BlackRock Resources & Commodities Strategy Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-22501

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

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Resources & Commodities Strategy Trust, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 12/31/2018

Date of reporting period: 09/30/2018

Item 1 – Schedule of Investments

Schedule of Investments  (unaudited)

September 30, 2018

   

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Security     Shares     Value  
Common Stocks — 98.7%  

Chemicals — 13.2%

      

CF Industries Holdings, Inc.(a)

       142,584     $ 7,762,273  

FMC Corp.(a)(b)

       193,901       16,904,289  

Mosaic Co.(a)

       519,336       16,868,033  

Nufarm Ltd.

       1,425,601       7,083,677  

Nutrien Ltd.(a)

       1,077,867       62,192,926  

Umicore SA

       130,453       7,286,903  

Yara International ASA

       197,504       9,693,155  
     

 

 

  
    127,791,256  
Containers & Packaging — 4.5%  

International Paper Co.(a)

       136,601       6,713,939  

Packaging Corp. of America(b)

       174,418       19,131,911  

Smurfit Kappa Group PLC

       457,743       18,116,138  
     

 

 

  
    43,961,988  
Electronic Equipment, Instruments & Components — 1.0%  

Trimble, Inc.(a)(d)

       232,048       10,084,806  
     

 

 

  
Energy Equipment & Services — 1.4%  

Baker Hughes a GE Co.

       148,399       5,020,338  

Halliburton Co.(a)

       218,070       8,838,377  
     

 

 

  
    13,858,715  
Food Products — 6.1%  

Archer-Daniels-Midland Co.(a)(b)

       608,006       30,564,462  

Bunge Ltd.(a)

       95,344       6,551,086  

Glanbia PLC

       454,911       7,852,251  

Hormel Foods Corp.(a)

       248,322       9,783,887  

Tyson Foods, Inc., Class A(a)(b)

       82,246       4,896,104  
     

 

 

  
    59,647,790  
Machinery — 0.8%  

Deere & Co.(a)

       50,289       7,559,945  
     

 

 

  
Metals & Mining — 34.7%  

ArcelorMittal

       870,140       27,014,597  

Barrick Gold Corp.

       1,210,153       13,408,495  

BHP Billiton PLC

       1,371,992       29,939,048  

First Quantum Minerals Ltd.

       1,607,882       18,311,419  

Fresnillo PLC

       885,951       9,463,139  

Glencore PLC(d)

       8,587,947       37,019,890  

Lundin Mining Corp.

       1,941,106       10,279,228  

Neo Lithium Corp.(d)(e)

       5,522,674       4,574,971  

Nevsun Resources Ltd.

       2,118,850       9,399,613  

Newcrest Mining Ltd.

       1,157,011       16,247,066  

Newmont Mining Corp.(a)

       355,922       10,748,844  

OZ Minerals Ltd.

       1,655,292       11,158,557  

Polyus PJSC

       146,678       4,604,436  

Randgold Resources Ltd., — ADR(a)

       182,127       12,849,060  

Rio Tinto PLC — ADR(a)

       550,688       28,096,102  

Stelco Holdings, Inc.

       1,105,092       18,428,895  

Teck Resources Ltd., Class B(a)

       1,112,210       26,804,261  

Vale SA — ADR(a)

       2,856,810       42,395,060  
Security     Shares     Value  
Metals & Mining (continued)  

Wheaton Precious Metals Corp.

       323,966     $ 5,669,405  
     

 

 

  
    336,412,086  
Oil, Gas & Consumable Fuels — 35.5%  

Andeavor

       43,000       6,600,500  

BP PLC — ADR(a)

       1,193,181       55,005,644  

Cairn Energy PLC(d)

       1,830,723       5,533,390  

Canadian Natural Resources Ltd.

       251,635       8,221,265  

Chevron Corp.(a)(b)

       93,165       11,392,216  

CNOOC Ltd.

       7,324,000       14,502,440  

ConocoPhillips(a)

       221,962       17,179,859  

Devon Energy Corp.(a)

       227,915       9,102,925  

Encana Corp.

       536,999       7,038,589  

EQT Corp.

       114,043       5,044,122  

Exxon Mobil Corp.(a)(b)

       332,868       28,300,437  

Kosmos Energy Ltd.(d)

       472,352       4,416,491  

Pioneer Natural Resources Co.(a)

       60,823       10,594,758  

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

       821,105       55,950,095  

Suncor Energy, Inc.

       899,709       34,813,964  

TOTAL SA

       874,934       56,888,864  

Valero Energy Corp.(a)

       119,589       13,603,249  
     

 

 

  
    344,188,808  
Paper & Forest Products — 1.5%  

Mondi PLC

       530,790       14,532,882  

Precious Woods Holding AG(d)

       20,000       167,108  

Quintis Ltd.(c)(d)(e)

       7,903,565       66  
     

 

 

  
    14,700,056  
     

 

 

  

Total Common Stocks — 98.7%
(Cost — $796,367,670)

 

     958,205,450  
     

 

 

  
Corporate Bonds — 1.7%  

Metals & Mining — 1.7%

 

Beadell Resources Ltd.,
6.00%, 06/30/23(c)(f)

     USD       1,800       1,681,920  

Osisko Gold Royalties, Ltd.,
4.00%, 12/31/22

     CAD       5,652       4,290,471  

Pilgangoora Operations Pty Ltd,
12.00%, 06/21/22

     USD       9,000       10,121,535  
     

 

 

  

Total Corporate Bonds — 1.7%
(Cost — $15,311,494)

 

     16,093,926  
     

 

 

  

Total Long-Term Investments — 100.4%
(Cost — $811,679,164)

 

     974,299,376  
     

 

 

  
Short-Term Securities — 0.6%  

BlackRock Liquidity Funds, T-Fund, Institutional Class,

      

1.97%(g)(i)

       5,643,819       5,643,819  
 

 

 

        1  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Security     Shares     Value  

SL Liquidity Series, LLC, Money Market Series, 2.26%(g)(h)(i)

       500,495     $ 500,545  
     

 

 

  

Total Short-Term Securities — 0.6%
(Cost — $6,144,399)

 

     6,144,364  
     

 

 

  

Total Investments Before Options Written — 101.0%
(Cost — $817,823,563)

 

     980,443,740  
     

 

 

  
                   Value  

Options Written — (1.1)%
(Premiums Received — $7,716,919)

       $ (10,956,382 ) 
     

 

 

  

Total Investments, Net of Options Written — 99.9%
(Cost — $810,106,644)

         969,487,358  

Other Assets Less Liabilities — 0.1%

         1,137,066  
     

 

 

  

Net Assets — 100.0%

       $ 970,624,424  
     

 

 

  
 
(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) 

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

(d) 

Non-income producing security.

(e) 

Security, or a portion of the security, is on loan.

(f) 

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

(g) 

Annualized 7-day yield as of period end.

(h) 

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

(i) 

During the period ended September 30, 2018, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Trust were as follows:

 

Affiliate    Shares
Held at
12/31/17		      Net
Activity		      Shares
Held at
09/30/18		      Value at
09/30/18		      Income      Net Realized
Gain (Loss)(a)		      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

      16,156,750        (10,512,931 )       5,643,819      $ 5,643,819      $ 119,154      $ —      $ —  

SL Liquidity Series, LLC, Money Market Series

      488,032        12,463        500,495        500,545        8,623 (b)        —        4  
           

 

 

     

 

 

     

 

 

     

 

 

  
            $ 6,144,364      $ 127,777      $ —      $ 4  
           

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)

Includes net capital gain distributions, if applicable.

 
  (b) 

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 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.

 

Currency Abbreviations
AUD   Australian Dollar
CAD   Canadian Dollar
CHF   Swiss Franc
EUR   Euro
GBP   British Pound
HKD   Hong Kong Dollar
NOK   Norwegian Krone
USD   United States Dollar

 

Portfolio Abbreviations

ADR   American Depositary Receipts

 

 

2   

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Resources & Commodities Strategy Trust (BCX)

 

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

                           

Archer-Daniels-Midland Co.

      222          10/05/18        USD   $ 52.00        USD     1,116        $ (1,776 ) 

BP PLC — ADR

      433          10/05/18        USD     44.00        USD     1,996          (93,528 ) 

CF Industries Holdings, Inc.

      38          10/05/18        USD     53.00        USD     207          (6,555 ) 

CF Industries Holdings, Inc.

      45          10/05/18        USD     53.50        USD     245          (6,052 ) 

Chevron Corp.

      51          10/05/18        USD     123.00        USD     624          (3,748 ) 

ConocoPhillips

      151          10/05/18        USD     74.00        USD     1,169          (52,850 ) 

Devon Energy Corp.

      149          10/05/18        USD     44.50        USD     595          (298 ) 

Halliburton Co.

      361          10/05/18        USD     41.50        USD     1,463          (5,956 ) 

Hormel Foods Corp.

      135          10/05/18        USD     39.50        USD     532          (4,050 ) 

International Paper Co.

      136          10/05/18        USD     53.00        USD     668          (204 ) 

International Paper Co.

      8          10/05/18        USD     52.00        USD     39          (32 ) 

Royal Dutch Shell PLC — ADR, Class A

      29          10/05/18        USD     65.00        USD     198          (9,425 ) 

Royal Dutch Shell PLC — ADR, Class A

      608          10/05/18        USD     67.50        USD     4,143          (62,320 ) 

Teck Resources Ltd., Class B

      850          10/05/18        USD     24.00        USD     2,049          (44,625 ) 

Vale SA — ADR

      1,212          10/05/18        USD     14.00        USD     1,799          (106,656 ) 

BP PLC — ADR

      436          10/12/18        USD     44.00        USD     2,010          (97,228 ) 

CF Industries Holdings, Inc.

      135          10/12/18        USD     52.00        USD     735          (37,800 ) 

Chevron Corp.

      28          10/12/18        USD     121.00        USD     342          (6,580 ) 

ConocoPhillips

      166          10/12/18        USD     73.00        USD     1,285          (82,170 ) 

Devon Energy Corp.

      149          10/12/18        USD     45.00        USD     595          (894 ) 

Devon Energy Corp.

      38          10/12/18        USD     42.00        USD     152          (969 ) 

Exxon Mobil Corp.

      820          10/12/18        USD     82.00        USD     6,972          (272,650 ) 

Hormel Foods Corp.

      300          10/12/18        USD     41.00        USD     1,182          (3,000 ) 

International Paper Co.

      144          10/12/18        USD     53.50        USD     708          (1,584 ) 

International Paper Co.

      9          10/12/18        USD     52.00        USD     44          (63 ) 

Mosaic Co.

      125          10/12/18        USD     31.50        USD     406          (15,500 ) 

Pioneer Natural Resources Co.

      63          10/12/18        USD     167.50        USD     1,097          (51,660 ) 

Royal Dutch Shell PLC — ADR, Class A

      608          10/12/18        USD     67.50        USD     4,143          (79,040 ) 

Teck Resources Ltd., Class B

      208          10/12/18        USD     24.00        USD     501          (15,184 ) 

Vale SA — ADR

      1,003          10/12/18        USD     14.00        USD     1,488          (99,297 ) 

Archer-Daniels-Midland Co.

      264          10/19/18        USD     50.00        USD     1,327          (23,232 ) 

BP PLC — ADR

      671          10/19/18        USD     43.00        USD     3,093          (216,398 ) 

Bunge Ltd.

      151          10/19/18        USD     65.00        USD     1,038          (61,910 ) 

CF Industries Holdings, Inc.

      107          10/19/18        USD     55.00        USD     583          (11,984 ) 

Canadian Natural Resources Ltd.

      425          10/19/18        CAD     44.00        CAD     1,794          (7,732 ) 

Chevron Corp.

      51          10/19/18        USD     125.00        USD     624          (4,105 ) 

ConocoPhillips

      266          10/19/18        USD     75.00        USD     2,059          (80,199 ) 

Deere & Co.

      71          10/19/18        USD     155.00        USD     1,067          (9,834 ) 

Devon Energy Corp.

      219          10/19/18        USD     44.00        USD     875          (3,285 ) 

Devon Energy Corp.

      85          10/19/18        USD     42.00        USD     339          (3,655 ) 

FMC Corp.

      350          10/19/18        USD     87.50        USD     3,051          (70,875 ) 

First Quantum Minerals Ltd.

      1,140          10/19/18        CAD     18.00        CAD     1,677          (9,267 ) 

First Quantum Minerals Ltd.

      560          10/19/18        CAD     19.00        CAD     824          (3,035 ) 

Halliburton Co.

      137          10/19/18        USD     40.00        USD     555          (16,577 ) 

Hormel Foods Corp.

      180          10/19/18        USD     37.50        USD     709          (37,800 ) 

International Paper Co.

      74          10/19/18        USD     52.50        USD     364          (925 ) 

Lundin Mining Corp.

      1,000          10/19/18        CAD     7.00        CAD     684          (13,936 ) 

Mosaic Co.

      125          10/19/18        USD     32.00        USD     406          (12,938 ) 

Nutrien Ltd.

      892          10/19/18        USD     60.00        USD     5,147          (22,300 ) 

 

 

        3  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

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)

                           

Nutrien Ltd.

      668          10/19/18        USD   $ 57.50        USD     3,854        $ (78,490 ) 

Pioneer Natural Resources Co.

      41          10/19/18        USD     180.00        USD     714          (8,712 ) 

Randgold Resources Ltd. — ADR

      545          10/19/18        USD     67.50        USD     3,845          (215,275 ) 

Rio Tinto PLC — ADR

      1,090          10/19/18        USD     50.00        USD     5,561          (207,100 ) 

Rio Tinto PLC — ADR

      516          10/19/18        USD     53.50        USD     2,633          (21,893 ) 

Royal Dutch Shell PLC — ADR, Class A

      568          10/19/18        USD     65.00        USD     3,870          (195,960 ) 

Stelco Holdings, Inc.

      100          10/19/18        CAD     25.00        CAD     215          (1,548 ) 

Stelco Holdings, Inc.

      290          10/19/18        CAD     23.31        CAD     625          (3,031 ) 

Suncor Energy, Inc.

      1,565          10/19/18        CAD     54.00        CAD     7,822          (11,510 ) 

Teck Resources Ltd., Class B

      550          10/19/18        USD     24.00        USD     1,326          (48,400 ) 

Tyson Foods, Inc., Class A

      166          10/19/18        USD     62.50        USD     988          (2,905 ) 

Vale SA — ADR

      1,342          10/19/18        USD     14.00        USD     1,992          (141,581 ) 

Valero Energy Corp.

      480          10/19/18        USD     120.00        USD     5,460          (26,160 ) 

Archer-Daniels-Midland Co.

      250          10/26/18        USD     51.00        USD     1,257          (12,250 ) 

BP PLC — ADR

      686          10/26/18        USD     45.00        USD     3,162          (112,504 ) 

CF Industries Holdings, Inc.

      245          10/26/18        USD     55.50        USD     1,334          (29,155 ) 

Chevron Corp.

      74          10/26/18        USD     119.00        USD     905          (30,340 ) 

ConocoPhillips

      232          10/26/18        USD     77.00        USD     1,796          (45,588 ) 

Deere & Co.

      130          10/26/18        USD     157.50        USD     1,954          (15,405 ) 

Devon Energy Corp.

      36          10/26/18        USD     43.50        USD     144          (1,026 ) 

Devon Energy Corp.

      71          10/26/18        USD     40.50        USD     284          (7,703 ) 

Exxon Mobil Corp.

      137          10/26/18        USD     85.00        USD     1,165          (21,098 ) 

Halliburton Co.

      187          10/26/18        USD     42.00        USD     758          (11,594 ) 

Hormel Foods Corp.

      367          10/26/18        USD     42.50        USD     1,446          (3,670 ) 

International Paper Co.

      105          10/26/18        USD     56.00        USD     516          (735 ) 

Mosaic Co.

      431          10/26/18        USD     33.00        USD     1,400          (28,662 ) 

Newmont Mining Corp.

      712          10/26/18        USD     32.50        USD     2,150          (18,156 ) 

Nutrien Ltd.

      630          10/26/18        USD     57.00        USD     3,635          (103,950 ) 

Pioneer Natural Resources Co.

      43          10/26/18        USD     175.00        USD     749          (21,070 ) 

Royal Dutch Shell PLC — ADR, Class A

      382          10/26/18        USD     65.00        USD     2,603          (127,970 ) 

Teck Resources Ltd., Class B

      915          10/26/18        USD     25.00        USD     2,205          (64,050 ) 

Vale SA — ADR

      463          10/26/18        USD     14.00        USD     687          (53,940 ) 

Vale SA — ADR

      1,407          10/26/18        USD     14.50        USD     2,088          (116,781 ) 

Bunge Ltd.

      230          10/30/18        USD     66.70        USD     1,580          (71,972 ) 

Pioneer Natural Resources Co.

      21          10/31/18        USD     179.50        USD     366          (7,224 ) 

Archer-Daniels-Midland Co.

      1,148          11/02/18        USD     51.00        USD     5,771          (69,454 ) 

BP PLC — ADR

      219          11/02/18        USD     45.00        USD     1,010          (40,077 ) 

Chevron Corp.

      110          11/02/18        USD     120.00        USD     1,345          (47,025 ) 

Chevron Corp.

      45          11/02/18        USD     125.00        USD     550          (7,492 ) 

ConocoPhillips

      72          11/02/18        USD     79.00        USD     557          (9,540 ) 

Devon Energy Corp.

      82          11/02/18        USD     41.00        USD     328          (8,610 ) 

Exxon Mobil Corp.

      197          11/02/18        USD     86.50        USD     1,675          (21,079 ) 

Hormel Foods Corp.

      240          11/02/18        USD     41.00        USD     946          (6,000 ) 

International Paper Co.

      70          11/02/18        USD     54.50        USD     344          (1,050 ) 

Mosaic Co.

      500          11/02/18        USD     33.00        USD     1,624          (39,500 ) 

Newmont Mining Corp.

      711          11/02/18        USD     32.50        USD     2,147          (23,463 ) 

Nutrien Ltd.

      412          11/02/18        USD     59.50        USD     2,377          (28,840 ) 

Nutrien Ltd.

      668          11/02/18        USD     58.00        USD     3,854          (85,170 ) 

Pioneer Natural Resources Co.

      75          11/02/18        USD     177.50        USD     1,306          (33,375 ) 

Royal Dutch Shell PLC — ADR, Class A

      567          11/02/18        USD     66.00        USD     3,864          (168,683 ) 

Royal Dutch Shell PLC — ADR, Class A

      383          11/02/18        USD     67.00        USD     2,610          (84,260 ) 

Teck Resources Ltd., Class B

      410          11/02/18        USD     26.00        USD     988          (20,500 ) 

 

 

4   

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

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)

 

Teck Resources Ltd., Class B

      600          11/02/18        USD   $ 25.00        USD   1,446      $ (48,000 ) 

Tyson Foods, Inc., Class A

      84          11/02/18        USD     61.50        USD   500        (5,040 ) 

Vale SA — ADR

      696          11/02/18        USD     14.00        USD   1,033        (88,740 ) 

Vale SA — ADR

      715          11/02/18        USD     14.50        USD   1,061        (68,640 ) 

Vale SA — ADR

      750          11/02/18        USD     15.50        USD   1,113        (37,125 ) 

Archer-Daniels-Midland Co.

      548          11/09/18        USD     51.00        USD   2,755        (55,074 ) 

Vale SA — ADR

      578          11/09/18        USD     15.00        USD   858        (44,217 ) 

BP PLC — ADR

      218          11/16/18        USD     45.00        USD   1,005        (41,420 ) 

BP PLC — ADR

      708          11/16/18        USD     47.00        USD   3,264        (58,056 ) 

Chevron Corp.

      110          11/16/18        USD     120.00        USD   1,345        (52,525 ) 

Devon Energy Corp.

      82          11/16/18        USD     41.00        USD   328        (13,448 ) 

Encana Corp.

      1,396          11/16/18        CAD     17.00        CAD   2,363        (82,140 ) 

Exxon Mobil Corp.

      177          11/16/18        USD     87.50        USD   1,505        (16,019 ) 

Lundin Mining Corp.

      1,930          11/16/18        CAD     8.00        CAD   1,320        (10,459 ) 

Mosaic Co.

      500          11/16/18        USD     33.00        USD   1,624        (59,000 ) 

Royal Dutch Shell PLC — ADR, Class A

      139          11/16/18        USD     70.00        USD   947        (14,943 ) 

Stelco Holdings, Inc.

      200          11/16/18        CAD     24.00        CAD   431        (6,581 ) 

Teck Resources Ltd., Class B

      915          11/16/18        USD     26.00        USD   2,205        (62,678 ) 

Trimble, Inc.

      222          11/16/18        USD     45.00        USD   965        (28,305 ) 

Vale SA — ADR

      579          11/16/18        USD     14.00        USD   859        (79,323 ) 

Vale SA — ADR

      1,408          11/16/18        USD     15.00        USD   2,089        (114,048 ) 
                          

Total

      $ (5,318,988 ) 
    

 

 

  

OTC Options Written

 

Description    Counterparty    Number of
Contracts		      Expiration
Date		    Exercise
Price		   

Notional

Amount (000)

      Value  

Call

 

ArcelorMittal

    Goldman Sachs International      44,400      10/03/18      EUR     27.80      EUR       1,187      $ (4,293 ) 

Barrick Gold Corp.

    Barclays Bank PLC      242,000      10/03/18      USD     10.70      USD       2,681        (102,831 ) 

Fresnillo PLC

    Morgan Stanley & Co. International PLC      192,300      10/03/18      GBP     9.82      GBP       1,575        —  

Stelco Holdings, Inc.

    Morgan Stanley & Co. International PLC      30,000      10/03/18      CAD     24.89      CAD       646        (83 ) 

TOTAL SA

    Credit Suisse International      52,200      10/03/18      EUR     55.37      EUR       2,923        (56,820 ) 

Trimble, Inc.

    Barclays Bank PLC      22,000      10/03/18      USD     41.53      USD       956        (44,943 ) 

Glencore PLC

    Societe Generale      2,649,200      10/05/18      GBP     3.24      GBP       8,769        (373,090 ) 

Barrick Gold Corp.

    Barclays Bank PLC      242,000      10/09/18      USD     10.70      USD       2,681        (118,406 ) 

Canadian Natural Resources Ltd.

    Credit Suisse International      75,400      10/09/18      CAD     45.29      CAD       3,182        (733 ) 

Nutrien Ltd.

    Deutsche Bank AG      104,200      10/09/18      USD     58.77      USD       6,012        (36,248 ) 

Stelco Holdings, Inc.

    Morgan Stanley & Co. International PLC      30,000      10/09/18      CAD     26.24      CAD       646        (203 ) 

Smurfit Kappa Group PLC

    Morgan Stanley & Co. International PLC      58,000      10/10/18      EUR     35.73      EUR       1,977        (3,150 ) 

Trimble, Inc.

    Barclays Bank PLC      12,300      10/10/18      USD     42.69      USD       535        (13,052 ) 

Vale SA — ADR

    Goldman Sachs International      57,800      10/10/18      USD     13.94      USD       858        (58,013 ) 

Stelco Holdings, Inc.

    Citibank N.A.      29,000      10/15/18      CAD     23.52      CAD       625        (6,840 ) 

Yara International ASA

    UBS AG      79,100      10/16/18      NOK     379.24      NOK       31,596        (231,030 ) 

Newcrest Mining Ltd.

    UBS AG      25,000      10/17/18      AUD     19.47      AUD       486        (6,952 ) 

Smurfit Kappa Group PLC

    Morgan Stanley & Co. International PLC      58,000      10/17/18      EUR     35.73      EUR       1,977        (6,808 ) 

TOTAL SA

    Barclays Bank PLC      38,000      10/17/18      EUR     53.06      EUR       2,128        (133,289 ) 

ArcelorMittal

    Credit Suisse International      54,200      10/18/18      EUR     27.27      EUR       1,449        (34,042 ) 

Vale SA — ADR

    JPMorgan Chase Bank N.A.      69,600      10/18/18      USD     13.44      USD       1,033        (106,249 ) 

Lundin Mining Corp.

    Citibank N.A.      241,700      10/23/18      CAD     6.76      CAD       1,653        (58,778 ) 

Packaging Corp. of America

    Barclays Bank PLC      69,700      10/23/18      USD     118.95      USD       7,645        (8,729 ) 

 

 

        5  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Resources & Commodities Strategy Trust (BCX)

 

OTC Options Written (continued)

 

Description    Counterparty    Number of
Contracts		      Expiration
Date		   

Exercise
Price

   

Notional

Amount (000)

      Value  

Call (continued)

 

TOTAL SA

    Morgan Stanley & Co. International PLC      75,100      10/23/18      EUR     $54.81      EUR       4,206      $ (159,584 ) 

ArcelorMittal

    Goldman Sachs International      108,400      10/24/18      EUR     25.59      EUR       2,899        (210,304 ) 

BHP Billiton PLC

    Goldman Sachs International      211,100      10/24/18      GBP     15.57      GBP       3,534        (388,163 ) 

Baker Hughes a GE Co.

    Citibank N.A.      14,900      10/24/18      USD     32.94      USD       504        (23,769 ) 

FMC Corp.

    UBS AG      28,800      10/24/18      USD     83.56      USD       2,511        (141,214 ) 

Fresnillo PLC

    UBS AG      162,000      10/24/18      GBP     8.30      GBP       1,327        (54,451 ) 

Mondi PLC

    Goldman Sachs International      139,206      10/24/18      GBP     21.17      GBP       2,925        (91,843 ) 

Rio Tinto PLC — ADR

    Citibank N.A.      35,000      10/24/18      USD     49.71      USD       1,786        (77,527 ) 

Stelco Holdings, Inc.

    Morgan Stanley & Co. International PLC      30,000      10/24/18      CAD     26.24      CAD       646        (2,490 ) 

Suncor Energy, Inc.

    Deutsche Bank AG      203,300      10/24/18      CAD     51.80      CAD       10,161        (66,168 ) 

Lundin Mining Corp.

    Citibank N.A.      241,700      10/25/18      CAD     6.76      CAD       1,653        (60,774 ) 

Baker Hughes a GE Co.

    Citibank N.A.      14,900      10/26/18      USD     32.94      USD       504        (24,397 ) 

CNOOC Ltd.

    Citibank N.A.      955,000      10/26/18      HKD     13.71      HKD       14,803        (221,313 ) 

Glanbia PLC

    Goldman Sachs International      90,000      10/26/18      EUR     15.06      EUR       1,338        (25,447 ) 

OZ Minerals Ltd.

    Citibank N.A.      258,600      10/26/18      AUD     8.60      AUD       2,413        (153,363 ) 

Umicore SA

    Credit Suisse International      26,500      10/26/18      EUR     47.10      EUR       1,275        (54,849 ) 

FMC Corp.

    Credit Suisse International      13,700      10/29/18      USD     89.75      USD       1,194        (21,624 ) 

Rio Tinto PLC — ADR

    Bank of America N.A.      51,600      10/29/18      USD     49.75      USD       2,633        (120,418 ) 

First Quantum Minerals Ltd.

    Morgan Stanley & Co. International PLC      93,000      10/30/18      CAD     16.90      CAD       1,368        (23,796 ) 

Mondi PLC

    Morgan Stanley & Co. International PLC      73,200      10/30/18      GBP     21.47      GBP       1,538        (33,143 ) 

Stelco Holdings, Inc.

    Credit Suisse International      27,500      10/30/18      CAD     23.21      CAD       592        (3,996 ) 

Trimble, Inc.

    Citibank N.A.      36,300      10/30/18      USD     44.98      USD       1,578        (33,311 ) 

CNOOC Ltd.

    JPMorgan Chase Bank N.A.      800,000      10/31/18      HKD     14.57      HKD       12,400        (113,133 ) 

Encana Corp.

    Goldman Sachs International      74,900      10/31/18      CAD     17.52      CAD       1,268        (21,802 ) 

TOTAL SA

    Citibank N.A.      70,500      10/31/18      EUR     54.13      EUR       3,948        (201,388 ) 

ArcelorMittal

    Barclays Bank PLC      57,900      11/01/18      EUR     28.30      EUR       1,548        (31,346 ) 

First Quantum Minerals Ltd.

    Credit Suisse International      239,100      11/01/18      CAD     16.98      CAD       3,517        (58,708 ) 

First Quantum Minerals Ltd.

    Goldman Sachs International      141,000      11/01/18      CAD     17.38      CAD       2,074        (32,274 ) 

Glanbia PLC

    Goldman Sachs International      8,300      11/01/18      EUR     14.99      EUR       123        (2,995 ) 

Nufarm Ltd.

    Deutsche Bank AG      100,000      11/01/18      AUD     7.03      AUD       687        (14,184 ) 

Smurfit Kappa Group PLC

    Morgan Stanley & Co. International PLC      9,400      11/01/18      EUR     36.12      EUR       320        (2,376 ) 

Smurfit Kappa Group PLC

    Morgan Stanley & Co. International PLC      57,700      11/01/18      EUR     34.75      EUR       1,967        (35,881 ) 

Stelco Holdings, Inc.

    Credit Suisse International      27,500      11/01/18      CAD     23.33      CAD       592        (8,873 ) 

Stelco Holdings, Inc.

    Goldman Sachs International      25,000      11/01/18      CAD     22.98      CAD       539        (4,725 ) 

Randgold Resources Ltd. — ADR

    Goldman Sachs International      18,300      11/05/18      USD     63.31      USD       1,291        (141,706 ) 

ArcelorMittal

    Barclays Bank PLC      83,200      11/06/18      EUR     25.60      EUR       2,225        (181,031 ) 

OZ Minerals Ltd.

    JPMorgan Chase Bank N.A.      258,600      11/06/18      AUD     8.60      AUD       2,413        (154,398 ) 

Stelco Holdings, Inc.

    Credit Suisse International      27,500      11/06/18      CAD     23.44      CAD       592        (9,658 ) 

Stelco Holdings, Inc.

    Goldman Sachs International      25,000      11/06/18      CAD     22.98      CAD       539        (5,503 ) 

BHP Billiton PLC

    Goldman Sachs International      179,000      11/07/18      GBP     16.19      GBP       2,996        (262,263 ) 

CNOOC Ltd.

    Goldman Sachs International      194,000      11/07/18      HKD     15.39      HKD       3,007        (16,846 ) 

CNOOC Ltd.

    UBS AG      980,000      11/07/18      HKD     14.99      HKD       15,190        (110,132 ) 

Glencore PLC

    Credit Suisse International      786,000      11/07/18      GBP     3.48      GBP       2,602        (80,145 ) 

TOTAL SA

    Credit Suisse International      44,000      11/07/18      EUR     54.09      EUR       2,464        (131,626 ) 

Glanbia PLC

    Morgan Stanley & Co. International PLC      83,600      11/09/18      EUR     14.87      EUR       1,243        (39,304 ) 

Stelco Holdings, Inc.

    Deutsche Bank AG      20,000      11/09/18      CAD     22.27      CAD       431        (12,465 ) 

bpost SA

    Citibank N.A.      70,100      11/09/18      USD     46.50      USD       3,232        (54,739 ) 

Baker Hughes a GE Co.

    Morgan Stanley & Co. International PLC      29,500      11/12/18      USD     33.59      USD       998        (46,180 ) 

OZ Minerals Ltd.

    JPMorgan Chase Bank N.A.      145,000      11/14/18      AUD     8.88      AUD       1,353        (66,208 ) 

BHP Billiton PLC

    UBS AG      158,700      11/20/18      GBP     17.23      GBP       2,657        (155,084 ) 

 

 

6      

Schedule of Investments  (unaudited) (continued)

September 30, 2018

    BlackRock Resources & Commodities Strategy Trust (BCX)

 

 

OTC Options Written (continued)

 

Description    Counterparty   

Number of

Contracts

      Expiration
Date		     

Exercise

Price

     

Notional

Amount (000)

      Value  

Call (continued)

                      

TOTAL SA

    Credit Suisse International      70,200        11/20/18        EUR       56.37        EUR       3,931        (110,773 ) 

Umicore SA

    Deutsche Bank AG      25,700        11/27/18        EUR       49.04        EUR       1,236        (41,319 ) 

BP PLC — ADR

    Citibank N.A.      70,100        11/30/18        USD       46.50        USD       3,232        (75,027 ) 

Stelco Holdings, Inc.

    UBS AG      25,000        11/30/18        CAD       22.52        CAD       539        (18,776 ) 
                     

 

 

  
                      $ (5,637,394 ) 
                     

 

 

  

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  •  

Level 1 — Unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that 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 Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

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

The following table summarizes 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

     $ 103,727,521        $ 24,063,735        $ —        $ 127,791,256  

Containers & Packaging

       25,845,850          18,116,138          —          43,961,988  

Electronic Equipment, Instruments & Components

       10,084,806          —          —          10,084,806  

Energy Equipment & Services

       13,858,715          —          —          13,858,715  

Food Products

       51,795,539          7,852,251          —          59,647,790  

Machinery

       7,559,945          —          —          7,559,945  

 

 

        7  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Resources & Commodities Strategy Trust (BCX)

 

 

        Level 1        Level 2        Level 3        Total  

Metals & Mining

     $ 200,965,353        $ 135,446,733        $ —        $ 336,412,086  

Oil, Gas & Consumable Fuels

       267,264,114          76,924,694          —          344,188,808  

Paper & Forest Products

       —          14,699,990          66          14,700,056  

Corporate Bonds

       4,290,471          10,121,535          1,681,920          16,093,926  

Short-Term Securities

       5,643,819          —          —          5,643,819  
                   
    

 

 

       

 

 

       

 

 

       

 

 

  
     $ 691,036,133        $ 287,225,076        $ 1,681,986        $ 979,943,195  
    

 

 

       

 

 

       

 

 

       

 

 

  

Investments Valued at NAV(a)

                       500,545  
                    $ 980,443,740  
                   

 

 

  

Derivative Financial Instruments(b)

 

Liabilities:

 

Equity contracts

     $ (5,217,899 )       $ (5,738,483 )       $ —        $ (10,956,382 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

As of September 30, 2018, certain of the Trust’s Investments were fair valued using net asset value (“NAV”) per share as no quoted market value is available and have been excluded from the fair value hierarchy.

 
  (b) 

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

 

Transfers between Level 1 and Level 2 were as follows:

 

      Transfers into
Level 1(a)		        Transfers out of
Level 1(a)		        Transfers into
Level 2(a)		        Transfers out of
Level 2(a)		  

Assets:

                 

Long-Term Investments:

                 

Common Stocks

    $ 4,653,795        $ 19,224,563        $ 19,224,563        $ 4,653,795  
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a) 

External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.

 

 

 

8   

Item 2 – Controls and Procedures

 

2(a) –

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

 

2(b) –

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

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

 

BlackRock Resources & Commodities Strategy Trust
By:      /s/ John M. Perlowski                        
     John M. Perlowski
     Chief Executive Officer (principal executive officer) of
     BlackRock Resources & Commodities Strategy Trust
Date: November 19, 2018

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

 

By:      /s/ John M. Perlowski                        
     John M. Perlowski
     Chief Executive Officer (principal executive officer) of
     BlackRock Resources & Commodities Strategy Trust
Date: November 19, 2018
By:      /s/ Neal J. Andrews                          
     Neal J. Andrews
     Chief Financial Officer (principal financial officer) of
     BlackRock Resources & Commodities Strategy Trust
Date: November 19, 2018