | 54,689 |  |  |  | 7,494,581 |
|  |  |  | 101,045,028 |
Total Common Stocks — 100.2% (Cost — $304,510,826) |  |  |  | 472,419,104 |
Other Interests — 0.1% |
Pharmaceuticals — 0.1% |
Afferent Pharmaceuticals, Inc.(c) |  |  | 190 |  |  |  | 249,110 |
Total Other Interests — 0.1% (Cost — $—) |  |  |  | 249,110 |
Preferred Securities |
Preferred Stocks — 0.1% |  |  |  |  |  |
Biotechnology — 0.1% |
Goldfinch Bio, Inc., Series B, (Acquired 2/01/16, cost $149,465), 0.00%(c)(d) |  |  | 126,665 |  |  |  | 149,465 |
Sigilon Therapeutics, Inc., Series B, (Acquired 2/01/16, cost $264,000), 0.00%(c)(d) |  |  | 44,000 |  |  |  | 263,120 |
|  |  |  | 412,585 |
Pharmaceuticals — 0.0% |
Annexon, Inc., Series D, (Acquired 2/01/16, cost $190,006), 0.00%(c)(d) |  |  | 133,600 |  |  |  | 190,006 |
Total Preferred Stocks — 0.1% (Cost — $603,470) |  |  |  | 602,591 |
Total Long-Term Investments — 100.4% (Cost — $305,114,296) |  |  |  | 473,270,805 |

Security |  | Shares |  |  | Value |
Short-Term Securities — 1.0% |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(h)(j) |  |  | 4,542,041 |  |  | $ | 4,542,041 |
SL Liquidity Series, LLC, Money Market Series, 0.50%(h)(i)(j) |  |  | 10,549 |  |  |  | 10,557 |
Total Short-Term Securities — 1.0% (Cost — $4,552,583) |  |  |  | 4,552,598 |
Total Investments Before Options Written — 101.4% (Cost — $309,666,879) |  |  |  | 477,823,403 |
Options Written — (1.5)% (Premiums Received — $6,126,482) |  |  |  | (6,911,546 | )
Total Investments, Net of Options Written — 99.9% (Cost — $303,540,397) |  |  |  | 470,911,857 |
Other Assets Less Liabilities — 0.1% |  |  |  | 449,641 |
Net Assets — 100.0% |  |  | $ | 471,361,498 |

(a) | Non-income producing security.

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

(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(d) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $4,545,584, representing 1.0% of its net assets of period end, and an original cost of $2,596,118.

(e) | Security, or a portion of the security, is on loan.

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

(g) | 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.

(h) | Annualized 7-day yield as of period end.

(i) | All or a portion of the security Security was purchased with the cash collateral from loaned securities.

(j) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Shares Held at 12/31/19 |  |  | Shares Purchased |  |  | Shares Sold |  |  | Shares Held at 06/30/20 |  |  | Value at 06/30/20 |  |  | Income |  |  | Net Realized Gain (Loss) (a) |  |  | Change in Unrealized Appreciation (Depreciation) |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  |  | 3,489,138 |  |  |  | 1,052,903 | (b) |  |  | — |  |  |  | 4,542,041 |  |  | $ | 4,542,041 |  |  | $ | 29,732 |  |  | $ | — |  |  | $ | — |
SL Liquidity Series, LLC, Money Market Series |  |  | 253,827 |  |  |  | — |  |  |  | (243,278 | )(b) |  |  | 10,549 |  |  |  | 10,557 |  |  |  | 4,204 | (c) |  |  | (309 | ) |  |  | 11 |
|  |  | $ | 4,552,598 |  |  | $ | 33,936 |  |  | $ | (309 | ) |  | $ | 11 |

| (a) | Includes net capital gain distributions, if applicable. |

| (b) | Represents net shares purchased (sold). |

| (c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |

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 such industry sub-classifications for reporting ease.

62 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust (BME)

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |
Abbott Laboratories |  |  | 336 |  |  |  | 07/02/20 |  |  | USD |  |  | 96.00 |  |  | USD |  |  | 3,072 |  |  | $ | (13,440 | )
Anthem, Inc. |  |  | 74 |  |  |  | 07/02/20 |  |  | USD |  |  | 290.00 |  |  | USD |  |  | 1,946 |  |  |  | (13,690 | )
Baxter International, Inc. |  |  | 145 |  |  |  | 07/02/20 |  |  | USD |  |  | 92.50 |  |  | USD |  |  | 1,248 |  |  |  | (3,625 | )
Boston Scientific Corp. |  |  | 360 |  |  |  | 07/02/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 1,264 |  |  |  | (5,400 | )
Centene Corp. |  |  | 2 |  |  |  | 07/02/20 |  |  | USD |  |  | 68.00 |  |  | USD |  |  | 13 |  |  |  | (190 | )
Edwards Lifesciences Corp. |  |  | 1 |  |  |  | 07/02/20 |  |  | USD |  |  | 75.00 |  |  | USD |  |  | 7 |  |  |  | (25 | )
Intuitive Surgical, Inc. |  |  | 15 |  |  |  | 07/02/20 |  |  | USD |  |  | 575.00 |  |  | USD |  |  | 855 |  |  |  | (6,300 | )
Vertex Pharmaceuticals, Inc. |  |  | 11 |  |  |  | 07/02/20 |  |  | USD |  |  | 272.50 |  |  | USD |  |  | 319 |  |  |  | (19,745 | )
Neurocrine Biosciences, Inc. |  |  | 70 |  |  |  | 07/06/20 |  |  | USD |  |  | 117.00 |  |  | USD |  |  | 854 |  |  |  | (41,186 | )
Abbott Laboratories |  |  | 188 |  |  |  | 07/10/20 |  |  | USD |  |  | 92.00 |  |  | USD |  |  | 1,719 |  |  |  | (34,780 | )
Amgen, Inc. |  |  | 58 |  |  |  | 07/10/20 |  |  | USD |  |  | 227.50 |  |  | USD |  |  | 1,368 |  |  |  | (54,810 | )
Boston Scientific Corp. |  |  | 403 |  |  |  | 07/10/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 1,415 |  |  |  | (4,231 | )
Cardinal Health, Inc. |  |  | 98 |  |  |  | 07/10/20 |  |  | USD |  |  | 54.00 |  |  | USD |  |  | 511 |  |  |  | (4,165 | )
Centene Corp. |  |  | 1 |  |  |  | 07/10/20 |  |  | USD |  |  | 67.00 |  |  | USD |  |  | 6 |  |  |  | (45 | )
Eli Lilly & Co. |  |  | 125 |  |  |  | 07/10/20 |  |  | USD |  |  | 155.00 |  |  | USD |  |  | 2,052 |  |  |  | (124,375 | )
Humana, Inc. |  |  | 46 |  |  |  | 07/10/20 |  |  | USD |  |  | 405.00 |  |  | USD |  |  | 1,784 |  |  |  | (8,050 | )
Humana, Inc. |  |  | 25 |  |  |  | 07/10/20 |  |  | USD |  |  | 395.00 |  |  | USD |  |  | 969 |  |  |  | (14,000 | )
Johnson & Johnson |  |  | 82 |  |  |  | 07/10/20 |  |  | USD |  |  | 150.00 |  |  | USD |  |  | 1,153 |  |  |  | (697 | )
Pfizer, Inc. |  |  | 83 |  |  |  | 07/10/20 |  |  | USD |  |  | 34.50 |  |  | USD |  |  | 271 |  |  |  | (1,162 | )
UnitedHealth Group, Inc. |  |  | 54 |  |  |  | 07/10/20 |  |  | USD |  |  | 312.50 |  |  | USD |  |  | 1,593 |  |  |  | (4,995 | )
Vertex Pharmaceuticals, Inc. |  |  | 42 |  |  |  | 07/10/20 |  |  | USD |  |  | 280.00 |  |  | USD |  |  | 1,219 |  |  |  | (52,920 | )
Neurocrine Biosciences, Inc. |  |  | 70 |  |  |  | 07/13/20 |  |  | USD |  |  | 117.00 |  |  | USD |  |  | 854 |  |  |  | (48,852 | )
ABIOMED, Inc. |  |  | 21 |  |  |  | 07/17/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 507 |  |  |  | (90,615 | )
ACADIA Pharmaceuticals, Inc. |  |  | 42 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 204 |  |  |  | (7,875 | )
Acceleron Pharma, Inc. |  |  | 94 |  |  |  | 07/17/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 896 |  |  |  | (4,935 | )
Agilent Technologies, Inc. |  |  | 55 |  |  |  | 07/17/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 486 |  |  |  | (8,607 | )
Agios Pharmaceuticals, Inc. |  |  | 100 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 535 |  |  |  | (50,500 | )
Alcon, Inc. |  |  | 447 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 2,562 |  |  |  | (27,938 | )
Alector, Inc. |  |  | 82 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 200 |  |  |  | (4,510 | )
Alexion Pharmaceuticals, Inc. |  |  | 31 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 348 |  |  |  | (7,905 | )
Allakos, Inc. |  |  | 50 |  |  |  | 07/17/20 |  |  | USD |  |  | 75.00 |  |  | USD |  |  | 359 |  |  |  | (19,250 | )
Allakos, Inc. |  |  | 37 |  |  |  | 07/17/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 266 |  |  |  | (5,735 | )
Alnylam Pharmaceuticals, Inc. |  |  | 127 |  |  |  | 07/17/20 |  |  | USD |  |  | 140.00 |  |  | USD |  |  | 1,881 |  |  |  | (156,210 | )
Amedisys, Inc. |  |  | 2 |  |  |  | 07/17/20 |  |  | USD |  |  | 189.00 |  |  | USD |  |  | 40 |  |  |  | (2,728 | )
AmerisourceBergen Corp. |  |  | 27 |  |  |  | 07/17/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 272 |  |  |  | (8,505 | )
Amgen, Inc. |  |  | 58 |  |  |  | 07/17/20 |  |  | USD |  |  | 225.00 |  |  | USD |  |  | 1,368 |  |  |  | (75,400 | )
Apellis Pharmaceuticals, Inc. |  |  | 45 |  |  |  | 07/17/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 147 |  |  |  | (3,712 | )
Arena Pharmaceuticals, Inc. |  |  | 29 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 183 |  |  |  | (2,610 | )
Arena Pharmaceuticals, Inc. |  |  | 30 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 189 |  |  |  | (6,555 | )
Avantor, Inc. |  |  | 259 |  |  |  | 07/17/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 440 |  |  |  | (9,065 | )
Baxter International, Inc. |  |  | 240 |  |  |  | 07/17/20 |  |  | USD |  |  | 92.50 |  |  | USD |  |  | 2,066 |  |  |  | (4,200 | )
Becton Dickinson & Co. |  |  | 50 |  |  |  | 07/17/20 |  |  | USD |  |  | 250.00 |  |  | USD |  |  | 1,196 |  |  |  | (12,125 | )
BioMarin Pharmaceutical, Inc. |  |  | 100 |  |  |  | 07/17/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 1,233 |  |  |  | (333,000 | )
BioMarin Pharmaceutical, Inc. |  |  | 120 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 1,480 |  |  |  | (123,000 | )
Biogen, Inc. |  |  | 18 |  |  |  | 07/17/20 |  |  | USD |  |  | 335.00 |  |  | USD |  |  | 482 |  |  |  | (1,710 | )
Blueprint Medicines Corp. |  |  | 19 |  |  |  | 07/17/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 148 |  |  |  | (2,517 | )
Boston Scientific Corp. |  |  | 322 |  |  |  | 07/17/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 1,131 |  |  |  | (6,440 | )
Bristol-Myers Squibb Co. |  |  | 91 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 535 |  |  |  | (7,917 | )
Cardinal Health, Inc. |  |  | 3 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 16 |  |  |  | (187 | )
Centene Corp. |  |  | 188 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 1,195 |  |  |  | (27,730 | )
ChemoCentryx, Inc. |  |  | 15 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 86 |  |  |  | (2,212 | )
ChemoCentryx, Inc. |  |  | 14 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 81 |  |  |  | (1,435 | )
Cigna Corp. |  |  | 65 |  |  |  | 07/17/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 1,220 |  |  |  | (2,535 | )
Corbus Pharmaceuticals Holdings, Inc. |  |  | 59 |  |  |  | 07/17/20 |  |  | USD |  |  | 10.00 |  |  | USD |  |  | 50 |  |  |  | (3,245 | )
Dicerna Pharmaceuticals, Inc. |  |  | 29 |  |  |  | 07/17/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 74 |  |  |  | (3,842 | )
Edwards Lifesciences Corp. |  |  | 312 |  |  |  | 07/17/20 |  |  | USD |  |  | 73.33 |  |  | USD |  |  | 2,156 |  |  |  | (21,840 | )
Eidos Therapeutics, Inc. |  |  | 32 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 153 |  |  |  | (5,680 | )
Encompass Health Corp. |  |  | 158 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 978 |  |  |  | (3,950 | )
Envista Holdings Corp. |  |  | 145 |  |  |  | 07/17/20 |  |  | USD |  |  | 22.00 |  |  | USD |  |  | 306 |  |  |  | (36,975 | )
FibroGen, Inc. |  |  | 23 |  |  |  | 07/17/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 93 |  |  |  | (14,030 | )

SCHEDULES OF INVESTMENTS |  | 63

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust (BME)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Galapagos NV, ADR |  |  | 11 |  |  |  | 07/17/20 |  |  | USD |  |  | 230.00 |  |  | USD |  |  | 217 |  |  | $ | (2,640 | )
Gilead Sciences, Inc. |  |  | 153 |  |  |  | 07/17/20 |  |  | USD |  |  | 80.00 |  |  | USD |  |  | 1,177 |  |  |  | (13,082 | )
IQVIA Holdings, Inc. |  |  | 51 |  |  |  | 07/17/20 |  |  | USD |  |  | 140.00 |  |  | USD |  |  | 724 |  |  |  | (20,655 | )
Illumina, Inc. |  |  | 20 |  |  |  | 07/17/20 |  |  | USD |  |  | 370.00 |  |  | USD |  |  | 741 |  |  |  | (23,300 | )
Immunomedics, Inc. |  |  | 55 |  |  |  | 07/17/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 195 |  |  |  | (12,650 | )
Immunomedics, Inc. |  |  | 37 |  |  |  | 07/17/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 131 |  |  |  | (6,382 | )
Intellia Therapeutics, Inc. |  |  | 54 |  |  |  | 07/17/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 114 |  |  |  | (3,240 | )
Intuitive Surgical, Inc. |  |  | 17 |  |  |  | 07/17/20 |  |  | USD |  |  | 595.00 |  |  | USD |  |  | 969 |  |  |  | (8,160 | )
Iovance Biotherapeutics, Inc. |  |  | 122 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 335 |  |  |  | (1,525 | )
Kodiak Sciences, Inc. |  |  | 8 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 43 |  |  |  | (1,860 | )
Kodiak Sciences, Inc. |  |  | 14 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 76 |  |  |  | (2,520 | )
LHC Group, Inc. |  |  | 22 |  |  |  | 07/17/20 |  |  | USD |  |  | 145.00 |  |  | USD |  |  | 384 |  |  |  | (64,460 | )
LHC Group, Inc. |  |  | 23 |  |  |  | 07/17/20 |  |  | USD |  |  | 150.00 |  |  | USD |  |  | 401 |  |  |  | (56,350 | )
Livongo Health, Inc. |  |  | 16 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 120 |  |  |  | (18,080 | )
Masimo Corp. |  |  | 15 |  |  |  | 07/17/20 |  |  | USD |  |  | 250.00 |  |  | USD |  |  | 342 |  |  |  | (1,950 | )
McKesson Corp. |  |  | 12 |  |  |  | 07/17/20 |  |  | USD |  |  | 165.00 |  |  | USD |  |  | 184 |  |  |  | (870 | )
Medtronic PLC |  |  | 379 |  |  |  | 07/17/20 |  |  | USD |  |  | 97.50 |  |  | USD |  |  | 3,475 |  |  |  | (17,434 | )
Merck & Co., Inc. |  |  | 154 |  |  |  | 07/17/20 |  |  | USD |  |  | 77.50 |  |  | USD |  |  | 1,191 |  |  |  | (24,255 | )
Mersana Therapeutics, Inc. |  |  | 225 |  |  |  | 07/17/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 527 |  |  |  | (30,938 | )
Mirati Therapeutics, Inc. |  |  | 10 |  |  |  | 07/17/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 114 |  |  |  | (8,850 | )
Molecular Templates, Inc. |  |  | 42 |  |  |  | 07/17/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 58 |  |  |  | (3,150 | )
MyoKardia, Inc. |  |  | 26 |  |  |  | 07/17/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 251 |  |  |  | (4,875 | )
Nektar Therapeutics |  |  | 49 |  |  |  | 07/17/20 |  |  | USD |  |  | 24.00 |  |  | USD |  |  | 113 |  |  |  | (4,410 | )
Nevro Corp. |  |  | 26 |  |  |  | 07/17/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 311 |  |  |  | (7,930 | )
PPD, Inc. |  |  | 76 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 204 |  |  |  | (2,660 | )
Pfizer, Inc. |  |  | 508 |  |  |  | 07/17/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 1,661 |  |  |  | (1,778 | )
Principia Biopharma, Inc. |  |  | 8 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 48 |  |  |  | (2,100 | )
Reata Pharmaceuticals, Inc., Class A |  |  | 16 |  |  |  | 07/17/20 |  |  | USD |  |  | 170.00 |  |  | USD |  |  | 250 |  |  |  | (7,120 | )
Regeneron Pharmaceuticals, Inc. |  |  | 4 |  |  |  | 07/17/20 |  |  | USD |  |  | 600.00 |  |  | USD |  |  | 249 |  |  |  | (14,000 | )
ResMed, Inc. |  |  | 50 |  |  |  | 07/17/20 |  |  | USD |  |  | 170.00 |  |  | USD |  |  | 960 |  |  |  | (118,000 | )
Sanofi — ADR |  |  | 63 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 322 |  |  |  | (1,417 | )
Silk Road Medical, Inc. |  |  | 19 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 80 |  |  |  | (1,425 | )
Silk Road Medical, Inc. |  |  | 9 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 38 |  |  |  | (765 | )
Stryker Corp. |  |  | 118 |  |  |  | 07/17/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 2,126 |  |  |  | (14,160 | )
Thermo Fisher Scientific, Inc. |  |  | 41 |  |  |  | 07/17/20 |  |  | USD |  |  | 350.00 |  |  | USD |  |  | 1,486 |  |  |  | (66,625 | )
UnitedHealth Group, Inc. |  |  | 65 |  |  |  | 07/17/20 |  |  | USD |  |  | 300.00 |  |  | USD |  |  | 1,917 |  |  |  | (44,525 | )
Varian Medical Systems, Inc. |  |  | 48 |  |  |  | 07/17/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 588 |  |  |  | (22,800 | )
Vir Biotechnology, Inc. |  |  | 29 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 119 |  |  |  | (14,935 | )
Vir Biotechnology, Inc. |  |  | 20 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 82 |  |  |  | (6,650 | )
Zoetis, Inc. |  |  | 90 |  |  |  | 07/17/20 |  |  | USD |  |  | 145.00 |  |  | USD |  |  | 1,233 |  |  |  | (4,950 | )
Abbott Laboratories |  |  | 219 |  |  |  | 07/24/20 |  |  | USD |  |  | 93.00 |  |  | USD |  |  | 2,002 |  |  |  | (51,684 | )
Amgen, Inc. |  |  | 60 |  |  |  | 07/24/20 |  |  | USD |  |  | 235.00 |  |  | USD |  |  | 1,415 |  |  |  | (46,050 | )
Baxter International, Inc. |  |  | 55 |  |  |  | 07/24/20 |  |  | USD |  |  | 87.50 |  |  | USD |  |  | 474 |  |  |  | (9,020 | )
Becton Dickinson & Co. |  |  | 23 |  |  |  | 07/24/20 |  |  | USD |  |  | 240.00 |  |  | USD |  |  | 550 |  |  |  | (16,905 | )
Biogen, Inc. |  |  | 25 |  |  |  | 07/24/20 |  |  | USD |  |  | 322.50 |  |  | USD |  |  | 669 |  |  |  | (3,687 | )
Bristol-Myers Squibb Co. |  |  | 239 |  |  |  | 07/24/20 |  |  | USD |  |  | 58.00 |  |  | USD |  |  | 1,405 |  |  |  | (50,788 | )
Cigna Corp. |  |  | 72 |  |  |  | 07/24/20 |  |  | USD |  |  | 205.00 |  |  | USD |  |  | 1,351 |  |  |  | (10,116 | )
Eli Lilly & Co. |  |  | 88 |  |  |  | 07/24/20 |  |  | USD |  |  | 150.00 |  |  | USD |  |  | 1,445 |  |  |  | (136,840 | )
Gilead Sciences, Inc. |  |  | 151 |  |  |  | 07/24/20 |  |  | USD |  |  | 77.50 |  |  | USD |  |  | 1,162 |  |  |  | (30,880 | )
Humana, Inc. |  |  | 23 |  |  |  | 07/24/20 |  |  | USD |  |  | 392.50 |  |  | USD |  |  | 892 |  |  |  | (27,025 | )
Illumina, Inc. |  |  | 35 |  |  |  | 07/24/20 |  |  | USD |  |  | 380.00 |  |  | USD |  |  | 1,296 |  |  |  | (30,800 | )
Masimo Corp. |  |  | 117 |  |  |  | 07/24/20 |  |  | USD |  |  | 253.00 |  |  | USD |  |  | 2,667 |  |  |  | (22,485 | )
Medtronic PLC |  |  | 35 |  |  |  | 07/24/20 |  |  | USD |  |  | 96.00 |  |  | USD |  |  | 321 |  |  |  | (4,515 | )
Merck & Co., Inc. |  |  | 154 |  |  |  | 07/24/20 |  |  | USD |  |  | 78.00 |  |  | USD |  |  | 1,191 |  |  |  | (27,104 | )
Pfizer, Inc. |  |  | 508 |  |  |  | 07/24/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 1,661 |  |  |  | (2,540 | )
Regeneron Pharmaceuticals, Inc. |  |  | 33 |  |  |  | 07/24/20 |  |  | USD |  |  | 610.00 |  |  | USD |  |  | 2,058 |  |  |  | (103,620 | )
Teladoc Health, Inc. |  |  | 75 |  |  |  | 07/24/20 |  |  | USD |  |  | 175.00 |  |  | USD |  |  | 1,431 |  |  |  | (157,875 | )
UnitedHealth Group, Inc. |  |  | 140 |  |  |  | 07/24/20 |  |  | USD |  |  | 305.00 |  |  | USD |  |  | 4,129 |  |  |  | (87,850 | )
Vertex Pharmaceuticals, Inc. |  |  | 91 |  |  |  | 07/24/20 |  |  | USD |  |  | 292.50 |  |  | USD |  |  | 2,642 |  |  |  | (89,180 | )
Zoetis, Inc. |  |  | 125 |  |  |  | 07/24/20 |  |  | USD |  |  | 139.00 |  |  | USD |  |  | 1,713 |  |  |  | (39,375 | )
Abbott Laboratories |  |  | 189 |  |  |  | 07/31/20 |  |  | USD |  |  | 92.00 |  |  | USD |  |  | 1,728 |  |  |  | (59,819 | )
Alexion Pharmaceuticals, Inc. |  |  | 1 |  |  |  | 07/31/20 |  |  | USD |  |  | 116.00 |  |  | USD |  |  | 11 |  |  |  | (350 | )

64 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust (BME)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
AmerisourceBergen Corp. |  |  | 30 |  |  |  | 07/31/20 |  |  | USD |  |  | 103.00 |  |  | USD |  |  | 302 |  |  | $ | (9,600 | )
Anthem, Inc. |  |  | 75 |  |  |  | 07/31/20 |  |  | USD |  |  | 285.00 |  |  | USD |  |  | 1,972 |  |  |  | (28,688 | )
Baxter International, Inc. |  |  | 62 |  |  |  | 07/31/20 |  |  | USD |  |  | 86.50 |  |  | USD |  |  | 534 |  |  |  | (15,655 | )
Bristol-Myers Squibb Co. |  |  | 170 |  |  |  | 07/31/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,000 |  |  |  | (24,820 | )
Centene Corp. |  |  | 144 |  |  |  | 07/31/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 915 |  |  |  | (36,360 | )
Eli Lilly & Co. |  |  | 86 |  |  |  | 07/31/20 |  |  | USD |  |  | 148.00 |  |  | USD |  |  | 1,412 |  |  |  | (154,155 | )
Humana, Inc. |  |  | 23 |  |  |  | 07/31/20 |  |  | USD |  |  | 395.00 |  |  | USD |  |  | 892 |  |  |  | (27,945 | )
Immunomedics, Inc. |  |  | 37 |  |  |  | 07/31/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 131 |  |  |  | (13,413 | )
Intuitive Surgical, Inc. |  |  | 24 |  |  |  | 07/31/20 |  |  | USD |  |  | 590.00 |  |  | USD |  |  | 1,368 |  |  |  | (41,760 | )
Johnson & Johnson |  |  | 160 |  |  |  | 07/31/20 |  |  | USD |  |  | 146.00 |  |  | USD |  |  | 2,250 |  |  |  | (29,760 | )
McKesson Corp. |  |  | 12 |  |  |  | 07/31/20 |  |  | USD |  |  | 155.00 |  |  | USD |  |  | 184 |  |  |  | (6,840 | )
Medtronic PLC |  |  | 125 |  |  |  | 07/31/20 |  |  | USD |  |  | 92.00 |  |  | USD |  |  | 1,146 |  |  |  | (41,313 | )
Pfizer, Inc. |  |  | 154 |  |  |  | 07/31/20 |  |  | USD |  |  | 34.50 |  |  | USD |  |  | 504 |  |  |  | (8,624 | )
Regeneron Pharmaceuticals, Inc. |  |  | 12 |  |  |  | 07/31/20 |  |  | USD |  |  | 620.00 |  |  | USD |  |  | 748 |  |  |  | (33,480 | )
Sarepta Therapeutics, Inc. |  |  | 33 |  |  |  | 07/31/20 |  |  | USD |  |  | 170.00 |  |  | USD |  |  | 529 |  |  |  | (18,810 | )
UnitedHealth Group, Inc. |  |  | 57 |  |  |  | 07/31/20 |  |  | USD |  |  | 305.00 |  |  | USD |  |  | 1,681 |  |  |  | (44,603 | )
Johnson & Johnson |  |  | 142 |  |  |  | 08/07/20 |  |  | USD |  |  | 143.00 |  |  | USD |  |  | 1,997 |  |  |  | (45,369 | )
Acceleron Pharma, Inc. |  |  | 56 |  |  |  | 08/21/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 534 |  |  |  | (18,480 | )
Alcon, Inc. |  |  | 9 |  |  |  | 08/21/20 |  |  | USD |  |  | 62.50 |  |  | USD |  |  | 52 |  |  |  | (967 | )
Alector, Inc. |  |  | 3 |  |  |  | 08/21/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 7 |  |  |  | (457 | )
Alexion Pharmaceuticals, Inc. |  |  | 75 |  |  |  | 08/21/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 842 |  |  |  | (26,250 | )
Allakos, Inc. |  |  | 37 |  |  |  | 08/21/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 266 |  |  |  | (15,540 | )
Allogene Therapeutics, Inc. |  |  | 151 |  |  |  | 08/21/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 647 |  |  |  | (24,915 | )
Amgen, Inc. |  |  | 61 |  |  |  | 08/21/20 |  |  | USD |  |  | 245.00 |  |  | USD |  |  | 1,439 |  |  |  | (37,973 | )
Apellis Pharmaceuticals, Inc. |  |  | 45 |  |  |  | 08/21/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 147 |  |  |  | (10,913 | )
Arena Pharmaceuticals, Inc. |  |  | 29 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 183 |  |  |  | (8,468 | )
Arena Pharmaceuticals, Inc. |  |  | 30 |  |  |  | 08/21/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 189 |  |  |  | (13,650 | )
Avantor, Inc. |  |  | 259 |  |  |  | 08/21/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 440 |  |  |  | (9,713 | )
Becton Dickinson & Co. |  |  | 50 |  |  |  | 08/21/20 |  |  | USD |  |  | 240.00 |  |  | USD |  |  | 1,196 |  |  |  | (57,250 | )
Blueprint Medicines Corp. |  |  | 19 |  |  |  | 08/21/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 148 |  |  |  | (9,785 | )
Boston Scientific Corp. |  |  | 380 |  |  |  | 08/21/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 1,334 |  |  |  | (60,990 | )
Bristol-Myers Squibb Co. |  |  | 170 |  |  |  | 08/21/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,000 |  |  |  | (37,485 | )
Cigna Corp. |  |  | 75 |  |  |  | 08/21/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 1,407 |  |  |  | (45,188 | )
Corbus Pharmaceuticals Holdings, Inc. |  |  | 59 |  |  |  | 08/21/20 |  |  | USD |  |  | 10.00 |  |  | USD |  |  | 50 |  |  |  | (16,225 | )
Dicerna Pharmaceuticals, Inc. |  |  | 29 |  |  |  | 08/21/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 74 |  |  |  | (3,770 | )
Edwards Lifesciences Corp. |  |  | 315 |  |  |  | 08/21/20 |  |  | USD |  |  | 73.33 |  |  | USD |  |  | 2,177 |  |  |  | (73,238 | )
Galapagos NV, ADR |  |  | 11 |  |  |  | 08/21/20 |  |  | USD |  |  | 220.00 |  |  | USD |  |  | 217 |  |  |  | (7,920 | )
Genmab A/S, ADR |  |  | 22 |  |  |  | 08/21/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 75 |  |  |  | (4,125 | )
IQVIA Holdings, Inc. |  |  | 51 |  |  |  | 08/21/20 |  |  | USD |  |  | 150.00 |  |  | USD |  |  | 724 |  |  |  | (21,420 | )
Incyte Corp. |  |  | 94 |  |  |  | 08/21/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 977 |  |  |  | (85,540 | )
Johnson & Johnson |  |  | 246 |  |  |  | 08/21/20 |  |  | USD |  |  | 145.00 |  |  | USD |  |  | 3,459 |  |  |  | (74,907 | )
Kodiak Sciences, Inc. |  |  | 13 |  |  |  | 08/21/20 |  |  | USD |  |  | 75.00 |  |  | USD |  |  | 70 |  |  |  | (1,917 | )
LHC Group, Inc. |  |  | 18 |  |  |  | 08/21/20 |  |  | USD |  |  | 170.00 |  |  | USD |  |  | 314 |  |  |  | (25,020 | )
Livongo Health, Inc. |  |  | 100 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 752 |  |  |  | (211,000 | )
Livongo Health, Inc. |  |  | 16 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 120 |  |  |  | (17,840 | )
Masimo Corp. |  |  | 8 |  |  |  | 08/21/20 |  |  | USD |  |  | 230.00 |  |  | USD |  |  | 182 |  |  |  | (9,600 | )
Masimo Corp. |  |  | 7 |  |  |  | 08/21/20 |  |  | USD |  |  | 240.00 |  |  | USD |  |  | 160 |  |  |  | (5,880 | )
Medtronic PLC |  |  | 23 |  |  |  | 08/21/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 211 |  |  |  | (6,831 | )
Merck & Co., Inc. |  |  | 107 |  |  |  | 08/21/20 |  |  | USD |  |  | 80.00 |  |  | USD |  |  | 827 |  |  |  | (21,935 | )
Mirati Therapeutics, Inc. |  |  | 10 |  |  |  | 08/21/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 114 |  |  |  | (13,300 | )
Molecular Templates, Inc. |  |  | 21 |  |  |  | 08/21/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 29 |  |  |  | (1,575 | )
Nektar Therapeutics |  |  | 49 |  |  |  | 08/21/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 113 |  |  |  | (7,472 | )
Nevro Corp. |  |  | 26 |  |  |  | 08/21/20 |  |  | USD |  |  | 130.00 |  |  | USD |  |  | 311 |  |  |  | (15,470 | )
PPD, Inc. |  |  | 237 |  |  |  | 08/21/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 635 |  |  |  | (25,478 | )
Principia Biopharma, Inc. |  |  | 8 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 48 |  |  |  | (2,380 | )
Quest Diagnostics, Inc. |  |  | 50 |  |  |  | 08/21/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 570 |  |  |  | (15,750 | )
ResMed, Inc. |  |  | 50 |  |  |  | 08/21/20 |  |  | USD |  |  | 180.00 |  |  | USD |  |  | 960 |  |  |  | (92,500 | )
Sanofi — ADR |  |  | 152 |  |  |  | 08/21/20 |  |  | USD |  |  | 52.26 |  |  | USD |  |  | 776 |  |  |  | (24,470 | )
Seattle Genetics, Inc. |  |  | 124 |  |  |  | 08/21/20 |  |  | USD |  |  | 165.00 |  |  | USD |  |  | 2,107 |  |  |  | (182,900 | )
Silk Road Medical, Inc. |  |  | 9 |  |  |  | 08/21/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 38 |  |  |  | (2,272 | )
Stryker Corp. |  |  | 118 |  |  |  | 08/21/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 2,126 |  |  |  | (55,460 | )
Teladoc Health, Inc. |  |  | 72 |  |  |  | 08/21/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 1,374 |  |  |  | (104,400 | )

SCHEDULES OF INVESTMENTS |  |  | 65 |

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust (BME)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Teleflex, Inc. |  |  | 75 |  |  |  | 08/21/20 |  |  | USD |  |  | 380.00 |  |  | USD |  |  | 2,730 |  |  | $ | (87,375 | )
Thermo Fisher Scientific, Inc. |  |  | 105 |  |  |  | 08/21/20 |  |  | USD |  |  | 360.00 |  |  | USD |  |  | 3,805 |  |  |  | (177,975 | )
UnitedHealth Group, Inc. |  |  | 145 |  |  |  | 08/21/20 |  |  | USD |  |  | 310.00 |  |  | USD |  |  | 4,277 |  |  |  | (122,163 | )
Varian Medical Systems, Inc. |  |  | 48 |  |  |  | 08/21/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 588 |  |  |  | (29,280 | )
Vertex Pharmaceuticals, Inc. |  |  | 22 |  |  |  | 08/21/20 |  |  | USD |  |  | 310.00 |  |  | USD |  |  | 639 |  |  |  | (18,590 | )
ABIOMED, Inc. |  |  | 21 |  |  |  | 09/18/20 |  |  | USD |  |  | 260.00 |  |  | USD |  |  | 507 |  |  |  | (29,505 | )
Amedisys, Inc. |  |  | 73 |  |  |  | 09/18/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 1,449 |  |  |  | (155,308 | )
LHC Group, Inc. |  |  | 18 |  |  |  | 09/18/20 |  |  | USD |  |  | 175.00 |  |  | USD |  |  | 314 |  |  |  | (24,210 | )
Molecular Templates, Inc. |  |  | 21 |  |  |  | 09/18/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 29 |  |  |  | (2,257 | )
Seattle Genetics, Inc. |  |  | 124 |  |  |  | 09/18/20 |  |  | USD |  |  | 170.00 |  |  | USD |  |  | 2,107 |  |  |  | (189,100 | )
|  |  | $ | (6,161,469 | )

OTC Options Written

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |
Tricida, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 5,100 |  |  |  | 07/06/20 |  |  | USD |  |  | 29.00 |  |  | USD |  |  | 140 |  |  | $ | (2,410 | )
GlaxoSmithKline PLC |  | UBS AG |  |  | 20,400 |  |  |  | 07/07/20 |  |  | GBP |  |  | 17.58 |  |  | GBP |  |  | 334 |  |  |  | (83 | )
Hansoh Pharmaceutical Group Co. Ltd. |  | Goldman Sachs International |  |  | 100,000 |  |  |  | 07/07/20 |  |  | HKD |  |  | 31.96 |  |  | HKD |  |  | 3,650 |  |  |  | (60,646 | )
Merck & Co., Inc. |  | Goldman Sachs International |  |  | 5,000 |  |  |  | 07/07/20 |  |  | EUR |  |  | 105.55 |  |  | EUR |  |  | 517 |  |  |  | (5,408 | )
Wuxi Biologics Cayman, Inc. |  | UBS AG |  |  | 48,000 |  |  |  | 07/08/20 |  |  | HKD |  |  | 138.03 |  |  | HKD |  |  | 6,806 |  |  |  | (49,968 | )
Sanofi |  | UBS AG |  |  | 8,300 |  |  |  | 07/09/20 |  |  | EUR |  |  | 91.04 |  |  | EUR |  |  | 752 |  |  |  | (14,357 | )
AstraZeneca PLC |  | Credit Suisse International |  |  | 7,800 |  |  |  | 07/14/20 |  |  | GBP |  |  | 89.15 |  |  | GBP |  |  | 657 |  |  |  | (9,103 | )
Roche Holding AG |  | UBS AG |  |  | 2,900 |  |  |  | 07/14/20 |  |  | CHF |  |  | 348.11 |  |  | CHF |  |  | 952 |  |  |  | (1,601 | )
Sanofi |  | UBS AG |  |  | 7,600 |  |  |  | 07/14/20 |  |  | EUR |  |  | 89.69 |  |  | EUR |  |  | 689 |  |  |  | (22,237 | )
WuXi AppTec Co. Ltd., Class H |  | Morgan Stanley & Co. International PLC |  |  | 27,000 |  |  |  | 07/14/20 |  |  | HKD |  |  | 85.90 |  |  | HKD |  |  | 2,719 |  |  |  | (55,057 | )
Eisai Co., Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 12,000 |  |  |  | 07/15/20 |  |  | JPY |  |  | 8,831.68 |  |  | JPY |  |  | 102,552 |  |  |  | (22,471 | )
Genmab A/S, ADR |  | Credit Suisse International |  |  | 15,000 |  |  |  | 07/15/20 |  |  | USD |  |  | 28.75 |  |  | USD |  |  | 508 |  |  |  | (77,696 | )
Halozyme Therapeutics, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 10,300 |  |  |  | 07/15/20 |  |  | USD |  |  | 24.95 |  |  | USD |  |  | 276 |  |  |  | (22,957 | )
Passage Bio, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 1,600 |  |  |  | 07/15/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 44 |  |  |  | (4,953 | )
Rapt Therapeutics, Inc. |  | Credit Suisse International |  |  | 3,400 |  |  |  | 07/15/20 |  |  | USD |  |  | 24.59 |  |  | USD |  |  | 99 |  |  |  | (18,478 | )
WuXi AppTec Co. Ltd., Class H |  | JPMorgan Chase Bank N.A. |  |  | 46,000 |  |  |  | 07/15/20 |  |  | HKD |  |  | 92.20 |  |  | HKD |  |  | 4,632 |  |  |  | (63,358 | )
Krystal Biotech, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 2,000 |  |  |  | 07/16/20 |  |  | USD |  |  | 59.75 |  |  | USD |  |  | 83 |  |  |  | (56 | )
Genmab A/S, ADR |  | Credit Suisse International |  |  | 3,200 |  |  |  | 07/21/20 |  |  | DKK |  |  | 2,026.96 |  |  | DKK |  |  | 7,104 |  |  |  | (110,454 | )
Hansoh Pharmaceutical Group Co. Ltd. |  | Goldman Sachs International |  |  | 162,000 |  |  |  | 07/21/20 |  |  | HKD |  |  | 37.96 |  |  | HKD |  |  | 5,913 |  |  |  | (15,884 | )
Immunovant, Inc. |  | Credit Suisse International |  |  | 13,700 |  |  |  | 07/21/20 |  |  | USD |  |  | 22.87 |  |  | USD |  |  | 334 |  |  |  | (41,635 | )
Passage Bio, Inc. |  | Bank of America N.A. |  |  | 1,600 |  |  |  | 07/22/20 |  |  | USD |  |  | 26.21 |  |  | USD |  |  | 44 |  |  |  | (5,559 | )
Roche Holding AG |  | Credit Suisse International |  |  | 2,100 |  |  |  | 07/22/20 |  |  | CHF |  |  | 337.33 |  |  | CHF |  |  | 690 |  |  |  | (7,566 | )
Sanofi |  | Goldman Sachs International |  |  | 11,100 |  |  |  | 07/22/20 |  |  | EUR |  |  | 93.11 |  |  | EUR |  |  | 1,006 |  |  |  | (16,163 | )
WuXi AppTec Co. Ltd., Class H |  | UBS AG |  |  | 13,800 |  |  |  | 07/23/20 |  |  | HKD |  |  | 91.27 |  |  | HKD |  |  | 1,390 |  |  |  | (21,393 | )
Merck & Co., Inc. |  | Credit Suisse International |  |  | 4,900 |  |  |  | 07/24/20 |  |  | EUR |  |  | 107.91 |  |  | EUR |  |  | 506 |  |  |  | (7,560 | )
GlaxoSmithKline PLC |  | Goldman Sachs International |  |  | 19,500 |  |  |  | 07/29/20 |  |  | GBP |  |  | 16.90 |  |  | GBP |  |  | 319 |  |  |  | (4,489 | )
Genmab A/S, ADR |  | UBS AG |  |  | 2,600 |  |  |  | 08/05/20 |  |  | DKK |  |  | 2,291.10 |  |  | DKK |  |  | 5,772 |  |  |  | (32,644 | )
Hansoh Pharmaceutical Group Co. Ltd. |  | UBS AG |  |  | 90,000 |  |  |  | 08/12/20 |  |  | HKD |  |  | 37.60 |  |  | HKD |  |  | 3,285 |  |  |  | (13,503 | )
Arcutis Biotherapeutics, Inc. |  | Goldman Sachs International |  |  | 1,000 |  |  |  | 08/13/20 |  |  | USD |  |  | 32.55 |  |  | USD |  |  | 30 |  |  |  | (2,941 | )
Varian Medical Systems, Inc. |  | Bank of America N.A. |  |  | 7,300 |  |  |  | 09/08/20 |  |  | USD |  |  | 130.17 |  |  | USD |  |  | 894 |  |  |  | (39,447 | )
|  |  | $ | (750,077 | )

Balances Reported in the Statements of Assets and Liabilities for Options Written

|  | Swap Premiums Paid |  |  | Swap Premiums Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |  |  | Value |
Options Written |  |  | N/A |  |  |  | N/A |  |  | $ | 1,675,762 |  |  | $ | (2,460,826 | ) |  | $ | (6,911,546 | )

66 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust (BME)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written at value |  | $ | — |  |  | $ | — |  |  |  | 6,911,546 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  | 6,911,546 |

For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Conracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | (8,068,279 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  | (8,068,279 | )

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | 744,026 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  | 744,026 |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Options: |
Average value of option contracts written |  | $ | 6,850,594 |

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |  |  |  |  |  |  |  |
Options |  | $ | — |  |  | $ | 6,911,546 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (6,161,469 | )
Total derivative assets and liabilities subject to an MNA |  | $ | — |  |  | $ | 750,077 |

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

Counterparty |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset |  |  | Non-cash Collateral Pledged |  |  | Cash Collateral Pledged |  |  | Net Amount of Derivative Liabilities (a) |
Bank of America N.A. |  | $ | 45,006 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 45,006 |
Credit Suisse International |  |  | 272,492 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 272,492 |
Goldman Sachs International |  |  | 105,531 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 105,531 |
JPMorgan Chase Bank N.A. |  |  | 116,205 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 116,205 |
Morgan Stanley & Co. International PLC |  |  | 55,057 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 55,057 |
UBS AG |  |  | 155,786 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 155,786 |
|  | $ | 750,077 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 750,077 |

| (a) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |

SCHEDULES OF INVESTMENTS |  |  | 67 |

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust (BME)

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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: |
Common Stocks: |
Biotechnology |  | $ | 102,045,950 |  |  | $ | 4,977,980 |  |  | $ | 2,256,300 |  |  | $ | 109,280,230 |
Health Care Equipment & Supplies |  |  | 131,102,164 |  |  |  | — |  |  |  | 1,018,656 |  |  |  | 132,120,820 |
Health Care Providers & Services |  |  | 85,690,374 |  |  |  | 1,111,546 |  |  |  | 575,147 |  |  |  | 87,377,067 |
Health Care Technology |  |  | 9,568,204 |  |  |  | — |  |  |  | — |  |  |  | 9,568,204 |
Life Sciences Tools & Services |  |  | 27,981,593 |  |  |  | 5,046,162 |  |  |  | — |  |  |  | 33,027,755 |
Pharmaceuticals |  |  | 76,492,418 |  |  |  | 24,552,610 |  |  |  | — |  |  |  | 101,045,028 |
Other Interests |  |  | — |  |  |  | — |  |  |  | 249,110 |  |  |  | 249,110 |
Preferred Stocks |  |  | — |  |  |  | — |  |  |  | 602,591 |  |  |  | 602,591 |
Short-Term Securities |  |  | 4,542,041 |  |  |  | — |  |  |  | — |  |  |  | 4,542,041 |
Subtotal |  | $ | 437,422,744 |  |  | $ | 35,688,298 |  |  | $ | 4,701,804 |  |  | $ | 477,812,846 |
Investments Valued at NAV(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10,557 |
Total Investments |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 477,823,403 |
Derivative Financial Instruments(b) |
Liabilities: |
Equity contracts |  | $ | (6,021,748 | ) |  | $ | (889,798 | ) |  | $ | — |  |  | $ | (6,911,546 | )

| (a) | Certain investments of the Trust were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |

| (b) | Derivative financial instruments are options written. Options written are shown at value. |

See notes to financial statements.

68 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) June 30, 2020 |  | BlackRock Health Sciences Trust II (BMEZ) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Common Stocks — 99.5% |
Biotechnology — 40.5% |
ACADIA Pharmaceuticals, Inc.(a) |  |  | 115,400 |  |  | $ | 5,593,438 |
Acceleron Pharma, Inc.(a)(b) |  |  | 314,516 |  |  |  | 29,963,939 |
ADC Therapeutics SA(a)(c) |  |  | 159,142 |  |  |  | 7,449,437 |
Agios Pharmaceuticals, Inc.(a)(b) |  |  | 482,750 |  |  |  | 25,817,470 |
Akeso, Inc.(a)(d) |  |  | 1,815,000 |  |  |  | 8,688,020 |
Akouos, Inc.(a) |  |  | 426,721 |  |  |  | 9,601,223 |
Alector, Inc.(a) |  |  | 408,845 |  |  |  | 9,992,172 |
Alexion Pharmaceuticals, Inc.(a) |  |  | 168,926 |  |  |  | 18,960,254 |
Allakos, Inc.(a)(b) |  |  | 212,829 |  |  |  | 15,293,892 |
Alnylam Pharmaceuticals, Inc.(a)(b) |  |  | 277,848 |  |  |  | 41,152,067 |
Amicus Therapeutics, Inc.(a)(b) |  |  | 591,017 |  |  |  | 8,912,536 |
Apellis Pharmaceuticals, Inc.(a) |  |  | 170,360 |  |  |  | 5,563,958 |
Applied Molecular Transport, Inc.(a) |  |  | 165,609 |  |  |  | 4,163,410 |
Arcutis Biotherapeutics, Inc.(a) |  |  | 155,075 |  |  |  | 4,689,468 |
Arena Pharmaceuticals, Inc.(a) |  |  | 234,580 |  |  |  | 14,766,811 |
Argenx SE, ADR(a)(b) |  |  | 121,001 |  |  |  | 27,253,055 |
Arrowhead Pharmaceuticals, Inc.(a) |  |  | 85,746 |  |  |  | 3,703,370 |
ARYA Sciences Acquisition Corp. II(a) |  |  | 204,554 |  |  |  | 2,372,826 |
Avidity Biosciences, Inc.(a) |  |  | 581,400 |  |  |  | 16,430,364 |
Beam Therapeutics, Inc.(a) |  |  | 169,779 |  |  |  | 4,753,812 |
Biohaven Pharmaceutical Holding Co. Ltd.(a) |  |  | 158,500 |  |  |  | 11,587,935 |
BioMarin Pharmaceutical, Inc.(a) |  |  | 352,397 |  |  |  | 43,464,646 |
Blueprint Medicines Corp.(a) |  |  | 75,909 |  |  |  | 5,920,902 |
CareDx, Inc.(a) |  |  | 227,093 |  |  |  | 8,045,905 |
ChemoCentryx, Inc.(a) |  |  | 109,330 |  |  |  | 6,290,848 |
Constellation Pharmaceuticals, Inc.(a) |  |  | 66,300 |  |  |  | 1,992,315 |
Deciphera Pharmaceuticals, Inc.(a) |  |  | 82,195 |  |  |  | 4,908,685 |
Dicerna Pharmaceuticals, Inc.(a) |  |  | 402,384 |  |  |  | 10,220,554 |
Eidos Therapeutics, Inc.(a) |  |  | 120,728 |  |  |  | 5,755,104 |
Fate Therapeutics, Inc.(a) |  |  | 112,925 |  |  |  | 3,874,457 |
FibroGen, Inc.(a)(b) |  |  | 477,348 |  |  |  | 19,346,915 |
Forma Therapeutics Holdings, Inc.(a) |  |  | 543,025 |  |  |  | 25,245,232 |
Fusion Pharmaceuticals, Inc.(a) |  |  | 436,446 |  |  |  | 7,624,712 |
Galapagos NV, ADR(a)(b) |  |  | 25,042 |  |  |  | 4,940,536 |
Generation Bio Co.(a) |  |  | 18,910 |  |  |  | 397,110 |
Genetron Holdings Ltd.(a) |  |  | 970,000 |  |  |  | 11,707,900 |
Genmab A/S, ADR(a) |  |  | 218,365 |  |  |  | 73,631,145 |
Genmab A/S, ADR(a)(b) |  |  | 690,930 |  |  |  | 23,415,618 |
Global Blood Therapeutics, Inc.(a) |  |  | 82,931 |  |  |  | 5,235,434 |
Grifols SA |  |  | 704,064 |  |  |  | 21,409,182 |
Gritstone Oncology, Inc.(a) |  |  | 197,153 |  |  |  | 1,309,096 |
Halozyme Therapeutics, Inc.(a) |  |  | 297,201 |  |  |  | 7,967,959 |
Immunomedics, Inc.(a) |  |  | 533,084 |  |  |  | 18,892,497 |
Immunovant, Inc.(a) |  |  | 207,798 |  |  |  | 5,059,881 |
Insmed, Inc.(a) |  |  | 422,927 |  |  |  | 11,647,410 |
Intellia Therapeutics, Inc.(a) |  |  | 147,621 |  |  |  | 3,102,993 |
Iovance Biotherapeutics, Inc.(a) |  |  | 429,994 |  |  |  | 11,803,335 |
Kadmon Holdings, Inc.(a) |  |  | 1,454,723 |  |  |  | 7,448,182 |
Karyopharm Therapeutics, Inc.(a) |  |  | 406,215 |  |  |  | 7,693,712 |
Keros Therapeutics, Inc.(a) |  |  | 212,296 |  |  |  | 7,963,223 |
Kodiak Sciences, Inc.(a) |  |  | 210,683 |  |  |  | 11,402,164 |
Krystal Biotech, Inc.(a) |  |  | 163,538 |  |  |  | 6,773,744 |
Longview Acquisition Corp.(a) |  |  | 486,550 |  |  |  | 4,914,155 |
Mersana Therapeutics, Inc.(a) |  |  | 1,752,329 |  |  |  | 41,004,499 |
Mirati Therapeutics, Inc.(a)(b) |  |  | 54,382 |  |  |  | 6,208,793 |
Molecular Templates, Inc.(a) |  |  | 203,575 |  |  |  | 2,807,299 |
Momenta Pharmaceuticals, Inc.(a) |  |  | 167,620 |  |  |  | 5,576,717 |
Morphic Holding, Inc.(a) |  |  | 100,431 |  |  |  | 2,716,659 |
Neurocrine Biosciences, Inc.(a) |  |  | 330,903 |  |  |  | 40,370,166 |
ORIC Pharmaceuticals, Inc.(a) |  |  | 237,730 |  |  |  | 8,018,633 |
Passage Bio, Inc.(a) |  |  | 190,016 |  |  |  | 5,193,137 |
Prevail Therapeutics, Inc.(a) |  |  | 85,400 |  |  |  | 1,272,460 |
Principia Biopharma, Inc.(a) |  |  | 104,353 |  |  |  | 6,239,266 |

Security |  | Shares |  |  | Value |
Biotechnology (continued) |
Prothena Corp. PLC(a) |  |  | 64,169 |  |  | $ | 671,208 |
PTC Therapeutics, Inc.(a) |  |  | 217,736 |  |  |  | 11,047,925 |
Rapt Therapeutics, Inc.(a) |  |  | 188,948 |  |  |  | 5,483,271 |
Regeneron Pharmaceuticals, Inc.(a)(b) |  |  | 68,120 |  |  |  | 42,483,038 |
Retrophin, Inc.(a) |  |  | 394,674 |  |  |  | 8,055,296 |
Revolution Medicines, Inc.(a) |  |  | 130,658 |  |  |  | 4,124,873 |
Sage Therapeutics, Inc.(a) |  |  | 157,700 |  |  |  | 6,557,166 |
Sarepta Therapeutics, Inc.(a)(b) |  |  | 72,754 |  |  |  | 11,665,376 |
Seattle Genetics, Inc.(a)(e) |  |  | 499,885 |  |  |  | 84,940,459 |
Stoke Therapeutics, Inc.(a) |  |  | 103,538 |  |  |  | 2,467,311 |
Syndax Pharmaceuticals, Inc.(a) |  |  | 260,073 |  |  |  | 3,854,282 |
Twist Bioscience Corp.(a)(b) |  |  | 242,154 |  |  |  | 10,969,576 |
uniQure NV(a) |  |  | 127,900 |  |  |  | 5,763,174 |
United Therapeutics Corp.(a)(b) |  |  | 59,550 |  |  |  | 7,205,550 |
Vertex Pharmaceuticals, Inc.(a)(b) |  |  | 122,254 |  |  |  | 35,491,559 |
Vir Biotechnology, Inc.(a) |  |  | 198,700 |  |  |  | 8,140,739 |
Voyager Therapeutics, Inc.(a) |  |  | 262,830 |  |  |  | 3,316,915 |
Zai Lab Ltd., ADR(a) |  |  | 194,310 |  |  |  | 15,958,680 |
Zentalis Pharmaceuticals, Inc.(a) |  |  | 227,113 |  |  |  | 10,905,966 |
Zymeworks, Inc.(a) |  |  | 252,147 |  |  |  | 9,094,942 |
|  |  |  | 1,073,719,943 |
Health Care Equipment & Supplies — 28.4% |
ABIOMED, Inc.(a) |  |  | 80,185 |  |  |  | 19,369,489 |
Alcon, Inc.(a) |  |  | 780,009 |  |  |  | 44,710,116 |
Baxter International, Inc. |  |  | 624,018 |  |  |  | 53,727,950 |
Cardiovascular Systems, Inc.(a) |  |  | 168,900 |  |  |  | 5,328,795 |
Coloplast A/S, Class B |  |  | 20,658 |  |  |  | 3,219,919 |
ConvaTec Group PLC(d) |  |  | 4,668,285 |  |  |  | 11,274,352 |
Cooper Cos., Inc.(b) |  |  | 40,050 |  |  |  | 11,359,782 |
Demant A/S(a) |  |  | 700,875 |  |  |  | 18,573,959 |
DexCom, Inc.(a)(b) |  |  | 40,467 |  |  |  | 16,405,322 |
Edwards Lifesciences Corp.(a) |  |  | 281,385 |  |  |  | 19,446,517 |
Envista Holdings Corp.(a) |  |  | 390,350 |  |  |  | 8,232,482 |
GN Store Nord A/S |  |  | 631,506 |  |  |  | 33,804,745 |
Haemonetics Corp.(a)(b) |  |  | 276,008 |  |  |  | 24,719,276 |
Hill-Rom Holdings, Inc.(b) |  |  | 146,385 |  |  |  | 16,070,145 |
Insulet Corp.(a)(b) |  |  | 142,744 |  |  |  | 27,729,449 |
Intuitive Surgical, Inc.(a)(b) |  |  | 74,498 |  |  |  | 42,451,195 |
Kangji Medical Holdings Ltd.(a) |  |  | 5,001,419 |  |  |  | 19,230,022 |
Masimo Corp.(a)(b) |  |  | 237,283 |  |  |  | 54,098,151 |
Nevro Corp.(a)(b) |  |  | 250,151 |  |  |  | 29,885,540 |
NuVasive, Inc.(a) |  |  | 137,340 |  |  |  | 7,644,344 |
Penumbra, Inc.(a)(b) |  |  | 113,661 |  |  |  | 20,324,860 |
ResMed, Inc.(b) |  |  | 177,327 |  |  |  | 34,046,784 |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A |  |  | 419,520 |  |  |  | 18,139,316 |
Silk Road Medical, Inc.(a) |  |  | 301,640 |  |  |  | 12,635,700 |
Sonova Holding AG, Registered Shares |  |  | 65,278 |  |  |  | 13,067,036 |
STERIS PLC |  |  | 139,521 |  |  |  | 21,408,102 |
Straumann Holding AG, Registered Shares |  |  | 33,816 |  |  |  | 29,233,463 |
Tandem Diabetes Care, Inc.(a)(b) |  |  | 256,274 |  |  |  | 25,350,624 |
Teleflex, Inc.(b) |  |  | 144,275 |  |  |  | 52,513,215 |
Varian Medical Systems, Inc.(a)(e) |  |  | 458,449 |  |  |  | 56,169,171 |
Venus MedTech Hangzhou, Inc., Class H(a)(d) |  |  | 181,000 |  |  |  | 1,788,095 |
|  |  |  | 751,957,916 |
Health Care Providers & Services — 9.5% |
Addus HomeCare Corp.(a) |  |  | 45,200 |  |  |  | 4,183,712 |
Amedisys, Inc.(a) |  |  | 230,923 |  |  |  | 45,847,452 |
Amplifon SpA(a) |  |  | 646,544 |  |  |  | 17,272,422 |
Centene Corp.(a)(b) |  |  | 359,854 |  |  |  | 22,868,722 |
Chemed Corp. |  |  | 24,300 |  |  |  | 10,961,001 |
Encompass Health Corp.(b) |  |  | 415,607 |  |  |  | 25,738,542 |
Humana, Inc.(b) |  |  | 81,306 |  |  |  | 31,526,402 |
Jinxin Fertility Group Ltd.(d) |  |  | 19,509,100 |  |  |  | 29,652,948 |

SCHEDULES OF INVESTMENTS |  | 69

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust II (BMEZ) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Health Care Providers & Services (continued) |
LHC Group, Inc.(a)(b) |  |  | 247,691 |  |  | $ | 43,177,495 |
Oak Street Health LLC, Series III-E, (Acquired 02/04/20, cost $19,349,483)(f)(g) |  |  | 123,805 |  |  |  | 19,349,483 |
|  |  |  | 250,578,179 |
Health Care Technology — 4.9% |
Livongo Health, Inc.(a) |  |  | 908,900 |  |  |  | 68,340,191 |
Ping An Healthcare and Technology Co. Ltd.(a)(d) |  |  | 1,024,074 |  |  |  | 15,700,625 |
Teladoc Health, Inc.(a) |  |  | 245,349 |  |  |  | 46,822,403 |
|  |  |  | 130,863,219 |
Insurance — 0.9% |
eHealth, Inc.(a) |  |  | 97,800 |  |  |  | 9,607,872 |
Selectquote, Inc.(a) |  |  | 559,762 |  |  |  | 14,178,771 |
|  |  |  | 23,786,643 |
Life Sciences Tools & Services — 6.4% |
10X Genomics, Inc., Class A(a) |  |  | 48,300 |  |  |  | 4,313,673 |
Avantor, Inc.(a) |  |  | 766,938 |  |  |  | 13,037,946 |
Charles River Laboratories International, Inc.(a)(b) |  |  | 91,464 |  |  |  | 15,946,749 |
Gerresheimer AG |  |  | 156,300 |  |  |  | 14,444,527 |
Illumina, Inc.(a)(b) |  |  | 35,617 |  |  |  | 13,190,756 |
IQVIA Holdings, Inc.(a)(b) |  |  | 145,011 |  |  |  | 20,574,161 |
Lonza Group AG, Registered Shares |  |  | 35,745 |  |  |  | 18,934,028 |
PPD, Inc.(a) |  |  | 422,964 |  |  |  | 11,335,435 |
WuXi AppTec Co. Ltd., Class H(d) |  |  | 2,391,060 |  |  |  | 31,226,434 |
Wuxi Biologics Cayman, Inc.(a)(d) |  |  | 1,429,101 |  |  |  | 26,232,011 |
|  |  |  | 169,235,720 |
Pharmaceuticals — 8.9% |
Astellas Pharma, Inc. |  |  | 1,070,400 |  |  |  | 17,875,209 |
Chugai Pharmaceutical Co. Ltd. |  |  | 307,500 |  |  |  | 16,463,531 |
Eisai Co. Ltd. |  |  | 133,400 |  |  |  | 10,598,479 |
GW Pharmaceuticals PLC — ADR(a) |  |  | 178,345 |  |  |  | 21,886,498 |
Hansoh Pharmaceutical Group Co. Ltd.(a)(d) |  |  | 9,306,068 |  |  |  | 44,012,229 |
Horizon Therapeutics PLC(a) |  |  | 171,600 |  |  |  | 9,537,528 |
Merck KGaA |  |  | 200,999 |  |  |  | 23,405,893 |
MyoKardia, Inc.(a) |  |  | 37,765 |  |  |  | 3,648,854 |
Nektar Therapeutics(a)(b) |  |  | 354,718 |  |  |  | 8,215,269 |
Reata Pharmaceuticals, Inc., Class A(a)(b) |  |  | 21,264 |  |  |  | 3,317,609 |
Relmada Therapeutics, Inc.(a) |  |  | 262,500 |  |  |  | 11,746,875 |
Royalty Pharma PLC, Class A(a) |  |  | 142,470 |  |  |  | 6,916,919 |
Tricida, Inc.(a) |  |  | 144,303 |  |  |  | 3,965,446 |
UCB SA |  |  | 449,726 |  |  |  | 52,189,084 |
WaVe Life Sciences Ltd.(a) |  |  | 269,300 |  |  |  | 2,803,413 |
|  |  |  | 236,582,836 |
Total Common Stocks — 99.5% (Cost — $2,173,928,487) |  |  |  | 2,636,724,456 |
Preferred Securities — 1.2% |
Preferred Stocks — 1.2% |
Biotechnology — 0.2% |
Goldfinch Bio, Inc., Series B, (Acquired 06/26/20, cost $3,029,231), 0.00%(f)(g) |  |  | 2,567,145 |  |  |  | 3,029,231 |
Sigilon Therapeutics, Inc., Series B, (Acquired 2/01/20, cost $3,051,798), 0.00%(f)(g) |  |  | 508,633 |  |  |  | 3,041,626 |
|  |  |  | 6,070,857 |
Pharmaceuticals — 1.0% |
Annexon, Inc., Series D, (Acquired 06/26/20, cost $4,170,549), 0.00%(f)(g) |  |  | 2,932,463 |  |  |  | 4,170,549 |
Everest Medicines Ltd., Series C2, (Acquired 05/29/20 cost $11,209,200), 0.00%(f)(g) |  |  | 3,113,667 |  |  |  | 11,209,201 |
Insitro, Inc., Series B, (Acquired 05/21/20 cost $5,000,000), 0.00%(f)(g) |  |  | 802,478 |  |  |  | 5,000,000 |

Security |  | Shares |  |  | Value |
Pharmaceuticals (continued) |
Kymera Therapeutics, Inc., Series C, (Acquired 03/11/20 cost $4,939,996), 0.00%(f)(g) |  |  | 755,744 |  |  | $ | 4,897,221 |
|  |  |  | 25,276,971 |
Total Preferred Stocks — 1.2% (Cost — $31,400,774) |  |  |  | 31,347,828 |
Total Long-Term Investments — 100.7% (Cost — $2,205,329,261) |  |  |  | 2,668,072,284 |
Short-Term Securities — 0.4% |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(h)(j) |  |  | 8,235,706 |  |  |  | 8,235,706 |
SL Liquidity Series, LLC, Money Market Series, 0.50%(h)(i)(j) |  |  | 1,888,090 |  |  |  | 1,889,600 |
Total Short-Term Securities — 0.4% (Cost — $10,125,306) |  |  |  | 10,125,306 |
Total Investments Before Options Written — 101.1% (Cost — $2,215,454,567) |  |  |  | 2,678,197,590 |
Options Written — (1.4)% (Premiums Received — $28,539,374) |  |  |  | (38,441,548 | )
Total Investments, Net of Options Written — 99.7% (Cost — $2,186,915,193) |  |  |  | 2,639,756,042 |
Other Assets Less Liabilities — 0.3% |  |  |  | 9,098,294 |
Net Assets — 100.0% |  |  | $ | 2,648,854,336 |

(a) | Non-income producing security.

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

(c) | Security, or a portion of the security, is on loan.

(d) | 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.

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

(f) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(g) | Restricted security as to resale, excluding 144A securities. The trust held restricted securities with a current value of $50,697,311 representing 1.9% of its net assets as of period end, and an original cost of $40,750,257.

(i) | All or a portion of the security was purchased with the cash collateral from loaned securities.

(h) | Annualized 7-day yield as of period end.

70 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust II (BMEZ)

(j) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Shares Held at 12/31/19 |  |  | Shares Purchased |  |  | Shares Sold |  |  | Shares Held at 06/30/20 |  |  | Value at 06/30/20 |  |  | Income |  |  | Net Realized Gain (Loss) (a) |  |  | Change in Unrealized Appreciation (Depreciation) |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  |  | — |  |  |  | 8,235,706 | (b) |  |  | — |  |  |  | 8,235,706 |  |  | $ | 8,235,706 |  |  | $ | 2,362,043 |  |  | $ | — |  |  | $ | — |
SL Liquidity Series, LLC, Money Market Series |  |  | — |  |  |  | 1,888,090 | (b) |  |  | — |  |  |  | 1,888,090 |  |  |  | 1,889,600 |  |  |  | 13,473 | (c) |  |  | — |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 10,125,306 |  |  | $ | 2,375,516 |  |  | $ | — |  |  | $ | — |

| (a) | Includes net capital gain distributions, if applicable. |

| (b) | Represents net shares purchased (sold). |

| (c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |

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 such industry sub-classifications for reporting ease.

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Baxter International, Inc. |  |  | 499 |  |  |  | 07/02/20 |  |  | USD |  |  | 92.50 |  |  | USD |  |  | 4,296 |  |  | $ | (12,475 | )
Centene Corp. |  |  | 169 |  |  |  | 07/02/20 |  |  | USD |  |  | 68.00 |  |  | USD |  |  | 1,074 |  |  |  | (16,055 | )
Edwards Lifesciences Corp. |  |  | 238 |  |  |  | 07/02/20 |  |  | USD |  |  | 75.00 |  |  | USD |  |  | 1,645 |  |  |  | (5,950 | )
Intuitive Surgical, Inc. |  |  | 49 |  |  |  | 07/02/20 |  |  | USD |  |  | 575.00 |  |  | USD |  |  | 2,792 |  |  |  | (20,580 | )
Sarepta Therapeutics, Inc. |  |  | 65 |  |  |  | 07/02/20 |  |  | USD |  |  | 162.50 |  |  | USD |  |  | 1,042 |  |  |  | (12,675 | )
Tandem Diabetes Care, Inc. |  |  | 58 |  |  |  | 07/02/20 |  |  | USD |  |  | 84.50 |  |  | USD |  |  | 574 |  |  |  | (85,550 | )
Vertex Pharmaceuticals, Inc. |  |  | 49 |  |  |  | 07/02/20 |  |  | USD |  |  | 272.50 |  |  | USD |  |  | 1,423 |  |  |  | (87,955 | )
Neurocrine Biosciences, Inc. |  |  | 321 |  |  |  | 07/06/20 |  |  | USD |  |  | 117.00 |  |  | USD |  |  | 3,916 |  |  |  | (188,868 | )
Centene Corp. |  |  | 471 |  |  |  | 07/10/20 |  |  | USD |  |  | 67.00 |  |  | USD |  |  | 2,993 |  |  |  | (21,195 | )
Humana, Inc. |  |  | 73 |  |  |  | 07/10/20 |  |  | USD |  |  | 395.00 |  |  | USD |  |  | 2,831 |  |  |  | (40,880 | )
Regeneron Pharmaceuticals, Inc. |  |  | 62 |  |  |  | 07/10/20 |  |  | USD |  |  | 600.00 |  |  | USD |  |  | 3,867 |  |  |  | (178,870 | )
Tandem Diabetes Care, Inc. |  |  | 57 |  |  |  | 07/10/20 |  |  | USD |  |  | 85.50 |  |  | USD |  |  | 564 |  |  |  | (82,365 | )
Teladoc Health, Inc. |  |  | 220 |  |  |  | 07/10/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 4,198 |  |  |  | (233,200 | )
Neurocrine Biosciences, Inc. |  |  | 321 |  |  |  | 07/13/20 |  |  | USD |  |  | 117.00 |  |  | USD |  |  | 3,916 |  |  |  | (224,021 | )
10X Genomics, Inc., Class A |  |  | 60 |  |  |  | 07/17/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 536 |  |  |  | (7,650 | )
ABIOMED, Inc. |  |  | 104 |  |  |  | 07/17/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 2,512 |  |  |  | (448,760 | )
ACADIA Pharmaceuticals, Inc. |  |  | 288 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 1,396 |  |  |  | (54,000 | )
Acceleron Pharma, Inc. |  |  | 519 |  |  |  | 07/17/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 4,945 |  |  |  | (27,247 | )
Addus HomeCare Corp. |  |  | 36 |  |  |  | 07/17/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 333 |  |  |  | (18,720 | )
Agios Pharmaceuticals, Inc. |  |  | 1,206 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 6,450 |  |  |  | (609,030 | )
Alcon, Inc. |  |  | 1,092 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 6,259 |  |  |  | (68,250 | )
Alector, Inc. |  |  | 654 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 1,598 |  |  |  | (35,970 | )
Alexion Pharmaceuticals, Inc. |  |  | 163 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 1,830 |  |  |  | (41,565 | )
Allakos, Inc. |  |  | 224 |  |  |  | 07/17/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 1,610 |  |  |  | (34,720 | )
Allakos, Inc. |  |  | 85 |  |  |  | 07/17/20 |  |  | USD |  |  | 75.00 |  |  | USD |  |  | 611 |  |  |  | (32,725 | )
Alnylam Pharmaceuticals, Inc. |  |  | 694 |  |  |  | 07/17/20 |  |  | USD |  |  | 140.00 |  |  | USD |  |  | 10,279 |  |  |  | (853,620 | )
Amedisys, Inc. |  |  | 275 |  |  |  | 07/17/20 |  |  | USD |  |  | 189.00 |  |  | USD |  |  | 5,460 |  |  |  | (375,130 | )
Amicus Therapeutics, Inc. |  |  | 847 |  |  |  | 07/17/20 |  |  | USD |  |  | 15.00 |  |  | USD |  |  | 1,277 |  |  |  | (44,468 | )
Amicus Therapeutics, Inc. |  |  | 630 |  |  |  | 07/17/20 |  |  | USD |  |  | 13.00 |  |  | USD |  |  | 950 |  |  |  | (137,025 | )
Apellis Pharmaceuticals, Inc. |  |  | 213 |  |  |  | 07/17/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 696 |  |  |  | (17,572 | )
Arena Pharmaceuticals, Inc. |  |  | 188 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 1,183 |  |  |  | (16,920 | )
Arena Pharmaceuticals, Inc. |  |  | 105 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 661 |  |  |  | (22,942 | )
Argenx SE, ADR |  |  | 190 |  |  |  | 07/17/20 |  |  | USD |  |  | 175.00 |  |  | USD |  |  | 4,279 |  |  |  | (953,800 | )
Arrowhead Pharmaceuticals, Inc. |  |  | 214 |  |  |  | 07/17/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 924 |  |  |  | (73,830 | )
Avantor, Inc. |  |  | 959 |  |  |  | 07/17/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 1,630 |  |  |  | (33,565 | )
Biohaven Pharmaceutical Holding Co. Ltd. |  |  | 253 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,850 |  |  |  | (471,845 | )
BioMarin Pharmaceutical, Inc. |  |  | 570 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 7,030 |  |  |  | (584,250 | )
Blueprint Medicines Corp. |  |  | 30 |  |  |  | 07/17/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 234 |  |  |  | (3,975 | )
Cardiovascular Systems, Inc. |  |  | 200 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 631 |  |  |  | (5,000 | )
CareDx, Inc. |  |  | 367 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.25 |  |  | USD |  |  | 1,300 |  |  |  | (207,485 | )

SCHEDULES OF INVESTMENTS |  | 71

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust II (BMEZ)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Centene Corp. |  |  | 259 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 1,646 |  |  | $ | (38,203 | )
Charles River Laboratories International, Inc. |  |  | 146 |  |  |  | 07/17/20 |  |  | USD |  |  | 165.00 |  |  | USD |  |  | 2,546 |  |  |  | (156,950 | )
Chemed Corp. |  |  | 38 |  |  |  | 07/17/20 |  |  | USD |  |  | 460.00 |  |  | USD |  |  | 1,714 |  |  |  | (31,350 | )
ChemoCentryx, Inc. |  |  | 87 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 501 |  |  |  | (12,832 | )
ChemoCentryx, Inc. |  |  | 87 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 501 |  |  |  | (8,917 | )
Constellation Pharmaceuticals, Inc. |  |  | 49 |  |  |  | 07/17/20 |  |  | USD |  |  | 49.50 |  |  | USD |  |  | 147 |  |  |  | (83 | )
Cooper Cos., Inc. |  |  | 100 |  |  |  | 07/17/20 |  |  | USD |  |  | 310.00 |  |  | USD |  |  | 2,836 |  |  |  | (28,500 | )
Deciphera Pharmaceuticals, Inc. |  |  | 131 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 782 |  |  |  | (80,565 | )
Deciphera Pharmaceuticals, Inc. |  |  | 74 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 442 |  |  |  | (11,655 | )
DexCom, Inc. |  |  | 37 |  |  |  | 07/17/20 |  |  | USD |  |  | 410.00 |  |  | USD |  |  | 1,500 |  |  |  | (56,240 | )
DexCom, Inc. |  |  | 32 |  |  |  | 07/17/20 |  |  | USD |  |  | 390.00 |  |  | USD |  |  | 1,297 |  |  |  | (84,800 | )
Dicerna Pharmaceuticals, Inc. |  |  | 643 |  |  |  | 07/17/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 1,633 |  |  |  | (85,198 | )
Edwards Lifesciences Corp. |  |  | 225 |  |  |  | 07/17/20 |  |  | USD |  |  | 73.33 |  |  | USD |  |  | 1,555 |  |  |  | (15,750 | )
Eidos Therapeutics, Inc. |  |  | 96 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 458 |  |  |  | (17,040 | )
Encompass Health Corp. |  |  | 664 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 4,112 |  |  |  | (16,600 | )
Envista Holdings Corp. |  |  | 625 |  |  |  | 07/17/20 |  |  | USD |  |  | 22.00 |  |  | USD |  |  | 1,318 |  |  |  | (159,375 | )
Fate Therapeutics, Inc. |  |  | 100 |  |  |  | 07/17/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 343 |  |  |  | (16,500 | )
Fate Therapeutics, Inc. |  |  | 91 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 312 |  |  |  | (45,045 | )
FibroGen, Inc. |  |  | 380 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 1,540 |  |  |  | (81,700 | )
FibroGen, Inc. |  |  | 347 |  |  |  | 07/17/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 1,406 |  |  |  | (211,670 | )
GW Pharmaceuticals PLC — ADR |  |  | 223 |  |  |  | 07/17/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 2,737 |  |  |  | (82,510 | )
Galapagos NV, ADR |  |  | 20 |  |  |  | 07/17/20 |  |  | USD |  |  | 230.00 |  |  | USD |  |  | 395 |  |  |  | (4,800 | )
Global Blood Therapeutics, Inc. |  |  | 66 |  |  |  | 07/17/20 |  |  | USD |  |  | 79.75 |  |  | USD |  |  | 417 |  |  |  | (1,195 | )
Haemonetics Corp. |  |  | 345 |  |  |  | 07/17/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 3,090 |  |  |  | (6,900 | )
Hill-Rom Holdings, Inc. |  |  | 131 |  |  |  | 07/17/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 1,438 |  |  |  | (91,700 | )
Horizon Therapeutics PLC |  |  | 140 |  |  |  | 07/17/20 |  |  | USD |  |  | 48.00 |  |  | USD |  |  | 778 |  |  |  | (115,500 | )
Horizon Therapeutics PLC |  |  | 95 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 528 |  |  |  | (59,375 | )
IQVIA Holdings, Inc. |  |  | 113 |  |  |  | 07/17/20 |  |  | USD |  |  | 140.00 |  |  | USD |  |  | 1,603 |  |  |  | (45,765 | )
Illumina, Inc. |  |  | 33 |  |  |  | 07/17/20 |  |  | USD |  |  | 370.00 |  |  | USD |  |  | 1,222 |  |  |  | (38,445 | )
Immunomedics, Inc. |  |  | 213 |  |  |  | 07/17/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 755 |  |  |  | (36,742 | )
Insmed, Inc. |  |  | 345 |  |  |  | 07/17/20 |  |  | USD |  |  | 24.75 |  |  | USD |  |  | 950 |  |  |  | (117,929 | )
Insulet Corp. |  |  | 160 |  |  |  | 07/17/20 |  |  | USD |  |  | 220.00 |  |  | USD |  |  | 3,108 |  |  |  | (13,200 | )
Intellia Therapeutics, Inc. |  |  | 369 |  |  |  | 07/17/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 776 |  |  |  | (22,140 | )
Intuitive Surgical, Inc. |  |  | 78 |  |  |  | 07/17/20 |  |  | USD |  |  | 595.00 |  |  | USD |  |  | 4,445 |  |  |  | (37,440 | )
Iovance Biotherapeutics, Inc. |  |  | 357 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 980 |  |  |  | (4,462 | )
Iovance Biotherapeutics, Inc. |  |  | 230 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 631 |  |  |  | (5,175 | )
Kadmon Holdings, Inc. |  |  | 1,682 |  |  |  | 07/17/20 |  |  | USD |  |  | 5.00 |  |  | USD |  |  | 861 |  |  |  | (71,485 | )
Karyopharm Therapeutics, Inc. |  |  | 505 |  |  |  | 07/17/20 |  |  | USD |  |  | 22.50 |  |  | USD |  |  | 956 |  |  |  | (16,412 | )
Kodiak Sciences, Inc. |  |  | 225 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 1,218 |  |  |  | (40,500 | )
Kodiak Sciences, Inc. |  |  | 75 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 406 |  |  |  | (17,437 | )
LHC Group, Inc. |  |  | 90 |  |  |  | 07/17/20 |  |  | USD |  |  | 145.00 |  |  | USD |  |  | 1,569 |  |  |  | (263,700 | )
LHC Group, Inc. |  |  | 90 |  |  |  | 07/17/20 |  |  | USD |  |  | 150.00 |  |  | USD |  |  | 1,569 |  |  |  | (220,500 | )
Livongo Health, Inc. |  |  | 1,320 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 9,925 |  |  |  | (1,491,600 | )
Masimo Corp. |  |  | 285 |  |  |  | 07/17/20 |  |  | USD |  |  | 250.00 |  |  | USD |  |  | 6,498 |  |  |  | (37,050 | )
Mersana Therapeutics, Inc. |  |  | 500 |  |  |  | 07/17/20 |  |  | USD |  |  | 22.50 |  |  | USD |  |  | 1,170 |  |  |  | (120,000 | )
Mersana Therapeutics, Inc. |  |  | 580 |  |  |  | 07/17/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 1,357 |  |  |  | (79,750 | )
Mersana Therapeutics, Inc. |  |  | 1,300 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 3,042 |  |  |  | (48,750 | )
Mirati Therapeutics, Inc. |  |  | 68 |  |  |  | 07/17/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 776 |  |  |  | (60,180 | )
Molecular Templates, Inc. |  |  | 162 |  |  |  | 07/17/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 223 |  |  |  | (12,150 | )
Momenta Pharmaceuticals, Inc. |  |  | 145 |  |  |  | 07/17/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 482 |  |  |  | (35,525 | )
MyoKardia, Inc. |  |  | 64 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 618 |  |  |  | (10,880 | )
MyoKardia, Inc. |  |  | 30 |  |  |  | 07/17/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 290 |  |  |  | (5,625 | )
Nektar Therapeutics |  |  | 566 |  |  |  | 07/17/20 |  |  | USD |  |  | 24.00 |  |  | USD |  |  | 1,311 |  |  |  | (50,940 | )
Nevro Corp. |  |  | 314 |  |  |  | 07/17/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 3,751 |  |  |  | (95,770 | )
NuVasive, Inc. |  |  | 150 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 835 |  |  |  | (20,250 | )
Penumbra, Inc. |  |  | 105 |  |  |  | 07/17/20 |  |  | USD |  |  | 180.00 |  |  | USD |  |  | 1,878 |  |  |  | (59,325 | )
Principia Biopharma, Inc. |  |  | 130 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 777 |  |  |  | (34,125 | )
PPD, Inc. |  |  | 338 |  |  |  | 07/17/20 |  |  | USD |  |  | 28.25 |  |  | USD |  |  | 906 |  |  |  | (23,570 | )
PPD, Inc. |  |  | 275 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 737 |  |  |  | (9,625 | )
PTC Therapeutics, Inc. |  |  | 182 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 923 |  |  |  | (52,780 | )
Reata Pharmaceuticals, Inc., Class A |  |  | 34 |  |  |  | 07/17/20 |  |  | USD |  |  | 170.00 |  |  | USD |  |  | 530 |  |  |  | (15,130 | )
Regeneron Pharmaceuticals, Inc. |  |  | 34 |  |  |  | 07/17/20 |  |  | USD |  |  | 600.00 |  |  | USD |  |  | 2,120 |  |  |  | (119,000 | )

72 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust II (BMEZ)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Relmada Therapeutics, Inc. |  |  | 420 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 1,880 |  |  | $ | (149,100 | )
ResMed, Inc. |  |  | 140 |  |  |  | 07/17/20 |  |  | USD |  |  | 170.00 |  |  | USD |  |  | 2,688 |  |  |  | (330,400 | )
Retrophin, Inc. |  |  | 315 |  |  |  | 07/17/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 643 |  |  |  | (77,175 | )
Royalty Pharma PLC, Class A |  |  | 356 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,728 |  |  |  | (25,810 | )
STERIS PLC |  |  | 174 |  |  |  | 07/17/20 |  |  | USD |  |  | 160.00 |  |  | USD |  |  | 2,670 |  |  |  | (23,055 | )
Sage Therapeutics, Inc. |  |  | 200 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 832 |  |  |  | (76,500 | )
Selectquote, Inc. |  |  | 700 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 1,773 |  |  |  | (7,000 | )
Silk Road Medical, Inc. |  |  | 223 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 934 |  |  |  | (16,725 | )
Silk Road Medical, Inc. |  |  | 111 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 465 |  |  |  | (9,435 | )
Stoke Therapeutics, Inc. |  |  | 93 |  |  |  | 07/17/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 222 |  |  |  | (9,532 | )
Stoke Therapeutics, Inc. |  |  | 83 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 198 |  |  |  | (4,150 | )
Syndax Pharmaceuticals, Inc. |  |  | 562 |  |  |  | 07/17/20 |  |  | USD |  |  | 22.50 |  |  | USD |  |  | 833 |  |  |  | (56,200 | )
Syndax Pharmaceuticals, Inc. |  |  | 317 |  |  |  | 07/17/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 470 |  |  |  | (7,925 | )
Tandem Diabetes Care, Inc. |  |  | 58 |  |  |  | 07/17/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 574 |  |  |  | (87,290 | )
Tandem Diabetes Care, Inc. |  |  | 57 |  |  |  | 07/17/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 564 |  |  |  | (62,130 | )
Teladoc Health, Inc. |  |  | 77 |  |  |  | 07/17/20 |  |  | USD |  |  | 180.00 |  |  | USD |  |  | 1,469 |  |  |  | (122,045 | )
Teleflex, Inc. |  |  | 115 |  |  |  | 07/17/20 |  |  | USD |  |  | 350.00 |  |  | USD |  |  | 4,186 |  |  |  | (228,850 | )
Twist Bioscience Corp. |  |  | 194 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 879 |  |  |  | (60,625 | )
United Therapeutics Corp. |  |  | 95 |  |  |  | 07/17/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 1,150 |  |  |  | (39,425 | )
Varian Medical Systems, Inc. |  |  | 367 |  |  |  | 07/17/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 4,496 |  |  |  | (174,325 | )
Vertex Pharmaceuticals, Inc. |  |  | 108 |  |  |  | 07/17/20 |  |  | USD |  |  | 270.00 |  |  | USD |  |  | 3,135 |  |  |  | (252,180 | )
Vir Biotechnology, Inc. |  |  | 317 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 1,299 |  |  |  | (163,255 | )
Vir Biotechnology, Inc. |  |  | 179 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 733 |  |  |  | (59,518 | )
Voyager Therapeutics, Inc. |  |  | 328 |  |  |  | 07/17/20 |  |  | USD |  |  | 15.00 |  |  | USD |  |  | 414 |  |  |  | (9,020 | )
Zai Lab Ltd., ADR |  |  | 155 |  |  |  | 07/17/20 |  |  | USD |  |  | 73.00 |  |  | USD |  |  | 1,273 |  |  |  | (155,627 | )
Zymeworks, Inc. |  |  | 315 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 1,136 |  |  |  | (37,013 | )
uniQure NV |  |  | 101 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 455 |  |  |  | (1,262 | )
eHealth, Inc. |  |  | 122 |  |  |  | 07/17/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 1,199 |  |  |  | (7,625 | )
Baxter International, Inc. |  |  | 560 |  |  |  | 07/24/20 |  |  | USD |  |  | 87.50 |  |  | USD |  |  | 4,822 |  |  |  | (91,840 | )
Humana, Inc. |  |  | 65 |  |  |  | 07/24/20 |  |  | USD |  |  | 392.50 |  |  | USD |  |  | 2,520 |  |  |  | (76,375 | )
Illumina, Inc. |  |  | 56 |  |  |  | 07/24/20 |  |  | USD |  |  | 375.00 |  |  | USD |  |  | 2,074 |  |  |  | (63,000 | )
Masimo Corp. |  |  | 379 |  |  |  | 07/24/20 |  |  | USD |  |  | 253.00 |  |  | USD |  |  | 8,641 |  |  |  | (72,837 | )
Regeneron Pharmaceuticals, Inc. |  |  | 24 |  |  |  | 07/24/20 |  |  | USD |  |  | 610.00 |  |  | USD |  |  | 1,497 |  |  |  | (75,360 | )
Teladoc Health, Inc. |  |  | 119 |  |  |  | 07/24/20 |  |  | USD |  |  | 175.00 |  |  | USD |  |  | 2,271 |  |  |  | (250,495 | )
Vertex Pharmaceuticals, Inc. |  |  | 49 |  |  |  | 07/24/20 |  |  | USD |  |  | 292.50 |  |  | USD |  |  | 1,423 |  |  |  | (48,020 | )
Alexion Pharmaceuticals, Inc. |  |  | 96 |  |  |  | 07/31/20 |  |  | USD |  |  | 116.00 |  |  | USD |  |  | 1,078 |  |  |  | (33,600 | )
Baxter International, Inc. |  |  | 501 |  |  |  | 07/31/20 |  |  | USD |  |  | 86.50 |  |  | USD |  |  | 4,314 |  |  |  | (126,503 | )
Edwards Lifesciences Corp. |  |  | 240 |  |  |  | 07/31/20 |  |  | USD |  |  | 74.00 |  |  | USD |  |  | 1,659 |  |  |  | (34,200 | )
Humana, Inc. |  |  | 65 |  |  |  | 07/31/20 |  |  | USD |  |  | 395.00 |  |  | USD |  |  | 2,520 |  |  |  | (78,975 | )
Immunomedics, Inc. |  |  | 213 |  |  |  | 07/31/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 755 |  |  |  | (77,213 | )
Intuitive Surgical, Inc. |  |  | 59 |  |  |  | 07/31/20 |  |  | USD |  |  | 590.00 |  |  | USD |  |  | 3,362 |  |  |  | (102,660 | )
Regeneron Pharmaceuticals, Inc. |  |  | 50 |  |  |  | 07/31/20 |  |  | USD |  |  | 620.00 |  |  | USD |  |  | 3,118 |  |  |  | (139,500 | )
Sage Therapeutics, Inc. |  |  | 200 |  |  |  | 07/31/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 832 |  |  |  | (77,500 | )
Sarepta Therapeutics, Inc. |  |  | 116 |  |  |  | 07/31/20 |  |  | USD |  |  | 170.00 |  |  | USD |  |  | 1,860 |  |  |  | (66,120 | )
Tandem Diabetes Care, Inc. |  |  | 410 |  |  |  | 07/31/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 4,056 |  |  |  | (416,150 | )
Teladoc Health, Inc. |  |  | 77 |  |  |  | 07/31/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 1,469 |  |  |  | (89,705 | )
10X Genomics, Inc., Class A |  |  | 60 |  |  |  | 08/21/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 536 |  |  |  | (16,650 | )
Acceleron Pharma, Inc. |  |  | 267 |  |  |  | 08/21/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 2,544 |  |  |  | (88,110 | )
Addus HomeCare Corp. |  |  | 77 |  |  |  | 08/21/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 713 |  |  |  | (34,265 | )
Alcon, Inc. |  |  | 858 |  |  |  | 08/21/20 |  |  | USD |  |  | 62.50 |  |  | USD |  |  | 4,918 |  |  |  | (92,235 | )
Alector, Inc. |  |  | 368 |  |  |  | 08/21/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 899 |  |  |  | (56,120 | )
Alexion Pharmaceuticals, Inc. |  |  | 163 |  |  |  | 08/21/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 1,830 |  |  |  | (57,050 | )
Allakos, Inc. |  |  | 224 |  |  |  | 08/21/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 1,610 |  |  |  | (94,080 | )
Apellis Pharmaceuticals, Inc. |  |  | 213 |  |  |  | 08/21/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 696 |  |  |  | (51,653 | )
Arena Pharmaceuticals, Inc. |  |  | 188 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 1,183 |  |  |  | (54,896 | )
Arena Pharmaceuticals, Inc. |  |  | 105 |  |  |  | 08/21/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 661 |  |  |  | (47,775 | )
Argenx SE, ADR |  |  | 112 |  |  |  | 08/21/20 |  |  | USD |  |  | 240.00 |  |  | USD |  |  | 2,523 |  |  |  | (118,160 | )
Avantor, Inc. |  |  | 959 |  |  |  | 08/21/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 1,630 |  |  |  | (35,962 | )
BioMarin Pharmaceutical, Inc. |  |  | 310 |  |  |  | 08/21/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 3,824 |  |  |  | (337,900 | )
Blueprint Medicines Corp. |  |  | 30 |  |  |  | 08/21/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 234 |  |  |  | (15,450 | )
Cardiovascular Systems, Inc. |  |  | 220 |  |  |  | 08/21/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 694 |  |  |  | (22,550 | )
CareDx, Inc. |  |  | 200 |  |  |  | 08/21/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 709 |  |  |  | (36,000 | )

SCHEDULES OF INVESTMENTS |  | 73

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust II (BMEZ)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Charles River Laboratories International, Inc. |  |  | 82 |  |  |  | 08/21/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 1,430 |  |  | $ | (42,230 | )
Chemed Corp. |  |  | 22 |  |  |  | 08/21/20 |  |  | USD |  |  | 480.00 |  |  | USD |  |  | 992 |  |  |  | (25,300 | )
ChemoCentryx, Inc. |  |  | 99 |  |  |  | 08/21/20 |  |  | USD |  |  | 80.00 |  |  | USD |  |  | 570 |  |  |  | (48,510 | )
Constellation Pharmaceuticals, Inc. |  |  | 60 |  |  |  | 08/21/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 180 |  |  |  | (14,700 | )
Dicerna Pharmaceuticals, Inc. |  |  | 362 |  |  |  | 08/21/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 919 |  |  |  | (47,060 | )
eHealth, Inc. |  |  | 122 |  |  |  | 08/21/20 |  |  | USD |  |  | 130.00 |  |  | USD |  |  | 1,199 |  |  |  | (31,415 | )
Eidos Therapeutics, Inc. |  |  | 205 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 977 |  |  |  | (46,638 | )
Encompass Health Corp. |  |  | 375 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 2,322 |  |  |  | (43,125 | )
Envista Holdings Corp. |  |  | 350 |  |  |  | 08/21/20 |  |  | USD |  |  | 23.00 |  |  | USD |  |  | 738 |  |  |  | (41,125 | )
Fate Therapeutics, Inc. |  |  | 91 |  |  |  | 08/21/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 312 |  |  |  | (30,940 | )
FibroGen, Inc. |  |  | 466 |  |  |  | 08/21/20 |  |  | USD |  |  | 42.50 |  |  | USD |  |  | 1,889 |  |  |  | (142,130 | )
GW Pharmaceuticals PLC — ADR |  |  | 133 |  |  |  | 08/21/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 1,632 |  |  |  | (136,990 | )
GW Pharmaceuticals PLC — ADR |  |  | 90 |  |  |  | 08/21/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 1,104 |  |  |  | (74,250 | )
Galapagos NV, ADR |  |  | 42 |  |  |  | 08/21/20 |  |  | USD |  |  | 220.00 |  |  | USD |  |  | 829 |  |  |  | (30,240 | )
Genmab A/S, ADR |  |  | 811 |  |  |  | 08/21/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 2,748 |  |  |  | (152,063 | )
Genmab A/S, ADR |  |  | 416 |  |  |  | 08/21/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 1,410 |  |  |  | (203,840 | )
Global Blood Therapeutics, Inc. |  |  | 66 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 417 |  |  |  | (21,120 | )
Haemonetics Corp. |  |  | 345 |  |  |  | 08/21/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 3,090 |  |  |  | (181,125 | )
Halozyme Therapeutics, Inc. |  |  | 505 |  |  |  | 08/21/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 1,354 |  |  |  | (157,813 | )
Hill-Rom Holdings, Inc. |  |  | 234 |  |  |  | 08/21/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 2,569 |  |  |  | (209,430 | )
Horizon Therapeutics PLC |  |  | 194 |  |  |  | 08/21/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 1,078 |  |  |  | (156,170 | )
Insmed, Inc. |  |  | 380 |  |  |  | 08/21/20 |  |  | USD |  |  | 29.00 |  |  | USD |  |  | 1,047 |  |  |  | (82,650 | )
Insmed, Inc. |  |  | 330 |  |  |  | 08/21/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 909 |  |  |  | (118,800 | )
IQVIA Holdings, Inc. |  |  | 249 |  |  |  | 08/21/20 |  |  | USD |  |  | 150.00 |  |  | USD |  |  | 3,533 |  |  |  | (104,580 | )
Iovance Biotherapeutics, Inc. |  |  | 244 |  |  |  | 08/21/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 670 |  |  |  | (31,110 | )
Kadmon Holdings, Inc. |  |  | 977 |  |  |  | 08/21/20 |  |  | USD |  |  | 5.00 |  |  | USD |  |  | 500 |  |  |  | (195,400 | )
Karyopharm Therapeutics, Inc. |  |  | 340 |  |  |  | 08/21/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 644 |  |  |  | (26,350 | )
Karyopharm Therapeutics, Inc. |  |  | 170 |  |  |  | 08/21/20 |  |  | USD |  |  | 22.50 |  |  | USD |  |  | 322 |  |  |  | (20,825 | )
Kodiak Sciences, Inc. |  |  | 226 |  |  |  | 08/21/20 |  |  | USD |  |  | 75.00 |  |  | USD |  |  | 1,223 |  |  |  | (33,335 | )
Krystal Biotech, Inc. |  |  | 277 |  |  |  | 08/21/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 1,147 |  |  |  | (135,730 | )
LHC Group, Inc. |  |  | 220 |  |  |  | 08/21/20 |  |  | USD |  |  | 170.00 |  |  | USD |  |  | 3,835 |  |  |  | (305,800 | )
Livongo Health, Inc. |  |  | 492 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 3,699 |  |  |  | (548,580 | )
Livongo Health, Inc. |  |  | 460 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 3,459 |  |  |  | (970,600 | )
Masimo Corp. |  |  | 143 |  |  |  | 08/21/20 |  |  | USD |  |  | 240.00 |  |  | USD |  |  | 3,260 |  |  |  | (120,120 | )
Masimo Corp. |  |  | 142 |  |  |  | 08/21/20 |  |  | USD |  |  | 230.00 |  |  | USD |  |  | 3,237 |  |  |  | (170,400 | )
Mersana Therapeutics, Inc. |  |  | 1,500 |  |  |  | 08/21/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 3,510 |  |  |  | (442,500 | )
Mersana Therapeutics, Inc. |  |  | 500 |  |  |  | 08/21/20 |  |  | USD |  |  | 22.50 |  |  | USD |  |  | 1,170 |  |  |  | (205,000 | )
Mirati Therapeutics, Inc. |  |  | 68 |  |  |  | 08/21/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 776 |  |  |  | (90,440 | )
Molecular Templates, Inc. |  |  | 173 |  |  |  | 08/21/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 239 |  |  |  | (12,975 | )
Momenta Pharmaceuticals, Inc. |  |  | 274 |  |  |  | 08/21/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 912 |  |  |  | (60,965 | )
Nektar Therapeutics |  |  | 320 |  |  |  | 08/21/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 741 |  |  |  | (48,800 | )
Neurocrine Biosciences, Inc. |  |  | 362 |  |  |  | 08/21/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 4,416 |  |  |  | (246,160 | )
Nevro Corp. |  |  | 314 |  |  |  | 08/21/20 |  |  | USD |  |  | 130.00 |  |  | USD |  |  | 3,751 |  |  |  | (186,830 | )
NuVasive, Inc. |  |  | 193 |  |  |  | 08/21/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 1,074 |  |  |  | (54,040 | )
PPD, Inc. |  |  | 444 |  |  |  | 08/21/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 1,190 |  |  |  | (47,730 | )
Penumbra, Inc. |  |  | 179 |  |  |  | 08/21/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 3,201 |  |  |  | (136,935 | )
Principia Biopharma, Inc. |  |  | 130 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 777 |  |  |  | (38,675 | )
PTC Therapeutics, Inc. |  |  | 182 |  |  |  | 08/21/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 923 |  |  |  | (27,300 | )
PTC Therapeutics, Inc. |  |  | 180 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 913 |  |  |  | (46,350 | )
Reata Pharmaceuticals, Inc., Class A |  |  | 19 |  |  |  | 08/21/20 |  |  | USD |  |  | 180.00 |  |  | USD |  |  | 296 |  |  |  | (17,955 | )
Relmada Therapeutics, Inc. |  |  | 236 |  |  |  | 08/21/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 1,056 |  |  |  | (92,630 | )
ResMed, Inc. |  |  | 300 |  |  |  | 08/21/20 |  |  | USD |  |  | 180.00 |  |  | USD |  |  | 5,760 |  |  |  | (555,000 | )
Retrophin, Inc. |  |  | 335 |  |  |  | 08/21/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 684 |  |  |  | (123,950 | )
Seattle Genetics, Inc. |  |  | 626 |  |  |  | 08/21/20 |  |  | USD |  |  | 165.00 |  |  | USD |  |  | 10,637 |  |  |  | (923,350 | )
Selectquote, Inc. |  |  | 699 |  |  |  | 08/21/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 1,771 |  |  |  | (40,193 | )
Silk Road Medical, Inc. |  |  | 420 |  |  |  | 08/21/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 1,759 |  |  |  | (106,050 | )
STERIS PLC |  |  | 174 |  |  |  | 08/21/20 |  |  | USD |  |  | 160.00 |  |  | USD |  |  | 2,670 |  |  |  | (84,390 | )
Stoke Therapeutics, Inc. |  |  | 82 |  |  |  | 08/21/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 195 |  |  |  | (12,300 | )
Teladoc Health, Inc. |  |  | 120 |  |  |  | 08/21/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 2,290 |  |  |  | (174,000 | )
Teleflex, Inc. |  |  | 245 |  |  |  | 08/21/20 |  |  | USD |  |  | 380.00 |  |  | USD |  |  | 8,918 |  |  |  | (285,425 | )
Tricida, Inc. |  |  | 130 |  |  |  | 08/21/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 357 |  |  |  | (34,450 | )
Twist Bioscience Corp. |  |  | 218 |  |  |  | 08/21/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 988 |  |  |  | (150,420 | )

74 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust II (BMEZ)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
United Therapeutics Corp. |  |  | 53 |  |  |  | 08/21/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 641 |  |  | $ | (30,210 | )
uniQure NV |  |  | 218 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 982 |  |  |  | (9,265 | )
Varian Medical Systems, Inc. |  |  | 367 |  |  |  | 08/21/20 |  |  | USD |  |  | 125.00 |  |  | USD |  |  | 4,496 |  |  |  | (223,870 | )
Vertex Pharmaceuticals, Inc. |  |  | 98 |  |  |  | 08/21/20 |  |  | USD |  |  | 310.00 |  |  | USD |  |  | 2,845 |  |  |  | (82,810 | )
Voyager Therapeutics, Inc. |  |  | 329 |  |  |  | 08/21/20 |  |  | USD |  |  | 15.00 |  |  | USD |  |  | 415 |  |  |  | (157,920 | )
Zai Lab Ltd., ADR |  |  | 330 |  |  |  | 08/21/20 |  |  | USD |  |  | 80.00 |  |  | USD |  |  | 2,710 |  |  |  | (247,500 | )
Zymeworks, Inc. |  |  | 315 |  |  |  | 08/21/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 1,136 |  |  |  | (92,138 | )
ABIOMED, Inc. |  |  | 96 |  |  |  | 09/18/20 |  |  | USD |  |  | 260.00 |  |  | USD |  |  | 2,319 |  |  |  | (134,880 | )
Amedisys, Inc. |  |  | 302 |  |  |  | 09/18/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 5,996 |  |  |  | (642,505 | )
Biohaven Pharmaceutical Holding Co. Ltd. |  |  | 143 |  |  |  | 09/18/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 1,045 |  |  |  | (161,590 | )
Constellation Pharmaceuticals, Inc. |  |  | 56 |  |  |  | 09/18/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 168 |  |  |  | (6,300 | )
DexCom, Inc. |  |  | 32 |  |  |  | 09/18/20 |  |  | USD |  |  | 400.00 |  |  | USD |  |  | 1,297 |  |  |  | (136,800 | )
Global Blood Therapeutics, Inc. |  |  | 75 |  |  |  | 09/18/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 473 |  |  |  | (37,500 | )
Insulet Corp. |  |  | 200 |  |  |  | 09/18/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 3,885 |  |  |  | (224,000 | )
Iovance Biotherapeutics, Inc. |  |  | 244 |  |  |  | 09/18/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 670 |  |  |  | (47,580 | )
LHC Group, Inc. |  |  | 220 |  |  |  | 09/18/20 |  |  | USD |  |  | 175.00 |  |  | USD |  |  | 3,835 |  |  |  | (295,900 | )
Molecular Templates, Inc. |  |  | 173 |  |  |  | 09/18/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 239 |  |  |  | (18,597 | )
Retrophin, Inc. |  |  | 335 |  |  |  | 09/18/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 684 |  |  |  | (143,213 | )
Seattle Genetics, Inc. |  |  | 626 |  |  |  | 09/18/20 |  |  | USD |  |  | 170.00 |  |  | USD |  |  | 10,637 |  |  |  | (954,650 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (29,169,654 | )

OTC Options Written

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Jinxin Fertility Group Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 1,344,000 |  |  |  | 07/02/20 |  |  | HKD |  |  | 11.12 |  |  | HKD |  |  | 15,832 |  |  | $ | (121,310 | )
Tricida, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 11,500 |  |  |  | 07/06/20 |  |  | USD |  |  | 29.00 |  |  | USD |  |  | 316 |  |  |  | (5,434 | )
Amplifon SpA |  | UBS AG |  |  | 51,700 |  |  |  | 07/07/20 |  |  | EUR |  |  | 24.33 |  |  | EUR |  |  | 1,229 |  |  |  | (31,558 | )
Chugai Pharmaceutical Co., Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 24,600 |  |  |  | 07/07/20 |  |  | JPY |  |  | 4,483.66 |  |  | JPY |  |  | 142,212 |  |  |  | (292,305 | )
Eisai Co., Ltd. |  | Goldman Sachs International |  |  | 10,600 |  |  |  | 07/07/20 |  |  | JPY |  |  | 7,799.64 |  |  | JPY |  |  | 90,932 |  |  |  | (84,623 | )
GN Store Nord A/S |  | Credit Suisse International |  |  | 45,600 |  |  |  | 07/07/20 |  |  | DKK |  |  | 352.35 |  |  | DKK |  |  | 16,190 |  |  |  | (63,132 | )
Grifols SA |  | UBS AG |  |  | 176,000 |  |  |  | 07/07/20 |  |  | EUR |  |  | 30.97 |  |  | EUR |  |  | 4,764 |  |  |  | (27 | )
Hansoh Pharmaceutical Group Co. Ltd. |  | Goldman Sachs International |  |  | 600,000 |  |  |  | 07/07/20 |  |  | HKD |  |  | 31.96 |  |  | HKD |  |  | 21,996 |  |  |  | (363,874 | )
Jinxin Fertility Group Ltd. |  | Goldman Sachs International |  |  | 1,318,000 |  |  |  | 07/07/20 |  |  | HKD |  |  | 10.12 |  |  | HKD |  |  | 15,526 |  |  |  | (283,962 | )
Lonza Group AG, Registered Shares |  | Morgan Stanley & Co. International PLC |  |  | 2,800 |  |  |  | 07/07/20 |  |  | CHF |  |  | 473.20 |  |  | CHF |  |  | 1,405 |  |  |  | (95,609 | )
Merck KGaA |  | UBS AG |  |  | 14,800 |  |  |  | 07/07/20 |  |  | EUR |  |  | 110.86 |  |  | EUR |  |  | 1,534 |  |  |  | (1,365 | )
Ping An Healthcare and Technology Co. Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 81,900 |  |  |  | 07/07/20 |  |  | HKD |  |  | 120.33 |  |  | HKD |  |  | 9,732 |  |  |  | (36,381 | )
Ping An Healthcare and Technology Co. Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 81,900 |  |  |  | 07/07/20 |  |  | HKD |  |  | 108.07 |  |  | HKD |  |  | 9,732 |  |  |  | (122,048 | )
Straumann Holding AG, Registered Shares |  | UBS AG |  |  | 2,400 |  |  |  | 07/07/20 |  |  | CHF |  |  | 756.50 |  |  | CHF |  |  | 1,966 |  |  |  | (165,453 | )
UCB SA |  | Credit Suisse International |  |  | 33,200 |  |  |  | 07/07/20 |  |  | EUR |  |  | 89.19 |  |  | EUR |  |  | 3,429 |  |  |  | (527,404 | )
Wuxi Biologics Cayman, Inc. |  | Morgan Stanley & Co. International PLC |  |  | 228,000 |  |  |  | 07/08/20 |  |  | HKD |  |  | 130.73 |  |  | HKD |  |  | 32,438 |  |  |  | (396,697 | )
Coloplast A/S, Class B |  | Credit Suisse International |  |  | 1,700 |  |  |  | 07/14/20 |  |  | DKK |  |  | 1,111.63 |  |  | DKK |  |  | — |  |  |  | (1,664 | )
Coloplast A/S, Class B |  | UBS AG |  |  | 3,400 |  |  |  | 07/14/20 |  |  | DKK |  |  | 1,149.72 |  |  | DKK |  |  | — |  |  |  | (1,268 | )
Genmab A/S, ADR |  | Credit Suisse International |  |  | 35,000 |  |  |  | 07/14/20 |  |  | DKK |  |  | 2,124.83 |  |  | DKK |  |  | 78,275 |  |  |  | (745,957 | )
Morphic Holding, Inc. |  | Credit Suisse International |  |  | 6,300 |  |  |  | 07/14/20 |  |  | USD |  |  | 24.65 |  |  | USD |  |  | 170 |  |  |  | (22,237 | )
WuXi AppTec Co. Ltd., Class H |  | Morgan Stanley & Co. International PLC |  |  | 220,000 |  |  |  | 07/14/20 |  |  | HKD |  |  | 85.90 |  |  | HKD |  |  | 22,268 |  |  |  | (448,616 | )
Astellas Pharma, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 96,400 |  |  |  | 07/15/20 |  |  | JPY |  |  | 1,993.95 |  |  | JPY |  |  | 173,822 |  |  |  | (5,029 | )
Demant A/S |  | Goldman Sachs International |  |  | 87,100 |  |  |  | 07/15/20 |  |  | DKK |  |  | 198.22 |  |  | DKK |  |  | 15,310 |  |  |  | (23,830 | )
Eisai Co., Ltd. |  | Goldman Sachs International |  |  | 12,000 |  |  |  | 07/15/20 |  |  | JPY |  |  | 9,144.45 |  |  | JPY |  |  | 102,942 |  |  |  | (12,760 | )
Genmab A/S, ADR |  | Credit Suisse International |  |  | 50,000 |  |  |  | 07/15/20 |  |  | USD |  |  | 28.75 |  |  | USD |  |  | 1,695 |  |  |  | (258,986 | )
GN Store Nord A/S |  | Credit Suisse International |  |  | 56,800 |  |  |  | 07/15/20 |  |  | DKK |  |  | 380.42 |  |  | DKK |  |  | 20,166 |  |  |  | (16,602 | )
Gritstone Oncology, Inc. |  | Citibank N.A. |  |  | 16,800 |  |  |  | 07/15/20 |  |  | USD |  |  | 7.05 |  |  | USD |  |  | 112 |  |  |  | (4,773 | )
Halozyme Therapeutics, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 23,800 |  |  |  | 07/15/20 |  |  | USD |  |  | 24.95 |  |  | USD |  |  | 638 |  |  |  | (53,046 | )
Immunovant, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 9,300 |  |  |  | 07/15/20 |  |  | USD |  |  | 25.75 |  |  | USD |  |  | 226 |  |  |  | (12,745 | )
Keros Therapeutics, Inc. |  | Bank of America N.A. |  |  | 26,500 |  |  |  | 07/15/20 |  |  | USD |  |  | 36.79 |  |  | USD |  |  | 994 |  |  |  | (65,208 | )
Merck KGaA |  | Goldman Sachs International |  |  | 18,100 |  |  |  | 07/15/20 |  |  | EUR |  |  | 109.02 |  |  | EUR |  |  | 1,876 |  |  |  | (12,695 | )
Passage Bio, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 23,700 |  |  |  | 07/15/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 648 |  |  |  | (73,373 | )
Rapt Therapeutics, Inc. |  | Credit Suisse International |  |  | 47,200 |  |  |  | 07/15/20 |  |  | USD |  |  | 24.59 |  |  | USD |  |  | 1,370 |  |  |  | (256,524 | )
Revolution Medicines, Inc. |  | Credit Suisse International |  |  | 10,900 |  |  |  | 07/15/20 |  |  | USD |  |  | 36.12 |  |  | USD |  |  | 344 |  |  |  | (9,908 | )
Sonova Holding AG, Registered Shares |  | UBS AG |  |  | 7,800 |  |  |  | 07/15/20 |  |  | CHF |  |  | 221.66 |  |  | CHF |  |  | 1,479 |  |  |  | (158 | )

SCHEDULES OF INVESTMENTS |  | 75

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust II (BMEZ)

OTC Options Written (continued)

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Straumann Holding AG, Registered Shares |  | UBS AG |  |  | 3,000 |  |  |  | 07/15/20 |  |  |  | CHF |  |  |  | 846.93 |  |  |  | CHF |  |  |  | 2,457 |  |  | $ | (52,172 | )
UCB SA |  | UBS AG |  |  | 40,500 |  |  |  | 07/15/20 |  |  |  | EUR |  |  |  | 92.78 |  |  |  | EUR |  |  |  | 4,183 |  |  |  | (505,839 | )
WuXi AppTec Co. Ltd., Class H |  | Morgan Stanley & Co. International PLC |  |  | 240,000 |  |  |  | 07/15/20 |  |  |  | HKD |  |  |  | 93.71 |  |  |  | HKD |  |  |  | 24,293 |  |  |  | (295,374 | )
Zentalis Pharmaceuticals, Inc. |  | Bank of America N.A. |  |  | 28,400 |  |  |  | 07/15/20 |  |  |  | USD |  |  |  | 51.17 |  |  |  | USD |  |  |  | 1,364 |  |  |  | (76,005 | )
Krystal Biotech, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 13,000 |  |  |  | 07/16/20 |  |  |  | USD |  |  |  | 59.75 |  |  |  | USD |  |  |  | 538 |  |  |  | (363 | )
Amplifon SpA |  | Goldman Sachs International |  |  | 58,200 |  |  |  | 07/21/20 |  |  |  | EUR |  |  |  | 26.19 |  |  |  | EUR |  |  |  | 1,384 |  |  |  | (30,688 | )
Chugai Pharmaceutical Co., Ltd. |  | Goldman Sachs International |  |  | 27,600 |  |  |  | 07/21/20 |  |  |  | JPY |  |  |  | 5,645.50 |  |  |  | JPY |  |  |  | 159,555 |  |  |  | (69,398 | )
Genmab A/S, ADR |  | Credit Suisse International |  |  | 19,500 |  |  |  | 07/21/20 |  |  |  | DKK |  |  |  | 2,045.40 |  |  |  | DKK |  |  |  | 43,610 |  |  |  | (646,964 | )
Hansoh Pharmaceutical Group Co. Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 870,000 |  |  |  | 07/21/20 |  |  |  | HKD |  |  |  | 38.01 |  |  |  | HKD |  |  |  | 31,894 |  |  |  | (83,467 | )
Immunovant, Inc. |  | Credit Suisse International |  |  | 16,600 |  |  |  | 07/21/20 |  |  |  | USD |  |  |  | 22.87 |  |  |  | USD |  |  |  | 404 |  |  |  | (50,449 | )
Jinxin Fertility Group Ltd. |  | Goldman Sachs International |  |  | 872,000 |  |  |  | 07/21/20 |  |  |  | HKD |  |  |  | 11.49 |  |  |  | HKD |  |  |  | 10,272 |  |  |  | (89,756 | )
Lonza Group AG, Registered Shares |  | UBS AG |  |  | 3,200 |  |  |  | 07/21/20 |  |  |  | CHF |  |  |  | 501.80 |  |  |  | CHF |  |  |  | 1,606 |  |  |  | (46,820 | )
Morphic Holding, Inc. |  | Bank of America N.A. |  |  | 12,500 |  |  |  | 07/21/20 |  |  |  | USD |  |  |  | 22.00 |  |  |  | USD |  |  |  | 338 |  |  |  | (72,029 | )
Morphic Holding, Inc. |  | Credit Suisse International |  |  | 6,300 |  |  |  | 07/21/20 |  |  |  | USD |  |  |  | 24.65 |  |  |  | USD |  |  |  | 170 |  |  |  | (24,986 | )
Ping An Healthcare and Technology Co. Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 92,200 |  |  |  | 07/21/20 |  |  |  | HKD |  |  |  | 115.84 |  |  |  | HKD |  |  |  | 10,956 |  |  |  | (98,618 | )
Wuxi Biologics Cayman, Inc. |  | Morgan Stanley & Co. International PLC |  |  | 129,000 |  |  |  | 07/21/20 |  |  |  | HKD |  |  |  | 138.81 |  |  |  | HKD |  |  |  | 18,353 |  |  |  | (166,887 | )
Gritstone Oncology, Inc. |  | Citibank N.A. |  |  | 7,900 |  |  |  | 07/22/20 |  |  |  | USD |  |  |  | 6.70 |  |  |  | USD |  |  |  | 52 |  |  |  | (4,068 | )
Gritstone Oncology, Inc. |  | Morgan Stanley & Co. International PLC |  |  | 7,800 |  |  |  | 07/22/20 |  |  |  | USD |  |  |  | 7.44 |  |  |  | USD |  |  |  | 52 |  |  |  | (2,036 | )
Keros Therapeutics, Inc. |  | Bank of America N.A. |  |  | 26,500 |  |  |  | 07/22/20 |  |  |  | USD |  |  |  | 37.51 |  |  |  | USD |  |  |  | 994 |  |  |  | (67,501 | )
Passage Bio, Inc. |  | Bank of America N.A. |  |  | 23,800 |  |  |  | 07/22/20 |  |  |  | USD |  |  |  | 26.21 |  |  |  | USD |  |  |  | 650 |  |  |  | (82,690 | )
Revolution Medicines, Inc. |  | Credit Suisse International |  |  | 10,900 |  |  |  | 07/22/20 |  |  |  | USD |  |  |  | 36.12 |  |  |  | USD |  |  |  | 344 |  |  |  | (14,698 | )
Convatec Group PLC |  | Credit Suisse International |  |  | 583,500 |  |  |  | 07/23/20 |  |  |  | GBP |  |  |  | 2.11 |  |  |  | GBP |  |  |  | 1,138 |  |  |  | (22,766 | )
WuXi AppTec Co. Ltd., Class H |  | UBS AG |  |  | 137,700 |  |  |  | 07/23/20 |  |  |  | HKD |  |  |  | 91.27 |  |  |  | HKD |  |  |  | 13,938 |  |  |  | (213,468 | )
Zentalis Pharmaceuticals, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 28,300 |  |  |  | 07/23/20 |  |  |  | USD |  |  |  | 52.28 |  |  |  | USD |  |  |  | 1,359 |  |  |  | (91,340 | )
Merck KGaA |  | Credit Suisse International |  |  | 17,300 |  |  |  | 07/24/20 |  |  |  | EUR |  |  |  | 107.91 |  |  |  | EUR |  |  |  | 1,793 |  |  |  | (26,693 | )
ADC Therapeutics SA |  | Credit Suisse International |  |  | 20,000 |  |  |  | 07/29/20 |  |  |  | USD |  |  |  | 48.83 |  |  |  | USD |  |  |  | 936 |  |  |  | (23,254 | )
Amplifon SpA |  | Credit Suisse International |  |  | 51,700 |  |  |  | 07/29/20 |  |  |  | EUR |  |  |  | 24.89 |  |  |  | EUR |  |  |  | 1,229 |  |  |  | (59,960 | )
Convatec Group PLC |  | Goldman Sachs International |  |  | 583,500 |  |  |  | 07/29/20 |  |  |  | GBP |  |  |  | 2.19 |  |  |  | GBP |  |  |  | 1,138 |  |  |  | (17,414 | )
Demant A/S |  | Goldman Sachs International |  |  | 44,000 |  |  |  | 07/29/20 |  |  |  | DKK |  |  |  | 198.54 |  |  |  | DKK |  |  |  | 7,734 |  |  |  | (25,859 | )
GN Store Nord A/S |  | Credit Suisse International |  |  | 55,400 |  |  |  | 07/29/20 |  |  |  | DKK |  |  |  | 383.78 |  |  |  | DKK |  |  |  | 19,669 |  |  |  | (45,980 | )
Lonza Group AG, Registered Shares |  | Goldman Sachs International |  |  | 2,900 |  |  |  | 07/29/20 |  |  |  | CHF |  |  |  | 509.85 |  |  |  | CHF |  |  |  | 1,455 |  |  |  | (38,201 | )
Revolution Medicines, Inc. |  | Credit Suisse International |  |  | 10,900 |  |  |  | 07/29/20 |  |  |  | USD |  |  |  | 36.12 |  |  |  | USD |  |  |  | 344 |  |  |  | (19,002 | )
Sonova Holding AG, Registered Shares |  | Goldman Sachs International |  |  | 8,400 |  |  |  | 07/29/20 |  |  |  | CHF |  |  |  | 212.78 |  |  |  | CHF |  |  |  | 1,593 |  |  |  | (6,445 | )
Straumann Holding AG, Registered Shares |  | Goldman Sachs International |  |  | 3,000 |  |  |  | 07/29/20 |  |  |  | CHF |  |  |  | 828.03 |  |  |  | CHF |  |  |  | 2,457 |  |  |  | (104,983 | )
Tricida, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 11,500 |  |  |  | 07/29/20 |  |  |  | USD |  |  |  | 28.25 |  |  |  | USD |  |  |  | 316 |  |  |  | (27,318 | )
UCB SA |  | Goldman Sachs International |  |  | 38,700 |  |  |  | 07/29/20 |  |  |  | EUR |  |  |  | 110.60 |  |  |  | EUR |  |  |  | 3,997 |  |  |  | (80,209 | )
Venus MedTech Hangzhou, Inc., Class H |  | JPMorgan Chase Bank N.A. |  |  | 45,000 |  |  |  | 07/29/20 |  |  |  | HKD |  |  |  | 70.92 |  |  |  | HKD |  |  |  | 3,446 |  |  |  | (50,634 | )
Immunovant, Inc. |  | Citibank N.A. |  |  | 9,300 |  |  |  | 07/30/20 |  |  |  | USD |  |  |  | 26.52 |  |  |  | USD |  |  |  | 226 |  |  |  | (17,683 | )
ORIC Pharmaceuticals, Inc. |  | Bank of America N.A. |  |  | 30,000 |  |  |  | 07/30/20 |  |  |  | USD |  |  |  | 38.03 |  |  |  | USD |  |  |  | 1,012 |  |  |  | (48,719 | )
Beam Therapeutics, Inc. |  | Credit Suisse International |  |  | 21,200 |  |  |  | 08/05/20 |  |  |  | USD |  |  |  | 28.04 |  |  |  | USD |  |  |  | 594 |  |  |  | (68,908 | )
Immunovant, Inc. |  | Barclays Bank PLC |  |  | 16,700 |  |  |  | 08/05/20 |  |  |  | USD |  |  |  | 28.60 |  |  |  | USD |  |  |  | 407 |  |  |  | (39,104 | )
Jinxin Fertility Group Ltd. |  | Goldman Sachs International |  |  | 1,342,000 |  |  |  | 08/05/20 |  |  |  | HKD |  |  |  | 10.72 |  |  |  | HKD |  |  |  | 15,809 |  |  |  | (249,522 | )
Astellas Pharma, Inc. |  | Goldman Sachs International |  |  | 171,200 |  |  |  | 08/12/20 |  |  |  | JPY |  |  |  | 1,863.45 |  |  |  | JPY |  |  |  | 308,696 |  |  |  | (114,524 | )
Beam Therapeutics, Inc. |  | Credit Suisse International |  |  | 21,200 |  |  |  | 08/12/20 |  |  |  | USD |  |  |  | 29.56 |  |  |  | USD |  |  |  | 594 |  |  |  | (29,869 | )
Chugai Pharmaceutical Co., Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 24,600 |  |  |  | 08/12/20 |  |  |  | JPY |  |  |  | 5,955.25 |  |  |  | JPY |  |  |  | 142,212 |  |  |  | (40,460 | )
Demant A/S |  | Goldman Sachs International |  |  | 44,100 |  |  |  | 08/12/20 |  |  |  | DKK |  |  |  | 186.90 |  |  |  | DKK |  |  |  | 7,751 |  |  |  | (61,295 | )
Eisai Co., Ltd. |  | Goldman Sachs International |  |  | 10,700 |  |  |  | 08/12/20 |  |  |  | JPY |  |  |  | 8,889.93 |  |  |  | JPY |  |  |  | 91,790 |  |  |  | (38,823 | )
Gerresheimer AG |  | UBS AG |  |  | 39,000 |  |  |  | 08/12/20 |  |  |  | EUR |  |  |  | 85.38 |  |  |  | EUR |  |  |  | 3,208 |  |  |  | (76,731 | )
Hansoh Pharmaceutical Group Co. Ltd. |  | UBS AG |  |  | 856,000 |  |  |  | 08/12/20 |  |  |  | HKD |  |  |  | 37.60 |  |  |  | HKD |  |  |  | 31,381 |  |  |  | (128,425 | )
Arcutis Biotherapeutics, Inc. |  | Goldman Sachs International |  |  | 19,400 |  |  |  | 08/13/20 |  |  |  | USD |  |  |  | 32.55 |  |  |  | USD |  |  |  | 587 |  |  |  | (57,053 | )
Prevail Therapeutics, Inc. |  | Barclays Bank PLC |  |  | 21,300 |  |  |  | 08/27/20 |  |  |  | USD |  |  |  | 15.95 |  |  |  | USD |  |  |  | 317 |  |  |  | (16,982 | )
Varian Medical Systems, Inc. |  | Bank of America N.A. |  |  | 41,200 |  |  |  | 09/08/20 |  |  |  | USD |  |  |  | 130.17 |  |  |  | USD |  |  |  | 5,048 |  |  |  | (222,630 | )
Twist Bioscience Corp. |  | Citibank N.A. |  |  | 19,300 |  |  |  | 09/09/20 |  |  |  | USD |  |  |  | 44.75 |  |  |  | USD |  |  |  | 874 |  |  |  | (110,271 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (9,271,894 | )

Balances Reported in the Statements of Assets and Liabilities for Options Written

|  | Swap Premiums Paid |  |  | Swap Premiums Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |  |  | Value |
Options Written |  |  | N/A |  |  |  | N/A |  |  | $ | — |  |  | $ | (9,902,173 | ) |  | $ | (38,441,548 | )

76 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust II (BMEZ)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written at value |  | $ | — |  |  | $ | — |  |  | $ | 38,441,548 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 38,441,548 |

For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options purchased(a) |  | $ | — |  |  | $ | — |  |  | $ | (871 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (871 | )
Options written |  |  | — |  |  |  | — |  |  |  | (22,065,517 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (22,065,517 | )
|  | $ | — |  |  | $ | — |  |  | $ | (22,066,388 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (22,066,388 | )

| (a) | Options purchased are included in net realized gain (loss) from investments. |

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | (9,902,174 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (9,902,174 | )

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Options: |
Average value of option contracts purchased |  | $ | — | (a)
Average value of option contracts written |  | $ | 34,569,709 |

| (a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |  |  |  |  |  |  |  |
Options |  | $ | — |  |  | $ | 38,441,548 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (29,169,654 | )
Total derivative assets and liabilities subject to an MNA |  | $ | — |  |  | $ | 9,271,894 |

SCHEDULES OF INVESTMENTS |  | 77

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust II (BMEZ)

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

Counterparty |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset |  |  | Non-cash Collateral Pledged (a) |  |  | Cash Collateral Pledged (a) |  |  | Net Amount of Derivative Liabilities (b) |
Bank of America N.A. |  | $ | 634,782 |  |  | $ | — |  |  | $ | — |  |  | $ | (634,782 | ) |  | $ | — |
Barclays Bank PLC |  |  | 56,086 |  |  |  | — |  |  |  | — |  |  |  | (56,086 | ) |  |  | — |
Citibank N.A. |  |  | 136,795 |  |  |  | — |  |  |  | (333 | ) |  |  | — |  |  |  | 136,462 |
Credit Suisse International |  |  | 2,935,943 |  |  |  | — |  |  |  | (25,834 | ) |  |  | (415,000 | ) |  |  | 2,495,109 |
Goldman Sachs International |  |  | 1,765,914 |  |  |  | — |  |  |  | — |  |  |  | (1,440,000 | ) |  |  | 325,914 |
JPMorgan Chase Bank N.A. |  |  | 893,943 |  |  |  | — |  |  |  | — |  |  |  | (893,943 | ) |  |  | — |
Morgan Stanley & Co. International PLC |  |  | 1,625,147 |  |  |  | — |  |  |  | — |  |  |  | (546,000 | ) |  |  | 1,079,147 |
UBS AG |  |  | 1,223,284 |  |  |  | — |  |  |  | — |  |  |  | (280,000 | ) |  |  | 943,284 |
|  | $ | 9,271,894 |  |  | $ | — |  |  | $ | (26,167 | ) |  | $ | (4,265,811 | ) |  | $ | 4,979,916 |

| (a) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

| (b) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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: |
Common Stocks: |
Biotechnology |  | $ | 978,679,617 |  |  | $ | 95,040,327 |  |  | $ | — |  |  | $ | 1,073,719,944 |
Health Care Equipment & Supplies |  |  | 603,627,010 |  |  |  | 148,330,906 |  |  |  | — |  |  |  | 751,957,916 |
Health Care Providers & Services |  |  | 184,303,325 |  |  |  | 46,925,370 |  |  |  | 19,349,483 |  |  |  | 250,578,178 |
Health Care Technology |  |  | 115,162,594 |  |  |  | 15,700,625 |  |  |  | — |  |  |  | 130,863,219 |
Insurance |  |  | 23,786,643 |  |  |  | — |  |  |  | — |  |  |  | 23,786,643 |
Life Sciences Tools & Services |  |  | 78,398,719 |  |  |  | 90,837,001 |  |  |  | — |  |  |  | 169,235,720 |
Pharmaceuticals |  |  | 72,038,412 |  |  |  | 164,544,424 |  |  |  | — |  |  |  | 236,582,836 |
Preferred Stocks |  |  | — |  |  |  | — |  |  |  | 31,347,828 |  |  |  | 31,347,828 |
Short-Term Securities |  |  | 8,235,706 |  |  |  | — |  |  |  | — |  |  |  | 8,235,706 |
Subtotal |  | $ | 2,064,232,026 |  |  | $ | 561,378,653 |  |  | $ | 50,697,311 |  |  | $ | 2,676,307,990 |
Investments Valued at NAV(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1,889,600 |
Total Investments |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 2,678,197,590 |
Derivative Financial Instruments(b) |
Liabilities: |
Equity contracts |  | $ | (27,802,909 | ) |  | $ | (10,638,639 | ) |  | $ | — |  |  | $ | (38,441,548 | )

The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

| (a) | Certain investments of the Trust were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |

| (b) | Derivative financial instruments are options written. Options written are shown at value. |

78 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Health Sciences Trust II (BMEZ)

The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

|  | Common Stocks |  |  | Preferred Stocks |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Opening Balance, as of December 31, 2019 |  | $ | — |  |  | $ | — |  |  | $ | — |
Transfers into Level 3 |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |
Accrued discounts/premiums |  |  | — |  |  |  | — |  |  |  | — |
Net realized gain (loss) |  |  | — |  |  |  | — |  |  |  | — |
Net change in unrealized appreciation (depreciation)(a)(b) |  |  | — |  |  |  | (52,948 | ) |  |  | (52,948 | )
Purchases |  |  | 19,349,483 |  |  |  | 31,400,776 |  |  |  | 50,750,259 |
Sales |  |  | — |  |  |  | — |  |  |  | — |
Closing Balance, as of June 30, 2020 |  | $ | 19,349,483 |  |  | $ | 31,347,828 |  |  | $ | 50,697,311 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020(a) |  | $ | — |  |  | $ | (52,948 | ) |  | $ | (52,947 | )

| (a) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |

| (b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee to determine the value of certain of the Trust’s Level 3 investments and derivative financial instruments as of period end.

|  | Value |  |  | Valuation Approach |  |  | Unobservable Inputs |  |  | Range of Unobservable Inputs Utilized (a) |  |  | Weighted Average of Unobservable Inputs Based on Fair Value |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Common Stocks |  | $ | 19,349,483 |  |  |  | Market |  |  |  | Recent Transactions |  |  |  | — |  |  |  | — |
Preferred Stocks |  |  | 31,347,828 |  |  |  | Market |  |  |  | Volatility |  |  |  | 73% - 74% |  |  |  | 73 | %
|  |  |  |  |  |  |  |  |  |  | Time to Exit |  |  |  | 3.0 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | Recent Transactions |  |  |  | — |  |  |  | — |
|  | $ | 50,697,311 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

| (a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |

See notes to financial statements.

SCHEDULES OF INVESTMENTS |  | 79

Schedule of Investments (unaudited) June 30, 2020 |  | BlackRock Resources & Commodities Strategy Trust (BCX) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Common Stocks — 94.5% |
Chemicals — 12.5% |
Albemarle Corp.(a) |  |  | 93,042 |  |  | $ | 7,183,773 |
CF Industries Holdings, Inc.(a) |  |  | 910,955 |  |  |  | 25,634,274 |
FMC Corp.(a)(b) |  |  | 231,787 |  |  |  | 23,090,621 |
Koninklijke DSM NV |  |  | 112,188 |  |  |  | 15,573,706 |
Symrise AG |  |  | 88,014 |  |  |  | 10,284,140 |
|  |  |  | 81,766,514 |
Containers & Packaging — 4.9% |
Graphic Packaging Holding Co.(a) |  |  | 1,134,043 |  |  |  | 15,865,262 |
International Paper Co.(a) |  |  | 197,740 |  |  |  | 6,962,425 |
Packaging Corp. of America(a)(b) |  |  | 91,918 |  |  |  | 9,173,416 |
|  |  |  | 32,001,103 |
Electronic Equipment, Instruments & Components — 2.3% |
Trimble, Inc.(a)(c) |  |  | 354,782 |  |  |  | 15,323,035 |
Food Products — 7.6% |
JBS SA |  |  | 2,743,503 |  |  |  | 10,670,103 |
Kerry Group PLC, Class A |  |  | 86,494 |  |  |  | 10,744,909 |
Nestle SA, Registered Shares |  |  | 73,636 |  |  |  | 8,164,069 |
Salmar ASA(c) |  |  | 163,209 |  |  |  | 7,818,596 |
Tyson Foods, Inc., Class A(a) |  |  | 205,078 |  |  |  | 12,245,208 |
|  |  |  | 49,642,885 |
Metals & Mining — 33.8% |
Anglo American PLC |  |  | 801,982 |  |  |  | 18,488,258 |
Barrick Gold Corp.(a) |  |  | 929,437 |  |  |  | 25,039,033 |
BHP Group PLC |  |  | 1,903,657 |  |  |  | 38,954,660 |
First Quantum Minerals Ltd. |  |  | 1,091,233 |  |  |  | 8,697,069 |
Fortescue Metals Group Ltd. |  |  | 975,116 |  |  |  | 9,479,757 |
Franco-Nevada Corp. |  |  | 37,373 |  |  |  | 5,220,823 |
Freeport-McMoRan, Inc.(a)(c) |  |  | 626,115 |  |  |  | 7,244,151 |
MMC Norilsk Nickel PJSC, ADR |  |  | 323,830 |  |  |  | 8,464,450 |
Neo Lithium Corp.(c) |  |  | 5,045,830 |  |  |  | 1,728,279 |
Newcrest Mining Ltd. |  |  | 384,563 |  |  |  | 8,527,331 |
Newmont Corp.(a) |  |  | 424,920 |  |  |  | 26,234,561 |
Polyus PJSC — GDR |  |  | 97,898 |  |  |  | 8,237,952 |
Stelco Holdings, Inc.(c) |  |  | 1,285,453 |  |  |  | 7,243,456 |
Vale SA — ADR(a) |  |  | 2,455,479 |  |  |  | 25,315,988 |
Wheaton Precious Metals Corp. |  |  | 526,556 |  |  |  | 23,194,792 |
|  |  |  | 222,070,560 |
Oil, Gas & Consumable Fuels — 31.7% |
BP PLC — ADR(a) |  |  | 1,210,247 |  |  |  | 28,222,960 |
Chevron Corp.(a)(b) |  |  | 369,600 |  |  |  | 32,979,408 |
CNOOC Ltd. |  |  | 9,650,000 |  |  |  | 10,830,457 |
ConocoPhillips(a) |  |  | 311,436 |  |  |  | 13,086,541 |
Gazprom PJSC — ADR |  |  | 2,054,743 |  |  |  | 11,095,464 |
Kosmos Energy Ltd.(c) |  |  | 1,306,747 |  |  |  | 2,169,200 |
Lukoil PJSC — ADR |  |  | 169,210 |  |  |  | 12,578,075 |
Marathon Petroleum Corp.(a) |  |  | 184,263 |  |  |  | 6,887,751 |
Petroleo Brasileiro SA — ADR(a)(c) |  |  | 742,804 |  |  |  | 6,142,989 |
Pioneer Natural Resources Co.(a) |  |  | 92,680 |  |  |  | 9,054,836 |
Royal Dutch Shell PLC — ADR, Class A(a) |  |  | 523,081 |  |  |  | 17,099,518 |
Suncor Energy, Inc. |  |  | 921,340 |  |  |  | 15,534,379 |
TOTAL SA |  |  | 937,858 |  |  |  | 36,162,312 |
Williams Cos., Inc.(a) |  |  | 333,259 |  |  |  | 6,338,586 |
|  |  |  | 208,182,476 |
Paper & Forest Products — 0.0% |
Precious Woods Holding AG(c) |  |  | 20,000 |  |  |  | 195,261 |
Specialty Retail — 1.7% |
Tractor Supply Co.(a) |  |  | 86,816 |  |  |  | 11,441,481 |
Total Common Stocks — 94.5% (Cost — $613,156,350) |  |  |  | 620,623,315 |

Security |  | Par (000) |  |  | Value |
Corporate Bonds — 1.9% |
Metals & Mining — 1.9% |
Osisko Gold Royalties Ltd., 4.00%, 12/31/22 |  |  | CAD 5,652 |  |  | $ | 4,219,017 |
Pilgangoora Operations Pty Ltd., 12.00%, 06/21/22 |  |  | USD 8,438 |  |  |  | 8,437,706 |
Total Corporate Bonds — 1.9% (Cost — $12,948,994) |  |  |  | 12,656,723 |
Preferred Stock — 1.4% |
Metals & Mining — 1.4% |
ArcelorMittal SA, 5.50%(c) |  |  | 326,377 |  |  |  | 9,347,437 |
Total Preferred Stock — 1.4% (Cost — $8,159,425) |  |  |  | 9,347,437 |
Total Long-Term Investments — 97.8% (Cost — $634,264,769) |  |  |  | 642,627,475 |
|  | Shares |  |  |  |
Short-Term Securities — 3.3% |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(d)(e) |  |  | 21,359,985 |  |  |  | 21,359,985 |
Total Short-Term Securities — 3.3% (Cost — $21,359,985) |  |  |  | 21,359,985 |
Total Investments Before Options Written — 101.1% (Cost — $655,624,754) |  |  |  | 663,987,460 |
Options Written — (1.2)% (Premiums Received — $7,484,769) |  |  |  | (8,005,582 | )
Total Investments, Net of Options Written — 99.9% (Cost — $648,139,985) |  |  |  | 655,981,878 |
Other Assets Less Liabilities — 0.1% |  |  |  | 594,351 |
Net Assets — 100.0% |  |  | $ | 656,576,229 |

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

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

(c) | Non-income producing security.

(d) | Annualized 7-day yield as of period end.

80 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Resources & Commodities Strategy Trust (BCX)

(e) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Shares Held at 12/31/19 |  |  | Shares Purchased |  |  | Shares Sold |  |  | Shares Held at 06/30/20 |  |  | Value at 06/30/20 |  |  | Income |  |  | Net Realized Gain (Loss) (a) |  |  | Change in Unrealized Appreciation (Depreciation) |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  |  | 13,708,365 |  |  |  | 7,651,620 | (b) |  |  | — |  |  |  | 21,359,985 |  |  | $ | 21,359,985 |  |  | $ | 49,361 |  |  | $ | — |  |  | $ | — |
SL Liquidity Series, LLC, Money Market Series(c) |  |  | 183,142 |  |  |  | — |  |  |  | (183,142 | ) |  |  | — |  |  |  | — |  |  |  | 6,091 | (d) |  |  | 84 |  |  |  | (42 | )
|  |  | $ | 21,359,985 |  |  | $ | 55,452 |  |  | $ | 84 |  |  | $ | (42 | )

| (a) | Includes net capital gain distributions, if applicable. |

| (b) | Represents net shares purchased (sold). |

| (c) | As of period end, the entity is no longer held by the Trust. |

| (d) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |

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 such industry sub-classifications for reporting ease.

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
BP PLC — ADR |  |  | 294 |  |  |  | 07/02/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 686 |  |  | $ | (882 | )
CF Industries Holdings, Inc. |  |  | 280 |  |  |  | 07/02/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 788 |  |  |  | (1,540 | )
Royal Dutch Shell PLC — ADR, Class A |  |  | 196 |  |  |  | 07/02/20 |  |  | USD |  |  | 39.00 |  |  | USD |  |  | 641 |  |  |  | (2,940 | )
Royal Dutch Shell PLC — ADR, Class A |  |  | 195 |  |  |  | 07/02/20 |  |  | USD |  |  | 34.50 |  |  | USD |  |  | 637 |  |  |  | (1,950 | )
Tractor Supply Co. |  |  | 103 |  |  |  | 07/02/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 1,357 |  |  |  | (225,055 | )
BP PLC — ADR |  |  | 755 |  |  |  | 07/10/20 |  |  | USD |  |  | 28.00 |  |  | USD |  |  | 1,761 |  |  |  | (4,530 | )
BP PLC — ADR |  |  | 543 |  |  |  | 07/10/20 |  |  | USD |  |  | 26.50 |  |  | USD |  |  | 1,266 |  |  |  | (1,629 | )
CF Industries Holdings, Inc. |  |  | 317 |  |  |  | 07/10/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 892 |  |  |  | (55,792 | )
CF Industries Holdings, Inc. |  |  | 317 |  |  |  | 07/10/20 |  |  | USD |  |  | 33.00 |  |  | USD |  |  | 892 |  |  |  | (951 | )
Chevron Corp. |  |  | 369 |  |  |  | 07/10/20 |  |  | USD |  |  | 106.00 |  |  | USD |  |  | 3,293 |  |  |  | (3,321 | )
ConocoPhillips |  |  | 262 |  |  |  | 07/10/20 |  |  | USD |  |  | 52.00 |  |  | USD |  |  | 1,101 |  |  |  | (1,834 | )
Freeport-McMoRan, Inc. |  |  | 1,012 |  |  |  | 07/10/20 |  |  | USD |  |  | 10.50 |  |  | USD |  |  | 1,171 |  |  |  | (120,428 | )
International Paper Co. |  |  | 334 |  |  |  | 07/10/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 1,176 |  |  |  | (6,847 | )
Marathon Petroleum Corp. |  |  | 56 |  |  |  | 07/10/20 |  |  | USD |  |  | 44.00 |  |  | USD |  |  | 209 |  |  |  | (1,036 | )
Suncor Energy, Inc. |  |  | 362 |  |  |  | 07/10/20 |  |  | CAD |  |  | 26.50 |  |  | CAD |  |  | 829 |  |  |  | (1,333 | )
Tyson Foods, Inc., Class A |  |  | 200 |  |  |  | 07/10/20 |  |  | USD |  |  | 64.50 |  |  | USD |  |  | 1,194 |  |  |  | (4,500 | )
Vale SA — ADR |  |  | 1,970 |  |  |  | 07/10/20 |  |  | USD |  |  | 10.00 |  |  | USD |  |  | 2,031 |  |  |  | (102,440 | )
Albemarle Corp. |  |  | 236 |  |  |  | 07/17/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 1,822 |  |  |  | (2,950 | )
Albemarle Corp. |  |  | 235 |  |  |  | 07/17/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 1,814 |  |  |  | (5,875 | )
BP PLC — ADR |  |  | 755 |  |  |  | 07/17/20 |  |  | USD |  |  | 29.00 |  |  | USD |  |  | 1,761 |  |  |  | (7,550 | )
BP PLC — ADR |  |  | 588 |  |  |  | 07/17/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 1,371 |  |  |  | (7,350 | )
Barrick Gold Corp. |  |  | 1,290 |  |  |  | 07/17/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 3,475 |  |  |  | (208,335 | )
CF Industries Holdings, Inc. |  |  | 710 |  |  |  | 07/17/20 |  |  | USD |  |  | 32.50 |  |  | USD |  |  | 1,998 |  |  |  | (8,165 | )
CF Industries Holdings, Inc. |  |  | 316 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 889 |  |  |  | (18,960 | )
Chevron Corp. |  |  | 316 |  |  |  | 07/17/20 |  |  | USD |  |  | 97.50 |  |  | USD |  |  | 2,820 |  |  |  | (15,326 | )
ConocoPhillips |  |  | 217 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 912 |  |  |  | (2,495 | )
FMC Corp. |  |  | 506 |  |  |  | 07/17/20 |  |  | USD |  |  | 92.50 |  |  | USD |  |  | 5,041 |  |  |  | (432,630 | )
First Quantum Minerals Ltd. |  |  | 2,500 |  |  |  | 07/17/20 |  |  | CAD |  |  | 9.00 |  |  | CAD |  |  | 2,705 |  |  |  | (348,961 | )
First Quantum Minerals Ltd. |  |  | 540 |  |  |  | 07/17/20 |  |  | CAD |  |  | 10.00 |  |  | CAD |  |  | 584 |  |  |  | (41,367 | )
Franco-Nevada Corp. |  |  | 149 |  |  |  | 07/17/20 |  |  | CAD |  |  | 190.00 |  |  | CAD |  |  | 2,826 |  |  |  | (62,285 | )
Freeport-McMoRan, Inc. |  |  | 1,011 |  |  |  | 07/17/20 |  |  | USD |  |  | 10.00 |  |  | USD |  |  | 1,170 |  |  |  | (170,354 | )
Graphic Packaging Holding Co. |  |  | 1,651 |  |  |  | 07/17/20 |  |  | USD |  |  | 13.20 |  |  | USD |  |  | 2,310 |  |  |  | (158,953 | )
Marathon Petroleum Corp. |  |  | 153 |  |  |  | 07/17/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 572 |  |  |  | (33,125 | )
Newmont Corp. |  |  | 104 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 642 |  |  |  | (11,440 | )
Newmont Corp. |  |  | 364 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 2,247 |  |  |  | (117,390 | )
Packaging Corp. of America |  |  | 184 |  |  |  | 07/17/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 1,836 |  |  |  | (57,960 | )

SCHEDULES OF INVESTMENTS |  | 81

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Resources & Commodities Strategy Trust (BCX)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Petroleo Brasileiro SA — ADR |  |  | 633 |  |  |  | 07/17/20 |  |  | USD |  |  | 8.00 |  |  | USD |  |  | 523 |  |  | $ | (35,765 | )
Petroleo Brasileiro SA — ADR |  |  | 159 |  |  |  | 07/17/20 |  |  | USD |  |  | 10.00 |  |  | USD |  |  | 131 |  |  |  | (556 | )
Pioneer Natural Resources Co. |  |  | 40 |  |  |  | 07/17/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 391 |  |  |  | (13,600 | )
Royal Dutch Shell PLC — ADR, Class A |  |  | 525 |  |  |  | 07/17/20 |  |  | USD |  |  | 32.50 |  |  | USD |  |  | 1,716 |  |  |  | (68,250 | )
Stelco Holdings, Inc. |  |  | 1,000 |  |  |  | 07/17/20 |  |  | CAD |  |  | 8.00 |  |  | CAD |  |  | 765 |  |  |  | (12,890 | )
Stelco Holdings, Inc. |  |  | 1,000 |  |  |  | 07/17/20 |  |  | CAD |  |  | 9.00 |  |  | CAD |  |  | 765 |  |  |  | (4,420 | )
Suncor Energy, Inc. |  |  | 1,054 |  |  |  | 07/17/20 |  |  | CAD |  |  | 26.00 |  |  | CAD |  |  | 2,413 |  |  |  | (11,257 | )
Suncor Energy, Inc. |  |  | 660 |  |  |  | 07/17/20 |  |  | CAD |  |  | 28.00 |  |  | CAD |  |  | 1,511 |  |  |  | (3,403 | )
Suncor Energy, Inc. |  |  | 659 |  |  |  | 07/17/20 |  |  | CAD |  |  | 27.00 |  |  | CAD |  |  | 1,508 |  |  |  | (3,883 | )
Trimble, Inc. |  |  | 539 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 2,328 |  |  |  | (196,735 | )
Tyson Foods, Inc., Class A |  |  | 139 |  |  |  | 07/17/20 |  |  | USD |  |  | 62.50 |  |  | USD |  |  | 830 |  |  |  | (15,637 | )
Vale SA — ADR |  |  | 2,263 |  |  |  | 07/17/20 |  |  | USD |  |  | 9.00 |  |  | USD |  |  | 2,333 |  |  |  | (312,294 | )
Vale SA — ADR |  |  | 1,970 |  |  |  | 07/17/20 |  |  | USD |  |  | 10.00 |  |  | USD |  |  | 2,031 |  |  |  | (119,185 | )
Williams Cos., Inc. |  |  | 654 |  |  |  | 07/17/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 1,244 |  |  |  | (17,658 | )
BP PLC — ADR |  |  | 796 |  |  |  | 07/24/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 1,856 |  |  |  | (17,910 | )
CF Industries Holdings, Inc. |  |  | 712 |  |  |  | 07/24/20 |  |  | USD |  |  | 31.50 |  |  | USD |  |  | 2,004 |  |  |  | (24,564 | )
Chevron Corp. |  |  | 159 |  |  |  | 07/24/20 |  |  | USD |  |  | 94.00 |  |  | USD |  |  | 1,419 |  |  |  | (29,892 | )
ConocoPhillips |  |  | 217 |  |  |  | 07/24/20 |  |  | USD |  |  | 50.50 |  |  | USD |  |  | 912 |  |  |  | (5,316 | )
International Paper Co. |  |  | 456 |  |  |  | 07/24/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 1,606 |  |  |  | (24,624 | )
Marathon Petroleum Corp. |  |  | 179 |  |  |  | 07/24/20 |  |  | USD |  |  | 46.50 |  |  | USD |  |  | 669 |  |  |  | (6,981 | )
Newmont Corp. |  |  | 474 |  |  |  | 07/24/20 |  |  | USD |  |  | 58.50 |  |  | USD |  |  | 2,926 |  |  |  | (225,150 | )
Newmont Corp. |  |  | 284 |  |  |  | 07/24/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,753 |  |  |  | (104,370 | )
Petroleo Brasileiro SA — ADR |  |  | 859 |  |  |  | 07/24/20 |  |  | USD |  |  | 8.50 |  |  | USD |  |  | 710 |  |  |  | (34,790 | )
Pioneer Natural Resources Co. |  |  | 165 |  |  |  | 07/24/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 1,612 |  |  |  | (45,788 | )
Royal Dutch Shell PLC — ADR, Class A |  |  | 651 |  |  |  | 07/24/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 2,128 |  |  |  | (17,903 | )
Vale SA — ADR |  |  | 1,640 |  |  |  | 07/24/20 |  |  | USD |  |  | 11.00 |  |  | USD |  |  | 1,691 |  |  |  | (39,360 | )
Williams Cos., Inc. |  |  | 230 |  |  |  | 07/24/20 |  |  | USD |  |  | 21.50 |  |  | USD |  |  | 437 |  |  |  | (3,335 | )
BP PLC — ADR |  |  | 408 |  |  |  | 07/31/20 |  |  | USD |  |  | 25.50 |  |  | USD |  |  | 951 |  |  |  | (17,340 | )
CF Industries Holdings, Inc. |  |  | 280 |  |  |  | 07/31/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 788 |  |  |  | (25,900 | )
Chevron Corp. |  |  | 198 |  |  |  | 07/31/20 |  |  | USD |  |  | 97.50 |  |  | USD |  |  | 1,767 |  |  |  | (23,958 | )
ConocoPhillips |  |  | 115 |  |  |  | 07/31/20 |  |  | USD |  |  | 46.00 |  |  | USD |  |  | 483 |  |  |  | (12,247 | )
Freeport-McMoRan, Inc. |  |  | 481 |  |  |  | 07/31/20 |  |  | USD |  |  | 12.50 |  |  | USD |  |  | 557 |  |  |  | (22,367 | )
Marathon Petroleum Corp. |  |  | 179 |  |  |  | 07/31/20 |  |  | USD |  |  | 43.50 |  |  | USD |  |  | 669 |  |  |  | (16,737 | )
Newmont Corp. |  |  | 474 |  |  |  | 07/31/20 |  |  | USD |  |  | 58.50 |  |  | USD |  |  | 2,926 |  |  |  | (248,850 | )
Petroleo Brasileiro SA — ADR |  |  | 1,320 |  |  |  | 07/31/20 |  |  | USD |  |  | 10.00 |  |  | USD |  |  | 1,092 |  |  |  | (15,840 | )
Pioneer Natural Resources Co. |  |  | 165 |  |  |  | 07/31/20 |  |  | USD |  |  | 99.50 |  |  | USD |  |  | 1,612 |  |  |  | (100,650 | )
Royal Dutch Shell PLC — ADR, Class A |  |  | 525 |  |  |  | 07/31/20 |  |  | USD |  |  | 34.00 |  |  | USD |  |  | 1,716 |  |  |  | (73,500 | )
Tyson Foods, Inc., Class A |  |  | 241 |  |  |  | 07/31/20 |  |  | USD |  |  | 68.00 |  |  | USD |  |  | 1,439 |  |  |  | (24,703 | )
BP PLC — ADR |  |  | 293 |  |  |  | 08/07/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 683 |  |  |  | (21,096 | )
Chevron Corp. |  |  | 132 |  |  |  | 08/07/20 |  |  | USD |  |  | 92.00 |  |  | USD |  |  | 1,178 |  |  |  | (45,606 | )
ConocoPhillips |  |  | 434 |  |  |  | 08/07/20 |  |  | USD |  |  | 44.50 |  |  | USD |  |  | 1,824 |  |  |  | (73,563 | )
Tyson Foods, Inc., Class A |  |  | 240 |  |  |  | 08/07/20 |  |  | USD |  |  | 63.50 |  |  | USD |  |  | 1,433 |  |  |  | (32,400 | )
Williams Cos., Inc. |  |  | 398 |  |  |  | 08/07/20 |  |  | USD |  |  | 19.00 |  |  | USD |  |  | 757 |  |  |  | (52,934 | )
BP PLC — ADR |  |  | 408 |  |  |  | 08/21/20 |  |  | USD |  |  | 26.00 |  |  | USD |  |  | 951 |  |  |  | (22,032 | )
Barrick Gold Corp. |  |  | 1,290 |  |  |  | 08/21/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 3,475 |  |  |  | (253,485 | )
CF Industries Holdings, Inc. |  |  | 711 |  |  |  | 08/21/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 2,001 |  |  |  | (14,220 | )
Chevron Corp. |  |  | 304 |  |  |  | 08/21/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 2,713 |  |  |  | (91,200 | )
FMC Corp. |  |  | 421 |  |  |  | 08/21/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 4,194 |  |  |  | (145,245 | )
First Quantum Minerals Ltd. |  |  | 1,330 |  |  |  | 08/21/20 |  |  | CAD |  |  | 11.00 |  |  | CAD |  |  | 1,439 |  |  |  | (89,150 | )
Graphic Packaging Holding Co. |  |  | 2,001 |  |  |  | 08/21/20 |  |  | USD |  |  | 15.00 |  |  | USD |  |  | 2,799 |  |  |  | (80,040 | )
Marathon Petroleum Corp. |  |  | 170 |  |  |  | 08/21/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 635 |  |  |  | (62,475 | )
Packaging Corp. of America |  |  | 183 |  |  |  | 08/21/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 1,826 |  |  |  | (107,970 | )
Stelco Holdings, Inc. |  |  | 1,140 |  |  |  | 08/21/20 |  |  | CAD |  |  | 8.00 |  |  | CAD |  |  | 872 |  |  |  | (39,887 | )
Suncor Energy, Inc. |  |  | 588 |  |  |  | 08/21/20 |  |  | CAD |  |  | 27.00 |  |  | CAD |  |  | 1,346 |  |  |  | (20,140 | )
Suncor Energy, Inc. |  |  | 362 |  |  |  | 08/21/20 |  |  | CAD |  |  | 26.00 |  |  | CAD |  |  | 829 |  |  |  | (17,465 | )
Tractor Supply Co. |  |  | 180 |  |  |  | 08/21/20 |  |  | USD |  |  | 135.00 |  |  | USD |  |  | 2,372 |  |  |  | (95,400 | )
Trimble, Inc. |  |  | 340 |  |  |  | 08/21/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 1,468 |  |  |  | (70,550 | )
Vale SA — ADR |  |  | 1,980 |  |  |  | 08/21/20 |  |  | USD |  |  | 11.00 |  |  | USD |  |  | 2,041 |  |  |  | (91,080 | )
Williams Cos., Inc. |  |  | 51 |  |  |  | 08/21/20 |  |  | USD |  |  | 21.00 |  |  | USD |  |  | 97 |  |  |  | (2,269 | )
|  |  | $ | (5,654,294 | )

82 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Resources & Commodities Strategy Trust (BCX)

OTC Options Written

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |
MMC Norilsk Nickel PJSC , ADR |  | UBS AG |  |  | 64,700 |  |  |  | 07/07/20 |  |  | USD |  |  | 29.97 |  |  | USD |  |  | 1,694 |  |  | $ | (8,056 | )
TOTAL SA |  | Credit Suisse International |  |  | 65,400 |  |  |  | 07/07/20 |  |  | EUR |  |  | 33.55 |  |  | EUR |  |  | 2,222 |  |  |  | (90,512 | )
BNP Group PLC |  | Credit Suisse International |  |  | 219,400 |  |  |  | 07/08/20 |  |  | GBP |  |  | 16.57 |  |  | GBP |  |  | 3,630 |  |  |  | (102,644 | )
Graphic Packaging Holding Co. |  | Credit Suisse International |  |  | 88,400 |  |  |  | 07/08/20 |  |  | USD |  |  | 14.15 |  |  | USD |  |  | 1,237 |  |  |  | (18,972 | )
Newcrest Mining Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 101,900 |  |  |  | 07/08/20 |  |  | AUD |  |  | 34.07 |  |  | AUD |  |  | 3,213 |  |  |  | (15,182 | )
Symrise AG |  | Credit Suisse International |  |  | 35,000 |  |  |  | 07/10/20 |  |  | EUR |  |  | 98.52 |  |  | EUR |  |  | 3,623 |  |  |  | (234,313 | )
CNOOC Ltd. |  | Goldman Sachs International |  |  | 1,177,000 |  |  |  | 07/14/20 |  |  | HKD |  |  | 9.26 |  |  | HKD |  |  | 10,146 |  |  |  | (14,888 | )
Gazprom PJSC — ADR |  | UBS AG |  |  | 274,100 |  |  |  | 07/14/20 |  |  | USD |  |  | 5.78 |  |  | USD |  |  | 1,479 |  |  |  | (2,936 | )
JBS SA |  | Morgan Stanley & Co. International PLC |  |  | 836,000 |  |  |  | 07/14/20 |  |  | USD |  |  | 22.46 |  |  | BRL |  |  | 17,681 |  |  |  | (36,491 | )
Kerry Group PLC, Class A |  | Goldman Sachs International |  |  | 21,400 |  |  |  | 07/14/20 |  |  | EUR |  |  | 110.23 |  |  | EUR |  |  | 2,360 |  |  |  | (56,201 | )
Koninkilijke DSM NV |  | Credit Suisse International |  |  | 24,500 |  |  |  | 07/14/20 |  |  | EUR |  |  | 118.99 |  |  | EUR |  |  | 3,018 |  |  |  | (158,192 | )
Polyus PJSC — GDR |  | Credit Suisse International |  |  | 32,600 |  |  |  | 07/14/20 |  |  | USD |  |  | 81.83 |  |  | USD |  |  | 2,743 |  |  |  | (161,581 | )
Polyus PJSC — GDR |  | Credit Suisse International |  |  | 6,500 |  |  |  | 07/14/20 |  |  | USD |  |  | 81.18 |  |  | USD |  |  | 547 |  |  |  | (34,710 | )
TOTAL SA |  | Credit Suisse International |  |  | 15,300 |  |  |  | 07/14/20 |  |  | EUR |  |  | 35.12 |  |  | EUR |  |  | 520 |  |  |  | (11,581 | )
Anglo American PLC |  | Goldman Sachs International |  |  | 184,300 |  |  |  | 07/15/20 |  |  | GBP |  |  | 18.95 |  |  | GBP |  |  | 3,445 |  |  |  | (125,740 | )
Gazprom PJSC — ADR |  | Credit Suisse International |  |  | 295,900 |  |  |  | 07/15/20 |  |  | USD |  |  | 5.69 |  |  | USD |  |  | 1,597 |  |  |  | (3,548 | )
Gazprom PJSC — ADR |  | Credit Suisse International |  |  | 76,800 |  |  |  | 07/15/20 |  |  | USD |  |  | 6.03 |  |  | USD |  |  | 414 |  |  |  | (681 | )
Lukoil PJSC — ADR |  | Credit Suisse International |  |  | 58,600 |  |  |  | 07/15/20 |  |  | USD |  |  | 82.44 |  |  | USD |  |  | 4,352 |  |  |  | (222 | )
Nestle SA, Registered Shares |  | Goldman Sachs International |  |  | 29,500 |  |  |  | 07/15/20 |  |  | CHF |  |  | 104.74 |  |  | CHF |  |  | 3,090 |  |  |  | (47,942 | )
BNP Group PLC |  | Credit Suisse International |  |  | 125,500 |  |  |  | 07/21/20 |  |  | GBP |  |  | 17.64 |  |  | GBP |  |  | 2,076 |  |  |  | (26,007 | )
TOTAL SA |  | Credit Suisse International |  |  | 113,500 |  |  |  | 07/21/20 |  |  | EUR |  |  | 38.25 |  |  | EUR |  |  | 3,856 |  |  |  | (23,195 | )
MMC Norilsk Nickel PJSC , ADR |  | Goldman Sachs International |  |  | 64,800 |  |  |  | 07/22/20 |  |  | USD |  |  | 29.96 |  |  | USD |  |  | 1,697 |  |  |  | (41,121 | )
Salmar ASA |  | Credit Suisse International |  |  | 33,100 |  |  |  | 07/22/20 |  |  | NOK |  |  | 458.82 |  |  | NOK |  |  | 15,196 |  |  |  | (94,202 | )
BNP Group PLC |  | Credit Suisse International |  |  | 490,002 |  |  |  | 07/23/20 |  |  | GBP |  |  | 17.70 |  |  | GBP |  |  | 8,107 |  |  |  | (117,976 | )
Koninkilijke DSM NV |  | Credit Suisse International |  |  | 22,700 |  |  |  | 07/23/20 |  |  | EUR |  |  | 119.85 |  |  | EUR |  |  | 2,797 |  |  |  | (143,314 | )
Lukoil PJSC — ADR |  | Credit Suisse International |  |  | 9,000 |  |  |  | 07/23/20 |  |  | USD |  |  | 81.54 |  |  | USD |  |  | 668 |  |  |  | (328 | )
TOTAL SA |  | Goldman Sachs International |  |  | 75,400 |  |  |  | 07/23/20 |  |  | EUR |  |  | 38.50 |  |  | EUR |  |  | 2,562 |  |  |  | (14,415 | )
Kerry Group PLC, Class A |  | UBS AG |  |  | 13,200 |  |  |  | 07/24/20 |  |  | EUR |  |  | 110.31 |  |  | EUR |  |  | 1,456 |  |  |  | (45,132 | )
Gazprom PJSC — ADR |  | Credit Suisse International |  |  | 175,000 |  |  |  | 07/29/20 |  |  | USD |  |  | 6.12 |  |  | USD |  |  | 944 |  |  |  | (383 | )
TOTAL SA |  | Morgan Stanley & Co. International PLC |  |  | 92,000 |  |  |  | 07/29/20 |  |  | EUR |  |  | 38.34 |  |  | EUR |  |  | 3,126 |  |  |  | (30,437 | )
Anglo American PLC |  | Credit Suisse International |  |  | 66,800 |  |  |  | 08/05/20 |  |  | GBP |  |  | 19.56 |  |  | GBP |  |  | 1,249 |  |  |  | (54,261 | )
CNOOC Ltd. |  | Societe Generale |  |  | 2,683,000 |  |  |  | 08/05/20 |  |  | HKD |  |  | 9.42 |  |  | HKD |  |  | 23,127 |  |  |  | (61,500 | )
Fortescue Metals Group Ltd. |  | UBS AG |  |  | 390,000 |  |  |  | 08/05/20 |  |  | AUD |  |  | 14.26 |  |  | AUD |  |  | 5,402 |  |  |  | (111,074 | )
Newcrest Mining Ltd. |  | UBS AG |  |  | 52,000 |  |  |  | 08/05/20 |  |  | AUD |  |  | 33.77 |  |  | AUD |  |  | 1,640 |  |  |  | (38,123 | )
Stelco Holdings, Inc. |  | Credit Suisse International |  |  | 200,000 |  |  |  | 08/11/20 |  |  | CAD |  |  | 8.23 |  |  | CAD |  |  | 1,530 |  |  |  | (49,782 | )
Anglo American PLC |  | Goldman Sachs International |  |  | 69,700 |  |  |  | 08/12/20 |  |  | GBP |  |  | 19.63 |  |  | GBP |  |  | 1,303 |  |  |  | (50,049 | )
Fortescue Metals Group Ltd. |  | UBS AG |  |  | 390,000 |  |  |  | 08/12/20 |  |  | AUD |  |  | 14.40 |  |  | AUD |  |  | 5,402 |  |  |  | (114,761 | )
Salmar ASA |  | Morgan Stanley & Co. International PLC |  |  | 32,200 |  |  |  | 08/12/20 |  |  | NOK |  |  | 477.79 |  |  | NOK |  |  | 14,783 |  |  |  | (32,793 | )
Trimble, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 54,000 |  |  |  | 09/10/20 |  |  | USD |  |  | 43.10 |  |  | USD |  |  | 2,332 |  |  |  | (178,043 | )
|  |  | $ | (2,351,288 | )

Balances Reported in the Statements of Assets and Liabilities for Options Written

|  | Swap Premiums Paid |  |  | Swap Premiums Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |  |  | Value |
Options Written |  |  | N/A |  |  |  | N/A |  |  | $ | 2,344,175 |  |  | $ | (2,864,988 | ) |  | $ | (8,005,582 | )

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written at value |  | $ | — |  |  | $ | — |  |  | $ | 8,005,582 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 8,005,582 |

SCHEDULES OF INVESTMENTS |  | 83

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Resources & Commodities Strategy Trust (BCX)

Derivative Financial Instruments Categorized by Risk Exposure (continued)

For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options purchased(a) |  | $ | — |  |  | $ | — |  |  | $ | (14,885) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (14,885) |
Options written |  |  | — |  |  |  | — |  |  |  | (5,601,029 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (5,601,029 | )
|  | $ | — |  |  | $ | — |  |  | $ | (5,615,914) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (5,615,914 | )

| (a) | Options purchased are included in net realized gain (loss) from investments. |

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | 669,699 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 669,699 |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Options: |
Average value of option contracts purchased |  | $ | — | (a)
Average value of option contracts written |  | $ | 8,224,895 |

| (a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |
Options |  | $ | — |  |  | $ | 8,005,582 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (5,654,294 | )
Total derivative assets and liabilities subject to an MNA |  | $ | — |  |  | $ | 2,351,288 |

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

Counterparty |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset |  |  | Non-cash Collateral Pledged (a) |  |  | Cash Collateral Pledged |  |  | Net Amount of Derivative Liabilities (b) |
Credit Suisse International |  | $ | 1,326,404 |  |  | $ | — |  |  | $ | (1,326,404 | ) |  | $ | — |  |  | $ | — |
Goldman Sachs International |  |  | 350,356 |  |  |  | — |  |  |  | (350,356 | ) |  |  | — |  |  |  | — |
JPMorgan Chase Bank N.A. |  |  | 193,225 |  |  |  | — |  |  |  | (193,225 | ) |  |  | — |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | 99,721 |  |  |  | — |  |  |  | (99,721 | ) |  |  | — |  |  |  | — |
Societe Generale |  |  | 61,500 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 61,500 |
UBS AG |  |  | 320,082 |  |  |  | — |  |  |  | (320,082 | ) |  |  | — |  |  |  | — |
|  | $ | 2,351,288 |  |  | $ | — |  |  | $ | (2,289,788 | ) |  | $ | — |  |  | $ | 61,500 |

| (a) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

| (b) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |

84 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Resources & Commodities Strategy Trust (BCX)

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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: |
Common Stocks: |
Chemicals |  | $ | 55,908,668 |  |  | $ | 25,857,846 |  |  | $ | — |  |  | $ | 81,766,514 |
Containers & Packaging |  |  | 32,001,103 |  |  |  | — |  |  |  | — |  |  |  | 32,001,103 |
Electronic Equipment, Instruments & Components |  |  | 15,323,035 |  |  |  | — |  |  |  | — |  |  |  | 15,323,035 |
Food Products |  |  | 22,915,311 |  |  |  | 26,727,574 |  |  |  | — |  |  |  | 49,642,885 |
Metals & Mining |  |  | 129,918,152 |  |  |  | 92,152,408 |  |  |  | — |  |  |  | 222,070,560 |
Oil, Gas & Consumable Fuels |  |  | 137,516,168 |  |  |  | 70,666,308 |  |  |  | — |  |  |  | 208,182,476 |
Paper & Forest Products |  |  | — |  |  |  | 195,261 |  |  |  | — |  |  |  | 195,261 |
Specialty Retail |  |  | 11,441,481 |  |  |  | — |  |  |  | — |  |  |  | 11,441,481 |
Corporate Bonds |  |  | 4,219,017 |  |  |  | 8,437,706 |  |  |  | — |  |  |  | 12,656,723 |
Preferred Stock |  |  | 9,347,437 |  |  |  | — |  |  |  | — |  |  |  | 9,347,437 |
Short-Term Securities |  |  | 21,359,985 |  |  |  | — |  |  |  | — |  |  |  | 21,359,985 |
|  | $ | 439,950,357 |  |  | $ | 224,037,103 |  |  | $ | — |  |  | $ | 663,987,460 |
Derivative Financial Instruments(a) |
Liabilities: |
Equity contracts |  | $ | (5,495,340 | ) |  | $ | (2,510,242 | ) |  | $ | — |  |  | $ | (8,005,582 | )

The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

| (a) | Derivative financial instruments are options written. Options written are shown at value. |

See notes to consolidated financial statements.

SCHEDULES OF INVESTMENTS |  | 85

Schedule of Investments (unaudited) June 30, 2020 |  | BlackRock Science and Technology Trust (BST) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Common Stocks — 95.1% |
Automobiles — 0.7% |
Tesla, Inc.(a)(b) |  |  | 6,075 |  |  | $ | 6,559,846 |
Banks — 0.6% |
Klarna Holdings AB, (Acquired 08/07/2019, cost $3,966,981) (c)(d) |  |  | 17,130 |  |  |  | 5,943,346 |
Communications Equipment — 0.6% |
Accton Technology Corp. |  |  | 724,000 |  |  |  | 5,622,295 |
Diversified Consumer Services — 2.5% |
Arco Platform Ltd., Class A(a) |  |  | 173,064 |  |  |  | 7,524,823 |
Chegg, Inc.(a)(b) |  |  | 120,274 |  |  |  | 8,089,629 |
TAL Education Group — ADR(a)(b) |  |  | 106,831 |  |  |  | 7,305,104 |
|  |  |  | 22,919,556 |
Diversified Financial Services — 0.3% |  |  |  |  |  |
TransferWise, (Acquired 06/03/2019, cost $2,471,478)(c)(d) |  |  | 27,945 |  |  |  | 2,980,893 |
Diversified Telecommunication Services — 0.8% |  |  |  |  |  |
Bandwidth, Inc., Class A(a)(b) |  |  | 61,968 |  |  |  | 7,869,936 |
Electronic Equipment, Instruments & Components — 1.0% |  |  |  |  |  |
Samsung SDI Co. Ltd. |  |  | 10,945 |  |  |  | 3,346,561 |
Yageo Corp. |  |  | 451,000 |  |  |  | 5,875,549 |
|  |  |  | 9,222,110 |
Entertainment — 4.2% |  |  |  |  |  |
Activision Blizzard, Inc.(b) |  |  | 112,418 |  |  |  | 8,532,526 |
NetEase, Inc. — ADR(b) |  |  | 15,079 |  |  |  | 6,474,621 |
Netflix, Inc.(a)(b) |  |  | 14,805 |  |  |  | 6,736,867 |
Roku, Inc.(a)(b) |  |  | 50,348 |  |  |  | 5,867,053 |
Tencent Music Entertainment Group — ADR(a)(b) |  |  | 375,157 |  |  |  | 5,049,613 |
Warner Music Group Corp., Class A(a)(b)(e) |  |  | 198,164 |  |  |  | 5,845,838 |
|  |  |  | 38,506,518 |
Health Care Technology — 1.9% |  |  |  |  |  |
Ping An Healthcare and Technology Co. Ltd.(a)(f) |  |  | 500,078 |  |  |  | 7,666,962 |
Teladoc Health, Inc.(a)(b) |  |  | 52,020 |  |  |  | 9,927,497 |
|  |  |  | 17,594,459 |
Interactive Media & Services — 10.9% |  |  |  |  |  |
Alphabet, Inc., Class A(a)(b) |  |  | 17,418 |  |  |  | 24,699,595 |
Facebook, Inc., Class A(a)(b) |  |  | 47,103 |  |  |  | 10,695,678 |
Kakao Corp. |  |  | 47,217 |  |  |  | 10,595,610 |
Snap, Inc., Class A(a)(b) |  |  | 324,902 |  |  |  | 7,631,948 |
Tencent Holdings Ltd. |  |  | 407,400 |  |  |  | 26,105,324 |
Yandex NV, Class A(a)(b) |  |  | 167,293 |  |  |  | 8,367,996 |
ZoomInfo Technologies, Inc., Class A(a)(b)(e) |  |  | 241,571 |  |  |  | 12,327,368 |
|  |  |  | 100,423,519 |
Internet & Direct Marketing Retail — 10.4% |  |  |  |  |  |
Alibaba Group Holding Ltd. — ADR(a)(b) |  |  | 120,533 |  |  |  | 25,998,968 |
Amazon.com, Inc.(a)(b) |  |  | 11,616 |  |  |  | 32,046,453 |
Delivery Hero SE(a)(f) |  |  | 102,297 |  |  |  | 10,512,780 |
Ensogo Ltd.(a)(c) |  |  | 173,282 |  |  |  | 1 |
Jasper Infotech Private Ltd., Series I, (Acquired 08/08/15, cost $1,998,435)(c)(d) |  |  | 1,054 |  |  |  | 250,462 |
Meituan Dianping, Class B(a) |  |  | 612,396 |  |  |  | 13,684,820 |
MercadoLibre, Inc.(a)(b) |  |  | 13,943 |  |  |  | 13,744,591 |
|  |  |  | 96,238,075 |
IT Services — 18.5% |  |  |  |  |  |
Adyen NV(a)(f) |  |  | 5,423 |  |  |  | 7,893,142 |
GMO Payment Gateway, Inc. |  |  | 76,100 |  |  |  | 7,959,563 |
Mastercard, Inc., Class A(b) |  |  | 75,956 |  |  |  | 22,460,189 |
MongoDB, Inc.(a)(b) |  |  | 29,017 |  |  |  | 6,567,708 |
Okta, Inc.(a)(b) |  |  | 69,045 |  |  |  | 13,824,880 |

Security |  | Shares |  |  | Value |
IT Services (continued) |  |  |  |  |  |
Pagseguro Digital Ltd., Class A(a)(b) |  |  | 141,119 |  |  | $ | 4,987,146 |
PayPal Holdings, Inc.(a)(b) |  |  | 108,253 |  |  |  | 18,860,920 |
Shopify, Inc., Class A(a)(b) |  |  | 21,470 |  |  |  | 20,379,324 |
Square, Inc., Class A(a)(b) |  |  | 147,651 |  |  |  | 15,494,496 |
StoneCo Ltd., Class A(a)(b) |  |  | 166,453 |  |  |  | 6,451,718 |
TRAX Ltd., (Acquired 09/12/2019, cost $4,000,013)(c)(d) |  |  | 106,667 |  |  |  | 4,125,880 |
Twilio, Inc., Class A(a)(b) |  |  | 96,545 |  |  |  | 21,183,904 |
Visa, Inc., Class A(b) |  |  | 106,695 |  |  |  | 20,610,273 |
|  |  |  | 170,799,143 |
Semiconductors & Semiconductor Equipment — 12.9% |  |  |  |  |  |
Advanced Micro Devices, Inc.(a)(b) |  |  | 247,686 |  |  |  | 13,030,760 |
ASML Holding NV |  |  | 37,418 |  |  |  | 13,687,985 |
Cree, Inc.(a)(b) |  |  | 116,909 |  |  |  | 6,919,844 |
Inphi Corp.(a)(b) |  |  | 89,060 |  |  |  | 10,464,550 |
Lam Research Corp.(b) |  |  | 37,016 |  |  |  | 11,973,195 |
Marvell Technology Group Ltd.(b) |  |  | 365,423 |  |  |  | 12,811,730 |
Micron Technology, Inc.(a)(b) |  |  | 126,024 |  |  |  | 6,492,757 |
Monolithic Power Systems, Inc.(b) |  |  | 32,734 |  |  |  | 7,757,958 |
Renesas Electronics Corp.(a) |  |  | 1,150,900 |  |  |  | 5,916,089 |
Skyworks Solutions, Inc.(b) |  |  | 43,227 |  |  |  | 5,527,004 |
SOITEC(a) |  |  | 77,629 |  |  |  | 8,647,646 |
STMicroelectronics NV |  |  | 290,068 |  |  |  | 7,906,750 |
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR(b) |  |  | 135,563 |  |  |  | 7,695,912 |
|  |  |  | 118,832,180 |
Software — 26.0% |  |  |  |  |  |
Adobe, Inc.(a)(b) |  |  | 44,474 |  |  |  | 19,359,977 |
Altium Ltd. |  |  | 259,362 |  |  |  | 5,876,440 |
Atlassian Corp. PLC, Class A(a)(b) |  |  | 49,029 |  |  |  | 8,838,458 |
Autodesk, Inc.(a)(b) |  |  | 40,617 |  |  |  | 9,715,180 |
Avalara, Inc.(a)(b) |  |  | 86,159 |  |  |  | 11,466,901 |
Cadence Design Systems, Inc.(a)(b) |  |  | 76,852 |  |  |  | 7,374,718 |
Coupa Software, Inc.(a)(b) |  |  | 48,424 |  |  |  | 13,415,385 |
Crowdstrike Holdings, Inc., Class A(a)(b) |  |  | 55,492 |  |  |  | 5,565,293 |
Elastic NV(a)(b) |  |  | 52,787 |  |  |  | 4,867,489 |
Fair Isaac Corp.(a)(b) |  |  | 12,967 |  |  |  | 5,420,725 |
Intuit, Inc.(b) |  |  | 18,491 |  |  |  | 5,476,849 |
Kingdee International Software Group Co. Ltd.(a) |  |  | 4,483,000 |  |  |  | 10,489,691 |
Microsoft Corp.(b) |  |  | 214,280 |  |  |  | 43,608,123 |
Online Ventures Property Ltd., (Acquired 01/21/2020, cost $6,160,136)(c)(d) |  |  | 53,642 |  |  |  | 5,580,517 |
Paycom Software, Inc.(a)(b) |  |  | 20,035 |  |  |  | 6,205,441 |
RingCentral, Inc., Class A(a)(b) |  |  | 41,643 |  |  |  | 11,868,671 |
salesforce.com, Inc.(a)(b) |  |  | 44,202 |  |  |  | 8,280,361 |
ServiceNow, Inc.(a)(b) |  |  | 29,124 |  |  |  | 11,796,967 |
Smartsheet, Inc., Class A(a)(b) |  |  | 77,288 |  |  |  | 3,935,505 |
TeamViewer AG(a)(f) |  |  | 189,832 |  |  |  | 10,365,222 |
Xero Ltd.(a) |  |  | 114,004 |  |  |  | 7,161,174 |
Zendesk, Inc.(a)(b) |  |  | 72,661 |  |  |  | 6,432,678 |
Zoom Video Communications, Inc., Class A(a)(b) |  |  | 26,152 |  |  |  | 6,630,578 |
Zscaler, Inc.(a)(b) |  |  | 95,801 |  |  |  | 10,490,209 |
|  |  |  | 240,222,552 |
Technology Hardware, Storage & Peripherals — 3.8% |  |  |  |  |  |
Apple, Inc.(b) |  |  | 97,619 |  |  |  | 35,611,411 |
Total Common Stocks — 95.1% (Cost — $321,034,872) |  |  |  | 879,345,839 |
Preferred Stocks — 7.4% |  |  |  |  |  |  |  |
Diversified Financial Services — 1.0% |  |  |  |  |  |  |  |
Databricks, Inc., Series F, (Acquired 10/22/2019, cost $3,999,999), 0.00%(c)(d) |  |  | 93,135 |  |  |  | 6,170,194 |

86 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust (BST) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Diversified Financial Services (continued) |  |  |  |  |  |
TransferWise (Seed Preferred), (Acquired 06/03/2019, cost $849,295), 0.00%(c)(d) |  |  | 9,603 |  |  | $ | 1,024,352 |
TransferWise, Series A, (Acquired 06/03/2019, cost $1,004,242), 0.00%(c)(d) |  |  | 11,355 |  |  |  | 1,211,238 |
TransferWise, Series B, (Acquired 06/03/2019, cost $288,408), 0.00%(c)(d) |  |  | 3,261 |  |  |  | 347,851 |
TransferWise, Series C, (Acquired 06/03/2019, cost $161,315), 0.00%(c)(d) |  |  | 1,824 |  |  |  | 194,566 |
TransferWise, Series D, (Acquired 06/03/2019, cost $44,579), 0.00%(c)(d) |  |  | 504 |  |  |  | 53,762 |
TransferWise, Series E, (Acquired 06/03/2019, cost $4,688), 0.00%(c)(d) |  |  | 53 |  |  |  | 5,653 |
|  |  |  |  |  |  | 9,007,616 |
Electronic Equipment, Instruments & Components — 0.6% |  |  |  |  |  |
Credo Technology Group Holding Ltd., Series D, (Acquired 03/20/2020, cost $5,000,000), 0.00%(c)(d) |  |  | 1,001,382 |  |  |  | 4,996,896 |
Internet & Direct Marketing Retail — 0.3% |  |  |  |  |  |
Postmates, Inc., Series F, (Acquired 01/08/19, cost $3,130,001), 0.00%(c)(d) |  |  | 392,275 |  |  |  | 2,663,547 |
Road & Rail — 1.8% |  |  |  |  |  |
Ant Financial, Series A-18, (Acquired 05/18/18, cost $6,492,863), 0.00%(c)(d) |  |  | 1,157,373 |  |  |  | 8,090,037 |
FlixMobility GmbH, Series F, (Acquired 07/26/2019, cost $5,482,937), 0.00%(c)(d) |  |  | 275 |  |  |  | 3,110,763 |
Xiaoju Kuaizhi, Inc., Series A-17, (Acquired 07/28/15, cost $3,016,964), 0.00%(c)(d) |  |  | 110,003 |  |  |  | 5,719,056 |
|  |  |  | 16,919,856 |
Semiconductors & Semiconductor Equipment — 2.2% |  |  |  |  |  |
Innovium, Inc. Series F, (Acquired 08/21/19, cost $2,999,996), 0.00%(c)(d) |  |  | 296,062 |  |  |  | 3,087,926 |
Innovium, Inc., Series E, (Acquired 08/21/19, cost $3,000,003), 0.00%(c)(d) |  |  | 353,478 |  |  |  | 3,266,137 |
Psiquantum Corp., Series C, (Acquired 09/09/2019, cost $3,200,234), 0.00%(c)(d) |  |  | 690,003 |  |  |  | 3,167,114 |
SambaNova Systems, Inc., Series C, (Acquired 02/19/2020 , cost $9,972,125), 0.00%(c)(d) |  |  | 187,300 |  |  |  | 10,458,832 |
|  |  |  |  |  |  | 19,980,009 |
Software — 1.5% |
C3 AI, Inc., Series H, (Acquired 08/14/2019, cost $7,129,478), 0.00%(c)(d) |  |  | 1,415,000 |  |  |  | 7,513,650 |
GitLab, Inc., Series E, (Acquired 09/10/2019, cost $2,915,501), 0.00%(c)(d) |  |  | 156,500 |  |  |  | 3,300,585 |
Unqork, Inc., Series B, (Acquired 09/19/19, cost $3,198,416), 0.00%(c)(d) |  |  | 7,027 |  |  |  | 3,345,766 |
|  |  |  |  |  |  | 14,160,001 |
Total Preferred Stocks — 7.4% (Cost — $61,891,045) |  |  |  | 67,727,925 |

Security |  | Shares |  |  | Value |
Warrants — 0.0% |  |  |  |  |  |  |  |
IT Services — 0.0% |  |  |  |  |  |
TRAX Ltd., (Acquired 09/12/2019, cost $0)(c)(d) |  |  | 17,065 |  |  | $ | 43,857 |
Total Warrants — 0.0% (Cost — $ — ) |  |  |  | 43,857 |
Total Long-Term Investments — 102.5% (Cost — $382,925,917) |  |  |  | 947,117,621 |
Short-Term Securities — 0.3% |  |  |  |  |  |  |  |
SL Liquidity Series, LLC, Money Market Series, 0.50%(g)(h)(i) |  |  | 2,827,263 |  |  |  | 2,829,525 |
Total Short-Term Securities — 0.3% (Cost — $2,829,525) |  |  |  | 2,829,525 |
Total Investments Before Options Written — 102.8% (Cost — $385,755,442) |  |  |  | 949,947,146 |
Options Written — (2.3)% (Premiums Received — $12,417,299) |  |  |  | (21,192,234 | )
Total Investments, Net of Options Written — 100.5% (Cost — $373,338,143) |  |  |  | 928,754,912 |
Liabilities in Excess of Other Assets — (0.5)% |  |  |  | (4,237,645 | )
Net Assets — 100.0% |  |  | $ | 924,517,267 |

(a) | Non-income producing security.

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

(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(d) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $86,652,880, representing 9.4% of its net assets as of period end, and an original cost of $80,484,507.

(e) | All or a portion of this security is on loan.

(f) | 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.

(g) | Annualized 7-day yield as of period end.

(h) | All or a portion of this security was purchased with the cash collateral from loaned securities.

(i) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Shares Held at 12/31/19 |  |  | Shares Purchased |  |  | Shares Sold |  |  | Shares Held at 06/30/20 |  |  | Value at 06/30/20 |  |  | Income |  |  | Net Realized Gain (Loss) (a) |  |  | Change in Unrealized Appreciation (Depreciation) |
BlackRock Liquidity Funds, T-Fund, Institutional Class(c) |  |  | 8,881,516 |  |  |  | — |  |  |  | (8,881,516 | )(b) |  |  | — |  |  | $ | — |  |  | $ | 25,107 |  |  | $ | — |  |  | $ | — |
SL Liquidity Series, LLC, Money Market Series |  |  | — |  |  |  | 2,827,263 | (b) |  |  | — |  |  |  | 2,827,263 |  |  |  | 2,829,525 |  |  |  | 14,886 | (d) |  |  | (472 | ) |  |  | — |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 2,829,525 |  |  | $ | 39,993 |  |  | $ | (472 | ) |  | $ | — |

| (a) | Includes net capital gain distributions, if applicable. |

| (b) | Represents net shares purchased (sold). |

SCHEDULES OF INVESTMENTS |  | 87

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust (BST)

| (c) | As of period end, the entity is no longer held by the Trust. |

| (d) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |

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 such industry sub-classifications for reporting ease.

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Activision Blizzard, Inc. |  |  | 52 |  |  |  | 07/02/20 |  |  | USD |  |  | 74.00 |  |  | USD |  |  | 395 |  |  | $ | (9,906 | )
Adobe, Inc. |  |  | 28 |  |  |  | 07/02/20 |  |  | USD |  |  | 390.00 |  |  | USD |  |  | 1,219 |  |  |  | (128,100 | )
Alphabet, Inc., Class A |  |  | 16 |  |  |  | 07/02/20 |  |  | USD |  |  | 1,450.00 |  |  | USD |  |  | 2,269 |  |  |  | (2,880 | )
Amazon.com, Inc. |  |  | 14 |  |  |  | 07/02/20 |  |  | USD |  |  | 2,475.00 |  |  | USD |  |  | 3,862 |  |  |  | (397,390 | )
Atlassian Corp. PLC, Class A |  |  | 159 |  |  |  | 07/02/20 |  |  | USD |  |  | 180.00 |  |  | USD |  |  | 2,866 |  |  |  | (31,005 | )
Lam Research Corp. |  |  | 72 |  |  |  | 07/02/20 |  |  | USD |  |  | 282.50 |  |  | USD |  |  | 2,329 |  |  |  | (295,380 | )
Netflix, Inc. |  |  | 10 |  |  |  | 07/02/20 |  |  | USD |  |  | 440.00 |  |  | USD |  |  | 455 |  |  |  | (16,800 | )
RingCentral, Inc., Class A |  |  | 17 |  |  |  | 07/02/20 |  |  | USD |  |  | 257.50 |  |  | USD |  |  | 485 |  |  |  | (47,175 | )
Salesforce.com, Inc. |  |  | 65 |  |  |  | 07/02/20 |  |  | USD |  |  | 177.50 |  |  | USD |  |  | 1,218 |  |  |  | (61,100 | )
ServiceNow, Inc. |  |  | 42 |  |  |  | 07/02/20 |  |  | USD |  |  | 397.50 |  |  | USD |  |  | 1,701 |  |  |  | (38,850 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 116 |  |  |  | 07/02/20 |  |  | USD |  |  | 53.50 |  |  | USD |  |  | 659 |  |  |  | (37,120 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 59 |  |  |  | 07/02/20 |  |  | USD |  |  | 54.50 |  |  | USD |  |  | 335 |  |  |  | (13,570 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 37 |  |  |  | 07/02/20 |  |  | USD |  |  | 56.50 |  |  | USD |  |  | 210 |  |  |  | (2,497 | )
Tesla, Inc. |  |  | 6 |  |  |  | 07/02/20 |  |  | USD |  |  | 890.00 |  |  | USD |  |  | 648 |  |  |  | (113,730 | )
Twilio, Inc., Class A |  |  | 58 |  |  |  | 07/02/20 |  |  | USD |  |  | 205.00 |  |  | USD |  |  | 1,273 |  |  |  | (84,100 | )
Visa, Inc., Class A |  |  | 28 |  |  |  | 07/02/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 541 |  |  |  | (2,142 | )
Zoom Video Communications, Inc, Class A |  |  | 50 |  |  |  | 07/02/20 |  |  | USD |  |  | 220.00 |  |  | USD |  |  | 1,268 |  |  |  | (167,000 | )
Activision Blizzard, Inc. |  |  | 133 |  |  |  | 07/10/20 |  |  | USD |  |  | 77.00 |  |  | USD |  |  | 1,009 |  |  |  | (14,231 | )
Adobe, Inc. |  |  | 43 |  |  |  | 07/10/20 |  |  | USD |  |  | 402.50 |  |  | USD |  |  | 1,872 |  |  |  | (147,920 | )
Advanced Micro Devices, Inc. |  |  | 86 |  |  |  | 07/10/20 |  |  | USD |  |  | 56.00 |  |  | USD |  |  | 452 |  |  |  | (4,644 | )
Alibaba Group Holding Ltd. — ADR |  |  | 67 |  |  |  | 07/10/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 1,445 |  |  |  | (53,600 | )
Apple, Inc. |  |  | 58 |  |  |  | 07/10/20 |  |  | USD |  |  | 337.50 |  |  | USD |  |  | 2,116 |  |  |  | (163,560 | )
Atlassian Corp. PLC, Class A |  |  | 6 |  |  |  | 07/10/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 108 |  |  |  | (525 | )
Cree, Inc. |  |  | 99 |  |  |  | 07/10/20 |  |  | USD |  |  | 61.00 |  |  | USD |  |  | 586 |  |  |  | (10,048 | )
Crowdstrike Holdings, Inc., Class A |  |  | 79 |  |  |  | 07/10/20 |  |  | USD |  |  | 106.00 |  |  | USD |  |  | 792 |  |  |  | (13,035 | )
Facebook, Inc., Class A |  |  | 37 |  |  |  | 07/10/20 |  |  | USD |  |  | 237.50 |  |  | USD |  |  | 840 |  |  |  | (5,957 | )
Intuit, Inc. |  |  | 64 |  |  |  | 07/10/20 |  |  | USD |  |  | 292.50 |  |  | USD |  |  | 1,896 |  |  |  | (50,560 | )
Mastercard, Inc, Class A |  |  | 38 |  |  |  | 07/10/20 |  |  | USD |  |  | 320.00 |  |  | USD |  |  | 1,124 |  |  |  | (1,786 | )
Microsoft Corp. |  |  | 11 |  |  |  | 07/10/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 224 |  |  |  | (5,857 | )
Netflix, Inc. |  |  | 15 |  |  |  | 07/10/20 |  |  | USD |  |  | 465.00 |  |  | USD |  |  | 683 |  |  |  | (9,937 | )
Okta, Inc. |  |  | 37 |  |  |  | 07/10/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 741 |  |  |  | (46,990 | )
PayPal Holdings, Inc. |  |  | 76 |  |  |  | 07/10/20 |  |  | USD |  |  | 165.00 |  |  | USD |  |  | 1,324 |  |  |  | (79,230 | )
RingCentral, Inc., Class A |  |  | 38 |  |  |  | 07/10/20 |  |  | USD |  |  | 277.50 |  |  | USD |  |  | 1,083 |  |  |  | (56,240 | )
Shopify, Inc., Class A |  |  | 45 |  |  |  | 07/10/20 |  |  | USD |  |  | 735.00 |  |  | USD |  |  | 4,271 |  |  |  | (964,575 | )
Snap, Inc., Class A |  |  | 273 |  |  |  | 07/10/20 |  |  | USD |  |  | 21.00 |  |  | USD |  |  | 641 |  |  |  | (70,434 | )
Square, Inc., Class A |  |  | 218 |  |  |  | 07/10/20 |  |  | USD |  |  | 86.00 |  |  | USD |  |  | 2,288 |  |  |  | (421,285 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 277 |  |  |  | 07/10/20 |  |  | USD |  |  | 57.00 |  |  | USD |  |  | 1,573 |  |  |  | (24,238 | )
Tesla, Inc. |  |  | 6 |  |  |  | 07/10/20 |  |  | USD |  |  | 900.00 |  |  | USD |  |  | 648 |  |  |  | (109,410 | )
Twilio, Inc., Class A |  |  | 57 |  |  |  | 07/10/20 |  |  | USD |  |  | 202.50 |  |  | USD |  |  | 1,251 |  |  |  | (105,023 | )
Visa, Inc., Class A |  |  | 41 |  |  |  | 07/10/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 792 |  |  |  | (3,341 | )
Zscaler, Inc. |  |  | 84 |  |  |  | 07/10/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 920 |  |  |  | (53,340 | )
Activision Blizzard, Inc. |  |  | 53 |  |  |  | 07/17/20 |  |  | USD |  |  | 75.00 |  |  | USD |  |  | 402 |  |  |  | (14,098 | )
Adobe, Inc. |  |  | 22 |  |  |  | 07/17/20 |  |  | USD |  |  | 385.00 |  |  | USD |  |  | 958 |  |  |  | (114,345 | )
Advanced Micro Devices, Inc. |  |  | 288 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,515 |  |  |  | (12,096 | )
Alibaba Group Holding Ltd. — ADR |  |  | 27 |  |  |  | 07/17/20 |  |  | USD |  |  | 215.00 |  |  | USD |  |  | 582 |  |  |  | (17,145 | )
Alphabet, Inc., Class A |  |  | 14 |  |  |  | 07/17/20 |  |  | USD |  |  | 1,380.00 |  |  | USD |  |  | 1,985 |  |  |  | (79,590 | )
Alphabet, Inc., Class A |  |  | 15 |  |  |  | 07/17/20 |  |  | USD |  |  | 1,465.00 |  |  | USD |  |  | 2,127 |  |  |  | (16,425 | )
Amazon.com, Inc. |  |  | 14 |  |  |  | 07/17/20 |  |  | USD |  |  | 2,460.00 |  |  | USD |  |  | 3,862 |  |  |  | (424,865 | )
Apple, Inc. |  |  | 31 |  |  |  | 07/17/20 |  |  | USD |  |  | 320.00 |  |  | USD |  |  | 1,131 |  |  |  | (139,268 | )
Autodesk, Inc. |  |  | 33 |  |  |  | 07/17/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 789 |  |  |  | (130,763 | )
Autodesk, Inc. |  |  | 8 |  |  |  | 07/17/20 |  |  | USD |  |  | 250.00 |  |  | USD |  |  | 191 |  |  |  | (2,560 | )
Avalara, Inc. |  |  | 151 |  |  |  | 07/17/20 |  |  | USD |  |  | 103.00 |  |  | USD |  |  | 2,010 |  |  |  | (456,975 | )

88 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust (BST)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bandwidth, Inc., Class A |  |  | 111 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.50 |  |  | USD |  |  | 1,410 |  |  | $ | (152,424 | )
Cadence Design Systems, Inc. |  |  | 134 |  |  |  | 07/17/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 1,286 |  |  |  | (39,195 | )
Chegg, Inc. |  |  | 210 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 1,412 |  |  |  | (93,450 | )
Coupa Software, Inc. |  |  | 89 |  |  |  | 07/17/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 2,466 |  |  |  | (601,195 | )
Cree, Inc. |  |  | 100 |  |  |  | 07/17/20 |  |  | USD |  |  | 57.50 |  |  | USD |  |  | 592 |  |  |  | (33,750 | )
Elastic NV |  |  | 86 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 793 |  |  |  | (280,790 | )
Facebook, Inc., Class A |  |  | 9 |  |  |  | 07/17/20 |  |  | USD |  |  | 240.00 |  |  | USD |  |  | 204 |  |  |  | (2,043 | )
Facebook, Inc., Class A |  |  | 8 |  |  |  | 07/17/20 |  |  | USD |  |  | 250.00 |  |  | USD |  |  | 182 |  |  |  | (672 | )
Fair Isaac Corp. |  |  | 22 |  |  |  | 07/17/20 |  |  | USD |  |  | 360.00 |  |  | USD |  |  | 920 |  |  |  | (131,560 | )
Inphi Corp. |  |  | 156 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 1,833 |  |  |  | (104,520 | )
Lam Research Corp. |  |  | 30 |  |  |  | 07/17/20 |  |  | USD |  |  | 310.00 |  |  | USD |  |  | 970 |  |  |  | (65,100 | )
Marvell Technology Group Ltd. |  |  | 52 |  |  |  | 07/17/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 182 |  |  |  | (4,758 | )
Mastercard, Inc, Class A |  |  | 40 |  |  |  | 07/17/20 |  |  | USD |  |  | 320.00 |  |  | USD |  |  | 1,183 |  |  |  | (2,300 | )
Microsoft Corp. |  |  | 143 |  |  |  | 07/17/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 2,910 |  |  |  | (198,055 | )
MongoDB, Inc. |  |  | 56 |  |  |  | 07/17/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 1,268 |  |  |  | (115,640 | )
Monolithic Power Systems, Inc. |  |  | 55 |  |  |  | 07/17/20 |  |  | USD |  |  | 230.00 |  |  | USD |  |  | 1,304 |  |  |  | (66,825 | )
NetEase, Inc. — ADR |  |  | 25 |  |  |  | 07/17/20 |  |  | USD |  |  | 420.00 |  |  | USD |  |  | 1,073 |  |  |  | (53,875 | )
Netflix, Inc. |  |  | 15 |  |  |  | 07/17/20 |  |  | USD |  |  | 475.00 |  |  | USD |  |  | 683 |  |  |  | (20,212 | )
Okta, Inc. |  |  | 100 |  |  |  | 07/17/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 2,002 |  |  |  | (142,000 | )
Pagseguro Digital Ltd., Class A |  |  | 282 |  |  |  | 07/17/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 997 |  |  |  | (24,675 | )
PayPal Holdings, Inc. |  |  | 151 |  |  |  | 07/17/20 |  |  | USD |  |  | 150.00 |  |  | USD |  |  | 2,631 |  |  |  | (361,645 | )
Paycom Software, Inc. |  |  | 70 |  |  |  | 07/17/20 |  |  | USD |  |  | 330.00 |  |  | USD |  |  | 2,168 |  |  |  | (36,750 | )
RingCentral, Inc., Class A |  |  | 35 |  |  |  | 07/17/20 |  |  | USD |  |  | 260.00 |  |  | USD |  |  | 998 |  |  |  | (106,750 | )
Roku, Inc. |  |  | 110 |  |  |  | 07/17/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 1,282 |  |  |  | (114,125 | )
ServiceNow, Inc. |  |  | 42 |  |  |  | 07/17/20 |  |  | USD |  |  | 410.00 |  |  | USD |  |  | 1,701 |  |  |  | (49,350 | )
Shopify, Inc., Class A |  |  | 16 |  |  |  | 07/17/20 |  |  | USD |  |  | 775.00 |  |  | USD |  |  | 1,519 |  |  |  | (284,720 | )
Smartsheet, Inc., Class A |  |  | 135 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 687 |  |  |  | (13,162 | )
Snap, Inc., Class A |  |  | 181 |  |  |  | 07/17/20 |  |  | USD |  |  | 18.00 |  |  | USD |  |  | 425 |  |  |  | (100,455 | )
Square, Inc., Class A |  |  | 90 |  |  |  | 07/17/20 |  |  | USD |  |  | 82.50 |  |  | USD |  |  | 944 |  |  |  | (208,125 | )
TAL Education Group — ADR |  |  | 186 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,272 |  |  |  | (164,610 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 176 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 999 |  |  |  | (44,440 | )
Teladoc Health, Inc. |  |  | 98 |  |  |  | 07/17/20 |  |  | USD |  |  | 180.00 |  |  | USD |  |  | 1,870 |  |  |  | (155,330 | )
Tencent Music Entertainment Group — ADR |  |  | 656 |  |  |  | 07/17/20 |  |  | USD |  |  | 14.00 |  |  | USD |  |  | 883 |  |  |  | (18,040 | )
Tesla, Inc. |  |  | 11 |  |  |  | 07/17/20 |  |  | USD |  |  | 1,030.00 |  |  | USD |  |  | 1,188 |  |  |  | (93,418 | )
Twilio, Inc., Class A |  |  | 59 |  |  |  | 07/17/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 1,295 |  |  |  | (131,275 | )
Visa, Inc., Class A |  |  | 41 |  |  |  | 07/17/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 792 |  |  |  | (13,776 | )
Warner Music Group Corp., Class A |  |  | 347 |  |  |  | 07/17/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 1,024 |  |  |  | (4,337 | )
Warner Music Group Corp., Class A |  |  | 346 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 1,021 |  |  |  | (1,730 | )
Yandex NV, Class A |  |  | 41 |  |  |  | 07/17/20 |  |  | USD |  |  | 44.00 |  |  | USD |  |  | 205 |  |  |  | (26,855 | )
Zendesk, Inc. |  |  | 138 |  |  |  | 07/17/20 |  |  | USD |  |  | 82.50 |  |  | USD |  |  | 1,222 |  |  |  | (102,120 | )
Zoom Video Communications, Inc, Class A |  |  | 50 |  |  |  | 07/17/20 |  |  | USD |  |  | 230.00 |  |  | USD |  |  | 1,268 |  |  |  | (139,250 | )
ZoomInfo Technologies, Inc., Class A |  |  | 422 |  |  |  | 07/17/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 2,153 |  |  |  | (2,110 | )
Zscaler, Inc. |  |  | 167 |  |  |  | 07/17/20 |  |  | USD |  |  | 77.50 |  |  | USD |  |  | 1,829 |  |  |  | (532,730 | )
Activision Blizzard, Inc. |  |  | 77 |  |  |  | 07/24/20 |  |  | USD |  |  | 77.00 |  |  | USD |  |  | 584 |  |  |  | (16,516 | )
Adobe, Inc. |  |  | 31 |  |  |  | 07/24/20 |  |  | USD |  |  | 415.00 |  |  | USD |  |  | 1,349 |  |  |  | (83,700 | )
Advanced Micro Devices, Inc. |  |  | 129 |  |  |  | 07/24/20 |  |  | USD |  |  | 58.00 |  |  | USD |  |  | 679 |  |  |  | (9,675 | )
Advanced Micro Devices, Inc. |  |  | 35 |  |  |  | 07/24/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 184 |  |  |  | (2,012 | )
Alibaba Group Holding Ltd. — ADR |  |  | 129 |  |  |  | 07/24/20 |  |  | USD |  |  | 235.00 |  |  | USD |  |  | 2,783 |  |  |  | (16,899 | )
Apple, Inc. |  |  | 48 |  |  |  | 07/24/20 |  |  | USD |  |  | 355.00 |  |  | USD |  |  | 1,751 |  |  |  | (80,040 | )
Autodesk, Inc. |  |  | 35 |  |  |  | 07/24/20 |  |  | USD |  |  | 240.00 |  |  | USD |  |  | 837 |  |  |  | (30,275 | )
Cree, Inc. |  |  | 210 |  |  |  | 07/24/20 |  |  | USD |  |  | 59.00 |  |  | USD |  |  | 1,243 |  |  |  | (64,260 | )
Facebook, Inc., Class A |  |  | 92 |  |  |  | 07/24/20 |  |  | USD |  |  | 245.00 |  |  | USD |  |  | 2,089 |  |  |  | (33,350 | )
Lam Research Corp. |  |  | 30 |  |  |  | 07/24/20 |  |  | USD |  |  | 290.00 |  |  | USD |  |  | 970 |  |  |  | (116,400 | )
Marvell Technology Group Ltd. |  |  | 403 |  |  |  | 07/24/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 1,413 |  |  |  | (45,338 | )
Marvell Technology Group Ltd. |  |  | 61 |  |  |  | 07/24/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 214 |  |  |  | (3,141 | )
Mastercard, Inc, Class A |  |  | 40 |  |  |  | 07/24/20 |  |  | USD |  |  | 307.50 |  |  | USD |  |  | 1,183 |  |  |  | (17,200 | )
MercadoLibre, Inc. |  |  | 25 |  |  |  | 07/24/20 |  |  | USD |  |  | 960.00 |  |  | USD |  |  | 2,464 |  |  |  | (141,250 | )
Micron Technology, Inc. |  |  | 156 |  |  |  | 07/24/20 |  |  | USD |  |  | 51.50 |  |  | USD |  |  | 804 |  |  |  | (37,752 | )
Microsoft Corp. |  |  | 10 |  |  |  | 07/24/20 |  |  | USD |  |  | 192.50 |  |  | USD |  |  | 204 |  |  |  | (13,025 | )
MongoDB, Inc. |  |  | 49 |  |  |  | 07/24/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 1,109 |  |  |  | (109,025 | )
NetEase, Inc. — ADR |  |  | 27 |  |  |  | 07/24/20 |  |  | USD |  |  | 437.50 |  |  | USD |  |  | 1,159 |  |  |  | (34,830 | )
PayPal Holdings, Inc. |  |  | 151 |  |  |  | 07/24/20 |  |  | USD |  |  | 180.00 |  |  | USD |  |  | 2,631 |  |  |  | (47,565 | )

SCHEDULES OF INVESTMENTS |  |  | 89 |

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust (BST)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RingCentral, Inc., Class A |  |  | 55 |  |  |  | 07/24/20 |  |  | USD |  |  | 305.00 |  |  | USD |  |  | 1,568 |  |  | $ | (53,350 | )
Roku, Inc. |  |  | 31 |  |  |  | 07/24/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 361 |  |  |  | (19,995 | )
Roku, Inc. |  |  | 18 |  |  |  | 07/24/20 |  |  | USD |  |  | 135.00 |  |  | USD |  |  | 210 |  |  |  | (4,536 | )
Salesforce.com, Inc. |  |  | 13 |  |  |  | 07/24/20 |  |  | USD |  |  | 192.50 |  |  | USD |  |  | 244 |  |  |  | (5,167 | )
Shopify, Inc., Class A |  |  | 45 |  |  |  | 07/24/20 |  |  | USD |  |  | 820.00 |  |  | USD |  |  | 4,271 |  |  |  | (641,700 | )
Skyworks Solutions, Inc. |  |  | 86 |  |  |  | 07/24/20 |  |  | USD |  |  | 131.00 |  |  | USD |  |  | 1,100 |  |  |  | (39,560 | )
Snap, Inc., Class A |  |  | 154 |  |  |  | 07/24/20 |  |  | USD |  |  | 24.00 |  |  | USD |  |  | 362 |  |  |  | (20,636 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 20 |  |  |  | 07/24/20 |  |  | USD |  |  | 57.50 |  |  | USD |  |  | 114 |  |  |  | (3,000 | )
Teladoc Health, Inc. |  |  | 98 |  |  |  | 07/24/20 |  |  | USD |  |  | 175.00 |  |  | USD |  |  | 1,870 |  |  |  | (206,290 | )
Twilio, Inc., Class A |  |  | 69 |  |  |  | 07/24/20 |  |  | USD |  |  | 220.00 |  |  | USD |  |  | 1,514 |  |  |  | (74,693 | )
Zoom Video Communications, Inc, Class A |  |  | 62 |  |  |  | 07/24/20 |  |  | USD |  |  | 270.00 |  |  | USD |  |  | 1,572 |  |  |  | (48,980 | )
Activision Blizzard, Inc. |  |  | 78 |  |  |  | 07/31/20 |  |  | USD |  |  | 79.00 |  |  | USD |  |  | 592 |  |  |  | (13,455 | )
Adobe, Inc. |  |  | 31 |  |  |  | 07/31/20 |  |  | USD |  |  | 425.00 |  |  | USD |  |  | 1,349 |  |  |  | (66,960 | )
Advanced Micro Devices, Inc. |  |  | 158 |  |  |  | 07/31/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 831 |  |  |  | (39,105 | )
Alibaba Group Holding Ltd. — ADR |  |  | 65 |  |  |  | 07/31/20 |  |  | USD |  |  | 220.00 |  |  | USD |  |  | 1,402 |  |  |  | (41,600 | )
Alphabet, Inc., Class A |  |  | 15 |  |  |  | 07/31/20 |  |  | USD |  |  | 1,450.00 |  |  | USD |  |  | 2,127 |  |  |  | (61,875 | )
Apple, Inc. |  |  | 58 |  |  |  | 07/31/20 |  |  | USD |  |  | 362.50 |  |  | USD |  |  | 2,116 |  |  |  | (89,030 | )
Autodesk, Inc. |  |  | 33 |  |  |  | 07/31/20 |  |  | USD |  |  | 222.50 |  |  | USD |  |  | 789 |  |  |  | (74,910 | )
Coupa Software, Inc. |  |  | 41 |  |  |  | 07/31/20 |  |  | USD |  |  | 225.00 |  |  | USD |  |  | 1,136 |  |  |  | (223,450 | )
Crowdstrike Holdings, Inc., Class A |  |  | 80 |  |  |  | 07/31/20 |  |  | USD |  |  | 101.00 |  |  | USD |  |  | 802 |  |  |  | (53,200 | )
Facebook, Inc., Class A |  |  | 9 |  |  |  | 07/31/20 |  |  | USD |  |  | 232.50 |  |  | USD |  |  | 204 |  |  |  | (8,595 | )
Marvell Technology Group Ltd. |  |  | 376 |  |  |  | 07/31/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 1,318 |  |  |  | (30,268 | )
Mastercard, Inc, Class A |  |  | 33 |  |  |  | 07/31/20 |  |  | USD |  |  | 305.00 |  |  | USD |  |  | 976 |  |  |  | (22,358 | )
Micron Technology, Inc. |  |  | 146 |  |  |  | 07/31/20 |  |  | USD |  |  | 53.00 |  |  | USD |  |  | 752 |  |  |  | (30,587 | )
Microsoft Corp. |  |  | 150 |  |  |  | 07/31/20 |  |  | USD |  |  | 205.00 |  |  | USD |  |  | 3,053 |  |  |  | (94,125 | )
Microsoft Corp. |  |  | 9 |  |  |  | 07/31/20 |  |  | USD |  |  | 202.50 |  |  | USD |  |  | 183 |  |  |  | (6,727 | )
MongoDB, Inc. |  |  | 6 |  |  |  | 07/31/20 |  |  | USD |  |  | 222.50 |  |  | USD |  |  | 136 |  |  |  | (9,660 | )
Netflix, Inc. |  |  | 11 |  |  |  | 07/31/20 |  |  | USD |  |  | 470.00 |  |  | USD |  |  | 501 |  |  |  | (21,313 | )
Roku, Inc. |  |  | 117 |  |  |  | 07/31/20 |  |  | USD |  |  | 145.00 |  |  | USD |  |  | 1,363 |  |  |  | (21,470 | )
ServiceNow, Inc. |  |  | 17 |  |  |  | 07/31/20 |  |  | USD |  |  | 430.00 |  |  | USD |  |  | 689 |  |  |  | (21,080 | )
Snap, Inc., Class A |  |  | 265 |  |  |  | 07/31/20 |  |  | USD |  |  | 26.50 |  |  | USD |  |  | 622 |  |  |  | (21,068 | )
Square, Inc., Class A |  |  | 208 |  |  |  | 07/31/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 2,183 |  |  |  | (59,280 | )
StoneCo Ltd., Class A |  |  | 332 |  |  |  | 07/31/20 |  |  | USD |  |  | 38.50 |  |  | USD |  |  | 1,287 |  |  |  | (96,280 | )
Taiwan Semiconductor Manufacturing Co. Ltd. — ADR |  |  | 60 |  |  |  | 07/31/20 |  |  | USD |  |  | 57.00 |  |  | USD |  |  | 341 |  |  |  | (11,850 | )
Teladoc Health, Inc. |  |  | 98 |  |  |  | 07/31/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 1,870 |  |  |  | (114,170 | )
Twilio, Inc., Class A |  |  | 47 |  |  |  | 07/31/20 |  |  | USD |  |  | 220.00 |  |  | USD |  |  | 1,031 |  |  |  | (70,030 | )
Visa, Inc., Class A |  |  | 27 |  |  |  | 07/31/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 522 |  |  |  | (9,585 | )
Yandex NV, Class A |  |  | 56 |  |  |  | 07/31/20 |  |  | USD |  |  | 51.00 |  |  | USD |  |  | 280 |  |  |  | (13,020 | )
Zoom Video Communications, Inc, Class A |  |  | 29 |  |  |  | 07/31/20 |  |  | USD |  |  | 285.00 |  |  | USD |  |  | 735 |  |  |  | (15,225 | )
Zoom Video Communications, Inc, Class A |  |  | 5 |  |  |  | 07/31/20 |  |  | USD |  |  | 257.50 |  |  | USD |  |  | 127 |  |  |  | (7,525 | )
Zscaler, Inc. |  |  | 84 |  |  |  | 07/31/20 |  |  | USD |  |  | 106.00 |  |  | USD |  |  | 920 |  |  |  | (73,920 | )
Alibaba Group Holding Ltd. — ADR |  |  | 133 |  |  |  | 08/07/20 |  |  | USD |  |  | 222.50 |  |  | USD |  |  | 2,869 |  |  |  | (80,798 | )
Micron Technology, Inc. |  |  | 70 |  |  |  | 08/07/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 361 |  |  |  | (11,340 | )
Microsoft Corp. |  |  | 11 |  |  |  | 08/07/20 |  |  | USD |  |  | 207.50 |  |  | USD |  |  | 224 |  |  |  | (7,012 | )
Salesforce.com, Inc. |  |  | 76 |  |  |  | 08/07/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 1,424 |  |  |  | (35,720 | )
Advanced Micro Devices, Inc. |  |  | 170 |  |  |  | 08/21/20 |  |  | USD |  |  | 57.50 |  |  | USD |  |  | 894 |  |  |  | (41,650 | )
Amazon.com, Inc. |  |  | 12 |  |  |  | 08/21/20 |  |  | USD |  |  | 2,780.00 |  |  | USD |  |  | 3,311 |  |  |  | (169,800 | )
Atlassian Corp. PLC, Class A |  |  | 6 |  |  |  | 08/21/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 108 |  |  |  | (4,470 | )
Autodesk, Inc. |  |  | 33 |  |  |  | 08/21/20 |  |  | USD |  |  | 240.00 |  |  | USD |  |  | 789 |  |  |  | (47,190 | )
Avalara, Inc. |  |  | 154 |  |  |  | 08/21/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 2,050 |  |  |  | (408,100 | )
Bandwidth, Inc., Class A |  |  | 108 |  |  |  | 08/21/20 |  |  | USD |  |  | 130.00 |  |  | USD |  |  | 1,372 |  |  |  | (105,300 | )
Cadence Design Systems, Inc. |  |  | 134 |  |  |  | 08/21/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 1,286 |  |  |  | (83,080 | )
Chegg, Inc. |  |  | 210 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 1,412 |  |  |  | (121,800 | )
Coupa Software, Inc. |  |  | 39 |  |  |  | 08/21/20 |  |  | USD |  |  | 280.00 |  |  | USD |  |  | 1,080 |  |  |  | (74,685 | )
Crowdstrike Holdings, Inc., Class A |  |  | 35 |  |  |  | 08/21/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 351 |  |  |  | (9,100 | )
Elastic NV |  |  | 98 |  |  |  | 08/21/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 904 |  |  |  | (42,630 | )
Facebook, Inc., Class A |  |  | 9 |  |  |  | 08/21/20 |  |  | USD |  |  | 260.00 |  |  | USD |  |  | 204 |  |  |  | (2,610 | )
Fair Isaac Corp. |  |  | 23 |  |  |  | 08/21/20 |  |  | USD |  |  | 429.00 |  |  | USD |  |  | 961 |  |  |  | (50,364 | )
Inphi Corp. |  |  | 155 |  |  |  | 08/21/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 1,821 |  |  |  | (184,450 | )
Marvell Technology Group Ltd. |  |  | 386 |  |  |  | 08/21/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 1,353 |  |  |  | (69,094 | )
MercadoLibre, Inc. |  |  | 24 |  |  |  | 08/21/20 |  |  | USD |  |  | 990.00 |  |  | USD |  |  | 2,366 |  |  |  | (191,520 | )
Micron Technology, Inc. |  |  | 69 |  |  |  | 08/21/20 |  |  | USD |  |  | 57.50 |  |  | USD |  |  | 355 |  |  |  | (9,487 | )

90 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust (BST)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Microsoft Corp. |  |  | 94 |  |  |  | 08/21/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 1,913 |  |  | $ | (59,925 | )
MongoDB, Inc. |  |  | 49 |  |  |  | 08/21/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 1,109 |  |  |  | (134,995 | )
Monolithic Power Systems, Inc. |  |  | 58 |  |  |  | 08/21/20 |  |  | USD |  |  | 230.00 |  |  | USD |  |  | 1,375 |  |  |  | (118,900 | )
Okta, Inc. |  |  | 105 |  |  |  | 08/21/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 2,102 |  |  |  | (238,350 | )
Shopify, Inc., Class A |  |  | 13 |  |  |  | 08/21/20 |  |  | USD |  |  | 915.00 |  |  | USD |  |  | 1,234 |  |  |  | (141,310 | )
Skyworks Solutions, Inc. |  |  | 65 |  |  |  | 08/21/20 |  |  | USD |  |  | 130.00 |  |  | USD |  |  | 831 |  |  |  | (49,075 | )
Smartsheet, Inc., Class A |  |  | 135 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 687 |  |  |  | (32,738 | )
Snap, Inc., Class A |  |  | 264 |  |  |  | 08/21/20 |  |  | USD |  |  | 24.00 |  |  | USD |  |  | 620 |  |  |  | (51,084 | )
TAL Education Group — ADR |  |  | 187 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 1,279 |  |  |  | (79,475 | )
Teladoc Health, Inc. |  |  | 99 |  |  |  | 08/21/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 1,889 |  |  |  | (143,550 | )
Tencent Music Entertainment Group — ADR |  |  | 657 |  |  |  | 08/21/20 |  |  | USD |  |  | 14.00 |  |  | USD |  |  | 884 |  |  |  | (45,990 | )
Tesla, Inc. |  |  | 11 |  |  |  | 08/21/20 |  |  | USD |  |  | 980.00 |  |  | USD |  |  | 1,188 |  |  |  | (187,193 | )
Twilio, Inc., Class A |  |  | 47 |  |  |  | 08/21/20 |  |  | USD |  |  | 230.00 |  |  | USD |  |  | 1,031 |  |  |  | (72,263 | )
Visa, Inc., Class A |  |  | 76 |  |  |  | 08/21/20 |  |  | USD |  |  | 205.00 |  |  | USD |  |  | 1,468 |  |  |  | (25,764 | )
Yandex NV, Class A |  |  | 490 |  |  |  | 08/21/20 |  |  | USD |  |  | 46.00 |  |  | USD |  |  | 2,451 |  |  |  | (284,200 | )
Zendesk, Inc. |  |  | 116 |  |  |  | 08/21/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 1,027 |  |  |  | (69,600 | )
ZoomInfo Technologies, Inc., Class A |  |  | 423 |  |  |  | 08/21/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 2,159 |  |  |  | (126,900 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (17,164,176 | )

OTC Options Written

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Arco Platform Ltd., Class A |  | JPMorgan Chase Bank N.A. |  |  | 11,000 |  |  |  | 07/02/20 |  |  | USD |  |  | 62.02 |  |  | USD |  |  | 478 |  |  | $ | — |
Kakao Corp. |  | Morgan Stanley & Co. International PLC |  |  | 7,400 |  |  |  | 07/06/20 |  |  | USD |  |  | 231,000.00 |  |  | KRW |  |  | 1,979,500 |  |  |  | (225,618 | )
Accton Technology Corp. |  | Goldman Sachs International |  |  | 254,000 |  |  |  | 07/08/20 |  |  | USD |  |  | 222.60 |  |  | TWD |  |  | 57,912 |  |  |  | (89,319 | )
Altium Ltd. |  | UBS AG |  |  | 37,400 |  |  |  | 07/08/20 |  |  | AUD |  |  | 39.75 |  |  | AUD |  |  | 1,215 |  |  |  | (286 | )
Arco Platform Ltd., Class A |  | JPMorgan Chase Bank N.A. |  |  | 11,000 |  |  |  | 07/08/20 |  |  | USD |  |  | 59.45 |  |  | USD |  |  | 478 |  |  |  | (3 | )
Ping An Healthcare and Technology Co. Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 94,500 |  |  |  | 07/08/20 |  |  | HKD |  |  | 109.35 |  |  | HKD |  |  | 11,142 |  |  |  | (128,661 | )
Meituan Dianping, Class B |  | Societe Generale |  |  | 109,000 |  |  |  | 07/09/20 |  |  | HKD |  |  | 151.60 |  |  | HKD |  |  | 18,737 |  |  |  | (306,971 | )
ASML Holding NV |  | Goldman Sachs International |  |  | 7,700 |  |  |  | 07/14/20 |  |  | EUR |  |  | 301.93 |  |  | EUR |  |  | 2,517 |  |  |  | (238,530 | )
GMO Payment Gateway, Inc. |  | Citibank N.A. |  |  | 12,600 |  |  |  | 07/14/20 |  |  | JPY |  |  | 11,564.80 |  |  | JPY |  |  | 141,624 |  |  |  | (36,292 | )
Kingdee International Software Group Co. Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 368,000 |  |  |  | 07/14/20 |  |  | HKD |  |  | 13.99 |  |  | HKD |  |  | 6,631 |  |  |  | (197,128 | )
SOITEC |  | Morgan Stanley & Co. International PLC |  |  | 2,400 |  |  |  | 07/14/20 |  |  | EUR |  |  | 91.82 |  |  | EUR |  |  | 238 |  |  |  | (21,557 | )
STMicroelectronics NV |  | UBS AG |  |  | 30,600 |  |  |  | 07/14/20 |  |  | EUR |  |  | 23.20 |  |  | EUR |  |  | 741 |  |  |  | (53,655 | )
TeamViewer AG |  | Credit Suisse International |  |  | 29,600 |  |  |  | 07/14/20 |  |  | EUR |  |  | 46.30 |  |  | EUR |  |  | 1,439 |  |  |  | (103,561 | )
Tencent Music Entertainment Group — ADR. |  | JPMorgan Chase Bank N.A. |  |  | 73,100 |  |  |  | 07/14/20 |  |  | HKD |  |  | 441.00 |  |  | HKD |  |  | 36,448 |  |  |  | (525,467 | )
Xero Ltd. |  | Goldman Sachs International |  |  | 21,000 |  |  |  | 07/14/20 |  |  | AUD |  |  | 88.94 |  |  | AUD |  |  | 1,892 |  |  |  | (80,755 | )
Yageo Corp. |  | JPMorgan Chase Bank N.A. |  |  | 115,000 |  |  |  | 07/14/20 |  |  | USD |  |  | 394.80 |  |  | TWD |  |  | 43,815 |  |  |  | (51,433 | )
Arco Platform Ltd., Class A |  | JPMorgan Chase Bank N.A. |  |  | 5,200 |  |  |  | 07/15/20 |  |  | USD |  |  | 50.28 |  |  | USD |  |  | 226 |  |  |  | (1,657 | )
Renesas Electronics Corp. |  | JPMorgan Chase Bank N.A. |  |  | 209,700 |  |  |  | 07/15/20 |  |  | JPY |  |  | 633.42 |  |  | JPY |  |  | 115,545 |  |  |  | (1,007 | )
Altium Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 7,800 |  |  |  | 07/21/20 |  |  | AUD |  |  | 39.14 |  |  | AUD |  |  | 253 |  |  |  | (1,115 | )
Kingdee International Software Group Co. Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 577,000 |  |  |  | 07/21/20 |  |  | HKD |  |  | 15.39 |  |  | HKD |  |  | 10,398 |  |  |  | (213,351 | )
Ping An Healthcare and Technology Co. Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 82,700 |  |  |  | 07/21/20 |  |  | HKD |  |  | 115.84 |  |  | HKD |  |  | 9,750 |  |  |  | (88,457 | )
SOITEC |  | UBS AG |  |  | 6,000 |  |  |  | 07/21/20 |  |  | EUR |  |  | 98.81 |  |  | EUR |  |  | 595 |  |  |  | (22,768 | )
Yageo Corp. |  | Citibank N.A. |  |  | 43,000 |  |  |  | 07/21/20 |  |  | USD |  |  | 411.60 |  |  | TWD |  |  | 16,383 |  |  |  | (17,275 | )
Arco Platform Ltd., Class A |  | Bank of America N.A. |  |  | 4,500 |  |  |  | 07/22/20 |  |  | USD |  |  | 47.16 |  |  | USD |  |  | 196 |  |  |  | (5,431 | )
STMicroelectronics NV |  | Goldman Sachs International |  |  | 27,400 |  |  |  | 07/22/20 |  |  | EUR |  |  | 25.87 |  |  | EUR |  |  | 663 |  |  |  | (17,059 | )
TeamViewer AG |  | Credit Suisse International |  |  | 11,900 |  |  |  | 07/22/20 |  |  | EUR |  |  | 47.67 |  |  | EUR |  |  | 578 |  |  |  | (36,295 | )
Adyen NV |  | Credit Suisse International |  |  | 1,900 |  |  |  | 07/23/20 |  |  | EUR |  |  | 1,237.60 |  |  | EUR |  |  | 2,461 |  |  |  | (194,143 | )
Delivery Hero SE |  | Goldman Sachs International |  |  | 10,500 |  |  |  | 07/23/20 |  |  | EUR |  |  | 88.79 |  |  | EUR |  |  | 955 |  |  |  | (72,409 | )
Xero Ltd. |  | Goldman Sachs International |  |  | 19,000 |  |  |  | 07/23/20 |  |  | AUD |  |  | 88.40 |  |  | AUD |  |  | 1,712 |  |  |  | (92,117 | )
Meituan Dianping, Class B |  | Goldman Sachs International |  |  | 106,800 |  |  |  | 07/24/20 |  |  | HKD |  |  | 171.60 |  |  | HKD |  |  | 18,359 |  |  |  | (113,773 | )
Tencent Music Entertainment Group — ADR |  | Goldman Sachs International |  |  | 70,100 |  |  |  | 07/24/20 |  |  | HKD |  |  | 451.25 |  |  | HKD |  |  | 34,952 |  |  |  | (445,111 | )

SCHEDULES OF INVESTMENTS |  |  | 91 |

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust (BST)

OTC Options Written (continued)

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Kakao Corp. |  | Morgan Stanley & Co. International PLC |  |  | 2,000 |  |  |  | 07/29/20 |  |  | USD |  |  | 269,325.00 |  |  | KRW |  |  | 535,000 |  |  | $ | (23,593 | )
SOITEC |  | Credit Suisse International |  |  | 8,200 |  |  |  | 07/29/20 |  |  | EUR |  |  | 97.86 |  |  | EUR |  |  | 813 |  |  |  | (42,120 | )
SOITEC |  | Goldman Sachs International |  |  | 8,100 |  |  |  | 07/29/20 |  |  | EUR |  |  | 95.41 |  |  | EUR |  |  | 804 |  |  |  | (55,310 | )
Samsung SDI Co. Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 3,800 |  |  |  | 07/29/20 |  |  | USD |  |  | 402,332.36 |  |  | KRW |  |  | 1,381,300 |  |  |  | (53,862 | )
Arco Platform Ltd., Class A |  | Bank of America N.A. |  |  | 12,200 |  |  |  | 07/30/20 |  |  | USD |  |  | 46.46 |  |  | USD |  |  | 530 |  |  |  | (22,084 | )
ASML Holding NV |  | Morgan Stanley & Co. International PLC |  |  | 13,000 |  |  |  | 08/12/20 |  |  | EUR |  |  | 339.98 |  |  | EUR |  |  | 4,250 |  |  |  | (142,060 | )
Altium Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 45,500 |  |  |  | 08/12/20 |  |  | AUD |  |  | 34.91 |  |  | AUD |  |  | 1,478 |  |  |  | (51,298 | )
Delivery Hero SE |  | Goldman Sachs International |  |  | 25,400 |  |  |  | 08/12/20 |  |  | EUR |  |  | 102.33 |  |  | EUR |  |  | 2,310 |  |  |  | (68,152 | )
GMO Payment Gateway, Inc. |  | Societe Generale |  |  | 14,400 |  |  |  | 08/12/20 |  |  | JPY |  |  | 11,981.26 |  |  | JPY |  |  | 161,856 |  |  |  | (41,088 | )
Kingdee International Software Group Co. Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 624,000 |  |  |  | 08/12/20 |  |  | HKD |  |  | 18.92 |  |  | HKD |  |  | 11,224 |  |  |  | (47,880 | )
Renesas Electronics Corp. |  | Goldman Sachs International |  |  | 20,500 |  |  |  | 08/12/20 |  |  | JPY |  |  | 620.06 |  |  | JPY |  |  | 11,296 |  |  |  | (1,230 | )
SOITEC |  | Morgan Stanley & Co. International PLC |  |  | 2,400 |  |  |  | 08/12/20 |  |  | EUR |  |  | 99.45 |  |  | EUR |  |  | 238 |  |  |  | (12,009 | )
TeamViewer AG |  | Morgan Stanley & Co. International PLC |  |  | 25,000 |  |  |  | 08/12/20 |  |  | EUR |  |  | 51.46 |  |  | EUR |  |  | 1,215 |  |  |  | (49,376 | )
Arco Platform Ltd., Class A |  | JPMorgan Chase Bank N.A. |  |  | 10,200 |  |  |  | 08/13/20 |  |  | USD |  |  | 45.68 |  |  | USD |  |  | 443 |  |  |  | (27,477 | )
Arco Platform Ltd., Class A |  | Barclays Bank PLC |  |  | 6,400 |  |  |  | 08/26/20 |  |  | USD |  |  | 46.35 |  |  | USD |  |  | 278 |  |  |  | (9,315 | )
|  |  | $ | (4,028,058 | )

Balances Reported in the Statements of Assets and Liabilities for Options Written

|  | Swap Premium Paid |  |  | Swap Premium Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |  |  | Value |
Options Written |  |  | N/A |  |  |  | N/A |  |  | $ | 1,329,409 |  |  | $ | (10,104,344 | ) |  | $ | (21,192,234 | )

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written at value |  | $ | — |  |  | $ | — |  |  | $ | 21,192,234 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 21,192,234 |

For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | (49,807,751 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (49,807,751 | )
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | (5,868,846 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (5,868,846 | )

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Options: |  |  |  |
Average value of option contracts written |  | $ | 15,143,980 |

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

92 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust (BST)

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |  |  |  |  |  |  |  |
Options |  | $ | — |  |  | $ | 21,192,234 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (17,164,176 | )
Total derivative assets and liabilities subject to an MNA |  | $ | — |  |  | $ | 4,028,058 |

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral

pledged by the Trust:

Counterparty |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset |  |  | Non-cash Collateral Pledged |  |  | Cash Collateral Pledged (a) |  |  | Net Amount of Derivative Liabilities (b) |
Bank of America N.A. |  | $ | 27,515 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 27,515 |
Barclays Bank PLC |  |  | 9,315 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 9,315 |
Citibank N.A. |  |  | 53,567 |  |  |  | — |  |  |  | — |  |  |  | (53,567 | ) |  |  | — |
Credit Suisse International |  |  | 376,119 |  |  |  | — |  |  |  | — |  |  |  | (90,000 | ) |  |  | 286,119 |
Goldman Sachs International |  |  | 1,273,765 |  |  |  | — |  |  |  | — |  |  |  | (1,210,000 | ) |  |  | 63,765 |
JPMorgan Chase Bank N.A. |  |  | 1,034,575 |  |  |  | — |  |  |  | — |  |  |  | (930,000 | ) |  |  | 104,575 |
Morgan Stanley & Co. International PLC |  |  | 828,434 |  |  |  | — |  |  |  | — |  |  |  | (760,000 | ) |  |  | 68,434 |
Societe Generale |  |  | 348,059 |  |  |  | — |  |  |  | — |  |  |  | (348,059 | ) |  |  | — |
UBS AG |  |  | 76,709 |  |  |  | — |  |  |  | — |  |  |  | (70,000 | ) |  |  | 6,709 |
|  | $ | 4,028,058 |  |  | $ | — |  |  | $ | — |  |  | $ | (3,461,626 | ) |  | $ | 566,432 |

| (a) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

| (b) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statement of Assets and Liabilities. |

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Common Stocks: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Automobiles |  | $ | 6,559,846 |  |  | $ | — |  |  | $ | — |  |  | $ | 6,559,846 |
Banks |  |  | — |  |  |  | — |  |  |  | 5,943,346 |  |  |  | 5,943,346 |
Communications Equipment |  |  | — |  |  |  | 5,622,295 |  |  |  | — |  |  |  | 5,622,295 |
Diversified Consumer Services |  |  | 22,919,556 |  |  |  | — |  |  |  | — |  |  |  | 22,919,556 |
Diversified Financial Services |  |  | — |  |  |  | — |  |  |  | 2,980,893 |  |  |  | 2,980,893 |
Diversified Telecommunication Services |  |  | 7,869,936 |  |  |  | — |  |  |  | — |  |  |  | 7,869,936 |
Electronic Equipment, Instruments & Components |  |  | — |  |  |  | 9,222,110 |  |  |  | — |  |  |  | 9,222,110 |
Entertainment |  |  | 38,506,518 |  |  |  | — |  |  |  | — |  |  |  | 38,506,518 |
Health Care Technology |  |  | 9,927,497 |  |  |  | 7,666,962 |  |  |  | — |  |  |  | 17,594,459 |
Interactive Media & Services |  |  | 63,722,585 |  |  |  | 36,700,934 |  |  |  | — |  |  |  | 100,423,519 |
Internet & Direct Marketing Retail |  |  | 71,790,012 |  |  |  | 24,197,600 |  |  |  | 250,463 |  |  |  | 96,238,075 |
IT Services |  |  | 158,713,700 |  |  |  | 7,959,563 |  |  |  | 4,125,880 |  |  |  | 170,799,143 |
Semiconductors & Semiconductor Equipment |  |  | 82,673,710 |  |  |  | 36,158,470 |  |  |  | — |  |  |  | 118,832,180 |
Software |  |  | 211,114,730 |  |  |  | 23,527,305 |  |  |  | 5,580,517 |  |  |  | 240,222,552 |
Technology Hardware, Storage & Peripherals |  |  | 35,611,411 |  |  |  | — |  |  |  | — |  |  |  | 35,611,411 |
Preferred Stocks |  |  | — |  |  |  | — |  |  |  | 67,727,925 |  |  |  | 67,727,925 |
Warrants |  |  | — |  |  |  | — |  |  |  | 43,857 |  |  |  | 43,857 |
Subtotal |  | $ | 709,409,501 |  |  | $ | 151,055,239 |  |  | $ | 86,652,881 |  |  | $ | 947,117,621 |
Investments valued at NAV(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2,829,525 |
Total Investments |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 949,947,146 |
Derivative Financial Instruments(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Equity contracts |  | $ | (16,504,413 | ) |  | $ | (4,687,821 | ) |  | $ | — |  |  | $ | (21,192,234 | )

The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

| (a) | Certain investments of the Trust were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |

| (b) | Derivative financial instruments are options written. Options written are shown at value. |

SCHEDULES OF INVESTMENTS |  |  | 93 |

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust (BST)

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

|  | Common Stocks |  |  | Preferred Stocks |  |  | Warrants |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening Balance, as of December 31, 2019 |  | $ | 11,498,561 |  |  | $ | 47,488,016 |  |  | $ | 19,454 |  |  | $ | 59,006,031 |
Transfers into Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Accrued discounts/premiums |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Net realized gain (loss) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Net change in unrealized appreciation (depreciation)(a)(b) |  |  | 1,222,402 |  |  |  | 2,264,206 |  |  |  | 24,403 |  |  |  | 3,511,011 |
Purchases |  |  | 6,160,136 |  |  |  | 17,975,703 |  |  |  | — |  |  |  | 24,135,839 |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Closing Balance, as of June 30, 2020 |  | $ | 18,881,099 |  |  | $ | 67,727,925 |  |  | $ | 43,857 |  |  | $ | 86,652,881 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020(b) |  | $ | 1,222,402 |  |  | $ | 2,264,206 |  |  | $ | 24,403 |  |  | $ | 3,511,011 |

| (a) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |

| (b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of period end.

|  | Value |  |  | Valuation Approach |  |  | Unobservable Inputs |  |  | Range of unobservable Inputs Utilized (a) |  |  | Weighted Average of Unobservable Inputs Based on Fair Value |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Common Stocks |  | $ | 18,881,099 |  |  |  | Market |  |  |  | Revenue Multiple |  |  |  | 5.20x – 10.50x |  |  |  | 7.73x |
|  |  |  |  |  |  |  |  |  |  | Volatility |  |  |  | 46% |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | Time to Exit |  |  |  | 3.0 |  |  |  | — |
Preferred Stocks(b) |  |  | 67,727,925 |  |  |  | Market |  |  |  | Revenue Multiple |  |  |  | 2.75x – 20.75x |  |  |  | 8.38x |
|  |  |  |  |  |  |  |  |  |  | EBITDA |  |  |  | 19.00x |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | Volatility |  |  |  | 39% – 61% |  |  |  | 52 | %
|  |  |  |  |  |  |  |  |  |  | Time to Exit |  |  |  | 2.5 – 5.0 |  |  |  | 3.2 |
|  |  |  |  |  |  |  |  |  |  | Recent Transactions |  |  |  | — |  |  |  | — |
|  |  |  |  |  |  | Income |  |  |  | Discount Rate |  |  |  | 14% |  |  |  | — |
Warrants |  |  | 43,857 |  |  |  | Market |  |  |  | Revenue Multiple |  |  |  | 5.20x |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | Volatility |  |  |  | 46% |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | Time to Exit |  |  |  | 3.0 |  |  |  | — |
|  | $ | 86,652,881 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

| (a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |

| (b) | For the period end June 30, 2020, the valuation technique for investments classified as Preferred Stocks amounting to $22,513,663 changed Current Value. The investments were previously valued utilizing Transaction Price approach. The change was due to consideration of the information that was available at the time the investments were valued. |

See notes to financial statements.

94 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) June 30, 2020 |  | BlackRock Science and Technology Trust II (BSTZ) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Common Stocks — 92.1% |
Automobiles — 2.3% |
Tesla, Inc.(a)(b) |  |  | 42,973 |  |  | $ | 46,402,675 |
Banks — 1.2% |
Klarna Holdings AB, (Acquired 08/07/19, cost $16,335,486)(c)(d) |  |  | 70,539 |  |  |  | 24,473,888 |
Capital Markets — 0.7% |
XP, Inc., Class A(a) |  |  | 310,824 |  |  |  | 13,057,716 |
Diversified Consumer Services — 3.4% |
Afya Ltd., Class A(a) |  |  | 487,844 |  |  |  | 11,435,063 |
Arco Platform Ltd., Class A(a) |  |  | 371,388 |  |  |  | 16,147,950 |
Chegg, Inc.(a) |  |  | 326,477 |  |  |  | 21,958,843 |
TAL Education Group — ADR(a) |  |  | 264,259 |  |  |  | 18,070,031 |
|  |  |  | 67,611,887 |
Diversified Telecommunication Services — 0.8% |
Bandwidth, Inc., Class A(a) |  |  | 132,945 |  |  |  | 16,884,015 |
Electronic Equipment, Instruments & Components — 2.4% |
Samsung Electro-Mechanics Co. Ltd. |  |  | 115,071 |  |  |  | 12,484,063 |
Samsung SDI Co. Ltd. |  |  | 63,470 |  |  |  | 19,406,687 |
Yageo Corp. |  |  | 1,342,000 |  |  |  | 17,483,341 |
|  |  |  | 49,374,091 |
Entertainment — 4.2% |
Activision Blizzard, Inc. |  |  | 300,063 |  |  |  | 22,774,782 |
NetEase, Inc. — ADR(b) |  |  | 53,956 |  |  |  | 23,167,627 |
Roku, Inc.(a)(b) |  |  | 108,969 |  |  |  | 12,698,158 |
Tencent Music Entertainment Group, ADR(a) |  |  | 952,776 |  |  |  | 12,824,365 |
Warner Music Group Corp., Class A(a) |  |  | 426,466 |  |  |  | 12,580,747 |
|  |  |  | 84,045,679 |
Health Care Technology — 3.7% |
Livongo Health, Inc.(a) |  |  | 344,008 |  |  |  | 25,865,962 |
Ping An Healthcare and Technology Co. Ltd.(a)(e) |  |  | 1,748,300 |  |  |  | 26,804,119 |
Teladoc Health, Inc.(a) |  |  | 118,736 |  |  |  | 22,659,578 |
|  |  |  | 75,329,659 |
Interactive Media & Services — 5.4% |
Kakao Corp. |  |  | 159,682 |  |  |  | 35,833,031 |
Snap, Inc., Class A(a) |  |  | 1,236,254 |  |  |  | 29,039,606 |
Yandex NV, Class A(a) |  |  | 326,806 |  |  |  | 16,346,836 |
ZoomInfo Technologies, Inc., Class A(a)(f) |  |  | 553,685 |  |  |  | 28,254,546 |
|  |  |  | 109,474,019 |
Internet & Direct Marketing Retail — 6.8% |
Delivery Hero SE(a)(e) |  |  | 315,146 |  |  |  | 32,386,683 |
Farfetch Ltd., Class A(a) |  |  | 1,225,993 |  |  |  | 21,172,899 |
Meituan Dianping, Class B(a) |  |  | 1,364,700 |  |  |  | 30,496,073 |
MercadoLibre, Inc.(a)(b) |  |  | 28,105 |  |  |  | 27,705,066 |
Pinduoduo, Inc., ADR(a) |  |  | 198,074 |  |  |  | 17,002,672 |
Tongcheng-Elong Holdings Ltd.(a) |  |  | 5,149,600 |  |  |  | 9,351,235 |
|  |  |  | 138,114,628 |
IT Services — 18.4% |
Adyen NV(a)(e) |  |  | 16,903 |  |  |  | 24,602,210 |
Agora, Inc., ADR(a) |  |  | 240,744 |  |  |  | 10,633,663 |
Endava PLC, ADR(a) |  |  | 372,171 |  |  |  | 17,975,859 |
GDS Holdings Ltd. — ADR(a) |  |  | 203,767 |  |  |  | 16,232,079 |
GMO Payment Gateway, Inc. |  |  | 242,100 |  |  |  | 25,322,079 |
Grid Dynamics Holdings, Inc.(a) |  |  | 1,273,391 |  |  |  | 8,786,398 |
Locaweb Servicos de Internet SA(a)(e) |  |  | 3,766,151 |  |  |  | 29,918,119 |
MongoDB, Inc.(a) |  |  | 72,841 |  |  |  | 16,486,832 |
Okta, Inc.(a) |  |  | 127,495 |  |  |  | 25,528,324 |
Pagseguro Digital Ltd., Class A(a) |  |  | 293,140 |  |  |  | 10,359,568 |
Shift4 Payments, Inc., Class A(a) |  |  | 117,595 |  |  |  | 4,174,623 |
Shopify, Inc., Class A(a)(b) |  |  | 45,465 |  |  |  | 43,155,378 |

Security |  | Shares |  |  | Value |
IT Services (continued) |
Square, Inc., Class A(a) |  |  | 324,001 |  |  | $ | 34,000,665 |
StoneCo Ltd., Class A(a) |  |  | 421,740 |  |  |  | 16,346,642 |
TRAX Ltd., (Acquired 09/12/2019, cost $10,999,988)(c)(d) |  |  | 293,333 |  |  |  | 11,346,120 |
Twilio, Inc., Class A(a) |  |  | 191,341 |  |  |  | 41,984,042 |
Tyro Payments Ltd.(a) |  |  | 4,309,296 |  |  |  | 10,647,073 |
Wix.com Ltd.(a) |  |  | 92,888 |  |  |  | 23,799,763 |
|  |  |  | 371,299,437 |
Multiline Retail — 1.2% |
Magazine Luiza SA |  |  | 1,877,085 |  |  |  | 24,731,642 |
Professional Services — 0.6% |
CoStar Group, Inc.(a)(b) |  |  | 16,997 |  |  |  | 12,079,258 |
Semiconductors & Semiconductor Equipment — 15.6% |
ACM Research, Inc., Class A(a) |  |  | 278,696 |  |  |  | 17,379,483 |
Advanced Micro Devices, Inc.(a) |  |  | 501,680 |  |  |  | 26,393,385 |
BE Semiconductor Industries NV |  |  | 228,711 |  |  |  | 10,140,978 |
Cree, Inc.(a) |  |  | 325,259 |  |  |  | 19,252,080 |
Inphi Corp.(a) |  |  | 252,837 |  |  |  | 29,708,347 |
KLA Corp. |  |  | 58,122 |  |  |  | 11,303,567 |
Lasertec Corp. |  |  | 403,200 |  |  |  | 38,114,729 |
Lattice Semiconductor Corp.(a) |  |  | 515,803 |  |  |  | 14,643,647 |
Marvell Technology Group Ltd. |  |  | 830,514 |  |  |  | 29,117,821 |
Monolithic Power Systems, Inc.(b) |  |  | 90,194 |  |  |  | 21,375,978 |
Power Integrations, Inc. |  |  | 97,599 |  |  |  | 11,529,370 |
Qorvo, Inc.(a) |  |  | 168,429 |  |  |  | 18,616,457 |
Silergy Corp. |  |  | 400,000 |  |  |  | 26,203,313 |
SOITEC(a) |  |  | 168,756 |  |  |  | 18,798,929 |
STMicroelectronics NV |  |  | 783,328 |  |  |  | 21,352,162 |
|  |  |  | 313,930,246 |
Software — 25.4% |
Alteryx, Inc., Class A(a) |  |  | 101,298 |  |  |  | 16,641,236 |
Altium Ltd. |  |  | 792,994 |  |  |  | 17,967,096 |
Atlassian Corp. PLC, Class A(a) |  |  | 104,090 |  |  |  | 18,764,304 |
Avalara, Inc.(a) |  |  | 162,203 |  |  |  | 21,587,597 |
Cloudflare, Inc., Class A(a) |  |  | 280,165 |  |  |  | 10,071,932 |
Coupa Software, Inc.(a) |  |  | 79,961 |  |  |  | 22,152,396 |
Crowdstrike Holdings, Inc., Class A(a) |  |  | 172,745 |  |  |  | 17,324,596 |
Elastic NV(a) |  |  | 176,354 |  |  |  | 16,261,602 |
Fair Isaac Corp.(a)(b) |  |  | 35,032 |  |  |  | 14,644,777 |
Five9, Inc.(a) |  |  | 201,887 |  |  |  | 22,342,834 |
Freee KK(a) |  |  | 397,500 |  |  |  | 18,093,989 |
Kingdee International Software Group Co. Ltd.(a) |  |  | 12,211,000 |  |  |  | 28,572,299 |
Lightspeed POS, Inc.(a) |  |  | 667,851 |  |  |  | 15,953,453 |
Online Ventures Property Ltd., (Acquired 01/21/20, cost $20,875,811)(c)(d) |  |  | 181,785 |  |  |  | 18,911,566 |
Rakus Co. Ltd. |  |  | 462,000 |  |  |  | 8,165,845 |
RingCentral, Inc., Class A(a) |  |  | 109,318 |  |  |  | 31,156,723 |
Smartsheet, Inc., Class A(a) |  |  | 266,948 |  |  |  | 13,592,992 |
Splunk, Inc., Class A(a) |  |  | 100,520 |  |  |  | 19,973,324 |
SVMK, Inc.(a) |  |  | 670,157 |  |  |  | 15,775,496 |
Synopsys, Inc.(a) |  |  | 102,130 |  |  |  | 19,915,350 |
TeamViewer AG(a)(e) |  |  | 520,947 |  |  |  | 28,444,789 |
Trade Desk, Inc., Class A(a)(b) |  |  | 40,822 |  |  |  | 16,594,143 |
Weimob, Inc.(a)(e)(f) |  |  | 20,125,000 |  |  |  | 25,449,643 |
Xero Ltd.(a) |  |  | 246,720 |  |  |  | 15,497,743 |
Zendesk, Inc.(a) |  |  | 164,985 |  |  |  | 14,606,122 |
Zscaler, Inc.(a) |  |  | 270,289 |  |  |  | 29,596,646 |
Zynga, Inc., Class A(a) |  |  | 1,622,355 |  |  |  | 15,477,267 |
|  |  |  | 513,535,760 |
Total Common Stocks — 92.1% (Cost — $1,156,941,946) |  |  |  | 1,860,344,600 |

SCHEDULES OF INVESTMENTS |  | 95

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust II (BSTZ) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Preferred Stocks — 8.2% |
Diversified Financial Services — 1.0% |
Databricks, Inc., Series F, (Acquired 10/22/19, cost $13,200,019), 0.00%(c)(d) |  |  | 307,346 |  |  | $ | 20,361,672 |
Electronic Equipment, Instruments & Components — 1.0% |
Credo Technology Group Holding Ltd., Series D, (Acquired 03/20/20, cost $19,999,997), 0.00%(c)(d) |  |  | 4,005,527 |  |  |  | 19,987,580 |
Road & Rail — 0.5% |
FlixMobility GmbH, Series F (Acquired 07/26/19, $16,947,253), 0.00%(c)(d) |  |  | 850 |  |  |  | 9,615,086 |
Semiconductors & Semiconductor Equipment — 3.4% |
CNEX Labs, Inc. Series E, (Acquired 02/06/20 , $7,000,000), 0.00%(c)(d) |  |  | 3,296,755 |  |  |  | 6,989,120 |
Innovium, Inc., Series E (Acquired 08/21/19 , $8,999,992), 0.00%(c)(d) |  |  | 1,060,432 |  |  |  | 9,798,392 |
Innovium, Inc. Series F, (Acquired 06/10/20, cost $6,999,998), 0.00%(c)(d) |  |  | 690,812 |  |  |  | 7,205,169 |
Psiquantum Corp., Series C (Acquired 09/09/19 , $9,101,310), 0.00%(c)(d) |  |  | 1,962,335 |  |  |  | 9,007,118 |
SambaNova Systems, Inc., Series C, (Acquired 02/20/20 , cost $33,904,162), 0.00%(c)(d) |  |  | 636,800 |  |  |  | 35,558,912 |
|  |  |  | 68,558,711 |
Software — 2.3% |
C3 AI, Inc., Series H, (Acquired 08/14/19, cost $24,890,190), 0.00%(c)(d) |  |  | 4,940,000 |  |  |  | 26,231,400 |
GitLab, Inc., Series E (Acquired 09/10/19 , $11,670,984), 0.00%(c)(d) |  |  | 626,482 |  |  |  | 13,212,505 |
Unqork, Inc., Series B (Acquired 09/19/19 , $6,801,016), 0.00%(c)(d) |  |  | 14,942 |  |  |  | 7,114,335 |
|  |  |  | 46,558,240 |
Total Preferred Stocks — 8.2% (Cost — $159,514,920) |  |  |  | 165,081,289 |
Warrants — 0.0% |
IT Services — 0.0% |
TRAX Ltd., (Acquired 09/12/19, cost $0)(c)(d) |  |  | 46,928 |  |  |  | 120,605 |
Total Warrants — 0.0% (Cost — $ — ) |  |  |  | 120,605 |
Total Long-Term Investments — 100.3% (Cost — $1,316,456,866) |  |  |  | 2,025,546,494 |

Security |  | Shares |  |  | Value |
Short-Term Securities — 1.8% |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(g)(i) |  |  | 27,568,401 |  |  | $ | 27,568,401 |
SL Liquidity Series, LLC, Money Market Series, 0.50%(g)(h)(i) |  |  | 7,984,771 |  |  |  | 7,991,159 |
Total Short-Term Securities — 1.8% (Cost — $35,558,771) |  |  |  | 35,559,560 |
Total Investments Before Options Written — 102.1% (Cost — $1,352,015,637) |  |  |  | 2,061,106,054 |
Options Written — (2.0)% (Premiums Received — $21,546,954) |  |  |  | (39,725,393 | )
Total Investments, Net of Options Written — 100.1% (Cost — $1,330,468,683) |  |  |  | 2,021,380,661 |
Liabilities in Excess of Other Assets — (0.1)% |  |  |  | (1,998,862 | )
Net Assets — 100.0% |  |  | $ | 2,019,381,799 |

(a) | Non-income producing security.

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

(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(d) | Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $219,933,468 representing 10.9% of its net assets as of period end, and an original cost of $207,726,206.

(e) | 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.

(f) | Security, or a portion of the security, is on loan.

(g) | Annualized 7-day yield as of period end.

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

(i) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Shares Held at 12/31/19 |  |  | Shares Purchased |  |  | Shares Sold |  |  | Shares Held at 06/30/20 |  |  | Value at 06/30/20 |  |  | Income |  |  | Net Realized Gain (Loss) (a) |  |  | Change in Unrealized Appreciation (Depreciation) |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  |  | 96,230,373 |  |  |  | — |  |  |  | (68,661,972 | )(b) |  |  | 27,568,401 |  |  | $ | 27,568,401 |  |  | $ | 133,771 |  |  | $ | — |  |  | $ | — |
SL Liquidity Series, LLC, Money Market Series |  |  | 66,921,514 |  |  |  | — |  |  |  | (58,936,743 | )(b) |  |  | 7,984,771 |  |  |  | 7,991,159 |  |  |  | 273,735 | (c) |  |  | 13,942 |  |  |  | 789 |
|  |  | $ | 35,559,560 |  |  | $ | 407,506 |  |  | $ | 13,942 |  |  | $ | 789 |

| (a) | Includes net capital gain distributions, if applicable. |

| (b) | Represents net shares purchased (sold). |

| (c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |

96 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust II (BSTZ)

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 such industry sub-classifications for reporting ease.

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |
Activision Blizzard, Inc. |  |  | 161 |  |  |  | 07/02/20 |  |  | USD |  |  | 74.00 |  |  | USD |  |  | 1,222 |  |  | $ | (30,670 | )
RingCentral, Inc., Class A |  |  | 39 |  |  |  | 07/02/20 |  |  | USD |  |  | 257.50 |  |  | USD |  |  | 1,112 |  |  |  | (108,225 | )
Tesla, Inc. |  |  | 29 |  |  |  | 07/02/20 |  |  | USD |  |  | 890.00 |  |  | USD |  |  | 3,131 |  |  |  | (549,695 | )
Twilio, Inc., Class A |  |  | 111 |  |  |  | 07/02/20 |  |  | USD |  |  | 205.00 |  |  | USD |  |  | 2,436 |  |  |  | (160,950 | )
Activision Blizzard, Inc. |  |  | 67 |  |  |  | 07/10/20 |  |  | USD |  |  | 77.00 |  |  | USD |  |  | 509 |  |  |  | (7,169 | )
Advanced Micro Devices, Inc. |  |  | 177 |  |  |  | 07/10/20 |  |  | USD |  |  | 56.00 |  |  | USD |  |  | 931 |  |  |  | (9,558 | )
Atlassian Corp. PLC, Class A |  |  | 108 |  |  |  | 07/10/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 1,947 |  |  |  | (9,450 | )
Cree, Inc. |  |  | 246 |  |  |  | 07/10/20 |  |  | USD |  |  | 61.00 |  |  | USD |  |  | 1,456 |  |  |  | (24,969 | )
Crowdstrike Holdings, Inc., Class A |  |  | 147 |  |  |  | 07/10/20 |  |  | USD |  |  | 106.00 |  |  | USD |  |  | 1,474 |  |  |  | (24,255 | )
Okta, Inc. |  |  | 178 |  |  |  | 07/10/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 3,564 |  |  |  | (226,060 | )
RingCentral, Inc., Class A |  |  | 50 |  |  |  | 07/10/20 |  |  | USD |  |  | 277.50 |  |  | USD |  |  | 1,425 |  |  |  | (74,000 | )
Shopify, Inc., Class A |  |  | 76 |  |  |  | 07/10/20 |  |  | USD |  |  | 735.00 |  |  | USD |  |  | 7,214 |  |  |  | (1,629,060 | )
Snap, Inc., Class A |  |  | 453 |  |  |  | 07/10/20 |  |  | USD |  |  | 21.00 |  |  | USD |  |  | 1,064 |  |  |  | (116,874 | )
Square, Inc., Class A |  |  | 268 |  |  |  | 07/10/20 |  |  | USD |  |  | 86.00 |  |  | USD |  |  | 2,812 |  |  |  | (517,910 | )
Tesla, Inc. |  |  | 29 |  |  |  | 07/10/20 |  |  | USD |  |  | 900.00 |  |  | USD |  |  | 3,131 |  |  |  | (528,815 | )
Trade Desk, Inc., Class A |  |  | 55 |  |  |  | 07/10/20 |  |  | USD |  |  | 360.00 |  |  | USD |  |  | 2,236 |  |  |  | (267,025 | )
Twilio, Inc., Class A |  |  | 112 |  |  |  | 07/10/20 |  |  | USD |  |  | 202.50 |  |  | USD |  |  | 2,458 |  |  |  | (206,360 | )
Zscaler, Inc. |  |  | 164 |  |  |  | 07/10/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 1,796 |  |  |  | (104,140 | )
Zynga, Inc., Class A |  |  | 1,233 |  |  |  | 07/10/20 |  |  | USD |  |  | 10.50 |  |  | USD |  |  | 1,176 |  |  |  | (5,548 | )
ACM Research, Inc., Class A |  |  | 641 |  |  |  | 07/17/20 |  |  | USD |  |  | 75.00 |  |  | USD |  |  | 3,997 |  |  |  | (46,473 | )
Activision Blizzard, Inc. |  |  | 160 |  |  |  | 07/17/20 |  |  | USD |  |  | 75.00 |  |  | USD |  |  | 1,214 |  |  |  | (42,560 | )
Advanced Micro Devices, Inc. |  |  | 312 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,641 |  |  |  | (13,104 | )
Afya Ltd., Class A |  |  | 688 |  |  |  | 07/17/20 |  |  | USD |  |  | 22.50 |  |  | USD |  |  | 1,613 |  |  |  | (116,960 | )
Afya Ltd., Class A |  |  | 221 |  |  |  | 07/17/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 518 |  |  |  | (11,050 | )
Alteryx, Inc., Class A |  |  | 232 |  |  |  | 07/17/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 3,811 |  |  |  | (28,420 | )
Avalara, Inc. |  |  | 169 |  |  |  | 07/17/20 |  |  | USD |  |  | 103.00 |  |  | USD |  |  | 2,249 |  |  |  | (511,449 | )
Bandwidth, Inc., Class A |  |  | 153 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.50 |  |  | USD |  |  | 1,943 |  |  |  | (210,098 | )
Chegg, Inc. |  |  | 375 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 2,522 |  |  |  | (166,875 | )
Cloudflare, Inc., Class A |  |  | 644 |  |  |  | 07/17/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 2,315 |  |  |  | (49,910 | )
CoStar Group, Inc. |  |  | 50 |  |  |  | 07/17/20 |  |  | USD |  |  | 720.00 |  |  | USD |  |  | 3,553 |  |  |  | (77,250 | )
Coupa Software, Inc. |  |  | 111 |  |  |  | 07/17/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 3,075 |  |  |  | (749,805 | )
Cree, Inc. |  |  | 200 |  |  |  | 07/17/20 |  |  | USD |  |  | 57.50 |  |  | USD |  |  | 1,184 |  |  |  | (67,500 | )
Elastic NV |  |  | 138 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,272 |  |  |  | (450,570 | )
Fair Isaac Corp. |  |  | 40 |  |  |  | 07/17/20 |  |  | USD |  |  | 360.00 |  |  | USD |  |  | 1,672 |  |  |  | (239,200 | )
Farfetch Ltd., Class A |  |  | 760 |  |  |  | 07/17/20 |  |  | USD |  |  | 18.00 |  |  | USD |  |  | 1,313 |  |  |  | (62,700 | )
Five9, Inc. |  |  | 232 |  |  |  | 07/17/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 2,568 |  |  |  | (171,680 | )
Inphi Corp. |  |  | 333 |  |  |  | 07/17/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 3,913 |  |  |  | (223,110 | )
KLA Corp. |  |  | 72 |  |  |  | 07/17/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 1,400 |  |  |  | (68,400 | )
Lattice Semiconductor Corp. |  |  | 633 |  |  |  | 07/17/20 |  |  | USD |  |  | 30.00 |  |  | USD |  |  | 1,797 |  |  |  | (33,232 | )
Lattice Semiconductor Corp. |  |  | 553 |  |  |  | 07/17/20 |  |  | USD |  |  | 25.25 |  |  | USD |  |  | 1,570 |  |  |  | (193,878 | )
Lightspeed POS, Inc. |  |  | 1,540 |  |  |  | 07/17/20 |  |  | CAD |  |  | 36.00 |  |  | CAD |  |  | 4,994 |  |  |  | (27,225 | )
Livongo Health, Inc. |  |  | 391 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 2,940 |  |  |  | (441,830 | )
Livongo Health, Inc. |  |  | 9 |  |  |  | 07/17/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 68 |  |  |  | (6,480 | )
Marvell Technology Group Ltd. |  |  | 62 |  |  |  | 07/17/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 217 |  |  |  | (5,673 | )
MongoDB, Inc. |  |  | 61 |  |  |  | 07/17/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 1,381 |  |  |  | (125,965 | )
Monolithic Power Systems, Inc. |  |  | 145 |  |  |  | 07/17/20 |  |  | USD |  |  | 230.00 |  |  | USD |  |  | 3,437 |  |  |  | (176,175 | )
NetEase, Inc. — ADR |  |  | 56 |  |  |  | 07/17/20 |  |  | USD |  |  | 420.00 |  |  | USD |  |  | 2,405 |  |  |  | (120,680 | )
Pagseguro Digital Ltd., Class A |  |  | 293 |  |  |  | 07/17/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 1,035 |  |  |  | (25,637 | )
Pinduoduo, Inc., ADR |  |  | 227 |  |  |  | 07/17/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 1,949 |  |  |  | (119,175 | )
Power Integrations, Inc. |  |  | 224 |  |  |  | 07/17/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 2,646 |  |  |  | (53,200 | )
Qorvo, Inc. |  |  | 223 |  |  |  | 07/17/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 2,465 |  |  |  | (258,680 | )
RingCentral, Inc., Class A |  |  | 68 |  |  |  | 07/17/20 |  |  | USD |  |  | 260.00 |  |  | USD |  |  | 1,938 |  |  |  | (207,400 | )
Roku, Inc. |  |  | 203 |  |  |  | 07/17/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 2,366 |  |  |  | (210,613 | )
Shift4 Payments, Inc., Class A |  |  | 270 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 959 |  |  |  | (6,075 | )
Shopify, Inc., Class A |  |  | 69 |  |  |  | 07/17/20 |  |  | USD |  |  | 775.00 |  |  | USD |  |  | 6,549 |  |  |  | (1,227,855 | )

SCHEDULES OF INVESTMENTS |  | 97

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust II (BSTZ)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Smartsheet, Inc., Class A |  |  | 306 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,558 |  |  | $ | (29,835 | )
Snap, Inc., Class A |  |  | 982 |  |  |  | 07/17/20 |  |  | USD |  |  | 18.00 |  |  | USD |  |  | 2,307 |  |  |  | (545,010 | )
Splunk, Inc., Class A |  |  | 102 |  |  |  | 07/17/20 |  |  | USD |  |  | 190.00 |  |  | USD |  |  | 2,027 |  |  |  | (124,950 | )
Square, Inc., Class A |  |  | 280 |  |  |  | 07/17/20 |  |  | USD |  |  | 82.50 |  |  | USD |  |  | 2,938 |  |  |  | (647,500 | )
SVMK, Inc. |  |  | 1,080 |  |  |  | 07/17/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 2,542 |  |  |  | (383,400 | )
Synopsys, Inc. |  |  | 234 |  |  |  | 07/17/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 4,563 |  |  |  | (139,230 | )
TAL Education Group — ADR |  |  | 304 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 2,079 |  |  |  | (269,040 | )
Teladoc Health, Inc. |  |  | 282 |  |  |  | 07/17/20 |  |  | USD |  |  | 180.00 |  |  | USD |  |  | 5,382 |  |  |  | (446,970 | )
Tencent Music Entertainment Group — ADR |  |  | 1,096 |  |  |  | 07/17/20 |  |  | USD |  |  | 14.00 |  |  | USD |  |  | 1,475 |  |  |  | (30,140 | )
Tesla, Inc. |  |  | 44 |  |  |  | 07/17/20 |  |  | USD |  |  | 815.00 |  |  | USD |  |  | 4,751 |  |  |  | (1,173,040 | )
Tesla, Inc. |  |  | 39 |  |  |  | 07/17/20 |  |  | USD |  |  | 1,030.00 |  |  | USD |  |  | 4,211 |  |  |  | (331,208 | )
Twilio, Inc., Class A |  |  | 18 |  |  |  | 07/17/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 395 |  |  |  | (40,050 | )
Warner Music Group Corp., Class A |  |  | 490 |  |  |  | 07/17/20 |  |  | USD |  |  | 35.00 |  |  | USD |  |  | 1,446 |  |  |  | (6,125 | )
Warner Music Group Corp., Class A |  |  | 490 |  |  |  | 07/17/20 |  |  | USD |  |  | 40.00 |  |  | USD |  |  | 1,446 |  |  |  | (2,450 | )
Wix.com Ltd. |  |  | 213 |  |  |  | 07/17/20 |  |  | USD |  |  | 220.00 |  |  | USD |  |  | 5,457 |  |  |  | (817,920 | )
XP, Inc., Class A |  |  | 357 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 1,500 |  |  |  | (14,280 | )
Yandex NV, Class A |  |  | 365 |  |  |  | 07/17/20 |  |  | USD |  |  | 44.00 |  |  | USD |  |  | 1,826 |  |  |  | (239,075 | )
Zendesk, Inc. |  |  | 178 |  |  |  | 07/17/20 |  |  | USD |  |  | 82.50 |  |  | USD |  |  | 1,576 |  |  |  | (131,720 | )
ZoomInfo Technologies, Inc., Class A |  |  | 637 |  |  |  | 07/17/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 3,251 |  |  |  | (3,185 | )
Zscaler, Inc. |  |  | 341 |  |  |  | 07/17/20 |  |  | USD |  |  | 77.50 |  |  | USD |  |  | 3,734 |  |  |  | (1,087,790 | )
Zynga, Inc., Class A |  |  | 1,233 |  |  |  | 07/17/20 |  |  | USD |  |  | 11.00 |  |  | USD |  |  | 1,176 |  |  |  | (4,315 | )
Activision Blizzard, Inc. |  |  | 151 |  |  |  | 07/24/20 |  |  | USD |  |  | 77.00 |  |  | USD |  |  | 1,146 |  |  |  | (32,389 | )
Advanced Micro Devices, Inc. |  |  | 146 |  |  |  | 07/24/20 |  |  | USD |  |  | 58.00 |  |  | USD |  |  | 768 |  |  |  | (10,950 | )
Advanced Micro Devices, Inc. |  |  | 93 |  |  |  | 07/24/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 489 |  |  |  | (5,347 | )
Cree, Inc. |  |  | 302 |  |  |  | 07/24/20 |  |  | USD |  |  | 59.00 |  |  | USD |  |  | 1,788 |  |  |  | (92,412 | )
Marvell Technology Group Ltd. |  |  | 707 |  |  |  | 07/24/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 2,479 |  |  |  | (79,538 | )
Marvell Technology Group Ltd. |  |  | 92 |  |  |  | 07/24/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 323 |  |  |  | (4,738 | )
MercadoLibre, Inc. |  |  | 35 |  |  |  | 07/24/20 |  |  | USD |  |  | 960.00 |  |  | USD |  |  | 3,450 |  |  |  | (197,750 | )
MongoDB, Inc. |  |  | 112 |  |  |  | 07/24/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 2,535 |  |  |  | (249,200 | )
NetEase, Inc. — ADR |  |  | 68 |  |  |  | 07/24/20 |  |  | USD |  |  | 437.50 |  |  | USD |  |  | 2,920 |  |  |  | (87,720 | )
Pinduoduo, Inc., ADR |  |  | 114 |  |  |  | 07/24/20 |  |  | USD |  |  | 85.00 |  |  | USD |  |  | 979 |  |  |  | (66,690 | )
RingCentral, Inc., Class A |  |  | 94 |  |  |  | 07/24/20 |  |  | USD |  |  | 305.00 |  |  | USD |  |  | 2,679 |  |  |  | (91,180 | )
Roku, Inc. |  |  | 162 |  |  |  | 07/24/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 1,888 |  |  |  | (104,490 | )
Roku, Inc. |  |  | 51 |  |  |  | 07/24/20 |  |  | USD |  |  | 135.00 |  |  | USD |  |  | 594 |  |  |  | (12,852 | )
Shopify, Inc., Class A |  |  | 67 |  |  |  | 07/24/20 |  |  | USD |  |  | 820.00 |  |  | USD |  |  | 6,360 |  |  |  | (955,420 | )
SVMK, Inc. |  |  | 460 |  |  |  | 07/24/20 |  |  | USD |  |  | 22.50 |  |  | USD |  |  | 1,083 |  |  |  | (83,860 | )
Snap, Inc., Class A |  |  | 955 |  |  |  | 07/24/20 |  |  | USD |  |  | 24.00 |  |  | USD |  |  | 2,243 |  |  |  | (127,970 | )
Splunk, Inc., Class A |  |  | 33 |  |  |  | 07/24/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 656 |  |  |  | (54,285 | )
Teladoc Health, Inc. |  |  | 154 |  |  |  | 07/24/20 |  |  | USD |  |  | 175.00 |  |  | USD |  |  | 2,939 |  |  |  | (324,170 | )
Trade Desk, Inc., Class A |  |  | 27 |  |  |  | 07/24/20 |  |  | USD |  |  | 370.00 |  |  | USD |  |  | 1,098 |  |  |  | (124,335 | )
Activision Blizzard, Inc. |  |  | 151 |  |  |  | 07/31/20 |  |  | USD |  |  | 79.00 |  |  | USD |  |  | 1,146 |  |  |  | (26,047 | )
Advanced Micro Devices, Inc. |  |  | 215 |  |  |  | 07/31/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,131 |  |  |  | (53,213 | )
Coupa Software, Inc. |  |  | 72 |  |  |  | 07/31/20 |  |  | USD |  |  | 225.00 |  |  | USD |  |  | 1,995 |  |  |  | (392,400 | )
Crowdstrike Holdings, Inc., Class A |  |  | 147 |  |  |  | 07/31/20 |  |  | USD |  |  | 101.00 |  |  | USD |  |  | 1,474 |  |  |  | (97,755 | )
KLA Corp. |  |  | 61 |  |  |  | 07/31/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 1,186 |  |  |  | (58,865 | )
Marvell Technology Group Ltd. |  |  | 518 |  |  |  | 07/31/20 |  |  | USD |  |  | 37.50 |  |  | USD |  |  | 1,816 |  |  |  | (41,699 | )
MongoDB, Inc. |  |  | 116 |  |  |  | 07/31/20 |  |  | USD |  |  | 222.50 |  |  | USD |  |  | 2,626 |  |  |  | (186,760 | )
Pinduoduo, Inc., ADR |  |  | 114 |  |  |  | 07/31/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 979 |  |  |  | (32,490 | )
Roku, Inc. |  |  | 183 |  |  |  | 07/31/20 |  |  | USD |  |  | 145.00 |  |  | USD |  |  | 2,132 |  |  |  | (33,581 | )
Snap, Inc., Class A |  |  | 90 |  |  |  | 07/31/20 |  |  | USD |  |  | 26.50 |  |  | USD |  |  | 211 |  |  |  | (7,155 | )
Splunk, Inc., Class A |  |  | 96 |  |  |  | 07/31/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 1,908 |  |  |  | (174,720 | )
Square, Inc., Class A |  |  | 197 |  |  |  | 07/31/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 2,067 |  |  |  | (56,145 | )
StoneCo Ltd., Class A |  |  | 421 |  |  |  | 07/31/20 |  |  | USD |  |  | 38.50 |  |  | USD |  |  | 1,632 |  |  |  | (122,090 | )
Teladoc Health, Inc. |  |  | 300 |  |  |  | 07/31/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 5,725 |  |  |  | (349,500 | )
Tesla, Inc. |  |  | 56 |  |  |  | 07/31/20 |  |  | USD |  |  | 1,000.00 |  |  | USD |  |  | 6,047 |  |  |  | (789,880 | )
Trade Desk, Inc., Class A |  |  | 12 |  |  |  | 07/31/20 |  |  | USD |  |  | 395.00 |  |  | USD |  |  | 488 |  |  |  | (40,800 | )
Twilio, Inc., Class A |  |  | 99 |  |  |  | 07/31/20 |  |  | USD |  |  | 220.00 |  |  | USD |  |  | 2,172 |  |  |  | (147,510 | )
Yandex NV, Class A |  |  | 376 |  |  |  | 07/31/20 |  |  | USD |  |  | 51.00 |  |  | USD |  |  | 1,881 |  |  |  | (87,420 | )
Zscaler, Inc. |  |  | 116 |  |  |  | 07/31/20 |  |  | USD |  |  | 106.00 |  |  | USD |  |  | 1,270 |  |  |  | (102,080 | )
Advanced Micro Devices, Inc. |  |  | 210 |  |  |  | 08/21/20 |  |  | USD |  |  | 57.50 |  |  | USD |  |  | 1,105 |  |  |  | (51,450 | )
Afya Ltd., Class A |  |  | 213 |  |  |  | 08/21/20 |  |  | USD |  |  | 25.00 |  |  | USD |  |  | 499 |  |  |  | (28,222 | )
Atlassian Corp. PLC, Class A |  |  | 131 |  |  |  | 08/21/20 |  |  | USD |  |  | 195.00 |  |  | USD |  |  | 2,362 |  |  |  | (97,595 | )

98 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust II (BSTZ)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Avalara, Inc. |  |  | 206 |  |  |  | 08/21/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 2,742 |  |  | $ | (545,900 | )
Bandwidth, Inc., Class A |  |  | 152 |  |  |  | 08/21/20 |  |  | USD |  |  | 130.00 |  |  | USD |  |  | 1,930 |  |  |  | (148,200 | )
Chegg, Inc. |  |  | 375 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 2,522 |  |  |  | (217,500 | )
Crowdstrike Holdings, Inc., Class A |  |  | 103 |  |  |  | 08/21/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 1,033 |  |  |  | (26,780 | )
Elastic NV |  |  | 267 |  |  |  | 08/21/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 2,462 |  |  |  | (116,145 | )
Fair Isaac Corp. |  |  | 40 |  |  |  | 08/21/20 |  |  | USD |  |  | 429.00 |  |  | USD |  |  | 1,672 |  |  |  | (87,589 | )
Farfetch Ltd., Class A |  |  | 1,032 |  |  |  | 08/21/20 |  |  | USD |  |  | 16.00 |  |  | USD |  |  | 1,782 |  |  |  | (288,960 | )
Five9, Inc. |  |  | 232 |  |  |  | 08/21/20 |  |  | USD |  |  | 110.00 |  |  | USD |  |  | 2,568 |  |  |  | (240,120 | )
GDS Holdings Ltd. — ADR |  |  | 468 |  |  |  | 08/21/20 |  |  | USD |  |  | 75.00 |  |  | USD |  |  | 3,728 |  |  |  | (404,820 | )
Inphi Corp. |  |  | 251 |  |  |  | 08/21/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 2,949 |  |  |  | (298,690 | )
Livongo Health, Inc. |  |  | 391 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 2,940 |  |  |  | (435,965 | )
Marvell Technology Group Ltd. |  |  | 531 |  |  |  | 08/21/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 1,862 |  |  |  | (95,049 | )
MercadoLibre, Inc. |  |  | 29 |  |  |  | 08/21/20 |  |  | USD |  |  | 990.00 |  |  | USD |  |  | 2,859 |  |  |  | (231,420 | )
MongoDB, Inc. |  |  | 112 |  |  |  | 08/21/20 |  |  | USD |  |  | 210.00 |  |  | USD |  |  | 2,535 |  |  |  | (308,560 | )
Monolithic Power Systems, Inc. |  |  | 62 |  |  |  | 08/21/20 |  |  | USD |  |  | 230.00 |  |  | USD |  |  | 1,469 |  |  |  | (127,100 | )
Okta, Inc. |  |  | 115 |  |  |  | 08/21/20 |  |  | USD |  |  | 185.00 |  |  | USD |  |  | 2,303 |  |  |  | (261,050 | )
Qorvo, Inc. |  |  | 112 |  |  |  | 08/21/20 |  |  | USD |  |  | 115.00 |  |  | USD |  |  | 1,238 |  |  |  | (64,400 | )
Qorvo, Inc. |  |  | 52 |  |  |  | 08/21/20 |  |  | USD |  |  | 120.00 |  |  | USD |  |  | 575 |  |  |  | (19,500 | )
Shopify, Inc., Class A |  |  | 38 |  |  |  | 08/21/20 |  |  | USD |  |  | 915.00 |  |  | USD |  |  | 3,607 |  |  |  | (413,060 | )
Smartsheet, Inc., Class A |  |  | 306 |  |  |  | 08/21/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,558 |  |  |  | (74,205 | )
Snap, Inc., Class A |  |  | 363 |  |  |  | 08/21/20 |  |  | USD |  |  | 24.00 |  |  | USD |  |  | 853 |  |  |  | (70,241 | )
TAL Education Group — ADR |  |  | 303 |  |  |  | 08/21/20 |  |  | USD |  |  | 70.00 |  |  | USD |  |  | 2,072 |  |  |  | (128,775 | )
Teladoc Health, Inc. |  |  | 154 |  |  |  | 08/21/20 |  |  | USD |  |  | 200.00 |  |  | USD |  |  | 2,939 |  |  |  | (223,300 | )
Tencent Music Entertainment Group — ADR |  |  | 1,095 |  |  |  | 08/21/20 |  |  | USD |  |  | 14.00 |  |  | USD |  |  | 1,474 |  |  |  | (76,650 | )
Tesla, Inc. |  |  | 39 |  |  |  | 08/21/20 |  |  | USD |  |  | 980.00 |  |  | USD |  |  | 4,211 |  |  |  | (663,683 | )
Twilio, Inc., Class A |  |  | 100 |  |  |  | 08/21/20 |  |  | USD |  |  | 230.00 |  |  | USD |  |  | 2,194 |  |  |  | (153,750 | )
XP, Inc., Class A |  |  | 357 |  |  |  | 08/21/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 1,500 |  |  |  | (71,400 | )
Yandex NV, Class A |  |  | 10 |  |  |  | 08/21/20 |  |  | USD |  |  | 46.00 |  |  | USD |  |  | 50 |  |  |  | (5,800 | )
Zendesk, Inc. |  |  | 201 |  |  |  | 08/21/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 1,779 |  |  |  | (120,600 | )
ZoomInfo Technologies, Inc., Class A |  |  | 637 |  |  |  | 08/21/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 3,251 |  |  |  | (191,100 | )
Zynga, Inc., Class A |  |  | 1,265 |  |  |  | 08/21/20 |  |  | USD |  |  | 10.00 |  |  | USD |  |  | 1,207 |  |  |  | (66,413 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (29,474,251 | )

OTC Options Written

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |
Samsung SDI Ltd |  | UBS AG |  |  | 11,000 |  |  |  | 07/01/20 |  |  | KRW |  |  | 307,007.81 |  |  | KRW |  |  | 4,045,638 |  |  | $ | (518,019 | )
Arco Platform Ltd., Class A |  | JPMorgan Chase Bank N.A. |  |  | 5,200 |  |  |  | 07/02/20 |  |  | USD |  |  | 62.02 |  |  | USD |  |  | 226 |  |  |  | — |
Kakao Corp. |  | Morgan Stanley & Co. International PLC |  |  | 11,400 |  |  |  | 07/06/20 |  |  | KRW |  |  | 231,000.00 |  |  | KRW |  |  | 3,077,116 |  |  |  | (347,574 | )
Weimob, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 788,000 |  |  |  | 07/07/20 |  |  | HKD |  |  | 6.03 |  |  | HKD |  |  | 7,722 |  |  |  | (383,721 | )
Adyen NV |  | Morgan Stanley & Co. International PLC |  |  | 1,200 |  |  |  | 07/08/20 |  |  | EUR |  |  | 1,193.05 |  |  | EUR |  |  | 1,555 |  |  |  | (144,122 | )
Altium Ltd. |  | UBS AG |  |  | 95,000 |  |  |  | 07/08/20 |  |  | AUD |  |  | 39.75 |  |  | AUD |  |  | 3,119 |  |  |  | (726 | )
Arco Platform Ltd., Class A |  | JPMorgan Chase Bank N.A. |  |  | 12,500 |  |  |  | 07/08/20 |  |  | USD |  |  | 59.45 |  |  | USD |  |  | 544 |  |  |  | (3 | )
Endava PLC, ADR |  | Bank of America N.A. |  |  | 4,700 |  |  |  | 07/08/20 |  |  | USD |  |  | 49.25 |  |  | USD |  |  | 227 |  |  |  | (6,453 | )
Freee KK |  | JPMorgan Chase Bank N.A. |  |  | 46,600 |  |  |  | 07/08/20 |  |  | JPY |  |  | 5,012.95 |  |  | JPY |  |  | 229,037 |  |  |  | (79,398 | )
Lasertec Corp. |  | JPMorgan Chase Bank N.A. |  |  | 31,100 |  |  |  | 07/08/20 |  |  | JPY |  |  | 9,704.90 |  |  | JPY |  |  | 317,436 |  |  |  | (192,973 | )
Ping An Healthcare and Technology Co. Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 166,100 |  |  |  | 07/08/20 |  |  | HKD |  |  | 109.35 |  |  | HKD |  |  | 19,738 |  |  |  | (226,144 | )
Meituan Dianping, Class B |  | Societe Generale |  |  | 101,100 |  |  |  | 07/09/20 |  |  | HKD |  |  | 151.60 |  |  | HKD |  |  | 17,511 |  |  |  | (284,723 | )
Delivery Hero SE |  | Morgan Stanley & Co. International PLC |  |  | 50,800 |  |  |  | 07/14/20 |  |  | EUR |  |  | 88.54 |  |  | EUR |  |  | 4,647 |  |  |  | (301,364 | )
GMO Payment Gateway, Inc. |  | Citibank N.A. |  |  | 23,200 |  |  |  | 07/14/20 |  |  | JPY |  |  | 11,564.80 |  |  | JPY |  |  | 262,009 |  |  |  | (66,823 | )
GMO Payment Gateway, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 7,600 |  |  |  | 07/14/20 |  |  | JPY |  |  | 12,442.50 |  |  | JPY |  |  | 85,830 |  |  |  | (6,560 | )
Kingdee International Software Group Co. Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 1,244,000 |  |  |  | 07/14/20 |  |  | HKD |  |  | 13.99 |  |  | HKD |  |  | 22,566 |  |  |  | (666,379 | )
Locaweb Servicos de Internet SA |  | Credit Suisse International |  |  | 376,600 |  |  |  | 07/14/20 |  |  | BRL |  |  | 28.88 |  |  | BRL |  |  | 16,269 |  |  |  | (995,486 | )
Magazine Luiza SA |  | Morgan Stanley & Co. International PLC |  |  | 271,700 |  |  |  | 07/14/20 |  |  | BRL |  |  | 65.46 |  |  | BRL |  |  | 19,467 |  |  |  | (332,925 | )
Magazine Luiza SA |  | Morgan Stanley & Co. International PLC |  |  | 160,000 |  |  |  | 07/14/20 |  |  | BRL |  |  | 65.50 |  |  | BRL |  |  | 11,464 |  |  |  | (195,046 | )
Samsung Electro-Mechanics Co. Ltd. |  | UBS AG |  |  | 12,200 |  |  |  | 07/14/20 |  |  | KRW |  |  | 127,050.00 |  |  | KRW |  |  | 1,592,067 |  |  |  | (71,359 | )
Silergy Corp. |  | Goldman Sachs International |  |  | 12,000 |  |  |  | 07/14/20 |  |  | TWD |  |  | 1,580.25 |  |  | TWD |  |  | 23,193 |  |  |  | (142,652 | )
Silergy Corp. |  | Morgan Stanley & Co. International PLC |  |  | 80,000 |  |  |  | 07/14/20 |  |  | TWD |  |  | 1,774.50 |  |  | TWD |  |  | 154,623 |  |  |  | (526,914 | )
SOITEC |  | Morgan Stanley & Co. International PLC |  |  | 14,600 |  |  |  | 07/14/20 |  |  | EUR |  |  | 91.82 |  |  | EUR |  |  | 1,448 |  |  |  | (131,136 | )

SCHEDULES OF INVESTMENTS |  | 99

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust II (BSTZ)

OTC Options Written (continued)

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
STMicroelectronics NV |  | UBS AG |  |  | 39,400 |  |  |  | 07/14/20 |  |  | EUR |  |  | 23.20 |  |  | EUR |  |  | 956 |  |  | $ | (69,086 | )
TeamViewer AG |  | Credit Suisse International |  |  | 53,800 |  |  |  | 07/14/20 |  |  | EUR |  |  | 46.30 |  |  | EUR |  |  | 2,615 |  |  |  | (188,229 | )
Yageo Corp. |  | JPMorgan Chase Bank N.A. |  |  | 150,000 |  |  |  | 07/14/20 |  |  | TWD |  |  | 394.80 |  |  | TWD |  |  | 57,657 |  |  |  | (67,086 | )
Arco Platform Ltd., Class A |  | JPMorgan Chase Bank N.A. |  |  | 8,700 |  |  |  | 07/15/20 |  |  | USD |  |  | 50.28 |  |  | USD |  |  | 378 |  |  |  | (2,771 | )
Endava PLC, ADR |  | JPMorgan Chase Bank N.A. |  |  | 11,600 |  |  |  | 07/15/20 |  |  | USD |  |  | 52.64 |  |  | USD |  |  | 560 |  |  |  | (11,054 | )
Weimob, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 807,000 |  |  |  | 07/15/20 |  |  | HKD |  |  | 7.18 |  |  | HKD |  |  | 7,909 |  |  |  | (277,340 | )
Altium Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 40,900 |  |  |  | 07/21/20 |  |  | AUD |  |  | 39.14 |  |  | AUD |  |  | 1,343 |  |  |  | (5,847 | )
Freee KK |  | JPMorgan Chase Bank N.A. |  |  | 44,900 |  |  |  | 07/21/20 |  |  | JPY |  |  | 5,638.50 |  |  | JPY |  |  | 220,682 |  |  |  | (51,766 | )
Kingdee International Software Group Co. Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 1,258,000 |  |  |  | 07/21/20 |  |  | HKD |  |  | 15.39 |  |  | HKD |  |  | 22,820 |  |  |  | (465,157 | )
Lasertec Corp. |  | Goldman Sachs International |  |  | 63,100 |  |  |  | 07/21/20 |  |  | JPY |  |  | 9,796.50 |  |  | JPY |  |  | 644,058 |  |  |  | (464,700 | )
Ping An Healthcare and Technology Co. Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 248,400 |  |  |  | 07/21/20 |  |  | HKD |  |  | 115.84 |  |  | HKD |  |  | 29,517 |  |  |  | (265,692 | )
Rakus Co. Ltd. |  | Goldman Sachs International |  |  | 42,000 |  |  |  | 07/21/20 |  |  | JPY |  |  | 2,254.88 |  |  | JPY |  |  | 80,155 |  |  |  | (11,831 | )
SOITEC |  | UBS AG |  |  | 10,000 |  |  |  | 07/21/20 |  |  | EUR |  |  | 98.81 |  |  | EUR |  |  | 992 |  |  |  | (37,947 | )
Yageo Corp. |  | Citibank N.A. |  |  | 159,000 |  |  |  | 07/21/20 |  |  | TWD |  |  | 411.60 |  |  | TWD |  |  | 61,116 |  |  |  | (63,878 | )
Arco Platform Ltd., Class A |  | Bank of America N.A. |  |  | 8,700 |  |  |  | 07/22/20 |  |  | USD |  |  | 47.16 |  |  | USD |  |  | 378 |  |  |  | (10,499 | )
Endava PLC, ADR |  | JPMorgan Chase Bank N.A. |  |  | 10,300 |  |  |  | 07/22/20 |  |  | USD |  |  | 51.41 |  |  | USD |  |  | 497 |  |  |  | (18,055 | )
STMicroelectronics NV |  | Goldman Sachs International |  |  | 39,000 |  |  |  | 07/22/20 |  |  | EUR |  |  | 25.87 |  |  | EUR |  |  | 946 |  |  |  | (24,282 | )
TeamViewer AG |  | Credit Suisse International |  |  | 42,200 |  |  |  | 07/22/20 |  |  | EUR |  |  | 47.67 |  |  | EUR |  |  | 2,051 |  |  |  | (128,709 | )
Weimob, Inc. |  | JPMorgan Chase Bank N.A. |  |  | 1,234,000 |  |  |  | 07/22/20 |  |  | HKD |  |  | 10.63 |  |  | HKD |  |  | 12,093 |  |  |  | (78,471 | )
Adyen NV |  | Credit Suisse International |  |  | 2,700 |  |  |  | 07/23/20 |  |  | EUR |  |  | 1,237.60 |  |  | EUR |  |  | 3,498 |  |  |  | (275,887 | )
Delivery Hero SE |  | Goldman Sachs International |  |  | 17,000 |  |  |  | 07/23/20 |  |  | EUR |  |  | 88.79 |  |  | EUR |  |  | 1,555 |  |  |  | (117,233 | )
Xero Ltd. |  | Goldman Sachs International |  |  | 19,000 |  |  |  | 07/23/20 |  |  | AUD |  |  | 88.40 |  |  | AUD |  |  | 1,729 |  |  |  | (92,117 | )
Meituan Dianping, Class B |  | Goldman Sachs International |  |  | 214,900 |  |  |  | 07/24/20 |  |  | HKD |  |  | 171.60 |  |  | HKD |  |  | 37,221 |  |  |  | (228,931 | )
Tongcheng-Elong Holdings Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 534,000 |  |  |  | 07/24/20 |  |  | HKD |  |  | 14.83 |  |  | HKD |  |  | 7,513 |  |  |  | (33,750 | )
Farfetch Ltd., Class A |  | Bank of America N.A. |  |  | 103,000 |  |  |  | 07/27/20 |  |  | USD |  |  | 16.50 |  |  | USD |  |  | 1,779 |  |  |  | (185,440 | )
BE Semiconductor Industries NV |  | UBS AG |  |  | 42,000 |  |  |  | 07/29/20 |  |  | EUR |  |  | 39.79 |  |  | EUR |  |  | 1,658 |  |  |  | (85,771 | )
Kakao Corp. |  | Morgan Stanley & Co. International PLC |  |  | 4,600 |  |  |  | 07/29/20 |  |  | KRW |  |  | 269,325.00 |  |  | KRW |  |  | 1,241,643 |  |  |  | (54,264 | )
Rakus Co. Ltd. |  | BNP Paribas S.A. |  |  | 64,200 |  |  |  | 07/29/20 |  |  | JPY |  |  | 2,125.26 |  |  | JPY |  |  | 122,523 |  |  |  | (43,723 | )
SOITEC |  | Credit Suisse International |  |  | 5,500 |  |  |  | 07/29/20 |  |  | EUR |  |  | 97.86 |  |  | EUR |  |  | 545 |  |  |  | (28,251 | )
SOITEC |  | Goldman Sachs International |  |  | 4,900 |  |  |  | 07/29/20 |  |  | EUR |  |  | 95.41 |  |  | EUR |  |  | 486 |  |  |  | (33,459 | )
Samsung SDI Ltd |  | JPMorgan Chase Bank N.A. |  |  | 3,500 |  |  |  | 07/29/20 |  |  | KRW |  |  | 402,332.36 |  |  | KRW |  |  | 1,287,249 |  |  |  | (49,610 | )
Samsung Electro-Mechanics Co. Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 14,300 |  |  |  | 07/29/20 |  |  | KRW |  |  | 136,500.00 |  |  | KRW |  |  | 1,866,111 |  |  |  | (66,660 | )
Tyro Payments Ltd. |  | UBS AG |  |  | 495,000 |  |  |  | 07/29/20 |  |  | AUD |  |  | 3.73 |  |  | AUD |  |  | 1,772 |  |  |  | (115,479 | )
Weimob, Inc. |  | Societe Generale |  |  | 1,000,000 |  |  |  | 07/29/20 |  |  | HKD |  |  | 9.07 |  |  | HKD |  |  | 9,800 |  |  |  | (168,312 | )
Xero Ltd. |  | Citibank N.A. |  |  | 29,500 |  |  |  | 07/29/20 |  |  | AUD |  |  | 91.99 |  |  | AUD |  |  | 2,685 |  |  |  | (121,127 | )
Arco Platform Ltd., Class A |  | Bank of America N.A. |  |  | 18,500 |  |  |  | 07/30/20 |  |  | USD |  |  | 46.46 |  |  | USD |  |  | 804 |  |  |  | (33,487 | )
Tongcheng-Elong Holdings Ltd. |  | Societe Generale |  |  | 650,400 |  |  |  | 08/05/20 |  |  | HKD |  |  | 14.77 |  |  | HKD |  |  | 9,151 |  |  |  | (57,162 | )
Weimob, Inc. |  | Morgan Stanley & Co. International PLC |  |  | 800,000 |  |  |  | 08/05/20 |  |  | HKD |  |  | 9.56 |  |  | HKD |  |  | 7,840 |  |  |  | (118,539 | )
Endava PLC, ADR |  | JPMorgan Chase Bank N.A. |  |  | 29,500 |  |  |  | 08/11/20 |  |  | USD |  |  | 51.61 |  |  | USD |  |  | 1,425 |  |  |  | (82,117 | )
Altium Ltd. |  | Morgan Stanley & Co. International PLC |  |  | 46,500 |  |  |  | 08/12/20 |  |  | AUD |  |  | 34.91 |  |  | AUD |  |  | 1,527 |  |  |  | (52,426 | )
BE Semiconductor Industries NV |  | Morgan Stanley & Co. International PLC |  |  | 10,600 |  |  |  | 08/12/20 |  |  | EUR |  |  | 39.60 |  |  | EUR |  |  | 418 |  |  |  | (27,945 | )
Delivery Hero SE |  | Goldman Sachs International |  |  | 4,700 |  |  |  | 08/12/20 |  |  | EUR |  |  | 102.33 |  |  | EUR |  |  | 430 |  |  |  | (12,611 | )
GMO Payment Gateway, Inc. |  | Societe Generale |  |  | 24,900 |  |  |  | 08/12/20 |  |  | JPY |  |  | 11,981.26 |  |  | JPY |  |  | 281,208 |  |  |  | (71,048 | )
Kingdee International Software Group Co. Ltd. |  | JPMorgan Chase Bank N.A. |  |  | 306,000 |  |  |  | 08/12/20 |  |  | HKD |  |  | 18.92 |  |  | HKD |  |  | 5,551 |  |  |  | (23,479 | )
SOITEC |  | Morgan Stanley & Co. International PLC |  |  | 3,800 |  |  |  | 08/12/20 |  |  | EUR |  |  | 99.45 |  |  | EUR |  |  | 377 |  |  |  | (19,015 | )
TeamViewer AG |  | Morgan Stanley & Co. International PLC |  |  | 23,900 |  |  |  | 08/12/20 |  |  | EUR |  |  | 51.46 |  |  | EUR |  |  | 1,162 |  |  |  | (47,203 | )
Xero Ltd. |  | Goldman Sachs International |  |  | 8,300 |  |  |  | 08/12/20 |  |  | AUD |  |  | 93.35 |  |  | AUD |  |  | 755 |  |  |  | (38,687 | )
Arco Platform Ltd., Class A |  | JPMorgan Chase Bank N.A. |  |  | 17,200 |  |  |  | 08/13/20 |  |  | USD |  |  | 45.68 |  |  | USD |  |  | 748 |  |  |  | (46,334 | )
Endava PLC, ADR |  | UBS AG |  |  | 29,400 |  |  |  | 08/21/20 |  |  | USD |  |  | 50.32 |  |  | USD |  |  | 1,420 |  |  |  | (36,926 | )
Arco Platform Ltd., Class A |  | Barclays Bank PLC |  |  | 14,600 |  |  |  | 08/26/20 |  |  | USD |  |  | 46.35 |  |  | USD |  |  | 635 |  |  |  | (21,249 | )
|  |  | $(10,251,142) |

Balances Reported in the Statements of Assets and Liabilities for Options Written

|  | Swap Premiums Paid |  |  | Swap Premiums Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |  |  | Value |
Options Written |  |  | N/A |  |  |  | N/A |  |  | $ | 1,984,703 |  |  | $ | (20,163,142 | ) |  | $ | (39,725,393 | )

100 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust II (BSTZ)

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written at value |  | $ | — |  |  | $ | — |  |  | $ | 39,725,393 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 39,725,393 |

For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | (109,617,139 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (109,617,139 | )
|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | (11,611,659 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (11,611,659 | )

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Options: |
Average value of option contracts written |  | $ | 28,313,315 |

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |
Options |  | $ | — |  |  | $ | 39,725,393 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (29,474,251 | )
Total derivative assets and liabilities subject to an MNA |  | $ | — |  |  | $ | 10,251,142 |

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

Counterparty |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset |  |  | Non-cash Collateral Pledged |  |  | Cash Collateral Pledged (a) |  |  | Net Amount of Derivative Liabilities (b) |
Bank of America N.A. |  | $ | 235,879 |  |  | $ | — |  |  | $ | — |  |  | $ | (90,000 | ) |  | $ | 145,879 |
Barclays Bank PLC |  |  | 21,249 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 21,249 |
BNP Paribas S.A. |  |  | 43,723 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 43,723 |
Citibank N.A. |  |  | 251,828 |  |  |  | — |  |  |  | — |  |  |  | (251,828 | ) |  |  | — |
Credit Suisse International |  |  | 1,616,562 |  |  |  | — |  |  |  | — |  |  |  | (1,390,000 | ) |  |  | 226,562 |
Goldman Sachs International |  |  | 1,166,503 |  |  |  | — |  |  |  | — |  |  |  | (1,060,000 | ) |  |  | 106,503 |
JPMorgan Chase Bank N.A. |  |  | 2,363,671 |  |  |  | — |  |  |  | — |  |  |  | (1,840,000 | ) |  |  | 523,671 |
Morgan Stanley & Co. International PLC |  |  | 3,035,169 |  |  |  | — |  |  |  | — |  |  |  | (2,710,000 | ) |  |  | 325,169 |
Societe Generale |  |  | 581,245 |  |  |  | — |  |  |  | — |  |  |  | (581,245 | ) |  |  | — |
UBS AG |  |  | 935,313 |  |  |  | — |  |  |  | — |  |  |  | (935,313 | ) |  |  | — |
|  | $ | 10,251,142 |  |  | $ | — |  |  | $ | — |  |  | $ | (8,858,386 | ) |  | $ | 1,392,756 |

| (a) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

| (b) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |

SCHEDULES OF INVESTMENTS |  | 101

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust II (BSTZ)

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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: |
Common Stocks: |
Automobiles |  | $ | 46,402,675 |  |  | $ | — |  |  | $ | — |  |  | $ | 46,402,675 |
Banks |  |  | — |  |  |  | — |  |  |  | 24,473,888 |  |  |  | 24,473,888 |
Capital Markets |  |  | 13,057,716 |  |  |  | — |  |  |  | — |  |  |  | 13,057,716 |
Diversified Consumer Services |  |  | 67,611,887 |  |  |  | — |  |  |  | — |  |  |  | 67,611,887 |
Diversified Telecommunication Services |  |  | 16,884,015 |  |  |  | — |  |  |  | — |  |  |  | 16,884,015 |
Electronic Equipment, Instruments & Components |  |  | — |  |  |  | 49,374,091 |  |  |  | — |  |  |  | 49,374,091 |
Entertainment |  |  | 84,045,679 |  |  |  | — |  |  |  | — |  |  |  | 84,045,679 |
Health Care Technology |  |  | 48,525,540 |  |  |  | 26,804,119 |  |  |  | — |  |  |  | 75,329,659 |
Interactive Media & Services |  |  | 73,640,988 |  |  |  | 35,833,031 |  |  |  | — |  |  |  | 109,474,019 |
Internet & Direct Marketing Retail |  |  | 65,880,637 |  |  |  | 72,233,991 |  |  |  | — |  |  |  | 138,114,628 |
IT Services |  |  | 323,984,164 |  |  |  | 35,969,153 |  |  |  | 11,346,120 |  |  |  | 371,299,437 |
Multiline Retail |  |  | 24,731,642 |  |  |  | — |  |  |  | — |  |  |  | 24,731,642 |
Professional Services |  |  | 12,079,258 |  |  |  | — |  |  |  | — |  |  |  | 12,079,258 |
Semiconductors & Semiconductor Equipment |  |  | 199,320,135 |  |  |  | 114,610,111 |  |  |  | — |  |  |  | 313,930,246 |
Software |  |  | 380,877,579 |  |  |  | 113,746,615 |  |  |  | 18,911,566 |  |  |  | 513,535,760 |
Preferred Stocks |  |  | — |  |  |  | — |  |  |  | 165,081,289 |  |  |  | 165,081,289 |
Short-Term Securities |  |  | 27,568,401 |  |  |  | — |  |  |  | — |  |  |  | 27,568,401 |
Warrants |  |  | — |  |  |  | — |  |  |  | 120,605 |  |  |  | 120,605 |
Subtotal |  | $ | 1,384,610,316 |  |  | $ | 448,571,111 |  |  | $ | 219,933,468 |  |  | $ | 2,053,114,895 |
Investments Valued at NAV(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7,991,159 |
Total Investments |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 2,061,106,054 |
Derivative Financial Instruments(b) |
Liabilities: |
Equity contracts |  | $ | (28,387,377 | ) |  | $ | (11,338,016 | ) |  | $ | — |  |  | $ | (39,725,393 | )

The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

| (a) | Certain investments of the Trust were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |

| (b) | Derivative financial instruments are options written. Options written are shown at value. |

The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

|  | Common Stocks |  |  | Warrants |  |  | Preferred Stocks |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening Balance, as of December 31, 2019 |  | $ | 29,199,661 |  |  | $ | 53,498 |  |  | $ | 91,720,586 |  |  | $ | 120,973,745 |
Transfers into Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Accrued discounts/premiums |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Net realized gain (loss) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Net change in unrealized appreciation (depreciation)(a)(b) |  |  | 4,656,102 |  |  |  | 67,107 |  |  |  | 5,445,485 |  |  |  | 10,168,694 |
Purchases |  |  | 20,875,811 |  |  |  | — |  |  |  | 67,915,218 |  |  |  | 88,791,029 |
Sales |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Closing Balance, as of June 30, 2020 |  | $ | 54,731,574 |  |  | $ | 120,605 |  |  | $ | 165,081,289 |  |  | $ | 219,933,468 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020(a) |  | $ | 4,656,102 |  |  | $ | 67,107 |  |  | $ | 5,445,485 |  |  | $ | 10,168,694 |

| (a) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2020, is generally due to investments no longer held or categorized as Level 3 at period end. |

| (b) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |

102 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Science and Technology Trust II (BSTZ)

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee to determine the value of certain of the Trust’s Level 3 investments and derivative financial instruments as of period end.

|  | Value |  |  | Valuation Approach |  |  | Unobservable Inputs |  |  | Range of Unobservable Inputs Utilized (a) |  |  | Weighted Average of Unobservable Inputs Based on Fair Value |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Common Stocks |  | $ | 54,731,574 |  |  |  | Market |  |  |  | Revenue Multiple |  |  |  | 5.20x – 10.00x |  |  |  | 7.54x |
|  |  |  |  |  |  |  |  |  |  | Volatility |  |  |  | 46% |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | Time to Exit |  |  |  | 3.0 |  |  |  | — |
Preferred Stocks(b) |  |  | 165,081,289 |  |  |  | Market |  |  |  | Revenue Multiple |  |  |  | 2.75x – 20.75x |  |  |  | 8.62x |
|  |  |  |  |  |  |  |  |  |  | Volatility |  |  |  | 39% – 61% |  |  |  | 54 | %
|  |  |  |  |  |  |  |  |  |  | Time to Exit |  |  |  | 2.5 – 5.0 |  |  |  | 3.2 |
|  |  |  |  |  |  |  |  |  |  | Recent Transactions |  |  |  | — |  |  |  | — |
Warrants |  |  | 120,605 |  |  |  | Market |  |  |  | Revenue Multiple |  |  |  | 5.20x |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | Volatility |  |  |  | 46% |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | Time to Exit |  |  |  | 3.0 |  |  |  | — |
|  | $ | 219,933,468 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

| (a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |

| (b) | For the period end June 30, 2020, the valuation technique for investments classified as Preferred Stocks amounting to $56,208,158 changed to Current Value Method. The investments were previously valued utilizing Transaction Price approach. The change was due to consideration of the information that was available at the time the investments were valued. |

See notes to financial statements.

SCHEDULES OF INVESTMENTS |  | 103

Schedule of Investments (unaudited) June 30, 2020 |  | BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI) (Percentages shown are based on Net Assets)

Security |  | Shares |  |  | Value |
Common Stocks — 99.3% |
Building Products — 6.4% |
AO Smith Corp.(a) |  |  | 89,950 |  |  | $ | 4,238,445 |
Johnson Controls International PLC(a) |  |  | 187,409 |  |  |  | 6,398,143 |
Kingspan Group PLC |  |  | 102,875 |  |  |  | 6,641,228 |
Trane Technologies PLC(a) |  |  | 62,400 |  |  |  | 5,552,352 |
|  |  |  | 22,830,168 |
Chemicals — 5.0% |
Air Liquide SA |  |  | 24,689 |  |  |  | 3,569,701 |
Johnson Matthey PLC |  |  | 104,795 |  |  |  | 2,729,274 |
LG Chem Ltd. |  |  | 4,250 |  |  |  | 1,753,886 |
Linde PLC |  |  | 21,172 |  |  |  | 4,484,112 |
Sika AG, Registered Shares |  |  | 18,190 |  |  |  | 3,506,528 |
Umicore SA |  |  | 39,350 |  |  |  | 1,857,479 |
|  |  |  | 17,900,980 |
Commercial Services & Supplies — 5.0% |
Waste Connections, Inc.(a) |  |  | 83,950 |  |  |  | 7,873,671 |
Waste Management, Inc.(a) |  |  | 91,450 |  |  |  | 9,685,469 |
|  |  |  | 17,559,140 |
Construction & Engineering — 3.6% |
Quanta Services, Inc.(a) |  |  | 70,110 |  |  |  | 2,750,415 |
Vinci SA |  |  | 106,050 |  |  |  | 9,833,297 |
|  |  |  | 12,583,712 |
Electric Utilities — 32.7% |
American Electric Power Co., Inc.(a) |  |  | 66,200 |  |  |  | 5,272,168 |
Duke Energy Corp.(a) |  |  | 98,268 |  |  |  | 7,850,631 |
Edison International |  |  | 96,600 |  |  |  | 5,246,346 |
Enel SpA |  |  | 2,500,575 |  |  |  | 21,626,076 |
Entergy Corp.(a) |  |  | 26,550 |  |  |  | 2,490,655 |
Exelon Corp.(a) |  |  | 130,408 |  |  |  | 4,732,506 |
FirstEnergy Corp.(a) |  |  | 213,100 |  |  |  | 8,264,018 |
Iberdrola SA |  |  | 1,325,068 |  |  |  | 15,469,744 |
Neoenergia SA |  |  | 1,146,100 |  |  |  | 4,029,612 |
NextEra Energy, Inc.(a)(b) |  |  | 130,795 |  |  |  | 31,413,035 |
PPL Corp.(a) |  |  | 206,500 |  |  |  | 5,335,960 |
Xcel Energy, Inc.(a) |  |  | 69,740 |  |  |  | 4,358,750 |
|  |  |  | 116,089,501 |
Electrical Equipment — 6.3% |
Eaton Corp. PLC(a) |  |  | 30,400 |  |  |  | 2,659,392 |
Schneider Electric SE |  |  | 81,532 |  |  |  | 9,069,343 |
Sunrun, Inc.(a)(c) |  |  | 88,800 |  |  |  | 1,751,136 |
Vestas Wind Systems A/S |  |  | 88,160 |  |  |  | 9,027,827 |
|  |  |  | 22,507,698 |
Electronic Equipment, Instruments & Components — 1.5% |
Hexagon AB, Class B(c) |  |  | 61,750 |  |  |  | 3,626,304 |
Samsung SDI Co. Ltd. |  |  | 5,650 |  |  |  | 1,727,553 |
|  |  |  | 5,353,857 |
Independent Power and Renewable Electricity Producers — 7.8% |
AES Corp.(a) |  |  | 351,540 |  |  |  | 5,093,815 |
China Longyuan Power Group Corp. Ltd., Class H |  |  | 12,875,000 |  |  |  | 7,258,996 |
EDP Renováveis, S.A. |  |  | 1,114,750 |  |  |  | 15,404,780 |
|  |  |  | 27,757,591 |
Machinery — 1.6% |
Atlas Copco AB, Class B |  |  | 155,000 |  |  |  | 5,759,492 |
Multi-Utilities — 15.4% |
CMS Energy Corp.(a) |  |  | 128,310 |  |  |  | 7,495,870 |
Dominion Energy, Inc.(a) |  |  | 143,598 |  |  |  | 11,657,286 |
National Grid PLC |  |  | 747,224 |  |  |  | 9,116,428 |
Public Service Enterprise Group, Inc.(a) |  |  | 176,292 |  |  |  | 8,666,515 |

Security |  | Shares |  |  | Value |
Multi-Utilities (continued) |
RWE AG |  |  | 377,050 |  |  | $ | 13,199,408 |
Sempra Energy(a) |  |  | 39,000 |  |  |  | 4,571,970 |
|  |  |  | 54,707,477 |
Oil, Gas & Consumable Fuels — 9.9% |
Enterprise Products Partners LP(a) |  |  | 183,363 |  |  |  | 3,331,706 |
Kinder Morgan, Inc.(a) |  |  | 727,950 |  |  |  | 11,043,001 |
TC Energy Corp. |  |  | 246,250 |  |  |  | 10,520,404 |
Williams Cos., Inc.(a) |  |  | 528,605 |  |  |  | 10,054,067 |
|  |  |  | 34,949,178 |
Semiconductors & Semiconductor Equipment — 4.1% |
Canadian Solar, Inc.(c) |  |  | 54,070 |  |  |  | 1,041,929 |
First Solar, Inc.(a)(c) |  |  | 100,934 |  |  |  | 4,996,233 |
Infineon Technologies AG |  |  | 126,500 |  |  |  | 2,964,171 |
Maxim Integrated Products, Inc.(a) |  |  | 45,640 |  |  |  | 2,766,240 |
ON Semiconductor Corp.(a)(c) |  |  | 131,580 |  |  |  | 2,607,916 |
|  |  |  | 14,376,489 |
Total Long-Term Investments — 99.3% (Cost — $276,588,342) |  |  |  | 352,375,283 |
Short-Term Securities — 2.3% |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.11%(d)(e) |  |  | 8,334,587 |  |  |  | 8,334,587 |
Total Short-Term Securities — 2.3% (Cost — $8,334,587) |  |  |  | 8,334,587 |
Total Investments Before Options Written — 101.6% (Cost — $284,922,929) |  |  |  | 360,709,870 |
Options Written — (1.3)% (Premiums Received — $3,193,621) |  |  |  | (4,681,958 | )
Total Investments, Net of Options Written — 100.3% (Cost — $281,729,308) |  |  |  | 356,027,912 |
Liabilities in Excess of Other Assets — (0.3)% |  |  |  | (1,167,479 | )
Net Assets — 100.0% |  |  | $ | 354,860,433 |

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

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

(c) | Non-income producing security.

(d) | Annualized 7-day yield as of period end.

104 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

(e) | Investments in issuers considered to be an affiliate/affiliates of the Trust during the six months ended June 30, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Shares Held at 12/31/19 |  |  | Shares Purchased |  |  | Shares Sold |  |  | Shares Held at 06/30/20 |  |  | Value at 06/30/20 |  |  | Income |  |  | Net Realized Gain (Loss) (a) |  |  | Change in Unrealized Appreciation (Depreciation) |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  |  | 12,716,146 |  |  |  | — |  |  |  | (4,381,559 | )(b) |  |  | 8,334,587 |  |  | $ | 8,334,587 |  |  | $ | 35,677 |  |  | $ | — |  |  | $ | — |

| (a) | Includes net capital gain distributions, if applicable. |

| (b) | Represents net shares purchased (sold). |

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 such industry sub-classifications for reporting ease.

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Eaton Corp. PLC |  |  | 53 |  |  |  | 07/02/20 |  |  | USD |  |  | 81.50 |  |  | USD |  |  | 464 |  |  | $ | (27,825 | )
Kinder Morgan, Inc. |  |  | 273 |  |  |  | 07/02/20 |  |  | USD |  |  | 16.00 |  |  | USD |  |  | 414 |  |  |  | (273 | )
First Solar, Inc. |  |  | 84 |  |  |  | 07/10/20 |  |  | USD |  |  | 53.00 |  |  | USD |  |  | 416 |  |  |  | (2,814 | )
Kinder Morgan, Inc. |  |  | 508 |  |  |  | 07/10/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 771 |  |  |  | (4,572 | )
TC Energy Corp. |  |  | 478 |  |  |  | 07/10/20 |  |  | CAD |  |  | 60.50 |  |  | CAD |  |  | 2,772 |  |  |  | (4,753 | )
AES Corp. |  |  | 628 |  |  |  | 07/17/20 |  |  | USD |  |  | 14.00 |  |  | USD |  |  | 910 |  |  |  | (53,380 | )
AO Smith Corp. |  |  | 157 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 740 |  |  |  | (43,175 | )
American Electric Power Co., Inc. |  |  | 113 |  |  |  | 07/17/20 |  |  | USD |  |  | 82.50 |  |  | USD |  |  | 900 |  |  |  | (7,627 | )
CMS Energy Corp. |  |  | 214 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,250 |  |  |  | (82,390 | )
CMS Energy Corp. |  |  | 11 |  |  |  | 07/17/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 64 |  |  |  | (715 | )
Dominion Energy, Inc. |  |  | 251 |  |  |  | 07/17/20 |  |  | USD |  |  | 87.50 |  |  | USD |  |  | 2,038 |  |  |  | (3,137 | )
Dominion Energy, Inc. |  |  | 251 |  |  |  | 07/17/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 2,038 |  |  |  | (3,765 | )
Duke Energy Corp. |  |  | 330 |  |  |  | 07/17/20 |  |  | USD |  |  | 87.50 |  |  | USD |  |  | 2,636 |  |  |  | (3,300 | )
Duke Energy Corp. |  |  | 13 |  |  |  | 07/17/20 |  |  | USD |  |  | 92.50 |  |  | USD |  |  | 104 |  |  |  | (130 | )
Enterprise Products Partners LP |  |  | 402 |  |  |  | 07/17/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 730 |  |  |  | (3,015 | )
Exelon Corp. |  |  | 222 |  |  |  | 07/17/20 |  |  | USD |  |  | 38.00 |  |  | USD |  |  | 806 |  |  |  | (7,215 | )
Exelon Corp. |  |  | 222 |  |  |  | 07/17/20 |  |  | USD |  |  | 41.00 |  |  | USD |  |  | 806 |  |  |  | (2,220 | )
Exelon Corp. |  |  | 12 |  |  |  | 07/17/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 44 |  |  |  | (120 | )
First Solar, Inc. |  |  | 91 |  |  |  | 07/17/20 |  |  | USD |  |  | 47.50 |  |  | USD |  |  | 450 |  |  |  | (28,165 | )
FirstEnergy Corp. |  |  | 138 |  |  |  | 07/17/20 |  |  | USD |  |  | 47.00 |  |  | USD |  |  | 535 |  |  |  | (1,380 | )
FirstEnergy Corp. |  |  | 138 |  |  |  | 07/17/20 |  |  | USD |  |  | 43.00 |  |  | USD |  |  | 535 |  |  |  | (690 | )
FirstEnergy Corp. |  |  | 23 |  |  |  | 07/17/20 |  |  | USD |  |  | 45.00 |  |  | USD |  |  | 89 |  |  |  | (345 | )
Johnson Controls International PLC |  |  | 158 |  |  |  | 07/17/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 539 |  |  |  | (5,530 | )
Kinder Morgan, Inc. |  |  | 408 |  |  |  | 07/17/20 |  |  | USD |  |  | 16.00 |  |  | USD |  |  | 619 |  |  |  | (7,956 | )
NextEra Energy, Inc. |  |  | 292 |  |  |  | 07/17/20 |  |  | USD |  |  | 238.00 |  |  | USD |  |  | 7,013 |  |  |  | (220,549 | )
ON Semiconductor Corp. |  |  | 226 |  |  |  | 07/17/20 |  |  | USD |  |  | 17.00 |  |  | USD |  |  | 448 |  |  |  | (71,190 | )
PPL Corp. |  |  | 181 |  |  |  | 07/17/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 468 |  |  |  | (5,430 | )
Public Service Enterprise Group, Inc. |  |  | 218 |  |  |  | 07/17/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 1,072 |  |  |  | (16,350 | )
Public Service Enterprise Group, Inc. |  |  | 68 |  |  |  | 07/17/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 334 |  |  |  | (1,020 | )
Quanta Services, Inc. |  |  | 107 |  |  |  | 07/17/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 420 |  |  |  | (3,477 | )
Sempra Energy |  |  | 7 |  |  |  | 07/17/20 |  |  | USD |  |  | 140.00 |  |  | USD |  |  | 82 |  |  |  | (175 | )
Sempra Energy |  |  | 125 |  |  |  | 07/17/20 |  |  | USD |  |  | 130.00 |  |  | USD |  |  | 1,465 |  |  |  | (3,750 | )
Sunrun, Inc. |  |  | 241 |  |  |  | 07/17/20 |  |  | USD |  |  | 17.00 |  |  | USD |  |  | 475 |  |  |  | (63,865 | )
TC Energy Corp. |  |  | 95 |  |  |  | 07/17/20 |  |  | CAD |  |  | 64.00 |  |  | CAD |  |  | 551 |  |  |  | (420 | )
Trane Technologies PLC |  |  | 112 |  |  |  | 07/17/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 997 |  |  |  | (1,120 | )
Waste Connections, Inc. |  |  | 109 |  |  |  | 07/17/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 1,022 |  |  |  | (16,350 | )
Waste Management, Inc. |  |  | 160 |  |  |  | 07/17/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 1,695 |  |  |  | (43,200 | )
Williams Cos., Inc. |  |  | 588 |  |  |  | 07/17/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 1,118 |  |  |  | (15,876 | )
Xcel Energy, Inc. |  |  | 133 |  |  |  | 07/17/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 831 |  |  |  | (6,317 | )
Eaton Corp. PLC |  |  | 53 |  |  |  | 07/24/20 |  |  | USD |  |  | 91.50 |  |  | USD |  |  | 464 |  |  |  | (12,323 | )
Enterprise Products Partners LP |  |  | 79 |  |  |  | 07/24/20 |  |  | USD |  |  | 19.50 |  |  | USD |  |  | 144 |  |  |  | (1,975 | )
First Solar, Inc. |  |  | 84 |  |  |  | 07/24/20 |  |  | USD |  |  | 55.50 |  |  | USD |  |  | 416 |  |  |  | (4,116 | )

SCHEDULES OF INVESTMENTS |  | 105

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

Exchange-Traded Options Written (continued)

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Johnson Controls International PLC |  |  | 340 |  |  |  | 07/24/20 |  |  | USD |  |  | 37.00 |  |  | USD |  |  | 1,161 |  |  | $ | (12,240 | )
Kinder Morgan, Inc. |  |  | 169 |  |  |  | 07/24/20 |  |  | USD |  |  | 17.50 |  |  | USD |  |  | 256 |  |  |  | (2,028 | )
TC Energy Corp. |  |  | 192 |  |  |  | 07/24/20 |  |  | CAD |  |  | 59.50 |  |  | CAD |  |  | 1,114 |  |  |  | (11,809 | )
Williams Cos., Inc. |  |  | 254 |  |  |  | 07/24/20 |  |  | USD |  |  | 21.50 |  |  | USD |  |  | 483 |  |  |  | (3,683 | )
Williams Cos., Inc. |  |  | 180 |  |  |  | 07/24/20 |  |  | USD |  |  | 19.50 |  |  | USD |  |  | 342 |  |  |  | (10,710 | )
First Solar, Inc. |  |  | 94 |  |  |  | 07/31/20 |  |  | USD |  |  | 56.50 |  |  | USD |  |  | 465 |  |  |  | (6,862 | )
Kinder Morgan, Inc. |  |  | 781 |  |  |  | 07/31/20 |  |  | USD |  |  | 17.00 |  |  | USD |  |  | 1,185 |  |  |  | (6,638 | )
Williams Cos., Inc. |  |  | 119 |  |  |  | 07/31/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 226 |  |  |  | (4,462 | )
Enterprise Products Partners LP |  |  | 160 |  |  |  | 08/07/20 |  |  | USD |  |  | 18.50 |  |  | USD |  |  | 291 |  |  |  | (51,200 | )
Kinder Morgan, Inc. |  |  | 408 |  |  |  | 08/07/20 |  |  | USD |  |  | 15.00 |  |  | USD |  |  | 619 |  |  |  | (33,252 | )
Williams Cos., Inc. |  |  | 379 |  |  |  | 08/07/20 |  |  | USD |  |  | 19.00 |  |  | USD |  |  | 721 |  |  |  | (50,407 | )
AES Corp. |  |  | 23 |  |  |  | 08/21/20 |  |  | USD |  |  | 16.00 |  |  | USD |  |  | 33 |  |  |  | (920 | )
AES Corp. |  |  | 449 |  |  |  | 08/21/20 |  |  | USD |  |  | 14.00 |  |  | USD |  |  | 651 |  |  |  | (57,248 | )
AO Smith Corp. |  |  | 157 |  |  |  | 08/21/20 |  |  | USD |  |  | 50.00 |  |  | USD |  |  | 740 |  |  |  | (19,233 | )
American Electric Power Co., Inc. |  |  | 113 |  |  |  | 08/21/20 |  |  | USD |  |  | 82.50 |  |  | USD |  |  | 900 |  |  |  | (23,165 | )
American Electric Power Co., Inc. |  |  | 5 |  |  |  | 08/21/20 |  |  | USD |  |  | 87.50 |  |  | USD |  |  | 40 |  |  |  | (287 | )
CMS Energy Corp. |  |  | 224 |  |  |  | 08/21/20 |  |  | USD |  |  | 60.00 |  |  | USD |  |  | 1,309 |  |  |  | (36,960 | )
Edison International |  |  | 170 |  |  |  | 08/21/20 |  |  | USD |  |  | 62.50 |  |  | USD |  |  | 923 |  |  |  | (9,775 | )
Entergy Corp. |  |  | 190 |  |  |  | 08/21/20 |  |  | USD |  |  | 100.00 |  |  | USD |  |  | 1,782 |  |  |  | (38,950 | )
FirstEnergy Corp. |  |  | 97 |  |  |  | 08/21/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 376 |  |  |  | (4,607 | )
Johnson Controls International PLC |  |  | 157 |  |  |  | 08/21/20 |  |  | USD |  |  | 36.00 |  |  | USD |  |  | 536 |  |  |  | (18,762 | )
Maxim Integrated Products, Inc. |  |  | 160 |  |  |  | 08/21/20 |  |  | USD |  |  | 60.50 |  |  | USD |  |  | 970 |  |  |  | (47,520 | )
NextEra Energy, Inc. |  |  | 165 |  |  |  | 08/21/20 |  |  | USD |  |  | 260.00 |  |  | USD |  |  | 3,963 |  |  |  | (48,675 | )
ON Semiconductor Corp. |  |  | 234 |  |  |  | 08/21/20 |  |  | USD |  |  | 23.00 |  |  | USD |  |  | 464 |  |  |  | (19,305 | )
PPL Corp. |  |  | 541 |  |  |  | 08/21/20 |  |  | USD |  |  | 27.00 |  |  | USD |  |  | 1,398 |  |  |  | (47,338 | )
Quanta Services, Inc. |  |  | 107 |  |  |  | 08/21/20 |  |  | USD |  |  | 42.00 |  |  | USD |  |  | 420 |  |  |  | (13,910 | )
Quanta Services, Inc. |  |  | 31 |  |  |  | 08/21/20 |  |  | USD |  |  | 39.00 |  |  | USD |  |  | 122 |  |  |  | (8,215 | )
Sunrun, Inc. |  |  | 120 |  |  |  | 08/21/20 |  |  | USD |  |  | 18.00 |  |  | USD |  |  | 237 |  |  |  | (36,600 | )
TC Energy Corp. |  |  | 96 |  |  |  | 08/21/20 |  |  | CAD |  |  | 60.00 |  |  | CAD |  |  | 557 |  |  |  | (11,102 | )
Trane Technologies PLC |  |  | 106 |  |  |  | 08/21/20 |  |  | USD |  |  | 90.00 |  |  | USD |  |  | 943 |  |  |  | (53,530 | )
Waste Management, Inc. |  |  | 184 |  |  |  | 08/21/20 |  |  | USD |  |  | 95.00 |  |  | USD |  |  | 1,726 |  |  |  | (59,800 | )
Waste Management, Inc. |  |  | 160 |  |  |  | 08/21/20 |  |  | USD |  |  | 105.00 |  |  | USD |  |  | 1,695 |  |  |  | (79,200 | )
Williams Cos., Inc. |  |  | 330 |  |  |  | 08/21/20 |  |  | USD |  |  | 20.00 |  |  | USD |  |  | 628 |  |  |  | (25,905 | )
Xcel Energy, Inc. |  |  | 111 |  |  |  | 08/21/20 |  |  | USD |  |  | 65.00 |  |  | USD |  |  | 694 |  |  |  | (17,483 | )
Public Service Enterprise Group, Inc. |  |  | 308 |  |  |  | 09/18/20 |  |  | USD |  |  | 55.00 |  |  | USD |  |  | 1,514 |  |  |  | (27,720 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (1,681,496 | )

OTC Options Written

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |
EDP Renováveis, S.A. |  | Credit Suisse International |  |  | 70,000 |  |  |  | 07/01/20 |  |  | EUR |  |  | 10.96 |  |  | EUR |  |  | 861 |  |  | $ | (105,247 | )
Samsung SDI Co. Ltd. |  | UBS AG |  |  | 2,500 |  |  |  | 07/01/20 |  |  | KRW |  |  | 307,007.81 |  |  | KRW |  |  | 908,750 |  |  |  | (117,732 | )
Air Liquide SA |  | Goldman Sachs International |  |  | 1,700 |  |  |  | 07/07/20 |  |  | EUR |  |  | 121.00 |  |  | EUR |  |  | 218 |  |  |  | (15,040 | )
Enel SpA |  | UBS AG |  |  | 284,900 |  |  |  | 07/07/20 |  |  | EUR |  |  | 6.39 |  |  | EUR |  |  | 2,187 |  |  |  | (418,568 | )
Iberdrola SA |  | Morgan Stanley & Co. International PLC |  |  | 347,000 |  |  |  | 07/07/20 |  |  | EUR |  |  | 9.06 |  |  | EUR |  |  | 3,581 |  |  |  | (520,203 | )
Kingspan Group PLC |  | UBS AG |  |  | 11,700 |  |  |  | 07/07/20 |  |  | EUR |  |  | 49.67 |  |  | EUR |  |  | 671 |  |  |  | (102,710 | )
National Grid PLC |  | Credit Suisse International |  |  | 155,500 |  |  |  | 07/07/20 |  |  | GBP |  |  | 9.77 |  |  | GBP |  |  | 1,538 |  |  |  | (18,621 | )
Sika AG, Registered Shares |  | UBS AG |  |  | 3,800 |  |  |  | 07/07/20 |  |  | CHF |  |  | 169.32 |  |  | CHF |  |  | 693 |  |  |  | (53,555 | )
Umicore SA |  | UBS AG |  |  | 15,200 |  |  |  | 07/07/20 |  |  | EUR |  |  | 39.36 |  |  | EUR |  |  | 637 |  |  |  | (47,102 | )
AES Corp. |  | Bank of America N.A. |  |  | 13,000 |  |  |  | 07/08/20 |  |  | USD |  |  | 12.38 |  |  | USD |  |  | 188 |  |  |  | (27,598 | )
EDP Renováveis, S.A. |  | Credit Suisse International |  |  | 60,000 |  |  |  | 07/08/20 |  |  | EUR |  |  | 11.33 |  |  | EUR |  |  | 738 |  |  |  | (66,931 | )
Vestas Wind Systems A/S |  | Credit Suisse International |  |  | 16,900 |  |  |  | 07/08/20 |  |  | DKK |  |  | 720.97 |  |  | DKK |  |  | 11,414 |  |  |  | (5,068 | )
EDP Renováveis, S.A. |  | Credit Suisse International |  |  | 30,000 |  |  |  | 07/09/20 |  |  | EUR |  |  | 11.91 |  |  | EUR |  |  | 369 |  |  |  | (17,907 | )
LG Chem Ltd. |  | UBS AG |  |  | 2,100 |  |  |  | 07/09/20 |  |  | KRW |  |  | 361,643.98 |  |  | KRW |  |  | 1,042,421 |  |  |  | (225,741 | )
Schneider Electric SE |  | Citibank N.A. |  |  | 19,100 |  |  |  | 07/09/20 |  |  | EUR |  |  | 93.63 |  |  | EUR |  |  | 1,889 |  |  |  | (130,615 | )
EDP Renováveis, S.A. |  | Credit Suisse International |  |  | 30,000 |  |  |  | 07/14/20 |  |  | EUR |  |  | 11.77 |  |  | EUR |  |  | 369 |  |  |  | (23,383 | )
Johnson Matthey PLC |  | UBS AG |  |  | 28,500 |  |  |  | 07/14/20 |  |  | GBP |  |  | 22.85 |  |  | GBP |  |  | 598 |  |  |  | (10,762 | )
Linde PLC |  | Goldman Sachs International |  |  | 2,700 |  |  |  | 07/14/20 |  |  | EUR |  |  | 184.54 |  |  | EUR |  |  | 509 |  |  |  | (28,238 | )

106 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

OTC Options Written (continued)

Description |  | Counterparty |  | Number of Contracts |  |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call (continued) |
Neoenergia SA |  | Citibank N.A. |  |  | 422,900 |  |  |  | 07/14/20 |  |  | BRL |  |  | 19.13 |  |  | BRL |  |  | 8,086 |  |  | $ | (76,972 | )
RWE AG |  | UBS AG |  |  | 48,800 |  |  |  | 07/15/20 |  |  | EUR |  |  | 32.93 |  |  | EUR |  |  | 1,528 |  |  |  | (13,583 | )
EDP Renováveis, S.A. |  | Credit Suisse International |  |  | 30,000 |  |  |  | 07/21/20 |  |  | EUR |  |  | 13.00 |  |  | EUR |  |  | 369 |  |  |  | (6,988 | )
Kingspan Group PLC |  | Morgan Stanley & Co. International PLC |  |  | 24,400 |  |  |  | 07/22/20 |  |  | EUR |  |  | 55.57 |  |  | EUR |  |  | 1,399 |  |  |  | (73,559 | )
Linde PLC |  | Credit Suisse International |  |  | 4,750 |  |  |  | 07/22/20 |  |  | EUR |  |  | 194.20 |  |  | EUR |  |  | 894 |  |  |  | (34,815 | )
National Grid PLC |  | Credit Suisse International |  |  | 106,100 |  |  |  | 07/22/20 |  |  | GBP |  |  | 9.32 |  |  | GBP |  |  | 1,050 |  |  |  | (69,148 | )
Sika AG, Registered Shares |  | Morgan Stanley & Co. International PLC |  |  | 3,400 |  |  |  | 07/22/20 |  |  | CHF |  |  | 182.70 |  |  | CHF |  |  | 621 |  |  |  | (17,439 | )
Air Liquide SA |  | Credit Suisse International |  |  | 7,500 |  |  |  | 07/23/20 |  |  | EUR |  |  | 129.93 |  |  | EUR |  |  | 965 |  |  |  | (24,226 | )
Atlas Copco AB, Class B |  | Goldman Sachs International |  |  | 26,800 |  |  |  | 07/23/20 |  |  | SEK |  |  | 344.43 |  |  | SEK |  |  | 9,235 |  |  |  | (56,929 | )
EDP Renováveis, S.A. |  | Credit Suisse International |  |  | 27,863 |  |  |  | 07/23/20 |  |  | EUR |  |  | 12.38 |  |  | EUR |  |  | 343 |  |  |  | (13,940 | )
Enel SpA |  | Goldman Sachs International |  |  | 410,600 |  |  |  | 07/23/20 |  |  | EUR |  |  | 7.74 |  |  | EUR |  |  | 3,153 |  |  |  | (72,264 | )
Hexagon AB, Class B |  | Goldman Sachs International |  |  | 12,300 |  |  |  | 07/23/20 |  |  | SEK |  |  | 555.58 |  |  | SEK |  |  | 6,691 |  |  |  | (18,713 | )
Infineon Technologies AG |  | Credit Suisse International |  |  | 44,000 |  |  |  | 07/23/20 |  |  | EUR |  |  | 20.77 |  |  | EUR |  |  | 919 |  |  |  | (55,937 | )
Vinci SA |  | Goldman Sachs International |  |  | 22,900 |  |  |  | 07/23/20 |  |  | EUR |  |  | 90.09 |  |  | EUR |  |  | 1,878 |  |  |  | (19,184 | )
EDP Renováveis, S.A. |  | Credit Suisse International |  |  | 30,000 |  |  |  | 07/24/20 |  |  | EUR |  |  | 13.08 |  |  | EUR |  |  | 369 |  |  |  | (7,164 | )
Schneider Electric SE |  | Goldman Sachs International |  |  | 9,500 |  |  |  | 07/24/20 |  |  | EUR |  |  | 94.41 |  |  | EUR |  |  | 939 |  |  |  | (70,317 | )
Vestas Wind Systems A/S |  | Credit Suisse International |  |  | 12,700 |  |  |  | 07/24/20 |  |  | DKK |  |  | 693.68 |  |  | DKK |  |  | 8,578 |  |  |  | (43,337 | )
EDP Renováveis, S.A. |  | Goldman Sachs International |  |  | 61,400 |  |  |  | 07/29/20 |  |  | EUR |  |  | 11.99 |  |  | EUR |  |  | 755 |  |  |  | (48,784 | )
Enel SpA |  | Goldman Sachs International |  |  | 206,900 |  |  |  | 07/29/20 |  |  | EUR |  |  | 7.66 |  |  | EUR |  |  | 1,589 |  |  |  | (52,194 | )
Hexagon AB, Class B |  | Morgan Stanley & Co. International PLC |  |  | 12,700 |  |  |  | 07/29/20 |  |  | SEK |  |  | 557.02 |  |  | SEK |  |  | 6,909 |  |  |  | (22,943 | )
Vinci SA |  | Goldman Sachs International |  |  | 14,300 |  |  |  | 07/29/20 |  |  | EUR |  |  | 88.50 |  |  | EUR |  |  | 1,173 |  |  |  | (22,755 | )
FirstEnergy Corp. |  | JPMorgan Chase Bank N.A. |  |  | 19,400 |  |  |  | 08/04/20 |  |  | USD |  |  | 42.73 |  |  | USD |  |  | 752 |  |  |  | (3,954 | )
EDP Renováveis, S.A. |  | Goldman Sachs International |  |  | 20,900 |  |  |  | 08/05/20 |  |  | EUR |  |  | 11.93 |  |  | EUR |  |  | 257 |  |  |  | (18,764 | )
RWE AG |  | Credit Suisse International |  |  | 47,300 |  |  |  | 08/05/20 |  |  | EUR |  |  | 32.37 |  |  | EUR |  |  | 1,472 |  |  |  | (46,915 | )
Atlas Copco AB, Class B |  | Goldman Sachs International |  |  | 27,500 |  |  |  | 08/12/20 |  |  | SEK |  |  | 352.29 |  |  | SEK |  |  | 9,477 |  |  |  | (68,665 | )
EDP Renováveis, S.A. |  | Morgan Stanley & Co. International PLC |  |  | 30,000 |  |  |  | 08/12/20 |  |  | EUR |  |  | 12.67 |  |  | EUR |  |  | 369 |  |  |  | (9,704 | )
Iberdrola SA |  | Goldman Sachs International |  |  | 116,700 |  |  |  | 08/12/20 |  |  | EUR |  |  | 10.26 |  |  | EUR |  |  | 1,204 |  |  |  | (44,375 | )
Johnson Matthey PLC |  | Morgan Stanley & Co. International PLC |  |  | 8,200 |  |  |  | 08/12/20 |  |  | GBP |  |  | 21.37 |  |  | GBP |  |  | 172 |  |  |  | (13,980 | )
RWE AG |  | Goldman Sachs International |  |  | 35,900 |  |  |  | 08/12/20 |  |  | EUR |  |  | 32.35 |  |  | EUR |  |  | 1,117 |  |  |  | (37,893 | )
|  |  | $ | (3,000,462 | )

Balances Reported in the Statements of Assets and Liabilities for Options Written

|  | Swap Premiums Paid |  |  | Swap Premiums Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |  |  | Value |
Options Written |  |  | N/A |  |  |  | N/A |  |  | $ | 910,485 |  |  | $ | (2,398,822 | ) |  | $ | (4,681,958 | )

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written at value |  | $ | — |  |  | $ | — |  |  | $ | 4,681,958 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,681,958 |

For the six months ended June 30, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | (7,192,006 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (7,192,006 | )

SCHEDULES OF INVESTMENTS |  |  | 107 |

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

Derivative Financial Instruments Categorized by Risk Exposure (continued)

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written |  | $ | — |  |  | $ | — |  |  | $ | (127,042 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (127,042 | )

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Options: |
Average value of option contracts written |  | $ | 4,023,984 |

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |  |  |  |  |  |  |  |
Options |  | $ | — |  |  | $ | 4,681,958 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (1,681,496 | )
Total derivative assets and liabilities subject to an MNA |  | $ | — |  |  | $ | 3,000,462 |

The following table presents the Trust’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Trust:

Counterparty |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset |  |  | Non-cash Collateral Pledged (a) |  |  | Cash Collateral Pledged (a) |  |  | Net Amount of Derivative Liabilities (b) |
Bank of America N.A. |  | $ | 27,598 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 27,598 |
Citibank N.A. |  |  | 207,587 |  |  |  | — |  |  |  | (2,516 | ) |  |  | — |  |  |  | 205,071 |
Credit Suisse International |  |  | 539,627 |  |  |  | — |  |  |  | (4,106 | ) |  |  | — |  |  |  | 535,521 |
Goldman Sachs International |  |  | 574,115 |  |  |  | — |  |  |  | — |  |  |  | (220,000 | ) |  |  | 354,115 |
JPMorgan Chase Bank N.A. |  |  | 3,954 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3,954 |
Morgan Stanley & Co. International PLC |  |  | 657,828 |  |  |  | — |  |  |  | (6,111 | ) |  |  | — |  |  |  | 651,717 |
UBS AG |  |  | 989,753 |  |  |  | — |  |  |  | (10,109 | ) |  |  | — |  |  |  | 979,644 |
|  | $ | 3,000,462 |  |  | $ | — |  |  | $ | (22,842 | ) |  | $ | (220,000 | ) |  | $ | 2,757,620 |

| (a) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

| (b) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |

108 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments (unaudited) (continued) June 30, 2020 |  | BlackRock Utilities, Infrastructure & Power Opportunities Trust (BUI)

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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: |
Common Stocks: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Building Products |  | $ | 16,188,939 |  |  | $ | 6,641,229 |  |  | $ | — |  |  | $ | 22,830,168 |
Chemicals |  |  | — |  |  |  | 17,900,980 |  |  |  | — |  |  |  | 17,900,980 |
Commercial Services & Supplies |  |  | 17,559,140 |  |  |  | — |  |  |  | — |  |  |  | 17,559,140 |
Construction & Engineering |  |  | 2,750,415 |  |  |  | 9,833,297 |  |  |  | — |  |  |  | 12,583,712 |
Electric Utilities |  |  | 78,993,681 |  |  |  | 37,095,820 |  |  |  | — |  |  |  | 116,089,501 |
Electrical Equipment |  |  | 4,410,528 |  |  |  | 18,097,170 |  |  |  | — |  |  |  | 22,507,698 |
Electronic Equipment, Instruments & Components |  |  | — |  |  |  | 5,353,857 |  |  |  | — |  |  |  | 5,353,857 |
Independent Power and Renewable Electricity Producers |  |  | 20,498,595 |  |  |  | 7,258,996 |  |  |  | — |  |  |  | 27,757,591 |
Machinery |  |  | — |  |  |  | 5,759,492 |  |  |  | — |  |  |  | 5,759,492 |
Multi-Utilities |  |  | 32,391,641 |  |  |  | 22,315,836 |  |  |  | — |  |  |  | 54,707,477 |
Oil, Gas & Consumable Fuels |  |  | 34,949,178 |  |  |  | — |  |  |  | — |  |  |  | 34,949,178 |
Semiconductors & Semiconductor Equipment |  |  | 11,412,318 |  |  |  | 2,964,171 |  |  |  | — |  |  |  | 14,376,489 |
Short-Term Securities |  |  | 8,334,587 |  |  |  | — |  |  |  | — |  |  |  | 8,334,587 |
|  | $ | 227,489,022 |  |  | $ | 133,220,848 |  |  | $ | — |  |  | $ | 360,709,870 |
Derivative Financial Instruments(a) |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Equity contracts |  | $ | (1,413,427 | ) |  | $ | (3,268,531 | ) |  | $ | — |  |  | $ | (4,681,958 | )

The breakdown of the Trust’s investments into major categories is disclosed in the Schedule of Investments above.

| (a) | Derivative financial instruments are options written. Options written are shown at value. |

See notes to financial statements.

SCHEDULES OF INVESTMENTS |  |  | 109 |

Statements of Assets and Liabilities (unaudited)

June 30, 2020

|  | BGR |  |  | CII |  |  | BDJ |  |  | BOE |  |  | BGY |
ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments at value — unaffiliated(a) |  | $ | 234,819,081 |  |  | $ | 710,933,182 |  |  | $ | 1,534,762,579 |  |  | $ | 694,208,457 |  |  | $ | 605,919,707 |
Investments at value — affiliated(b) |  |  | 7,415,401 |  |  |  | 11,280,090 |  |  |  | 8,249,540 |  |  |  | 500,656 |  |  |  | 1,439,314 |
Cash |  |  | — |  |  |  | 2,169 |  |  |  | 879 |  |  |  | — |  |  |  | — |
Cash pledged: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateral — options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 4,880,000 |  |  |  | 7,091,000 |
Collateral — OTC derivatives |  |  | — |  |  |  | 550,000 |  |  |  | — |  |  |  | 20,000 |  |  |  | 5,945,000 |
Foreign currency at value(c) |  |  | 11,734 |  |  |  | — |  |  |  | 1,822 |  |  |  | 244,618 |  |  |  | 532,946 |
Receivables: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments sold |  |  | — |  |  |  | 1,360,915 |  |  |  | — |  |  |  | — |  |  |  | — |
Options written |  |  | 37,485 |  |  |  | 289,722 |  |  |  | 840,481 |  |  |  | 28,483 |  |  |  | 83,973 |
Dividends — affiliated |  |  | 781 |  |  |  | 803 |  |  |  | 1,223 |  |  |  | 273 |  |  |  | 463 |
Dividends — unaffiliated |  |  | 754,824 |  |  |  | 1,078,899 |  |  |  | 3,116,728 |  |  |  | 3,056,684 |  |  |  | 2,910,781 |
Prepaid expenses |  |  | 2,109 |  |  |  | 10,074 |  |  |  | 54,187 |  |  |  | 8,937 |  |  |  | 15,195 |
Total assets |  |  | 243,041,415 |  |  |  | 725,505,854 |  |  |  | 1,547,027,439 |  |  |  | 702,948,108 |  |  |  | 623,938,379 |
LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written at value(d) |  |  | 1,754,336 |  |  |  | 13,728,981 |  |  |  | 19,243,435 |  |  |  | 6,317,059 |  |  |  | 5,623,423 |
Payables: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments purchased |  |  | 102 |  |  |  | 1,489,254 |  |  |  | — |  |  |  | 894 |  |  |  | 1,753 |
Capital shares redeemed |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 212,392 |  |  |  | 221,384 |
Income dividend distributions |  |  | 80,854 |  |  |  | 217,675 |  |  |  | 334,703 |  |  |  | 161,515 |  |  |  | 197,170 |
Investment advisory fees |  |  | 200,080 |  |  |  | 494,583 |  |  |  | 1,016,713 |  |  |  | 473,885 |  |  |  | 457,222 |
Trustees’ and Officer’s fees |  |  | 460,542 |  |  |  | 210,020 |  |  |  | 958,841 |  |  |  | 661,215 |  |  |  | 561,338 |
Options written |  |  | 423 |  |  |  | 400,695 |  |  |  | 491,720 |  |  |  | 24,456 |  |  |  | 149,282 |
Other accrued expenses |  |  | 135,695 |  |  |  | 126,295 |  |  |  | 287,366 |  |  |  | 203,270 |  |  |  | 177,106 |
Total liabilities |  |  | 2,632,032 |  |  |  | 16,667,503 |  |  |  | 22,332,778 |  |  |  | 8,054,686 |  |  |  | 7,388,678 |
NET ASSETS |  | $ | 240,409,383 |  |  | $ | 708,838,351 |  |  | $ | 1,524,694,661 |  |  | $ | 694,893,422 |  |  | $ | 616,549,701 |
NET ASSETS CONSIST OF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Paid-in capital |  | $ | 562,214,597 |  |  | $ | 561,321,996 |  |  | $ | 1,320,628,954 |  |  | $ | 760,483,423 |  |  | $ | 652,111,708 |
Accumulated earnings (loss) |  |  | (321,805,214 | ) |  |  | 147,516,355 |  |  |  | 204,065,707 |  |  |  | (65,590,001 | ) |  |  | (35,562,007 | )
NET ASSETS |  | $ | 240,409,383 |  |  | $ | 708,838,351 |  |  | $ | 1,524,694,661 |  |  | $ | 694,893,422 |  |  | $ | 616,549,701 |
Net asset value(e)(f) |  | $ | 8.06 |  |  | $ | 16.07 |  |  | $ | 8.13 |  |  | $ | 10.69 |  |  | $ | 5.87 |
(a)Investments at cost — unaffiliated |  | $ | 294,948,738 |  |  | $ | 557,686,874 |  |  | $ | 1,394,735,325 |  |  | $ | 666,910,223 |  |  | $ | 560,330,789 |
(b)Investments at cost — affiliated |  | $ | 7,415,401 |  |  | $ | 11,280,090 |  |  | $ | 8,249,540 |  |  | $ | 500,656 |  |  | $ | 1,439,314 |
(c)Foreign currency at cost |  | $ | 11,647 |  |  | $ | — |  |  | $ | 1,950 |  |  | $ | 253,446 |  |  | $ | 532,908 |
(d)Premiums received |  | $ | 2,894,347 |  |  | $ | 11,792,720 |  |  | $ | 25,160,970 |  |  | $ | 7,024,625 |  |  | $ | 5,554,320 |
(e)Shares outstanding, unlimited number of shares authorized, $0.001 par value |  |  | 29,825,326 |  |  |  | — |  |  |  | 187,542,405 |  |  |  | 64,981,921 |  |  |  | 104,964,522 |
(f)Shares outstanding, 200 million shares authorized, $0.10 par value |  |  | — |  |  |  | 44,121,400 |  |  |  | — |  |  |  | — |  |  |  | — |

See notes to financial statements.

110 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Assets and Liabilities (unaudited) (continued)

June 30, 2020

|  | BME |  |  | BMEZ |  |  | BCX(a) |  |  | BST |  |  | BSTZ |  |  | BUI |
ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments at value — unaffiliated(b)(c) |  | $ | 473,270,805 |  |  | $ | 2,668,072,284 |  |  | $ | 642,627,475 |  |  | $ | 947,117,621 |  |  | $ | 2,025,546,494 |  |  | $ | 352,375,283 |
Investments at value — affiliated(d) |  |  | 4,552,598 |  |  |  | 10,125,306 |  |  |  | 21,359,985 |  |  |  | 2,829,525 |  |  |  | 35,559,560 |  |  |  | 8,334,587 |
Cash |  |  | 3,811 |  |  |  | 56,278 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Cash pledged Collateral — OTC derivatives |  |  | — |  |  |  | 3,401,000 |  |  |  | — |  |  |  | 3,770,000 |  |  |  | 8,990,000 |  |  |  | 220,000 |
Foreign currency at value(e) |  |  | 521 |  |  |  | 155,612 |  |  |  | 86,301 |  |  |  | 2,239 |  |  |  | — |  |  |  | 20,785 |
Receivables: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments sold |  |  | 386,738 |  |  |  | 12,159,754 |  |  |  | 802,968 |  |  |  | — |  |  |  | 300,090 |  |  |  | 6,212,022 |
Options written |  |  | 164,865 |  |  |  | 471,692 |  |  |  | 606,386 |  |  |  | 295,769 |  |  |  | 203,485 |  |  |  | 103,940 |
Securities lending income — affiliated |  |  | 51 |  |  |  | 13,473 |  |  |  | — |  |  |  | 10,019 |  |  |  | 28,934 |  |  |  | — |
Capital shares sold |  |  | 8,044 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Dividends — affiliated |  |  | 657 |  |  |  | 5,839 |  |  |  | 1,176 |  |  |  | 158 |  |  |  | 1,813 |  |  |  | 768 |
Dividends — unaffiliated |  |  | 422,425 |  |  |  | 693,545 |  |  |  | 2,052,571 |  |  |  | 281,145 |  |  |  | 650,015 |  |  |  | 1,160,264 |
Deferred offering costs |  |  | 140,043 |  |  |  | — |  |  |  | — |  |  |  | 221,745 |  |  |  | — |  |  |  | 115,407 |
Prepaid expenses |  |  | 3,449 |  |  |  | — |  |  |  | — |  |  |  | 3,284 |  |  |  | 14,216 |  |  |  | — |
Total assets |  |  | 478,954,007 |  |  |  | 2,695,154,783 |  |  |  | 667,536,862 |  |  |  | 954,531,505 |  |  |  | 2,071,294,607 |  |  |  | 368,543,056 |
LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bank overdraft |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 4,116,936 |  |  |  | 110,813 |  |  |  | — |
Foreign bank overdraft(f) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 16,678 |  |  |  | — |
Cash collateral on securities loaned at value |  |  | 10,780 |  |  |  | 1,889,600 |  |  |  | — |  |  |  | 2,829,525 |  |  |  | 7,981,782 |  |  |  | — |
Options written at value(g) |  |  | 6,911,546 |  |  |  | 38,441,548 |  |  |  | 8,005,582 |  |  |  | 21,192,234 |  |  |  | 39,725,393 |  |  |  | 4,681,958 |
Payables: |  |  |  |  |  |  | — |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments purchased |  |  | — |  |  |  | 131,456 |  |  |  | 663,337 |  |  |  | — |  |  |  | — |  |  |  | 8,403,603 |
Capital shares redeemed |  |  | — |  |  |  | — |  |  |  | 418,712 |  |  |  | — |  |  |  | — |  |  |  | — |
Income dividend distributions |  |  | — |  |  |  | 2,277,767 |  |  |  | 124,310 |  |  |  | — |  |  |  | 1,564,254 |  |  |  | — |
Investment advisory fees |  |  | 381,192 |  |  |  | 2,620,951 |  |  |  | 541,152 |  |  |  | 655,928 |  |  |  | 1,973,714 |  |  |  | 284,037 |
Offering costs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 49,550 |  |  |  | — |  |  |  | 34,214 |
Trustees’ and Officer’s fees |  |  | 19,656 |  |  |  | 6,910 |  |  |  | 272,689 |  |  |  | — |  |  |  | 23,804 |  |  |  | — |
Options written |  |  | 28,871 |  |  |  | 582,358 |  |  |  | 674,575 |  |  |  | 719,759 |  |  |  | 151,891 |  |  |  | 171,952 |
Other accrued expenses |  |  | 240,464 |  |  |  | 349,857 |  |  |  | 260,276 |  |  |  | 450,306 |  |  |  | 364,479 |  |  |  | 106,859 |
Total liabilities |  |  | 7,592,509 |  |  |  | 46,300,447 |  |  |  | 10,960,633 |  |  |  | 30,014,238 |  |  |  | 51,912,808 |  |  |  | 13,682,623 |
NET ASSETS |  | $ | 471,361,498 |  |  | $ | 2,648,854,336 |  |  | $ | 656,576,229 |  |  | $ | 924,517,267 |  |  | $ | 2,019,381,799 |  |  | $ | 354,860,433 |
NET ASSETS CONSIST OF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Paid-in capital |  | $ | 319,505,179 |  |  | $ | 2,253,396,500 |  |  | $ | 1,153,698,159 |  |  | $ | 400,681,554 |  |  | $ | 1,518,686,036 |  |  | $ | 296,478,491 |
Accumulated earnings (loss) |  |  | 151,856,319 |  |  |  | 395,457,836 |  |  |  | (497,121,930 | ) |  |  | 523,835,713 |  |  |  | 500,695,763 |  |  |  | 58,381,942 |
NET ASSETS |  | $ | 471,361,498 |  |  | $ | 2,648,854,336 |  |  | $ | 656,576,229 |  |  | $ | 924,517,267 |  |  | $ | 2,019,381,799 |  |  | $ | 354,860,433 |
Net asset value(h) |  | $ | 40.93 |  |  | $ | 23.51 |  |  | $ | 7.29 |  |  | $ | 38.26 |  |  | $ | 25.86 |  |  | $ | 20.00 |
(a)Consolidated Statement of Assets and Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(b)Investments at cost — unaffiliated |  | $ | 305,114,296 |  |  | $ | 2,205,329,261 |  |  | $ | 634,264,769 |  |  | $ | 382,925,917 |  |  | $ | 1,316,456,866 |  |  | $ | 276,588,342 |
(c)Securities loaned at value |  | $ | 10,111 |  |  | $ | 1,914,529 |  |  | $ | — |  |  | $ | 2,654,839 |  |  | $ | 7,472,035 |  |  | $ | — |
(d)Investments at cost — affiliated |  | $ | 4,552,583 |  |  | $ | 10,125,306 |  |  | $ | 21,359,985 |  |  | $ | 2,829,525 |  |  | $ | 35,558,771 |  |  | $ | 8,334,587 |
(e)Foreign currency at cost |  | $ | 519 |  |  | $ | 155,514 |  |  | $ | 85,549 |  |  | $ | 2,309 |  |  | $ | — |  |  | $ | 20,812 |
(f)Foreign bank overdraft at cost |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 16,706 |  |  | $ | — |
(g)Premiums received |  | $ | 6,126,482 |  |  | $ | 28,539,374 |  |  | $ | 7,484,769 |  |  | $ | 12,417,299 |  |  | $ | 21,546,954 |  |  | $ | 3,193,621 |
(h)Shares outstanding, unlimited number of shares authorized, $0.001 par value |  |  | 11,516,598 |  |  |  | 112,669,825 |  |  |  | 90,075,315 |  |  |  | 24,167,135 |  |  |  | 78,089,962 |  |  |  | 17,741,194 |

See notes to financial statements.

FINANCIAL STATEMENTS |  | 111

Statements of Operations (unaudited)

Six Months Ended June 30, 2020

|  | BGR |  |  | CII |  |  | BDJ |  |  | BOE |  |  | BGY |
INVESTMENT INCOME |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dividends — affiliated |  | $ | 39,731 |  |  | $ | 19,932 |  |  | $ | 28,938 |  |  | $ | 24,020 |  |  | $ | 55,261 |
Dividends — unaffiliated |  |  | 7,824,342 |  |  |  | 7,315,286 |  |  |  | 27,689,096 |  |  |  | 13,661,220 |  |  |  | 11,907,387 |
Foreign taxes withheld |  |  | (555,932) |  |  |  | (180,438) |  |  |  | (851,476) |  |  |  | (623,144) |  |  |  | (1,022,713) |
Total investment income |  |  | 7,308,141 |  |  |  | 7,154,780 |  |  |  | 26,866,558 |  |  |  | 13,062,096 |  |  |  | 10,939,935 |
EXPENSES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment advisory |  |  | 1,620,564 |  |  |  | 2,999,221 |  |  |  | 6,350,397 |  |  |  | 3,542,663 |  |  |  | 3,065,553 |
Professional |  |  | 43,043 |  |  |  | 55,299 |  |  |  | 94,334 |  |  |  | 68,088 |  |  |  | 62,796 |
Transfer agent |  |  | 37,334 |  |  |  | 43,244 |  |  |  | 92,229 |  |  |  | 52,420 |  |  |  | 48,245 |
Custodian |  |  | 23,154 |  |  |  | 18,458 |  |  |  | 74,140 |  |  |  | 45,440 |  |  |  | 39,893 |
Accounting services |  |  | 22,388 |  |  |  | 24,879 |  |  |  | — |  |  |  | — |  |  |  | 24,880 |
Registration |  |  | 5,528 |  |  |  | 8,178 |  |  |  | 37,952 |  |  |  | 12,528 |  |  |  | 19,879 |
Rating agency |  |  | 5,230 |  |  |  | 7,408 |  |  |  | 11,817 |  |  |  | 7,422 |  |  |  | 6,945 |
Printing |  |  | 5,228 |  |  |  | 10,299 |  |  |  | — |  |  |  | — |  |  |  | 7,301 |
Directors and Officer |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Organization and offering |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Miscellaneous |  |  | 25,061 |  |  |  | 12,157 |  |  |  | 42,185 |  |  |  | 29,811 |  |  |  | 522 |
Total expenses excluding interest expense |  |  | 1,787,530 |  |  |  | 3,179,143 |  |  |  | 6,703,054 |  |  |  | 3,758,372 |  |  |  | 3,276,014 |
Total expenses |  |  | 1,787,530 |  |  |  | 3,179,143 |  |  |  | 6,703,054 |  |  |  | 3,758,372 |  |  |  | 3,276,014 |
Less fees waived and/or reimbursed by the Manager |  |  | (301,386 | ) |  |  | (3,211 | ) |  |  | (4,485 | ) |  |  | (623,673 | ) |  |  | (311,981 | )
Total expenses after fees waived and/or reimbursed |  |  | 1,486,144 |  |  |  | 3,175,932 |  |  |  | 6,698,569 |  |  |  | 3,134,699 |  |  |  | 2,964,033 |
Net investment income (loss) |  |  | 5,821,997 |  |  |  | 3,978,848 |  |  |  | 20,167,989 |  |  |  | 9,927,397 |  |  |  | 7,975,902 |
REALIZED AND UNREALIZED GAIN (LOSS) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net realized gain (loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency transactions |  |  | (68,404 | ) |  |  | — |  |  |  | (72,162 | ) |  |  | (191,765 | ) |  |  | (77,116 | )
Investments — unaffiliated |  |  | (61,891,332 | ) |  |  | 39,275,137 |  |  |  | 30,049,985 |  |  |  | (29,729,771 | ) |  |  | (18,609,255 | )
Options written |  |  | (815,024 | ) |  |  | (20,598,491 | ) |  |  | (15,418,259 | ) |  |  | (6,235,765 | ) |  |  | (7,138,108 | )
|  |  | (62,774,760 | ) |  |  | 18,676,646 |  |  |  | 14,559,564 |  |  |  | (36,157,301 | ) |  |  | (25,824,479 | )
Net change in unrealized appreciation (depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency translations |  |  | (1,571 | ) |  |  | — |  |  |  | 6,163 |  |  |  | (3,560 | ) |  |  | (6,147 | )
Investments — unaffiliated |  |  | (68,297,178 | ) |  |  | (83,947,618 | ) |  |  | (346,285,607 | ) |  |  | (58,853,656 | ) |  |  | (25,643,177 | )
Options written |  |  | 2,253,788 |  |  |  | 655,814 |  |  |  | 10,833,983 |  |  |  | 2,499,638 |  |  |  | 1,758,197 |
|  |  | (66,044,961) |  |  |  | (83,291,804) |  |  |  | (335,445,461) |  |  |  | (56,357,578) |  |  |  | (23,891,127) |
Net realized and unrealized gain (loss) |  |  | (128,819,721 | ) |  |  | (64,615,158 | ) |  |  | (320,885,897 | ) |  |  | (92,514,879 | ) |  |  | (49,715,606 | )
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |  | $ | (122,997,724 | ) |  | $ | (60,636,310 | ) |  | $ | (300,717,908 | ) |  | $ | (82,587,482 | ) |  | $ | (41,739,704 | )

See notes to financial statements.

112 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Operations (unaudited) (continued)

Six Months Ended June 30, 2020

|  | BME |  |  | BMEZ(a) |  |  | BCX(b) |  |  | BST |  |  | BSTZ |  |  | BUI |
INVESTMENT INCOME |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dividends — affiliated |  | $ | 29,732 |  |  | $ | 2,362,043 |  |  | $ | 49,361 |  |  | $ | 25,107 |  |  | $ | 133,771 |  |  | $ | 35,677 |
Dividends — unaffiliated |  |  | 2,820,111 |  |  |  | 2,811,586 |  |  |  | 13,663,335 |  |  |  | 1,329,806 |  |  |  | 1,892,536 |  |  |  | 5,886,507 |
Securities lending income — affiliated — net |  |  | 4,204 |  |  |  | 13,473 |  |  |  | 6,091 |  |  |  | 14,886 |  |  |  | 273,735 |  |  |  | — |
Other income — affiliated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 25,547 |  |  |  |  |
Foreign taxes withheld |  |  | (74,670 | ) |  |  | (249,473 | ) |  |  | (807,935 | ) |  |  | (87,598 | ) |  |  | (202,851 | ) |  |  | (364,334 | )
Total investment income |  |  | 2,779,377 |  |  |  | 4,937,629 |  |  |  | 12,910,852 |  |  |  | 1,282,201 |  |  |  | 2,122,738 |  |  |  | 5,557,850 |
EXPENSES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment advisory |  |  | 2,189,539 |  |  |  | 11,819,707 |  |  |  | 3,313,909 |  |  |  | 3,851,876 |  |  |  | 10,349,418 |  |  |  | 1,758,554 |
Professional |  |  | 41,755 |  |  |  | 85,812 |  |  |  | 74,212 |  |  |  | 58,426 |  |  |  | 77,505 |  |  |  | 43,153 |
Transfer agent |  |  | 32,695 |  |  |  | 62,300 |  |  |  | 56,636 |  |  |  | 46,366 |  |  |  | 7,889 |  |  |  | 29,986 |
Custodian |  |  | 34,528 |  |  |  | 56,716 |  |  |  | 44,759 |  |  |  | 61,480 |  |  |  | 90,338 |  |  |  | 28,938 |
Accounting services |  |  | 14,927 |  |  |  | 97,493 |  |  |  | 29,848 |  |  |  | 24,880 |  |  |  | 93,804 |  |  |  | 24,880 |
Registration |  |  | 5,603 |  |  |  | — |  |  |  | 17,365 |  |  |  | 4,660 |  |  |  | 3,617 |  |  |  | 4,763 |
Rating agency |  |  | 6,069 |  |  |  | 12,984 |  |  |  | 20,816 |  |  |  | 7,731 |  |  |  | 12,120 |  |  |  | 19,261 |
Printing |  |  | 5,412 |  |  |  | 10,374 |  |  |  | 8,878 |  |  |  | 7,987 |  |  |  | 17,052 |  |  |  | 4,966 |
Directors and Officer |  |  | 10,240 |  |  |  | 47,731 |  |  |  | — |  |  |  | 22,439 |  |  |  | 47,965 |  |  |  | 11,626 |
Organization and offering |  |  | 34,000 |  |  |  | — |  |  |  | — |  |  |  | 34,000 |  |  |  | — |  |  |  | 34,000 |
Miscellaneous |  |  | 17,036 |  |  |  | 42,366 |  |  |  | 75,835 |  |  |  | 78,269 |  |  |  | 150,376 |  |  |  | 30,191 |
Total expenses excluding interest expense |  |  | 2,391,804 |  |  |  | 12,235,483 |  |  |  | 3,642,258 |  |  |  | 4,198,114 |  |  |  | 10,850,084 |  |  |  | 1,990,318 |
Total expenses |  |  | 2,391,804 |  |  |  | 12,235,483 |  |  |  | 3,642,258 |  |  |  | 4,198,114 |  |  |  | 10,850,084 |  |  |  | 1,990,318 |
Less fees waived and/or reimbursed by the Manager |  |  | (3,526 | ) |  |  | (178,249 | ) |  |  | (4,467 | ) |  |  | (387,481 | ) |  |  | (8,894 | ) |  |  | (47,888 | )
Total expenses after fees waived and/or reimbursed |  |  | 2,388,278 |  |  |  | 12,057,234 |  |  |  | 3,637,791 |  |  |  | 3,810,633 |  |  |  | 10,841,190 |  |  |  | 1,942,430 |
Net investment income (loss) |  |  | 391,099 |  |  |  | (7,119,605 | ) |  |  | 9,273,061 |  |  |  | (2,528,432 | ) |  |  | (8,718,452 | ) |  |  | 3,615,420 |
REALIZED AND UNREALIZED GAIN (LOSS) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net realized gain (loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency transactions |  |  | (10,037 | ) |  |  | 266,792 |  |  |  | 63 |  |  |  | (112,193 | ) |  |  | (14,628 | ) |  |  | (18,282 | )
Investments — affiliated |  |  | (309 | ) |  |  | — |  |  |  | 84 |  |  |  | (472 | ) |  |  | 13,942 |  |  |  | — |
Investments — unaffiliated |  |  | 9,068,136 |  |  |  | 5,332,192 |  |  |  | (43,849,508 | ) |  |  | 27,399,337 |  |  |  | 3,403,876 |  |  |  | 6,647,540 |
Options written |  |  | (8,068,279 | ) |  |  | (22,065,517 | ) |  |  | (5,601,029 | ) |  |  | (49,807,751 | ) |  |  | (109,617,139 | ) |  |  | (7,192,006 | )
|  |  | 989,511 |  |  |  | (16,466,533 | ) |  |  | (49,450,390 | ) |  |  | (22,521,079 | ) |  |  | (106,213,949 | ) |  |  | (562,748 | )
Net change in unrealized appreciation (depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency translations |  |  | 435 |  |  |  | 4,073 |  |  |  | (192 | ) |  |  | 395 |  |  |  | (10,581 | ) |  |  | (5,268 | )
Investments — affiliated |  |  | 11 |  |  |  | — |  |  |  | (42 | ) |  |  | — |  |  |  | 789 |  |  |  | — |
Investments — unaffiliated |  |  | 8,485,810 |  |  |  | 462,743,023 |  |  |  | (94,915,983 | ) |  |  | 192,731,982 |  |  |  | 556,823,643 |  |  |  | (25,905,487 | )
Options written |  |  | 744,026 |  |  |  | (9,902,174 | ) |  |  | 669,699 |  |  |  | (5,868,846 | ) |  |  | (11,611,659 | ) |  |  | (127,042 | )
|  |  | 9,230,282 |  |  |  | 452,844,922 |  |  |  | (94,246,518 | ) |  |  | 186,863,531 |  |  |  | 545,202,192 |  |  |  | (26,037,797 | )
Net realized and unrealized gain (loss) |  |  | 10,219,793 |  |  |  | 436,378,389 |  |  |  | (143,696,908 | ) |  |  | 164,342,452 |  |  |  | 438,988,243 |  |  |  | (26,600,545 | )
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |  | $ | 10,610,892 |  |  | $ | 429,258,784 |  |  | $ | (134,423,847 | ) |  | $ | 161,814,020 |  |  | $ | 430,269,791 |  |  | $ | (22,985,125 | )

(a) | Commencement of operations January 30, 2020.

(b) | Consolidated Statement of Operations.

See notes to financial statements.

FINANCIAL STATEMENTS |  | 113

Statements of Changes in Net Assets

|  | BGR |  |  | CII |
|  | Six Months Ended 06/30/20 (unaudited) |  |  | Year Ended 12/31/19 |  |  | Six Months Ended 06/30/20 (unaudited) |  |  | Year Ended 12/31/19 |
INCREASE (DECREASE) IN NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
OPERATIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  | $ | 5,821,997 |  |  | $ | 10,075,651 |  |  | $ | 3,978,848 |  |  | $ | 8,012,154 |
Net realized gain (loss) |  |  | (62,774,760 | ) |  |  | (24,802,316 | ) |  |  | 18,676,647 |  |  |  | 20,096,351 |
Net change in unrealized appreciation (depreciation) |  |  | (66,044,961 | ) |  |  | 60,005,258 |  |  |  | (83,291,805 | ) |  |  | 134,499,339 |
Net increase (decrease) in net assets resulting from operations |  |  | (122,997,724 | ) |  |  | 45,278,593 |  |  |  | (60,636,310 | ) |  |  | 162,607,844 |
DISTRIBUTIONS TO SHAREHOLDERS(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income and net realized gain |  |  | (11,488,716 | )(b) |  |  | (10,080,237 | ) |  |  | (23,163,735 | ) |  |  | (27,696,642 | )
From return of capital |  |  | — |  |  |  | (17,693,107 | ) |  |  | — |  |  |  | (16,349,752 | )
Decrease in net assets resulting from distributions to shareholders |  |  | (11,488,716 | ) |  |  | (27,773,344 | ) |  |  | (23,163,735 | ) |  |  | (44,046,394 | )
NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total increase (decrease) in net assets |  |  | (134,486,440 | ) |  |  | 17,505,249 |  |  |  | (83,800,045 | ) |  |  | 118,561,450 |
Beginning of period |  |  | 374,895,823 |  |  |  | 357,390,574 |  |  |  | 792,638,396 |  |  |  | 674,076,946 |
End of period |  | $ | 240,409,383 |  |  | $ | 374,895,823 |  |  | $ | 708,838,351 |  |  | $ | 792,638,396 |

(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

See notes to financial statements.

114 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Changes in Net Assets (continued)

|  | BDJ |  |  | BOE |
|  | Six Months Ended 06/30/20 (unaudited) |  |  | Year Ended 12/31/19 |  |  | Six Months Ended 06/30/20 (unaudited) |  |  | Year Ended 12/31/19 |
INCREASE (DECREASE) IN NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
OPERATIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  | $ | 20,167,989 |  |  | $ | 35,572,226 |  |  | $ | 9,927,397 |  |  | $ | 20,684,957 |
Net realized gain (loss) |  |  | 14,559,564 |  |  |  | 79,452,284 |  |  |  | (36,157,301 | ) |  |  | (37,889,330 | )
Net change in unrealized appreciation (depreciation) |  |  | (335,445,461 | ) |  |  | 269,293,501 |  |  |  | (56,357,578 | ) |  |  | 148,014,247 |
Net increase (decrease) in net assets resulting from operations |  |  | (300,717,908 | ) |  |  | 384,318,011 |  |  |  | (82,587,482 | ) |  |  | 130,809,874 |
DISTRIBUTIONS TO SHAREHOLDERS(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income and net realized gain |  |  | (56,262,721 | )(b) |  |  | (140,879,229 | ) |  |  | (24,742,525 | )(b) |  |  | (20,682,389 | )
From return of capital |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (29,979,719 | )
Decrease in net assets resulting from distributions to shareholders |  |  | (56,262,721 | ) |  |  | (140,879,229 | ) |  |  | (24,742,525 | ) |  |  | (50,662,108 | )
CAPITAL SHARE TRANSACTIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Redemption of shares resulting from share repurchase program (including transaction costs) |  |  | — |  |  |  | — |  |  |  | (5,488,353 | ) |  |  | (27,037,545 | )
NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total increase (decrease) in net assets |  |  | (356,980,629 | ) |  |  | 243,438,782 |  |  |  | (112,818,360 | ) |  |  | 53,110,221 |
Beginning of period |  |  | 1,881,675,290 |  |  |  | 1,638,236,508 |  |  |  | 807,711,782 |  |  |  | 754,601,561 |
End of period |  | $ | 1,524,694,661 |  |  | $ | 1,881,675,290 |  |  | $ | 694,893,422 |  |  | $ | 807,711,782 |

(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

See notes to financial statements.

FINANCIAL STATEMENTS |  |  | 115 |

Statements of Changes in Net Assets (continued)

|  | BGY |  |  | BME |
|  | Six Months Ended 06/30/20 (unaudited) |  |  | Year Ended 12/31/19 |  |  | Six Months Ended 06/30/20 (unaudited) |  |  | Year Ended 12/31/19 |
INCREASE (DECREASE) IN NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
OPERATIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  | $ | 7,975,902 |  |  | $ | 16,918,169 |  |  | $ | 391,099 |  |  | $ | 633,566 |
Net realized gain (loss) |  |  | (25,824,479 | ) |  |  | (36,948,302 | ) |  |  | 989,511 |  |  |  | 23,093,368 |
Net change in unrealized appreciation (depreciation) |  |  | (23,891,127 | ) |  |  | 134,495,399 |  |  |  | 9,230,282 |  |  |  | 56,152,699 |
Net increase (decrease) in net assets resulting from operations |  |  | (41,739,704 | ) |  |  | 114,465,266 |  |  |  | 10,610,892 |  |  |  | 79,879,633 |
DISTRIBUTIONS TO SHAREHOLDERS(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income and net realized gain |  |  | (21,402,485 | )(b) |  |  | (36,797,115 | ) |  |  | (13,379,014 | )(b) |  |  | (25,002,003 | )
From return of capital |  |  | — |  |  |  | (6,617,930 | ) |  |  | — |  |  |  | — |
Decrease in net assets resulting from distributions to shareholders |  |  | (21,402,485 | ) |  |  | (43,415,045 | ) |  |  | (13,379,014 | ) |  |  | (25,002,003 | )
CAPITAL SHARE TRANSACTIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Proceeds from shares sold |  |  | — |  |  |  | — |  |  |  | 26,739,930 |  |  |  | 37,463,441 |
Reinvestment of common distributions |  |  | — |  |  |  | — |  |  |  | 617,099 |  |  |  | 1,756,542 |
Redemption of shares resulting from share repurchase program (including transaction costs) |  |  | (3,555,237 | ) |  |  | (11,037,544 | ) |  |  | — |  |  |  | — |
Net increase in net assets derived from capital share transactions |  |  | (3,555,237 | ) |  |  | (11,037,544 | ) |  |  | 27,357,029 |  |  |  | 39,219,983 |
NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total increase (decrease) in net assets |  |  | (66,697,426 | ) |  |  | 60,012,677 |  |  |  | 24,588,907 |  |  |  | 94,097,613 |
Beginning of period |  |  | 683,247,127 |  |  |  | 623,234,450 |  |  |  | 446,772,591 |  |  |  | 352,674,978 |
End of period |  | $ | 616,549,701 |  |  | $ | 683,247,127 |  |  | $ | 471,361,498 |  |  | $ | 446,772,591 |

(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

See notes to financial statements.

116 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Changes in Net Assets (continued)

|  | BMEZ |  |  | BCX(b) |
|  | Period from 01/30/20 (a) to 06/30/20 (unaudited) |  |  | Six Months Ended 06/30/20 (unaudited) |  |  | Year Ended 12/31/19 |
INCREASE (DECREASE) IN NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |
OPERATIONS |  |  |  |  |  |  |  |  |  |  |  |
Net investment loss |  | $ | (7,119,605 | ) |  | $ | 9,273,061 |  |  | $ | 21,201,953 |
Net realized loss |  |  | (16,466,533 | ) |  |  | (49,450,390 | ) |  |  | (20,246,713 | )
Net change in unrealized appreciation (depreciation) |  |  | 452,844,922 |  |  |  | (94,246,518 | ) |  |  | 108,031,599 |
Net increase in net assets resulting from operations |  |  | 429,258,784 |  |  |  | (134,423,847 | ) |  |  | 108,986,839 |
DISTRIBUTIONS TO SHAREHOLDERS(c) |  |  |  |  |  |  |  |  |  |  |  |
From net investment income and net realized gain |  |  | (33,800,948 | )(d) |  |  | (26,039,982 | )(d) |  |  | (21,302,066 | )
From return of capital |  |  | — |  |  |  | — |  |  |  | (36,208,319 | )
Decrease in net assets resulting from distributions to shareholders |  |  | (33,800,948 | ) |  |  | (26,039,982 | ) |  |  | (57,510,385 | )
CAPITAL SHARE TRANSACTIONS |  |  |  |  |  |  |  |  |  |  |  |
Proceeds from shares sold |  |  | 2,253,396,500 |  |  |  | — |  |  |  | — |
Redemption of shares resulting from share repurchase program (including transaction costs) |  |  | — |  |  |  | (5,713,680 | ) |  |  | (27,004,375 | )
Net increase in net assets derived from capital share transactions |  |  | 2,253,396,500 |  |  |  | (5,713,680 | ) |  |  | (27,004,375 | )
NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |
Total increase in net assets |  |  | 2,648,854,336 |  |  |  | (166,177,509 | ) |  |  | 24,472,079 |
Beginning of period |  |  | — |  |  |  | 822,753,738 |  |  |  | 798,281,659 |
End of period |  | $ | 2,648,854,336 |  |  | $ | 656,576,229 |  |  | $ | 822,753,738 |

(a) | Commencement of operations.

(b) | Consolidated Statements of Changes in Net Assets.

(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

See notes to financial statements.

FINANCIAL STATEMENTS |  | 117

Statements of Changes in Net Assets (continued)

|  | BST |  |  | BSTZ |
|  | Six Months Ended 06/30/20 (unaudited) |  |  | Year Ended 12/31/19 |  |  | Six Months Ended 06/30/20 (unaudited) |  |  | Period from 06/27/19(a) to 12/31/19 |
INCREASE (DECREASE) IN NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
OPERATIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  | $ | (2,528,432 | ) |  | $ | (3,710,069 | ) |  | $ | (8,718,452 | ) |  | $ | (3,753,861 | )
Net realized gain (loss) |  |  | (22,521,079 | ) |  |  | 75,947,016 |  |  |  | (106,213,949 | ) |  |  | (28,717,347 | )
Net change in unrealized appreciation (depreciation) |  |  | 186,863,531 |  |  |  | 146,625,953 |  |  |  | 545,202,192 |  |  |  | 145,700,507 |
Net increase (decrease) in net assets resulting from operations |  |  | 161,814,020 |  |  |  | 218,862,900 |  |  |  | 430,269,791 |  |  |  | 113,229,299 |
DISTRIBUTIONS TO SHAREHOLDERS(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income and net realized gain |  |  | (23,314,553 | )(c) |  |  | (78,918,792 | ) |  |  | (46,853,977 | )(c) |  |  | — |
From return of capital |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (39,001,740 | )
Decrease in net assets resulting from distributions to shareholders |  |  | (23,314,553 | ) |  |  | (78,918,792 | ) |  |  | (46,853,977 | ) |  |  | (39,001,740 | )
CAPITAL SHARE TRANSACTIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Proceeds from shares sold |  |  | 42,528,455 |  |  |  | 9,976,531 |  |  |  | — |  |  |  | 1,557,499,120 |
Reinvestment of common distributions |  |  | 817,827 |  |  |  | 4,843,194 |  |  |  | — |  |  |  | 4,139,306 |
Net increase in net assets derived from capital share transactions |  |  | 43,346,282 |  |  |  | 14,819,725 |  |  |  | — |  |  |  | 1,561,638,426 |
NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total increase (decrease) in net assets |  |  | 181,845,749 |  |  |  | 154,763,833 |  |  |  | 383,415,814 |  |  |  | 1,635,865,985 |
Beginning of period |  |  | 742,671,518 |  |  |  | 587,907,685 |  |  |  | 1,635,965,985 |  |  |  | 100,000 |
End of period |  | $ | 924,517,267 |  |  | $ | 742,671,518 |  |  | $ | 2,019,381,799 |  |  | $ | 1,635,965,985 |

(a) | Commencement of operations.

(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

See notes to financial statements.

118 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Changes in Net Assets (continued)

|  | BUI |
|  | Six Months Ended 06/30/20 (unaudited) |  |  | Year Ended 12/31/19 |
INCREASE (DECREASE) IN NET ASSETS |  |  |  |  |  |  |  |
OPERATIONS |  |  |  |  |  |  |  |
Net investment loss |  | $ | 3,615,420 |  |  | $ | 6,287,990 |
Net realized loss |  |  | (562,748 | ) |  |  | 18,652,295 |
Net change in unrealized appreciation (depreciation) |  |  | (26,037,797 | ) |  |  | 54,988,272 |
Net increase in net assets resulting from operations |  |  | (22,985,125 | ) |  |  | 79,928,557 |
DISTRIBUTIONS TO SHAREHOLDERS(a) |  |  |  |  |  |  |  |
From net investment income and net realized gain |  |  | (12,824,430 | )(b) |  |  | (22,233,727 | )
From return of capital |  |  | — |  |  |  | (2,538,581 | )
Decrease in net assets resulting from distributions to shareholders |  |  | (12,824,430 | ) |  |  | (24,772,308 | )
CAPITAL SHARE TRANSACTIONS |  |  |  |  |  |  |  |
Proceeds from shares sold |  |  | 6,820,714 |  |  |  | 7,651,380 |
Reinvestment of common distributions |  |  | 512,164 |  |  |  | 1,596,219 |
Net increase in net assets derived from capital share transactions |  |  | 7,332,878 |  |  |  | 9,247,599 |
NET ASSETS |  |  |  |  |  |  |  |
Total increase in net assets |  |  | (28,476,677 | ) |  |  | 64,403,848 |
Beginning of period |  |  | 383,337,110 |  |  |  | 318,933,262 |
End of period |  | $ | 354,860,433 |  |  | $ | 383,337,110 |

(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

See notes to financial statements.

FINANCIAL STATEMENTS |  | 119

Statements of Cash Flows (unaudited)

Six Months Ended June 30, 2020

|  | BGR |  |  | CII |  |  | BDJ |  |  | BOE |  |  | BGY |
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net increase (decrease) in net assets resulting from operations |  | $ | (122,997,724 | ) |  | $ | (60,636,310 | ) |  | $ | (300,717,908 | ) |  | $ | (82,587,482 | ) |  | $ | (41,739,704 | )
Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by (used for) operating activities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Proceeds from sales of long-term investments and principal paydowns |  |  | 103,905,812 |  |  |  | 255,667,506 |  |  |  | 608,087,328 |  |  |  | 203,320,055 |  |  |  | 161,657,689 |
Purchases of long-term investments |  |  | (102,172,080 | ) |  |  | (211,057,441 | ) |  |  | (548,425,765 | ) |  |  | (179,036,290 | ) |  |  | (149,824,874 | )
Net proceeds from sales (purchases) of short-term securities |  |  | 5,329,989 |  |  |  | (6,856,495 | ) |  |  | (8,249,540 | ) |  |  | 637,736 |  |  |  | 16,079,528 |
Premiums received from options written |  |  | 12,535,019 |  |  |  | 49,057,238 |  |  |  | 104,745,890 |  |  |  | 31,560,853 |  |  |  | 23,452,086 |
Premiums paid on closing options written |  |  | (12,877,977 | ) |  |  | (66,283,482 | ) |  |  | (115,745,966 | ) |  |  | (36,391,591 | ) |  |  | (29,564,501 | )
Net realized (gain) loss on investments and options written |  |  | 62,706,356 |  |  |  | (18,674,330 | ) |  |  | (14,631,726 | ) |  |  | 35,999,721 |  |  |  | 25,808,375 |
Net unrealized appreciation on investments, options written and foreign currency translations |  |  | 66,043,306 |  |  |  | 83,291,804 |  |  |  | 335,451,647 |  |  |  | 56,358,964 |  |  |  | 23,884,980 |
(Increase) Decrease in Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Receivables: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dividends — affiliated |  |  | 14,365 |  |  |  | 6,100 |  |  |  | 24,638 |  |  |  | 3,886 |  |  |  | 22,518 |
Dividends — unaffiliated |  |  | (463,622 | ) |  |  | (149,552 | ) |  |  | (1,046,664 | ) |  |  | 501,722 |  |  |  | 666,648 |
Prepaid expenses |  |  | 577 |  |  |  | 880 |  |  |  | (40,427 | ) |  |  | (3,065 | ) |  |  | (10,259 | )
Increase (Decrease) in Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Payables: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment advisory fees |  |  | (397,655 | ) |  |  | (609,547 | ) |  |  | (1,479,549 | ) |  |  | (619,056 | ) |  |  | (543,266 | )
Trustees’ and Officer’s fees |  |  | (85,154 | ) |  |  | (30,291 | ) |  |  | (137,580 | ) |  |  | (132,350 | ) |  |  | (122,039 | )
Other accrued expenses |  |  | 43,107 |  |  |  | 4,328 |  |  |  | 20,899 |  |  |  | (4,345 | ) |  |  | 377 |
Net cash provided by (used for) operating activities |  |  | 11,584,319 |  |  |  | 23,730,408 |  |  |  | 57,855,277 |  |  |  | 29,608,758 |  |  |  | 29,767,558 |
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash dividends paid to Common Shareholders |  |  | (11,544,979 | ) |  |  | (23,142,465 | ) |  |  | (57,299,886 | ) |  |  | (24,711,328 | ) |  |  | (21,375,850 | )
Payments on Common Shares redeemed |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (5,275,961 | ) |  |  | (3,333,853 | )
Increase (decrease) in bank overdraft |  |  | (27,693 | ) |  |  | (35,774 | ) |  |  | (553,855 | ) |  |  | — |  |  |  | — |
Net cash (provided by) used for financing activities |  |  | (11,572,672 | ) |  |  | (23,178,239 | ) |  |  | (57,853,741 | ) |  |  | (29,987,289 | ) |  |  | (24,709,703 | )
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash impact from foreign exchange fluctuations |  | $ | 87 |  |  | $ | — |  |  | $ | (23 | ) |  | $ | (4,945 | ) |  | $ | (5,470 | )
CASH AND FOREIGN CURRENCY |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net increase (decrease) in restricted and unrestricted cash and foreign currency |  |  | 11,734 |  |  |  | 552,169 |  |  |  | 1,513 |  |  |  | (383,476) |  |  |  | 5,052,385 |
Restricted and unrestricted cash and foreign currency at beginning of period |  |  | — |  |  |  | — |  |  |  | 1,188 |  |  |  | 5,528,094 |  |  |  | 8,516,561 |
Restricted and unrestricted cash and foreign currency at end of period |  | $ | 11,734 |  |  | $ | 552,169 |  |  | $ | 2,701 |  |  | $ | 5,144,618 |  |  | $ | 13,568,946 |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash |  |  | — |  |  |  | 2,169 |  |  |  | 879 |  |  |  | — |  |  |  | — |
Cash pledged: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateral — options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 4,880,000 |  |  |  | 7,091,000 |
Collateral — OTC derivatives |  |  | — |  |  |  | 550,000 |  |  |  | — |  |  |  | 20,000 |  |  |  | 5,945,000 |
Foreign currency at value |  |  | 11,734 |  |  |  | — |  |  |  | 1,822 |  |  |  | 244,618 |  |  |  | 532,946 |
|  | $ | 11,734 |  |  | $ | 552,169 |  |  | $ | 2,701 |  |  | $ | 5,144,618 |  |  | $ | 13,568,946 |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash pledged: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateral — options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 4,705,000 |  |  |  | 5,511,000 |
Collateral — OTC derivatives |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 450,000 |  |  |  | 2,493,000 |
Foreign currency at value |  |  | — |  |  |  | — |  |  |  | 1,188 |  |  |  | 373,094 |  |  |  | 512,561 |
|  | $ | — |  |  | $ | — |  |  | $ | 1,188 |  |  | $ | 5,528,094 |  |  | $ | 8,516,561 |

See notes to financial statements.

120 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Cash Flows (unaudited) (continued)

Six Months Ended June 30, 2020

|  | BME |  |  | BMEZ(a) |  |  | BCX(b) |  |  | BST |  |  | BSTZ |  |  | BUI |
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES |  |  |  |  |
Net increase (decrease) in net assets resulting from operations |  | $ | 10,610,892 |  |  | $ | 429,258,784 |  |  | $ | (134,423,847 | ) |  | $ | 161,814,020 |  |  | $ | 430,269,791 |  |  | $ | (22,985,125 | )
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities: |  |  |  |  |
Proceeds from sales of long-term investments and principal paydowns |  |  | 75,231,715 |  |  |  | 152,102,484 |  |  |  | 326,519,435 |  |  |  | 107,591,089 |  |  |  | 502,182,381 |  |  |  | 93,296,986 |
Purchases of long-term investments |  |  | (83,181,087 | ) |  |  | (2,368,794,355 | ) |  |  | (290,945,119 | ) |  |  | (94,926,363 | ) |  |  | (411,605,276 | ) |  |  | (89,428,607 | )
Net proceeds from sales (purchases) of short-term securities |  |  | (809,881 | ) |  |  | (10,125,306 | ) |  |  | (7,468,399 | ) |  |  | 6,051,519 |  |  |  | 127,607,058 |  |  |  | 4,149,704 |
Premiums received from options written |  |  | 24,681,208 |  |  |  | 65,762,297 |  |  |  | 30,837,516 |  |  |  | 46,433,155 |  |  |  | 87,453,457 |  |  |  | 13,367,895 |
Premiums paid on closing options written |  |  | (30,411,608 | ) |  |  | (59,177,774 | ) |  |  | (35,222,849 | ) |  |  | (90,737,918 | ) |  |  | (189,983,717 | ) |  |  | (19,660,818 | )
Net realized (gain) loss on investments and options written |  |  | (999,502 | ) |  |  | 21,403,804 |  |  |  | 49,637,031 |  |  |  | 22,409,345 |  |  |  | 106,163,593 |  |  |  | 544,466 |
Net unrealized appreciation on investments, options written and foreign currency translations |  |  | (9,229,849 | ) |  |  | (452,844,922 | ) |  |  | 94,246,326 |  |  |  | (186,863,136 | ) |  |  | (545,212,773 | ) |  |  | 26,032,555 |
(Increase) Decrease in Assets: |  |  |  |  |
Receivables: |  |  |  |  |
Dividends — affiliated |  |  | 6,173 |  |  |  | (5,839 | ) |  |  | 19,018 |  |  |  | 23,847 |  |  |  | 112,901 |  |  |  | 14,515 |
Dividends — unaffiliated |  |  | (29,456 | ) |  |  | (693,545 | ) |  |  | (841,930 | ) |  |  | (121,659 | ) |  |  | (378,962 | ) |  |  | (471,349 | )
Prepaid expenses |  |  | 2,161 |  |  |  | — |  |  |  | 5,949 |  |  |  | 2,130 |  |  |  | (12,228 | ) |  |  | 2,754 |
Securities lending income — affiliated |  |  | 7,460 |  |  |  | (13,473 | ) |  |  | 1,300 |  |  |  | (3,660) |  |  |  | 88,269 |  |  |  | — |
Deferred offering costs |  |  | 9,561 |  |  |  | — |  |  |  | — |  |  |  | 29,683 |  |  |  | — |  |  |  | 9,952 |
Increase (Decrease) in Liabilities: |  |  |  |  |
Cash collateral on securities loaned at value |  |  | (243,022 | ) |  |  | 1,889,600 |  |  |  | (180,501 | ) |  |  | 2,829,525 |  |  |  | (58,945,086 | ) |  |  | — |
Payables: |  |  |  |  |
Investment advisory fees |  |  | (337,564 | ) |  |  | 2,620,951 |  |  |  | (796,123 | ) |  |  | (385,696 | ) |  |  | (1,310,143 | ) |  |  | (318,237 | )
Trustees’ and Officer’s fees |  |  | (3,973 | ) |  |  | 6,910 |  |  |  | (64,345 | ) |  |  | (405 | ) |  |  | 14,981 |  |  |  | (66 | )
Other accrued expenses |  |  | 153,863 |  |  |  | 349,857 |  |  |  | 54,022 |  |  |  | 293,249 |  |  |  | (23,787 | ) |  |  | 1,787 |
Net cash provided by (used for) operating activities |  |  | (14,542,909 | ) |  |  | (2,218,260,527 | ) |  |  | 31,377,484 |  |  |  | (25,561,275 | ) |  |  | 46,420,459 |  |  |  | 4,556,412 |
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES |  |  |  |  |
Cash dividends paid to Common Shareholders |  |  | (12,761,915 | ) |  |  | (31,523,181 | ) |  |  | (26,083,660 | ) |  |  | (22,496,726 | ) |  |  | (46,810,402 | ) |  |  | (12,312,266 | )
Payments for offering costs |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 10,810 |  |  |  | — |  |  |  | (1,566 | )
Payments on Common Shares redeemed |  |  | — |  |  |  | — |  |  |  | (5,294,968 | ) |  |  | — |  |  |  | — |  |  |  | — |
Proceeds from issuance of Common Shares |  |  | 27,183,949 |  |  |  | 2,253,396,500 |  |  |  | — |  |  |  | 44,770,013 |  |  |  | — |  |  |  | 7,176,483 |
Increase (decrease) in bank overdraft |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 4,116,936 |  |  |  | 127,491 |  |  |  | — |
Net cash (provided by) used for financing activities |  |  | 14,422,034 |  |  |  | 2,221,873,319 |  |  |  | (31,378,628 | ) |  |  | 26,401,033 |  |  |  | (46,682,911 | ) |  |  | (5,137,349 | )
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS |  |  |  |  |
Cash impact from foreign exchange fluctuations |  | $ | 2 |  |  | $ | 98 |  |  | $ | 394 |  |  | $ | (46 | ) |  | $ | 9 |  |  | $ | (27 | )
CASH AND FOREIGN CURRENCY |  |  |  |  |
Net increase (decrease) in restricted and unrestricted cash and foreign currency |  |  | (120,873 | ) |  |  | 3,612,890 |  |  |  | (750 | ) |  |  | 839,712 |  |  |  | (262,443 | ) |  |  | (580,964 | )
Restricted and unrestricted cash and foreign currency at beginning of period |  |  | 125,205 |  |  |  | — |  |  |  | 87,051 |  |  |  | 2,932,527 |  |  |  | 9,252,443 |  |  |  | 821,749 |
Restricted and unrestricted cash and foreign currency at end of period |  | $ | 4,332 |  |  | $ | 3,612,890 |  |  | $ | 86,301 |  |  | $ | 3,772,239 |  |  | $ | 8,990,000 |  |  | $ | 240,785 |
NON-CASH FINANCING ACTIVITIES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Capital shares issued in reinvestment of distributions paid to Common Shareholders |  | $ | 617,099 |  |  | $ | — |  |  | $ | — |  |  | $ | 817,827 |  |  | $ | — |  |  | $ | 512,164 |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash |  |  | 3,811 |  |  |  | 56,278 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Cash pledged: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateral — OTC derivatives |  |  | — |  |  |  | 3,401,000 |  |  |  | — |  |  |  | 3,770,000 |  |  |  | 8,990,000 |  |  |  | 220,000 |
Foreign currency at value |  |  | 521 |  |  |  | 155,612 |  |  |  | 86,301 |  |  |  | 2,239 |  |  |  | — |  |  |  | 20,785 |
|  | $ | 4,332 |  |  | $ | 3,612,890 |  |  | $ | 86,301 |  |  | $ | 3,772,239 |  |  | $ | 8,990,000 |  |  | $ | 240,785 |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash |  |  | 74,997 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 501,313 |  |  |  | 61,749 |
Cash pledged: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateral — options written |  |  | 50,000 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Collateral — OTC derivatives |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,930,000 |  |  |  | 8,750,000 |  |  |  | 760,000 |
Foreign currency at value |  |  | 208 |  |  |  | — |  |  |  | 87,051 |  |  |  | 2,527 |  |  |  | 1,130 |  |  |  | — |
|  | $ | 125,205 |  |  | $ | — |  |  | $ | 87,051 |  |  | $ | 2,932,527 |  |  | $ | 9,252,443 |  |  | $ | 821,749 |

(a) | Commencement of operations January 30, 2020.

(b) | Consolidated Statement of Cash Flows.

See notes to financial statements.

FINANCIAL STATEMENTS |  | 121

Financial Highlights

(For a share outstanding throughout each period)

|  | BGR |
|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Year Ended December 31, |
|  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |  |  | 2015 |
Net asset value, beginning of period |  | $ | 12.57 |  |  |  |  |  |  | $ | 11.98 |  |  | $ | 15.79 |  |  | $ | 16.33 |  |  | $ | 14.05 |  |  | $ | 21.15 |
Net investment income(a) |  |  | 0.20 |  |  |  |  |  |  |  | 0.34 |  |  |  | 0.28 |  |  |  | 0.40 | (b) |  |  | 0.27 |  |  |  | 0.29 |
Net realized and unrealized gain (loss) |  |  | (4.32 | ) |  |  |  |  |  |  | 1.18 |  |  |  | (3.16 | ) |  |  | (0.01 | ) |  |  | 3.01 |  |  |  | (5.89 | )
Net increase (decrease) from investment operations |  |  | (4.12 | ) |  |  |  |  |  |  | 1.52 |  |  |  | (2.88 | ) |  |  | 0.39 |  |  |  | 3.28 |  |  |  | (5.60 | )
Distributions(c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (0.39 | )(d) |  |  |  |  |  |  | (0.34 | ) |  |  | (0.27 | ) |  |  | (0.40 | ) |  |  | (0.27 | ) |  |  | (0.29 | )
From return of capital |  |  | — |  |  |  |  |  |  |  | (0.59 | ) |  |  | (0.66 | ) |  |  | (0.53 | ) |  |  | (0.73 | ) |  |  | (1.21 | )
Total distributions |  |  | (0.39 | ) |  |  |  |  |  |  | (0.93 | ) |  |  | (0.93 | ) |  |  | (0.93 | ) |  |  | (1.00 | ) |  |  | (1.50 | )
Net asset value, end of period |  | $ | 8.06 |  |  |  |  |  |  | $ | 12.57 |  |  | $ | 11.98 |  |  | $ | 15.79 |  |  | $ | 16.33 |  |  | $ | 14.05 |
Market price, end of period |  | $ | 7.23 |  |  |  |  |  |  | $ | 11.88 |  |  | $ | 10.45 |  |  | $ | 14.18 |  |  | $ | 14.44 |  |  | $ | 12.53 |
Total Return(e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | (32.77 | )%(f) |  |  |  |  |  |  | 13.74 | % |  |  | (18.84 | )% |  |  | 3.49 | % |  |  | 25.07 | % |  |  | (27.47 | )%
Based on market price |  |  | (36.19 | )%(f) |  |  |  |  |  |  | 23.23 | % |  |  | (21.16 | )% |  |  | 5.11 | % |  |  | 24.01 | % |  |  | (31.42 | )%
Ratios to Average Net Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.32 | %(g)(h) |  |  |  |  |  |  | 1.35 | % |  |  | 1.29 | % |  |  | 1.31 | % |  |  | 1.31 | % |  |  | 1.29 | %
Total expenses after fees waived and/or reimbursed |  |  | 1.10 | %(g)(h) |  |  |  |  |  |  | 1.16 | % |  |  | 1.14 | % |  |  | 1.18 | % |  |  | 1.24 | % |  |  | 1.26 | %
Net investment income |  |  | 4.31 | %(g)(h) |  |  |  |  |  |  | 2.67 | % |  |  | 1.87 | % |  |  | 2.69 | %(b) |  |  | 1.80 | % |  |  | 1.60 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 240,409 |  |  |  |  |  |  | $ | 374,896 |  |  | $ | 357,391 |  |  | $ | 471,062 |  |  | $ | 487,064 |  |  | $ | 418,981 |
Portfolio turnover rate |  |  | 38 | % |  |  |  |  |  |  | 24 | % |  |  | 32 | % |  |  | 24 | % |  |  | 33 | % |  |  | 56 | %

(a) | Based on average shares outstanding.

(b) | Net investment income per share and the ratio of net investment income to average net assets include $0.15 per share and 0.99%, respectively, resulting from a special dividend from BakerHughes, Inc. in July 2017.

(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(e) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) | Aggregate total return.

(g) | Annualized.

(h) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.01%.

See notes to financial statements.

122 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Financial Highlights (continued)

(For a share outstanding throughout each period)

|  | CII |
|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Year Ended December 31, |
|  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |  |  | 2015 |
Net asset value, beginning of period |  | $ | 17.96 |  |  |  |  |  |  | $ | 15.28 |  |  | $ | 17.19 |  |  | $ | 15.08 |  |  | $ | 15.11 |  |  | $ | 15.67 |
Net investment income(a) |  |  | 0.09 |  |  |  |  |  |  |  | 0.18 |  |  |  | 0.17 |  |  |  | 0.15 |  |  |  | 0.13 |  |  |  | 0.11 |
Net realized and unrealized gain (loss) |  |  | (1.45 | ) |  |  |  |  |  |  | 3.50 |  |  |  | (1.09 | ) |  |  | 2.95 |  |  |  | 0.99 |  |  |  | 0.53 |
Net increase (decrease) from investment operations |  |  | (1.36 | ) |  |  |  |  |  |  | 3.68 |  |  |  | (0.92 | ) |  |  | 3.10 |  |  |  | 1.12 |  |  |  | 0.64 |
Distributions(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (0.53 | ) |  |  |  |  |  |  | (0.19 | ) |  |  | (0.17 | )(c) |  |  | (0.15 | ) |  |  | (0.13 | ) |  |  | (0.14 | )
From net realized gain |  |  | — |  |  |  |  |  |  |  | (0.44 | ) |  |  | (0.28 | )(c) |  |  | — |  |  |  | (0.04 | ) |  |  | (1.06 | )
From return of capital |  |  | — |  |  |  |  |  |  |  | (0.37 | ) |  |  | (0.54 | ) |  |  | (0.84 | ) |  |  | (0.98 | ) |  |  | — |
Total distributions |  |  | (0.53 | ) |  |  |  |  |  |  | (1.00 | ) |  |  | (0.99 | ) |  |  | (0.99 | ) |  |  | (1.15 | ) |  |  | (1.20 | )
Net asset value, end of period |  | $ | 16.07 |  |  |  |  |  |  | $ | 17.96 |  |  | $ | 15.28 |  |  | $ | 17.19 |  |  | $ | 15.08 |  |  | $ | 15.11 |
Market price, end of period |  | $ | 14.47 |  |  |  |  |  |  | $ | 17.25 |  |  | $ | 14.08 |  |  | $ | 16.38 |  |  | $ | 13.71 |  |  | $ | 14.14 |
Total Return(d) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | (7.29 | )%(e) |  |  |  |  |  |  | 25.08 | % |  |  | (5.44 | )% |  |  | 21.69 | % |  |  | 8.66 | % |  |  | 4.66 | %
Based on market price |  |  | (13.08 | )%(e) |  |  |  |  |  |  | 30.38 | % |  |  | (8.56 | )% |  |  | 27.54 | % |  |  | 5.56 | % |  |  | 9.86 | %
Ratios to Average Net Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 0.90 | %(f) |  |  |  |  |  |  | 0.91 | % |  |  | 0.90 | % |  |  | 0.93 | % |  |  | 0.95 | % |  |  | 0.94 | %
Total expenses after fees waived and/or reimbursed |  |  | 0.90 | %(f) |  |  |  |  |  |  | 0.91 | % |  |  | 0.90 | % |  |  | 0.93 | % |  |  | 0.95 | % |  |  | 0.94 | %
Net investment income |  |  | 1.13 | %(f) |  |  |  |  |  |  | 1.08 | % |  |  | 1.00 | % |  |  | 0.94 | % |  |  | 0.89 | % |  |  | 0.71 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 708,838 |  |  |  |  |  |  | $ | 792,638 |  |  | $ | 674,077 |  |  | $ | 758,400 |  |  | $ | 665,159 |  |  | $ | 666,492 |
Portfolio turnover rate |  |  | 30 | % |  |  |  |  |  |  | 32 | % |  |  | 27 | % |  |  | 32 | % |  |  | 54 | % |  |  | 133 | %

(a) | Based on average shares outstanding.

(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) | Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(d) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(e) | Aggregate total return.

(f) | Annualized.

See notes to financial statements.

FINANCIAL HIGHLIGHTS |  | 123

Financial Highlights (continued)

(For a share outstanding throughout each period)

|  | BDJ |
|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Year Ended December 31, |
|  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |  |  | 2015 |
Net asset value, beginning of period |  | $ | 10.03 |  |  |  |  |  |  | $ | 8.74 |  |  | $ | 9.96 |  |  | $ | 9.22 |  |  | $ | 8.70 |  |  | $ | 9.24 |
Net investment income(a) |  |  | 0.11 |  |  |  |  |  |  |  | 0.18 |  |  |  | 0.18 | (b) |  |  | 0.16 |  |  |  | 0.17 |  |  |  | 0.17 |
Net realized and unrealized gain (loss) |  |  | (1.71 | ) |  |  |  |  |  |  | 1.86 |  |  |  | (0.84 | ) |  |  | 1.14 |  |  |  | 0.91 |  |  |  | (0.15 | )
Net increase (decrease) from investment operations |  |  | (1.60 | ) |  |  |  |  |  |  | 2.04 |  |  |  | (0.66 | ) |  |  | 1.30 |  |  |  | 1.08 |  |  |  | 0.02 |
Distributions(c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (0.30 | ) |  |  |  |  |  |  | (0.08 | ) |  |  | (0.18 | )(d) |  |  | (0.17 | ) |  |  | (0.17 | ) |  |  | (0.17 | )
From net realized gain |  |  | — |  |  |  |  |  |  |  | (0.67 | ) |  |  | (0.38 | )(d) |  |  | (0.39 | ) |  |  | — |  |  |  | — |
From return of capital |  |  | — |  |  |  |  |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (0.39 | ) |  |  | (0.39 | )
Total distributions |  |  | (0.30 | ) |  |  |  |  |  |  | (0.75 | ) |  |  | (0.56 | ) |  |  | (0.56 | ) |  |  | (0.56 | ) |  |  | (0.56 | )
Net asset value, end of period |  | $ | 8.13 |  |  |  |  |  |  | $ | 10.03 |  |  | $ | 8.74 |  |  | $ | 9.96 |  |  | $ | 9.22 |  |  | $ | 8.70 |
Market price, end of period |  | $ | 7.34 |  |  |  |  |  |  | $ | 9.92 |  |  | $ | 7.77 |  |  | $ | 9.23 |  |  | $ | 8.15 |  |  | $ | 7.61 |
Total Return(e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | (15.70 | )%(f) |  |  |  |  |  |  | 24.52 | % |  |  | (6.59 | )% |  |  | 15.06 | % |  |  | 13.90 | % |  |  | 1.10 | %
Based on market price |  |  | (23.05 | )%(f) |  |  |  |  |  |  | 38.53 | % |  |  | (10.39 | )% |  |  | 20.63 | % |  |  | 15.11 | % |  |  | 0.63 | %
Ratios to Average Net Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 0.84 | %(g) |  |  |  |  |  |  | 0.87 | % |  |  | 0.85 | % |  |  | 0.86 | % |  |  | 0.87 | % |  |  | 0.86 | %
Total expenses after fees waived and/or reimbursed |  |  | 0.84 | %(g) |  |  |  |  |  |  | 0.87 | % |  |  | 0.85 | % |  |  | 0.86 | % |  |  | 0.85 | % |  |  | 0.85 | %
Net investment income |  |  | 2.54 | %(g) |  |  |  |  |  |  | 1.99 | % |  |  | 1.85 | %(b) |  |  | 1.73 | % |  |  | 1.91 | % |  |  | 1.85 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 1,524,695 |  |  |  |  |  |  | $ | 1,881,675 |  |  | $ | 1,638,237 |  |  | $ | 1,868,457 |  |  | $ | 1,741,649 |  |  | $ | 1,643,508 |
Portfolio turnover rate |  |  | 34 | % |  |  |  |  |  |  | 40 | % |  |  | 34 | % |  |  | 42 | % |  |  | 33 | % |  |  | 26 | %

(a) | Based on average Common Shares outstanding.

(b) | Net investment income per share and the ratio of net investment income to average net assets includes $0.01 per share and 0.14%, respectively, resulting from a special dividend.

(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) | Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(e) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) | Aggregate total return.

(g) | Annualized.

See notes to financial statements.

124 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Financial Highlights (continued)

(For a share outstanding throughout each period)

|  | BOE |
|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Year Ended December 31, |
|  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |  |  | 2015 |
Net asset value, beginning of period |  | $ | 12.32 |  |  |  |  |  |  | $ | 11.07 |  |  | $ | 13.22 |  |  | $ | 13.38 |  |  | $ | 14.25 |  |  | $ | 15.27 |
Net investment income(a) |  |  | 0.15 |  |  |  |  |  |  |  | 0.30 |  |  |  | 0.31 |  |  |  | 0.17 |  |  |  | 0.15 |  |  |  | 0.11 |
Net realized and unrealized gain (loss) |  |  | (1.40 | ) |  |  |  |  |  |  | 1.71 |  |  |  | (1.61 | ) |  |  | 1.96 |  |  |  | 0.03 |  |  |  | 0.03 |
Net increase (decrease) from investment operations |  |  | (1.25 | ) |  |  |  |  |  |  | 2.01 |  |  |  | (1.30 | ) |  |  | 2.13 |  |  |  | 0.18 |  |  |  | 0.14 |
Distributions(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (0.38 | )(c) |  |  |  |  |  |  | (0.31 | ) |  |  | (0.31 | )(d) |  |  | (0.19 | ) |  |  | (0.10 | ) |  |  | (0.17 | )
In excess of net investment income(e) |  |  | — |  |  |  |  |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (0.10 | )
From net realized gain |  |  | — |  |  |  |  |  |  |  | — |  |  |  | (0.52 | )(d) |  |  | (2.10 | ) |  |  | — |  |  |  | — |
From return of capital |  |  | — |  |  |  |  |  |  |  | (0.45 | ) |  |  | (0.02 | ) |  |  | — |  |  |  | (0.95 | ) |  |  | (0.89 | )
Total distributions |  |  | (0.38 | ) |  |  |  |  |  |  | (0.76 | ) |  |  | (0.85 | ) |  |  | (2.29 | ) |  |  | (1.05 | ) |  |  | (1.16 | )
Net asset value, end of period |  | $ | 10.69 |  |  |  |  |  |  | $ | 12.32 |  |  | $ | 11.07 |  |  | $ | 13.22 |  |  | $ | 13.38 |  |  | $ | 14.25 |
Market price, end of period |  | $ | 9.42 |  |  |  |  |  |  | $ | 10.99 |  |  | $ | 9.37 |  |  | $ | 12.51 |  |  | $ | 11.57 |  |  | $ | 12.76 |
Total Return(f) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | (9.73 | )%(g) |  |  |  |  |  |  | 19.54 | % |  |  | (9.63 | )% |  |  | 17.22 | %(h) |  |  | 2.62 | % |  |  | 1.81 | %
Based on market price |  |  | (10.83 | )%(g) |  |  |  |  |  |  | 25.98 | % |  |  | (19.16 | )% |  |  | 28.28 | % |  |  | (0.90 | )% |  |  | 6.03 | %
Ratios to Average Net Assets(i) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.06 | %(j) |  |  |  |  |  |  | 1.12 | % |  |  | 1.08 | % |  |  | 1.09 | % |  |  | 1.10 | % |  |  | 1.08 | %
Total expenses after fees waived and/or reimbursed |  |  | 0.88 | %(j) |  |  |  |  |  |  | 0.94 | % |  |  | 0.94 | % |  |  | 1.02 | % |  |  | 1.05 | % |  |  | 1.05 | %
Net investment income |  |  | 2.80 | %(j) |  |  |  |  |  |  | 2.62 | % |  |  | 2.52 | % |  |  | 1.20 | % |  |  | 1.15 | % |  |  | 0.73 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 694,893 |  |  |  |  |  |  | $ | 807,712 |  |  | $ | 754,602 |  |  | $ | 911,227 |  |  | $ | 929,897 |  |  | $ | 990,318 |
Portfolio turnover rate |  |  | 25 | % |  |  |  |  |  |  | 26 | % |  |  | 28 | % |  |  | 133 | % |  |  | 64 | % |  |  | 72 | %

(a) | Based on average shares outstanding.

(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(d) | Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(e) | Taxable distribution.

(f) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(g) | Aggregate total return.

(h) | Includes payment received from an affiliate, which had no impact on the Trust’s total return.

(i) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Year Ended December 31, |
|  |  |  |  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |  |  | 2015 |
Investments in underlying funds |  |  | — | % |  |  |  |  |  |  | — | % |  |  | — | % |  |  | 0.01 | % |  |  | — | % |  |  | 0.01 | %

(j) | Annualized.

See notes to financial statements.

FINANCIAL HIGHLIGHTS |  | 125

Financial Highlights (continued)

(For a share outstanding throughout each period)

|  | BGY |
|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Year Ended December 31, |
|  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |  |  | 2015 |
Net asset value, beginning of period |  | $ | 6.47 |  |  |  |  |  |  | $ | 5.79 |  |  | $ | 7.06 |  |  | $ | 6.28 |  |  | $ | 6.95 |  |  | $ | 7.61 |
Net investment income(a) |  |  | 0.08 |  |  |  |  |  |  |  | 0.16 |  |  |  | 0.17 | (b) |  |  | 0.09 |  |  |  | 0.09 |  |  |  | 0.08 |
Net realized and unrealized gain (loss) |  |  | (0.48 | ) |  |  |  |  |  |  | 0.93 |  |  |  | (1.00 | ) |  |  | 1.15 |  |  |  | (0.24 | ) |  |  | (0.15 | )
Net increase (decrease) from investment operations |  |  | (0.40 | ) |  |  |  |  |  |  | 1.09 |  |  |  | (0.83 | ) |  |  | 1.24 |  |  |  | (0.15 | ) |  |  | (0.07 | )
Distributions(c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (0.20 | )(d) |  |  |  |  |  |  | (0.16 | ) |  |  | (0.16 | )(e) |  |  | (0.09 | ) |  |  | (0.07 | ) |  |  | (0.11 | )
From net realized gain |  |  | — |  |  |  |  |  |  |  | (0.19 | ) |  |  | (0.28 | )(e) |  |  | — |  |  |  | — |  |  |  | — |
From return of capital |  |  | — |  |  |  |  |  |  |  | (0.06 | ) |  |  | — |  |  |  | (0.37 | ) |  |  | (0.45 | ) |  |  | (0.48 | )
Total distributions |  |  | (0.20 | ) |  |  |  |  |  |  | (0.41 | ) |  |  | (0.44 | ) |  |  | (0.46 | ) |  |  | (0.52 | ) |  |  | (0.59 | )
Net asset value, end of period |  | $ | 5.87 |  |  |  |  |  |  | $ | 6.47 |  |  | $ | 5.79 |  |  | $ | 7.06 |  |  | $ | 6.28 |  |  | $ | 6.95 |
Market price, end of period |  | $ | 5.14 |  |  |  |  |  |  | $ | 5.89 |  |  | $ | 4.98 |  |  | $ | 6.52 |  |  | $ | 5.51 |  |  | $ | 6.24 |
Total Return(f) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | (5.65 | )%(g) |  |  |  |  |  |  | 20.20 | % |  |  | (11.48 | )% |  |  | 20.88 | %(h) |  |  | (1.12 | )% |  |  | (0.47 | )%
Based on market price |  |  | (9.25 | )%(g) |  |  |  |  |  |  | 27.22 | % |  |  | (17.55 | )% |  |  | 27.23 | % |  |  | (3.37 | )% |  |  | 0.90 | %
Ratios to Average Net Assets(i) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.07 | %(j) |  |  |  |  |  |  | 1.13 | % |  |  | 1.09 | % |  |  | 1.12 | % |  |  | 1.12 | % |  |  | 1.09 | %
Total expenses after fees waived and/or reimbursed |  |  | 0.97 | %(j) |  |  |  |  |  |  | 1.03 | % |  |  | 0.99 | % |  |  | 1.02 | % |  |  | 1.02 | % |  |  | 1.01 | %
Net investment income |  |  | 2.60 | %(j) |  |  |  |  |  |  | 2.57 | % |  |  | 2.59 | %(b) |  |  | 1.31 | % |  |  | 1.41 | % |  |  | 1.09 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 616,550 |  |  |  |  |  |  | $ | 683,247 |  |  | $ | 623,234 |  |  | $ | 769,678 |  |  | $ | 690,628 |  |  | $ | 764,154 |
Portfolio turnover rate |  |  | 25 | % |  |  |  |  |  |  | 28 | % |  |  | 60 | % |  |  | 90 | % |  |  | 74 | % |  |  | 67 | %

(a) | Based on average shares outstanding.

(b) | Net investment income per share and the ratio of net investment income to average net assets include $0.01 per share and 0.10%, respectively, resulting from a special dividend.

(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

(e) | Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(f) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(g) | Aggregate total return.

(h) | Includes payment received from an affiliate, which had no impact on the Trust’s total return.

(i) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Year Ended December 31, |
|  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |  |  | 2015 |
Investments in underlying funds |  |  | — | % |  |  |  |  |  |  | — | % |  |  | — | % |  |  | 0.02 | % |  |  | 0.01 | % |  |  | 0.01 | %

(j) | Annualized.

See notes to financial statements.

126 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Financial Highlights (continued)

(For a share outstanding throughout each period)

|  | BME |
|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Year Ended December 31, |
|  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |  |  | 2015 |
Net asset value, beginning of period |  | $ | 41.19 |  |  |  |  |  |  | $ | 35.87 |  |  | $ | 35.69 |  |  | $ | 31.30 |  |  | $ | 36.19 |  |  | $ | 38.61 |
Net investment income (loss)(a) |  |  | 0.04 |  |  |  |  |  |  |  | 0.06 |  |  |  | 0.07 |  |  |  | 0.02 |  |  |  | 0.02 |  |  |  | (0.06 | )
Net realized and unrealized gain (loss) |  |  | 0.90 |  |  |  |  |  |  |  | 7.66 |  |  |  | 2.51 |  |  |  | 6.77 |  |  |  | (1.91 | ) |  |  | 4.34 |
Net increase (decrease) from investment operations |  |  | 0.94 |  |  |  |  |  |  |  | 7.72 |  |  |  | 2.58 |  |  |  | 6.79 |  |  |  | (1.89 | ) |  |  | 4.28 |
Distributions(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (1.20 | )(c) |  |  |  |  |  |  | (0.12 | ) |  |  | (0.07 | )(d) |  |  | (0.04 | ) |  |  | (0.03 | ) |  |  | (0.63 | )
From net realized gain |  |  | — |  |  |  |  |  |  |  | (2.28 | ) |  |  | (2.33 | )(d) |  |  | (2.11 | ) |  |  | (2.97 | ) |  |  | (6.07 | )
From return of capital |  |  | — |  |  |  |  |  |  |  | — |  |  |  | — |  |  |  | (0.25 | ) |  |  | — |  |  |  | — |
Total distributions |  |  | (1.20 | ) |  |  |  |  |  |  | (2.40 | ) |  |  | (2.40 | ) |  |  | (2.40 | ) |  |  | (3.00 | ) |  |  | (6.70 | )
Net asset value, end of period |  | $ | 40.93 |  |  |  |  |  |  | $ | 41.19 |  |  | $ | 35.87 |  |  | $ | 35.69 |  |  | $ | 31.30 |  |  | $ | 36.19 |
Market price, end of period |  | $ | 40.78 |  |  |  |  |  |  | $ | 42.50 |  |  | $ | 36.45 |  |  | $ | 36.50 |  |  | $ | 31.75 |  |  | $ | 39.35 |
Total Return(e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | 2.44 | %(f) |  |  |  |  |  |  | 22.26 | % |  |  | 7.26 | % |  |  | 22.17 | % |  |  | (5.36 | )% |  |  | 10.70 | %
Based on market price |  |  | (1.08 | )%(f) |  |  |  |  |  |  | 24.15 | % |  |  | 6.57 | % |  |  | 23.17 | % |  |  | (11.71 | )% |  |  | 8.87 | %
Ratios to Average Net Assets(g) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.09 | %(h) |  |  |  |  |  |  | 1.09 | % |  |  | 1.11 | % |  |  | 1.12 | % |  |  | 1.15 | %(i) |  |  | 1.13 | %
Total expenses after fees waived and/or reimbursed and excluding amortization of offering costs |  |  | 1.09 | %(h) |  |  |  |  |  |  | 1.09 | % |  |  | 1.11 | % |  |  | 1.12 | % |  |  | 1.14 | % |  |  | 1.12 | %
Net investment income (loss) |  |  | 0.18 | %(h) |  |  |  |  |  |  | 0.16 | % |  |  | 0.19 | % |  |  | 0.06 | % |  |  | 0.07 | % |  |  | (0.14 | )%
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 471,361 |  |  |  |  |  |  | $ | 446,773 |  |  | $ | 352,675 |  |  | $ | 331,858 |  |  | $ | 270,693 |  |  | $ | 297,530 |
Portfolio turnover rate |  |  | 17 | % |  |  |  |  |  |  | 47 | % |  |  | 37 | % |  |  | 38 | % |  |  | 59 | % |  |  | 68 | %

(a) | Based on average shares outstanding.

(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(d) | Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(e) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) | Aggregate total return.

(g) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Year Ended December 31, |
|  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |  |  | 2015 |
Investments in underlying funds |  |  | — | % |  |  |  |  |  |  | 0.01 | % |  |  | 0.01 | % |  |  | 0.01 | % |  |  | — | % |  |  | — | %

(h) | Annualized.

(i) | Offering costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 1.16%.

See notes to financial statements.

FINANCIAL HIGHLIGHTS |  | 127

Financial Highlights (continued)

(For a share outstanding throughout each period)

|  | BMEZ |
|  | Period from 01/30/20 (a) to 06/30/20 (unaudited) |
Net asset value, beginning of period |  | $ | 20.00 |
Net investment income (loss)(b) |  |  | (0.06 | )
Net realized and unrealized gain |  |  | 3.87 |
Net increase (decrease) from investment operations |  |  | 3.81 |
Distribution from net investment income |  |  | (0.30 | )(c)
Net asset value, end of period |  | $ | 23.51 |
Market price, end of period |  | $ | 20.91 |
Total Return(d) |
Based on net asset value |  |  | 19.29 | %(e)
Based on market price |  |  | 6.10 | %(e)
Ratios to Average Net Assets |
Total expenses |  |  | 1.29 | %(f)(g)
Total expenses after fees waived and/or reimbursed and paid indirectly |  |  | 1.28 | %(f)(g)
Net investment income (loss) |  |  | (0.75 | )%(f)(g)
Supplemental Data |
Net assets, end of period (000) |  | $ | 2,648,854 |
Portfolio turnover rate |  |  | 9 | %

(a) | Commencement of operations.

(b) | Based on average shares outstanding.

(c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(d) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(e) | Aggregate total return.

(f) | Annualized.

(g) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.04%.

See notes to financial statements.

128 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Financial Highlights (continued)

(For a share outstanding throughout each period)

|  | BCX |
|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Year Ended December 31, |
|  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |  |  | 2015 |
Net asset value, beginning of period |  | $ | 9.04 |  |  |  |  |  |  | $ | 8.44 |  |  | $ | 10.64 |  |  | $ | 9.86 |  |  | $ | 8.35 |  |  | $ | 11.67 |
Net investment income(a) |  |  | 0.10 |  |  |  |  |  |  |  | 0.23 |  |  |  | 0.22 |  |  |  | 0.20 | (b) |  |  | 0.14 |  |  |  | 0.25 |
Net realized and unrealized gain (loss) |  |  | (1.56 | ) |  |  |  |  |  |  | 0.99 |  |  |  | (1.80 | ) |  |  | 1.19 |  |  |  | 1.95 |  |  |  | (2.76 | )
Net increase (decrease) from investment operations |  |  | (1.46 | ) |  |  |  |  |  |  | 1.22 |  |  |  | (1.58 | ) |  |  | 1.39 |  |  |  | 2.09 |  |  |  | (2.51 | )
Distributions(c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (0.29 | )(d) |  |  |  |  |  |  | (0.23 | ) |  |  | (0.19 | ) |  |  | (0.24 | ) |  |  | (0.15 | ) |  |  | (0.25 | )
From return of capital |  |  | — |  |  |  |  |  |  |  | (0.39 | ) |  |  | (0.43 | ) |  |  | (0.37 | ) |  |  | (0.43 | ) |  |  | (0.56 | )
Total distributions |  |  | (0.29 | ) |  |  |  |  |  |  | (0.62 | ) |  |  | (0.62 | ) |  |  | (0.61 | ) |  |  | (0.58 | ) |  |  | (0.81 | )
Net asset value, end of period |  | $ | 7.29 |  |  |  |  |  |  | $ | 9.04 |  |  | $ | 8.44 |  |  | $ | 10.64 |  |  | $ | 9.86 |  |  | $ | 8.35 |
Market price, end of period |  | $ | 6.13 |  |  |  |  |  |  | $ | 8.07 |  |  | $ | 7.06 |  |  | $ | 9.77 |  |  | $ | 8.27 |  |  | $ | 7.11 |
Total Return(e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | (15.52 | )%(f) |  |  |  |  |  |  | 15.88 | % |  |  | (14.90 | )% |  |  | 15.60 | % |  |  | 27.41 | % |  |  | (21.31 | )%
Based on market price |  |  | (20.43 | )%(f) |  |  |  |  |  |  | 23.67 | % |  |  | (22.47 | )% |  |  | 26.55 | % |  |  | 25.50 | % |  |  | (19.47 | )%
Ratios to Average Net Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.10 | %(g) |  |  |  |  |  |  | 1.11 | % |  |  | 1.08 | % |  |  | 1.08 | % |  |  | 1.08 | % |  |  | 1.07 | %
Total expenses after fees waived and/or reimbursed |  |  | 1.10 | %(g) |  |  |  |  |  |  | 1.11 | % |  |  | 1.08 | % |  |  | 1.08 | % |  |  | 1.08 | % |  |  | 1.07 | %
Net investment income |  |  | 2.80 | %(g) |  |  |  |  |  |  | 2.56 | % |  |  | 2.17 | % |  |  | 2.06 | %(b) |  |  | 1.61 | % |  |  | 2.43 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 656,576 |  |  |  |  |  |  | $ | 822,754 |  |  | $ | 798,282 |  |  | $ | 1,027,472 |  |  | $ | 976,899 |  |  | $ | 827,040 |
Portfolio turnover rate |  |  | 44 | % |  |  |  |  |  |  | 69 | % |  |  | 66 | % |  |  | 73 | % |  |  | 101 | % |  |  | 74 | %

(a) | Based on average shares outstanding.

(b) | Net investment income per share and the ratio of net investment income to average net assets include less than $0.04 per share and 0.39% respectively, resulting from a special dividend from Baker Hughes Inc. in July 2017.

(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(e) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) | Aggregate total return.

(g) | Annualized.

See notes to financial statements.

FINANCIAL HIGHLIGHTS |  | 129

Financial Highlights (continued)

(For a share outstanding throughout each period)

|  | BST |
|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Year Ended December 31, |
|  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |  |  | 2015 |
Net asset value, beginning of period |  | $ | 32.45 |  |  |  |  |  |  | $ | 26.21 |  |  | $ | 27.73 |  |  | $ | 20.10 |  |  | $ | 19.70 |  |  | $ | 19.43 |
Net investment income (loss)(a) |  |  | (0.11 | ) |  |  |  |  |  |  | (0.17 | ) |  |  | (0.13 | ) |  |  | (0.05 | ) |  |  | (0.00 | )(b) |  |  | 0.03 |
Net realized and unrealized gain |  |  | 6.91 |  |  |  |  |  |  |  | 9.92 |  |  |  | 0.37 |  |  |  | 8.96 |  |  |  | 1.60 |  |  |  | 1.44 |
Net increase from investment operations |  |  | 6.80 |  |  |  |  |  |  |  | 9.75 |  |  |  | 0.24 |  |  |  | 8.91 |  |  |  | 1.60 |  |  |  | 1.47 |
Distributions(c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (0.99 | )(d) |  |  |  |  |  |  | — |  |  |  | — | (e) |  |  | (0.05 | ) |  |  | — |  |  |  | (0.03 | )
From net realized gain |  |  | — |  |  |  |  |  |  |  | (3.51 | ) |  |  | (1.76 | )(e) |  |  | (0.22 | ) |  |  | — |  |  |  | (0.01 | )
From return of capital |  |  | — |  |  |  |  |  |  |  | — |  |  |  | — |  |  |  | (1.01 | ) |  |  | (1.20 | ) |  |  | (1.16 | )
Total distributions |  |  | (0.99 | ) |  |  |  |  |  |  | (3.51 | ) |  |  | (1.76 | ) |  |  | (1.28 | ) |  |  | (1.20 | ) |  |  | (1.20 | )
Net asset value, end of period |  | $ | 38.26 |  |  |  |  |  |  | $ | 32.45 |  |  | $ | 26.21 |  |  | $ | 27.73 |  |  | $ | 20.10 |  |  | $ | 19.70 |
Market price, end of period |  | $ | 37.81 |  |  |  |  |  |  | $ | 33.27 |  |  | $ | 27.48 |  |  | $ | 26.69 |  |  | $ | 17.94 |  |  | $ | 17.31 |
Total Return(f) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | 21.45 | %(g) |  |  |  |  |  |  | 37.82 | % |  |  | 0.24 | % |  |  | 45.73 | % |  |  | 9.36 | % |  |  | 8.61 | %
Based on market price |  |  | 17.06 | %(g) |  |  |  |  |  |  | 34.77 | % |  |  | 9.18 | % |  |  | 57.15 | % |  |  | 11.08 | % |  |  | 5.36 | %
Ratios to Average Net Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.09 | %(h) |  |  |  |  |  |  | 1.08 | % |  |  | 1.09 | % |  |  | 1.09 | % |  |  | 1.10 | % |  |  | 1.12 | %
Total expenses after fees waived and/or reimbursed |  |  | 0.99 | %(h) |  |  |  |  |  |  | 0.92 | % |  |  | 0.89 | % |  |  | 0.89 | % |  |  | 0.90 | % |  |  | 0.92 | %
Net investment income (loss) |  |  | (0.66 | )%(h) |  |  |  |  |  |  | (0.52 | )% |  |  | (0.43 | )% |  |  | (0.19 | )% |  |  | 0.02 | % |  |  | 0.15 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 924,517 |  |  |  |  |  |  | $ | 742,672 |  |  | $ | 587,908 |  |  | $ | 620,300 |  |  | $ | 452,443 |  |  | $ | 443,477 |
Portfolio turnover rate |  |  | 12 | % |  |  |  |  |  |  | 32 | % |  |  | 53 | % |  |  | 41 | % |  |  | 74 | % |  |  | 91 | %

(a) | Based on average shares outstanding.

(b) | Amount is less than $0.005 per share.

(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(e) | Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(f) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(g) | Aggregate total return.

(h) | Annualized.

See notes to financial statements.

130 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Financial Highlights (continued)

(For a share outstanding throughout each period)

|  | BSTZ |
|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Period from 06/27/19 (a) to 12/31/19 |
Net asset value, beginning of period |  | $ | 20.95 |  |  |  |  |  |  | $ | 20.00 |
Net investment income (loss)(b) |  |  | (0.11 | ) |  |  |  |  |  |  | (0.05 | )
Net realized and unrealized gain |  |  | 5.62 |  |  |  |  |  |  |  | 1.50 |
Net increase (decrease) from investment operations |  |  | 5.51 |  |  |  |  |  |  |  | 1.45 |
Distributions(c) |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (0.60 | )(d) |  |  |  |  |  |  | — |
From return of capital |  |  | — |  |  |  |  |  |  |  | (0.50 | )
Total distributions |  |  | (0.60 | ) |  |  |  |  |  |  | (0.50 | )
Net asset value, end of period |  | $ | 25.86 |  |  |  |  |  |  | $ | 20.95 |
Market price, end of period |  | $ | 22.67 |  |  |  |  |  |  | $ | 20.50 |
Total Return(e) |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | 27.13 | %(f)(g) |  |  |  |  |  |  | 7.40 | %(f)
Based on market price |  |  | 13.89 | %(f) |  |  |  |  |  |  | 5.10 | %(f)
Ratios to Average Net Assets(h) |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.31 | % |  |  |  |  |  |  | 1.32 | %(i)
Total expenses after fees waived and/or reimbursed |  |  | 1.31 | % |  |  |  |  |  |  | 1.30 | %(i)
Net investment income (loss) |  |  | (1.05 | )% |  |  |  |  |  |  | (0.48 | )%(i)
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 2,019,382 |  |  |  |  |  |  | $ | 1,635,966 |
Portfolio turnover rate |  |  | 25 | % |  |  |  |  |  |  | 16 | %

(a) | Commencement of operations. This information includes the initial investment by BlackRock HoldCo2, Inc.

(b) | Based on average shares outstanding.

(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

(e) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) | Aggregate total return.

(g) | Includes payment received from an affiliate, which had no impact to the Trust’s total return.

(h) | Annualized.

(i) | Excludes expenses incurred indirectly as a result of investments in underlying funds of 0.04%.

See notes to financial statements.

FINANCIAL HIGHLIGHTS |  | 131

Financial Highlights (continued)

(For a share outstanding throughout each period)

|  | BUI |
|  | Six Months Ended 06/30/20 (unaudited) |  |  |  |  |  | Year Ended December 31, |
|  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |  |  | 2015 |
Net asset value, beginning of period |  | $ | 22.02 |  |  |  |  |  |  | $ | 18.77 |  |  | $ | 21.12 |  |  | $ | 19.42 |  |  | $ | 19.50 |  |  | $ | 22.47 |
Net investment income(a) |  |  | 0.20 |  |  |  |  |  |  |  | 0.37 |  |  |  | 0.49 |  |  |  | 0.56 |  |  |  | 0.56 |  |  |  | 0.47 |
Net realized and unrealized gain (loss) |  |  | (1.49 | ) |  |  |  |  |  |  | 4.33 |  |  |  | (1.39 | ) |  |  | 2.59 |  |  |  | 0.81 |  |  |  | (1.99 | )
Net increase (decrease) from investment operations |  |  | (1.29 | ) |  |  |  |  |  |  | 4.70 |  |  |  | (0.90 | ) |  |  | 3.15 |  |  |  | 1.37 |  |  |  | (1.52 | )
Distributions(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (0.73 | )(c) |  |  |  |  |  |  | (0.24 | ) |  |  | (0.63 | )(d) |  |  | (0.47 | ) |  |  | (0.49 | ) |  |  | (0.42 | )
From net realized gain |  |  | — |  |  |  |  |  |  |  | (1.06 | ) |  |  | (0.81 | )(d) |  |  | (0.98 | ) |  |  | (0.53 | ) |  |  | (0.54 | )
From return of capital |  |  | — |  |  |  |  |  |  |  | (0.15 | ) |  |  | (0.01 | ) |  |  | — |  |  |  | (0.43 | ) |  |  | (0.49 | )
Total distributions |  |  | (0.73 | ) |  |  |  |  |  |  | (1.45 | ) |  |  | (1.45 | ) |  |  | (1.45 | ) |  |  | (1.45 | ) |  |  | (1.45 | )
Net asset value, end of period |  | $ | 20.00 |  |  |  |  |  |  | $ | 22.02 |  |  | $ | 18.77 |  |  | $ | 21.12 |  |  | $ | 19.42 |  |  | $ | 19.50 |
Market price, end of period |  | $ | 21.25 |  |  |  |  |  |  | $ | 22.31 |  |  | $ | 19.76 |  |  | $ | 21.62 |  |  | $ | 18.41 |  |  | $ | 16.78 |
Total Return(e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | (5.75 | )%(f) |  |  |  |  |  |  | 25.63 | % |  |  | (4.40 | )% |  |  | 16.62 | % |  |  | 7.57 | % |  |  | (6.09 | )%
Based on market price |  |  | (1.17 | )%(f) |  |  |  |  |  |  | 20.91 | % |  |  | (1.68 | )% |  |  | 25.93 | % |  |  | 18.50 | % |  |  | (12.45 | )%
Ratios to Average Net Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.13 | %(g) |  |  |  |  |  |  | 1.12 | % |  |  | 1.12 | % |  |  | 1.11 | % |  |  | 1.13 | % |  |  | 1.11 | %
Total expenses after fees waived and/or reimbursed |  |  | 1.10 | %(g) |  |  |  |  |  |  | 1.10 | % |  |  | 1.09 | % |  |  | 1.09 | % |  |  | 1.13 | % |  |  | 1.11 | %
Net investment income |  |  | 2.06 | %(g) |  |  |  |  |  |  | 1.78 | % |  |  | 2.46 | % |  |  | 2.70 | % |  |  | 2.83 | % |  |  | 2.24 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 354,860 |  |  |  |  |  |  | $ | 383,337 |  |  | $ | 318,933 |  |  | $ | 357,776 |  |  | $ | 328,297 |  |  | $ | 329,747 |
Portfolio turnover rate |  |  | 28 | % |  |  |  |  |  |  | 39 | % |  |  | 28 | % |  |  | 31 | % |  |  | 8 | % |  |  | 20 | %

(a) | Based on average shares outstanding.

(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year end.

(d) | Amount previously presented incorrectly as solely distributions from net investment income has been revised to reflect the proper classification of distributions between net realized gain and net investment income.

(e) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(f) | Aggregate total return.

(g) | Annualized.

See notes to financial statements.

132 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited)

1. | ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:

Trust Name |  | Herein Referred To As |  | Organized |  | Diversification Classification
BlackRock Energy and Resources Trust |  | BGR |  | Delaware |  | Non-diversified
BlackRock Enhanced Capital and Income Fund, Inc. |  | CII |  | Maryland |  | Diversified
BlackRock Enhanced Equity Dividend Trust |  | BDJ |  | Delaware |  | Diversified
BlackRock Enhanced Global Dividend Trust |  | BOE |  | Delaware |  | Diversified
BlackRock Enhanced International Dividend Trust |  | BGY |  | Delaware |  | Diversified
BlackRock Health Sciences Trust |  | BME |  | Delaware |  | Diversified
BlackRock Health Sciences Trust II * |  | BMEZ |  | Delaware |  | Diversified
BlackRock Resources & Commodities Strategy Trust |  | BCX |  | Delaware |  | Non-diversified
BlackRock Science and Technology Trust |  | BST |  | Delaware |  | Diversified(a)
BlackRock Science and Technology Trust II |  | BSTZ |  | Delaware |  | Non-diversified
BlackRock Utilities, Infrastructure & Power Opportunities Trust |  | BUI |  | Delaware |  | Diversified

| * | Commenced operations on January 30, 2020. |

| (a) | The Trust’s classification changed from non-diversified to diversified during the reporting period. |

The Boards of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board,” and the directors/ trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

Prior to commencement of operations on January 30, 2020, BMEZ had no operations other than those relating to organizational matters and the sale of 5,000 common shares on November 6, 2019 to BlackRock Financial Management, Inc., an affiliate of BMEZ, for $100,000. Investment operations for BMEZ commenced on January 30, 2020.

Basis of Consolidation: The accompanying consolidated financial statements of BCX include the account of BlackRock Cayman Resources & Commodities Strategy Fund, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of BCX and primarily invests in commodity-related instruments. The Subsidiary enables BCX to hold these commodity-related instruments and satisfy regulated investment company tax requirements. BCX may invest up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions, if any, have been eliminated. During the six months ended June 30, 2020, there were no transactions in the Subsidiary. The Subsidiary is subject to the same investment policies and restrictions that apply to BCX, except that the Subsidiary may invest without limitation in commodity-related instruments.

2. | SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income and non-cash dividend income, if any, are recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Interest income, including amortization and accretion of premiums and discounts on debt securities, are recognized on an accrual basis.

Foreign Currency Translation: Each Trust’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Trust does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

NOTES TO FINANCIAL STATEMENTS |  | 133

Notes to Financial Statements (unaudited) (continued)

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts and options written) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions paid by the Trusts are recorded on the ex-dividend date. Subject to the Trusts’ managed distribution plan, the Trusts intend to make monthly cash distributions to shareholders, which may consist of net investment income and net realized and unrealized gains on investments and/or return of capital.

The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital.

Net income and realized gains from investments held by the Subsidiary are treated as ordinary income for tax purposes. If a net loss is realized by the Subsidiary in any taxable year, the loss will generally not be available to offset BCX’s ordinary income and/or capital gains for that year.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the trustees who are not “interested persons” of the Trusts, as defined in the 1940 Act (“Independent Trustees”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, as applicable. Deferred compensation liabilities are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Organization and Offering Costs: Prior to commencement of operations, organization costs associated with the establishment of BMEZ and offering expenses of BMEZ with respect to the issuance of shares in the amounts of $140,500 and $4,295,804, respectively, were paid by the Manager. BMEZ is not obligated to repay any such organizational costs or offering expenses paid by the Manager.

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:

| • |  | Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Trusts’ net assets. Each business day, the Trusts use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

| • |  | Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each

134 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited) (continued)

| tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

| • |  | Investments in open-end U.S. mutual funds are valued at NAV each business day.

| • |  | The Trusts value their investment in SL Liquidity Series, LLC, Money Market Series (the “Money Market Series”) at fair value, which is ordinarily based upon their pro rata ownership in the underlying fund’s net assets. The Money Market Series seeks current income consistent with maintaining liquidity and preserving capital. Although the Money Market Series is not registered under the 1940 Act, its investments may follow the parameters of investments by a money market fund that is subject to Rule 2a-7 under the 1940 Act.

| • |  | Exchange-traded equity options for which market quotations are readily available will be valued at the National Best Bid and Offer quotes (“NBBO”). NBBO represents the mean of the bid and ask prices as quoted on the exchange on which such options are traded. In the event that there is no mean price available, the last bid (long positions) or ask (short positions) price will be used. If no bid or ask price is available, the prior day’s price may be used. OTC options are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and third party pricing services utilize one or a combination of, but not limited to, the following inputs.

|  | Standard Inputs Generally Considered By Third Party Pricing Services
Market approach |  | (i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii)   market multiples of comparable issuers.
Income approach |  | (i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii)   other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.
Cost approach |  | (i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii)   relevant news and other public sources; and (iv)   known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Trust. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Trust is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Trust could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

| • |  | Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

| • |  | Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

| • |  | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of investments and derivative financial instruments)

NOTES TO FINANCIAL STATEMENTS |  | 135

Notes to Financial Statements (unaudited) (continued)

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 Private Companies. There may not be a secondary market, and/or there are a limited number of investors. 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.

As of June 30, 2020, certain investments of BME, BMEZ, BCX, and BSTZ were fair valued using NAV or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

4. | SECURITIES AND OTHER INVESTMENTS

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Securities Lending: Certain Trusts may lend their securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Trusts collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by each Trust is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Trust and any additional required collateral is delivered to the Trust, or excess collateral returned by the Trust, on the next business day. During the term of the loan, the Trusts are entitled to all distributions made on or in respect of the loaned securities, but do not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

The market value of any securities on loan, all of which were classified as common stocks in the Trusts’ Schedules of Investments, and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested by the securities lending agent, BlackRock Investment Management, LLC (“BIM”), if any, is disclosed in the Schedules of Investments.

Securities lending transactions are entered into by the Trusts under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Trusts, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and a Trust can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

136 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited) (continued)

As of period end, the following tables are a summary of the Trusts’ securities lending agreements by counterparty which are subject to offset under an MSLA:

Counterparty |  | Securities Loaned at Value |  |  | Cash Collateral Received (a) |  |  | Net Amount |
BME |  |  |  |  |  |  |  |  |  |  |  |
Citigroup Global Markets, Inc. |  | $ | 271 |  |  | $ | (271 | ) |  | $ | — |
Morgan Stanley & Co. LLC |  |  | 9,840 |  |  |  | (9,840 | ) |  |  | — |
|  | $ | 10,111 |  |  | $ | (10,111 | ) |  | $ | — |
BMEZ |  |  |  |  |  |  |  |  |  |  |  |
National Financial Services LLC |  | $ | 1,914,529 |  |  | $ | (1,914,529 | ) |  | $ | — |
|  | $ | 1,914,529 |  |  | $ | (1,914,529 | ) |  | $ | — |
BST |  |  |  |  |  |  |  |  |  |  |  |
Credit Suisse Securities (USA) LLC |  | $ | 2,654,839 |  |  | $ | (2,654,839 | ) |  | $ | — |
|  | $ | 2,654,839 |  |  | $ | (2,654,839 | ) |  | $ | — |
BSTZ |  |  |  |  |  |  |  |  |  |  |  |
Barclays Capital, Inc. |  | $ | 2,413,719 |  |  | $ | (2,413,719 | ) |  | $ | — |
J.P. Morgan Securities LLC |  |  | 5,058,316 |  |  |  | (5,058,316 | ) |  |  | — |
|  | $ | 7,472,035 |  |  | $ | (7,472,035 | ) |  | $ | — |

| (a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Trust is disclosed in the Trust’s Statements of Assets and Liabilities. |

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Trusts benefit from a borrower default indemnity provided by BIM. BIM’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value on the securities loaned in the event of borrower default. Each Trust could incur a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Trusts.

5. | DERIVATIVE FINANCIAL INSTRUMENTS

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Options: Certain Trusts purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Trusts write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when they otherwise would not, or at a price different from the current market value.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trust and the counterparty.

NOTES TO FINANCIAL STATEMENTS |  | 137

Notes to Financial Statements (unaudited) (continued)

Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Trust generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

For such services, each Trust, except BCX pays the Manager a monthly fee at the following annual rates:

Average weekly value of each Trust’s net assets:

|  | BGR |  |  | BDJ |  |  | BOE |  |  | BME |
Investment advisory fees |  |  | 1.20 | % |  |  | 0.80 | % |  |  | 1.00 | % |  |  | 1.00 | %

Average daily value of each Trusts’s net assets:

|  | CII |  |  | BGY |  |  | BSTZ |  |  | BUI |
Investment advisory fees |  |  | 0.85 | % |  |  | 1.00 | % |  |  | 1.25 | % |  |  | 1.00 | %

Average daily value of each Trusts’s managed assets:

|  | BMEZ |  |  | BST |  |  | BSTZ |
Investment advisory fees |  |  | 1.25 | % |  |  | 1.00 | % |  |  | 1.25 | %

For purposes of calculating these fees, “net assets” mean the total assets of BGR, CII, BDJ, BOE, BGY, BME, BCX and BUI minus the sum of its accrued liabilities

For such services, BCX pays the Manager a monthly fee of 1.00% of the sum of the average daily value of the net assets of the Trust (excluding the value of the Trust’s interest in the Subsidiary) and the average daily value of the net assets of its subsidiary, which fee is allocated pro rata between the Trust and the Subsidiary based on the average daily value of their respective net assets (excluding, in the case of the Trust, the value of the Trust’s interest in the Subsidiary).

For purposes of calculating these fees, “managed assets” are determined as total assets of BST, BSTZ and BMEZ (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).

With respect to BGR, BOE, BGY, BCX and BUI, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager. The Manager pays BIL for services it provides for that portion of each Trust for which BIL acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Trust to the Manager.

The Manager provides investment management and other services to BCX’s Subsidiary. The Manager does not receive separate compensation from the Subsidiary for providing investment management or administrative services. However, BCX pays the Manager based on the Trust’s net assets, which includes the assets of the Subsidiary.

Distribution Fees: BME, BST and BUI have entered into Distribution Agreements with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of BME’s, BST’s and BUI’s common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, BME, BST and BUI will compensate BRIL with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of BME’s, BST’s and BUI’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended June 30, 2020 amounted to $54,065, $85,978 and $13,800 for BME, BST and BUI, respectively.

Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive a portion of the investment advisory fees on BST as a percentage of its average daily managed assets as follows:

|  |  |  |  | Expiration Date |
BST |  |  | 0.10 | % |  |  | December 31, 2020 |
|  |  | 0.05 |  |  |  | December 31, 2021 |

138 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited) (continued)

The Manager voluntarily agreed to waive a portion of the investment advisory fees on the following Trusts as a percentage of their average weekly net assets (BGR and BOE) or average daily net assets (BUI and BGY), as follows:

BGR |  |  | 0.220 | %
BOE |  |  | 0.175 |
BUI |  |  | 0.025 |
BGY |  |  | 0.100 |

These voluntary waivers may be reduced or discontinued at any time without notice.

For the six months ended June 30, 2020, the investment advisory fees waived, which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations, were as follows:

BGR |  | $ | 297,103 |
BOE |  |  | 619,966 |
BGY |  |  | 306,555 |
BST |  |  | 385,188 |
BUI |  |  | 43,964 |

With respect to each Trust, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by vote of a majority of outstanding voting securities of a Trust. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2020, the amounts waived were as follows:

|  | BGR |  |  | CII |  |  | BDJ |  |  | BOE |  |  | BGY |
Amounts waived |  | $ | 4,283 |  |  | $ | 3,211 |  |  | $ | 4,485 |  |  | $ | 3,707 |  |  | $ | 5,426 |

|  | BME |  |  | BMEZ |  |  | BCX |  |  | BST |  |  | BSTZ |  |  | BUI |
Amounts waived |  | $ | 3,526 |  |  | $ | 178,249 |  |  | $ | 4,467 |  |  | $ | 2,293 |  |  | $ | 8,894 |  |  | $ | 3,924 |

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2021. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. For the six months ended June 30, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to these arrangements.

Securities Lending: The U.S. Securities and Exchange Commission (“SEC”) has issued an exemptive order which permits BIM, an affiliate of the Manager, to serve as securities lending agent for the Trusts, subject to applicable conditions. As securities lending agent, BIM bears all operational costs directly related to securities lending. The Trusts are responsible for expenses in connection with the investment of cash collateral received for securities on loan (the “collateral investment expenses”). The cash collateral is invested in a private investment company managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the private investment company to an annual rate of 0.04%. The investment adviser to the private investment company will not charge any advisory fees with respect to shares purchased by the Trusts. The private investment company in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value withdrawn or temporarily restrict withdrawals for up to 10 business days during a 90 day period, in the event that the private investment company’s weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment expenses. Each Trust retains a portion of securities lending income and remits a remaining portion to BIM as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, BIM may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”). Each Trust retains 82% of securities lending income (which excludes collateral investment expenses).

In addition, commencing the business day following the date that the aggregate securities lending income earned across the BlackRock Fixed-Income Complex in a calendar year exceeds a specified threshold, each Trust, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income (which excludes collateral investment expenses) in an amount equal to 85% of securities lending income.

The share of securities lending income earned by each Trust is shown as securities lending income — affiliated — net in the Statements of Operations. For the six months ended June 30, 2020, each Trust paid BIM the following amounts for securities lending agent services:

BME |  | $ | 9,223 |
BMEZ |  |  | 2,958 |
BST |  |  | 3,268 |
BSTZ |  |  | 60,088 |

Trustees and Officers: Certain trustees and/or officers of the Trusts are directors and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.

NOTES TO FINANCIAL STATEMENTS |  | 139

Notes to Financial Statements (unaudited) (continued)

Other Transactions: During the six months ended June 30, 2020, BSTZ received reimbursement of $25,547 from an affiliate, which is included in other income in the Statements of Operations, related to an operating event.

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2020, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

|  | Purchases |  |  | Sales |  |  | Net Realized Gain (Loss) |
BST |  | $ | — |  |  | $ | 19,456 |  |  | $ | (9,222 | )
BSTZ |  |  | 4,681,538 |  |  |  | 2,569,739 |  |  |  | (1,814,360 | )

7. | PURCHASES AND SALES

For the six months ended June 30, 2020, purchases and sales of investments, excluding short-term securities, were as follows:

|  | BGR |  |  | CII |  |  | BDJ |  |  | BOE |  |  | BGY |
Purchases |  | $ | 102,172,182 |  |  | $ | 212,546,695 |  |  | $ | 545,387,372 |  |  | $ | 179,022,865 |  |  | $ | 149,826,627 |
Sales |  |  | 103,907,336 |  |  |  | 257,171,695 |  |  |  | 606,937,497 |  |  |  | 202,746,646 |  |  |  | (161,657,689 | )

|  | BME |  |  | BMEZ |  |  | BCX |  |  | BST |  |  | BSTZ |  |  | BUI |
Purchases |  | $ | 83,181,087 |  |  | $ | 2,368,924,940 |  |  | $ | 291,593,571 |  |  | $ | 94,926,836 |  |  | $ | 411,657,216 |  |  | $ | 97,832,210 |
Sales |  |  | 75,613,996 |  |  |  | 164,262,238 |  |  |  | 327,322,991 |  |  |  | 107,591,089 |  |  |  | 507,124,358 |  |  |  | 99,510,179 |

8. | INCOME TAX INFORMATION

It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2019 except for BSTZ and BMEZ. BSTZ remains open for the period ended December 31, 2019. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of June 30, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

As of December 31, 2019, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:

|  | BGR |  |  | BOE |  |  | BGY |  |  | BCX |  |  | BSTZ |
|  | $ | (185,729,928 | ) |  | $ | (29,524,908 | ) |  | $ | (27,853,009 | ) |  | $ | (426,115,393 | ) |  | $ | (16,443,625 | )

As of June 30, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

|  | BGR |  |  | CII |  |  | BDJ |  |  | BOE |  |  | BGY |
Tax cost |  | $ | 308,789,793 |  |  | $ | 570,256,178 |  |  | $ | 1,418,818,095 |  |  | $ | 673,298,222 |  |  | $ | 571,440,789 |
Gross unrealized appreciation |  | $ | 4,904,478 |  |  | $ | 188,391,428 |  |  | $ | 245,184,309 |  |  | $ | 74,063,076 |  |  | $ | 73,621,260 |
Gross unrealized depreciation |  |  | (70,319,778 | ) |  |  | (38,370,595 | ) |  |  | (115,072,750 | ) |  |  | (51,944,619 | ) |  |  | (37,772,131 | )
Net unrealized appreciation (depreciation) |  | $ | (65,415,300 | ) |  | $ | 150,020,833 |  |  | $ | 130,111,559 |  |  | $ | 22,118,457 |  |  | $ | 35,849,129 |

|  | BME |  |  | BMEZ |  |  | BCX |  |  | BST |  |  | BSTZ |  |  | BUI |
Tax cost |  | $ | 310,539,919 |  |  | $ | 2,215,454,567 |  |  | $ | 664,396,410 |  |  | $ | 386,735,846 |  |  | $ | 1,352,758,881 |  |  | $ | 283,528,081 |
Gross unrealized appreciation |  | $ | 171,820,524 |  |  | $ | 522,006,474 |  |  | $ | 94,538,498 |  |  | $ | 571,280,102 |  |  | $ | 726,812,587 |  |  | $ | 90,146,789 |
Gross unrealized depreciation |  |  | (5,322,104 | ) |  |  | (69,165,625 | ) |  |  | (95,468,261 | ) |  |  | (16,843,737 | ) |  |  | (36,643,853 | ) |  |  | (14,453,338 | )
Net unrealized appreciation (depreciation) |  | $ | 166,498,420 |  |  | $ | 452,840,849 |  |  | $ | (929,763 | ) |  | $ | 554,436,365 |  |  | $ | 690,168,734 |  |  | $ | 75,693,451 |

9. | PRINCIPAL RISKS

In the normal course of business, certain Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional

140 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited) (continued)

or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Trusts and its investments. BME’s, BST’s and BUI’s prospectuses provide details of the risks to which each Trust is subject.

The Trusts may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

Each Trust may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Trust may not be able to readily dispose of such investments at prices that approximate those at which a Trust could sell such investments if they were more widely traded and, as a result of such illiquidity, a Trust may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Trusts’ net asset value and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Trust may invest in illiquid investments. An illiquid investment is any investment that a Trust reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Trust may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Trust’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Trust may lose value, regardless of the individual results of the securities and other instruments in which a Trust invests.

The price a Trust could receive upon the sale of any particular portfolio investment may differ from a Trust’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Trust’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Trust, and a Trust could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Trust’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a trust’s investments. The duration of this pandemic and its effects cannot be determined with certainty.

Counterparty Credit Risk: The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Trust’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Trust.

For OTC options purchased, each Trust bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform. The Trusts may be exposed to counterparty credit risk with respect to options written to the extent the Trusts deposit collateral with its counterparty to a written option.

With exchange-traded options purchased and futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

NOTES TO FINANCIAL STATEMENTS |  | 141

Notes to Financial Statements (unaudited) (continued)

Concentration Risk: As of period end, the Trusts listed below invested a significant portion of their assets in securities in the following sectors:

Biotechnology |  |  | BMEZ |
Energy . |  |  | BGR, BCX |
Financials |  |  | BDJ |
Health Care |  |  | BME, BMEZ |
Information Technology |  |  | BST, BSTZ |
Materials |  |  | BCX |
Utilities |  |  | BUI |

Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

Certain funds invest a substantial amount of their assets in issuers located in a single country or a limited number of countries. When the Trusts concentrate their investments in this manner, it assumes the risk that economic, political and social conditions in those countries may have a significant impact on their investment performance. Foreign issuers may not be subject to the same uniform accounting, auditing and financial reporting standards and practices as used in the United States. Foreign securities markets may also be more volatile and less liquid than U.S. securities and may be less subject to governmental supervision not typically associated with investing in U.S. securities. Investment percentages in specific countries are presented in the Schedules of Investments.

Certain funds invest a significant portion of their assets in securities of issuers located in Europe or with significant exposure to European issuers or countries. The European financial markets have recently experienced volatility and adverse trends due to concerns about economic downturns in, or rising government debt levels of, several European countries. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Trusts’ investments.

Responses to the financial problems by European governments, central banks and others, including austerity measures and reforms, may not work, may result in social unrest and may limit future growth and economic recovery or have other unintended consequences. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets and asset valuations around the world. In addition, the United Kingdom has withdrawn from the European Union, and one or more other countries may withdraw from the European Union and/or abandon the Euro, the common currency of the European Union. The impact of these actions, especially if they occur in a disorderly fashion, is not clear but could be significant and far reaching.

10. | CAPITAL SHARE TRANSACTIONS

Each Trust is authorized to issue an unlimited number of shares, with the exception of CII, all of which were initially classified as Common Shares. CII is authorized to issue 200 million Common Shares. The par value for each Trust’s Common Shares is $0.001, except for CII, which is $0.10. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

For the periods shown, shares issued and outstanding increased by the following amounts as a result of shares issued through the Shelf Offerings:

|  | Six Months Ended 06/30/20 |  |  | Year Ended 12/31/19 |
BME |  |  | 653,948 |  |  |  | 969,840 |
BST |  |  | 1,254,673 |  |  |  | 304,272 |
BUI |  |  | 303,401 |  |  |  | 349,552 |

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

|  | Six Months Ended 06/30/20 |  |  | Year Ended 12/31/19 |
BME |  |  | 15,757 |  |  |  | 46,035 |
BST |  |  | 26,121 |  |  |  | 150,491 |
BSTZ |  |  | — |  |  |  | 210,006 |
BUI |  |  | 25,365 |  |  |  | 75,584 |

For the six months ended June 30, 2020 and year ended December 31, 2019, for BGR, CII and BDJ shares issued and outstanding remained constant.

Shares of BMEZ issued and outstanding for the period January 30, 2020 to June 30, 2020, increased by 105,000,000 from the Trust’s initial public offering and 7,664,825 from the underwriters’ overallotment option. As of June 30, 2020, BlackRock Financial Management, Inc., an affiliate of BMEZ, owned 5,000 shares of BMEZ.

BME, BST and BUI have each filed a prospectus with the SEC allowing it to issue an additional 5,000,000, 12,067,384 and 4,347,047 Common Shares, respectively, through an equity Shelf Offering. Under the Shelf Offerings, BME, BST and BUI, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above each Fund’s NAV per Common Share (calculated within 48 hours of pricing). As of period end, 3,859,813, 11,441,055 and 4,347,047 Common Shares, respectively, remain available for issuance under the Shelf Offerings. See Additional Information — Shelf Offering Program for additional information about the Shelf Offerings.

Initial costs incurred by each of BME, BST and BUI in connection with its Shelf Offering are recorded as “Deferred offering cost” in the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against paid-in-capital. Any remaining deferred charges at the end of the shelf offering period will be charged to expense. Any subsequent costs incurred to keep the filing active will be charged to expense as incurred.

142 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements (unaudited) (continued)

The Trusts (other than BSTZ and BMEZ) participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2018 through November 30, 2019, the Trusts (other than BSTZ and BMEZ) were permitted to repurchase up to 5% of their outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. From December 1, 2019 through November 30, 2020, the Trusts (other than BSTZ and BMEZ) may repurchase up to 5% of their outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2019, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts.

The total cost of the shares repurchased is reflected in the Trusts’ Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs, were as follows:

BOE |  | Shares |  |  | Amount |
June 30, 2020 |  |  | 601,070 |  |  | $ | 5,488,353 |
December 31, 2019 |  |  | 2,600,735 |  |  |  | 27,037,545 |
BGY |  | Shares |  |  | Amount |
June 30, 2020 |  |  | 714,993 |  |  | $ | 3,555,237 |
December 31, 2019 |  |  | 2,027,081 |  |  |  | 11,037,544 |
BCX |  | Shares |  |  | Amount |
June 30, 2020 |  |  | 984,789 |  |  | $ | 5,713,680 |
December 31, 2019 |  |  | 3,485,024 |  |  |  | 27,004,375 |

11. | SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Trusts declared and paid distributions to Common Shareholders as follows:

|  | Common Dividend Per Share |
|  | Paid (a) |  |  | Declared (b) |
BGR |  | $ | 0.047000 |  |  | $ | 0.047000 |
CII |  |  | 0.087500 |  |  |  | 0.087500 |
BDJ |  |  | 0.050000 |  |  |  | 0.050000 |
BOE |  |  | 0.063000 |  |  |  | 0.063000 |
BME |  |  | 0.200000 |  |  |  | 0.200000 |
BMEZ |  |  | 0.100000 |  |  |  | 0.100000 |
BGY |  |  | 0.033800 |  |  |  | 0.033800 |
BCX |  |  | 0.040000 |  |  |  | 0.040000 |
BST |  |  | 0.165500 |  |  |  | 0.165500 |
BSTZ |  |  | 0.100000 |  |  |  | 0.100000 |
BUI |  |  | 0.121000 |  |  |  | 0.121000 |

| (a) | Net investment income dividend paid on July 31, 2020 to Common Shareholders of record on July 15, 2020. |

| (b) | Net investment income dividend declared on August 3, 2020, payable to Common Shareholders of record on August 14, 2020. |

NOTES TO FINANCIAL STATEMENTS |  | 143

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

The Boards of Directors/Trustees, as applicable (collectively, the “Board,” the members of which are referred to as “Board Members”) of BlackRock Energy and Resources Trust (“BGR”), BlackRock Enhanced Capital and Income Fund, Inc. (“CII”), BlackRock Enhanced Equity Dividend Trust (“BDJ”), BlackRock Enhanced Global Dividend Trust (“BOE”), BlackRock Enhanced International Dividend Trust (“BGY”), BlackRock Health Sciences Trust (“BME”), BlackRock Resources & Commodities Strategy Trust (“BCX”), BlackRock Science and Technology Trust (“BST”), BlackRock Utilities, Infrastructure & Power Opportunities Trust (“BUI”) and BlackRock Science and Technology Trust II (“BSTZ” and together with BGR, CII, BDJ, BOE, BGY, BME, BCX, BST and BUI, the “Funds” and each, a “Fund”) met on April 16, 2020 (the “April Meeting”) and May 20-21, 2020 (the “May Meeting”) to consider the approval of the investment advisory agreements (the “Advisory Agreements”) between each Fund and BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board of each of BGR, BOE, BGY BCX and BUI also considered the approval of the sub-advisory agreements (the “Sub-Advisory Agreements”) between the Manager, BlackRock International Limited (the “Sub-Advisor”) and each of BGR, BOE, BGY BCX and BUI. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

Activities and Composition of the Board

On the date of the May Meeting, the Board consisted of ten individuals, eight of whom were not “interested persons” of each Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of each Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Co-Chairs of the Board are Independent Board Members. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Consistent with the requirements of the 1940 Act, the Board considers the continuation of the Agreements on an annual basis. The Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. While the Board also has a fifth one-day meeting to consider specific information surrounding the renewal of the Agreements, the Board’s consideration entails a year-long deliberative process whereby the Board and its committees assess BlackRock’s services to each Fund. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.

During the year, the Board, acting directly and through its committees, considers information that is relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further in the section titled “Board Considerations in Approving the Agreements.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to each Fund; (e) the resources devoted to risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (f) BlackRock’s and each Fund’s adherence to applicable compliance policies and procedures; (g) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) the use of brokerage commissions and execution quality of portfolio transactions; (k) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (l) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (m) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; (n) periodic updates on BlackRock’s business; and (o) each Fund’s market discount/premium compared to peer funds.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on Lipper classifications, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, closed-end funds, and open-end funds, under similar investment mandates, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.

144 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting. Topics covered included: (a) the methodology for measuring estimated fund profitability; (b) fund expenses and potential fee waivers; (c) differences in services provided and management fees between closed-end funds and other product channels; and (d) BlackRock’s option overwrite strategy.

At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.

The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of closed-end funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance, investment strategies and outlook.

The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third-parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering, registration statements in connection with BME, BUI and BST’s equity shelf program and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of each Fund; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of third-party service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of each Fund and BlackRock: The Board, including the Independent Board Members, also reviewed and considered the performance history of each Fund. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2019, as compared to its Performance Peers. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and certain performance metrics including Fund return, Sharpe Ratio, stability of distribution, and yield (“Performance Metrics”). The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.

In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.

The Board reviewed and considered BGR’s performance relative to BGR’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BGR generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BGR, and that BlackRock has explained its rationale for this belief to the Board.

DISCLOSURE OF INVESTMENT ADVISORY AGREEMENT AND SUB-A DVISORY AGREEMENT |  | 145

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

The Board reviewed and considered CII’s performance relative to CII’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, CII generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for CII, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BDJ’s performance relative to BDJ’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BDJ generally performed above expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BDJ, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BOE’s performance relative to BOE’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BOE generally performed below expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BOE, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed BOE’s underperformance relative to the Performance Metrics.

The Board reviewed and considered BGY’s performance relative to BGY’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BGY generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BGY, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BME’s performance relative to BME’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BME generally performed above expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BME, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BCX’s performance relative to BCX’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BCX generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BCX, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BST’s performance relative to BST’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BST generally performed above expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BST, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BUI’s performance relative to BUI’s Performance Metrics. Based on an overall rating relative to the Performance metrics, BUI generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BUI, and that BlackRock has explained its rationale for this belief to the Board.

The Board reviewed and considered BSTZ’s performance relative to BSTZ’s Performance Metrics over the since-inception period. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BSTZ, and that BlackRock has explained its rationale for this belief to the Board.

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund: The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate as a percentage of managed assets, which is the total assets of each Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of each Fund’s accrued liabilities (other than money borrowed for investment purposes) to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2019 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

The Board noted that BGR’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. In addition, the Board noted that BlackRock had agreed to voluntarily waive a portion of the advisory fee payable by BGR. An advisory fee waiver has been in effect since 2015, the amount of which may have varied from time to time. After discussions between the Board, including Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of the current 22 basis points voluntary advisory fee waiver.

The Board noted that CII’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board noted that BDJ’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board noted that BOE’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. In addition, the Board noted that BlackRock had agreed to voluntarily waive a portion of the advisory fee payable by BOE. An advisory fee waiver has been in effect since 2015, the amount of which may have varied from time to time. After discussion between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of the current 17.5 basis points voluntary advisory fee waiver.

The Board noted that BGY’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. The Board also noted that BlackRock had agreed to voluntarily waive a portion of the advisory fee payable by BGY. An advisory fee waiver has been in effect since 2013, the amount of which may have varied from time to time. After discussions between the Board, including Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of the current 10 basis points voluntary advisory fee waiver.

The Board noted that BME’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Expense Peers.

The Board noted that BCX’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Expense Peers.

The Board noted that BST’s contractual management fee rate ranked second out of four funds, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Expense Peers. The Board also noted that, in connection with BST’s launch, BlackRock has contractually agreed to waive a portion of the advisory fee payable by BST through December 31, 2021. The contractual advisory fee waiver is 15 basis points through December 31, 2019, will be 10 basis points through December 31, 2020, and then will be 5 basis points through December 31, 2021.

The Board noted that BUI’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. The Board also noted that BlackRock had agreed to voluntarily waive a portion of the advisory fee payable by BUI. An advisory fee waiver has been in effect since 2017, the amount of which may have varied from time to time. After discussion between the Board, including the Independent Board Members, and BlackRock, the Board and BlackRock agreed to a continuation of the current 2.5 basis points voluntary advisory fee waiver.

The Board noted that BSTZ’s contractual management fee rate ranked third out of four funds, and that the actual management fee rate and total expense ratio each ranked in the second quartile relative to the Expense Peers.

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase. The Board also considered the extent to which each Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee was appropriate.

Based on the Board’s review and consideration of the issue, the Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. Closed-end funds are typically priced at scale at a fund’s inception. The Board noted that although BME, BUI and BST may from time-to-time make additional share offerings pursuant to its equity shelf program, the growth of BME, BUI and BST’s assets will occur primarily through the appreciation of its investment portfolio.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that each Fund’s fees and expenses are too high or if they are dissatisfied with the performance of each Fund.

The Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex;

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communication efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and each Fund for a one-year term ending June 30, 2021, and the Sub-Advisory Agreements among the Manager, the Sub-Advisors and each of BGR, BOE, BGY BCX and BUI for a one-year term ending June 30, 2021. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.

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Disclosure of Investment Advisory Agreement

The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Health Sciences Trust II (the “Fund”) met in person on September 5, 2019 (the “Meeting”) to consider the approval of the proposed investment advisory agreement (the “Advisory Agreement” or the “Agreement”) between the Fund and BlackRock Advisors, LLC (the “Manager” or “BlackRock”), the Fund’s investment advisor.

Activities and Composition of the Board

On the date of the Meeting, a majority of the Board Members were not “interested persons” of the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Co-Chairs of the Board are Independent Board Members. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreement

Pursuant to the 1940 Act, the Board is required to consider the initial approval of the Agreement. In connection with this process, the Board assessed, among other things, the nature, extent and quality of the services to be provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management; accounting, administrative and shareholder services; oversight of the Fund’s service providers; marketing; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements.

Board Considerations in Approving the Agreement

The Approval Process: At the Meeting, the Board reviewed materials relating to its consideration of the Agreement. The Board considered all factors it believed relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services to be provided by BlackRock; (b) the investment performance of BlackRock portfolio management; (c) the advisory fee and the estimated cost of the services to be provided and profits to be realized by BlackRock and its affiliates from their relationship with the Fund; (d) the sharing of potential economies of scale; (e) potential fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Fund; (f) the policies and practices of BlackRock with respect to portfolio transactions for the Fund; and (g) other factors deemed relevant by the Board Members.

In determining whether to approve the Agreement, the Board met with the relevant investment advisory personnel from BlackRock and considered all information it deemed reasonably necessary to evaluate the terms of the Agreement. The Board received materials in advance of the Meeting relating to its consideration of the Agreement, including, among other things, (a) fees and estimated expense ratios of the Fund in comparison to the fees and expense ratios of a peer group of funds as determined by Broadridge Financial Solutions, Inc. (“Broadridge”) and other metrics, as applicable; (b) information on the composition of the peer group of funds and a description of Broadridge’s methodology; (c) information regarding BlackRock’s economic outlook for the Fund and its general investment outlook for the markets; (d) information regarding fees paid to service providers that are affiliates of BlackRock; and (e) information outlining the legal duties of the Board under the 1940 Act with respect to the consideration and approval of the Agreement. The Board also noted information received at prior Board meetings concerning compliance records and regulatory matters relating to BlackRock.

The Board also considered other matters it deemed important to the approval process, such as other payments to be made to BlackRock or its affiliates relating to securities lending and cash management, services related to the valuation and pricing of Fund portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services to be Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services to be provided by BlackRock, including the investment advisory services to be provided to the Fund. The Board received information concerning the investment philosophy and investment process to be used by BlackRock in managing the Fund, as well as a description of the capabilities, personnel and services of BlackRock. In connection with this review, the Board considered BlackRock’s in-house research capabilities as well as other resources available to its personnel. The Board considered the scope of the services to be provided by BlackRock to the Fund under the Agreement relative to services typically provided by third parties to other funds. The Board noted that the standard of care applicable under the Agreement was comparable to that found generally in investment company advisory agreements. The Board concluded that the scope of BlackRock’s services to be provided to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to meet its investment objective, compliance with investment restrictions, tax and reporting requirements and related shareholder services.

The Board, including the Independent Board Members, also considered the quality of the administrative and other non-investment advisory services to be provided by BlackRock and its affiliates to the Fund. The Board evaluated the procedures of BlackRock designed to fulfill its fiduciary duty to the Fund with respect to possible conflicts of interest, including BlackRock’s code of ethics (regulating the personal trading of BlackRock’s officers and employees), the procedures by which BlackRock allocates trades among its various investment advisory clients, the integrity of the systems in place to ensure compliance with the foregoing and the record of BlackRock in these matters. The Board also noted information received at prior Board meetings concerning the standards of BlackRock with respect to the execution of portfolio transactions.

The Board, including the Independent Board Members, considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and the Fund’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board

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Disclosure of Investment Advisory Agreement (continued)

engaged in a review of BlackRock’s compensation structure with respect to the Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives. The Board also considered the business reputation of BlackRock and its financial resources and concluded that BlackRock would be able to meet any reasonably foreseeable obligation under the Agreement.

In addition to investment advisory services, the Board, including the Independent Board Members, considered the quality of the administrative and other non-investment advisory services to be provided by BlackRock and its affiliates to the Fund. The Board noted that BlackRock and its affiliates will provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, the Board noted that BlackRock and its affiliates will provide the Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Fund; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Fund and BlackRock: In their capacity as members of the boards of directors or trustees of certain other BlackRock-advised funds, the Board, including the Independent Board Members, previously received and considered information about BlackRock’s investment performance for other funds. The Board, however, could not consider the performance history of the Fund because the Fund was not yet organized and had not yet commenced operations as of the date of the Meeting.

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services to be Provided and Estimated Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Fund: In connection with the initial approval of the Agreement, the Board, including the Independent Board Members, reviewed the Fund’s proposed contractual management fee rate compared with the other funds in its Broadridge category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. In addition, the Board, including the Independent Board Members, considered the Fund’s estimated total net expense ratio, as well as the actual management fee rate as a percentage of total assets, to those of other funds in its Broadridge category. The estimated total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The estimated total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional separate accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board noted that it had previously received and reviewed statements relating to BlackRock’s financial condition in connection with their duties as trustees or directors of other funds in the BlackRock family of closed-end funds. The Board had previously reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Fund. The Board reviewed BlackRock’s estimated profitability with respect to other funds the Board oversees for the year ended December 31, 2018 compared to available aggregate estimated profitability data provided for the prior two years. The Board acknowledged the Manager’s representation that it expected the Fund’s costs of services and profitability to be broadly in line with those of other similar funds managed by the Manager. The Board then noted its previous review of BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board noted that, as a result, calculating and comparing profitability at the individual fund level is difficult.

The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board then noted its previous review, as described above, of BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Board reviewed its previous consideration of the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing the Fund in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust and institutional separate account product channels, as applicable.

The Board noted that the Fund’s contractual management fee rate ranked third out of four funds and the Fund’s estimated actual management fee rate and estimated total expense ratio each ranked in the second quartile relative to the Fund’s peers.

Following consideration of this information, the Board, including the Independent Board Members, concluded that the fees to be paid pursuant to the Agreement were fair and reasonable in light of the services to be provided.

As the Fund has not commenced operations as of the date of the Meeting, BlackRock was not able to provide the Board with specific information concerning the expected profits to be realized by BlackRock and its affiliates from their relationships with the Fund. BlackRock, however, will provide the Board with such information at future meetings.

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Disclosure of Investment Advisory Agreement (continued)

D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Fund increase. The Board also considered the extent to which the Fund may benefit from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to more fully participate in these economies of scale.

Based on the Board’s review and consideration of the issue, the Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception.

E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other potential ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices for BlackRock closed-end funds throughout the year.

The Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

The Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

The Board, including all of the Independent Board Members, concluded that these potential ancillary benefits that BlackRock and its affiliates could receive with regard to providing investment advisory and other services to the Fund were consistent with those generally available to other fund sponsors.

Conclusion

The Board, including all the Independent Board Members, approved the Advisory Agreement between the Manager and the Fund, for a two-year term beginning on the effective date of the Agreement. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Agreement, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.

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Trustee and Officer Information

Richard E. Cavanagh, Co-Chair of the Board and Trustee

Karen P. Robards, Co-Chair of the Board and Trustee

Michael J. Castellano, Trustee

Cynthia L. Egan, Trustee

Frank J. Fabozzi, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee

Catherine A. Lynch, Trustee

Robert Fairbairn, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

Effective June 1, 2020, the portfolio managers of BMEZ and BME are Erin Xie, Kyle McClements, Christopher Accettella, Xiang Liu and Jeffrey Lee. Messrs. Liu and Lee joined BMEZ’s and BME’s portfolio management team effective June 1, 2020. Mr. Liu has been a Director of BlackRock, Inc. since 2016 and Vice President thereof from 2008 to 2016. Mr. Lee has been a Vice President of BlackRock, Inc. since 2011.

Effective June 1, 2020, the portfolio managers of BSTZ and BST are Tony Kim, Kyle McClements, Christopher Accettella and Reid Menge. Mr. Menge joined BSTZ’s and BST’s portfolio management team effective June 1, 2020. Mr. Menge has been a Director of BlackRock, Inc. since 2014.

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Adviser

BlackRock International Limited(a)

Edinburgh, EH3 8BL

United Kingdom

Custodian and Accounting Agent

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Distributor

BlackRock Investments, LLC(b)

New York, NY 10022

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

(a) | For BGR, BOE, BGY, BCX and BUI.

(b) | For BME, BST and BUI.

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Additional Information

Fund Certification

The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

General Information

The Trusts, other than BME, BST and BUI, do not make available copies of their Statements of Additional Information because the Trusts’ shares, except for BME, BST and BUI, are not continuously offered, which means that the Statements of Additional Information of each Trust, other than BME, BST and BUI, have not been updated after completion of the respective Trust’s offerings and the information contained in each such Trust’s Statement of Additional Information may have become outdated.

BME’s, BST’s and BUI’s Statements of Additional Information include additional information about the Board and are available, without charge upon request by calling 800-882-0052.

During the period there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

In accordance with Section 23(c) of the Investment Company Act of 1940, each Trust may from time to time purchase shares of its common stock in the open market or in private transactions.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports and, for BME, BST and BUI only, prospectuses, by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including, for BME, BST and BUI only, prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Trusts’ Forms N-PORT are available on the SEC’s website at sec.gov.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at blackrock.com; and (3) on the SEC’s website at sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolio during the most recent 12-month period ended June 30 is available upon request and without charge (1) at blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

ADDITIONAL INFORMATION |  | 153

Additional Information (continued)

Shelf Offering Program

From time-to-time, each Trust may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Trust may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Trust’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Trust to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.

None of the Trusts, other than BME, BST and BUI, have filed a registration statement with respect to any current Shelf Offerings. This report is not an offer to sell these Trusts’ Common Shares and is not a solicitation of an offer to buy these Trusts’ Common Shares. If any of the Trusts other than BME, BST and BUI file a registration statement with respect to any current Shelf Offering, the prospectus contained therein will contain more complete information about such Trusts and should be read carefully before investing.

On March 26, 2020 BME, BST and BUI each have filed a final base prospectus and BST and BUI each have filed a final prospectus supplement with the SEC in connection with their Shelf Offering. This report and the base prospectuses of BME, BST and BUI and prospectus supplements of BST and BUI are not offers to sell these Trusts’ Common Shares or solicitations of an offer to buy these Trusts’ Common Shares in any jurisdiction where such offers or sales are not permitted. The base prospectuses of these Trusts and prospectus supplements of BST and BUI contains important information about the Trusts, including its investment objective, risks, charges and expenses. Investors are urged to read the base prospectuses of these Trusts and prospectus supplements of BST and BUI carefully and in its entirety before investing. Copies of the base prospectuses for these Trusts and prospectus supplements of BST and BUI can be obtained from BlackRock at blackrock.com.

Dividend Policy

Each Trust’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Trust employs a managed distribution plan (the “Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Trust. The distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of the Trust and is reported in each Trust’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. The Trust’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Trust’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital. A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made. Such distributions, under certain circumstances, may exceed a Trust’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Trust’s total assets and net asset value per share (“NAV”) and, therefore, could have the effect of increasing the Trust’s expense ratio and reducing the amount of assets the Trust has available for long term investment.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

154 |  | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Glossary of Terms Used in this Report

Currency
AUD |  | Australian Dollar
CAD |  | Canadian Dollar
CHF |  | Swiss Franc
DKK |  | Danish Krone
EUR |  | Euro
GBP |  | British Pound
HKD |  | Hong Kong Dollar
INR |  | Indian Rupee
JPY |  | Japanese Yen
KRW |  | South Korean Won
NOK |  | Norwegian Krone
NZD |  | New Zealand Dollar
SEK |  | Swedish Krona
SGD |  | Singapore Dollar
TWD |  | Taiwan New Dollar
USD |  | U.S. Dollar
ZAR |  | South African Rand
Portfolio Abbreviations
ADR |  | American Depositary Receipts
GDR |  | Global Depositary Receipts
OTC |  | Over-the-Counter

GLOSSARY OF TERMS USED IN THIS REPORT |  | 155

Want to know more?

blackrock.com | 800-882-0052

This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.

CEF-BK9-6/20-SAR

Item 2 – |  | Code of Ethics – Not Applicable to this semi-annual report
Item 3 – |  | Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 – |  | Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 – |  | Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 – |  | Investments
|  | (a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
|  | (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – |  | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 – |  | Portfolio Managers of Closed-End Management Investment Companies
|  | (a) |  | Not Applicable to this semi-annual report
|  | (b) |  | As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.
Item 9 – |  | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers -- Not Applicable due to no such purchases during the period covered by this report.
Item 10 – |  | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 – |  | Controls and Procedures
|  | (a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing 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.
|  | (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 – |  | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not applicable to this semi-annual report
Item 13 – |  | Exhibits attached hereto
|  | (a)(1) – Code of Ethics – Not Applicable to this semi-annual report

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|  | (a)(2) – Section 302 Certifications are attached
|  | (a)(3) – Not Applicable
|  | (a)(4) – Not Applicable
|  | (b) – Section 906 Certifications are attached
|  | (c) – Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091

|  | 1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.

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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 Utilities, Infrastructure & Power Opportunities Trust

By: |  | /s/ John M. Perlowski
|  | John M. Perlowski
|  | Chief Executive Officer (principal executive officer) of
|  | BlackRock Utilities, Infrastructure & Power Opportunities Trust
Date: |  | September 4, 2020

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 Utilities, Infrastructure & Power Opportunities Trust
Date: |  | September 4, 2020
By: |  | /s/ Neal J. Andrews
|  | Neal J. Andrews
|  | Chief Financial Officer (principal financial officer) of
|  | BlackRock Utilities, Infrastructure & Power Opportunities Trust
Date: |  | September 4, 2020

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