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: 03/31/2018

Item 1 – Schedule of Investments

Schedule of Investments  (unaudited)

March 31, 2018

   

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

 

Security   Shares     Value  

Common Stocks — 98.2%

 

Chemicals — 10.9%  

Albemarle Corp.

     92,000     $ 8,532,080  

CF Industries Holdings, Inc.(a)

     145,530       5,490,847  

FMC Corp.(a)

     156,323       11,969,652  

Nufarm Ltd.

     1,358,754       8,880,863  

Nutrien Ltd.(a)

     1,100,139       51,992,569  

Umicore SA

     133,148       7,053,539  

Yara International ASA

     211,907       9,054,806  
   

 

 

  
    102,974,356  
Containers & Packaging — 3.6%  

Packaging Corp. of America(a)

     178,022       20,063,079  

Smurfit Kappa Group PLC

     345,002       14,006,192  
   

 

 

  
    34,069,271  
Energy Equipment & Services — 2.6%  

Baker Hughes a GE Co.(a)

     213,777       5,936,587  

Halliburton Co.(a)(b)

     284,226       13,341,568  

Patterson-UTI Energy, Inc.(a)

     272,052       4,763,631  
   

 

 

  
    24,041,786  
Food Products — 8.5%  

Archer-Daniels-Midland Co.(a)

     506,070       21,948,256  

Bunge Ltd.(a)

     71,636       5,296,766  

Glanbia PLC

     632,338       10,892,841  

Hormel Foods Corp.(a)

     429,063       14,725,442  

Origin Enterprises PLC

     586,425       3,860,381  

Tyson Foods, Inc., Class A(a)(b)

     131,012       9,588,768  

Wilmar International Ltd.

     5,828,100       14,209,158  
   

 

 

  
    80,521,612  
Machinery — 0.7%  

Deere & Co.(a)

     45,101       7,005,087  
   

 

 

  
Metals & Mining — 37.2%  

ArcelorMittal(c)

     794,314       25,229,212  

BHP Billiton PLC

     2,349,565       46,434,956  

First Quantum Minerals Ltd.

     1,112,811       15,625,219  

Franco-Nevada Corp.

     130,878       8,929,388  

Fresnillo PLC

     567,780       10,138,203  

Glencore PLC(c)

     10,815,375       53,744,095  

Lundin Mining Corp.

     1,122,949       7,365,172  

Neo Lithium Corp.(c)

     5,050,000       5,526,837  

Nevsun Resources Ltd.

     3,527,285       8,405,142  

Newcrest Mining Ltd.

     1,325,629       19,993,897  

Polyus PJSC

     128,648       5,022,743  

Rio Tinto PLC — ADR(a)

     711,678       36,672,767  

South32 Ltd.

     4,520,813       11,361,593  

Stelco Holdings, Inc.

     1,151,603       19,486,122  

Teck Resources Ltd., Class B(a)

     984,323       25,356,161  

Vale SA — ADR(a)

     2,936,499       37,352,267  
Security          Share     Value  
Metals & Mining (continued)  

Wheaton Precious Metals Corp.

       708,246     $ 14,426,971  
     

 

 

  
    351,070,745  
Oil, Gas & Consumable Fuels — 32.6%  

BP PLC — ADR(a)(b)

       1,211,092       49,097,670  

Cairn Energy PLC(c)

       2,502,992       7,255,354  

Canadian Natural Resources Ltd.

       438,083       13,771,383  

Chevron Corp.(a)(b)

       304,760       34,754,830  

Cimarex Energy Co.

       77,667       7,261,864  

ConocoPhillips(a)

       241,577       14,323,100  

Devon Energy Corp.(a)

       325,020       10,332,386  

Encana Corp.

       794,100       8,733,960  

Eni SpA — ADR(a)

       240,020       8,479,907  

EOG Resources, Inc.(a)

       118,230       12,446,072  

EQT Corp.

       116,400       5,530,164  

Exxon Mobil Corp.(a)(b)

       134,996       10,072,052  

Kosmos Energy Ltd.(c)(d)

       890,005       5,607,032  

Pioneer Natural Resources Co.(a)

       62,080       10,664,102  

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

       924,822       59,012,892  

Suncor Energy, Inc.

       723,050       24,968,754  

TOTAL SA

       446,200       25,576,016  
     

 

 

  
    307,887,538  
Paper & Forest Products — 2.1%  

International Paper Co.(a)

       139,423       7,449,371  

Mondi PLC

       454,933       12,227,736  

Precious Woods Holding AG(c)

       20,000       148,535  

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

       7,903,565       70  
     

 

 

  
    19,825,712  
     

 

 

  

Total Common Stocks — 98.2%
(Cost — $807,613,034)

 

     927,396,107  
     

 

 

  
    

Par

(000)

         

Corporate Bonds — 1.6%

 

Advertising Agencies — 0.5%  

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

     CAD       5,652       4,387,006  
     

 

 

  
Metals & Mining — 1.1%  

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

     USD       9,000       10,121,643  
     

 

 

  

Total Corporate Bonds — 1.6%
(Cost — $13,511,494)

 

     14,508,649  
     

 

 

  

Total Long-Term Investments — 99.8%
(Cost — $821,124,528)

 

     941,904,756  
     

 

 

  
 

 

 

   1

Schedule of Investments  (unaudited) (continued)

March 31, 2018

   

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Security

   Shares     Value  
Short-Term Securities — 0.7%  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.58%(f)(h)

     6,484,721     $     6,484,721  

Security

   Shares     Value  

SL Liquidity Series, LLC, Money Market Series, 1.61%(f)(g)(h)

     427,139     $ 427,096  
   

 

 

  

Total Short-Term Securities — 0.7%
(Cost — $6,911,820)

 

     6,911,817  
   

 

 

  

Options Purchased — 0.0%
(Cost — $4,588)

 

     4,380  
   

 

 

  

Total Investments Before Options Written — 100.5%
(Cost — $828,040,936)

 

     948,820,953  
   

 

 

  

Options Written — (0.6)%
(Premiums Received — $8,416,920)

 

     (5,318,314 ) 
   

 

 

  

Total Investments, Net of Options Written — 99.9%
(Cost — $819,624,016)

 

     943,502,639  

Other Assets Less Liabilities — 0.1%

 

     843,158  
   

 

 

  

Net Assets — 100.0%

 

   $ 944,345,797  
   

 

 

  
 
(a)  All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.
(b)  All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.
(c)  Non-income producing security.
(d) Security, or a portion of the security, is on loan.
(e) Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(f)  Annualized 7-day yield as of period end.
(g)  Security was purchased with the cash collateral from loaned securities.
(h)  During the period ended March 31, 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, were as follows:

 

Affiliate    Shares
Held at
12/31/17		      Net
Activity		      Shares
Held at
03/31/18		      Value at
03/31/18		      Income     

Net

Realized
Gain (Loss) (a)

      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

      16,156,750        (9,672,029 )       6,484,721      $ 6,484,721      $ 40,228      $ —      $ —  

SL Liquidity Series, LLC, Money Market Series

      488,032        (60,893 )       427,139        427,096        2,113 (b)       (34 )       36  
           

 

 

     

 

 

     

 

 

     

 

 

  
   $ 6,911,817      $ 42,341      $ (34 )     $ 36  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (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 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.

 

 

2   

Schedule of Investments  (unaudited) (continued)

March 31, 2018

    BlackRock Resources & Commodities Strategy Trust (BCX)

 

Portfolio Abbreviations

ADR — American Depositary Receipts

AUD — Australian Dollar

CAD — Canadian Dollar

EUR — Euro

GBP — British Pound

NOK — Norwegian Krone

SGD — Singapore Dollar

USD — U.S. Dollar

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Purchased

 

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

Call

                           

Vale SA — ADR

      876          04/20/18        USD     14.50        USD     1,114        $ 4,380  
                          

 

 

  

Exchange-Traded Options Written

 

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

Call

 

Royal Dutch Shell PLC — ADR, Class A

      764          04/03/18        USD     71.50        USD     4,875        $ —  

BP PLC — ADR

      1,010          04/06/18        USD     40.00        USD     4,095          (80,295 ) 

Chevron Corp.

      42          04/06/18        USD     114.00        USD     479          (5,859 ) 

Chevron Corp.

      40          04/06/18        USD     117.00        USD     456          (1,200 ) 

Devon Energy Corp.

      521          04/06/18        USD     33.00        USD     1,656          (11,462 ) 

Exxon Mobil Corp.

      115          04/06/18        USD     78.00        USD     858          (517 ) 

First Quantum Minerals Ltd.

      388          04/06/18        CAD     20.00        CAD     702          (2,108 ) 

Hormel Food Corp.

      557          04/06/18        USD     33.50        USD     1,912          (48,738 ) 

Nutrien Ltd.

      500          04/06/18        USD     51.50        USD     2,363          (5,000 ) 

Teck Resources Ltd., Class B

      423          04/06/18        USD     30.50        USD     1,090          (98,136 ) 

Vale SA — ADR

      150          04/06/18        USD     13.50        USD     191          (675 ) 

Chevron Corp.

      75          04/13/18        USD     117.00        USD     855          (5,287 ) 

Chevron Corp.

      40          04/13/18        USD     118.00        USD     456          (1,860 ) 

ConocoPhillips

      278          04/13/18        USD     55.00        USD     1,648          (126,490 ) 

Exxon Mobil Corp.

      251          04/13/18        USD     76.50        USD     1,873          (9,914 ) 

Hormel Food Corp.

      580          04/13/18        USD     34.00        USD     1,991          (43,500 ) 

Nutrien Ltd.

      800          04/13/18        USD     52.50        USD     3,781          (12,000 ) 

Pioneer Natural Resources Co.

      98          04/13/18        USD     175.00        USD     1,683          (22,540 ) 

Pioneer Natural Resources Co.

      75          04/13/18        USD     177.50        USD     1,288          (11,437 ) 

Royal Dutch Shell PLC — ADR, Class A

      593          04/13/18        USD     64.00        USD     3,784          (53,370 ) 

Teck Resources Ltd., Class B

      422          04/13/18        USD     31.00        USD     1,087          (8,440 ) 

Archer-Daniels-Midland Co.

      254          04/20/18        USD     44.00        USD     1,102          (12,954 ) 

Archer-Daniels-Midland Co.

      410          04/20/18        USD     45.00        USD     1,778          (8,610 ) 

BP PLC — ADR

      866          04/20/18        USD     43.00        USD     3,511          (8,227 ) 

Baker Hughes a GE Co.

      233          04/20/18        USD     27.50        USD     647          (30,873 ) 

Baker Hughes a GE Co.

      311          04/20/18        USD     31.00        USD     864          (7,775 ) 

Bunge Ltd.

      170          04/20/18        USD     80.00        USD     1,257          (10,625 ) 

CF Industries Holdings, Inc.

      221          04/20/18        USD     45.00        USD     834          (1,105 ) 

Canadian Natural Resources Ltd.

      779          04/20/18        CAD     40.00        CAD     3,155          (74,674 ) 

Chevron Corp.

      301          04/20/18        USD     120.00        USD     3,433          (10,836 ) 

 

 

     3  

Schedule of Investments  (unaudited) (continued)

March 31, 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

                           

ConocoPhillips

      472          04/20/18        USD     57.50        USD     2,798        $ (125,788 ) 

EOG Resources, Inc.

      78          04/20/18        USD     105.00        USD     821          (20,124 ) 

Encana Corp.

      860          04/20/18        CAD     15.00        CAD     1,219          (15,353 ) 

Encana Corp.

      860          04/20/18        CAD     14.00        CAD     1,219          (43,389 ) 

Eni SpA — ADR

      100          04/20/18        USD     35.00        USD     353          (8,000 ) 

FMC Corp.

      278          04/20/18        USD     85.00        USD     2,129          (5,560 ) 

First Quantum Minerals Ltd.

      776          04/20/18        CAD     20.00        CAD     1,404          (16,564 ) 

Franco-Nevada Corp.

      235          04/20/18        CAD     96.00        CAD     2,066          (5,016 ) 

Halliburton Co.

      389          04/20/18        USD     47.50        USD     1,826          (41,234 ) 

Hormel Food Corp.

      580          04/20/18        USD     35.00        USD     1,991          (21,750 ) 

International Paper Co.

      408          04/20/18        USD     55.00        USD     2,180          (27,540 ) 

Nutrien Ltd.

      500          04/20/18        USD     50.00        USD     2,363          (21,250 ) 

Packaging Corp. of America

      480          04/20/18        USD     125.00        USD     5,410          (7,200 ) 

Patterson-UTI Energy, Inc.

      200          04/20/18        USD     21.00        USD     350          (1,000 ) 

Rio Tinto PLC — ADR

      385          04/20/18        USD     57.50        USD     1,984          (2,887 ) 

Rio Tinto PLC — ADR

      735          04/20/18        USD     65.00        USD     3,787          (3,675 ) 

Royal Dutch Shell PLC — ADR, Class A

      313          04/20/18        USD     65.00        USD     1,997          (21,128 ) 

Suncor Energy, Inc.

      1,162          04/20/18        CAD     44.00        CAD     5,170          (97,859 ) 

Teck Resources Ltd., Class B

      630          04/20/18        USD     28.00        USD     1,623          (17,955 ) 

Tyson Foods, Inc., Class A

      300          04/20/18        USD     77.50        USD     2,196          (7,500 ) 

Tyson Foods, Inc., Class A

      32          04/20/18        USD     75.00        USD     234          (2,560 ) 

Vale SA — ADR

      1,751          04/20/18        USD     15.00        USD     2,227          (5,253 ) 

Archer-Daniels-Midland Co.

      254          04/27/18        USD     44.00        USD     1,102          (16,256 ) 

Archer-Daniels-Midland Co.

      410          04/27/18        USD     45.00        USD     1,778          (13,530 ) 

BP PLC — ADR

      251          04/27/18        USD     41.00        USD     1,018          (17,695 ) 

CF Industries Holdings, Inc.

      140          04/27/18        USD     42.00        USD     528          (3,290 ) 

Chevron Corp.

      112          04/27/18        USD     121.00        USD     1,277          (6,272 ) 

ConocoPhillips

      72          04/27/18        USD     56.00        USD     427          (29,160 ) 

EOG Resources, Inc.

      131          04/27/18        USD     110.00        USD     1,379          (13,100 ) 

International Paper Co.

      18          04/27/18        USD     55.50        USD     96          (1,638 ) 

Nutrien Ltd.

      735          04/27/18        USD     51.00        USD     3,474          (27,563 ) 

Pioneer Natural Resources Co.

      75          04/27/18        USD     175.00        USD     1,288          (29,625 ) 

Royal Dutch Shell PLC — ADR, Class A

      533          04/27/18        USD     64.00        USD     3,401          (59,963 ) 

Teck Resources Ltd., Class B

      848          04/27/18        USD     29.00        USD     2,184          (26,712 ) 

BP PLC — ADR

      452          05/04/18        USD     42.00        USD     1,832          (24,408 ) 

Baker Hughes a GE Co.

      311          05/04/18        USD     31.01        USD     864          (13,938 ) 

Chevron Corp.

      496          05/04/18        USD     119.00        USD     5,656          (63,240 ) 

ConocoPhillips

      54          05/04/18        USD     60.00        USD     320          (9,342 ) 

ConocoPhillips

      90          05/04/18        USD     61.00        USD     534          (12,780 ) 

EOG Resources, Inc.

      131          05/04/18        USD     111.00        USD     1,379          (16,637 ) 

Halliburton Co.

      747          05/04/18        USD     49.50        USD     3,506          (63,122 ) 

International Paper Co.

      19          05/04/18        USD     55.00        USD     102          (2,166 ) 

Nutrien Ltd.

      500          05/04/18        USD     49.00        USD     2,363          (51,250 ) 

Royal Dutch Shell PLC — ADR, Class A

      1,117          05/04/18        USD     65.50        USD     7,128          (97,179 ) 

Teck Resources Ltd., Class B

      800          05/04/18        USD     27.00        USD     2,061          (72,400 ) 

Tyson Foods, Inc., Class A

      96          05/04/18        USD     76.00        USD     703          (9,600 ) 

Vale SA — ADR

      1,874          05/04/18        USD     13.50        USD     2,384          (54,346 ) 

Vale SA — ADR

      795          05/11/18        USD     13.50        USD     1,011          (30,210 ) 

BP PLC — ADR

      456          05/18/18        USD     42.00        USD     1,849          (28,500 ) 

 

 

4   

Schedule of Investments  (unaudited) (continued)

March 31, 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

                              

CF Industries Holdings, Inc.

      221          05/18/18        USD     40.00        USD     834        $ (26,189 ) 

Chevron Corp.

      113          05/18/18        USD     120.00        USD     1,289          (15,933 ) 

Deere & Co.

      170          05/18/18        USD     155.00        USD     2,640          (141,100 ) 

EOG Resources, Inc.

      132          05/18/18        USD     110.00        USD     1,390          (27,060 ) 

Encana Corp.

      1,456          05/18/18        CAD     15.00        CAD     2,063          (57,637 ) 

Exxon Mobil Corp.

      173          05/18/18        USD     77.50        USD     1,291          (16,175 ) 

First Quantum Minerals Ltd.

      336          05/18/18        CAD     22.00        CAD     608          (7,172 ) 

Franco-Nevada Corp.

      144          05/18/18        CAD     92.00        CAD     1,266          (20,454 ) 

International Paper Co.

      74          05/18/18        USD     55.00        USD     395          (11,285 ) 

Royal Dutch Shell PLC — ADR, Class A

      379          05/18/18        USD     65.00        USD     2,418          (47,375 ) 

Suncor Energy, Inc.

      432          05/18/18        CAD     46.00        CAD     1,922          (20,454 ) 

Teck Resources Ltd., Class B

      814          05/18/18        USD     26.00        USD     2,097          (93,797 ) 

Tyson Foods, Inc., Class A

      96          05/18/18        USD     77.50        USD     703          (13,440 ) 

Vale SA — ADR

      1,325          05/18/18        USD     13.00        USD     1,685          (75,525 ) 
                          

 

 

  
     $ (2,600,610 ) 
    

 

 

  

OTC Options Written

 

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

Call

                      

Smurfit Kappa Group PLC

    Goldman Sachs International      28,000        04/03/18        EUR       29.29        EUR       924      $ (136,877 ) 

BHP Billiton PLC

    Goldman Sachs International      282,500        04/04/18        GBP       16.17        GBP       3,980        (2,183 ) 

Nutrien Ltd.

    Credit Suisse International      63,000        04/04/18        USD       48.67        USD       2,977        (13,721 ) 

Eni SpA — ADR

    Morgan Stanley & Co. International PLC      28,000        04/05/18        USD       34.20        USD       989        (33,025 ) 

Stelco Holdings, Inc.

    Credit Suisse International      40,000        04/05/18        CAD       26.35        CAD       872        (3 ) 

Canadian Natural Resources Ltd.

    Citibank N.A.      19,400        04/09/18        CAD       40.88        CAD       786        (7,666 ) 

Patterson-UTI Energy, Inc.

    UBS AG      44,400        04/09/18        USD       19.25        USD       777        (3,156 ) 

Rio Tinto PLC — ADR

    Barclays Bank PLC      66,200        04/09/18        USD       54.00        USD       3,411        (15,798 ) 

Albemarle Corp.

    UBS AG      37,000        04/10/18        USD       111.12        USD       3,431        (551 ) 

Glanbia PLC

    Goldman Sachs International      93,500        04/10/18        EUR       14.63        EUR       1,309        (10,071 ) 

Lundin Mining Corp.

    Deutsche Bank AG      126,500        04/10/18        CAD       9.10        CAD       1,069        (3,430 ) 

South32 Ltd.

    UBS AG      489,416        04/10/18        AUD       3.69        AUD       1,600        (71 ) 

Wilmar International Ltd.

    JPMorgan Chase Bank N.A.      515,000        04/10/18        SGD       3.12        SGD       1,648        (31,168 ) 

ArcelorMittal

    Bank of America N.A.      30,000        04/11/18        EUR       28.99        EUR       774        (111 ) 

BHP Billiton PLC

    Goldman Sachs International      282,500        04/11/18        GBP       16.17        GBP       3,980        (168 ) 

BHP Billiton PLC

    Goldman Sachs International      57,700        04/11/18        GBP       14.99        GBP       813        (5,340 ) 

Glencore PLC

    Bank of America N.A.      900,000        04/11/18        GBP       3.94        GBP       3,186        (9,059 ) 

Mondi PLC

    Morgan Stanley & Co. International PLC      80,000        04/11/18        GBP       18.91        GBP       1,533        (55,359 ) 

Nufarm Ltd.

    Deutsche Bank AG      57,000        04/11/18        AUD       8.40        AUD       485        (7,800 ) 

Smurfit Kappa Group PLC

    Goldman Sachs International      28,000        04/11/18        EUR       29.29        EUR       924        (138,422 ) 

Umicore SA

    Morgan Stanley & Co. International PLC      26,500        04/11/18        EUR       48.32        EUR       1,141        (427 ) 

Wilmar International Ltd.

    JPMorgan Chase Bank N.A.      786,300        04/11/18        SGD       3.10        SGD       2,516        (60,634 ) 

Stelco Holdings, Inc.

    Credit Suisse International      40,000        04/12/18        CAD       26.48        CAD       872        (118 ) 

Suncor Energy, Inc.

    Morgan Stanley & Co. International PLC      86,500        04/12/18        CAD       45.08        CAD       3,848        (25,995 ) 

Stelco Holdings, Inc.

    Morgan Stanley & Co. International PLC      15,000        04/13/18        CAD       25.57        CAD       327        (198 ) 

Vale SA — ADR

    Morgan Stanley & Co. International PLC      189,000        04/13/18        USD       13.05        USD       2,404        (44,207 ) 

Fresnillo PLC

    Credit Suisse International      124,400        04/17/18        GBP       12.67        GBP       1,584        (62,521 ) 

Newcrest Mining Ltd.

    UBS AG      25,000        04/17/18        AUD       21.40        AUD       491        (945 ) 

 

 

     5  

Schedule of Investments  (unaudited) (continued)

March 31, 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

                      

Nufarm Ltd.

    Citibank N.A.      272,500        04/17/18        AUD       8.03        AUD       2,319      $ (101,989 ) 

Origin Enterprises PLC

    Morgan Stanley & Co. International PLC      26,000        04/17/18        EUR       5.76        EUR       139        (169 ) 

Polyus PJSC

    Credit Suisse International      13,000        04/17/18        USD       41.10        USD       527        (3,117 ) 

TOTAL SA

    Credit Suisse International      38,000        04/17/18        EUR       47.26        EUR       1,770        (20,419 ) 

ArcelorMittal

    Goldman Sachs International      100,800        04/18/18        EUR       29.23        EUR       2,602        (1,192 ) 

Glencore PLC

    Goldman Sachs International      1,453,000        04/18/18        GBP       4.08        GBP       5,144        (16,176 ) 

Umicore SA

    Morgan Stanley & Co. International PLC      26,500        04/18/18        EUR       48.33        EUR       1,141        (1,640 ) 

Glanbia PLC

    Goldman Sachs International      44,400        04/19/18        EUR       15.15        EUR       622        (3,616 ) 

Patterson-UTI Energy, Inc.

    UBS AG      44,400        04/19/18        USD       19.25        USD       777        (8,678 ) 

South32 Ltd.

    UBS AG      938,967        04/19/18        AUD       3.55        AUD       3,070        (13,589 ) 

Stelco Holdings, Inc.

    Credit Suisse International      40,000        04/19/18        CAD       26.60        CAD       872        (476 ) 

Wilmar International Ltd.

    Morgan Stanley & Co. International PLC      515,000        04/19/18        SGD       3.18        SGD       1,648        (23,530 ) 

Yara International ASA

    Credit Suisse International      49,300        04/19/18        NOK       350.89        NOK       16,513        (19,307 ) 

First Quantum Minerals Ltd.

    Citibank N.A.      100,000        04/25/18        CAD       19.46        CAD       1,809        (36,052 ) 

Fresnillo PLC

    Credit Suisse International      63,800        04/25/18        GBP       12.57        GBP       812        (42,087 ) 

Glencore PLC

    UBS AG      704,100        04/25/18        GBP       3.79        GBP       2,493        (47,992 ) 

Mondi PLC

    UBS AG      100,000        04/25/18        GBP       19.47        GBP       1,916        (42,235 ) 

Stelco Holdings, Inc.

    Credit Suisse International      15,000        04/25/18        CAD       27.03        CAD       327        (267 ) 

TOTAL SA

    Morgan Stanley & Co. International PLC      70,500        04/25/18        EUR       46.61        EUR       3,284        (75,455 ) 

BHP Billiton PLC

    Morgan Stanley & Co. International PLC      179,000        04/26/18        GBP       14.69        GBP       2,522        (61,417 ) 

Eni SpA — ADR

    Barclays Bank PLC      30,000        04/26/18        USD       33.49        USD       1,060        (60,499 ) 

Canadian Natural Resources Ltd.

    Credit Suisse International      77,900        04/30/18        CAD       40.10        CAD       3,155        (83,509 ) 

Eni SpA — ADR

    JPMorgan Chase Bank N.A.      28,000        04/30/18        USD       34.32        USD       989        (38,377 ) 

Stelco Holdings, Inc.

    Deutsche Bank AG      20,000        04/30/18        CAD       25.64        CAD       436        (1,659 ) 

ArcelorMittal

    Credit Suisse International      116,000        05/02/18        EUR       27.07        EUR       2,994        (60,843 ) 

Cimarex Energy Co.

    UBS AG      15,500        05/02/18        USD       96.19        USD       1,449        (35,920 ) 

Fresnillo PLC

    UBS AG      40,000        05/02/18        GBP       12.34        GBP       509        (32,321 ) 

Nufarm Ltd.

    UBS AG      214,000        05/02/18        AUD       8.73        AUD       1,821        (20,651 ) 

South32 Ltd.

    Goldman Sachs International      995,460        05/02/18        AUD       3.43        AUD       3,255        (49,572 ) 

Wilmar International Ltd.

    Morgan Stanley & Co. International PLC      515,000        05/02/18        SGD       3.31        SGD       1,648        (8,759 ) 

Yara International ASA

    Goldman Sachs International      35,500        05/02/18        NOK       336.06        NOK       11,891        (47,688 ) 

TOTAL SA

    Goldman Sachs International      70,000        05/03/18        EUR       46.70        EUR       3,261        (86,117 ) 

Lundin Mining Corp.

    Royal Bank of Canada      196,000        05/04/18        CAD       9.18        CAD       1,656        (22,659 ) 

Stelco Holdings, Inc.

    Morgan Stanley & Co. International PLC      20,000        05/04/18        CAD       24.59        CAD       436        (3,984 ) 

First Quantum Minerals Ltd.

    Citibank N.A.      142,800        05/07/18        CAD       21.97        CAD       2,583        (26,524 ) 

Franco-Nevada Corp.

    Citibank N.A.      14,400        05/07/18        CAD       93.88        CAD       1,266        (11,046 ) 

Rio Tinto PLC — ADR

    Citibank N.A.      53,400        05/07/18        USD       53.75        USD       2,752        (56,483 ) 

Stelco Holdings, Inc.

    Credit Suisse International      40,000        05/07/18        CAD       27.00        CAD       872        (2,029 ) 

Vale SA — ADR

    Barclays Bank PLC      253,000        05/07/18        USD       13.60        USD       3,218        (72,793 ) 

Glanbia PLC

    Morgan Stanley & Co. International PLC      115,000        05/09/18        EUR       14.35        EUR       1,610        (56,953 ) 

BHP Billiton PLC

    Goldman Sachs International      158,700        05/10/18        GBP       14.93        GBP       2,236        (58,650 ) 

Stelco Holdings, Inc.

    Deutsche Bank AG      30,200        05/10/18        CAD       23.99        CAD       658        (10,122 ) 

Archer-Daniels-Midland Co.

    Morgan Stanley & Co. International PLC      70,000        05/11/18        USD       44.52        USD       3,036        (44,475 ) 

Glencore PLC

    Goldman Sachs International      1,269,000        05/11/18        GBP       3.63        GBP       4,492        (158,527 ) 

Nutrien Ltd.

    Credit Suisse International      73,500        05/14/18        USD       50.61        USD       3,474        (62,431 ) 

Packaging Corp. of America

    Bank of America N.A.      23,200        05/14/18        USD       121.93        USD       2,615        (25,083 ) 

ArcelorMittal

    Credit Suisse International      71,000        05/16/18        EUR       25.37        EUR       1,833        (108,870 ) 

 

 

6   

Schedule of Investments  (unaudited) (continued)

March 31, 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

                      

Cimarex Energy Co.

    UBS AG      15,500        05/16/18        USD       96.19        USD       1,449      $ (45,201 ) 

FMC Corp.

    Citibank N.A.      35,000        05/16/18        USD       85.10        USD       2,680        (27,747 ) 

Bunge Ltd.

    Morgan Stanley & Co. International PLC      11,600        05/17/18        USD       75.56        USD       858        (36,406 ) 

Rio Tinto PLC — ADR

    Citibank N.A.      53,400        05/21/18        USD       53.75        USD       2,752        (72,128 ) 

Lundin Mining Corp.

    Deutsche Bank AG      126,600        05/24/18        CAD       8.54        CAD       1,070        (50,617 ) 

First Quantum Minerals Ltd.

    Morgan Stanley & Co. International PLC      52,300        06/01/18        CAD       18.09        CAD       946        (50,634 ) 
                     

 

 

  
   $ (2,717,704 ) 
  

 

 

  

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. 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 the Trust has the ability to access

 

  •   Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

  •   Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments)

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 and is not necessarily an indication of the risks associated with investing in these securities. For information about the Trust’s policy regarding valuation of investments, refer to the Trust’s most recent financial statements as contained in its annual report.

As of March 31, 2018, the following tables summarize the Trust’s investments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Common Stocks:

 

Chemicals

   $ 77,985,148        $ 24,989,208        $ —        $ 102,974,356  

Containers & Packaging

     20,063,079          14,006,192          —          34,069,271  

Energy Equipment & Services

     24,041,786          —          —          24,041,786  

Food Products

     66,312,454          14,209,158          —          80,521,612  

Machinery

     7,005,087          —          —          7,005,087  

Metals & Mining

     179,146,046          171,924,699          —          351,070,745  

 

 

     7  

Schedule of Investments  (unaudited) (continued)

March 31, 2018

   

BlackRock Resources & Commodities Strategy Trust (BCX)

 

 

      Level 1        Level 2        Level 3        Total  

Assets: (continued)

 

Investments: (continued)

 

Common Stocks: (continued)

 

Oil, Gas & Consumable Fuels

   $ 275,056,168        $ 32,831,370        $ —        $ 307,887,538  

Paper & Forest Products

     7,449,371          12,376,271          70          19,825,712  

Corporate Bonds

     —          14,508,649          —          14,508,649  

Short-Term Securities

     6,484,721          —          —          6,484,721  

Options Purchased:

                  

Equity contracts

      4,380          —          —          4,380  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 663,548,240        $ 284,845,547.00        $ 70        $ 948,393,857  
  

 

 

       

 

 

       

 

 

       

 

 

  

Investments Valued at NAV(a)

                     427,096  
                  $ 948,820,953  
                 

 

 

  

Derivative Financial Instruments(b)

 

Liabilities:

 

Equity contracts

   $ (2,586,672 )       $ (2,731,642 )       $ —        $ (5,318,314 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a)  As of March 31, 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.  

During the period ended March 31, 2018, there were no transfers between levels.

 

 

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: May 21, 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: May 21, 2018

 

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

Date: May 21, 2018