# EDGAR Filing Document

**Accession Number:** 0001809541
**File Stem:** 0001193125-23-061471
**Filing Date:** 2023-3
**Character Count:** 830997
**Document Hash:** 34bdaa9962793827d42593180c3d8e17
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-23-061471.hdr.sgml**: 20230306

**ACCESSION NUMBER**: 0001193125-23-061471

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 20

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230306

**DATE AS OF CHANGE**: 20230306

**EFFECTIVENESS DATE**: 20230306

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Capital Allocation Trust
- **CENTRAL INDEX KEY:** 0001809541
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23564
- **FILM NUMBER:** 23709333

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800 882 0052

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

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: 811-23564

Name of Fund: BlackRock Capital Allocation Trust (BCAT)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Capital Allocation Trust,<br> 50 Hudson Yards, New York, NY 10001

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

Date of fiscal year end: 12/31/2022

Date of reporting period: 12/31/2022

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Item 1 – Report to Stockholders

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Report to Shareholders is attached herewith.

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| | |
|:---|:---|
| ![LOGO](g459908g42l24.jpg)  | **DECEMBER 31, 2022** |

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<br> **2022 Annual Report**<br>

**BlackRock Capital Allocation Trust (BCAT)** 

**BlackRock ESG Capital Allocation Trust (ECAT)** 

**Not FDIC Insured • May Lose Value • No Bank Guarantee**

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Supplemental Information (unaudited)

**Section 19(a) Notices** 

BlackRock Capital Allocation Trust's (BCAT) and BlackRock ESG Capital Allocation Trust's (ECAT) (collectively, the "Trusts" or individually, a "Trust") 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 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.

**December 31, 2022** 

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| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | Total Cumulative Distributions<br>for the Fiscal Period | Total Cumulative Distributions<br>for the Fiscal Period | Total Cumulative Distributions<br>for the Fiscal Period | Total Cumulative Distributions<br>for the Fiscal Period | Total Cumulative Distributions<br>for the Fiscal Period | Total Cumulative Distributions<br>for the Fiscal Period | Total Cumulative Distributions<br>for the Fiscal Period | Total Cumulative Distributions<br>for the Fiscal Period | % Breakdown of the Total Cumulative<br>Distributions for the Fiscal Period | % Breakdown of the Total Cumulative<br>Distributions for the Fiscal Period | % Breakdown of the Total Cumulative<br>Distributions for the Fiscal Period | % Breakdown of the Total Cumulative<br>Distributions for the Fiscal Period | % Breakdown of the Total Cumulative<br>Distributions for the Fiscal Period | % Breakdown of the Total Cumulative<br>Distributions for the Fiscal Period | % Breakdown of the Total Cumulative<br>Distributions for the Fiscal Period |
| | *Trust Name* | *Net*<br> *Income* | <br>| *Net Realized<br>Capital Gains*<br> *Short-Term* | ** <br>| *Net Realized*<br> *Capital Gains*<br> *Long-Term* | <br>| *Return of<br>Capital* *<br> <sup>(a)</sup>* | *Total Per<br>Common<br>Share* | *Net<br>Income* | *Net Realized*<br> *Capital Gains*<br> *Short-Term* | <br>| *Net Realized*<br> *Capital Gains<br>Long-Term* | <br> ** <br>| *Return of<br>Capital* | *Total Per* <br> *Common* <br> *Share*  |
|  | BCAT | $0.587966 |  | $— |  | $— |  | $0.661234 | $1.249200 | 47% |  | % |  | % | 53% | 100% |
|  | ECAT | 0.233269 |  |  |  |  |  | 0.966731 | 1.200000 | 19 |  |  |  |  | 81 | 100 |

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<sup>(a)</sup> Each Trust estimates that it has distributed more than its net 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 a 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 (the "Board"), each has 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:

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| | |
|:---|:---|
| *Exchange Symbol* | *Amount Per<br>Common Share* |
|  BCAT | $0.1041 |
|  ECAT | 0.1000 |

---

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 net income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the "Code"). If sufficient income (inclusive of net 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.

2 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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The Markets in Review

Dear Shareholder,

Significant economic headwinds emerged during the 12-month reporting period ended December 31, 2022, as investors navigated changing economic conditions and volatile markets. The U.S. economy shrank in the first half of 2022 before returning to modest growth in the third quarter, marking a shift to a more challenging post-reopening economic environment. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high before beginning to moderate. Moreover, while the foremost effect of Russia's invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.

Equity prices fell as interest rates rose, particularly during the first half of the reporting period. Both large- and small-capitalization U.S. stocks fell, although equities began to recover in the second half of the year as inflation eased and economic growth resumed. Emerging market stocks and international equities from developed markets declined overall, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield rose notably during the reporting period, driving its price down, as investors reacted to fluctuating inflation data and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and heightened uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the "Fed"), acknowledging that inflation has been more persistent than expected, raised interest rates seven times. Furthermore, the Fed wound down its bond-buying programs and is accelerating the reduction of its balance sheet. While the Fed suggested that additional rate hikes were likely, it also gave indications that the pace of increases would slow if inflation continued to subside.

The pandemic's restructuring of the economy brought an ongoing mismatch between supply and demand, contributing to the current inflationary regime. While growth slowed in 2022, we believe that taming inflation requires a more dramatic economic decline to bring demand back to a level more in line with the economy's capacity. The Fed has been raising interest rates at the fastest pace in decades, and seems set to overtighten in its effort to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, but this prospect has not yet been fully priced in by markets. Investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions.

In this environment, while we favor an overweight to equities in the long-term, the market's concerns over excessive rate hikes from central banks moderate our outlook. Rising input costs and a deteriorating economic backdrop are likely to challenge corporate earnings, so we are underweight equities overall in the near term. However, we see better opportunities in credit, where valuations are attractive and higher yields provide income opportunities. We believe that global investment-grade corporates, global inflation-linked bonds, and U.S. mortgage-backed securities offer strong opportunities for a six- to twelve-month horizon.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, 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,

![LOGO](g459908sig_01mips.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

![LOGO](g459908sp2.jpg)

Rob Kapito

President, BlackRock Advisors, LLC

---

| | | |
|:---|:---|:---|
| **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** | **Total Returns as of December 31, 2022** |
|  | *6-Month* | *12-Month* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. large cap equities<br>(S&P 500<sup>®</sup> Index) | 2.31% | (18.11)% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. small cap equities<br>(Russell 2000<sup>®</sup> Index) | 3.91 | (20.44) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; International equities<br>(MSCI Europe, Australasia, Far East Index) | 6.36 | &nbsp;&nbsp;&nbsp;&nbsp;(14.45) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Emerging market equities<br>(MSCI Emerging Markets Index) | (2.99) | (20.09) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-month Treasury bills<br>(ICE BofA 3-Month U.S. Treasury Bill Index) | 1.32 | &nbsp;&nbsp;&nbsp;&nbsp;1.47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury securities<br>(ICE BofA 10-Year U.S. Treasury Index) | (5.58) | (16.28) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. investment grade bonds<br>(Bloomberg U.S. Aggregate Bond Index) | (2.97) | (13.01) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tax-exempt municipal bonds<br>(Bloomberg Municipal Bond Index) | 0.50 | &nbsp;&nbsp;&nbsp;&nbsp;(8.53) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. high yield bonds<br>(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) | 3.50 | (11.18) |
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |

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T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T 3

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**Table of Contents**

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| | |
|:---|:---|
|  | **Page** |
|  [Supplemental Information](#tx459908_1) | 2 |
|  [The Markets in Review](#tx459908_2) | 3 |
|  **Annual Report:** |  |
|  [The Benefits and Risks of Leveraging](#tx459908_3) | 5 |
|  [Option Over-Writing Strategy](#tx459908_4) | 6 |
|  [Derivative Financial Instruments](#tx459908_5) | 6 |
|  [Trust Summary](#tx459908_6) | 7 |
|  Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Schedules of Investments](#tx459908_7) | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Assets and Liabilities](#tx459908_8) | 67 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Operations](#tx459908_9) | 69 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Changes in Net Assets](#tx459908_10) | 70 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Cash Flows](#tx459908_11) | 71 |
|  [Financial Highlights](#tx459908_12) | 73 |
|  [Notes to Financial Statements](#tx459908_13) | 75 |
|  [Report of Independent Registered Public Accounting Firm](#tx459908_14) | 88 |
|  [Important Tax Information](#tx459908_15) | 89 |
|  [Investment Objectives, Policies and Risks](#tx459908_16) | 90 |
|  [Automatic Dividend Reinvestment Plan](#tx459908_17) | 103 |
|  [Trustee and Officer Information](#tx459908_18) | 104 |
|  [Additional Information](#tx459908_19) | 107 |
|  [Glossary of Terms Used in this Report](#tx459908_20) | 110 |

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4.0 ------

The Benefits and Risks of Leveraging

The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value ("NAV") of, their common shares ("Common Shares"). However, there is no guarantee that these objectives can be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust's shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.

To illustrate these concepts, assume a Trust's capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust's financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust's financing cost of leverage is significantly lower than the income earned on a Trust's longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares ("Common Shareholders") are the beneficiaries of the incremental net income.

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed a Trust's return on assets purchased with leverage proceeds, income to shareholders is lower than if a Trust had not used leverage. Furthermore, the value of the Trusts' portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of each Trust's obligations under its respective leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts' NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trust's intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Trust's NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust's shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trust to incur losses. The use of leverage may limit a Trust's ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of each Trust's investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts' investment adviser will be higher than if the Trusts did not use leverage.

Each Trust may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements, if applicable.

Under the Investment Company Act of 1940, as amended (the "1940 Act"), each Trust is permitted to borrow money (including through the use of TOB Trusts) or issue debt securities up to 33 1/3% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

T H E B E N E F I T S A N D R I S K S O F L E V E R A G I N G 5

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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.

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. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Trusts must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. 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.

6 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Trust Summary as of December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

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**Investment Objective** 

**BlackRock Capital Allocation Trust's (BCAT) (the "Trust")** investment objectives are to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust invests in a portfolio of equity and debt securities. Generally, the Trust's portfolio will include both equity and debt securities. At any given time, however, the Trust may emphasize either debt securities or equity securities. The Trust utilizes an option writing (selling) strategy in an effort to generate current gains from options premiums and to enhance the Trust's risk-adjusted returns.

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

**Trust Information** 

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| | |
|:---|:---|
|  Symbol on New York Stock Exchange | BCAT |
|  Initial Offering Date | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;September 28, 2020 |
|  Current Distribution Rate on Closing Market Price as of December 31, 2022 ($13.87)<sup>(a)</sup> | 9.01% |
|  Current Monthly Distribution per Common Share<sup>(b)</sup> | $0.1041 |
|  Current Annualized Distribution per Common Share<sup>(b)</sup> | $1.2492 |

---

<sup>(a)</sup> 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 may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. 

<sup>(b)</sup> The monthly distribution per Common Share, declared on February 1, 2023, was increased to $0.1275 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. 

**Market Price and Net Asset Value Per Share Summary** 

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | *12/31/22* | *12/31/21* | *Change* | *High* | *Low* |
|  Closing Market Price | $13.87 | $19.45 | (28.69)% | $19.53 | $13.51 |
|  Net Asset Value | 16.84 | 20.90 | (19.43) | 20.96 | 16.33 |

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**GROWTH OF $10,000 INVESTMENT**![LOGO](g459908g86l61.jpg)

BCAT commenced operations on September 28, 2020.

<sup>(a)</sup> Represents the Trust's closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices.

<sup>(b)</sup> An index that captures large- and mid-cap representation across certain developed and emerging markets.

<sup>(c)</sup> A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.

T R U S T S U M M A R Y 7

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| | |
|:---|:---|
| Trust Summary as of December 31, 2022 (continued) | **BlackRock Capital Allocation Trust (BCAT)** |

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**Performance** 

Returns for the period ended December 31, 2022 were as follows:

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| | | | | |
|:---|:---|:---|:---|:---|
|  | Average Annual Total Returns | Average Annual Total Returns | Average Annual Total Returns | Average Annual Total Returns |
|  |  |  | *Since* | *Since* |
|  | | *1 Year* | | *Inception* *<sup>(a)</sup>* |
|  Trust at NAV<sup>(b)(c)</sup> |  | (12.61) |  | (1.13)% |
|  Trust at Market Price<sup>(b)(c)</sup> |  | (22.66) |  | (9.27) |
|  **MSCI ACWI** |  | (18.36) |  | 4.83 |
|  **Bloomberg U.S. Aggregate Bond Index** |  | (13.01 |  | (6.38) |

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<sup>(a)</sup> BCAT commenced operations on September 28, 2020.

<sup>(b)</sup> All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust's use of leverage, if any.

<sup>(c)</sup> 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.

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust's investment strategies, portfolio components or past or future performance.

More information about the Trust's historical performance can be found in the "Closed End Funds" section of **blackrock.com**.

**The following discussion relates to the Trust's absolute performance based on NAV:** 

**What factors influenced performance?** 

Due to the nature of the Trust's mandate, performance is reviewed on an absolute return basis. The Trust has an unconstrained approach (i.e., flexibility to invest across all equity and fixed- income asset classes, spanning public and private markets). As such, the Trust is not managed specifically to a benchmark. The index returns listed above are for reference purposes only. Performance information below is expressed on a contribution to return basis.

Within equities, holdings in index-related equity futures (mainly used to manage risk during periods of heightened market volatility) contributed to absolute returns. The Trust's positioning in the energy sector contributed, as well. On the other hand, positioning in the information technology, consumer discretionary and industrials sectors detracted. On the fixed income side, an allocation to the credit (non-government) sectors was the primary driver of negative returns.

The Trust used derivatives, which may include options, futures, swaps and forward contracts, in an effort to enhance returns and manage the risk of adverse market movements. The Trust also used an options overlay strategy in which calls were written on a portion of the portfolio's holdings. In the aggregate, the Trust's use of derivatives contributed modestly to performance.

Private investments comprised close to 12% of the Trust's total assets at the end of the period. The positions in private securities were a minor detractor from performance.

The Trust's practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust's investment strategy. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.

**Describe recent portfolio activity.** 

The Trust's allocation to equities decreased, with the largest reductions occurring in the industrials, consumer discretionary, information technology and communication services sectors. This was partially offset by increased weightings in consumer staples and energy. The total allocation to fixed income also declined, with the largest reductions in high yield bonds and, to a lesser extent, emerging market sovereign debt and securitized assets. The Trust's holdings in cash increased as result of these changes.

The use of financial leverage, primarily deployed within fixed income, decreased. The Trust uses leverage to seek to enhance both income and total returns. The Trust had no financial leverage at the close of the period.

**Describe portfolio positioning at period end.** 

The Trust had a 50% weighting in equities. It had allocations to all sectors, with the largest absolute weightings in information technology, healthcare, consumer discretionary and financials. Within equities, the Trust used options as an additional source of income. As of December 31, 2022, the Trust had sold options on approximately 11% of the equity portfolio.

The Trust finished the period with a weighting of 51% in fixed income, comprised predominately of securitized assets and high yield bonds, as well as investment-grade corporate issues and emerging market sovereign debt. Given the significant rise in yields in 2022, the investment adviser viewed these areas as being an attractive source of income.

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.

8 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Trust Summary as of December 31, 2022 (continued) | **BlackRock Capital Allocation Trust (BCAT)** |

---

**Overview of the Trust's Total Investments** 

**TEN LARGEST HOLDINGS** 

---

| | |
|:---|:---|
| *Security<sup>(a)</sup>* | *Percent of<br>Total Investments* |
|  Uniform Mortgage-Backed Securities, 4,50%, 01/12/53 | 6.0% |
|  Uniform Mortgage-Backed Securities, 5,00%, 01/12/53 | 5.2 |
|  Uniform Mortgage-Backed Securities, 4,50%, 02/13/53 | 1.3 |
|  Microsoft Corp. | 1.3 |
|  Amazon.com, Inc. | 0.9 |
|  Enbridge, Inc. | 0.8 |
|  LVMH Moet Hennessy Louis Vuitton SE | 0.8 |
|  Sempra Energy | 0.7 |
|  Northrop Grumman Corp. | 0.7 |
|  Marsh & McLennan Cos., Inc. | 0.7 |

---

**GEOGRAPHIC ALLOCATION** 

---

| | |
|:---|:---|
| *Country/Geographic Region<sup>(a)</sup>* | *12/31/22* |
|  United States | 71.8% |
|  Cayman Islands | 5.0 |
|  United Kingdom | 3.0 |
|  Germany | 2.8 |
|  Netherlands | 2.2 |
|  France | 2.0 |
|  Canada | 1.5 |
|  Other<sup>#</sup> | 11.7 |

---

<sup>(a)</sup> Excludes short-term securities.

# Includes holdings within countries/geographic regions that are less than 1.0% of total investments. Please refer to the Consolidated Schedule of Investments for such countries/geographic regions. 

T R U S T S U M M A R Y 9

------

---

| | |
|:---|:---|
| Trust Summary as of December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

**Investment Objective** 

**BlackRock ESG Capital Allocation Trust's (ECAT) (the "Trust")** investment objectives are to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust will invest in a portfolio of equity and debt securities. Generally, the Trust's portfolio will include both equity and debt securities. At any given time, however, the Trust may emphasize either debt securities or equity securities. In addition, the Trust may invest without limit in "junk bonds," corporate loans and distressed securities. The Trust will invest at least 80% of its total assets in securities that, in the investment adviser's assessment, meet certain environmental, social and governance ("ESG") criteria. The Trust utilizes an option writing (selling) strategy in an effort to generate current gains from options premiums and to enhance the Trust's risk-adjusted returns.

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

**Trust Information** 

---

| | |
|:---|:---|
|  Symbol on New York Stock Exchange | ECAT |
|  Initial Offering Date | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;September 27, 2021 |
|  Current Distribution Rate on Closing Market Price as of December 31, 2022 ($13.43)<sup>(a)</sup> | 8.94% |
|  Current Monthly Distribution per Common Share<sup>(b)</sup> | $0.1000 |
|  Current Annualized Distribution per Common Share<sup>(b)</sup> | $1.2000 |

---

<sup>(a)</sup> 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 may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. 

<sup>(b)</sup> The monthly distribution per Common Share, declared on February 1, 2023, was increased to $0.1250 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. 

**Market Price and Net Asset Value Per Share Summary** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | *12/31/22* | *12/31/21* | *Change* | *High* | *Low* |
|  Closing Market Price | $13.43 | $18.65 | (27.99)% | $18.94 | $12.80 |
|  Net Asset Value | 16.62 | 20.69 | (19.67) | 20.69 | 15.76 |

---

**GROWTH OF $10,000 INVESTMENT**![LOGO](g459908g30c11.jpg)

ECAT commenced operations on September 27, 2021.

<sup>(a)</sup> Represents the Trust's closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices.

<sup>(b)</sup> An index that captures large- and mid-cap representation across certain developed and emerging markets.

<sup>(c)</sup> A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.

10 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Trust Summary as of December 31, 2022 (continued) | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

**Performance** 

Returns for the period ended December 31, 2022 were as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | Average Annual Total Returns | Average Annual Total Returns | Average Annual Total Returns |
|  | | *1 Year* | *Since*<br> *Inception* |
|  Trust at NAV<sup>(b)(c)</sup> |  | (12.89) | (7.54) |
|  Trust at Market Price<sup>(b)(c)</sup> |  | (21.91) | (21.92) |
|  **MSCI ACWI** |  | (18.36) | (12.27) |
|  **Bloomberg U.S. Aggregate Bond Index** |  | (13.01 | (10.67 |

---

<sup>(a)</sup> ECAT commenced operations on September 27, 2021.

<sup>(b)</sup> All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

<sup>(c)</sup> 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.

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

Past performance is not an indication of future results.

The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust's investment strategies, portfolio components or past or future performance.

More information about the Trust's historical performance can be found in the "Closed End Funds" section of **blackrock.com**.

**The following discussion relates to the Trust's absolute performance based on NAV:** 

**What factors influenced performance?** 

Due to the nature of the Trust's mandate, performance is reviewed on an absolute return basis. The Trust has an unconstrained approach (i.e., the flexibility to invest across all equity and fixed-income asset classes, spanning public and private markets) with environment, social and governance ("ESG") considerations. As such, the Trust is not managed specifically to a benchmark. The index returns listed above are for reference purposes only. Performance information below is expressed on a contribution to return basis.

Positioning in interest rate derivatives had a positive impact on returns, as did the Trust's allocation to cash. In equities, positioning in consumer staples and materials contributed modestly to the Trust's absolute return. On the other hand, its positioning in information technology, and to a lesser extent, consumer discretionary, industrials, healthcare and communication services, detracted. Positioning in index-related equity futures, which the investment adviser used as a way to tactically manage the Trust's equity positioning, also weighed on returns. On the fixed income side, an allocation to the credit (non-government) sectors was the primary driver of negative returns.

Private investments comprised close to 3.5% of the Trust's total assets at the end of the period. The positions in private securities were a minor contributor to performance.

The Trust's practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust's investment strategy. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.

**Describe recent portfolio activity.** 

The Trust's allocation to equities increased by eight percentage points, with the largest increases in the healthcare, consumer staples, materials and consumer discretionary sectors. This was partially offset by reduced weightings in utilities and real estate. The Trust's total fixed-income allocation increased by 36 percentage points. The largest addition occurred in investment-grade corporates, with smaller increases in high yield bonds and agency mortgage-backed securities. The Trust's holdings in cash decreased as result of these changes.

**Describe portfolio positioning at period end.** 

The Trust had a 64% allocation to equities, when derivatives positions are included. It had allocations to all sectors, with the largest absolute weightings in information technology, healthcare, consumer discretionary and industrials. Within equities, the Trust used options as an additional source of income. As of December 31, 2022, the Trust had sold options on approximately 7% of the equity portfolio.

The Trust finished the period with a 47% allocation to fixed income, again when derivatives are included. The position was comprised predominately of investment-grade corporate and high yield bonds, as well as agency mortgage-backed securities and securitized assets. Given the significant rise in yields in 2022, the investment adviser viewed these areas as being an attractive source of income.

The above commentary (and referenced allocation percentages) is based on the economic exposures of the Trust, which reflect adjustments for futures, swaps and options (except with respect to fixed income securities) and convertible bonds and may vary relative to the market value. While the Trust does not use financial leverage, specifically, it will not use borrowing to purchase additional investments, it can invest in certain transactions, notably derivatives, that may give rise to a form of economic leverage, and may result in a negative exposure to cash.

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.

T R U S T S U M M A R Y 11

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---

| | |
|:---|:---|
| Trust Summary as of December 31, 2022 (continued) | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

**Overview of the Trust's Total Investments** 

**TEN LARGEST HOLDINGS** 

---

| | |
|:---|:---|
| *Security<sup>(a)</sup>* | *Percent of* <br> *Total Investments*  |
|  Uniform Mortgage-Backed Securities, 4,50%, 01/12/53 | 6.1% |
|  Uniform Mortgage-Backed Securities, 5,00%, 01/12/53 | 5.3 |
|  Microsoft Corp. | 2.3 |
|  Thermo Fisher Scientific, Inc. | 2.0 |
|  Boston Scientific Corp. | 1.9 |
|  Marsh & McLennan Cos., Inc. | 1.9 |
|  NextEra Energy, Inc. | 1.8 |
|  Alphabet, Inc. | 1.7 |
|  American Tower Corp. | 1.6 |
|  LVMH Moet Hennessy Louis Vuitton SE | 1.5 |

---

**GEOGRAPHIC ALLOCATION** 

---

| | |
|:---|:---|
| *Country/Geographic Region<sup>(a)</sup>* | *12/31/22* |
|  United States | 78.4% |
|  France | 4.9 |
|  Germany | 3.0 |
|  United Kingdom | 2.7 |
|  Netherlands | 2.1 |
|  Cayman Islands | 1.8 |
|  Finland | 1.2 |
|  South Korea | 1.1 |
|  Other<sup>#</sup> | 4.8 |

---

<sup>(a)</sup> Excludes short-term securities.

---

| | |
|:---|:---|
| <sup>#</sup> | Includes holdings within countries/geographic regions that are less than 1.0% of total investments. Please refer to the Schedule of Investments for such countries/geographic regions.  |

---

12 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Consolidated Schedule of Investments<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities** |  |  |  |
| **Canada — 0.0%** |  |  |  |
|  Fairstone Financial Issuance Trust I, Series 2020- 1A, Class D, 6.87%, 10/20/39<sup>(a)</sup> | CAD | 1270 | $852823 |
| **Cayman Islands<sup>(a)(b)</sup> — 5.0%** |  |  |  |
|  522 Funding CLO Ltd., Series 2019-4A, Class DR, (3 mo. LIBOR US + 3.65%), 7.89%, 04/20/30 | USD | 1950 | 1769195 |
|  AGL CLO 3 Ltd., Series 2020-3A, Class D, (3 mo. LIBOR US + 3.30%), 7.38%, 01/15/33 |  | 550 | 491161 |
|  AGL CLO 5 Ltd., Series 2020-5A, Class ER, (3 mo. LIBOR US + 6.45%), 10.69%, 07/20/34 |  | 3000 | 2629886 |
|  AGL CLO 7 Ltd., Series 2020-7A, Class DR, (3 mo. LIBOR US + 3.10%), 7.18%, 07/15/34 |  | 250 | 232114 |
|  AGL CLO 9 Ltd., Series 2020-9A, Class D, (3 mo. LIBOR US + 3.70%), 7.94%, 01/20/34 |  | 850 | 790056 |
|  AIG CLO LLC, Series 2020-1A, Class ER, (3 mo. LIBOR US + 6.30%), 10.38%, 04/15/34 |  | 500 | 437652 |
|  AIMCO CLO, Series 2017-AA, Class DR, (3 mo. LIBOR US + 3.15%), 7.39%, 04/20/34 |  | 250 | 227087 |
|  ALM Ltd., Series 2020-1A, Class D, (3 mo. LIBOR US + 6.00%), 10.08%, 10/15/29 |  | 950 | 825581 |
|  Apidos CLO XXII, Series 2015-22A, Class CR, (3 mo. LIBOR US + 2.95%), 7.19%, 04/20/31 |  | 250 | 233967 |
|  Apidos CLO XXXII, Series 2019-32A, Class D, (3 mo. LIBOR US + 3.50%), 7.74%, 01/20/33 |  | 250 | 238359 |
|  Apidos CLO XXXV, Series 2021-35A, Class E, (3 mo. LIBOR US + 5.75%), 9.99%, 04/20/34 |  | 375 | 321088 |
|  Apidos CLO XXXVII, Series 2021-37A, Class E, (3 mo. LIBOR US + 6.30%), 10.62%, 10/22/34 |  | 250 | 224168 |
|  Apres Static CLO Ltd., Series 2019-1A, Class CR, (3 mo. LIBOR US + 4.25%), 8.33%, 10/15/28 |  | 3000 | &nbsp;&nbsp;&nbsp;&nbsp;2835497 |
|  Ares LIX CLO Ltd., Series 2021-59A, Class E, (3 mo. LIBOR US + 6.25%), 10.61%, 04/25/34 |  | 700 | 600432 |
|  Ares Loan Funding I Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ALFA, Class E, (3 mo. LIBOR US + 6.70%), 10.78%, 10/15/34 |  | 1250 | 1126427 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ALFA, Class SUB, 0.00%, 10/15/34 |  | 2150 | 1500719 |
|  Ares LV CLO Ltd., Series 2020-55A, Class DR, (3 mo. LIBOR US + 3.15%), 7.23%, 07/15/34 |  | 1500 | 1381511 |
|  Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3 mo. LIBOR US + 6.50%), 10.86%, 10/25/34 |  | 625 | 557655 |
|  Ballyrock CLO Ltd., Series 2019-1A, Class CR, (3 mo. LIBOR US + 3.05%), 7.13%, 07/15/32 |  | 2700 | 2509953 |
|  Bardot CLO Ltd., Series 2019-2A, Class DR, (3 mo. LIBOR US + 3.00%), 7.32%, 10/22/32 |  | 250 | 232295 |
|  Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3 mo. LIBOR US + 3.25%), 7.33%, 07/15/31 |  | 250 | 219687 |
|  Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class ER, (3 mo. LIBOR US + 6.75%), 10.83%, 07/15/34 |  | 250 | 218701 |
|  Birch Grove CLO 2 Ltd., Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.30%), 7.53%, 10/19/34 |  | 750 | 682990 |
|  Birch Grove CLO Ltd., Series 19A, Class DR, (3 mo. LIBOR US + 3.35%), 8.12%, 06/15/31 |  | 1500 | 1412324 |
|  BlueMountain CLO Ltd., Series 2016-2A, Class C1R2, (3 mo. LIBOR US + 3.10%), 7.78%, 08/20/32 |  | 1000 | 935231 |
|  Buttermilk Park CLO Ltd., Series 2018-1A, Class D, (3 mo. LIBOR US + 3.10%), 7.18%, 10/15/31 |  | 250 | 220951 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Cayman Islands (continued)** |  |  |  |
|  Canyon CLO Ltd., Series 2020-3A, Class E, (3 mo. LIBOR US + 7.25%), 11.33%, 01/15/34 | USD | 250 | $228513 |
|  CarVal CLO II Ltd., Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.20%), 7.44%, 04/20/32 |  | 1425 | &nbsp;&nbsp;&nbsp;&nbsp;1339591 |
|  CarVal CLO VC Ltd., Series 2021-2A, Class E, (3 mo. LIBOR US + 6.75%), 10.83%, 10/15/34 |  | 500 | 442178 |
|  CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2RA, Class B1, (3 mo. LIBOR US + 2.80%), 7.12%, 04/24/30 |  | 1000 | 933562 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class CR, (3 mo. LIBOR US + 3.05%), 7.13%, 10/16/34 |  | 1000 | 933528 |
|  Crown City CLO I, Series 2020-1A, Class DR, (3 mo. LIBOR US + 7.00%), 11.24%, 07/20/34 |  | 625 | 540011 |
|  Crown City CLO III |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, (3 mo. LIBOR US + 3.30%), 7.54%, 07/20/34 |  | 1250 | 1082378 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D, (3 mo. LIBOR US + 6.75%), 10.99%, 07/20/34 |  | 500 | 431576 |
|  Crown Point CLO 9 Ltd., Series 2020-9A, Class DR, (3 mo. LIBOR US + 3.75%), 7.76%, 07/14/34 |  | 500 | 443407 |
|  Eaton Vance CLO Ltd., Series 2019-1A, Class ER, (3 mo. LIBOR US + 6.50%), 10.58%, 04/15/31 |  | 500 | 445046 |
|  Elmwood CLO I Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class DR, (3 mo. LIBOR US + 4.40%), 8.64%, 10/20/33 |  | 5750 | 5688768 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class ER, (3 mo. LIBOR US + 7.71%), 11.95%, 10/20/33 |  | 2375 | 2219417 |
|  Elmwood CLO II Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class ER, (3 mo. LIBOR US + 6.80%), 11.04%, 04/20/34 |  | 3000 | 2759344 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class SUB, 0.00%, 04/20/34 |  | 1000 | 724900 |
|  Elmwood CLO V Ltd., Series 2020-2A, Class ER, (3 mo. LIBOR US + 6.10%), 10.34%, 10/20/34 |  | 250 | 223315 |
|  Elmwood CLO VIII Ltd., Series 2021-1A, Class E1, (3 mo. LIBOR US + 6.00%), 10.24%, 01/20/34 |  | 500 | 446730 |
|  Elmwood CLO X Ltd., Series 2021-3A, Class E, (3 mo. LIBOR US + 5.85%), 10.09%, 10/20/34 |  | 1000 | 901134 |
|  Flatiron CLO 19 Ltd., Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.00%), 7.64%, 11/16/34 |  | 700 | 655768 |
|  GoldenTree Loan Management U.S. CLO 1 Ltd., Series 2021-9A, Class E, (3 mo. LIBOR US + 4.75%), 8.99%, 01/20/33 |  | 1000 | 824802 |
|  GoldenTree Loan Opportunities X Ltd., Series 2015- 10A, Class DR, (3 mo. LIBOR US + 3.05%), 7.29%, 07/20/31 |  | 750 | 706354 |
|  Golub Capital Partners CLO 53B Ltd., Series 2021- 53A, Class E, (3 mo. LIBOR US + 6.70%), 10.94%, 07/20/34 |  | 250 | 220800 |
|  Golub Capital Partners CLO 55B Ltd., Series 2021- 55A, Class E, (3 mo. LIBOR US + 6.56%), 10.80%, 07/20/34 |  | 1000 | 880516 |
|  Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E, (3 mo. LIBOR US + 6.45%), 10.53%, 04/15/33 |  | 2625 | 2275767 |
|  Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class D, (3 mo. SOFR + 6.85%), 10.71%, 07/15/35 |  | 750 | 674853 |
|  Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3 mo. LIBOR US + 6.25%), 10.48%, 10/19/34 |  | 250 | 223538 |

---

S C H E D U L E O F I N V E S T M E N T S 13

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---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Cayman Islands (continued)** |  |  |  |
|  Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3 mo. LIBOR US + 5.70%), 9.89%, 10/18/30 | USD | 500 | $451009 |
|  Niagara Park CLO Ltd., Series 2019-1A, Class ER, (3 mo. LIBOR US + 5.95%), 10.03%, 07/17/32 |  | 1000 | 867512 |
|  OCP CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-16A, Class ER, (3 mo. LIBOR US + 6.35%), 10.26%, 04/10/33 |  | 400 | 350344 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class DR, (3 mo. LIBOR US + 3.20%), 7.44%, 07/20/32 |  | 500 | 468840 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-20A, Class D1, (3 mo. LIBOR US + 3.95%), 7.86%, 10/09/33 |  | 3500 | 3324563 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-20A, Class E, (3 mo. LIBOR US + 7.66%), 11.57%, 10/09/33 |  | 2250 | 2101042 |
|  Octagon 54 Ltd., Series 2021-1A, Class D, (3 mo. LIBOR US + 3.05%), 7.13%, 07/15/34 |  | 250 | 231309 |
|  OSD CLO Ltd., Series 2021-23A, Class E, (3 mo. LIBOR US + 6.00%), 10.08%, 04/17/31 |  | 250 | 222401 |
|  Palmer Square CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class D, (3 mo. LIBOR US + 5.60%), 9.68%, 07/16/31 |  | 250 | 223942 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class E, (3 mo. LIBOR US + 6.35%), 10.43%, 07/15/34 |  | 250 | 222411 |
|  Palmer Square Loan Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class D, (3 mo. LIBOR US + 4.85%), 9.53%, 02/20/28 |  | 250 | 239090 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4A, Class C, (3 mo. LIBOR US + 3.60%), 8.36%, 11/25/28 |  | 1000 | 952653 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D, (3 mo. LIBOR US + 6.00%), 10.24%, 04/20/29 |  | 1250 | &nbsp;&nbsp;&nbsp;&nbsp;1132389 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class C, (3 mo. LIBOR US + 2.50%), 6.74%, 07/20/29 |  | 250 | 228030 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, (3 mo. LIBOR US + 5.00%), 9.24%, 07/20/29 |  | 250 | 224546 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class D, (3 mo. LIBOR US + 5.00%), 9.08%, 10/15/29 |  | 750 | 649447 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class E, (3 mo. LIBOR US + 7.51%), 11.59%, 10/15/29 |  | 500 | 471054 |
|  Park Avenue Institutional Advisers CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D, (3 mo. LIBOR US + 7.30%), 11.54%, 01/20/34 |  | 600 | 536330 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D, (3 mo. LIBOR US + 3.40%), 7.48%, 07/15/34 |  | 1000 | 884934 |
|  Pikes Peak CLO 4, Series 2019-4A, Class DR, (3 mo. LIBOR US + 3.25%), 7.33%, 07/15/34 |  | 1000 | 925720 |
|  Pikes Peak CLO 6, Series 2020-6A, Class ER2, (3 mo. LIBOR US + 6.43%), 11.10%, 05/18/34 |  | 500 | 433297 |
|  Post CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class D, (3 mo. LIBOR US + 2.95%), 7.03%, 04/16/31 |  | 500 | 463706 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class E, (3 mo. LIBOR US + 6.45%), 10.53%, 10/15/34 |  | 750 | 659799 |
|  Rad CLO 3 Ltd., Series 2019-3A, Class DR, (3 mo. LIBOR US + 2.75%), 6.83%, 04/15/32 |  | 250 | 230035 |
|  Rad CLO 9 Ltd., Series 2020-9A, Class E, (3 mo. LIBOR US + 7.59%), 11.67%, 01/15/34 |  | 5000 | 4664237 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Cayman Islands (continued)** |  |  |  |
|  Regatta XVII Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class D, (3 mo. LIBOR US + 4.15%), 8.23%, 10/15/33 | USD | 750 | $735802 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class E, (3 mo. LIBOR US + 7.61%), 11.69%, 10/15/33 |  | 250 | 228273 |
|  Regatta XX Funding Ltd., Series 2021-2A, Class D, (3 mo. LIBOR US + 3.10%), 7.18%, 10/15/34 |  | 1500 | &nbsp;&nbsp;&nbsp;&nbsp;1411332 |
|  Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3 mo. LIBOR US + 6.80%), 11.04%, 01/20/35 |  | 500 | 448220 |
|  RR 19 Ltd., Series 2021-19A, Class D, (3 mo. LIBOR US + 6.50%), 10.58%, 10/15/35 |  | 250 | 227338 |
|  Sixth Street CLO XIX Ltd., Series 2021-19A, Class E, (3 mo. LIBOR US + 5.90%), 10.14%, 07/20/34 |  | 3750 | 3297957 |
|  Sixth Street CLO XVI Ltd., Series 2020-16A, Class E, (3 mo. LIBOR US + 7.32%), 11.56%, 10/20/32 |  | 1480 | 1374881 |
|  Sound Point CLO XXVI Ltd., Series 2020-1A, Class DR, (3 mo. LIBOR US + 3.35%), 7.59%, 07/20/34 |  | 250 | 228861 |
|  Stratus CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class E, (3 mo. LIBOR US + 5.00%), 9.24%, 12/29/29 |  | 1500 | 1319723 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class SUB, 0.00%, 12/29/29 |  | 1000 | 390580 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class E, (3 mo. LIBOR US + 5.75%), 9.99%, 12/28/29 |  | 1000 | 897749 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class E, (3 mo. LIBOR US + 5.75%), 9.99%, 12/29/29 |  | 500 | 455544 |
|  Symphony CLO XXI Ltd., Series 2019-21A, Class DR, (3 mo. LIBOR US + 3.30%), 7.38%, 07/15/32 |  | 500 | 454603 |
|  Symphony CLO XXIII Ltd., Series 2020-23A, Class ER, (3 mo. LIBOR US + 6.15%), 10.23%, 01/15/34 |  | 500 | 456267 |
|  TICP CLO II-2 Ltd., Series 2018-IIA, Class C, (3 mo. LIBOR US + 2.95%), 7.19%, 04/20/28 |  | 250 | 240934 |
|  TICP CLO IX Ltd., Series 2017-9A, Class D, (3 mo. LIBOR US + 2.90%), 7.14%, 01/20/31 |  | 500 | 474596 |
|  TICP CLO XI Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11A, Class D, (3 mo. LIBOR US + 3.05%), 7.29%, 10/20/31 |  | 250 | 237750 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11A, Class E, (3 mo. LIBOR US + 6.00%), 10.24%, 10/20/31 |  | 500 | 454465 |
|  TICP CLO XV Ltd., Series 2020-15A, Class E, (3 mo. LIBOR US + 6.15%), 10.39%, 04/20/33 |  | 500 | 452590 |
|  Trestles CLO Ltd., Series 2017-1A, Class CR, (3 mo. LIBOR US + 2.90%), 7.26%, 04/25/32 |  | 500 | 464639 |
|  Trimaran CAVU Ltd., Series 2019-1A, Class D, (3 mo. LIBOR US + 4.15%), 8.39%, 07/20/32 |  | 1750 | 1577652 |
|  Voya CLO Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.60%), 10.84%, 07/20/32 |  | 250 | 223777 |
|  Whitebox CLO I Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class CR, (3 mo. LIBOR US + 3.05%), 7.37%, 07/24/32 |  | 250 | 232377 |

---

14 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Cayman Islands (continued)** |  |  |  |
|  Whitebox CLO I Ltd. (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class DR, (3 mo. LIBOR US + 6.40%), 10.72%, 07/24/32 | USD | 1300 | $1177693 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class SUB, 0.00%, 07/24/32 |  | 1000 | 519900 |
|  Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.35%), 7.67%, 10/24/34 |  | 2750 | 2493201 |
|  Whitebox CLO III Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, (3 mo. LIBOR US + 3.35%), 7.43%, 10/15/34 |  | 500 | 467678 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class E, (3 mo. LIBOR US + 6.85%), 10.93%, 10/15/34 |  | 500 | 454097 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;91657602 |
| **Ireland<sup>(a)(b)</sup> — 0.5%** |  |  |  |
|  Anchorage Capital Europe CLO DAC, Series 4A, Class D, (3 mo. EURIBOR + 3.20%), 4.74%, 04/25/34 | EUR | 868 | 825637 |
|  CIFC European Funding CLO III DAC, Series 3A, Class D, (3 mo. EURIBOR + 3.60%), 4.98%, 01/15/34 |  | 700 | 655029 |
|  CVC Cordatus Loan Fund XIX DAC, Series 19A, Class D, (3 mo. EURIBOR + 3.80%), 5.90%, 12/23/33 |  | 2300 | 2166059 |
|  Henley CLO IV DAC, Series 4A, Class D, (3 mo. EURIBOR + 3.00%), 4.54%, 04/25/34 |  | 1000 | 914528 |
|  Invesco Euro CLO V DAC, Series D, Class 5A, (3 mo. EURIBOR + 3.80%), 5.18%, 01/15/34 |  | 3150 | 2994312 |
|  Prodigy Finance DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, (1 mo. LIBOR US + 3.75%), 8.14%, 07/25/51 | USD | 340 | 334127 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D, (1 mo. LIBOR US + 5.90%), 10.29%, 07/25/51 |  | 340 | 333363 |
|  |  |  | 8223055 |
|  **Netherlands — 0.1%** |  |  |  |
|  Alme Loan Funding V DAC, Series ER, Class 5A, (3 mo. EURIBOR + 5.41%), 6.79%, 07/15/31<sup>(a)(b)</sup>  | EUR | 2250 | 2020320 |
|  **United Kingdom — 0.0%** |  |  |  |
|  Ares European CLO XII DAC, Series 12A, Class DR, (3 mo. EURIBOR + 3.00%), 4.46%, 04/20/32<sup>(a)(b)</sup>  |  | 875 | 809360 |
|  **United States — 3.3%** |  |  |  |
|  510 Loan Acquisition Trust, Series 2020-1, Class A, 5.11%, 09/25/60<sup>(a)</sup> | USD | 4624 | 4285248 |
|  Ajax Mortgage Loan Trust<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C, Class A, 2.25%, 09/27/60 |  | 209 | 206131 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C, Class B, 5.00%, 09/27/60 |  | 375 | 343559 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C, Class C, 0.00%, 09/27/60 |  | 1177 | 601095 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-D, Class B, 5.00%, 06/25/60 |  | 525 | 480918 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-D, Class C, 0.00%, 06/25/60 |  | 1240 | 570790 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-E, Class B3, 3.76%, 12/25/60<sup>(b)</sup> |  | 955 | 362056 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-E, Class SA, 0.00%, 12/25/60<sup>(b)</sup> |  | 15 | 6862 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-E, Class XS, 0.00%, 12/25/60<sup>(b)</sup> |  | 14021 | 575967 |
|  AMSR Trust, Series 2020-SFR5, Class G, 4.11%, 11/17/37<sup>(a)</sup> |  | 2899 | 2579414 |
|  Citigroup Mortgage Loan Trust<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AHL2, Class A3B, (1 mo. LIBOR US + 0.20%), 4.59%, 05/25/37 |  | 4496 | 3074860 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AHL3, Class A3B, (1 mo. LIBOR US + 0.17%), 4.56%, 07/25/45 |  | 3397 | 2414539 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  College Ave Student Loans LLC, Series 2021-A, Class D, 4.12%, 07/25/51<sup>(a)</sup> | USD | 310 | $277576 |
|  Credit Suisse ABS Repackaging Trust, Series 2013-A, Class R1, 0.01%, 04/25/43<sup>(a)(c)</sup> |  | 5 | 3700320 |
|  Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26<sup>(a)</sup> |  | 2430 | 1986995 |
|  Lending Funding Trust<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class C, 4.30%, 04/21/31 |  | 980 | 820291 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class D, 6.77%, 04/21/31 |  | 2830 | 2403675 |
|  Lendmark Funding Trust, Series 2021-1A, Class D, 5.05%, 11/20/31<sup>(a)</sup> |  | 2320 | 1739804 |
|  Litigation Fee Residual, 4.00%, 10/30/27<sup>(c)</sup> |  | 3151 | 3013289 |
|  Mariner Finance Issuance Trust<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BA, Class E, 4.68%, 11/20/36 |  | 540 | 378132 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-AA, Class E, 5.40%, 03/20/36 |  | 1420 | 1093713 |
|  Navient Private Education Refi Loan Trust, Series 2021-DA, Class D, 4.00%, 04/15/60<sup>(a)</sup> |  | 1340 | 1134648 |
|  Nelnet Student Loan Trust<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class D, 4.93%, 04/20/62 |  | 1670 | 1363546 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BA, Class D, 4.75%, 04/20/62 |  | 340 | 265573 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CA, Class D, 4.44%, 04/20/62 |  | 110 | 86551 |
|  Oportun Issuance Trust, Series 2021-B, Class D, 5.41%, 05/08/31<sup>(a)</sup> |  | 2362 | 1820301 |
|  Progress Residential<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class H, 5.00%, 04/17/38 |  | 750 | 636227 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class H, 4.75%, 05/17/26 |  | 1140 | 967126 |
|  Regional Management Issuance, 3.88%, 10/17/33<sup>(c)</sup>  |  | 4780 | 4079730 |
|  Regional Management Issuance Trust, Series 2020-1, Class D, 6.77%, 10/15/30<sup>(a)</sup> |  | 2050 | 1803379 |
|  Republic Finance Issuance Trust<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A, Class D, 7.00%, 11/20/30 |  | 5110 | 4711563 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class D, 5.23%, 12/22/31 |  | 800 | 654564 |
|  Residential Mortgage Loan Trust, Series 2020-1, Class B1, 3.95%, 01/26/60<sup>(a)(b)</sup> |  | 400 | 299827 |
|  SMB Private Education Loan Trust<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class D1, 3.86%, 01/15/53 |  | 3500 | 3143530 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class D2, 3.86%, 01/15/53 |  | 1910 | 1695975 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class D, 3.93%, 01/15/53 |  | 780 | 689957 |
|  SoFi Professional Loan Program LLC<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-A, Class R, 0.01%, 03/26/40<sup>(c)</sup> |  | 105 | 1024116 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-A, Class R1, 0.01%, 02/25/42 |  | 115 | 1972198 |
|  Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-WF2, Class M8, (1 mo. LIBOR US + 1.80%), 6.19%, 05/25/35<sup>(b)</sup> |  | 182 | 170357 |
|  Tricon Residential Trust<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class F, 3.69%, 07/17/38 |  | 1375 | 1162819 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class G, 4.13%, 07/17/38 |  | 887 | 735776 |
|  |  |  | 59332997 |
|  **Total Asset-Backed Securities — 8.9%<br>(Cost: $187,924,528)** | **Total Asset-Backed Securities — 8.9%<br>(Cost: $187,924,528)** |  | &nbsp;&nbsp;&nbsp;&nbsp;162896157 |
|  |  | *Shares* |  |
|  **Common Stocks** |  |  |  |
| **Australia — 0.5%** |  |  |  |
|  Glencore PLC |  | 1275915 | 8508623 |

---

S C H E D U L E O F I N V E S T M E N T S 15

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Canada — 1.1%** |  |  |
|  Cameco Corp. | 181561 | $4115988 |
|  Enbridge, Inc. | 396375 | 15491998 |
|  Lululemon Athletica, Inc.<sup>(d)</sup> | 1913 | 612887 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20220873 |
| **Cayman Islands — 0.1%** |  |  |
|  Hedosophia European Growth<sup>(d)</sup> | 2 | 21 |
|  Salt Pay Co. Ltd., Series C, (Acquired 11/16/21,<br>Cost: $2,398,802)<sup>(c)(e)</sup> | 1235 | 1162666 |
|  |  | 1162687 |
| **China — 0.3%** |  |  |
|  Kindstar Globalgene Technology, Inc.<sup>(a)(d)</sup> | 2024500 | 740108 |
|  Tencent Holdings Ltd. | 130888 | 5549699 |
|  |  | 6289807 |
| **Finland — 0.2%** |  |  |
|  Aiven<sup>(c)</sup> | 37890 | 3848108 |
| **France — 2.0%** |  |  |
|  BNP Paribas SA | 99563 | 5669031 |
|  Cie de Saint-Gobain | 68425 | 3347406 |
|  Danone SA | 62658 | 3302431 |
|  Hermes International | 2618 | 4052275 |
|  Kering SA | 11591 | 5898978 |
|  LVMH Moet Hennessy Louis Vuitton SE | 20809 | 15142550 |
|  |  | 37412671 |
| **Germany — 2.3%** |  |  |
|  Auto1 Group SE<sup>(a)(d)</sup> | 169548 | 1408608 |
|  Commerzbank AG<sup>(d)</sup> | 120650 | 1128031 |
|  Deutsche Telekom AG, Registered Shares | 299058 | 5950229 |
|  Mercedes-Benz Group AG, Registered Shares | 124027 | 8110729 |
|  SAP SE | 113614 | 11729586 |
|  SAP SE, ADR | 7100 | 732649 |
|  Siemens AG, Registered Shares | 42531 | 5862949 |
|  Vantage Towers AG | 213873 | 7329742 |
|  |  | 42252523 |
| **Hong Kong — 0.3%** |  |  |
|  AIA Group Ltd. | 498570 | 5505899 |
| **India — 0.3%** |  |  |
|  Think & Learn Private Ltd., (Acquired 12/11/20,<br>Cost: $5,113,105)<sup>(c)(e)</sup> | 2279 | 5471153 |
| **Israel — 0.4%** |  |  |
|  Nice Ltd., ADR<sup>(d)</sup> | 40423 | 7773343 |
| **Italy — 0.4%** |  |  |
|  Ariston Holding NV | 476063 | 4902365 |
|  Intesa Sanpaolo SpA | 1216785 | 2695676 |
|  |  | 7598041 |
| **Japan — 0.7%** |  |  |
|  FANUC Corp. | 45363 | 6788414 |
|  Hoya Corp. | 35186 | 3370063 |
|  Keyence Corp. | 1600 | 621191 |
|  Kose Corp. | 10998 | 1194968 |
|  |  | 11974636 |
| **Netherlands — 1.9%** |  |  |
|  Adyen NV<sup>(a)(d)</sup> | 4140 | 5747350 |
|  ASML Holding NV | 14472 | 7890882 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Netherlands (continued)** |  |  |
|  ING Groep NV, Series N | 985775 | $12007871 |
|  Shell PLC | 327113 | 9276058 |
|  |  | 34922161 |
| **South Korea — 0.4%** |  |  |
|  Amorepacific Corp. | 28737 | 3145111 |
|  LG Energy Solution Ltd.<sup>(d)</sup> | 10809 | 3725394 |
|  |  | 6870505 |
| **Spain — 0.4%** |  |  |
|  Cellnex Telecom SA<sup>(a)</sup> | 250364 | 8304878 |
| **Switzerland — 0.9%** |  |  |
|  Nestle SA, Registered Shares | 55559 | 6417584 |
|  On Holding AG, Class A<sup>(d)</sup> | 104674 | 1796206 |
|  Roche Holding AG | 7920 | 2488760 |
|  TE Connectivity Ltd. | 45118 | 5179546 |
|  |  | 15882096 |
| **Taiwan — 0.3%** |  |  |
|  Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 69341 | 5165211 |
| **United Kingdom — 2.6%** |  |  |
|  Alphawave IP Group PLC<sup>(d)</sup> | 400901 | 494363 |
|  AstraZeneca PLC | 67551 | 9140958 |
|  AstraZeneca PLC, ADR | 62043 | 4206515 |
|  BP PLC | 81254 | 468831 |
|  BP PLC, ADR | 7486 | 261486 |
|  Compass Group PLC | 337716 | 7798545 |
|  Exscientia PLC, ADR<sup>(d)</sup> | 100350 | 534865 |
|  Genius Sports Ltd.<sup>(d)</sup> | 238281 | 850663 |
|  Hedosophia European Growth<sup>(d)</sup> | 139284 | 1437542 |
|  Lloyds Banking Group PLC | 17889414 | 9762483 |
|  Unilever PLC | 240325 | 12133484 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47089735 |
| **United States — 32.7%** |  |  |
|  Abbott Laboratories<sup>(f)</sup> | 115962 | 12731468 |
|  AbbVie, Inc. | 28521 | 4609279 |
|  Activision Blizzard, Inc. | 16465 | 1260396 |
|  ACV Auctions, Inc., Class A<sup>(d)</sup> | 203406 | 1669978 |
|  Adobe, Inc.<sup>(d)</sup> | 6146 | 2068313 |
|  Air Products & Chemicals, Inc. | 31902 | 9834110 |
|  Albemarle Corp. | 28453 | 6170318 |
|  Alcoa Corp. | 3973 | 180652 |
|  Align Technology, Inc.<sup>(d)</sup> | 1829 | 385736 |
|  Alkami Technology, Inc.<sup>(d)</sup> | 82235 | 1199809 |
|  Alphabet, Inc., Class C<sup>(d)</sup> | 123010 | 10914677 |
|  Amazon.com, Inc.<sup>(d)(f)</sup> | 207648 | 17442432 |
|  American Tower Corp. | 41671 | 8828418 |
|  AmerisourceBergen Corp. | 8277 | 1371582 |
|  Amgen, Inc. | 5487 | 1441106 |
|  Apple, Inc. | 43993 | 5716010 |
|  Applied Materials, Inc. | 45247 | 4406153 |
|  Aptiv PLC<sup>(d)</sup> | 37435 | 3486322 |
|  Archer-Daniels-Midland Co. | 143792 | 13351087 |
|  Astra Space, Inc. | 205519 | 89154 |
|  Bank of America Corp. | 176223 | 5836506 |
|  Booking Holdings, Inc.<sup>(d)</sup> | 340 | 685195 |
|  Boston Scientific Corp.<sup>(d)(f)</sup> | 214407 | 9920612 |
|  Bunge Ltd. | 53526 | 5340289 |
|  California Resources Corp. | 47698 | 2075340 |
|  Cap Hill Brands<sup>(c)</sup> | 1185824 | 1873602 |
|  Capri Holdings Ltd.<sup>(d)</sup> | 15615 | 895052 |

---

16 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **United States (continued)** |  |  |
|  Centene Corp.<sup>(d)</sup> | 10766 | $882920 |
|  CF Industries Holdings, Inc. | 88071 | 7503649 |
|  Charles Schwab Corp.<sup>(f)</sup> | 106270 | 8848040 |
|  Charter Communications, Inc., Class A<sup>(d)</sup> | 9297 | 3152613 |
|  Chesapeake Energy Corp. | 13724 | 1295134 |
|  Chipotle Mexican Grill, Inc.<sup>(d)</sup> | 639 | 886606 |
|  Chubb Ltd. | 15600 | 3441360 |
|  Clarify Health<sup>(c)</sup> | 345315 | 2693457 |
|  Comcast Corp., Class A | 83361 | 2915134 |
|  ConocoPhillips | 70441 | 8312038 |
|  Costco Wholesale Corp. | 12676 | 5786594 |
|  Coterra Energy, Inc. | 9800 | 240786 |
|  Crowdstrike Holdings, Inc., Class A<sup>(d)</sup> | 1498 | 157724 |
|  Crown PropTech Acquisitions<sup>(d)</sup> | 133056 | 1350518 |
|  Crown PropTech Acquisitions<sup>(c)</sup> | 51000 |  |
|  CVS Health Corp. | 49104 | 4576002 |
|  Datadog, Inc., Class A<sup>(d)</sup> | 4378 | 321783 |
|  Davidson Kempner Merchant Co-investment Fund LP, (Acquired 04/01/21, Cost: $1,124,887)<sup>(e)(g)</sup> | — <sup>(h)</sup> | 3851324 |
|  Deere & Co. | 17424 | 7470714 |
|  Devon Energy Corp. | 6456 | 397109 |
|  Dexcom, Inc.<sup>(d)</sup> | 17068 | 1932780 |
|  Diversey Holdings Ltd.<sup>(d)</sup> | 294531 | 1254702 |
|  Domino's Pizza, Inc. | 5629 | 1949886 |
|  Dynatrace, Inc.<sup>(d)</sup> | 28869 | 1105683 |
|  Edwards Lifesciences Corp.<sup>(d)</sup> | 10652 | 794746 |
|  Element Solutions, Inc. | 49065 | 892492 |
|  Eli Lilly & Co. | 15621 | 5714787 |
|  Energy Transfer LP | 47336 | 561878 |
|  Enterprise Products Partners LP | 328803 | 7930728 |
|  Epic Games, Inc., (Acquired 03/29/21, Cost: $2,499,240)<sup>(c)(e)</sup> | 2824 | 2224549 |
|  EQT Corp.<sup>(f)</sup> | 298868 | 10110704 |
|  Exxon Mobil Corp. | 45678 | 5038283 |
|  F5, Inc.<sup>(d)</sup> | 36059 | 5174827 |
|  Fanatics Holdings, Inc., (Acquired 12/15/21, Cost: $8,566,971)<sup>(c)(e)</sup> | 126282 | 9618900 |
|  Fortive Corp. | 144286 | 9270375 |
|  Freeport-McMoRan, Inc.<sup>(f)</sup> | 187561 | 7127318 |
|  Generac Holdings, Inc.<sup>(d)</sup> | 1100 | 110726 |
|  General Motors Co. | 19008 | 639429 |
|  Global Foundries, Inc.<sup>(d)</sup> | 73546 | 3963394 |
|  Green Plains, Inc.<sup>(d)</sup> | 46023 | 1403701 |
|  Halliburton Co. | 45704 | 1798452 |
|  HCA Healthcare, Inc. | 5700 | 1367772 |
|  Hilton Worldwide Holdings, Inc. | 29899 | 3778038 |
|  Humana, Inc. | 24297 | 12444680 |
|  Informatica, Inc., Class A<sup>(d)</sup> | 53593 | 873030 |
|  International Flavors & Fragrances, Inc. | 39157 | 4105220 |
|  Intuit, Inc. | 4333 | 1686490 |
|  Intuitive Surgical, Inc.<sup>(d)</sup> | 8693 | 2306688 |
|  Johnson & Johnson | 41371 | 7308187 |
|  KINS Technology Group, Inc.<sup>(c)</sup> | 117311 | 111445 |
|  KLA Corp. | 3736 | 1408584 |
|  Latch, Inc. | 142273 | 101000 |
|  Liberty Broadband Corp., Class C<sup>(d)</sup> | 39610 | 3021055 |
|  Liberty Media Corp.-Liberty SiriusXM, Class C<sup>(d)</sup> | 277460 | 10857010 |
|  Lions Gate Entertainment Corp., Class A<sup>(d)</sup> | 44712 | 255306 |
|  LPL Financial Holdings, Inc. | 51105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11047368 |
|  LyondellBasell Industries NV, Class A | 32850 | 2727535 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **United States (continued)** |  |  |
|  Marathon Oil Corp. | 290181 | $7855200 |
|  Marathon Petroleum Corp. | 10828 | 1260271 |
|  Marqeta, Inc., Class A<sup>(d)</sup> | 6415 | 39196 |
|  Marsh & McLennan Cos., Inc. | 85904 | 14215394 |
|  Masco Corp. | 12241 | 571287 |
|  Mastercard, Inc., Class A | 38023 | 13221738 |
|  McDonald's Corp. | 8552 | 2253709 |
|  McKesson Corp. | 4582 | 1718800 |
|  Merck & Co., Inc. | 96033 | 10654861 |
|  Micron Technology, Inc. | 126601 | 6327518 |
|  Microsoft Corp. | 109228 | 26195111 |
|  Mirion Technologies, Inc. | 477390 | 3155548 |
|  Mirion Technologies, Inc.<sup>(d)</sup> | 219122 | 1448396 |
|  Morgan Stanley | 72215 | 6139719 |
|  Mr. Cooper Group, Inc.<sup>(d)</sup> | 15882 | 637345 |
|  NextEra Energy, Inc.<sup>(f)</sup> | 102243 | 8547515 |
|  Northrop Grumman Corp. | 26453 | 14433021 |
|  Offerpad Solutions, Inc. | 202591 | 93293 |
|  Otis Worldwide Corp. | 6650 | 520761 |
|  Ovintiv, Inc. | 2918 | 147972 |
|  Park Hotels & Resorts, Inc. | 35866 | 422860 |
|  Pfizer, Inc. | 58466 | 2995798 |
|  Phillips 66 | 11986 | 1247503 |
|  Planet Labs PBC | 156720 | 681732 |
|  Playstudios, Inc. | 226924 | 880465 |
|  Proof Acquisition Corp.<sup>(c)</sup> | 29114 | 32899 |
|  Raymond James Financial, Inc. | 34288 | 3663673 |
|  Rocket Lab USA, Inc.<sup>(d)</sup> | 122062 | 460174 |
|  Rockwell Automation, Inc. | 8413 | 2166936 |
|  Rotor Acquisition Corp. | 23869 | 13844 |
|  RXO, Inc.<sup>(d)</sup> | 48744 | 838397 |
|  Salesforce, Inc.<sup>(d)</sup> | 21005 | 2785053 |
|  Sarcos Technology & Robotics Corp.<sup>(d)</sup> | 45102 | 25316 |
|  Sarcos Technology and Robotics Corp. | 964459 | 541351 |
|  Schlumberger Ltd. | 116005 | 6201627 |
|  Seagen, Inc.<sup>(d)</sup> | 24021 | 3086939 |
|  Sempra Energy | 93572 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14460617 |
|  ServiceNow, Inc.<sup>(d)</sup> | 16848 | 6541573 |
|  Snorkel AI, Inc., (Acquired 06/30/21, Cost: $189,563)<sup>(c)(e)</sup> | 12621 | 89862 |
|  Sonder Holdings, Inc., Class A | 223319 | 276916 |
|  SPDR S&P Biotech ETF<sup>(d)</sup> | 45000 | 3735000 |
|  Starbucks Corp. | 38563 | 3825450 |
|  Sun Country Airlines Holdings, Inc. | 175935 | 2790329 |
|  Symbotic Corp., Class A | 22948 | 273999 |
|  Taboola.com Ltd. | 64770 | 199492 |
|  Tesla, Inc.<sup>(d)</sup> | 28645 | 3528491 |
|  Thermo Fisher Scientific, Inc. | 11633 | 6406177 |
|  TJX Cos., Inc. | 60008 | 4776637 |
|  Toast, Inc., Class A<sup>(d)</sup> | 15113 | 272487 |
|  TPB Acquisition Corp. I, Class A<sup>(d)</sup> | 77043 | 773512 |
|  United Parcel Service, Inc., Class B | 51450 | 8944068 |
|  United Rentals, Inc.<sup>(d)</sup> | 1930 | 685961 |
|  UnitedHealth Group, Inc.<sup>(f)</sup> | 26320 | 13954338 |
|  Valero Energy Corp. | 43040 | 5460054 |
|  Vertiv Holdings Co. | 284378 | 3884603 |
|  Visa, Inc., Class A | 8102 | 1683271 |
|  Vulcan Materials Co. | 31506 | 5517016 |
|  Walmart, Inc. | 42418 | 6014448 |
|  Walt Disney Co.<sup>(d)</sup> | 87905 | 7637186 |

---

S C H E D U L E O F I N V E S T M E N T S 17

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | <br> *Shares* | *Value* |
| **United States (continued)** |  |  |  |
|  Wells Fargo & Co. |  | 147076 | $6072768 |
|  XPO Logistics, Inc.<sup>(d)</sup> |  | 48744 | 1622688 |
|  |  |  | 594793014 |
|  **Total Common Stocks — 47.8%<br>(Cost: $890,175,306)** |  |  | 871045964 |
|  |  | *Par*<br> *(000)* |  |
|  **Corporate Bonds** |  |  |  |
| **Argentina — 0.0%** |  |  |  |
|  Genneia SA, 8.75%, 09/02/27<sup>(a)</sup> | USD | 522 | 506103 |
| **Australia<sup>(c)</sup> — 0.3%** |  |  |  |
|  Oceana Australian Fixed Income Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 08/31/23 | AUD | 4163 | 2834379 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.25%, 08/31/25 |  | 4163 | 2915868 |
|  |  |  | 5750247 |
| **Austria — 0.1%** |  |  |  |
|  BRF GmbH, 4.35%, 09/29/26<sup>(i)</sup> | USD | 200 | 180788 |
|  Klabin Austria GmbH, 3.20%, 01/12/31<sup>(a)</sup> |  | 619 | 498295 |
|  Suzano Austria GmbH, 3.13%, 01/15/32 |  | 636 | 495285 |
|  |  |  | 1174368 |
| **Bahamas — 0.0%** |  |  |  |
|  Intercorp Peru Ltd., 3.88%, 08/15/29<sup>(a)</sup> |  | 560 | 460950 |
| **Bahrain<sup>(i)</sup> — 0.1%** |  |  |  |
|  BBK BSC, 5.50%, 07/09/24 |  | 453 | 442043 |
|  Oil & Gas Holding Co. BSCC, 7.63%, 11/07/24 |  | 766 | 778591 |
|  |  |  | 1220634 |
| **Belgium<sup>(i)</sup> — 0.0%** |  |  |  |
|  Anheuser-Busch InBev SA, 4.00%, 09/24/25 | GBP | 100 | 118700 |
|  KBC Group NV, (1 year UK Government Bond + 0.92%), 1.25%, 09/21/27<sup>(b)</sup> |  | 100 | 102927 |
|  |  |  | 221627 |
| **Bermuda — 0.0%** |  |  |  |
|  Geopark Ltd., 5.50%, 01/17/27<sup>(a)</sup> | USD | 448 | 385924 |
| **Brazil — 0.1%** |  |  |  |
|  Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81<sup>(a)(b)</sup> |  | 645 | 622546 |
|  BRF SA, 4.88%, 01/24/30<sup>(i)</sup> |  | 383 | 322510 |
|  Gol Finance SA, 7.00%, 01/31/25<sup>(a)</sup> |  | 1036 | 450854 |
|  Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25<sup>(j)</sup> |  | 1279 | 214073 |
|  Suzano Austria GmbH, 3.75%, 01/15/31 |  | 453 | 378198 |
|  |  |  | 1988181 |
| **Canada — 0.1%** |  |  |  |
|  Rogers Communications, Inc., 3.80%, 03/15/32<sup>(a)</sup> |  | 2675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2308401 |
|  Toronto-Dominion Bank, 2.88%, 04/05/27<sup>(i)</sup> | GBP | 100 | 109681 |
|  |  |  | 2418082 |
| **Cayman Islands — 0.3%** |  |  |  |
|  China Evergrande Group, 8.25%, 03/23/22<sup>(d)(i)(k)</sup> | USD | 500 | 33750 |
|  Dar Al-Arkan Sukuk Co. Ltd., 6.88%, 03/21/23<sup>(i)</sup> |  | 451 | 447702 |
|  Fantasia Holdings Group Co. Ltd.<sup>(d)(i)(k)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 12/17/21 |  | 320 | 24800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 07/28/23 |  | 1200 | 93000 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Cayman Islands (continued)** |  |  |  |
|  IHS Holding Ltd., 6.25%, 11/29/28<sup>(a)</sup> | USD | 569 | $457440 |
|  Jingrui Holdings Ltd.<sup>(d)(i)(k)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.00%, 07/25/22 |  | 370 | 34040 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.75%, 09/09/23 |  | 355 | 22670 |
|  MAF Sukuk Ltd., 3.93%, 02/28/30<sup>(i)</sup> |  | 990 | 916245 |
|  Melco Resorts Finance Ltd., 5.38%, 12/04/29<sup>(i)</sup> |  | 250 | 195000 |
|  Modern Land China Co. Ltd., 9.80%, 04/11/23<sup>(d)(i)(k)</sup>  |  | 680 | 39100 |
|  Oryx Funding Ltd., 5.80%, 02/03/31<sup>(a)</sup> |  | 574 | 545228 |
|  Ronshine China Holdings Ltd.<sup>(d)(i)(k)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.35%, 12/15/23 |  | 200 | 10000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.10%, 01/25/25 |  | 400 | 20000 |
|  Seagate HDD Cayman, 9.63%, 12/01/32 |  | 350 | 383880 |
|  Shelf Drilling Holdings Ltd., 8.88%, 11/15/24<sup>(a)</sup> |  | 96 | 93840 |
|  Shelf Drilling North Sea Holdings Ltd., 10.25%, 10/31/25<sup>(a)</sup> |  | 1419 | 1397538 |
|  Sinic Holdings Group Co. Ltd.<sup>(d)(k)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 01/24/22<sup>(i)</sup> |  | 1100 | 11000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 06/18/22 |  | 200 | 2000 |
|  |  |  | 4727233 |
| **Chile — 0.1%** |  |  |  |
|  Empresa Nacional del Petroleo, 3.75%, 08/05/26<sup>(i)</sup> |  | 526 | 492566 |
|  Kenbourne Invest SA, 6.88%, 11/26/24<sup>(a)</sup> |  | 868 | 819880 |
|  |  |  | 1312446 |
| **China<sup>(i)</sup> — 0.0%** |  |  |  |
|  China Aoyuan Group Ltd., 8.50%, 01/23/22<sup>(d)(k)</sup> |  | 359 | 28720 |
|  Fantasia Holdings Group Co. Ltd., 11.75%, 04/17/22<sup>(d)(k)</sup> |  | 520 | 40300 |
|  Fortune Star BVI Ltd., 5.05%, 01/27/27 |  | 200 | 126000 |
|  RKPF Overseas Ltd., Series 2020-A, 5.20%, 01/12/26 |  | 200 | 141000 |
|  |  |  | 336020 |
| **Colombia — 0.3%** |  |  |  |
|  Ecopetrol SA |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 01/16/25 |  | 1019 | 968559 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/02/31 |  | 1080 | 823500 |
|  Empresas Publicas de Medellin ESP, 4.25%, 07/18/29<sup>(a)</sup> |  | 640 | 506920 |
|  Grupo Aval Ltd., 4.38%, 02/04/30<sup>(a)</sup> |  | 1302 | 1052016 |
|  Millicom International Cellular SA, 5.13%, 01/15/28<sup>(i)</sup> |  | 1066 | 988877 |
|  SURAAsset Management SA, 4.88%, 04/17/24<sup>(i)</sup> |  | 967 | 959748 |
|  |  |  | 5299620 |
| **Dominican Republic — 0.0%** |  |  |  |
|  Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29<sup>(a)</sup> |  | 791 | 766281 |
| **France — 0.2%** |  |  |  |
|  BNP Paribas SA<sup>(i)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 01/23/26 | GBP | 100 | 113490 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 12/14/27 |  | 100 | 101251 |
|  Sabena Technics Sas, (Acquired 10/28/22, Cost: $2,348,546), 1.00%, 09/30/29<sup>(c)(e)</sup> | EUR | 2397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2565868 |
|  Societe Generale SA, 1.88%, 10/03/24<sup>(i)</sup> | GBP | 100 | 113980 |
|  TotalEnergies Capital International SA, 1.66%, 07/22/26<sup>(i)</sup> |  | 100 | 108554 |
|  |  |  | 3003143 |

---

18 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Germany — 0.4%** |  |  |  |
|  Adler Pelzer Holding GmbH, 4.13%, 04/01/24<sup>(a)</sup> | EUR | 3303 | $2969984 |
|  APCOA Parking Holdings GmbH, (3 mo. EURIBOR + 5.00%), 6.38%, 01/15/27<sup>(a)(b)</sup> |  | 852 | 849644 |
|  Deutsche Bank AG |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 12/16/24<sup>(i)</sup> | GBP | 100 | 112253 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 3.04%), 3.55%, 09/18/31<sup>(b)</sup> | USD | 1755 | 1406963 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SONIA + 1.94%),<br>4.00%, 06/24/26<sup>(b)(i)</sup> | GBP | 100 | 113166 |
|  Douglas GmbH, 6.00%, 04/08/26<sup>(a)</sup> | EUR | 702 | 627540 |
|  Kirk Beauty SUN GmbH, (8.25% Cash or 9.00% PIK), 8.25%, 10/01/26<sup>(a)(j)</sup> |  | 857 | 553836 |
|  |  |  | 6633386 |
| **Hong Kong<sup>(d)(k)</sup> — 0.0%** |  |  |  |
|  Yango Justice International Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.25%, 09/15/22 | USD | 1200 | 24000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 04/15/24<sup>(i)</sup> |  | 2000 | 30000 |
|  |  |  | 54000 |
| **India<sup>(i)</sup> — 0.0%** |  |  |  |
|  Adani Green Energy Ltd., 4.38%, 09/08/24 |  | 549 | 495919 |
|  ReNew Power Pvt Ltd., 5.88%, 03/05/27 |  | 200 | 191100 |
|  Vedanta Resources Finance II PLC, 13.88%, 01/21/24 |  | 200 | 173412 |
|  |  |  | 860431 |
| **Indonesia<sup>(i)</sup> — 0.1%** |  |  |  |
|  Freeport Indonesia PT, 4.76%, 04/14/27 |  | 1005 | 963654 |
|  Medco Oak Tree Pte. Ltd., 7.38%, 05/14/26 |  | 300 | 284625 |
|  Pertamina Persero PT, 3.65%, 07/30/29 |  | 1150 | 1049501 |
|  Theta Capital Pte. Ltd., 8.13%, 01/22/25 |  | 200 | 150788 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2448568 |
| **Isle of Man — 0.1%** |  |  |  |
|  AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30 |  | 1172 | 1016930 |
| **Israel — 0.1%** |  |  |  |
|  Leviathan Bond Ltd., 5.75%, 06/30/23<sup>(a)(i)</sup> |  | 1110 | 1102464 |
| **Italy — 0.4%** |  |  |  |
|  Fiber Bidco Spa |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.95%, 10/25/27 | EUR | 695 | 736869 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.00%, 10/25/27 |  | 1050 | 1186482 |
|  Forno d'Asolo SpA, (3 mo. EURIBOR + 5.50%), 7.70%, 04/30/27<sup>(a)(b)</sup> |  | 3040 | 2863667 |
|  Marcolin SpA, 6.13%, 11/15/26<sup>(a)</sup> |  | 928 | 854304 |
|  Shiba Bidco SpA, 4.50%, 10/31/28<sup>(a)</sup> |  | 1882 | 1723309 |
|  |  |  | 7364631 |
| **Japan — 0.1%** |  |  |  |
|  Takeda Pharmaceutical Co. Ltd., 2.05%, 03/31/30 | USD | 3300 | 2693623 |
| **Jersey — 0.1%** |  |  |  |
|  Aptiv PLC/Aptiv Corp., 3.25%, 03/01/32 |  | 3000 | 2453878 |
|  Wheel Bidco Ltd., 6.75%, 07/15/26<sup>(a)</sup> | GBP | 360 | 347960 |
|  |  |  | 2801838 |
| **Kuwait — 0.0%** |  |  |  |
|  NBK Tier 1 Ltd., (6 year CMT + 2.88%), 3.63%<sup>(a)(b)(l)</sup> | USD | 961 | 836551 |
| **Luxembourg — 0.4%** |  |  |  |
|  Atento Luxco 1 SA, 8.00%, 02/10/26<sup>(a)</sup> |  | 202 | 107982 |
|  EIG Pearl Holdings SARL, 3.55%, 08/31/36<sup>(a)</sup> |  | 1072 | 899006 |
|  FEL Energy VI SARL, 5.75%, 12/01/40 |  | 567 | 482592 |
|  Garfunkelux Holdco 3 SA<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 11/01/25 | EUR | 1088 | 928516 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 11/01/25 | GBP | 2328 | 2186738 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Luxembourg (continued)** |  |  |  |
|  Gol Finance SA, 8.00%, 06/30/26<sup>(a)</sup> | USD | 423 | $249782 |
|  Herens Midco SARL, 5.25%, 05/15/29<sup>(a)</sup> | EUR | 1006 | 743748 |
|  Kenbourne Invest SA, 4.70%, 01/22/28<sup>(a)</sup> | USD | 340 | 264733 |
|  MC Brazil Downstream Trading SARL, 7.25%, 06/30/31<sup>(a)</sup> |  | 1037 | 850988 |
|  Sani/Ikos Financial Holdings 1 SARL, 5.63%, 12/15/26<sup>(a)</sup> | EUR | 718 | 710939 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7425024 |
| **Macau — 0.0%** |  |  |  |
|  MGM China Holdings Ltd., 5.88%, 05/15/26<sup>(i)</sup> | USD | 250 | 231531 |
| **Mauritius — 0.1%** |  |  |  |
|  CA Magnum Holdings, 5.38%, 10/31/26<sup>(i)</sup> |  | 200 | 181026 |
|  HTA Group Ltd., 7.00%, 12/18/25<sup>(a)</sup> |  | 1143 | 1049274 |
|  India Cleantech Energy, 4.70%, 08/10/26<sup>(a)</sup> |  | 406 | 347355 |
|  India Green Energy Holdings, 5.38%, 04/29/24<sup>(a)</sup> |  | 281 | 270462 |
|  |  |  | 1848117 |
| **Mexico — 0.5%** |  |  |  |
|  Alpek SAB de CV, 3.25%, 02/25/31<sup>(a)</sup> |  | 734 | 609816 |
|  Axtel SAB de CV, 6.38%, 11/14/24<sup>(a)</sup> |  | 620 | 505610 |
|  Braskem Idesa SAPI, 6.99%, 02/20/32<sup>(a)</sup> |  | 668 | 475950 |
|  Comision Federal de Electricidad, 4.88%, 01/15/24 |  | 983 | 971511 |
|  Grupo Bimbo SAB de CV, (5 year CMT + 3.28%), 5.95%<sup>(a)(b)(l)</sup> |  | 585 | 579625 |
|  Grupo KUO SAB De CV, 5.75%, 07/07/27<sup>(a)</sup> |  | 585 | 545622 |
|  Mexico City Airport Trust, 5.50%, 07/31/47<sup>(i)</sup> |  | 613 | 472010 |
|  Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25<sup>(a)</sup> |  | 1475 | 729480 |
|  Petroleos Mexicanos |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 03/13/27 |  | 1397 | 1269524 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 06/02/29 |  | 972 | 909610 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 01/28/31 |  | 1189 | 898884 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.70%, 02/16/32 |  | 1116 | 874665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 01/23/45 |  | 155 | 95674 |
|  Trust Fibra Uno, 5.25%, 01/30/26<sup>(a)</sup> |  | 495 | 478541 |
|  |  |  | 9416522 |
| **Morocco — 0.1%** |  |  |  |
|  OCP SA, 3.75%, 06/23/31<sup>(i)</sup> |  | 1217 | 1014141 |
| **MultiNational<sup>(a)</sup> — 0.1%** |  |  |  |
|  Connect Finco SARL/Connect U.S. Finco LLC, 10/01/26 |  | 1050 | 973098 |
|  Promigas SA ESP/Gases del Pacifico SAC, 3.75%, 10/16/29 |  | 200 | 162750 |
|  |  |  | 1135848 |
| **Netherlands — 0.4%** |  |  |  |
|  Braskem Netherlands Finance BV, 4.50%, 01/31/30<sup>(i)</sup> |  | 556 | 469820 |
|  Cooperatieve Rabobank UA, (1 year UK Government Bond + 1.05%), 1.88%, 07/12/28<sup>(b)(i)</sup> | GBP | 100 | 102434 |
|  Equate Petrochemical BV |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/03/26<sup>(i)</sup> | USD | 497 | 474262 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 04/28/28<sup>(a)</sup> |  | 405 | 351540 |
|  ING Groep NV, 3.00%, 02/18/26<sup>(i)</sup> | GBP | 100 | 112450 |
|  Metinvest BV<sup>(i)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 04/23/26 | USD | 669 | 346542 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.65%, 10/01/27 |  | 682 | 349951 |
|  NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, 05/01/30 |  | 3260 | 2802174 |

---

S C H E D U L E O F I N V E S T M E N T S 19

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Netherlands (continued)** |  |  |  |
|  Titan Holdings II BV, 5.13%, 07/15/29<sup>(a)</sup> | EUR | 566 | $472582 |
|  Vivo Energy Investments BV |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 09/24/27<sup>(a)</sup> | USD | 1540 | 1372333 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 09/24/27 |  | 913 | 813597 |
|  Volkswagen Financial Services NV, 1.88%, 12/03/24<sup>(i)</sup> | GBP | 100 | 112807 |
|  |  |  | 7780492 |
| **Oman — 0.0%** |  |  |  |
|  OQ SAOC, 5.13%, 05/06/28<sup>(a)</sup> | USD | 592 | 558256 |
| **Panama — 0.1%** |  |  |  |
|  Aeropuerto Internacional de Tocumen SA, 5.13%, 08/11/61<sup>(a)</sup> |  | 677 | 553997 |
|  AES Panama Generation Holdings SRL, 4.38%, 05/31/30<sup>(i)</sup> |  | 565 | 487242 |
|  |  |  | 1041239 |
| **Paraguay — 0.0%** |  |  |  |
|  Frigorifico Concepcion SA, 7.70%, 07/21/28<sup>(a)</sup> |  | 316 | 252662 |
| **Peru — 0.0%** |  |  |  |
|  Inkia Energy Ltd., 5.88%, 11/09/27<sup>(i)</sup> |  | 438 | 411118 |
|  Nexa Resources SA, 5.38%, 05/04/27<sup>(a)</sup> |  | 292 | 273713 |
|  |  |  | 684831 |
| **Saudi Arabia — 0.1%** |  |  |  |
|  Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26<sup>(a)</sup> |  | 1562 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1414391 |
| **Singapore — 0.1%** |  |  |  |
|  Puma International Financing SA |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 10/06/24<sup>(a)</sup> |  | 585 | 541125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/24/26<sup>(i)</sup> |  | 719 | 618475 |
|  |  |  | 1159600 |
| **South Africa — 0.1%** |  |  |  |
|  Sasol Financing USA LLC, 6.50%, 09/27/28 |  | 1198 | 1082543 |
| **Spain<sup>(i)</sup> — 0.1%** |  |  |  |
|  AI Candelaria Spain SA, 7.50%, 12/15/28 |  | 517 | 489834 |
|  Banco Santander SA, (1 year UK Government Bond + 1.80%), 3.13%, 10/06/26<sup>(b)</sup> | GBP | 400 | 447344 |
|  Telefonica Emisiones SA, 5.38%, 02/02/26 |  | 200 | 240881 |
|  |  |  | 1178059 |
| **Sweden — 0.0%** |  |  |  |
|  Swedbank AB, (1 year UK Government Bond + 1.00%), 1.38%, 12/08/27<sup>(b)(i)</sup> |  | 100 | 102961 |
| **Switzerland — 0.1%** |  |  |  |
|  UBS Group AG, (1 year CMT + 0.83%), 1.01%, 07/30/24<sup>(a)(b)</sup> | USD | 1697 | 1650072 |
| **United Arab Emirates<sup>(i)</sup> — 0.1%** |  |  |  |
|  DP World Salaam, (5 year CMT + 5.75%), 6.00%<sup>(b)(l)</sup> |  | 1060 | 1046750 |
|  MAF Sukuk Ltd., 4.64%, 05/14/29 |  | 847 | 821749 |
|  |  |  | 1868499 |
| **United Kingdom — 0.7%** |  |  |  |
|  Avianca Midco 2 PLC, 9.00%, 12/01/28<sup>(a)</sup> |  | 763 | 556943 |
|  Barclays PLC<sup>(i)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/08/26 | GBP | 100 | 109648 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/12/27 |  | 100 | 108337 |
|  BCP V Modular Services Finance II PLC, 6.13%, 11/30/28<sup>(a)</sup> |  | 2355 | 2378021 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United Kingdom (continued)** |  |  |  |
|  BCP V Modular Services Finance PLC, 6.75%, 11/30/29<sup>(a)</sup> | EUR | 3137 | $2468130 |
|  BG Energy Capital PLC, 5.13%, 12/01/25<sup>(i)</sup> | GBP | 200 | 242951 |
|  Deuce Finco PLC, 5.50%, 06/15/27<sup>(a)</sup> |  | 1856 | 1784952 |
|  HSBC Holdings PLC, (1 day SONIA + 1.31%), 1.75%, 07/24/27<sup>(b)</sup> |  | 100 | 103912 |
|  Informa PLC, 3.13%, 07/05/26<sup>(i)</sup> |  | 100 | 109136 |
|  Inspired Entertainment Financing PLC, 7.88%, 06/01/26<sup>(a)</sup> |  | 675 | 758918 |
|  Kane Bidco Ltd.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/15/27 | EUR | 615 | 562890 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 02/15/27 | GBP | 699 | 701397 |
|  Liquid Telecommunications Financing PLC, 5.50%, 09/04/26<sup>(a)</sup> | USD | 806 | 577197 |
|  Lloyds Banking Group PLC, 2.25%, 10/16/24<sup>(i)</sup> | GBP | 200 | 229381 |
|  NatWest Group PLC<sup>(b)(i)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year SONIA + 1.49%), 2.88%, 09/19/26 |  | 100 | 110939 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year SONIA + 2.01%), 3.13%, 03/28/27 |  | 100 | 110203 |
|  Santander U.K. Group Holdings PLC, 3.63%, 01/14/26<sup>(i)</sup> |  | 100 | 112506 |
|  Vedanta Resources Finance II PLC, 8.95%, 03/11/25<sup>(a)</sup> | USD | 1348 | 911585 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11937046 |
| **United States — 9.1%** |  |  |  |
|  AbbVie, Inc., 3.20%, 11/21/29 |  | 3265 | 2943313 |
|  Affinity Gaming, 6.88%, 12/15/27<sup>(a)</sup> |  | 1000 | 847839 |
|  Alexandria Real Estate Equities, Inc., 2.95%, 03/15/34 |  | 2370 | 1920900 |
|  Allegiant Travel Co., 8.50%, 02/05/24<sup>(a)</sup> |  | 5000 | 4987500 |
|  American Tower Corp., 2.70%, 04/15/31 |  | 3010 | 2450000 |
|  Amgen, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/07/26<sup>(i)</sup> | GBP | 100 | 123342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 08/18/29 | USD | 3355 | 3135328 |
|  Amkor Technology, Inc., 6.63%, 09/15/27<sup>(a)</sup> |  | 350 | 346366 |
|  Anheuser-Busch InBev Worldwide, Inc., 3.50%, 06/01/30 |  | 3045 | 2771944 |
|  AT&T, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 12/04/26 | GBP | 200 | 222838 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/15/27<sup>(i)</sup> |  | 100 | 121734 |
|  Azul Investments LLP, 7.25%, 06/15/26<sup>(a)</sup> | USD | 295 | 180743 |
|  Bank of America Corp., (1 day SOFR + 1.53%), 1.90%, 07/23/31<sup>(b)</sup> |  | 3340 | 2563468 |
|  Bank of New York Mellon Corp., (1 day SOFR + 2.07%), 5.83%, 10/25/33 |  | 2285 | 2368617 |
|  Baxter International, Inc., 2.54%, 02/01/32 |  | 2830 | 2248133 |
|  Broadcom, Inc., 3.42%, 04/15/33<sup>(a)</sup> |  | 2615 | 2096466 |
|  California Resources Corp., 7.13%, 02/01/26<sup>(a)</sup> |  | 583 | 560286 |
|  Caresyntax, Inc., 15.00%, 12/31/24 |  | 200 | 199502 |
|  Carrols Restaurant Group, Inc., 5.88%, 07/01/29<sup>(a)</sup> |  | 220 | 154190 |
|  Cinemark Holdings, Inc., 4.50%, 08/15/25 |  | 4035 | 3853742 |
|  Citigroup, Inc., 1.75%, 10/23/26 | GBP | 200 | 212745 |
|  CVS Health Corp., 1.88%, 02/28/31 | USD | 2285 | 1792362 |
|  Dollar General Corp., 3.50%, 04/03/30 |  | 2015 | 1812786 |
|  Ecolab, Inc., 4.80%, 03/24/30 |  | 2000 | 1979793 |
|  Elevance Health, Inc., 2.55%, 03/15/31 |  | 2945 | 2474173 |
|  Flyr Convertible Notes, 8.00%, 07/20/23<sup>(c)</sup> |  | 2187 | 2371615 |
|  Flyr Secured Notes, 10.00%, 01/20/27<sup>(c)</sup> |  | 1113 | 1029525 |
|  Forestar Group, Inc., 5.00%, 03/01/28<sup>(a)</sup> |  | 2600 | 2230708 |
|  Freed Corp., 10.00%, 12/02/23<sup>(c)</sup> |  | 5808 | 5590224 |

---

20 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  Freedom Mortgage Corp.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 11/15/24 | USD | 1409 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1296280 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 04/15/25 |  | 2616 | 2353032 |
|  FreeWire Technologies, Inc., 12.59%, 03/31/25<sup>(c)</sup> |  | 2309 | 2118293 |
|  Frontier Communications Holdings LLC<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 10/15/27 |  | 1128 | 1047427 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 05/01/29 |  | 737 | 609691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 05/15/30 |  | 1000 | 1016749 |
|  Frontier Florida LLC, Series E, 6.86%, 02/01/28 |  | 760 | 699831 |
|  Full House Resorts, Inc., 8.25%, 02/15/28<sup>(a)</sup> |  | 230 | 203621 |
|  Gen Digital, Inc., 7.13%, 09/30/30<sup>(a)</sup> |  | 45 | 44212 |
|  General Mills, Inc., 2.88%, 04/15/30 |  | 3210 | 2773203 |
|  General Motors Co., 5.60%, 10/15/32 |  | 1265 | 1175180 |
|  Goldman Sachs Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 04/10/28 | GBP | 100 | 129748 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.09%), 1.99%, 01/27/32<sup>(b)</sup> | USD | 3150 | 2399722 |
|  GoTo Group, Inc., 5.50%, 09/01/27<sup>(a)</sup> |  | 1275 | 685723 |
|  HCA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/01/30 |  | 132 | 113847 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/15/32<sup>(a)</sup> |  | 2120 | 1793846 |
|  Home Depot, Inc., 1.38%, 03/15/31 |  | 3020 | 2339523 |
|  Homes By West Bay LLC, 9.50%, 04/30/27<sup>(c)</sup> |  | 5256 | 4776653 |
|  Howard Hughes Corp.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 02/01/29 |  | 1002 | 839175 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 02/01/31 |  | 1102 | 891594 |
|  Howmet Aerospace, Inc., 6.88%, 05/01/25 |  | 115 | 118010 |
|  Humana, Inc., 2.15%, 02/03/32 |  | 2300 | 1794764 |
|  JPMorgan Chase & Co.<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SONIA + 0.68%), 0.99%, 04/28/26<sup>(i)</sup> | GBP | 200 | 218376 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. SOFR + 1.11%), 1.76%, 11/19/31 | USD | 3170 | 2403077 |
|  Kraft Heinz Foods Co., 3.75%, 04/01/30 |  | 3150 | 2868543 |
|  Lightning eMotors, Inc., 7.50%, 05/15/24<sup>(a)</sup> |  | 945 | 189000 |
|  Lions Gate Capital Holdings LLC, 5.50%, 04/15/29<sup>(a)</sup> |  | 170 | 98565 |
|  Lowe's Cos., Inc., 2.63%, 04/01/31 |  | 2960 | 2452543 |
|  Maxar Technologies, Inc., 7.75%, 06/15/27<sup>(a)</sup> |  | 636 | 660316 |
|  MCM Trust, 1.00%, 01/01/59<sup>(c)</sup> |  | 4249 | 4097543 |
|  Merck & Co., Inc., 2.15%, 12/10/31 |  | 1360 | 1110568 |
|  Morgan Stanley, (1 day SOFR + 1.02%), 1.93%, 04/28/32<sup>(b)</sup> |  | 3055 | 2305079 |
|  Nationstar Mortgage Holdings, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/27 |  | 242 | 216590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 08/15/28 |  | 1128 | 919784 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/15/31 |  | 488 | 379420 |
|  Newmont Corp., 2.60%, 07/15/32 |  | 2720 | 2165423 |
|  NRG Energy, Inc., 5.75%, 01/15/28 |  | 250 | 234667 |
|  NVIDIA Corp., 2.00%, 06/15/31 |  | 2895 | 2318677 |
|  Oracle Corp., 6.15%, 11/09/29 |  | 3000 | 3113898 |
|  Pacific Gas and Electric Co., 4.50%, 07/01/40 |  | 42 | 33217 |
|  Parsley Energy LLC/Parsley Finance Corp., 4.13%, 02/15/28<sup>(a)</sup> |  | 1275 | 1170895 |
|  Pitney Bowes, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 03/15/27 |  | 2080 | 1778171 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 03/15/29 |  | 1858 | 1452975 |
|  Republic Services, Inc., 1.45%, 02/15/31 |  | 3080 | 2374436 |
|  Sabre Global, Inc.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 04/15/25 |  | 871 | 867627 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 09/01/25 |  | 350 | 336364 |
|  Sasol Financing USA LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 09/18/26 |  | 404 | 356984 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  Sasol Financing USA LLC (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/18/31 | USD | 954 | $772323 |
|  Service Properties Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/15/23 |  | 1335 | 1311894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 10/01/24 |  | 190 | 172724 |
|  Sitio Royalties Corp., 1.00%, 09/21/26<sup>(c)</sup> |  | 7950 | 7801335 |
|  Stem, Inc., 0.50%, 12/01/28<sup>(a)</sup> |  | 200 | 125760 |
|  Stillwater Mining Co., 4.00%, 11/16/26<sup>(i)</sup> |  | 1071 | 941342 |
|  Talen Energy Supply LLC<sup>(a)(d)(k)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 05/15/27 |  | 2904 | 3005640 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 01/15/28 |  | 2138 | 2186105 |
|  Tap Rock Resources LLC, 7.00%, 10/01/26<sup>(a)</sup> |  | 1444 | 1343064 |
|  Tenet Healthcare Corp., 4.25%, 06/01/29<sup>(a)</sup> |  | 4566 | 3955526 |
|  Texas Capital Bank NA, (3 mo. LIBOR US + 4.50%), 8.17%, 09/30/24<sup>(a)(b)</sup> |  | 3800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3683113 |
|  T-Mobile USA, Inc., 03/15/32 |  | 2955 | 2387478 |
|  Union Pacific Corp., 2.40%, 02/05/30 |  | 2000 | 1710967 |
|  United Wholesale Mortgage LLC, 5.75%, 06/15/27<sup>(a)</sup> |  | 741 | 637920 |
|  UnitedHealth Group, Inc., 4.20%, 05/15/32 |  | 2430 | 2306714 |
|  Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 02/15/25<sup>(a)</sup> |  | 45 | 43555 |
|  Univision Communications, Inc., 7.38%, 06/30/30<sup>(a)</sup>  |  | 250 | 238925 |
|  Verizon Communications, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 11/03/28 | GBP | 100 | 96926 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 03/21/31 | USD | 3000 | 2467076 |
|  Viasat, Inc., 5.63%, 04/15/27<sup>(a)</sup> |  | 237 | 215279 |
|  VICI Properties LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 05/15/32 |  | 1885 | 1745416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 05/15/52 |  | 689 | 609469 |
|  VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25<sup>(a)</sup> |  | 3880 | 3719950 |
|  Walt Disney Co., 3.80%, 03/22/30 |  | 3055 | 2847323 |
|  Waste Management, Inc., 4.15%, 04/15/32 |  | 1875 | 1784003 |
|  Western Digital Corp., 4.75%, 02/15/26 |  | 317 | 298525 |
|  Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, 03/01/25<sup>(a)</sup> |  | 1134 | 1076558 |
|  Xerox Holdings Corp., 5.00%, 08/15/25<sup>(a)</sup> |  | 2080 | 1914723 |
|  |  |  | 166332677 |
|  **Total Corporate Bonds — 15.0%<br>(Cost: $307,684,442)** | **Total Corporate Bonds — 15.0%<br>(Cost: $307,684,442)** | **Total Corporate Bonds — 15.0%<br>(Cost: $307,684,442)** | 273497792 |
|  **Floating Rate Loan Interests<sup>(b)</sup>** |  |  |  |
| **Australia<sup>(c)</sup> — 0.0%** |  |  |  |
|  Oceana Australian Fixed Income Trust, A Note Upsize |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 01/21/24 | AUD | 810 | 541837 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 03/28/26 |  | 100 | 66383 |
|  |  |  | 608220 |
| **Belgium — 0.2%** |  |  |  |
|  Apollo Finco, 2021 EUR Term Loan B, (6 mo. EURIBOR + 4.85%), 7.60%, 10/01/28 | EUR | 3566 | 2977434 |

---

S C H E D U L E O F I N V E S T M E N T S 21

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Canada — 0.0%** |  |  |  |
|  Great Canadian Gaming Corp., 2021 Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.75%, 11/01/26 | USD | 274 | $269012 |
|  Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3 mo. SOFRTE + 6.00%, 1.00% Floor), 10.51%, 12/22/26 |  | 517 | 497401 |
|  |  |  | 766413 |
| **Cayman Islands — 0.3%** |  |  |  |
|  Vita Global Finco Ltd., EUR Term Loan B, (6 mo. EURIBOR + 7.00%), 9.44%, 07/06/27<sup>(c)</sup> | EUR | 4945 | 5028706 |
| **Jersey — 0.2%** |  |  |  |
|  Vita Global FinCo Ltd., GBP Incremental Term Loan, (1 day SONIA + 7.00%), 8.69%, 07/06/27<sup>(c)</sup> | GBP | 3028 | 3477151 |
| **Luxembourg<sup>(c)</sup> — 0.3%** |  |  |  |
|  Luxembourg Life Fund |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 1st Lien Term Loan, (3 mo. LIBOR + 9.25%), 13.98%, 05/27/26 | USD | 2920 | 3171133 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 Term Loan, (3 mo. LIBOR + 9.25%), 13.93%, 04/01/23 |  | 2062 | 2059460 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5230593 |
| **United Kingdom — 0.0%** |  |  |  |
|  GVC Holdings Ltd., 2021 USD Term Loan B4, (3 mo. LIBOR + 2.50%, 0.50% Floor), 7.23%, 03/29/27 |  | — <sup>(m)</sup> | 537 |
| **United States — 6.3%** |  |  |  |
|  Altar Bidco, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 2nd Lien Term Loan, 02/01/30<sup>(n)</sup> |  | 1180 | 1000050 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 Term Loan, (6 mo. SOFRTE + 3.10%), 6.61%, 02/01/29 |  | 563 | 536927 |
|  American Auto Auction Group LLC, 2021 Term Loan B, (3 mo. SOFRTE + 5.00%, 0.75% Floor), 9.73%, 12/30/27 |  | 2969 | 2283169 |
|  American Rock Salt Co. LLC, 2021 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 8.38%, 06/09/28 |  | 428 | 401009 |
|  AMF MF Portfolio, Term Loan, 6.67%, 11/01/28<sup>(c)</sup> |  | 2975 | 2934990 |
|  Bally's Corp., 2021 Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.54%, 10/02/28 |  | 2473 | 2282204 |
|  City Brewing Co. LLC, Closing Date Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.79%, 04/05/28 |  | 701 | 299540 |
|  CML Hyatt Lost Pines, Term Loan, (1 mo. LIBOR + 3.43%), 7.70%, 09/09/26<sup>(c)</sup> |  | 5000 | 4885935 |
|  CML La Quinta Resort, Term Loan, (3 mo. LIBOR + 3.20%), 7.97%, 12/09/26<sup>(c)</sup> |  | 6800 | 6598310 |
|  CML ST Regis Aspen, Term Loan, (1 mo. LIBOR + 2.90%, 1.00% Floor), 7.24%, 02/09/27<sup>(c)</sup> |  | 5100 | 4887654 |
|  Conair Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 0.50% Floor), 8.48%, 05/17/28 |  | 420 | 351067 |
|  ConnectWise LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 09/29/28 |  | 790 | 748784 |
|  Cypher Bidco, EUR Term Loan, (6 mo. EURIBOR + 4.50%), 6.61%, 03/01/28<sup>(c)</sup> | EUR | 1828 | 1809696 |
|  Digital Room Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 5.25%, 0.50% Floor), 9.63%, 12/21/28 | USD | 977 | 836231 |
|  DirecTV Financing LLC, Term Loan, (1 mo. LIBOR + 5.00%, 0.75% Floor), 9.38%, 08/02/27 |  | 1573 | 1528435 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  DS Parent, Inc., Term Loan, (3 mo. LIBOR + 5.75%, 0.75% Floor), 10.48%, 12/10/28 | USD | 1495 | $1421163 |
|  Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 3.25%), 7.64%, 02/06/26 |  | 246 | 243561 |
|  ECL Entertainment LLC, Term Loan, (1 mo. LIBOR + 7.50%, 0.75% Floor), 11.88%, 05/01/28 |  | 3606 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3594077 |
|  EIS Buyer, Inc., Revolver, 09/01/27<sup>(c)(n)</sup> |  | 373 | 363102 |
|  EIS Group, Inc., Term Loan, (3 mo. SOFR CME + 0.00%), 4.39%, 05/01/28<sup>(c)</sup> |  | 3734 | 3631020 |
|  Emerald Electronics Manufacturing Services, Term Loan, (1 mo. SOFRTE + 6.25%, 1.00% Floor), 10.67%, 12/29/27 |  | 1160 | 1090247 |
|  Galaxy Universal LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.75%, 1.00% Floor), 9.07%, 11/12/26<sup>(c)</sup> |  | 13191 | 12894543 |
|  GoTo Group, Inc., Term Loan B, (1 mo. LIBOR + 4.75%), 9.14%, 08/31/27 |  | 861 | 550224 |
|  Green Plains Operating Co. LLC, Term Loan, (3 mo. LIBOR + 8.00%), 10.51%, 07/20/26<sup>(c)</sup> |  | 7098 | 7000757 |
|  Herschend Entertainment Co. LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.50% Floor), 8.19%, 08/27/28 |  | 390 | 385650 |
|  Hydrofarm Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 5.50%, (4.50)% Floor), 9.89%, 09/27/28<sup>(c)</sup> |  | 1917 | 1629144 |
|  IPS Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 10/02/28 |  | 253 | 225086 |
|  J&J Ventures Gaming LLC, Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.73%, 04/26/28 |  | 1433 | 1368625 |
|  Jack Ohio Finance LLC, Term Loan, (1 mo. LIBOR + 4.75%, 0.75% Floor), 9.13%, 10/04/28<sup>(c)</sup> |  | 569 | 555744 |
|  LBM Acquisition LLC, Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 7.12%, 12/17/27 |  | 2891 | 2499489 |
|  LSF11 A5 Holdco LLC, Term Loan, (1 mo. SOFRTE + 3.50%, 0.50% Floor), 8.05%, 10/15/28 |  | 1427 | 1376906 |
|  Maverick Gaming LLC, Term Loan B, (3 mo. LIBOR + 7.50%, 1.00% Floor), 12.23%, 09/03/26 |  | 935 | 748130 |
|  Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 0.50% Floor), 11.38%, 11/01/29 |  | 1052 | 967840 |
|  Medline Borrower LP, USD Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 10/23/28 |  | 3651 | 3465113 |
|  MIP V Waste Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 12/08/28 |  | 1502 | 1478497 |
|  Naked Juice LLC, 2nd Lien Term Loan, (3 mo. SOFRTE + 6.00%, 0.50% Floor), 10.68%, 01/24/30 |  | 141 | 110905 |
|  Opendoor GP II LLC, Mezzanine Term Loan, 10.00%, 01/23/26<sup>(c)</sup> |  | 4442 | 4148991 |
|  OVG Business Services LLC, Initial Term Loan, (1 mo. LIBOR + 6.25%, 1.00% Floor), 10.64%, 10/13/28<sup>(c)</sup> |  | 5208 | 4843112 |
|  Park River Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.25%, 0.75% Floor), 6.99%, 12/28/27 |  | 1441 | 1252016 |
|  Profrac Services LLC, 2022 Term Loan, (3 mo. SOFRTE + 7.25%, 1.00% Floor), 11.10%, 03/04/25<sup>(c)</sup> |  | 1589 | 1629113 |

---

22 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  Project Ruby Ultimate Parent Corp., 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 7.63%, 03/10/28 | USD | 233 | $220198 |
|  Redstone Holdco 2 LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.75%, 0.75% Floor), 12.11%, 04/27/29 |  | 620 | 305741 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 9.11%, 04/27/28 |  | 1124 | 773393 |
|  SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.41%, 03/16/27 |  | 858 | 832077 |
|  Signal Parent, Inc., Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.89%, 04/03/28 |  | 2850 | 1698328 |
|  Sonder Secured Notes, 01/19/27<sup>(c)(n)</sup> |  | 9039 | 8146508 |
|  Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.75% Floor), 7.91%, 06/08/28 |  | 336 | 326600 |
|  SRS Distribution, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.50% Floor), 7.88%, 06/02/28 |  | 1854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1768866 |
|  Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 8.75%, 10/06/28 |  | 546 | 444615 |
|  Talen Energy Supply LLC, 2022 DIP Term Loan, (3 mo. SOFR CME + 4.75%, 0.75% Floor), 9.06%, 11/10/23 |  | 4613 | 4638971 |
|  Triton Water Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 8.23%, 03/31/28 |  | 1176 | 1089607 |
|  Ultimate Software Group, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 7.00%, 05/04/26 |  | 406 | 385513 |
|  Vaco Holdings LLC, 2022 Term Loan, (3 mo. SOFR CME + 5.00%), 9.73%, 01/21/29 |  | 1154 | 1109125 |
|  Valcour Packaging LLC, 2021 1st Lien Term Loan, (6 mo. LIBOR + 3.75%, 0.50% Floor), 7.98%, 10/04/28<sup>(c)</sup> |  | 425 | 348328 |
|  VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 7.38%, 02/28/27 |  | 253 | 244901 |
|  White Cap Buyer LLC, Term Loan B, (1 mo. SOFR CME + 3.75%), 8.07%, 10/19/27 |  | 4243 | 4095854 |
|  |  |  | 115285681 |
|  **Floating Rate Loan Interests — 7.3%<br>(Cost: $143,227,778)** | **Floating Rate Loan Interests — 7.3%<br>(Cost: $143,227,778)** | **Floating Rate Loan Interests — 7.3%<br>(Cost: $143,227,778)** | 133374735 |
|  **Foreign Agency Obligations** |  |  |  |
| **Bahrain — 0.0%** |  |  |  |
|  Bahrain Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 09/30/31<sup>(a)</sup> |  | 321 | 291869 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 09/16/32<sup>(i)</sup> |  | 457 | 401818 |
|  |  |  | 693687 |
| **Brazil — 0.5%** |  |  |  |
|  Brazil Letras do Tesouro Nacional, 0.00%, 07/01/24<sup>(o)</sup> | BRL | 54542 | 8614917 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Chile — 0.1%** |  |  |  |
|  Chile Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.34%, 03/07/42 | USD | 694 | $584608 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/31/52 |  | 290 | 223264 |
|  |  |  | 807872 |
| **Colombia — 0.3%** |  |  |  |
|  Colombia Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/28/26 |  | 497 | 466497 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 04/25/27 |  | 1733 | 1529697 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 04/15/31 |  | 2643 | 1958793 |
|  Republic of Colombia Senior Unsecured, 8.00%, 04/20/33 |  | 956 | 954088 |
|  |  |  | 4909075 |
| **Dominican Republic — 0.3%** |  |  |  |
|  Dominican Republic International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 01/29/26<sup>(i)</sup> |  | 604 | 608643 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 01/25/27<sup>(i)</sup> |  | 1307 | 1275387 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 07/19/28<sup>(i)</sup> |  | 342 | 327850 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 02/22/29<sup>(a)</sup> |  | 646 | 591615 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/30/30<sup>(a)</sup> |  | 1312 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1112986 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 09/23/32<sup>(a)</sup> |  | 1000 | 826750 |
|  |  |  | 4743231 |
| **Egypt<sup>(a)</sup> — 0.1%** |  |  |  |
|  Egypt Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 05/29/24 |  | 572 | 545545 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 01/31/47 |  | 400 | 264000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 02/16/61 |  | 400 | 244000 |
|  |  |  | 1053545 |
| **Guatemala — 0.1%** |  |  |  |
|  Guatemala Government Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/03/26<sup>(i)</sup> |  | 487 | 466698 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 08/10/29<sup>(a)</sup> |  | 477 | 457562 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 04/24/32<sup>(a)</sup> |  | 735 | 716304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/07/33<sup>(i)</sup> |  | 596 | 489391 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 10/07/41<sup>(a)</sup> |  | 551 | 440903 |
|  |  |  | 2570858 |
| **Hungary — 0.1%** |  |  |  |
|  Hungary Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 03/25/24 |  | 970 | 967757 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/16/29<sup>(a)</sup> |  | 973 | 925140 |
|  |  |  | 1892897 |
| **Ivory Coast — 0.1%** |  |  |  |
|  Ivory Coast Government International Bond, 6.38%, 03/03/28<sup>(i)</sup> |  | 1919 | 1856632 |
| **Mexico — 0.2%** |  |  |  |
|  Mexico Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/22/29 |  | 1050 | 1002750 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.66%, 05/24/31 |  | 1724 | 1392992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 05/19/33 |  | 971 | 894291 |
|  |  |  | 3290033 |
| **Morocco — 0.0%** |  |  |  |
|  Morocco Government International Bond, 2.38%, 12/15/27<sup>(a)</sup> |  | 547 | 473770 |

---

S C H E D U L E O F I N V E S T M E N T S 23

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Nigeria — 0.1%** |  |  |  |
|  Nigeria Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 03/24/29<sup>(a)</sup> | USD | 1051 | $867075 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 02/16/32<sup>(i)</sup> |  | 561 | 420750 |
|  |  |  | 1287825 |
| **Oman<sup>(i)</sup> — 0.2%** |  |  |  |
|  Oman Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 03/08/47 |  | 909 | 824918 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 01/17/48 |  | 1588 | 1478130 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 01/25/51 |  | 316 | 303913 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2606961 |
| **Panama — 0.2%** |  |  |  |
|  Panama Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 03/17/28 |  | 1910 | 1802323 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.38%, 04/01/29 |  | 498 | 591313 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.16%, 01/23/30 |  | 878 | 753873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.87%, 07/23/60 |  | 799 | 514756 |
|  |  |  | 3662265 |
| **Paraguay — 0.1%** |  |  |  |
|  Paraguay Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 03/13/48<sup>(i)</sup> |  | 529 | 459998 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 03/30/50<sup>(i)</sup> |  | 936 | 803673 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 03/30/50<sup>(a)</sup> |  | 643 | 552096 |
|  |  |  | 1815767 |
| **Peru — 0.1%** |  |  |  |
|  Corp. Financiera de Desarrollo SA, 4.75%, 07/15/25<sup>(i)</sup> |  | 963 | 929174 |
|  Peruvian Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 01/23/31 |  | 497 | 410895 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.86%, 12/01/32 |  | 850 | 620394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/15/34 |  | 504 | 396837 |
|  |  |  | 2357300 |
| **Romania — 0.2%** |  |  |  |
|  Romanian Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 11/25/27<sup>(a)</sup> |  | 972 | 929961 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 03/11/29<sup>(i)</sup> | EUR | 752 | 664258 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/08/30<sup>(i)</sup> |  | 790 | 652105 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.12%, 07/16/31<sup>(i)</sup> |  | 1258 | 925216 |
|  |  |  | 3171540 |
| **Saudi Arabia — 0.0%** |  |  |  |
|  Saudi Government International Bond, 2.25%, 02/02/33<sup>(i)</sup> | USD | 920 | 743073 |
| **Senegal — 0.0%** |  |  |  |
|  Senegal Government International Bond, 6.25%, 05/23/33<sup>(i)</sup> |  | 580 | 476253 |
| **South Africa — 0.1%** |  |  |  |
|  Republic of South Africa Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 09/30/29 |  | 440 | 390445 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 04/20/32 |  | 1080 | 970650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/12/46 |  | 1287 | 896717 |
|  |  |  | 2257812 |
| **Spain<sup>(a)(i)</sup> — 0.3%** |  |  |  |
|  Spain Government Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 10/31/31 | EUR | 1487 | 1238897 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Spain (continued)** |  |  |  |
|  Spain Government Bond (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 10/31/32 | EUR | 2103 | $2060361 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 07/30/66 |  | 2440 | 2328245 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5627503 |
| **Sri Lanka — 0.0%** |  |  |  |
|  Sri Lanka Government International Bond, 5.75%, 04/18/23<sup>(d)(i)(k)</sup> | USD | 300 | 89025 |
| **Ukraine<sup>(d)(k)</sup> — 0.0%** |  |  |  |
|  Ukraine Government International Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 09/01/25<sup>(i)</sup> |  | 515 | 115489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.99%, 02/01/26<sup>(i)</sup> |  | 1113 | 244373 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 03/15/35<sup>(a)</sup> |  | 955 | 178048 |
|  |  |  | 537910 |
|  **Total Foreign Agency Obligations — 3.1%<br>(Cost: $65,332,340)** | **Total Foreign Agency Obligations — 3.1%<br>(Cost: $65,332,340)** | **Total Foreign Agency Obligations — 3.1%<br>(Cost: $65,332,340)** | 55539751 |
|  |  | *Shares* |  |
|  **Investment Companies** | **Investment Companies** | **Investment Companies** | **Investment Companies** |
| **United States — 1.2%** |  |  |  |
|  Invesco QQQ Trust, Series 1 |  | 4100 | 1091748 |
|  iShares China Large-Cap ETF<sup>(p)</sup> |  | 31927 | 903534 |
|  iShares iBoxx High Yield Corporate Bond ETF<sup>(p)</sup> |  | 52660 | 3877356 |
|  iShares JP Morgan USD Emerging Markets Bond ETF<sup>(p)</sup> |  | 104479 | 8837878 |
|  iShares MSCI Brazil ETF<sup>(p)</sup> |  | 23271 | 650890 |
|  iShares Russell 2000 ETF<sup>(p)</sup> |  | 9800 | 1708728 |
|  KraneShares CSI China Internet ETF<sup>(d)</sup> |  | 56138 | 1695367 |
|  SPDR Bloomberg High Yield Bond ETF |  | 34464 | 3101760 |
|  VanEck Semiconductor ETF<sup>(d)</sup> |  | 2681 | 544082 |
|  **Total Investment Companies — 1.2%<br>(Cost: $24,336,158)** | **Total Investment Companies — 1.2%<br>(Cost: $24,336,158)** | **Total Investment Companies — 1.2%<br>(Cost: $24,336,158)** | 22411343 |
|  |  | *Par*<br> *(000)* |  |
|  **Municipal Bonds** |  |  |  |
| **Puerto Rico<sup>(b)</sup> — 0.1%** |  |  |  |
|  Commonwealth of Puerto Rico, GO |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 11/01/43 | USD | 420 | 183875 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 11/01/51 |  | 4668 | 1540617 |
|  Commonwealth of Puerto Rico, RB, 0.00%, 11/01/51 |  | 1977 | 639468 |
|  **Total Municipal Bonds — 0.1%<br>(Cost: $2,973,196)** |  |  | 2363960 |
|  **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **United States — 8.6%** |  |  |  |
|  245 Park Avenue Trust, Series 2017-245P, Class E, 3.66%, 06/05/37<sup>(a)(b)</sup> |  | 2000 | 1437831 |
|  Ajax Mortgage Loan Trust<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-G, Class A, 1.88%, 06/25/61<sup>(b)</sup> |  | 5165 | 4713259 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-G, Class B, 3.75%, 06/25/61<sup>(b)</sup> |  | 705 | 598769 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-G, Class C, 0.01%, 06/25/61 |  | 1276 | 1273589 |

---

24 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  BAMLL Commercial Mortgage Securities Trust<sup>(a)(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class D, (1 mo. LIBOR US + 1.70%), 6.02%, 09/15/34 | USD | 2000 | $1889767 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-200P, Class F, 3.60%, 04/14/33 |  | 3000 | 2437954 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-SCH, Class AL, (1 mo. LIBOR US + 0.90%), 5.22%, 11/15/32 |  | 2000 | 1825389 |
|  BFLD Trust, (1 mo. LIBOR US + 3.70%), 8.02%, 10/15/35<sup>(a)(b)</sup> |  | 790 | 643113 |
|  BX Commercial Mortgage Trust<sup>(a)(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-XL, Class J, (1 mo. SOFR CME + 2.76%), 7.10%, 10/15/36 |  | 3400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3231900 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VIV3, Class B, 3.54%, 03/09/44 |  | 1600 | 1287652 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VIVA, Class D, 3.55%, 03/11/44 |  | 2006 | 1502550 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VKNG, Class G, (1 mo. SOFR CME + 3.36%), 7.70%, 10/15/37 |  | 1610 | 1479947 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFM1, Class G, (1 mo. LIBOR US + 3.90%), 8.22%, 01/15/34 |  | 1780 | 1621777 |
|  BX Trust<sup>(a)(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ARIA, Class G, (1 mo. LIBOR US + 3.14%), 7.46%, 10/15/36 |  | 1450 | 1295484 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class GJV, (1 mo. LIBOR US + 3.00%), 7.32%, 02/15/36 |  | 688 | 596390 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class GV, (1 mo. LIBOR US + 3.00%), 7.32%, 02/15/36 |  | 1030 | 905215 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFM1, Class F, (1 mo. LIBOR US + 3.00%), 7.32%, 01/15/34 |  | 750 | 689864 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VIEW, Class E, (1 mo. LIBOR US + 3.60%), 7.92%, 06/15/36 |  | 897 | 813913 |
|  CFCRE Commercial Mortgage Trust, Series 2018- TAN, Class C, 5.29%, 02/15/33<sup>(a)</sup> |  | 1500 | 1444343 |
|  CFMT LLC, Series 2020-HB4, Class M4, 4.95%, 12/26/30<sup>(a)(b)</sup> |  | 3400 | 3148421 |
|  Citigroup Commercial Mortgage Trust<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C1, Class C, 4.94%, 05/10/49 |  | 1735 | 1534217 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PRM, Class E, 4.73%, 05/10/36<sup>(a)</sup> |  | 2000 | 1986346 |
|  Cold Storage Trust, Series 2020-ICE5, Class F, (1 mo. LIBOR US + 3.49%), 7.81%, 11/15/37<sup>(a)(b)</sup> . |  | 3932 | 3746660 |
|  Commercial Mortgage Trust<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR25, Class C, 4.52%, 08/10/48 |  | 2000 | 1784812 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-GC44, Class 180B, 3.40%, 08/15/57<sup>(a)</sup> |  | 1900 | 1669432 |
|  Credit Suisse Mortgage Capital Certificates Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 02/15/27 |  | 3400 | 3324346 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-ICE4, Class F, (1 mo. LIBOR US + 2.65%), 6.97%, 05/15/36<sup>(a)(b)</sup> |  | 4400 | 4204634 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-FACT, Class F, (1 mo. LIBOR US + 6.16%), 10.48%, 10/15/37<sup>(a)(b)</sup> |  | 1700 | 1553516 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-NET, Class D, 3.70%, 08/15/37<sup>(a)(b)</sup> |  | 1275 | 1124469 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-980M, Class E, 3.54%, 07/15/31<sup>(a)(b)</sup> . |  | 2410 | 1743599 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BHAR, Class E, (1 mo. LIBOR US + 3.50%), 7.82%, 11/15/38<sup>(a)(b)</sup> |  | 2500 | 2377056 |
|  CSAIL Commercial Mortgage Trust, Series 2018- CX12, Class C, 4.74%, 08/15/51<sup>(b)</sup> |  | 2300 | 1911166 |
|  CSMC Trust, Series 2020-FACT, Class E, (1 mo. LIBOR US + 4.86%), 9.18%, 10/15/37<sup>(a)(b)(c)</sup> |  | 1000 | 866700 |
|  Deephaven Residential Mortgage Trust, Series 2021-1, Class B2, 3.96%, 05/25/65<sup>(a)(b)</sup> |  | 1550 | 1120332 |
|  ELP Commercial Mortgage Trust, Series 2021-ELP, Class J, (1 mo. LIBOR US + 3.61%), 7.93%, 11/15/38<sup>(a)(b)</sup> |  | 692 | 630492 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  FREMF 2018-KW05 Trust, Series 2018-W5FX, Class CFX, 3.66%, 04/25/28<sup>(a)(b)</sup> | USD | 437 | $359746 |
|  GS Mortgage Securities Corp. II, Series 2022-ECI, Class D, (1 mo. SOFR CME + 4.19%), 8.53%, 08/15/39<sup>(a)(b)</sup> |  | 1920 | 1884986 |
|  GS Mortgage Securities Corp. Trust, Series 2021-IP, Class E, (1 mo. LIBOR US + 3.55%), 7.87%, 10/15/36<sup>(a)(b)</sup> |  | 1540 | 1449706 |
|  HONO Mortgage Trust<sup>(a)(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LULU, Class E, (1 mo. LIBOR US + 3.35%), 7.67%, 10/15/36 |  | 1080 | 977346 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LULU, Class F, (1 mo. LIBOR US + 4.40%), 8.72%, 10/15/36 |  | 1305 | 1176308 |
|  Imperial Fund Mortgage Trust, Series 2020-NQM1, Class B1, 4.00%, 10/25/55<sup>(a)(b)</sup> |  | 3602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2809675 |
|  JP Morgan Mortgage Trust<sup>(a)(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A3X, 0.50%, 06/25/51 |  | 52203 | 1430033 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class AX1, 0.13%, 06/25/51 |  | 211840 | 1235576 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class AX4, 0.40%, 06/25/51 |  | 13528 | 296409 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class B4, 3.03%, 06/25/51 |  | 824 | 493641 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class B5, 3.03%, 06/25/51 |  | 989 | 616580 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class B6, 2.91%, 06/25/51 |  | 1536 | 382288 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class B4, 2.90%, 08/25/51 |  | 1230 | 853412 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class B5, 2.90%, 08/25/51 |  | 922 | 528487 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class B6, 2.90%, 08/25/51 |  | 2214 | 521904 |
|  Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class M2, (1 mo. LIBOR US + 0.60%), 4.99%, 06/25/37<sup>(a)(b)</sup>  |  | 2735 | 2084214 |
|  MCM Trust, 3.00%, 08/25/28<sup>(c)</sup> |  | 2382 | 1581173 |
|  MED Trust, Series 2021, Class G, (1 mo. LIBOR US + 5.25%), 9.57%, 11/15/38<sup>(a)(b)</sup> |  | 6315 | 5770791 |
|  Morgan Stanley Capital I Trust, Series 2017-H1, Class C, 4.28%, 06/15/50<sup>(b)(c)</sup> |  | 1945 | 1711678 |
|  MSCG Trust, Series 2018-SELF, Class F, (1 mo. LIBOR US + 3.05%), 7.37%, 10/15/37<sup>(a)(b)</sup> |  | 2742 | 2553342 |
|  New Residential Mortgage Loan Trust<sup>(a)(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-RPL2, Class B3, 3.99%, 02/25/59 |  | 9329 | 9132656 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQ1R, Class B1, 3.53%, 07/25/55 |  | 1370 | 946154 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQ1R, Class B2, 4.33%, 07/25/55 |  | 1022 | 698063 |
|  One New York Plaza Trust, Series 2020-1NYP, Class D, (1 mo. LIBOR US + 2.75%), 7.07%, 01/15/36<sup>(a)(b)</sup> |  | 630 | 551390 |
|  Seasoned Credit Risk Transfer Trust, Series 2020-3, Class BXS, 5.52%, 05/25/60<sup>(a)(b)</sup> |  | 7648 | 3224259 |
|  Seasoned Loans Structured Transaction Trust<sup>(a)(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class M1, 4.75%, 09/25/60 |  | 10000 | 9455145 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class M1, 4.75%, 04/26/60 |  | 8000 | 7613659 |
|  SREIT Trust, Series 2021-MFP2, Class J, (1 mo. LIBOR US + 3.92%), 8.23%, 11/15/36<sup>(a)(b)</sup> |  | 1250 | 1092737 |
|  STAR Trust, Class B1, 3.52%, 05/25/65<sup>(a)(b)</sup> |  | 3758 | 2536681 |
|  Starwood Mortgage Residential Trust<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-INV, Class B1, 3.26%, 11/25/55 |  | 2540 | 2112852 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-INV, Class B2, 4.26%, 11/25/55 |  | 1225 | 1050584 |
|  TVC DSCR, 2.37%, 02/01/51<sup>(c)</sup> |  | 6614 | 6389530 |
|  UBS Commercial Mortgage Trust, Series 2018-C11, Class C, 4.90%, 06/15/51<sup>(b)</sup> |  | 671 | 560453 |
|  Verus Securitization Trust<sup>(a)(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5, Class B1, 3.71%, 05/25/65 |  | 2400 | 1838410 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5, Class B2, 4.71%, 05/25/65 |  | 1400 | 1062312 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R2, Class B1, 3.25%, 02/25/64 |  | 2735 | 1978273 |

---

S C H E D U L E O F I N V E S T M E N T S 25

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* | *Value* |
| **United States (continued)** |  |  |  |  |
|  WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA6, Class 1A, (12 mo. MTA + 0.81%), 2.86%, 07/25/47<sup>(b)</sup> | USD | 1215 | $| 967139 |
|  Wells Fargo Commercial Mortgage Trust<sup>(b)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C50, Class XA, 1.41%, 05/15/52 |  | 23252 |  | 1446223 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FCMT, Class D, (1 mo. LIBOR US + 3.50%), 7.82%, 05/15/31<sup>(a)</sup> |  | 750 |  | 666807 |
|  Western Alliance Bank, 10.22%, 12/30/24 |  | 12230 |  | 12221924 |
|  **Total Non-Agency Mortgage-Backed<br>Securities — 8.6%<br>(Cost: $171,453,333)** | **Total Non-Agency Mortgage-Backed<br>Securities — 8.6%<br>(Cost: $171,453,333)** | **Total Non-Agency Mortgage-Backed<br>Securities — 8.6%<br>(Cost: $171,453,333)** |  | &nbsp;&nbsp;&nbsp;&nbsp;156677450 |
|  | *Benefical<br>Interest (000)* | *Benefical<br>Interest (000)* |  |  |
|  **Other Interests** |  |  |  |  |
| **Canada — 0.3%** |  |  |  |  |
|  Sprott Private Resource Streaming<sup>(c)(q)</sup> | USD | 4640 |  | 6069584 |
|  **Total Other Interests — 0.3%<br>(Cost: $4,681,796)** |  |  |  | 6069584 |
|  |  | *Par*<br> *(000)* |  |  |
|  **Preferred Securities** |  |  |  |  |
| **Capital Trust — 0.1%** |  |  |  |  |
| **Mexico — 0.1%** |  |  |  |  |
|  Banco Mercantil del Norte SA,<br>6.75%<sup>(a)(b)(l)</sup> | USD | 913 |  | 889205 |
|  |  |  |  | 889205 |
|  |  | *Shares* |  |  |
| **Preferred Stocks — 3.3%** |  |  |  |  |
| **Germany — 0.5%** | **Germany — 0.5%** | **Germany — 0.5%** | **Germany — 0.5%** | **Germany — 0.5%** |
|  Dr Ing hc F Porsche AG<sup>(d)</sup> |  | 40630 |  | 4100116 |
|  Volocopter GMBH, (Acquired 03/03/21,<br>Cost: $4,145,649)<sup>(c)(e)</sup> |  | 780 |  | 4881397 |
|  |  |  |  | 8981513 |
| **Sweden — 0.0%** | **Sweden — 0.0%** | **Sweden — 0.0%** | **Sweden — 0.0%** | **Sweden — 0.0%** |
|  Volta, (Acquired 02/22/22,<br>Cost: $322,254)<sup>(c)(e)</sup> |  | 2732 |  | 350117 |
| **United Kingdom — 0.1%** | **United Kingdom — 0.1%** | **United Kingdom — 0.1%** | **United Kingdom — 0.1%** | **United Kingdom — 0.1%** |
|  10X Future Technologies Holdings Ltd., (Acquired 05/13/21,<br>Cost: $4,334,124)<sup>(c)(e)</sup> |  | 114500 |  | 1512983 |
| **United States<sup>(c)</sup> — 2.7%** | **United States<sup>(c)</sup> — 2.7%** | **United States<sup>(c)</sup> — 2.7%** | **United States<sup>(c)</sup> — 2.7%** | **United States<sup>(c)</sup> — 2.7%** |
|  Breeze Aviation Group, Inc., Series B, (Acquired 07/30/21,<br>Cost: $3,044,600)<sup>(e)</sup> |  | 5637 |  | 1607222 |
|  ByteDance Ltd., Series E-1, (Acquired 11/11/20,<br>Cost: $4,390,747)<sup>(e)</sup> |  | 40071 |  | 6603978 |
|  Caresyntax, Inc. |  | 7084 |  | 458547 |
|  Cruise, Series G, (Acquired 03/25/21, Cost: $1,886,159)<sup>(e)</sup> |  | 71581 |  | 1023608 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | <br> *Shares* | <br> *Shares* | *Value* |
| **United States (continued)** | **United States (continued)** | **United States (continued)** | **United States (continued)** |
|  Databricks, Inc., Series G, (Acquired 02/01/21,<br>Cost: $2,392,693)<sup>(e)</sup> |  | 40470 | $2071255 |
|  Deep Instinct Ltd.<sup>(e)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D-2, (Acquired 03/19/21,<br>Cost: $2,130,236) |  | 350490 | 2407866 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D-4, (Acquired 09/20/22,<br>Cost: $2,188,898) |  | 310467 | 2132908 |
|  Dream Finders Homes, Inc. |  | 10172 | 9269235 |
|  Exo Imaging, Inc., Series C, (Acquired 06/24/21,<br>Cost: $1,482,935)<sup>(e)</sup> |  | 253147 | 746784 |
|  Jumpcloud, Inc.<sup>(e)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E-1, (Acquired 10/30/20,<br>Cost: $2,052,443) |  | 1125428 | 4017778 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F, (Acquired 09/03/21,<br>Cost: $443,302) |  | 74023 | 264262 |
|  Lesson Nine GmbH, Series B |  | 489075 | 6250379 |
|  MNTN Digital, Inc., Series D, (Acquired 11/05/21,<br>Cost: $1,353,207)<sup>(e)</sup> |  | 58924 | 565670 |
|  Mythic AI, Inc., Series C, (Acquired 01/26/21,<br>Cost: $560,518)<sup>(e)</sup> |  | 81588 | 17949 |
|  Noodle Partners, Inc., Series C, (Acquired 08/26/21,<br>Cost: $1,751,669)<sup>(e)</sup> |  | 196272 | 1203147 |
|  PsiQuantum Corp., Series D, (Acquired 05/21/21,<br>Cost: $945,402)<sup>(e)</sup> |  | 36048 | 915980 |
|  Relativity Space, Inc., Series E, (Acquired 05/27/21,<br>Cost: $814,688)<sup>(e)</sup> |  | 35677 | 587600 |
|  SambaNova Systems, Inc., Series D, (Acquired 04/09/21,<br>Cost: $1,250,247)<sup>(e)</sup> |  | 13158 | 835401 |
|  Snorkel AI, Inc., Series C, (Acquired 06/30/21, Cost: $678,934)<sup>(e)</sup> |  | 45203 | 321845 |
|  Ursa Major Technologies, Inc.<sup>(e)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, (Acquired 09/13/21,<br>Cost: $1,732,297) |  | 290420 | 1925485 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, (Acquired 10/14/22,<br>Cost: $235,803) |  | 35579 | 235889 |
|  Verge Genomics, Inc., Series B, (Acquired 11/05/21,<br>Cost: $1,626,608)<sup>(e)</sup> |  | 305363 | 1444367 |
|  Versa Networks Inc., Series E, (Acquired 10/14/22,<br>Cost: $4,906,958)<sup>(e)</sup> |  | 1681498 | 4489600 |
|  Zero Mass Water, Inc., Series D, (Acquired 07/05/22,<br>Cost: $271,491)<sup>(e)</sup> |  | 6628 | 243115 |
|  |  |  | 49639870 |
|  |  |  | 60484483 |
|  **Total Preferred Securities — 3.4%<br>(Cost: $65,087,436)** |  |  | &nbsp;&nbsp;&nbsp;&nbsp;61373688 |
|  | *Par*<br> *(000)* | *Par*<br> *(000)* |  |
|  **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Mortgage-Backed Securities — 13.9%** |  |  |  |
|  Freddie Mac Multifamily Structured Pass Through Certificates, Series KL06, Class XFX, 1.36%, 12/25/29<sup>(b)</sup> | USD | 18250 | 1192501 |

---

26 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* | *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |  |  |
|  Uniform Mortgage-Backed Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/12/53 - 02/13/53<sup>(r)</sup> | USD | 152747 | $| 146981246 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/12/53 |  | 105603 |  | 104041916 |
|  **Total U.S. Government Sponsored Agency<br>Securities — 13.9%<br>(Cost: $253,699,439)** | **Total U.S. Government Sponsored Agency<br>Securities — 13.9%<br>(Cost: $253,699,439)** | **Total U.S. Government Sponsored Agency<br>Securities — 13.9%<br>(Cost: $253,699,439)** |  | 252215663 |
|  **U.S. Treasury Obligations** |  |  |  |  |
|  U.S. Treasury Inflation-Indexed Notes, 0.63%, 07/15/32<sup>(s)</sup> |  | 8237 |  | 7544605 |
|  **Total U.S. Treasury Obligations — 0.4%<br>(Cost: $7,523,622)** |  |  |  | 7544605 |
|  |  | *Shares* |  |  |
|  **Warrants** |  |  |  |  |
| **Israel<sup>(d)</sup> — 0.0%** |  |  |  |  |
|  Deep Instinct Ltd., (Acquired 09/20/22, Cost: $0), (1 Share for 1 Warrant, Expires 09/20/32) <sup>(c)(e)</sup> |  | 21889 |  | 127394 |
|  Innovid Corp., (Issued/Exercisable 01/28/21, 1 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 11.50) |  | 8959 |  | 3136 |
|  |  |  |  | 130530 |
| **United Kingdom<sup>(d)</sup> — 0.0%** | **United Kingdom<sup>(d)</sup> — 0.0%** | **United Kingdom<sup>(d)</sup> — 0.0%** | **United Kingdom<sup>(d)</sup> — 0.0%** | **United Kingdom<sup>(d)</sup> — 0.0%** |
|  Genius Sports Ltd., (Issued/Exercisable 03/30/21, 1 Share for 1 Warrant, Expires 12/31/28, Strike Price USD 11.50) |  | 42127 |  | 37914 |
|  Hedosophia European Growth, (Issued 05/13/21, Exercisable 05/13/22, 1 Share for 1 Warrant, Expires 05/13/27, Strike Price EUR 11.50) | Hedosophia European Growth, (Issued 05/13/21, Exercisable 05/13/22, 1 Share for 1 Warrant, Expires 05/13/27, Strike Price EUR 11.50) | 46897 |  | 502 |
|  |  |  |  | 38416 |
| **United States — 0.1%** | **United States — 0.1%** | **United States — 0.1%** | **United States — 0.1%** | **United States — 0.1%** |
|  Cano Health, Inc., (Issued 07/06/20, Exercisable 07/06/21, 1 Share for 1 Warrant, Expires 06/03/26, Strike Price USD 11.50)<sup>(d)</sup> |  | 33630 |  | 7399 |
|  Crown PropTech Acquisitions, (Issued 02/05/21, 1 Share for 1 Warrant, Expires 02/01/26, Strike Price USD 11.50)<sup>(c)(d)</sup> |  | 74120 |  | 1 |
|  Embark Technology, Inc., (Issued/Exercisable 12/28/20, 0.05 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 230.00)<sup>(d)</sup> | Embark Technology, Inc., (Issued/Exercisable 12/28/20, 0.05 Share for 1 Warrant, Expires 12/31/27, Strike Price USD 230.00)<sup>(d)</sup> | 34926 |  | 695 |
|  EVgo, Inc., (Issued/Exercisable 11/10/20, 1 Share for 1 Warrant, Expires 09/15/25, Strike Price USD 11.50)<sup>(d)</sup> |  | 40220 |  | 26859 |
|  Flyr Warrants, (Issued 05/10/22, 1 Share for 1 Warrant, Expires 05/10/32, Strike Price USD 3.95)<sup>(c)(d)</sup> |  | 5990 |  | 88233 |
|  FreeWire Technologies, Inc., (Issued 04/27/22, 1 Share for 1 Warrant, Expires 04/26/27, Strike Price USD 3.35)<sup>(c)(d)</sup> |  | 252094 |  | 196633 |
|  Hippo Holdings, Inc., (Issued/Exercisable 01/04/21, 0.04 Share for 1 Warrant, Expires 08/02/26, Strike Price USD 287.50)<sup>(d)</sup> |  | 11689 |  | 374 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | <br> *Shares* | *Value* |
| **United States (continued)** |  |  |  |
|  KINS Private Placement, (Issued 10/16/20, 1 Share for 1 Warrant, Expires 12/31/25, Strike Price USD 11.50)<sup>(c)(d)</sup> |  | 184016 | $7361 |
|  KINS Technology Group, Inc., Class A, (Issued/Exercisable 02/02/21, 1 Share for 1 Warrant, Expires 12/31/25, Strike Price USD 11.50)<sup>(d)</sup> |  | 156413 | 4708 |
|  Latch, Inc., (Issued/Exercisable 12/29/20, 1 Share for 1 Warrant, Expires 06/04/26, Strike Price USD 11.50)<sup>(d)</sup> | Latch, Inc., (Issued/Exercisable 12/29/20, 1 Share for 1 Warrant, Expires 06/04/26, Strike Price USD 11.50)<sup>(d)</sup> | 10196 | 434 |
|  Lightning eMotors, Inc., (Issued/Exercisable 05/13/20, 1 Share for 1 Warrant, Expires 05/18/25, Strike Price USD 11.50)<sup>(d)</sup> |  | 82174 | 6092 |
|  Offerpad Solutions, Inc., (Issued/Exercisable 10/13/20, 1 Share for 1 Warrant, Expires 09/01/26, Strike Price USD 11.50)<sup>(d)</sup> |  | 60706 | 1366 |
|  Pear Therapeutics, Inc., (Issued/Exercisable 03/23/21, 1 Share for 1 Warrant, Expires 12/01/26, Strike Price USD 11.50)<sup>(d)</sup> |  | 9900 | 1474 |
|  Proof Acquisition Corp. I, (1 Share for 1 Warrant, Expires 12/23/28, Strike Price USD 11.50)<sup>(c)(d)</sup> |  | 72784 | 1456 |
|  Rotor Acquisition Corp., (Issued/Exercisable 01/14/21, 1 Share for 1 Warrant, Expires 06/15/27, Strike Price USD 11.50)<sup>(d)</sup> |  | 25291 | 1264 |
|  Sarcos Technology & Robotics Corp., Class A, (Issued/Exercisable 12/21/20, 1 Share for 1 Warrant, Expires 09/24/26, Strike Price USD 11.50)<sup>(d)</sup> | Sarcos Technology & Robotics Corp., Class A, (Issued/Exercisable 12/21/20, 1 Share for 1 Warrant, Expires 09/24/26, Strike Price USD 11.50)<sup>(d)</sup> | 68671 | 2582 |
|  Sonder Holdings, Inc., (Issued 11/19/20, Exercisable 01/19/21, 1 Share for 1 Warrant, Expires 11/19/26, Strike Price USD 12.50)<sup>(c)(d)</sup> |  | 126000 | 1260 |
|  TPB Acquisition Corp. I, Class A, (Issued 02/19/21, Exercisable 02/19/22, 1 Share for 1 Warrant, Expires 02/19/23, Strike Price USD 11.50)<sup>(d)</sup> | TPB Acquisition Corp. I, Class A, (Issued 02/19/21, Exercisable 02/19/22, 1 Share for 1 Warrant, Expires 02/19/23, Strike Price USD 11.50)<sup>(d)</sup> | 25681 | 12088 |
|  Versa Networks, Inc., (Acquired 10/14/22, Cost: $0), (1 Share for 1 Warrant, Expires 10/07/32) <sup>(c)(d)(e)</sup> |  | 207248 | 534700 |
|  Volta, Inc., Series C, (Issued/Exercisable 10/22/20, 1 Share for 1 Warrant, Expires 08/26/26, Strike Price USD 11.50)<sup>(d)</sup> |  | 41430 | 2705 |
|  |  |  | 897684 |
|  **Total Warrants — 0.1%<br>(Cost: $1,329,820)** |  |  | 1066630 |
|  **Total Long-Term Investments — 110.1%<br>(Cost: $2,125,429,194)** | **Total Long-Term Investments — 110.1%<br>(Cost: $2,125,429,194)** |  | 2006077322 |
|  |  | *Par<br>(000)* |  |
|  **Short-Term Securities** |  |  |  |
| **Certificates of Deposit — 0.2%** |  |  |  |
| **United States — 0.2%** |  |  |  |
|  Citibank N.A., 5.00%, 09/21/23<sup>(t)</sup> | USD | 2940 | 2929519 |

---

S C H E D U L E O F I N V E S T M E N T S 27

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Commercial Paper — 0.0%** |  |  |  |
| **United States — 0.0%** |  |  |  |
|  Enel Finance America LLC, 0.00%, 09/06/23<sup>(t)</sup> | USD | 780 | $747034 |
|  |  | *Shares* |  |
| **Money Market Funds — 2.7%** |  |  |  |
|  BlackRock Liquidity Funds, T-Fund, Institutional Class, 4.03%<sup>(p)(u)</sup> | BlackRock Liquidity Funds, T-Fund, Institutional Class, 4.03%<sup>(p)(u)</sup> | 49048882 | 49048882 |
|  **Total Short-Term Securities — 2.9%<br>(Cost: $52,741,907)** | **Total Short-Term Securities — 2.9%<br>(Cost: $52,741,907)** |  | 52725435 |
|  **Options Purchased — 0.4%<br>(Cost: $8,711,385)** | **Options Purchased — 0.4%<br>(Cost: $8,711,385)** |  | 6639175 |
|  **Total Investments Before TBA Sale Commitments and Options Written — 113.4%<br>(Cost: $2,186,882,486)** | **Total Investments Before TBA Sale Commitments and Options Written — 113.4%<br>(Cost: $2,186,882,486)** | **Total Investments Before TBA Sale Commitments and Options Written — 113.4%<br>(Cost: $2,186,882,486)** | 2065441932 |
|  |  | *Par*<br> *(000)* |  |
|  **TBA Sale Commitments<sup>(r)</sup>** |  |  |  |
| **United States — (7.1)%** |  |  |  |
|  Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/12/53 | USD | (27300) | (26269597) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/12/53 |  | (105603) | (104041916) |
|  **Total TBA Sale Commitments — (7.1)%<br>(Proceeds: $(131214138))** | **Total TBA Sale Commitments — (7.1)%<br>(Proceeds: $(131214138))** | **Total TBA Sale Commitments — (7.1)%<br>(Proceeds: $(131214138))** | (130311513) |
|  **Options Written — (0.8)%<br>(Premiums Received: $(8572509))** | **Options Written — (0.8)%<br>(Premiums Received: $(8572509))** |  | (13714621) |
|  **Total Investments, Net of TBA Sale Commitments and Options Written — 105.5%<br>(Cost: $2,047,095,839)** | **Total Investments, Net of TBA Sale Commitments and Options Written — 105.5%<br>(Cost: $2,047,095,839)** | **Total Investments, Net of TBA Sale Commitments and Options Written — 105.5%<br>(Cost: $2,047,095,839)** | 1921415798 |
|  **Liabilities in Excess of Other Assets — (5.5)%** | **Liabilities in Excess of Other Assets — (5.5)%** | **Liabilities in Excess of Other Assets — (5.5)%** | (100067397) |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $1821348401 |

---

<sup>(a)</sup> 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.

<sup>(b)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

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

<sup>(d)</sup> Non-income producing security.

<sup>(e)</sup> Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $66,052,622, representing 3.6% of its net assets as of period end, and an original cost of $67,182,976. 

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

<sup>(g)</sup> All or a portion of the security is held by a wholly-owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly-owned subsidiary.

<sup>(h)</sup> Investment does not issue shares.

<sup>(i)</sup> This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

<sup>(j)</sup> Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

<sup>(k)</sup> Issuer filed for bankruptcy and/or is in default.

<sup>(l)</sup> Perpetual security with no stated maturity date.

<sup>(m)</sup> Rounds to less than 1,000.

<sup>(n)</sup> Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

<sup>(o)</sup> Zero-coupon bond.

<sup>(p)</sup> Affiliate of the Trust.

<sup>(q)</sup> Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

<sup>(r)</sup> Represents or includes a TBA transaction.

<sup>(s)</sup> All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

<sup>(t)</sup> Rates are discount rates or a range of discount rates as of period end.

<sup>(u)</sup> Annualized 7-day yield as of period end.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the Trust during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at*<br> *12/31/21* | *Purchases*<br> *at Cost* | *Proceeds*<br> *from Sales* | *Net*<br> *Realized*<br> *Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>12/31/22* | *Shares<br>Held at<br>12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  BlackRock Liquidity Funds, T-Fund, Institutional Class | $37246671 | $11802211 <sup>(a)</sup> | $— | $— | $— | $49048882 | 49048882 | $922226 | $— |
|  iShares China Large-Cap ETF | 358191 | 557430 |  |  | (12087) | 903534 | 31927 | 20366 |  |
|  iShares iBoxx $ High Yield Corporate Bond ETF |  | 23472677 | (18358001) | (1249169) | 11849 | 3877356 | 52660 | 278835 |  |

---

28 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases*<br> *at Cost* | *Proceeds<br>from Sales* | *Net*<br> *Realized*<br> *Gain (Loss)* | *Change in*<br> *Unrealized*<br> *Appreciation*<br> *(Depreciation)* | *Value at<br>12/31/22* | *Shares*<br> *Held at<br>12/31/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF<sup>(b)</sup> | $— | $&nbsp;&nbsp;&nbsp;&nbsp;54076660 | $&nbsp;&nbsp;&nbsp;&nbsp;(52602545) | $&nbsp;&nbsp;&nbsp;&nbsp;(1474115) | $— | $— |  | $229696 | $— |
|  iShares JP Morgan USD Emerging Markets Bond ETF |  | 16539931 | (6645384) | (759082) | (297587) | 8837878 | 104479 | 247084 |  |
|  iShares MSCI Brazil ETF | 653217 |  |  |  | (2327) | 650890 | 23271 | 81933 |  |
|  iShares Russell 2000 ETF | 2180010 | 5892851 | (6258289) | 88563 | (194407) | 1708728 | 9800 | 25330 |  |
|  |  |  |  | $(3393803) | $(494559) | $&nbsp;&nbsp;&nbsp;&nbsp;65027268 |  | $&nbsp;&nbsp;&nbsp;&nbsp;1805470 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

<sup>(b)</sup> As of period end, the entity is no longer held.

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Euro Bund | 259 | 03/08/23 | $36854 | $(2240632) |
| &nbsp;&nbsp;&nbsp;&nbsp; FTSE 100 Index | 3 | 03/17/23 | 270 | (2644) |
| &nbsp;&nbsp;&nbsp;&nbsp; MSCI Emerging Markets Index | 10 | 03/17/23 | 480 | (15307) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Long Bond | 258 | 03/22/23 | 32169 | (133462) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 657 | 03/22/23 | 87730 | (814631) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year U.S. Treasury Note | 759 | 03/31/23 | 155595 | 65247 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5-Year U.S. Treasury Note | 49 | 03/31/23 | 5284 | (46109) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3-Month SONIA Index | 136 | 09/19/23 | 39193 | 164586 |
|  |  |  |  | (3022952) |
|  Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 30-Year Euro Buxl Bond | 21 | 03/08/23 | 3040 | 616369 |
| &nbsp;&nbsp;&nbsp;&nbsp; Euro BTP | 380 | 03/08/23 | 44305 | 3436538 |
| &nbsp;&nbsp;&nbsp;&nbsp; Euro-Schatz | 103 | 03/08/23 | 11623 | 126158 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Japanese Government Treasury Bonds | 62 | 03/13/23 | 68718 | 1252960 |
| &nbsp;&nbsp;&nbsp;&nbsp; Euro Stoxx 50 Index | 503 | 03/17/23 | 20371 | 1334654 |
| &nbsp;&nbsp;&nbsp;&nbsp; NASDAQ 100 E-Mini Index | 73 | 03/17/23 | 16092 | 1184188 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 37 | 03/17/23 | 3276 | 116935 |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 60 | 03/17/23 | 11583 | 261434 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 318 | 03/22/23 | 35661 | 468031 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Ultra Long Treasury Note | 2310 | 03/22/23 | 272327 | 3004070 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long Gilt | 58 | 03/29/23 | 7005 | 439621 |
|  |  |  |  | 12240958 |
|  |  |  |  | $9218006 |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| EUR | 756790 | USD | 743223 | &nbsp;&nbsp;&nbsp;&nbsp; UBS AG | 01/12/23 | $67337 |
| BRL | 19495221 | USD | 3568985 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/02/23 | 84704 |
| BRL | 18361464 | USD | 3387224 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | 45054 |
| CHF | 567504 | USD | 614572 | &nbsp;&nbsp;&nbsp;&nbsp; Citibank N.A. | 03/15/23 | 3868 |
| CHF | 633914 | USD | 689745 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | 1065 |
| CNH | 12308686 | USD | 1778636 | &nbsp;&nbsp;&nbsp;&nbsp; Barclays Bank PLC | 03/15/23 | 9581 |
| EUR | 356647 | USD | 378683 | &nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase Bank N.A. | 03/15/23 | 4921 |
| EUR | 111709554 | USD | 119624969 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | 528008 |
| JPY | 2926160834 | USD | 21688661 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | &nbsp;&nbsp;&nbsp;&nbsp;816633 |

---

S C H E D U L E O F I N V E S T M E N T S 29

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**Forward Foreign Currency Exchange Contracts (continued)** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| MXN | 56370848 | USD | 2820792 | &nbsp;&nbsp;&nbsp;&nbsp; Citibank N.A. | 03/15/23 | $35297 |
| MXN | &nbsp;&nbsp;&nbsp;&nbsp;149307718 | USD | 7434532 | &nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG | 03/15/23 | 130303 |
| MXN | 17308557 | USD | 862135 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | 14821 |
| USD | 6253068 | AUD | 9060251 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | 66981 |
| USD | 11561209 | CHF | 10589815 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | 20923 |
| USD | 3859954 | GBP | 3134460 | &nbsp;&nbsp;&nbsp;&nbsp; Bank of America N.A. | 03/15/23 | 63957 |
| USD | 467435 | GBP | 384118 | &nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG | 03/15/23 | 2248 |
| USD | 3358924 | GBP | 2702609 | &nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG | 03/15/23 | 85921 |
| USD | 56858621 | GBP | 46184276 | &nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG | 03/15/23 | 927022 |
| USD | 305483 | GBP | 249379 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | 3472 |
| USD | 325703 | GBP | 263760 | &nbsp;&nbsp;&nbsp;&nbsp; State Street Bank and Trust Co. | 03/15/23 | 6276 |
| USD | 560818 | HKD | 4370734 | &nbsp;&nbsp;&nbsp;&nbsp; Bank of America N.A. | 03/15/23 | 116 |
| USD | 854264 | HKD | 6647397 | &nbsp;&nbsp;&nbsp;&nbsp; HSBC Bank PLC | 03/15/23 | 1499 |
| USD | 23143474 | HKD | 180119998 | &nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase Bank N.A. | 03/15/23 | 36683 |
| USD | 193383 | NOK | 1881150 | &nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG | 03/15/23 | 788 |
| USD | 411937 | SEK | 4178345 | &nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG | 03/15/23 | 9916 |
| ZAR | 24326752 | USD | 1392398 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | 30805 |
|  |  |  |  |  |  | 2998199 |
| USD | 367044 | EUR | 353565 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 01/12/23 | (11642) |
| USD | 39767445 | EUR | 40548325 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 01/12/23 | (3661869) |
| BRL | 15079954 | USD | 2820792 | &nbsp;&nbsp;&nbsp;&nbsp; Bank of America N.A. | 03/15/23 | (1921) |
| CAD | 12757189 | USD | 9433229 | &nbsp;&nbsp;&nbsp;&nbsp; Bank of America N.A. | 03/15/23 | (6097) |
| CHF | 1266986 | USD | 1386002 | &nbsp;&nbsp;&nbsp;&nbsp; State Street Bank and Trust Co. | 03/15/23 | (5300) |
| EUR | 80148746 | USD | 86397912 | &nbsp;&nbsp;&nbsp;&nbsp; Bank of America N.A. | 03/15/23 | (191226) |
| HKD | 68163557 | USD | 8757968 | &nbsp;&nbsp;&nbsp;&nbsp; HSBC Bank PLC | 03/15/23 | (13570) |
| USD | 16082449 | CAD | 21945749 | &nbsp;&nbsp;&nbsp;&nbsp; Bank of America N.A. | 03/15/23 | (134719) |
| USD | 867848 | CAD | 1179627 | &nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG | 03/15/23 | (3857) |
| USD | 427170 | CAD | 582983 | &nbsp;&nbsp;&nbsp;&nbsp; HSBC Bank PLC | 03/15/23 | (3634) |
| USD | 992396 | CHF | 919333 | &nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG | 03/15/23 | (9450) |
| USD | 544234 | CNH | 3780246 | &nbsp;&nbsp;&nbsp;&nbsp; HSBC Bank PLC | 03/15/23 | (4964) |
| USD | 24219016 | CNH | 167606488 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | (131006) |
| USD | 485826 | DKK | 3371861 | &nbsp;&nbsp;&nbsp;&nbsp; Bank of America N.A. | 03/15/23 | (2169) |
| USD | 737467 | EUR | 687626 | &nbsp;&nbsp;&nbsp;&nbsp; Bank of America N.A. | 03/15/23 | (2133) |
| USD | 2672791 | EUR | 2489630 | &nbsp;&nbsp;&nbsp;&nbsp; Bank of America N.A. | 03/15/23 | (5015) |
| USD | 4825171 | EUR | 4519371 | &nbsp;&nbsp;&nbsp;&nbsp; BNP Paribas SA | 03/15/23 | (35790) |
| USD | 117273 | EUR | 109404 | &nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG | 03/15/23 | (400) |
| USD | 401812 | EUR | 379628 | &nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG | 03/15/23 | (6510) |
| USD | 892239 | EUR | 839576 | &nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase Bank N.A. | 03/15/23 | (10796) |
| USD | 1004788 | EUR | 938902 | &nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase Bank N.A. | 03/15/23 | (5080) |
| USD | 6414379 | EUR | 6046064 | &nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase Bank N.A. | 03/15/23 | (88669) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;297196403 | EUR | 280265798 | &nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase Bank N.A. | 03/15/23 | (4252925) |
| USD | 1350484 | EUR | 1274460 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | (20304) |
| USD | 1113363 | JPY | 151358993 | &nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG | 03/15/23 | (50748) |
| USD | 9869350 | JPY | 1331461692 | &nbsp;&nbsp;&nbsp;&nbsp; Deutsche Bank AG | 03/15/23 | (371009) |
| USD | 2754142 | JPY | 361522259 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | (26349) |
| USD | 9385018 | JPY | 1253195088 | &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 03/15/23 | (253387) |
| USD | 7816000 | MXN | 156972386 | &nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs International | 03/15/23 | (137173) |
| USD | 361400 | MXN | 7212007 | &nbsp;&nbsp;&nbsp;&nbsp; HSBC Bank PLC | 03/15/23 | (4004) |
| USD | 1365355 | ZAR | 23843556 | &nbsp;&nbsp;&nbsp;&nbsp; Barclays Bank PLC | 03/15/23 | (29579) |
|  |  |  |  |  |  | (9481295) |
|  |  |  |  |  |  | $(6483096) |

---

**Exchange-Traded Options Purchased** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Call |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Invesco QQQ Trust, Series 1 | 206 | 01/06/23 | USD | 292.00 | USD | 5485 | $412 |
| &nbsp;&nbsp;&nbsp;&nbsp; Invesco QQQ Trust, Series 1 | 154 | 01/06/23 | USD | 300.00 | USD | 4101 | 231 |

---

30 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**Exchange-Traded Options Purchased (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Call (continued) |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Index | 34 | 01/06/23 | USD | 4090.00 | USD | 13054 | $425 |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P 500 ETF Trust | 93 | 01/13/23 | USD | 410.00 | USD | 3557 | 1767 |
| &nbsp;&nbsp;&nbsp;&nbsp; Abbott Laboratories | 174 | 01/20/23 | USD | 115.00 | USD | 1910 | 9396 |
| &nbsp;&nbsp;&nbsp;&nbsp; Abbott Laboratories | 100 | 01/20/23 | USD | 105.00 | USD | 1098 | 56250 |
| &nbsp;&nbsp;&nbsp;&nbsp; Adobe, Inc. | 18 | 01/20/23 | USD | 480.00 | USD | 606 | 54 |
| &nbsp;&nbsp;&nbsp;&nbsp; Align Technology, Inc. | 26 | 01/20/23 | USD | 240.00 | USD | 548 | 4485 |
| &nbsp;&nbsp;&nbsp;&nbsp; Alphabet, Inc., Class C | 160 | 01/20/23 | USD | 125.00 | USD | 1420 | 240 |
| &nbsp;&nbsp;&nbsp;&nbsp; AstraZeneca PLC | 127 | 01/20/23 | USD | 62.50 | USD | 861 | 72390 |
| &nbsp;&nbsp;&nbsp;&nbsp; Booking Holdings, Inc. | 6 | 01/20/23 | USD | 2000.00 | USD | 1209 | 46860 |
| &nbsp;&nbsp;&nbsp;&nbsp; ConocoPhillips | 342 | 01/20/23 | USD | 140.00 | USD | 4036 | 4788 |
| &nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp. | 114 | 01/20/23 | USD | 97.50 | USD | 1062 | 5643 |
| &nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp. | 82 | 01/20/23 | USD | 105.00 | USD | 764 | 533 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dexcom, Inc. | 127 | 01/20/23 | USD | 100.00 | USD | 1438 | 185420 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dynatrace, Inc. | 112 | 01/20/23 | USD | 45.00 | USD | 429 | 1680 |
| &nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 35 | 01/20/23 | USD | 340.00 | USD | 1280 | 98087 |
| &nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 35 | 01/20/23 | USD | 320.00 | USD | 1280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;166600 |
| &nbsp;&nbsp;&nbsp;&nbsp; Energy Select Sector SPDR Fund | 103 | 01/20/23 | USD | 95.00 | USD | 901 | 3502 |
| &nbsp;&nbsp;&nbsp;&nbsp; EQT Corp. | 665 | 01/20/23 | USD | 45.00 | USD | 2250 | 4987 |
| &nbsp;&nbsp;&nbsp;&nbsp; Exxon Mobil Corp. | 272 | 01/20/23 | USD | 120.00 | USD | 3000 | 8704 |
| &nbsp;&nbsp;&nbsp;&nbsp; Freeport-McMoRan, Inc. | 347 | 01/20/23 | USD | 35.00 | USD | 1319 | 123185 |
| &nbsp;&nbsp;&nbsp;&nbsp; Glencore PLC | 112 | 01/20/23 | GBP | 5.68 | GBP | 637 | 13249 |
| &nbsp;&nbsp;&nbsp;&nbsp; Humana, Inc. | 17 | 01/20/23 | USD | 500.00 | USD | 871 | 35615 |
| &nbsp;&nbsp;&nbsp;&nbsp; Humana, Inc. | 29 | 01/20/23 | USD | 550.00 | USD | 1485 | 4423 |
| &nbsp;&nbsp;&nbsp;&nbsp; Intuit, Inc. | 19 | 01/20/23 | USD | 450.00 | USD | 740 | 1615 |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares iBoxx $ High Yield Corporate Bond ETF | 843 | 01/20/23 | USD | 75.00 | USD | 6207 | 29083 |
| &nbsp;&nbsp;&nbsp;&nbsp; KLA Corp. | 34 | 01/20/23 | USD | 400.00 | USD | 1282 | 21080 |
| &nbsp;&nbsp;&nbsp;&nbsp; Lululemon Athletica, Inc. | 21 | 01/20/23 | USD | 360.00 | USD | 673 | 3444 |
| &nbsp;&nbsp;&nbsp;&nbsp; Lululemon Athletica, Inc. | 25 | 01/20/23 | USD | 390.00 | USD | 801 | 638 |
| &nbsp;&nbsp;&nbsp;&nbsp; Marathon Oil Corp. | 178 | 01/20/23 | USD | 32.00 | USD | 482 | 1335 |
| &nbsp;&nbsp;&nbsp;&nbsp; Marathon Oil Corp. | 311 | 01/20/23 | USD | 33.00 | USD | 842 | 1400 |
| &nbsp;&nbsp;&nbsp;&nbsp; McKesson Corp. | 17 | 01/20/23 | USD | 400.00 | USD | 638 | 2720 |
| &nbsp;&nbsp;&nbsp;&nbsp; Merck & Co., Inc. | 104 | 01/20/23 | USD | 95.00 | USD | 1154 | 169260 |
| &nbsp;&nbsp;&nbsp;&nbsp; Northrop Grumman Corp. | 10 | 01/20/23 | USD | 560.00 | USD | 546 | 7300 |
| &nbsp;&nbsp;&nbsp;&nbsp; Northrop Grumman Corp. | 28 | 01/20/23 | USD | 510.00 | USD | 1528 | 111580 |
| &nbsp;&nbsp;&nbsp;&nbsp; Otis Worldwide Corp. | 117 | 01/20/23 | USD | 85.00 | USD | 916 | 2048 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ovintiv, Inc. | 58 | 01/20/23 | USD | 60.00 | USD | 294 | 1450 |
| &nbsp;&nbsp;&nbsp;&nbsp; Rockwell Automation, Inc. | 26 | 01/20/23 | USD | 280.00 | USD | 670 | 4225 |
| &nbsp;&nbsp;&nbsp;&nbsp; Salesforce, Inc. | 61 | 01/20/23 | USD | 200.00 | USD | 809 | 122 |
| &nbsp;&nbsp;&nbsp;&nbsp; Salesforce, Inc. | 61 | 01/20/23 | USD | 210.00 | USD | 809 | 92 |
| &nbsp;&nbsp;&nbsp;&nbsp; Schlumberger Ltd. | 172 | 01/20/23 | USD | 57.50 | USD | 920 | 13846 |
| &nbsp;&nbsp;&nbsp;&nbsp; ServiceNow, Inc. | 21 | 01/20/23 | USD | 550.00 | USD | 815 | 420 |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P 500 ETF Trust | 260 | 01/20/23 | USD | 430.00 | USD | 9943 | 1170 |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P 500 ETF Trust | 267 | 01/20/23 | USD | 415.00 | USD | 10211 | 5740 |
| &nbsp;&nbsp;&nbsp;&nbsp; TE Connectivity Ltd. | 81 | 01/20/23 | USD | 135.00 | USD | 930 | 6277 |
| &nbsp;&nbsp;&nbsp;&nbsp; Valero Energy Corp. | 111 | 01/20/23 | USD | 145.00 | USD | 1408 | 4052 |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 81 | 01/20/23 | USD | 210.00 | USD | 1683 | 33007 |
| &nbsp;&nbsp;&nbsp;&nbsp; Walt Disney Co. | 133 | 01/20/23 | USD | 120.00 | USD | 1156 | 200 |
| &nbsp;&nbsp;&nbsp;&nbsp; XPO Logistics, Inc. | 78 | 01/20/23 | USD | 57.50 | USD | 260 | 3705 |
| &nbsp;&nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 97 | 02/17/23 | USD | 100.00 | USD | 815 | 13386 |
| &nbsp;&nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 165 | 02/17/23 | USD | 90.00 | USD | 1386 | 62700 |
| &nbsp;&nbsp;&nbsp;&nbsp; CF Industries Holdings, Inc. | 111 | 02/17/23 | USD | 115.00 | USD | 946 | 2220 |
| &nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 25 | 02/17/23 | USD | 380.00 | USD | 915 | 24875 |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares China Large-Cap ETF | 764 | 02/17/23 | USD | 30.00 | USD | 2162 | 74490 |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares China Large-Cap ETF | 757 | 02/17/23 | USD | 31.00 | USD | 2142 | 50340 |
| &nbsp;&nbsp;&nbsp;&nbsp; Schlumberger Ltd. | 172 | 02/17/23 | USD | 55.00 | USD | 920 | 48504 |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 83 | 02/17/23 | USD | 225.00 | USD | 1724 | 23032 |
| &nbsp;&nbsp;&nbsp;&nbsp; Albemarle Corp. | 43 | 03/17/23 | USD | 240.00 | USD | 932 | 48590 |
| &nbsp;&nbsp;&nbsp;&nbsp; Charter Communications, Inc., Class A | 33 | 03/17/23 | USD | 370.00 | USD | 1119 | 49665 |
| &nbsp;&nbsp;&nbsp;&nbsp; EQT Corp. | 443 | 03/17/23 | USD | 40.00 | USD | 1499 | 57590 |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares China Large-Cap ETF | 1450 | 03/17/23 | USD | 32.00 | USD | 4104 | 105850 |
| &nbsp;&nbsp;&nbsp;&nbsp; Tesla, Inc. | 163 | 03/17/23 | USD | 130.00 | USD | 2008 | 238795 |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 103 | 03/17/23 | USD | 220.00 | USD | 2140 | 61285 |

---

S C H E D U L E O F I N V E S T M E N T S 31

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**Exchange-Traded Options Purchased (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Call (continued) |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; EOG Resources, Inc. | 100 | 04/21/23 | USD | 158.50 | USD | 1295 | $29500 |
| &nbsp;&nbsp;&nbsp;&nbsp; Rockwell Automation, Inc. | 17 | 04/21/23 | USD | 290.00 | USD | 438 | 11985 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shell PLC, ADR | 344 | 04/21/23 | USD | 60.00 | USD | 1959 | 83420 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shell PLC, ADR | 221 | 04/21/23 | USD | 62.50 | USD | 1259 | 34807 |
| &nbsp;&nbsp;&nbsp;&nbsp; Tesla, Inc. | 83 | 04/21/23 | USD | 175.00 | USD | 1022 | 47517 |
|  |  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2343286 |
|  Put |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note Future | 470 | 01/06/23 | USD | 113.50 | USD | 52706 | 616875 |
| &nbsp;&nbsp;&nbsp;&nbsp; AbbVie, Inc. | 91 | 01/20/23 | USD | 140.00 | USD | 1471 | 1320 |
| &nbsp;&nbsp;&nbsp;&nbsp; ConocoPhillips | 139 | 01/20/23 | USD | 70.00 | USD | 1640 | 834 |
| &nbsp;&nbsp;&nbsp;&nbsp; Energy Select Sector SPDR Fund | 235 | 01/20/23 | USD | 65.00 | USD | 2056 | 1058 |
| &nbsp;&nbsp;&nbsp;&nbsp; Exxon Mobil Corp. | 93 | 01/20/23 | USD | 75.00 | USD | 1026 | 279 |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P Regional Banking ETF | 730 | 01/20/23 | USD | 56.00 | USD | 4288 | 41610 |
| &nbsp;&nbsp;&nbsp;&nbsp; Valero Energy Corp. | 81 | 01/20/23 | USD | 90.00 | USD | 1028 | 770 |
|  |  |  |  |  |  |  | 662746 |
|  |  |  |  |  |  |  | $3006032 |

---

**OTC Barrier Options Purchased** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Type of Option* | *Counterparty* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Barrier*<br> *Price/Range* | *Barrier*<br> *Price/Range* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Put |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GBP Currency | One Touch | JPMorgan Chase Bank N.A. |  | 05/11/23 | USD | 1.00 | USD | 1.00 | GBP | 415 | $15344 |

---

**OTC Options Purchased** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Counterparty* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Call |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; EUR Currency | Morgan Stanley & Co. International PLC |  | 02/07/23 | USD | 1.06 | EUR | 8173 | $161838 |
|  Put |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Financial Select Sector SPDR Fund | Goldman Sachs International | 88800 | 01/20/23 | USD | 35.00 | USD | 3037 | 95043 |
| &nbsp;&nbsp;&nbsp;&nbsp; EUR Currency | Morgan Stanley & Co. International PLC |  | 02/07/23 | USD | 0.97 | EUR | 8173 | 630 |
| &nbsp;&nbsp;&nbsp;&nbsp; USD Currency | Deutsche Bank AG |  | 03/07/23 | MXN | 19.50 | USD | 3824 | 50273 |
|  |  |  |  |  |  |  |  | 145946 |
|  |  |  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;307784 |

---

**OTC Dual Binary Options Purchased** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description<sup>(a)</sup>* | *Counterparty* | *Units* | *Expiration*<br> *Date* |  | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Call |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dual Binary Option payout at expiry if USD JPY>137.06 and AUD<br>USD > 0.697<sup>(b)</sup> | Bank of America N.A. |  | 03/07/23 |  | USD | 628 | $23343 |
|  |  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23343 |

---

<sup>(a)</sup> Option only pays if both terms are met on the expiration date.

<sup>(b)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

**OTC Interest Rate Swaptions Purchased** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | Paid by the Trust | Paid by the Trust | Received by the Trust | Received by the Trust |  | *Expiration* | *Exercise* | *Notional* | *Notional* |  |
| | *Description* | *Rate* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Date* | *Rate* | *Amount (000)* | *Amount (000)* | *Value* |
|  | Call<br>|  |  |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 02/17/33 | 1-Day SOFR, 4.32% | Quarterly | 2.97% | Semi-Annual | JPMorgan Chase Bank N.A. | 02/15/23 | 2.97% | USD | 9313 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15298 |

---

32 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**OTC Interest Rate Swaptions Purchased (continued)** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | Paid by the Trust | Paid by the Trust | Received by the Trust | Received by the Trust |  | *Expiration* | *Exercise* | *Notional* | *Notional* |  |
| | *Description* | *Rate* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Date* | *Rate* | *Amount (000)* | *Amount (000)* | *Value* |
|  | Call (continued) | Call (continued) | Call (continued) | Call (continued) | Call (continued) | Call (continued) | Call (continued) | Call (continued) | Call (continued) | Call (continued) | Call (continued) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 1-Year Interest Rate Swap, 03/18/24 | 1-Day SOFR, 4.32% | Quarterly | 0.80% | Semi-Annual | Morgan Stanley & Co. International PLC | 03/16/23 | 0.80% | USD | 124708 | $16 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 10/26/33 | 1-Day SOFR, 4.32% | Quarterly | 3.05% | Semi-Annual | Citibank N.A. | 10/24/23 | 3.05 | USD | 11317 | 256593 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 11/01/33 | 1-Day SOFR, 4.32% | Quarterly | 2.90% | Semi-Annual | JPMorgan Chase Bank N.A. | 10/30/23 | 2.90 | USD | 11317 | 213108 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 11/09/33 | 1-Day SOFR, 4.32% | Quarterly | 2.82% | Semi-Annual | Goldman Sachs International | 11/07/23 | 2.82 | USD | 4692 | 81012 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 30-Year Interest Rate Swap, 11/16/53 | 1-Day SOFR, 4.32% | Quarterly | 2.85% | Semi-Annual | Citibank N.A. | 11/14/23 | 2.85 | USD | 3571 | 176816 |
|  |  |  |  |  |  |  |  |  |  |  | 742843 |
|  | Put |  |  |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 1-Year Interest Rate Swap, 02/11/24 | 3.75% | Semi-Annual | 1-Day SOFR,<br>4.32% | Quarterly | Goldman Sachs International | 02/09/23 | 3.75 | USD | 92095 | 1047579 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 1-Year Interest Rate Swap, 04/03/24 | 2.47% | Annual | 1-Day SONIA,<br>3.43% | Annual | Goldman Sachs International | 04/03/23 | 2.47 | GBP | 46645 | 1184849 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 10/26/33 | 4.55% | Semi-Annual | 1-Day SOFR,<br>4.32% | Quarterly | Citibank N.A. | 10/24/23 | 4.55 | USD | 11317 | 123546 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 11/01/33 | 4.40% | Semi-Annual | 1-Day SOFR,<br>4.32% | Quarterly | JPMorgan Chase Bank N.A. | 10/30/23 | 4.40 | USD | 11317 | 148179 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 11/09/33 | 4.82% | Semi-Annual | 1-Day SOFR,<br>4.32% | Quarterly | Goldman Sachs International | 11/07/23 | 4.82 | USD | 4692 | 39676 |
|  |  |  |  |  |  |  |  |  |  |  | 2543829 |
|  |  |  |  |  |  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;3286672 |

---

**Exchange-Traded Options Written** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Call |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Invesco QQQ Trust, Series 1 | 206 | 01/06/23 | USD | 312.00 | USD | 5485 | $(206) |
| &nbsp;&nbsp;&nbsp;&nbsp; Invesco QQQ Trust, Series 1 | 154 | 01/06/23 | USD | 320.00 | USD | 4101 | (154) |
| &nbsp;&nbsp;&nbsp;&nbsp; AbbVie, Inc. | 91 | 01/20/23 | USD | 165.00 | USD | 1471 | (14241) |
| &nbsp;&nbsp;&nbsp;&nbsp; Air Products & Chemicals, Inc. | 67 | 01/20/23 | USD | 310.00 | USD | 2065 | (41875) |
| &nbsp;&nbsp;&nbsp;&nbsp; Albemarle Corp. | 44 | 01/20/23 | USD | 370.00 | USD | 954 | (1320) |
| &nbsp;&nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 164 | 01/20/23 | USD | 110.00 | USD | 1378 | (902) |
| &nbsp;&nbsp;&nbsp;&nbsp; Apple, Inc. | 26 | 01/20/23 | USD | 160.00 | USD | 338 | (91) |
| &nbsp;&nbsp;&nbsp;&nbsp; Archer-Daniels-Midland Co. | 178 | 01/20/23 | USD | 110.00 | USD | 1653 | (890) |
| &nbsp;&nbsp;&nbsp;&nbsp; CF Industries Holdings, Inc. | 117 | 01/20/23 | USD | 125.00 | USD | 997 | (1170) |
| &nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 35 | 01/20/23 | USD | 430.00 | USD | 1280 | (2625) |
| &nbsp;&nbsp;&nbsp;&nbsp; Exxon Mobil Corp. | 185 | 01/20/23 | USD | 95.00 | USD | 2041 | (290450) |
| &nbsp;&nbsp;&nbsp;&nbsp; Exxon Mobil Corp. | 272 | 01/20/23 | USD | 130.00 | USD | 3000 | (680) |
| &nbsp;&nbsp;&nbsp;&nbsp; Freeport-McMoRan, Inc. | 521 | 01/20/23 | USD | 45.00 | USD | 1980 | (5210) |
| &nbsp;&nbsp;&nbsp;&nbsp; Humana, Inc. | 17 | 01/20/23 | USD | 640.00 | USD | 871 | (170) |
| &nbsp;&nbsp;&nbsp;&nbsp; Intuitive Surgical, Inc. | 15 | 01/20/23 | USD | 290.00 | USD | 398 | (2063) |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares iBoxx $ High Yield Corporate Bond ETF | 1685 | 01/20/23 | USD | 78.00 | USD | 12407 | (5055) |
| &nbsp;&nbsp;&nbsp;&nbsp; Lululemon Athletica, Inc. | 25 | 01/20/23 | USD | 420.00 | USD | 801 | (113) |
| &nbsp;&nbsp;&nbsp;&nbsp; Merck & Co., Inc. | 164 | 01/20/23 | USD | 100.00 | USD | 1820 | (186550) |
| &nbsp;&nbsp;&nbsp;&nbsp; Microsoft Corp. | 79 | 01/20/23 | USD | 265.00 | USD | 1895 | (4187) |
| &nbsp;&nbsp;&nbsp;&nbsp; Northrop Grumman Corp. | 28 | 01/20/23 | USD | 550.00 | USD | 1528 | (32760) |
| &nbsp;&nbsp;&nbsp;&nbsp; Schlumberger Ltd. | 53 | 01/20/23 | USD | 60.00 | USD | 283 | (1961) |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P 500 ETF Trust | 133 | 01/20/23 | USD | 435.00 | USD | 5086 | (466) |
| &nbsp;&nbsp;&nbsp;&nbsp; TJX Cos., Inc. | 136 | 01/20/23 | USD | 80.00 | USD | 1083 | (25364) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Parcel Service, Inc., Class B | 84 | 01/20/23 | USD | 195.00 | USD | 1460 | (1092) |
| &nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc. | 36 | 01/20/23 | USD | 580.00 | USD | 1909 | (2502) |
| &nbsp;&nbsp;&nbsp;&nbsp; Valero Energy Corp. | 162 | 01/20/23 | USD | 120.00 | USD | 2055 | (148635) |
| &nbsp;&nbsp;&nbsp;&nbsp; Valero Energy Corp. | 111 | 01/20/23 | USD | 155.00 | USD | 1408 | (1221) |
| &nbsp;&nbsp;&nbsp;&nbsp; Walt Disney Co. | 62 | 01/20/23 | USD | 105.00 | USD | 539 | (465) |
| &nbsp;&nbsp;&nbsp;&nbsp; CF Industries Holdings, Inc. | 111 | 02/17/23 | USD | &nbsp;&nbsp;&nbsp;&nbsp;130.00 | USD | 946 | (2220) |

---

S C H E D U L E O F I N V E S T M E N T S 33

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**Exchange-Traded Options Written (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Call (continued) |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Humana, Inc. | 33 | 02/17/23 | USD | 580.00 | USD | 1690 | $(8910) |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares China Large-Cap ETF | 764 | 02/17/23 | USD | 34.00 | USD | 2162 | (16044) |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares China Large-Cap ETF | 757 | 02/17/23 | USD | 35.00 | USD | 2142 | (10598) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Index | 34 | 02/17/23 | USD | 4350.00 | USD | 13054 | (11900) |
| &nbsp;&nbsp;&nbsp;&nbsp; Schlumberger Ltd. | 172 | 02/17/23 | USD | 60.00 | USD | 920 | (20984) |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 83 | 02/17/23 | USD | 240.00 | USD | 1724 | (5727) |
| &nbsp;&nbsp;&nbsp;&nbsp; EQT Corp. | 444 | 03/17/23 | USD | 45.00 | USD | 1502 | (24420) |
| &nbsp;&nbsp;&nbsp;&nbsp; EQT Corp. | 221 | 03/17/23 | USD | 46.00 | USD | 748 | (9945) |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares China Large-Cap ETF | 1450 | 03/17/23 | USD | 37.00 | USD | 4104 | (21750) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tesla, Inc. | 163 | 03/17/23 | USD | 170.00 | USD | 2008 | (68460) |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 103 | 03/17/23 | USD | 245.00 | USD | 2140 | (10146) |
| &nbsp;&nbsp;&nbsp;&nbsp; EOG Resources, Inc. | 100 | 04/21/23 | USD | 178.50 | USD | 1295 | (10000) |
| &nbsp;&nbsp;&nbsp;&nbsp; Shell PLC, ADR | 450 | 04/21/23 | USD | 70.00 | USD | 2563 | (18000) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tesla, Inc. | 83 | 04/21/23 | USD | 208.33 | USD | 1022 | (21704) |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P 500 ETF Trust | 30 | 12/15/23 | USD | 420.00 | USD | 1147 | (65595) |
|  |  |  |  |  |  |  | (1098821) |
|  Put |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note Future | 705 | 01/06/23 | USD | 112.00 | USD | 79059 | (242344) |
| &nbsp;&nbsp;&nbsp;&nbsp; Invesco QQQ Trust, Series 1 | 77 | 01/06/23 | USD | 270.00 | USD | 2050 | (41156) |
| &nbsp;&nbsp;&nbsp;&nbsp; Abbott Laboratories | 174 | 01/20/23 | USD | 95.00 | USD | 1910 | (2697) |
| &nbsp;&nbsp;&nbsp;&nbsp; Abbott Laboratories | 100 | 01/20/23 | USD | 90.00 | USD | 1098 | (800) |
| &nbsp;&nbsp;&nbsp;&nbsp; Align Technology, Inc. | 26 | 01/20/23 | USD | 180.00 | USD | 548 | (4290) |
| &nbsp;&nbsp;&nbsp;&nbsp; Alphabet, Inc., Class C | 240 | 01/20/23 | USD | 80.00 | USD | 2130 | (12960) |
| &nbsp;&nbsp;&nbsp;&nbsp; Alphabet, Inc., Class C | 160 | 01/20/23 | USD | 100.00 | USD | 1420 | (180800) |
| &nbsp;&nbsp;&nbsp;&nbsp; Booking Holdings, Inc. | 6 | 01/20/23 | USD | 1700.00 | USD | 1209 | (3390) |
| &nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Class A | 346 | 01/20/23 | USD | 30.00 | USD | 1210 | (3460) |
| &nbsp;&nbsp;&nbsp;&nbsp; ConocoPhillips | 86 | 01/20/23 | USD | 115.00 | USD | 1015 | (23392) |
| &nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp. | 82 | 01/20/23 | USD | 95.00 | USD | 764 | (26855) |
| &nbsp;&nbsp;&nbsp;&nbsp; Dynatrace, Inc. | 112 | 01/20/23 | USD | 35.00 | USD | 429 | (5601) |
| &nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 35 | 01/20/23 | USD | 260.00 | USD | 1280 | (123) |
| &nbsp;&nbsp;&nbsp;&nbsp; Energy Select Sector SPDR Fund | 103 | 01/20/23 | USD | 80.00 | USD | 901 | (5150) |
| &nbsp;&nbsp;&nbsp;&nbsp; EQT Corp. | 443 | 01/20/23 | USD | 34.00 | USD | 1499 | (77525) |
| &nbsp;&nbsp;&nbsp;&nbsp; Exxon Mobil Corp. | 69 | 01/20/23 | USD | 100.00 | USD | 761 | (3209) |
| &nbsp;&nbsp;&nbsp;&nbsp; Glencore PLC | 112 | 01/20/23 | GBP | 4.41 | GBP | 637 | (1046) |
| &nbsp;&nbsp;&nbsp;&nbsp; Intuit, Inc. | 19 | 01/20/23 | USD | 370.00 | USD | 740 | (14630) |
| &nbsp;&nbsp;&nbsp;&nbsp; Invesco QQQ Trust, Series 1 | 213 | 01/20/23 | USD | 265.00 | USD | 5672 | (123859) |
| &nbsp;&nbsp;&nbsp;&nbsp; KLA Corp. | 34 | 01/20/23 | USD | 330.00 | USD | 1282 | (7310) |
| &nbsp;&nbsp;&nbsp;&nbsp; Lululemon Athletica, Inc. | 25 | 01/20/23 | USD | 310.00 | USD | 801 | (19875) |
| &nbsp;&nbsp;&nbsp;&nbsp; Marathon Oil Corp. | 400 | 01/20/23 | USD | 25.00 | USD | 1083 | (15800) |
| &nbsp;&nbsp;&nbsp;&nbsp; McKesson Corp. | 17 | 01/20/23 | USD | 360.00 | USD | 638 | (5993) |
| &nbsp;&nbsp;&nbsp;&nbsp; Micron Technology, Inc. | 161 | 01/20/23 | USD | 47.50 | USD | 805 | (16824) |
| &nbsp;&nbsp;&nbsp;&nbsp; Northrop Grumman Corp. | 10 | 01/20/23 | USD | 480.00 | USD | 546 | (2675) |
| &nbsp;&nbsp;&nbsp;&nbsp; Otis Worldwide Corp. | 117 | 01/20/23 | USD | 65.00 | USD | 916 | (1170) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ovintiv, Inc. | 58 | 01/20/23 | USD | 45.00 | USD | 294 | (4060) |
| &nbsp;&nbsp;&nbsp;&nbsp; Rockwell Automation, Inc. | 26 | 01/20/23 | USD | 240.00 | USD | 670 | (4355) |
| &nbsp;&nbsp;&nbsp;&nbsp; Schlumberger Ltd. | 172 | 01/20/23 | USD | 47.50 | USD | 920 | (7912) |
| &nbsp;&nbsp;&nbsp;&nbsp; ServiceNow, Inc. | 21 | 01/20/23 | USD | 450.00 | USD | 815 | (130305) |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P Regional Banking ETF | 730 | 01/20/23 | USD | 52.00 | USD | 4288 | (7665) |
| &nbsp;&nbsp;&nbsp;&nbsp; TE Connectivity Ltd. | 81 | 01/20/23 | USD | 110.00 | USD | 930 | (11745) |
| &nbsp;&nbsp;&nbsp;&nbsp; Valero Energy Corp. | 56 | 01/20/23 | USD | 115.00 | USD | 710 | (6188) |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 81 | 01/20/23 | USD | 180.00 | USD | 1683 | (2187) |
| &nbsp;&nbsp;&nbsp;&nbsp; Walt Disney Co. | 92 | 01/20/23 | USD | 100.00 | USD | 799 | (120980) |
| &nbsp;&nbsp;&nbsp;&nbsp; Walt Disney Co. | 88 | 01/20/23 | USD | 80.00 | USD | 765 | (7348) |
| &nbsp;&nbsp;&nbsp;&nbsp; Walt Disney Co. | 62 | 01/20/23 | USD | 85.00 | USD | 539 | (13206) |
| &nbsp;&nbsp;&nbsp;&nbsp; XPO Logistics, Inc. | 78 | 01/20/23 | USD | 45.00 | USD | 260 | (36660) |
| &nbsp;&nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 97 | 02/17/23 | USD | 75.00 | USD | 815 | (25462) |
| &nbsp;&nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 165 | 02/17/23 | USD | 70.00 | USD | 1386 | (25822) |
| &nbsp;&nbsp;&nbsp;&nbsp; CF Industries Holdings, Inc. | 111 | 02/17/23 | USD | 90.00 | USD | 946 | (93795) |
| &nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 25 | 02/17/23 | USD | 310.00 | USD | 915 | (5363) |
| &nbsp;&nbsp;&nbsp;&nbsp; Schlumberger Ltd. | 111 | 02/17/23 | USD | 42.50 | USD | 593 | (5439) |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 48 | 02/17/23 | USD | 185.00 | USD | 997 | (11208) |

---

34 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**Exchange-Traded Options Written (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Put (continued) |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Walt Disney Co. | 88 | 02/17/23 | USD | 80.00 | USD | 765 | $(22748) |
| &nbsp;&nbsp;&nbsp;&nbsp; Albemarle Corp. | 43 | 03/17/23 | USD | 180.00 | USD | 932 | (26875) |
| &nbsp;&nbsp;&nbsp;&nbsp; Charter Communications, Inc., Class A | 33 | 03/17/23 | USD | 290.00 | USD | 1119 | (30525) |
| &nbsp;&nbsp;&nbsp;&nbsp; EQT Corp. | 221 | 03/17/23 | USD | 30.00 | USD | 748 | (39227) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tesla, Inc. | 163 | 03/17/23 | USD | 80.00 | USD | 2008 | (52160) |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 103 | 03/17/23 | USD | 185.00 | USD | 2140 | (35792) |
| &nbsp;&nbsp;&nbsp;&nbsp; EOG Resources, Inc. | 100 | 04/21/23 | USD | 113.50 | USD | 1295 | (52500) |
| &nbsp;&nbsp;&nbsp;&nbsp; Rockwell Automation, Inc. | 17 | 04/21/23 | USD | 220.00 | USD | 438 | (10030) |
| &nbsp;&nbsp;&nbsp;&nbsp; Shell PLC, ADR | 344 | 04/21/23 | USD | 50.00 | USD | 1959 | (45580) |
| &nbsp;&nbsp;&nbsp;&nbsp; Shell PLC, ADR | 221 | 04/21/23 | USD | 52.50 | USD | 1259 | (43095) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tesla, Inc. | 83 | 04/21/23 | USD | &nbsp;&nbsp;&nbsp;&nbsp;108.33 | USD | 1022 | (105410) |
|  |  |  |  |  |  |  | (1826576) |
|  |  |  |  |  |  |  | $(2925397) |

---

**OTC Options Written** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Counterparty* | *Number of<br>Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Call |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; EUR Currency | Morgan Stanley & Co. International PLC |  | 02/07/23 | USD | 1.09 | USD | 8173 | $(43648) |
| &nbsp;&nbsp;&nbsp;&nbsp; USD Currency | Deutsche Bank AG |  | 03/07/23 | MXN | 21.00 | MXN | 3824 | (17251) |
|  |  |  |  |  |  |  |  | (60899) |
|  Put |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Financial Select Sector SPDR Fund | Goldman Sachs International | 88800 | 01/20/23 | USD | 31.00 | USD | 3037 | (6195) |
| &nbsp;&nbsp;&nbsp;&nbsp; USD Currency | Deutsche Bank AG |  | 03/07/23 | MXN | 18.75 | MXN | 3824 | (9461) |
|  |  |  |  |  |  |  |  | (15656) |
|  |  |  |  |  |  |  |  | $(76555) |

---

**OTC Interest Rate Swaptions Written** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Paid by the Trust | Paid by the Trust | Received by the Trust | Received by the Trust |  | *Expiration* | *Exercise* | *Notional* | *Notional* |  |
| *Description* | *Rate* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Date* | *Rate* | *Amount (000)* | *Amount (000)* | *Value* |
|  Call |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 02/17/33 | 2.67% | Quarterly | 1-Day SOFR,<br>4.32% | Semi-Annual | JPMorgan Chase Bank N.A. | 02/15/23 | 2.67% | USD | 9313 | $(4044) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 02/17/25 | 1.40% | Quarterly | 1-Day SOFR,<br>4.32% | Semi-Annual | Morgan Stanley & Co. International PLC | 02/15/23 | 1.40 | USD | 47688 | (9) |
| &nbsp;&nbsp;&nbsp;&nbsp; 1-Year Interest Rate Swap, 03/18/24 | 0.40% | Quarterly | 3-Month LIBOR,<br>4.77% | Semi-Annual | Morgan Stanley & Co. International PLC | 03/16/23 | 0.40 | USD | 124708 | (9) |
| &nbsp;&nbsp;&nbsp;&nbsp; 1-Year Interest Rate Swap, 03/18/24 | 0.60% | Quarterly | 3-Month LIBOR,<br>4.77% | Semi-Annual | Morgan Stanley & Co. International PLC | 03/16/23 | 0.60 | USD | 124708 | (11) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 06/01/25 | 3.30% | Quarterly | 1-Day SOFR,<br>4.32% | Semi-Annual | Morgan Stanley & Co. International PLC | 05/30/23 | 3.30 | USD | 46497 | (85470) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5-Year Interest Rate Swap, 06/01/28 | 2.80% | Quarterly | 1-Day SOFR,<br>4.32% | Semi-Annual | JPMorgan Chase Bank N.A. | 05/30/23 | 2.80 | USD | 18837 | (74529) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5-Year Interest Rate Swap, 06/10/28 | 2.50% | Quarterly | 1-Day SOFR,<br>4.32% | Semi-Annual | JPMorgan Chase Bank N.A. | 06/08/23 | 2.50 | USD | 9416 | (24190) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5-Year Interest Rate Swap, 06/16/28 | 2.50% | Quarterly | 1-Day SOFR,<br>4.32% | Semi-Annual | Goldman Sachs International | 06/14/23 | 2.50 | USD | 22352 | (60948) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 10/26/25 | 3.09% | Quarterly | 1-Day SOFR,<br>4.32% | Semi-Annual | Citibank N.A. | 10/24/23 | 3.09 | USD | 45268 | (211236) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 11/01/25 | 2.95% | Quarterly | 1-Day SOFR,<br>4.32% | Semi-Annual | JPMorgan Chase Bank N.A. | 10/30/23 | 2.95 | USD | 45268 | (188388) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 11/09/25 | 3.26% | Quarterly | 1-Day SOFR,<br>4.32% | Semi-Annual | Goldman Sachs International | 11/07/23 | 3.26 | USD | 18770 | (112116) |

---

S C H E D U L E O F I N V E S T M E N T S 35

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**OTC Interest Rate Swaptions Written (continued)** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| |  | Paid by the Trust | Paid by the Trust | Received by the Trust | Received by the Trust |  | *Expiration*<br> *Date* | *Exercise*<br> *Rate* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
| | *Description* | *Rate* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Expiration*<br> *Date* | *Exercise*<br> *Rate* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  | Call (continued) |  |  |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 11/16/25 | 2.75% | Quarterly | 1-Day SOFR,<br>4.32% | Semi-Annual | Citibank N.A. | 11/14/23 | 2.75% | USD | 35707 | $(130167) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 12/16/33 | 2.40% | Quarterly | 1-Day SOFR,<br>4.32% | Semi-Annual | Morgan Stanley & Co. International PLC | 12/14/23 | 2.40 | USD | 6165 | (66068) |
|  |  |  |  |  |  |  |  |  |  |  | (957185) |
|  | Put |  |  |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 1-Year Interest Rate Swap, 02/11/24 | 1-Day SOFR,<br>4.32% | Quarterly | 4.40% | Semi-Annual | Goldman Sachs International | 02/09/23 | 4.40 | USD | 184190 | (971462) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 02/17/25 | 1-Day SOFR,<br>4.32% | Quarterly | 2.60% | Semi-Annual | Morgan Stanley & Co. International PLC | 02/15/23 | 2.60 | USD | 47688 | (1620941) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 02/17/25 | 1-Day SOFR,<br>4.32% | Quarterly | 2.70% | Semi-Annual | Morgan Stanley & Co. International PLC | 02/15/23 | 2.70 | USD | 47688 | (1531405) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 3-Year Interest Rate Swap, 02/17/26 | 6-Month<br>EURIBOR,<br>2.69% | Semi-<br>Annual | 3.36% | Annual | JPMorgan Chase Bank N.A. | 02/15/23 | 3.36 | EUR | 28034 | (134869) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 1-Year Interest Rate Swap, 03/09/24 | 1-Day SOFR,<br>4.32% | Quarterly | 4.50% | Semi-Annual | Morgan Stanley & Co. International PLC | 03/07/23 | 4.50 | USD | 92494 | (430941) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 03/10/25 | 1-Day SOFR,<br>4.32% | Quarterly | 4.03% | Semi-Annual | Goldman Sachs International | 03/08/23 | 4.03 | USD | 93515 | (775982) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 03/25/33 | 1-Day SOFR,<br>4.32% | Quarterly | 3.27% | Semi-Annual | Goldman Sachs International | 03/23/23 | 3.27 | USD | 17648 | (593336) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 1-Year Interest Rate Swap, 04/03/24 | 1-Day SONIA,<br>3.43% | Annual | 3.22% | Annual | Goldman Sachs International | 04/03/23 | 3.22 | GBP | 93289 | (1570110) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 04/08/33 | 1-Day SOFR,<br>4.32% | Quarterly | 3.40% | Semi-Annual | Morgan Stanley & Co. International PLC | 04/06/23 | 3.40 | USD | 11867 | (335766) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 04/20/33 | 1-Day SOFR,<br>4.32% | Quarterly | 3.45% | Semi-Annual | Morgan Stanley & Co. International PLC | 04/18/23 | 3.45 | USD | 11735 | (317728) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 05/07/33 | 1-Day SOFR,<br>4.32% | Quarterly | 3.75% | Semi-Annual | Citibank N.A. | 05/05/23 | 3.75 | USD | 11690 | (204315) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 06/01/25 | 1-Day SOFR,<br>4.32% | Quarterly | 4.80% | Semi-Annual | Morgan Stanley & Co. International PLC | 05/30/23 | 4.80 | USD | 46497 | (121728) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 5-Year Interest Rate Swap, 06/01/28 | 1-Day SOFR,<br>4.32% | Quarterly | 4.30% | Semi-Annual | JPMorgan Chase Bank N.A. | 05/30/23 | 4.30 | USD | 18837 | (108334) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 5-Year Interest Rate Swap, 06/10/28 | 1-Day SOFR,<br>4.32% | Quarterly | 4.00% | Semi-Annual | JPMorgan Chase Bank N.A. | 06/08/23 | 4.00 | USD | 18832 | (179094) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 5-Year Interest Rate Swap, 06/16/28 | 1-Day SOFR,<br>4.32% | Quarterly | 3.90% | Semi-Annual | Goldman Sachs International | 06/14/23 | 3.90 | USD | 22352 | (251403) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 10/26/25 | 1-Day SOFR,<br>4.32% | Quarterly | 5.09% | Semi-Annual | Citibank N.A. | 10/24/23 | 5.09 | USD | 45268 | (108709) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 11/01/25 | 1-Day SOFR,<br>4.32% | Quarterly | 4.95% | Semi-Annual | JPMorgan Chase Bank N.A. | 10/30/23 | 4.95 | USD | 45268 | (129330) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 11/09/25 | 1-Day SOFR,<br>4.32% | Quarterly | 5.26% | Semi-Annual | Goldman Sachs International | 11/07/23 | 5.26 | USD | 18770 | (37896) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 11/16/25 | 1-Day SOFR,<br>4.32% | Quarterly | 4.75% | Semi-Annual | Citibank N.A. | 11/14/23 | 4.75 | USD | 35707 | (130365) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 12/16/33 | 1-Day SOFR,<br>4.32% | Quarterly | 3.60% | Semi-Annual | Morgan Stanley & Co. International PLC | 12/14/23 | 3.60 | USD | 6165 | (201770) |
|  |  |  |  |  |  |  |  |  |  |  | (9755484) |
|  |  |  |  |  |  |  |  |  |  |  | $(10712669) |

---

**Centrally Cleared Credit Default Swaps — Buy Protection** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing*<br> *Rate Paid*<br> *by the Trust* | *Payment*<br> *Frequency* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  iTraxx.XO.38.V1 | 5.00% | Quarterly | 12/20/27 | EUR | 4652 | $&nbsp;&nbsp;&nbsp;&nbsp;(57952) | $93447 | $(151399) |

---

36 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**Centrally Cleared Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | <br>| *Financing*<br> *Rate Received*<br> *by the Trust* | *Payment*<br> *Frequency* | <br>| *Termination*<br> *Date* | *Credit*<br> *Rating* | <br> *<sup>(a)</sup>*  | <br>| *Notional*<br> *Amount (000)* | <br> *<sup>(b)</sup>*  | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  CDX.NA.HY.35.V2 |  | 5.00% | Quarterly |  | 12/20/25 | CC+ |  | USD | 9121 |  | $266736 | $456121 | $(189385) |
|  iTraxx.XO.34.V2 |  | 5.00 | Quarterly |  | 12/20/25 | CCC- |  | EUR | 34106 |  | 1354118 | 2554076 | (1199958) |
|  iTraxx.XO.35.V1 |  | 5.00 | Quarterly |  | 06/20/26 | CCC |  | EUR | 1440 |  | 48331 | 155245 | (106914) |
|  CDX.NA.HY.39.V1 |  | 5.00 | Quarterly |  | 12/20/27 | B+ |  | USD | 78095 |  | 584981 | (3158863) | 3743844 |
|  |  |  |  |  |  |  |  |  |  |  | $2254166 | $6579 | $2247587 |

---

<sup>(a)</sup> Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

<sup>(b)</sup> The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. 

**Centrally Cleared Inflation Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Trust | Paid by the Trust | <br>Received by the Trust | <br>Received by the Trust | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* |  | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| *Reference* | *Frequency* | *Rate* | *Frequency* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* |  | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  Eurostat Eurozone HICP Ex Tobacco Unrevised | Monthly | 2.69% | Monthly | 08/15/32 | EUR | 1425 | $(13009) | $30 | $(13039) |

---

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | Paid by the Trust | Paid by the Trust | <br>Received by the Trust | <br>Received by the Trust | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| | *Rate* | *Frequency* | *Rate* | *Frequency* | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  | 1-Month MXIBOR, 10.77% | Monthly | 4.42% | Monthly | N/A | 02/28/23 | MXN | 88484 | $(67019) | $1 | $(67020) |
|  | 1-Month MXIBOR, 10.77% | Monthly | 4.50% | Monthly | N/A | 03/03/23 | MXN | 88456 | (66270) | 1 | (66271) |
|  | 1-Month MXIBOR, 10.77% | Monthly | 4.68% | Monthly | N/A | 02/27/24 | MXN | 62782 | (228287) | 7 | (228294) |
|  | 1-Month MXIBOR, 10.77% | Monthly | 4.86% | Monthly | N/A | 03/01/24 | MXN | 62782 | (221247) | 7 | (221254) |
|  | 1-Day SOFR, 4.32% | Annual | 1.13% | Annual | N/A | 03/07/24 | USD | 51255 | (2554668) | 134 | (2554802) |
|  | 1-Day SOFR, 4.32% | Annual | 1.13% | Annual | N/A | 03/08/24 | USD | 77139 | (3853800) | 202 | (3854002) |
|  | 1-Day SOFR, 4.32% | Annual | 1.08% | Annual | N/A | 03/18/24 | USD | 103986 | (5416923) | 280 | (5417203) |
|  | 4.18% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 06/28/24 | USD | 16487 | 95615 | (33084) | 128699 |
|  | 4.16% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 07/13/24 | USD | 14859 | 90339 | (28546) | 118885 |
|  | 4.16% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 07/20/24 | USD | 21852 | 132090 | (43892) | 175982 |
|  | 4.16% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 07/23/24 | USD | 28619 | 172826 | (57927) | 230753 |
|  | 4.14% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 08/12/24 | USD | 21139 | 132804 | (41800) | 174604 |
|  | 4.14% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 08/13/24 | USD | 13774 | 86434 | (27403) | 113837 |
|  | 4.13% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 08/27/24 | USD | 33815 | 215000 | (68228) | 283228 |
|  | 1-Day SONIA, 3.43% | Monthly | 4.26% | Monthly | 09/06/23 <sup>(a)</sup> | 09/06/24 | GBP | 25649 | (111046) | 141 | (111187) |
|  | 2.00% | Annual | 1-Day SOFR, 4.32% | Annual | 02/17/23 <sup>(a)</sup> | 02/17/25 | USD | 13415 | 604939 | 59 | 604880 |
|  | 1-Day SOFR, 4.32% | Annual | 3.75% | Annual | N/A | 12/15/25 | USD | 12146 | (118477) | 92 | (118569) |
|  | 3.83% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 02/19/26 | USD | 13259 | 69607 | (75412) | 145019 |
|  | 3.82% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 02/22/26 | USD | 3623 | 19943 | (19786) | 39729 |
|  | 1-Day SOFR, 4.32% | Annual | 3.82% | Annual | N/A | 03/08/26 | USD | 42033 | (220357) | 242188 | (462545) |
|  | 3.78% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 05/26/26 | USD | 61194 | 318883 | (364476) | 683359 |
|  | 3.78% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 05/27/26 | USD | 123103 | 639114 | (736337) | 1375451 |
|  | 1-Day SOFR, 4.32% | Annual | 3.77% | Annual | N/A | 06/28/26 | USD | 9810 | (49856) | 61498 | (111354) |
|  | 1-Day SOFR, 4.32% | Annual | 3.76% | Annual | N/A | 07/13/26 | USD | 8779 | (46309) | 54296 | (100605) |
|  | 3.73% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 10/14/26 | USD | 13157 | 83055 | (89240) | 172295 |
|  | 3.73% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 11/10/26 | USD | 21067 | 134734 | (153994) | 288728 |
|  | 1-Day SOFR, 4.32% | Annual | 3.71% | Annual | N/A | 01/07/27 | USD | 34517 | (185160) | 266580 | (451740) |
|  | 1-Day SOFR, 4.32% | Annual | 3.71% | Annual | N/A | 01/10/27 | USD | 14027 | (74630) | 109205 | (183835) |
|  | 1-Day SOFR, 4.32% | Annual | 3.71% | Annual | N/A | 01/14/27 | USD | 5077 | (26755) | 39881 | (66636) |
|  | 1-Day SOFR, 4.32% | Annual | 3.70% | Annual | N/A | 02/09/27 | USD | 45774 | (243462) | 363153 | (606615) |
|  | 1-Day SOFR, 4.32% | Annual | 1.56% | Annual | N/A | 03/07/27 | USD | 25628 | (2336572) | 199 | (2336771) |
|  | 1-Day SOFR, 4.32% | Annual | 2.91% | Annual | N/A | 10/06/27 | USD | 23669 | (926864) | 207 | (927071) |
|  | 3.51% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 02/04/31 | USD | 4489 | 23594 | (78364) | 101958 |
|  | 3.51% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 02/05/31 | USD | 2639 | 13863 | (46082) | 59945 |
|  | 1-Day SOFR, 4.32% | Annual | 3.50% | Annual | N/A | 04/07/31 | USD | 20008 | (115284) | 347201 | (462485) |

---

S C H E D U L E O F I N V E S T M E N T S 37

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**Centrally Cleared Interest Rate Swaps (continued)** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Trust | Paid by the Trust | <br>Received by the Trust | <br>Received by the Trust | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  1-Day SOFR, 4.32% | Annual | 3.50% | Annual | N/A | 04/08/31 | USD | 11489 | $(66116) | $201042 | $(267158) |
|  3.50% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 05/27/31 | USD | 7341 | 41321 | (130511) | 171832 |
|  3.50% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 05/28/31 | USD | 1301 | 7321 | (22957) | 30278 |
|  0.02% | Annual | 6-Month EURIBOR, 2.69% | Semi-<br>Annual | N/A | 08/26/31 | EUR | 9317 | 2390458 | 167 | 2390291 |
|  3.50% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 10/12/31 | USD | 6327 | 37872 | (119470) | 157342 |
|  1-Day SOFR, 4.32% | Annual | 3.50% | Annual | N/A | 10/14/31 | USD | 19924 | (119659) | 376386 | (496045) |
|  1-Day SOFR, 4.32% | Annual | 3.50% | Annual | N/A | 11/19/31 | USD | 19649 | (117305) | 378211 | (495516) |
|  3.50% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 11/26/31 | USD | 3326 | 19572 | (64221) | 83793 |
|  3.50% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 11/30/31 | USD | 2298 | 13469 | (44408) | 57877 |
|  1-Day SOFR, 4.32% | Annual | 3.50% | Annual | N/A | 01/28/32 | USD | 31646 | (161896) | 633731 | (795627) |
|  2.38% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 04/08/32 | USD | 2085 | 190796 | 31 | 190765 |
|  2.58% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 05/24/32 | USD | 14246 | 1109816 | (13287) | 1123103 |
|  2.60% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 05/26/32 | USD | 2456 | 187459 | 37 | 187422 |
|  1-Day SOFR, 4.32% | Annual | 3.47% | Annual | N/A | 10/04/32 | USD | 10285 | (82871) | 157 | (83028) |
|  1-Day SOFR, 4.32% | Annual | 3.42% | Annual | N/A | 10/05/32 | USD | 4848 | (60298) | 76 | (60374) |
|  1-Day SOFR, 4.32% | Annual | 3.05% | Annual | N/A | 10/28/32 | USD | 11483 | (499821) | 182 | (500003) |
|  1-Day SOFR, 4.32% | Annual | 2.88% | Annual | N/A | 11/02/32 | USD | 11632 | (672412) | 184 | (672596) |
|  1-Day SOFR, 4.32% | Annual | 2.92% | Annual | N/A | 11/04/32 | USD | 11671 | (635419) | 185 | (635604) |
|  1-Day SOFR, 4.32% | Annual | 2.90% | Annual | N/A | 11/15/32 | USD | 18790 | (1051298) | 299 | (1051597) |
|  1-Day SOFR, 4.32% | Annual | 3.20% | Annual | N/A | 11/28/32 | USD | 10953 | (335883) | 175 | (336058) |
|  3.45% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 11/26/41 | USD | 1670 | 6956 | (70094) | 77050 |
|  3.24% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 12/11/50 | USD | 1632 | 5667 | (86942) | 92609 |
|  3.23% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 01/07/51 | USD | 5340 | 27288 | (276698) | 303986 |
|  3.23% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 01/08/51 | USD | 1844 | 9424 | (95528) | 104952 |
|  3.23% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 01/25/51 | USD | 3941 | 19375 | (205128) | 224503 |
|  3.23% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 02/01/51 | USD | 4033 | 19478 | (210290) | 229768 |
|  3.23% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 02/04/51 | USD | 2285 | 10890 | (119313) | 130203 |
|  3.23% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 02/05/51 | USD | 2366 | 11277 | (123529) | 134806 |
|  3.23% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 02/22/51 | USD | 943 | 4316 | (49469) | 53785 |
|  3.22% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 05/27/51 | USD | 3534 | 18740 | (185178) | 203918 |
|  3.22% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 05/28/51 | USD | 579 | 3071 | (30337) | 33408 |
|  3.22% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 06/07/51 | USD | 1105 | 5769 | (58016) | 63785 |
|  1-Day SOFR, 4.32% | Annual | 3.22% | Annual | N/A | 06/22/51 | USD | 2396 | (12132) | 126405 | (138537) |
|  3.22% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 08/23/51 | USD | 793 | 3529 | (42450) | 45979 |
|  3.21% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 10/15/51 | USD | 1158 | 6975 | (60712) | 67687 |
|  3.21% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 10/18/51 | USD | 1791 | 10759 | (93939) | 104698 |
|  1-Day SOFR, 4.32% | Annual | 3.21% | Annual | N/A | 11/08/51 | USD | 1943 | (11126) | 102650 | (113776) |
|  3.21% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 11/30/51 | USD | 757 | 3841 | (40219) | 44060 |
|  3.21% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 01/21/52 | USD | 7765 | 34484 | (418911) | 453395 |
|  |  |  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;(13656459) | $&nbsp;&nbsp;&nbsp;&nbsp;(1120928) | $(12535531) |

---

<sup>(a)</sup> Forward Swap.

**OTC Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | <br>| *Financing*<br> *Rate Received*<br> *by the Trust* | *Payment*<br> *Frequency* | <br>| *Counterparty* | *Termination*<br> *Date* | *Credit*<br> *Rating* | <br> *<sup>(a)</sup>*  | ** <br>| *Notional*<br> *Amount (000)* | ** <br> *<sup>(b)</sup>*  | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* | <br>|
|  CMBX.NA.9 |  | 3.00% | Monthly |  | Morgan Stanley & Co. International PLC | 09/17/58 | N/R |  | USD | 1639 |  | $(308158) | $(353448) | $45290 |  |
|  CMBX.NA.15 |  | 3.00 | Monthly |  | Morgan Stanley & Co. International PLC | 11/18/64 | N/R |  | USD | 1000 |  | (191078) | (187387) | (3691) |  |
|  |  |  |  |  |  |  |  |  |  |  |  | $(499236) | $(540835) | $41599 |  |

---

<sup>(a)</sup> Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

<sup>(b)</sup> The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. 

38 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**OTC Interest Rate Swaps** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Trust | Paid by the Trust | <br>Received by the Trust | <br>Received by the Trust |  | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | <br> *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | <br> *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  China Fixing Repo Rates 7-Day, 3.00% | Quarterly | 2.60% | Quarterly | Morgan Stanley & Co.<br>International<br>PLC | N/A | 09/15/26 | CNY | 157 | $&nbsp;&nbsp;&nbsp;&nbsp;(53246) | $— | $(53246) |

---

**OTC Total Return Swaps** 

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Paid by the Trust | Paid by the Trust | <br>Received by the Trust | <br>Received by the Trust |  | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | <br> *Upfront<br>Premium<br>Paid*<br> *(Received)* | *Unrealized<br>Appreciation*<br> *(Depreciation)* |
| | *Rate/Reference* | *Frequency* | *Rate/Reference* | *Frequency* | *Counterparty* | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | <br> *Upfront<br>Premium<br>Paid*<br> *(Received)* | *Unrealized<br>Appreciation*<br> *(Depreciation)* |
|  | 1-Day SOFR minus 1.65%, 4.32% | Monthly | iShares iBoxx $ High Yield Corporate Bond ETF | Monthly | BNP Paribas SA | N/A | 01/17/23 | USD | 8656 | $(76490) | $— | $(76490) |
|  | 1-Day SOFR minus 0.30%, 4.32% | Monthly | iShares iBoxx $ High Yield Corporate Bond ETF | Monthly | JPMorgan<br>Chase Bank<br>N.A. | N/A | 01/17/23 | USD | 5528 | (161423) |  | (161423) |
|  | 1-Day SOFR minus 0.45%, 4.32% | Monthly | iShares iBoxx $ High Yield Corporate Bond ETF | Monthly | Barclays Bank<br>PLC | N/A | 01/27/23 | USD | 959 | (11001) |  | (11001) |
|  | 1-Day SOFR minus 0.40%, 4.32% | Monthly | iShares iBoxx $ High Yield Corporate Bond ETF | Monthly | BNP Paribas SA | N/A | 03/17/23 | USD | 837 | (12471) |  | (12471) |
|  | 1-Day SOFR minus 0.40%, 4.32% | Monthly | iShares iBoxx $ High Yield Corporate Bond ETF | Monthly | Goldman Sachs<br>International | N/A | 03/17/23 | USD | 3350 | (67008) |  | (67008) |
|  | 1-Day SOFR minus 0.40%, 4.32% | Monthly | iShares iBoxx $ High Yield Corporate Bond ETF | Monthly | JPMorgan<br>Chase Bank<br>N.A. | N/A | 03/17/23 | USD | 8465 | (160439) |  | (160439) |
|  | 1-Day SOFR minus 0.40%, 4.32% | Monthly | iShares iBoxx $ High Yield Corporate Bond ETF | Monthly | Merrill Lynch<br>International | N/A | 03/17/23 | USD | 2961 | (55335) |  | (55335) |
|  | 1-Day SOFR minus 0.20%, 4.32% | Quarterly | SPDR Bloomberg High Yield Bond ETF | Monthly | Barclays Bank<br>PLC | N/A | 03/17/23 | USD | 889 | (23796) | 394 | (24190) |
|  | 1-Day SOFR minus 0.20%, 4.32% | Monthly | SPDR Bloomberg High Yield Bond ETF | Monthly | BNP Paribas SA | N/A | 03/17/23 | USD | 10629 | (284243) |  | (284243) |
|  | 1-Day SOFR minus 0.20%, 4.32% | Monthly | SPDR Bloomberg High Yield Bond ETF | Monthly | Goldman Sachs<br>International | N/A | 03/17/23 | USD | 277 | (7560) |  | (7560) |
|  | 1-Day SOFR plus 0.15%, 4.32% | Monthly | SPDR Bloomberg High Yield Bond ETF | Monthly | Goldman Sachs<br>International | N/A | 03/17/23 | USD | 1494 | (32554) |  | (32554) |
|  |  |  |  |  |  |  |  |  |  | $(892320) | $394 | $(892714) |

---

S C H E D U L E O F I N V E S T M E N T S 39

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---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**OTC Total Return Swaps** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Entity* | *Payment*<br> *Frequency* | *Counterparty<sup>(a)</sup>* | *Termination*<br> *Date* | *Net Notional* | *Accrued*<br> *Unrealized*<br> *Appreciation*<br> *(Depreciation)* | *Net Value of*<br> *Reference*<br> *Entity* | *Gross*<br> *Notional*<br> *Amount*<br> *Net Asset*<br> *Percentage* |
|  Equity Securities Long/Short | Monthly | Citibank N.A.<sup>(b)</sup> | 10/11/23 | $4788123 | $130341 <sup>(c)</sup> | $4922547 | 0.3% |
|  | Monthly | JPMorgan Chase Bank N.A.<sup>(d)</sup> | 02/08/23 | (1111821) | 22862 <sup>(e)</sup> | (1083627) | 0.1 |
|  |  |  |  |  | $153203 | $3838920 |  |

---

<sup>(a)</sup> The Trust receives the total return on a portfolio of long positions underlying the total return swap. The Trust pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Trust pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. 

<sup>(c)</sup> Amount includes $(4083) of net dividends and financing fees. 

<sup>(e)</sup> Amount includes $(5332) of net dividends and financing fees. 

The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest:

---

| | | |
|:---|:---|:---|
|  | (b) | (d) |
| Range: | 26 basis points | 25-26 basis points |
| Benchmarks: | USD - 1D Overnight Bank Funding Rate (OBFR01) | USD - 1D Overnight Bank Funding Rate (OBFR01) |

---

The following table represents the individual long positions and related values of the equity securities underlying the total return swap with Citibank N.A. as of period end, termination date October 11, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of*<br> *Basket*<br> *Value* |
|  **Reference Entity — Long** |  |  |  |
| **Common Stocks** |  |  |  |
| **Italy** |  |  |  |
|  Leonardo SpA | 570746 | $4922547 | 100.0% |
|  **Net Value of Reference Entity — Citibank N.A.** | **Net Value of Reference Entity — Citibank N.A.** | $&nbsp;&nbsp;&nbsp;&nbsp;4922547 |  |

---

The following table represents the individual short positions and related values of the equity securities underlying the total return swap with JPMorgan Chase Bank N.A. as of period end, termination date February 8, 2023:

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Shares* | *Value* | *% of*<br> *Basket*<br> *Value* |
|  **Reference Entity — Short** |  |  |  |
| **Common Stocks** |  |  |  |
| **France** |  |  |  |
|  Pernod Ricard SA | (2748) | $(540593) | 49.9% |
| **United Kingdom** |  |  |  |
|  Diageo PLC | (12406) | (543034) | 50.1 |
|  |  | (1083627) |  |
|  **Net Value of Reference Entity — JPMorgan Chase Bank N.A.** | **Net Value of Reference Entity — JPMorgan Chase Bank N.A.** | $&nbsp;&nbsp;&nbsp;&nbsp;(1083627) |  |

---

40 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**Balances Reported in the Consolidated Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Description* | *Swap*<br> *Premiums*<br> *Paid* | *Swap*<br> *Premiums*<br> *Received* | *Unrealized*<br> *Appreciation* | *Unrealized*<br> *Depreciation* | *Value* |
|  Centrally Cleared Swaps<sup>(a)</sup> | $6564169 | $(7585041) | $15202491 | $(25654873) | $— |
|  OTC Swaps | 394 | (540835) | 198493 | (949651) |  |
|  Options Written | N/A | N/A | 2758685 | (7900797) | (13714621) |

---

<sup>(a)</sup> Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day's variation margin is reported within the Consolidated Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. 

**Derivative Financial Instruments Categorized by Risk Exposure** 

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity*<br> *Contracts* | *Credit*<br> *Contracts* | *Equity*<br> *Contracts* | *Foreign*<br> *Currency*<br> *Exchange*<br> *Contracts* | *Interest*<br> *Rate*<br> *Contracts* | *Other*<br> *Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup> | $— | $— | $2897211 | $— | $9573580 | $— | $12470791 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts |  |  |  | 2998199 |  |  | 2998199 |
|  Options purchased |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments at value — unaffiliated<sup>(b)</sup> |  |  | 2484200 | 251428 | 3903547 |  | 6639175 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on centrally cleared swaps<sup>(a)</sup> |  | 3743844 |  |  | 11458647 |  | 15202491 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on OTC swaps; Swap premiums paid |  | 45290 | 153597 |  |  |  | 198887 |
|  | $— | $3789134 | $5535008 | $3249627 | $24935774 | $— | $37509543 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $17951 | $— | $3234834 | $— | $3252785 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 9481295 |  |  | 9481295 |
|  Options written |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Options written at value |  |  | 2689248 | 70360 | 10955013 |  | 13714621 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on centrally cleared swaps<sup>(a)</sup> |  | 1647656 |  |  | 23994178 | 13039 | 25654873 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on OTC swaps; Swap premiums received |  | 544526 | 892714 |  | 53246 |  | 1490486 |
|  | $— | $2192182 | $3599913 | $9551655 | $38237271 | $13039 | $53594060 |

---

<sup>(a)</sup> Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, only current day's variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). 

<sup>(b)</sup> Includes options purchased at value as reported in the Consolidated Schedule of Investments.

For the period ended December 31, 2022, the effect of derivative financial instruments in the Consolidated Statement of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity*<br> *Contracts* | *Credit*<br> *Contracts* | *Equity*<br> *Contracts* | *Foreign*<br> *Currency*<br> *Exchange*<br> *Contracts* | *Interest*<br> *Rate*<br> *Contracts* | *Other*<br> *Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $(681967) | $— | $28169431 | $— | $(6220702) | $— | $21266762 |
|  Forward foreign currency exchange contracts |  |  |  | 36933815 |  |  | 36933815 |
|  Options purchased<sup>(a)</sup> |  |  | (9334925) | 1068594 | (1381185) |  | (9647516) |
|  Options written |  | 33911 | 11005355 | 529524 | (1000896) |  | 10567894 |
|  Swaps |  | 4068220 | 2952351 |  | 29246059 |  | 36266630 |
|  | $(681967) | $4102131 | $32792212 | $38531933 | $20643276 | $— | $95387585 |

---

S C H E D U L E O F I N V E S T M E N T S 41

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity*<br> *Contracts* | *Credit*<br> *Contracts* | *Equity*<br> *Contracts* | *Foreign*<br> *Currency*<br> *Exchange*<br> *Contracts* | *Interest*<br> *Rate*<br> *Contracts* | *Other*<br> *Contracts* | *Total* |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $138541 | $— | $5453100 | $— | $5595542 | $— | $11187183 |
|  Forward foreign currency exchange contracts |  |  |  | (4498780) |  |  | (4498780) |
|  Options purchased<sup>(b)</sup> |  |  | (2389609) | 411378 | 1947229 |  | (31002) |
|  Options written |  |  | (655789) | (124761) | (6735079) |  | (7515629) |
|  Swaps |  | (508249) | (437216) |  | (22055138) | (13039) | (23013642) |
|  | $138541 | $&nbsp;&nbsp;&nbsp;&nbsp;(508249) | $&nbsp;&nbsp;&nbsp;&nbsp;1970486 | $(4212163) | $(21247446) | $(13039) | $(23871870) |

---

<sup>(a)</sup> Options purchased are included in net realized gain (loss) from investments — unaffiliated.

<sup>(b)</sup> Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated.

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $332466205 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $506991951 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $539602274 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $240392172 |
|  Options: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average value of option contracts purchased | $6285380 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average value of option contracts written | $6264265 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of swaption contracts purchased | $252554358 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of swaption contracts written | $957629525 |
|  Credit default swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — buy protection | $2052270 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — sell protection | $136728060 |
|  Interest rate swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — pays fixed rate | $548081369 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — receives fixed rate | $641797616 |
|  Inflation swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — receives fixed rate | $730490 |
|  Total return swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value | $45378571 |

---

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 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $2162815 | $1478819 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 2998199 | 9481295 |
| &nbsp;&nbsp;&nbsp;&nbsp; Options | 6639175 <sup>(a)</sup> | 13714621 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — centrally cleared |  | 314903 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — OTC<sup>(b)</sup> | 198887 | 1490486 |
|  Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities | 11999076 | 26480124 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") | (5168847) | (4719119) |
|  Total derivative assets and liabilities subject to an MNA | $6830229 | $21761005 |

---

<sup>(a)</sup> Includes options purchased at value which is included in Investments at value — unaffiliated in the Consolidated Statement of Assets and Liabilities and reported in the Consolidated Schedule of Investments.

<sup>(b)</sup> Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Consolidated Statement of Assets and Liabilities.

42 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  *Counterparty* | *Derivative*<br> *Assets*<br> *Subject to*<br> *an MNA by<br>Counterparty* | <br>** <br>| *Derivatives*<br> *Available*<br> *for Offset* | *Non-Cash<br>Collateral*<br> *Received* | *Cash*<br> *Collateral*<br> *Received* | *Net Amount<br>of Derivative<br>Assets* | *<br><sup>(c)(d)</sup>* |
|  Bank of America N.A. | $87416 |  | $(87416) | $— | $— | $— |  |
|  Barclays Bank PLC | 9975 |  | (9975) |  |  |  |  |
|  Citibank N.A. | 726461 |  | (726461) |  |  |  |  |
|  Deutsche Bank AG | 1206471 |  | (468686) |  |  | 737785 |  |
|  Goldman Sachs International | 2448159 |  | (2448159) |  |  |  |  |
|  HSBC Bank PLC | 1499 |  | (1499) |  |  |  |  |
|  JPMorgan Chase Bank N.A. | 456395 |  | (456395) |  |  |  |  |
|  Morgan Stanley & Co. International PLC | 1820240 |  | (1820240) |  |  |  |  |
|  State Street Bank and Trust Co. | 6276 |  | (5300) |  |  | 976 |  |
|  UBS AG | 67337 |  |  |  |  | 67337 |  |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;6830229 |  | $(6024131) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;806098 |  |
|  *Counterparty* | *Derivative*<br> *Liabilities*<br> *Subject to*<br> *an MNA by*<br> *Counterparty* | <br>| *Derivatives*<br> *Available*<br> *for Offset* | *Non-Cash*<br> *Collateral*<br> *Pledged* | *Cash*<br> *Collateral*<br> *Pledged* | *Net Amount*<br> *of Derivative*<br> *Liabilities* | <br>*<sup>(c)(e)</sup>*  |
|  Bank of America N.A. | $343280 |  | $(87416) | $— | $— | $255864 |  |
|  Barclays Bank PLC | 64770 |  | (9975) |  |  | 54795 |  |
|  BNP Paribas SA | 408994 |  |  |  |  | 408994 |  |
|  Citibank N.A. | 784792 |  | (726461) |  |  | 58331 |  |
|  Deutsche Bank AG | 468686 |  | (468686) |  |  |  |  |
|  Goldman Sachs International | 4623743 |  | (2448159) | (1315651) |  | 859933 |  |
|  HSBC Bank PLC | 26172 |  | (1499) |  |  | 24673 |  |
|  JPMorgan Chase Bank N.A. | 5522110 |  | (456395) | (959740) |  | 4105975 |  |
|  Merrill Lynch International | 55335 |  |  |  |  | 55335 |  |
|  Morgan Stanley & Co. International PLC | 9457823 |  | (1820240) | (4354515) | &nbsp;&nbsp;&nbsp;&nbsp;(416000 | 2867068 |  |
|  State Street Bank and Trust Co. | 5300 |  | (5300) |  |  |  |  |
|  | $21761005 |  | $(6024131) | $(6629906) | $(416000) | $8690968 |  |

---

<sup>(a)</sup> The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. 

<sup>(b)</sup> Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

<sup>(c)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(d)</sup> Net amount represents the net amount receivable from the counterparty in the event of default. 

<sup>(e)</sup> 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 Consolidated Statement of Assets and Liabilities. 

**Fair Value Hierarchy as of Period End** 

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust's policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Trust's financial instruments categorized in the fair value hierarchy. The breakdown of the Trust's financial instruments into major categories is disclosed in the Consolidated Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $151078702 | $11817455 | $162896157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Australia |  | 8508623 |  | 8508623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canada | 20220873 |  |  | 20220873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cayman Islands | 21 |  | 1162666 | 1162687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; China |  | 6289807 |  | 6289807 |

---

S C H E D U L E O F I N V E S T M E N T S 43

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**Fair Value Hierarchy as of Period End (continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Finland | $— | $— | $3848108 | $3848108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; France |  | 37412671 |  | 37412671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Germany | 732649 | 41519874 |  | 42252523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 5505899 |  | 5505899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; India |  |  | 5471153 | 5471153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Israel | 7773343 |  |  | 7773343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Italy | 4902365 | 2695676 |  | 7598041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 11974636 |  | 11974636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 34922161 |  | 34922161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 6870505 |  | 6870505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 8304878 |  | 8304878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 6975752 | 8906344 |  | 15882096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 5165211 |  |  | 5165211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 6347892 | 40741843 |  | 47089735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United States | 565199853 | 9097123 | 16644714 | 590941690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 237396489 | 36101303 | 273497792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Floating Rate Loan Interests |  | 52723118 | 80651617 | 133374735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Agency Obligations |  | 55539751 |  | 55539751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | 22411343 |  |  | 22411343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 2363960 |  | 2363960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities |  | 146128369 | 10549081 | 156677450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Interests |  |  | 6069584 | 6069584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Capital Trust |  | 889205 |  | 889205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks |  | 4100116 | 56384367 | 60484483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities |  | 252215663 |  | 252215663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations |  | 7544605 |  | 7544605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Israel | 3136 |  | 127394 | 130530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 38416 |  |  | 38416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United States | 60684 | 7356 | 829644 | 897684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Certificates of Deposit |  | 2929519 |  | 2929519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Paper |  | 747034 |  | 747034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 49048882 |  |  | 49048882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options Purchased |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | 2389157 | 95043 |  | 2484200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | 228085 | 23343 | 251428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | 616875 | 3286672 |  | 3903547 |
|  Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments |  | (130311513) |  | (130311513) |
| &nbsp;&nbsp;&nbsp;&nbsp; Unfunded Floating Rate Loan Interests<sup>(a)</sup> |  | (5042) |  | (5042) |
|  | $691886452 | $1009707172 | $229680429 | 1931274053 |
|  Investments Valued at NAV<sup>(b)</sup> |  |  |  | 3851324 |
|  |  |  |  | $1935125377 |
|  Derivative Financial Instruments<sup>(c)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | $— | $3789134 | $— | $3789134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | 1562557 | 1487857 |  | 3050414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | 2998199 |  | 2998199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | 9573580 | 11458647 |  | 21032227 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts |  | (1651347) |  | (1651347) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | (2698360) | (901553) |  | (3599913) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (9551655) |  | (9551655) |

---

44 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

**Fair Value Hierarchy as of Period End (continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Derivative Financial Instruments<sup>(c)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | $(3477178) | $(34760093) | $— | $(38237271) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Contracts |  | (13039) |  | (13039) |
|  | $4960599 | $(27143850) | $— | $(22183251) |

---

<sup>(a)</sup> Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

<sup>(b)</sup> Certain investments of the Trust were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

<sup>(c)</sup> Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. 

A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year 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:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Asset-Backed*<br> *Securities* | *Common*<br> *Stocks* | *Corporate*<br> *Bonds* | *Floating*<br> *Rate Loan*<br> *Interests* | *Non-Agency*<br> *Mortgage-Backed<br>Securities* | *Options*<br> *Purchased* | *Other*<br> *Interests* | *Preferred*<br> *Stocks* |
|  **Assets** |  |  |  |  |  |  |  |  |
|  Opening balance, as of December 31, 2021 | $23774997 | $21433988 | $19416491 | $70215893 | $8778680 | $— | $5373584 | $54495679 |
|  Transfers into Level 3 |  |  |  | 4124637 | 6258457 |  |  |  |
|  Transfers out of Level 3 | (5692260) | (173050) |  | (8072568) | (1202284) |  |  |  |
|  Accrued discounts/premiums | 8374 |  | 99675 | 181787 | 70316 |  |  |  |
|  Net realized gain (loss) | (869900) |  | 2028 | (7233) | (325295) |  |  | 32806 |
|  Net change in unrealized appreciation (depreciation)<sup>(a)(b)</sup> | (539806) | (3771583) | (935845) | (3632622) | (1222483) | (19989) | 696000 | (10650823) |
|  Purchases |  | 9637565 | 17675929 | 23530158 | 904449 | 43332 |  | 12592874 |
|  Sales | (4863950) | (279) | (156975) | (5688435) | (2712759) |  |  | (86169) |
|  Closing balance, as of December 31, 2022 | $11817455 | $27126641 | $36101303 | $80651617 | $10549081 | $23343 | $6069584 | $56384367 |
|  Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022<sup>(b)</sup> | $(1310501) | $(3755172) | $(935381) | $(3632622) | (1222483) | $(19989) | $696000 | $(10651287) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Unfunded Floating*<br> *Rate*<br> *Loan Interests* | *Unfunded*<br> *SPAC PIPE<br>Commitments* | *Warrants* | *Total* |
|  **Assets** |  |  |  |  |
|  Opening balance, as of December 31, 2021 | $(518) | $227689 | $298880 | $204015363 |
|  Transfers into Level 3 |  |  |  | 10383094 |
|  Transfers out of Level 3 | 518 |  |  | (15139644) |
|  Accrued discounts/premiums |  |  |  | 360152 |
|  Net realized gain (loss) |  |  |  | (1167594) |
|  Net change in unrealized appreciation (depreciation)<sup>(a)(b)</sup> |  | (227689) | 769997 | (19534843) |
|  Purchases |  |  |  | 64384307 |
|  Sales |  |  | (111839) | (13620406) |
|  Closing balance, as of December 31, 2022 | $— | $— | $957038 | $229680429 |
|  Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022<sup>(b)</sup> | $— | $— | $753702 | $(20077733) |

---

<sup>(a)</sup> Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statements of Operations.

<sup>(b)</sup> Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022 is generally due to investments no longer held or categorized as Level 3 at period end.

S C H E D U L E O F I N V E S T M E N T S 45

------

---

| | |
|:---|:---|
| Consolidated Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock Capital Allocation Trust (BCAT)** |

---

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Valuation Committee (the "Valuation Committee") to determine the value of certain of the Trust's Level 3 financial instruments as of period end. The table does not include Level 3 financial instruments with values based upon unadjusted third-party pricing information in the amount of $32,479,574. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Value* | | *Valuation*<br> *Approach* | <br>| *Unobservable*<br> *Inputs* | *Range of*<br> *Unobservable*<br> *Inputs*<br> *Utilized* | <br>*<sup>(a)</sup>*  | *Weighted*<br> *Average of*<br> *Unobservable*<br> *Inputs Based*<br> *on Fair Value* | <br>|
|  **Assets** |  |  |  |  |  |  |  |  |  |
|  Common Stocks<sup>(b)</sup> | $27126641 |  | Market |  | Revenue Multiple | 5.00x - 13.50x |  | 8.78x |  |
|  |  |  |  |  | Volatility | 51% - 78% |  | 72% |  |
|  |  |  |  |  | Time to Exit | 1.0 -1.4 years |  | 1.1 years |  |
|  |  |  |  |  | EBITDA Multiple | 24.00x |  |  |  |
|  |  |  |  |  | Market Adjustment Multiple | 0.50x |  |  |  |
|  Asset Backed Securities | 3013289 |  | Income |  | Discount Rate | 9% |  |  |  |
|  Corporate Bonds | 32003760 |  | Income |  | Discount Rate | 8% - 35% |  | 14% |  |
|  |  |  | Market |  | Revenue Multiple | 12.25x |  |  |  |
|  |  |  |  |  | Volatility | 60%- 60% |  | 60% |  |
|  Floating Rate Loan Interests | 71646176 |  | Income |  | Discount Rate | 6% - 16% |  | 12% |  |
|  |  |  |  |  | Credit Spread | 394 - 819 |  | 464 |  |
|  Other Interests | 6069584 |  | Income |  | Discount Rate | 6% - 7% |  | 7% |  |
|  Preferred Stock<sup>(b)(c)</sup> | 56384367 |  | Market |  | Revenue Multiple | 0.21x - 26.00x |  | 10.27x |  |
|  |  |  |  |  | Volatility | 50% - 85% |  | 68% |  |
|  |  |  |  |  | Time to Exit | 1.5 -5.0 years |  | 3.0 years |  |
|  |  |  |  |  | Market Adjustment Multiple | 0.50x -1.00x |  | 0.87x |  |
|  |  |  |  |  | EBITDAR Multiple | 6.50x |  |  |  |
|  |  |  |  |  | Recent Transactions | <sup>(d)</sup> |  |  |  |
|  |  |  | Income |  | Discount Rate | 12% |  |  |  |
|  Warrants | 957038 |  | Market |  | Revenue Multiple | 6.75x - 18.00x |  | 9.68x |  |
|  |  |  |  |  | Volatility | 40% - 68% |  | 62% |  |
|  |  |  |  |  | Time to Exit | 0.5 - 4.7 years |  | 4.4 years |  |
|  |  |  | Income |  | Discount Rate | 13% |  |  |  |
|  | $197200855 |  |  |  |  |  |  |  |  |

---

<sup>(a)</sup> A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

<sup>(b)</sup> The fund valued certain of its Level 3 Common Stock and Preferred Stock using recent transaction prices as the best approximation of fair value. The value of Level 3 investments obtained using recent prior transaction prices, for which inputs are unobservable, is $14,500,297 as of December 31, 2022. 

<sup>(c)</sup> For the period end December 31, 2022, the valuation technique for investments classified as Preferred Stock amounting to $9,269,235 changed to utilizing a discounted cash flow method. The investments were previously valued utilizing a recent transaction. The change was due to consideration of the information that was available at the time the investments were valued. 

<sup>(d)</sup> For the period end December 31, 2022, the valuation technique for certain investments classified as Preferred Stock used recent prior transaction prices as inputs within the model used for the approximation of fair value.

*See notes to financial statements.* 

46 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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| | |
|:---|:---|
| Schedule of Investments <br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities** |  |  |  |
|  **Cayman Islands<sup>(b)</sup> — 2.0%** |  |  |  |
|  ALM Ltd., Series 2020-1A, Class D, (3 mo. LIBOR US + 6.00%), 10.08%, 10/15/29<sup>(a)</sup> | USD | 325 | $282451 |
|  Apidos CLO XXXVI, Series 2021-36A, Class B, (3 mo. LIBOR US + 1.60%), 5.84%, 07/20/34<sup>(a)</sup> |  | 250 | 238843 |
|  Ares LIX CLO Ltd., Series 2021-59A, Class E, (3 mo. LIBOR US + 6.25%), 10.61%, 04/25/34<sup>(a)</sup> |  | 250 | 214440 |
|  Ares LVI CLO Ltd., Series 2020-56A, Class ER, (3 mo. LIBOR US + 6.50%), 10.86%, 10/25/34<sup>(a)</sup> |  | 250 | 223062 |
|  Battalion CLO IX Ltd., Series 2015-9A, Class DR, (3 mo. LIBOR US + 3.25%), 7.33%, 07/15/31<sup>(a)</sup> |  | 250 | 219687 |
|  Birch Grove CLO 3 Ltd., Series 2021-3A, Class D1, (3 mo. LIBOR US + 3.20%), 7.43%, 01/19/35<sup>(a)</sup> |  | 500 | 452825 |
|  Birch Grove CLO Ltd., Series 19A, Class DR, (3 mo. LIBOR US + 3.35%), 8.12%, 06/15/31<sup>(a)</sup> |  | 500 | 470775 |
|  BlueMountain CLO Ltd., Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.18%), 5.50%, 10/22/30<sup>(a)</sup> |  | 245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;241910 |
|  Carlyle U.S. CLO Ltd., Series 2018-4A, Class A2, (3 mo. LIBOR US + 1.80%), 6.04%, 01/20/31<sup>(a)</sup> |  | 500 | 483314 |
|  CarVal CLO VC Ltd.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D, (3 mo. LIBOR US + 3.25%), 7.33%, 10/15/34 |  | 250 | 229744 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class E, (3 mo. LIBOR US + 6.75%), 10.83%, 10/15/34 |  | 250 | 221089 |
|  Cedar Funding IX CLO Ltd., Series 2018-9A, Class D, (3 mo. LIBOR US + 2.60%), 6.84%, 04/20/31<sup>(a)</sup> |  | 250 | 233203 |
|  Cedar Funding XIV CLO Ltd.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-14A, Class B, (3 mo. LIBOR US + 1.60%), 5.68%, 07/15/33 |  | 500 | 483433 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-14A, Class E, (3 mo. LIBOR US + 6.34%), 10.42%, 07/15/33 |  | 250 | 226347 |
|  CIFC Funding Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR US + 3.55%), 7.63%, 07/16/30<sup>(a)</sup> |  | 500 | 445641 |
|  Elmwood CLO I Ltd., Series 2019-1A, Class AR, (3 mo. LIBOR US + 1.45%), 5.69%, 10/20/33<sup>(a)</sup> |  | 250 | 247471 |
|  Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3 mo. LIBOR US + 6.80%), 11.04%, 04/20/34<sup>(a)</sup> |  | 750 | 689836 |
|  Elmwood CLO IV Ltd., Series 2020-1A, Class B, (3 mo. LIBOR US + 1.70%), 5.78%, 04/15/33<sup>(a)</sup> |  | 500 | 482750 |
|  Elmwood CLO VII Ltd., Series 2020-4A, Class SUB, 0.00%, 01/17/34<sup>(a)</sup> |  | 1000 | 725609 |
|  Generate CLO 6 Ltd., Series 6A, Class DR, (3 mo. LIBOR US + 3.50%), 7.82%, 01/22/35<sup>(a)</sup> |  | 750 | 664406 |
|  GoldenTree Loan Management U.S. CLO 1 Ltd.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-11A, Class E, (3 mo. LIBOR US + 5.35%), 9.59%, 10/20/34 |  | 1500 | 1259320 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-11A, Class EJ, (3 mo. LIBOR US + 7.75%), 11.99%, 10/20/34 |  | 1000 | 934637 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-9A, Class E, (3 mo. LIBOR US + 4.75%), 8.99%, 01/20/33 |  | 750 | 618602 |
|  GoldenTree Loan Management U.S. CLO 5 Ltd., Series 2019-5A, Class BR, (3 mo. LIBOR US + 1.55%), 5.79%, 10/20/32<sup>(a)</sup> |  | 250 | 243896 |
|  Golub Capital Partners CLO 53B Ltd., Series 2021- 53A, Class E, (3 mo. LIBOR US + 6.70%), 10.94%, 07/20/34<sup>(a)</sup> |  | 250 | 220800 |
|  Golub Capital Partners CLO 55B Ltd., Series 2021- 55A, Class E, (3 mo. LIBOR US + 6.56%), 10.80%, 07/20/34<sup>(a)</sup> |  | 250 | 220129 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Cayman Islands (continued)** |  |  |  |
|  Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E, (3 mo. LIBOR US + 6.45%), 10.53%, 04/15/33<sup>(a)</sup> | USD | 375 | $325110 |
|  Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class D, (3 mo. SOFR + 6.85%), 10.71%, 07/15/35<sup>(a)</sup> |  | 250 | 224951 |
|  Harbor Park CLO 18-1 Ltd., Series 2018-1A, Class E, (3 mo. LIBOR US + 5.60%), 9.84%, 01/20/31<sup>(a)</sup> |  | 250 | 214631 |
|  Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3 mo. LIBOR US + 6.25%), 10.48%, 10/19/34<sup>(a)</sup> |  | 500 | 447076 |
|  Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3 mo. LIBOR US + 5.70%), 9.89%, 10/18/30<sup>(a)</sup> |  | 250 | 225505 |
|  Madison Park Funding XXXIV Ltd., Series 2019-34A, Class DR, (3 mo. LIBOR US + 3.35%), 7.71%, 04/25/32<sup>(a)</sup> |  | 250 | 238349 |
|  Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class B, (3 mo. LIBOR US + 1.65%), 5.73%, 07/17/34<sup>(a)</sup> |  | 500 | 475696 |
|  Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3 mo. LIBOR US + 3.65%), 7.97%, 01/22/35<sup>(a)</sup> |  | 250 | 227808 |
|  Mill City Solar Loan Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class C, 5.92%, 03/20/43 |  | 1382 | 1288871 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class D, 7.14%, 03/20/43 |  | 2113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1932990 |
|  Myers Park CLO Ltd., Series 2018-1A, Class E, (3 mo. LIBOR US + 5.50%), 9.74%, 10/20/30<sup>(a)</sup> |  | 250 | 204728 |
|  Neuberger Berman CLO XIV Ltd., Series 14A, Class AR2, (3 mo. LIBOR US + 1.03%), 5.40%, 01/28/30<sup>(a)</sup> |  | 244 | 240558 |
|  Neuberger Berman Loan Advisers CLO 46 Ltd., Series 2021- 46A, Class B, (3 mo. LIBOR US + 1.65%), 5.89%, 01/20/36<sup>(a)</sup> |  | 250 | 237445 |
|  Octagon 54 Ltd., Series 2021-1A, Class D, (3 mo. LIBOR US + 3.05%), 7.13%, 07/15/34<sup>(a)</sup> |  | 1500 | 1387855 |
|  OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3 mo. LIBOR US + 1.70%), 5.98%, 10/25/34<sup>(a)</sup> |  | 250 | 239396 |
|  OHA Loan Funding Ltd., Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.04%), 5.73%, 05/23/31<sup>(a)</sup> |  | 500 | 492220 |
|  Palmer Square CLO Ltd.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class A2R3, (3 mo. LIBOR US + 1.50%), 5.73%, 10/17/31 |  | 250 | 241171 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class A2R, (3 mo. LIBOR US + 1.60%), 6.21%, 11/15/31 |  | 500 | 483683 |
|  Palmer Square Loan Funding Ltd., Series 2021-4A, Class E, (3 mo. LIBOR US + 7.51%), 11.59%, 10/15/29<sup>(a)</sup> |  | 500 | 471054 |
|  Park Avenue Institutional Advisers CLO Ltd., |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D, (3 mo. LIBOR US + 3.40%), 7.48%, 07/15/34<sup>(a)</sup> |  | 1650 | 1460142 |
|  Pikes Peak CLO 11, Series 2021-11A, Class A1, (3 mo. SOFR + 1.95%), 4.13%, 07/25/34<sup>(a)</sup> |  | 1500 | 1464208 |
|  Rad CLO 15 Ltd., Series 2021-15A, Class E, (3 mo. LIBOR US + 6.20%), 10.44%, 01/20/34<sup>(a)</sup> |  | 250 | 214680 |
|  Regatta XVII Funding Ltd., Series 2020-1A, Class E, (3 mo. LIBOR US + 7.61%), 11.69%, 10/15/33<sup>(a)</sup> |  | 250 | 228273 |
|  Regatta XXIV Funding Ltd.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-5A, Class D, (3 mo. LIBOR US + 3.10%), 7.34%, 01/20/35 |  | 250 | 230818 |

---

S C H E D U L E O F I N V E S T M E N T S 47

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Cayman Islands (continued)** |  |  |  |
|  Regatta XXIV Funding Ltd.<sup>(a)</sup> (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-5A, Class E, (3 mo. LIBOR US + 6.80%), 11.04%, 01/20/35 | USD | 250 | $224110 |
|  Sixth Street CLO XVI Ltd., Series 2020-16A, Class A1A, (3 mo. LIBOR US + 1.32%), 5.56%, 10/20/32<sup>(a)</sup> |  | 750 | 743899 |
|  Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3 mo. LIBOR US + 6.20%), 10.44%, 01/20/34<sup>(a)</sup> |  | 750 | 653130 |
|  Stratus CLO Ltd.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class E, (3 mo. LIBOR US + 5.00%), 9.24%, 12/29/29 |  | 1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1099770 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class SUB, 0.00%, 12/29/29 |  | 1250 | 488225 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class E, (3 mo. LIBOR US + 5.75%), 9.99%, 12/28/29 |  | 300 | 269325 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class E, (3 mo. LIBOR US + 5.75%), 9.99%, 12/29/29 |  | 250 | 227772 |
|  Symphony CLO XXIII Ltd., Series 2020-23A, Class ER, (3 mo. LIBOR US + 6.15%), 10.23%, 01/15/34<sup>(a)</sup> |  | 500 | 456267 |
|  TICP CLO I-2 Ltd., Series 2018-IA, Class C, (3 mo. LIBOR US + 3.04%), 7.37%, 04/26/28<sup>(a)</sup> |  | 250 | 240649 |
|  TICP CLO IX Ltd., Series 2017-9A, Class D, (3 mo. LIBOR US + 2.90%), 7.14%, 01/20/31<sup>(a)</sup> |  | 250 | 237298 |
|  TICP CLO XIV Ltd., Series 2019-14A, Class DR, (3 mo. LIBOR US + 6.70%), 10.94%, 10/20/32<sup>(a)</sup> |  | 500 | 459303 |
|  Trestles CLO V Ltd., Series 2021-5A, Class E, (3 mo. LIBOR US + 6.35%), 10.59%, 10/20/34<sup>(a)</sup> |  | 1000 | 863261 |
|  Trimaran CAVU Ltd.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class E, (3 mo. LIBOR US + 7.04%), 11.28%, 07/20/32 |  | 500 | 447415 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.25%), 7.61%, 10/25/34 |  | 550 | 498567 |
|  Voya CLO Ltd., Series 2019-3A, Class BR, (3 mo. LIBOR US + 1.65%), 5.73%, 10/17/32<sup>(a)</sup> |  | 250 | 240715 |
|  Whitebox CLO II Ltd., Series 2020-2A, Class ER, (3 mo. LIBOR US + 7.10%), 11.42%, 10/24/34<sup>(a)</sup> |  | 250 | 224039 |
|  Whitebox CLO III Ltd.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, (3 mo. LIBOR US + 3.35%), 7.43%, 10/15/34 |  | 1000 | 935356 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class E, (3 mo. LIBOR US + 6.85%), 10.93%, 10/15/34 |  | 1250 | 1135242 |
|  |  |  | 33615781 |
| **United States<sup>(b)</sup> — 1.6%** |  |  |  |
|  FirstKey Homes Trust, Series 2022-SFR1, Class E1, 5.00%, 05/17/39 |  | 3000 | 2556650 |
|  Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class A1, (3 mo. LIBOR US + 1.37%), 5.45%, 04/15/33<sup>(a)</sup> |  | 500 | 489674 |
|  Home Partners of America Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class F, 3.80%, 12/17/26 |  | 2431 | 1986995 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class F, 4.24%, 01/17/41 |  | 3738 | 3057928 |
|  Mariner Finance Issuance Trust, Series 2021-BA, Class E, 4.68%, 11/20/36 |  | 470 | 329115 |
|  Mosaic Solar Loan Trust, Series 2018-2GS, Class C, 5.97%, 02/22/44<sup>(c)</sup> |  | 409 | 343613 |
|  New Residential Mortgage Loan Trust, Series 2022- SFR1, Class F, 4.44%, 02/17/39 |  | 3000 | 2564759 |
|  Oportun Issuance Trust, Series 2021-C, Class C, 3.61%, 10/08/31 |  | 160 | 135573 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  Progress Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR10, Class F, 4.61%, 12/17/38 | USD | 3000 | $2451549 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR11, Class G, 4.69%, 01/17/39 |  | 3000 | 2339571 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR9, Class F, 4.05%, 11/17/40 |  | 2400 | 1904819 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class F, 4.88%, 02/17/41 |  | 2000 | 1560755 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class G, 5.52%, 02/17/41 |  | 2000 | 1561565 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E1, 5.20%, 04/17/39 |  | 2700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2379853 |
|  Republic Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A, Class D, 7.00%, 11/20/30 |  | 600 | 553217 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class D, 5.23%, 12/22/31 |  | 800 | 654564 |
|  Tricon Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class F, 3.69%, 07/17/38 |  | 1375 | 1162819 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class G, 4.13%, 07/17/38 |  | 887 | 735776 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E2, 5.74%, 04/17/39 |  | 1200 | 1093751 |
|  |  |  | 27862546 |
|  **Total Asset-Backed Securities — 3.6%<br>(Cost: $70,821,683)** |  |  | 61478327 |
|  |  | *Shares* |  |
| **Common Stocks** |  |  |  |
| **Canada — 0.2%** |  |  |  |
|  Cameco Corp. |  | 88101 | 1997249 |
|  Enbridge, Inc. |  | 22000 | 860200 |
|  Lululemon Athletica, Inc.<sup>(d)</sup> |  | 1781 | 570597 |
|  |  |  | 3428046 |
| **Cayman Islands — 0.0%** |  |  |  |
|  Salt Pay Co. Ltd., Series C, (Acquired 11/16/21,<br>Cost: $1,099,370)<sup>(c)(e)</sup> |  | 566 | 532849 |
| **China — 0.3%** |  |  |  |
|  BYD Co. Ltd., Class H |  | 242500 | 5949489 |
| **Finland — 1.3%** |  |  |  |
|  Aiven<sup>(c)</sup> |  | 35053 | 3559983 |
|  Neste OYJ |  | 390709 | 18018310 |
|  |  |  | 21578293 |
| **France — 5.4%** |  |  |  |
|  BNP Paribas SA |  | 206298 | 11746429 |
|  Cie de Saint-Gobain |  | 310548 | 15192256 |
|  Hermes International |  | 4801 | 7431234 |
|  Kering SA |  | 12183 | 6200264 |
|  LVMH Moet Hennessy Louis Vuitton SE |  | 36854 | 26818374 |
|  Schneider Electric SE |  | 153726 | 21588446 |
|  TotalEnergies SE, ADR |  | 44000 | 2731520 |
|  |  |  | 91708523 |
| **Germany — 3.2%** |  |  |  |
|  Commerzbank AG<sup>(d)</sup> |  | 111099 | 1038733 |
|  Infineon Technologies AG |  | 199586 | 6065795 |
|  Mercedes-Benz Group AG, Registered Shares |  | 267052 | 17463829 |
|  SAP SE |  | 209644 | 21643788 |
|  SAP SE, ADR |  | 6500 | 670735 |
|  Siemens AG, Registered Shares |  | 50389 | 6946184 |
|  |  |  | 53829064 |
| **Hong Kong — 0.1%** |  |  |  |
|  AIA Group Ltd. |  | 159400 | 1760315 |

---

48 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Ireland — 0.0%** |  |  |
|  Trane Technologies PLC | 52 | $8741 |
| **Italy — 0.3%** |  |  |
|  Ariston Holding NV | 445371 | 4586308 |
| **Japan — 0.4%** |  |  |
|  FANUC Corp. | 41800 | 6255223 |
| **Netherlands — 2.0%** |  |  |
|  ASML Holding NV | 28447 | 15510773 |
|  ING Groep NV, Series N | 1450719 | 17671423 |
|  |  | 33182196 |
| **Norway — 0.1%** |  |  |
|  Equinor ASA, ADR | 24000 | 859440 |
| **South Korea<sup>(d)</sup> — 1.2%** |  |  |
|  LG Energy Solution Ltd. | 26587 | 9163387 |
|  Samsung SDI Co. Ltd. | 25776 | 12102924 |
|  |  | 21266311 |
| **Spain — 0.1%** |  |  |
|  Cellnex Telecom SA<sup>(b)</sup> | 52312 | 1735253 |
| **Sweden — 0.2%** |  |  |
|  Volvo AB, B Shares | 211977 | 3829067 |
| **Switzerland — 0.8%** |  |  |
|  Nestle SA, Registered Shares | 74577 | 8614341 |
|  TE Connectivity Ltd. | 49077 | 5634040 |
|  |  | 14248381 |
| **Taiwan — 0.5%** |  |  |
|  Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 117211 | 8731047 |
| **United Kingdom — 2.5%** |  |  |
|  AstraZeneca PLC | 4000 | 541277 |
|  AstraZeneca PLC, ADR | 165868 | 11245851 |
|  Compass Group PLC | 241384 | 5574044 |
|  Linde PLC | 16237 | 5296185 |
|  Lloyds Banking Group PLC | 21328960 | 11639487 |
|  Unilever PLC | 170408 | 8603527 |
|  |  | 42900371 |
| **United States — 37.4%** |  |  |
|  Abbott Laboratories<sup>(f)</sup> | 220991 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24262602 |
|  Adobe, Inc.<sup>(d)</sup> | 14885 | 5009249 |
|  Air Products & Chemicals, Inc. | 45074 | 13894511 |
|  Alcoa Corp. | 3261 | 148278 |
|  Align Technology, Inc.<sup>(d)</sup> | 1679 | 354101 |
|  Alphabet, Inc., Class C<sup>(d)</sup> | 347860 | 30865618 |
|  Amazon.com, Inc.<sup>(d)</sup> | 96157 | 8077188 |
|  American Tower Corp.<sup>(f)</sup> | 140923 | 29855947 |
|  AmerisourceBergen Corp. | 12119 | 2008240 |
|  Amgen, Inc. | 5751 | 1510443 |
|  Apple, Inc. | 35000 | 4547550 |
|  Applied Materials, Inc. | 144575 | 14078714 |
|  Archer-Daniels-Midland Co. | 231826 | 21525044 |
|  Bank of America Corp. | 155298 | 5143470 |
|  Booking Holdings, Inc.<sup>(d)</sup> | 313 | 630783 |
|  Boston Scientific Corp.<sup>(d)</sup> | 759759 | 35154049 |
|  Bunge Ltd. | 1404 | 140077 |
|  Cap Hill Brands<sup>(c)</sup> | 1088268 | 1719463 |
|  CF Industries Holdings, Inc. | 37585 | 3202242 |
|  Chubb Ltd. | 1618 | 356931 |
|  Clarify Health<sup>(c)</sup> | 318926 | 2487623 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **United States (continued)** |  |  |
|  Crowdstrike Holdings, Inc., Class A<sup>(d)</sup> | 1384 | $145721 |
|  CVS Health Corp. | 61880 | 5766597 |
|  Datadog, Inc., Class A<sup>(d)</sup> | 4050 | 297675 |
|  Deere & Co. | 15684 | 6724672 |
|  Dexcom, Inc.<sup>(d)</sup> | 41310 | 4677944 |
|  Domino's Pizza, Inc. | 12529 | 4340046 |
|  Dynatrace, Inc.<sup>(d)</sup> | 19308 | 739496 |
|  Edwards Lifesciences Corp.<sup>(d)</sup> | 143973 | 10741826 |
|  Eli Lilly & Co. | 57698 | 21108236 |
|  Fortive Corp. | 49893 | 3205625 |
|  Halliburton Co. | 9690 | 381302 |
|  HCA Healthcare, Inc. | 10800 | 2591568 |
|  Hilton Worldwide Holdings, Inc. | 48223 | 6093458 |
|  Home Depot, Inc. | 24018 | 7586325 |
|  Humana, Inc. | 28035 | 14359247 |
|  Intuit, Inc. | 17317 | 6740123 |
|  Intuitive Surgical, Inc.<sup>(d)</sup> | 89729 | 23809590 |
|  Johnson Controls International PLC | 95548 | 6115072 |
|  KLA Corp. | 1959 | 738602 |
|  LPL Financial Holdings, Inc. | 59428 | 12846551 |
|  Marsh & McLennan Cos., Inc. | 210626 | 34854390 |
|  Masco Corp. | 354387 | 16539241 |
|  Mastercard, Inc., Class A | 70880 | 24647102 |
|  McKesson Corp. | 6036 | 2264224 |
|  Merck & Co., Inc. | 149215 | 16555404 |
|  Micron Technology, Inc. | 110429 | 5519241 |
|  Microsoft Corp.<sup>(f)</sup> | 179310 | 43002124 |
|  Mr. Cooper Group, Inc.<sup>(d)</sup> | 14649 | 587864 |
|  NextEra Energy, Inc.<sup>(f)</sup> | 397883 | 33263019 |
|  NIKE, Inc., Class B | 64168 | 7508298 |
|  NVIDIA Corp. | 31769 | 4642722 |
|  Otis Worldwide Corp. | 6128 | 479884 |
|  Proof Acquisition Corp.<sup>(c)</sup> | 24722 | 27936 |
|  Rivian Automotive, Inc., Class A<sup>(d)</sup> | 67729 | 1248245 |
|  Rockwell Automation, Inc. | 7814 | 2012652 |
|  RXO, Inc.<sup>(d)</sup> | 5166 | 88855 |
|  Salesforce, Inc.<sup>(d)(f)</sup> | 72370 | 9595538 |
|  Schlumberger Ltd. | 41949 | 2242594 |
|  ServiceNow, Inc.<sup>(d)(f)</sup> | 64646 | 25100102 |
|  SPDR S&P Biotech ETF<sup>(d)</sup> | 40000 | 3320000 |
|  Symbotic Corp., Class A | 21464 | 256280 |
|  Symbotic, Inc.<sup>(d)</sup> | 6500 | 77610 |
|  Tesla, Inc.<sup>(d)</sup> | 30737 | 3786184 |
|  Thermo Fisher Scientific, Inc.<sup>(f)</sup> | 66507 | 36624740 |
|  United Parcel Service, Inc., Class B | 29162 | 5069522 |
|  UnitedHealth Group, Inc. | 6679 | 3541072 |
|  Visa, Inc., Class A | 8389 | 1742899 |
|  Walt Disney Co.<sup>(d)</sup> | 86348 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7501914 |
|  XPO Logistics, Inc.<sup>(d)</sup> | 5166 | 171976 |
|  |  | 636253431 |
|  **Total Common Stocks — 56.0%<br>(Cost: $1,047,514,337)** |  | 952642348 |

---

S C H E D U L E O F I N V E S T M E N T S 49

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Corporate Bonds** |  |  |  |
| **Australia — 0.1%** |  |  |  |
|  FMG Resources August Pty. Ltd., 6.13%, 04/15/32<sup>(b)</sup> | USD | 1257 | $1172278 |
| **Belgium<sup>(g)</sup> — 0.0%** |  |  |  |
|  Anheuser-Busch InBev SA, 4.00%, 09/24/25 | GBP | 100 | 118700 |
|  KBC Group NV, (1 year UK Government Bond + 0.92%), 1.25%, 09/21/27<sup>(a)</sup> |  | 100 | 102927 |
|  |  |  | 221627 |
| **Canada — 0.5%** |  |  |  |
|  Canadian Pacific Railway Co., 2.45%, 12/02/31 | USD | 2120 | 1755806 |
|  Mattamy Group Corp., 5.25%, 12/15/27<sup>(b)</sup> |  | 938 | 831849 |
|  Open Text Corp., 6.90%, 12/01/27 |  | 1317 | 1317000 |
|  Thomson Reuters Corp., 4.30%, 11/23/23 |  | 250 | 248248 |
|  Toronto-Dominion Bank |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 03/08/24 |  | 4020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3899711 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 04/05/27<sup>(g)</sup> | GBP | 100 | 109681 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 09/10/31 | USD | 119 | 93699 |
|  |  |  | 8255994 |
| **France — 0.0%** |  |  |  |
|  Altice France SA/France, 5.50%, 01/15/28<sup>(b)</sup> |  | 267 | 209093 |
|  BNP Paribas SA<sup>(g)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 01/23/26 | GBP | 100 | 113490 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 12/14/27 |  | 100 | 101251 |
|  Societe Generale SA, 1.88%, 10/03/24<sup>(g)</sup> |  | 100 | 113980 |
|  TotalEnergies Capital International SA, 1.66%, 07/22/26<sup>(g)</sup> |  | 100 | 108555 |
|  |  |  | 646369 |
| **Germany — 0.2%** |  |  |  |
|  Deutsche Bank AG |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 12/16/24<sup>(g)</sup> |  | 100 | 112253 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.69%, 03/19/26 | USD | 3250 | 2912502 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SONIA + 1.94%), 4.00%, 06/24/26<sup>(a)(g)</sup> | GBP | 100 | 113166 |
|  |  |  | 3137921 |
| **Japan — 0.4%** |  |  |  |
|  Mizuho Financial Group, Inc., (1 year CMT + 1.25%), 3.26%, 05/22/30<sup>(a)</sup> | USD | 2040 | 1764872 |
|  Takeda Pharmaceutical Co. Ltd., 2.05%, 03/31/30 |  | 3160 | 2579348 |
|  Toyota Motor Corp., 2.36%, 03/25/31 |  | 2000 | 1685661 |
|  |  |  | 6029881 |
| **Jersey — 0.1%** |  |  |  |
|  Aptiv PLC, 3.10%, 12/01/51 |  | 2605 | 1539521 |
|  Aptiv PLC/Aptiv Corp., 2.40%, 02/18/25 |  | 1099 | 1036348 |
|  |  |  | 2575869 |
| **MultiNational — 0.3%** |  |  |  |
|  Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 6.00%, 06/15/27<sup>(b)</sup> . |  | 418 | 409199 |
|  Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26<sup>(b)</sup> |  | 500 | 463380 |
|  NXP BV/NXP Funding LLC/NXP USA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 06/18/26 |  | 1626 | 1550289 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/30/51 |  | 3380 | 2099403 |
|  |  |  | 4522271 |
| **Netherlands — 0.3%** |  |  |  |
|  Cooperatieve Rabobank UA, (1 year UK Government Bond + 1.05%), 1.88%, 07/12/28<sup>(a)(g)</sup> | GBP | 100 | 102434 |
|  ING Groep NV, 3.00%, 02/18/26<sup>(g)</sup> |  | 100 | 112450 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Netherlands (continued)** |  |  |  |
|  LYB International Finance II BV, 3.50%, 03/02/27 | USD | 1020 | $944024 |
|  Mondelez International Holdings Netherlands BV, 2.25%, 09/19/24<sup>(b)</sup> |  | 2300 | 2187184 |
|  Trivium Packaging Finance BV, 5.50%, 08/15/26<sup>(b)</sup> |  | 2654 | 2433547 |
|  |  |  | 5779639 |
| **Spain<sup>(g)</sup> — 0.0%** |  |  |  |
|  Banco Santander SA, (1 year UK Government Bond + 1.80%), 3.13%, 10/06/26<sup>(a)</sup> | GBP | 400 | 447344 |
|  Telefonica Emisiones SA, 5.38%, 02/02/26 |  | 200 | 240881 |
|  |  |  | 688225 |
| **Sweden — 0.0%** |  |  |  |
|  Swedbank AB, (1 year UK Government Bond + 1.00%), 1.38%, 12/08/27<sup>(a)(g)</sup> |  | 100 | 102961 |
| **Switzerland<sup>(a)(b)</sup> — 0.1%** |  |  |  |
|  UBS Group AG |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 0.83%), 1.01%, 07/30/24 | USD | 1528 | 1485745 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year CMT + 1.00%), 2.10%, 02/11/32 |  | 120 | 90347 |
|  |  |  | 1576092 |
| **United Kingdom — 0.5%** |  |  |  |
|  AstraZeneca PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 11/16/25 |  | 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2894691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 08/06/30 |  | 119 | 94013 |
|  Barclays PLC<sup>(g)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/08/26 | GBP | 100 | 109648 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/12/27 |  | 100 | 108337 |
|  BG Energy Capital PLC, 5.13%, 12/01/25<sup>(g)</sup> |  | 200 | 242951 |
|  Deuce Finco PLC, 5.50%, 06/15/27<sup>(b)</sup> |  | 586 | 563568 |
|  HSBC Holdings PLC, (1 day SONIA + 1.31%), 1.75%, 07/24/27<sup>(a)</sup> |  | 100 | 103912 |
|  Informa PLC, 3.13%, 07/05/26<sup>(g)</sup> |  | 100 | 109136 |
|  Lloyds Banking Group PLC, 2.25%, 10/16/24<sup>(g)</sup> |  | 200 | 229381 |
|  NatWest Group PLC<sup>(a)(g)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year SONIA + 1.49%), 2.88%, 09/19/26 |  | 100 | 110939 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 year SONIA + 2.01%), 3.13%, 03/28/27 |  | 100 | 110203 |
|  Royalty Pharma PLC, 1.20%, 09/02/25 | USD | 2000 | 1789883 |
|  Santander U.K. Group Holdings PLC, 3.63%, 01/14/26<sup>(g)</sup> | GBP | 100 | 112506 |
|  Vodafone Group PLC, 4.13%, 05/30/25 | USD | 2000 | 1968152 |
|  |  |  | 8547320 |
| **United States — 25.1%** |  |  |  |
|  AbbVie, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/15/25 |  | 1750 | 1705567 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/14/28 |  | 975 | 940458 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 11/21/29 |  | 7350 | 6625834 |
|  Acadia Healthcare Co., Inc., 5.00%, 04/15/29<sup>(b)</sup> |  | 2176 | 2001267 |
|  Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.63%, 01/15/27<sup>(b)</sup> |  | 431 | 400343 |
|  Alexandria Real Estate Equities, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 02/01/33 |  | 119 | 88482 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 03/15/34 |  | 792 | 641921 |
|  Allegiant Travel Co., 7.25%, 08/15/27<sup>(b)</sup> |  | 635 | 603988 |
|  Alphabet, Inc., 1.10%, 08/15/30 |  | 121 | 94692 |
|  American Express Co., 2.25%, 03/04/25 |  | 616 | 581425 |
|  American Honda Finance Corp., 2.25%, 01/12/29 |  | 1000 | 857697 |
|  American Tower Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 09/15/26 |  | 2250 | 1963223 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 01/15/27 |  | 3000 | 2719532 |

---

50 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  American Tower Corp. (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 10/15/30 | USD | 119 | $91832 |
|  American Water Capital Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 06/01/29 |  | 2112 | 1928465 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 05/01/30 |  | 2060 | 1781147 |
|  Amgen, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/07/26<sup>(g)</sup> | GBP | 100 | 123342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 02/21/30 | USD | 2080 | 1750203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/15/52 |  | 2590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1653031 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.77%, 09/01/53 |  | 2025 | 1218750 |
|  Amphenol Corp., 2.20%, 09/15/31 |  | 119 | 94274 |
|  Anheuser-Busch InBev Worldwide, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/23/29 |  | 3000 | 2961277 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/01/30 |  | 5710 | 5197964 |
|  Archer-Daniels-Midland Co., 3.25%, 03/27/30 |  | 1500 | 1352840 |
|  Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 3.25%, 09/01/28<sup>(b)</sup>  |  | 1353 | 1149299 |
|  Ashton Woods USA LLC/Ashton Woods Finance Co., 4.63%, 08/01/29<sup>(b)</sup> |  | 2661 | 2130744 |
|  AT&T, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 12/04/26 | GBP | 200 | 222838 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/01/27 | USD | 1990 | 1936322 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/15/27<sup>(g)</sup> | GBP | 100 | 121734 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 06/01/27 | USD | 1000 | 889389 |
|  Autodesk, Inc., 2.85%, 01/15/30 |  | 911 | 783117 |
|  AvalonBay Communities, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 01/15/32 |  | 3300 | 2589690 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/15/33 |  | 3228 | 3176080 |
|  Bank of America Corp.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.67%), 1.84%, 02/04/25 |  | 1142 | 1094916 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.91%), 0.98%, 09/25/25 |  | 2230 | 2052438 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.37%), 1.92%, 10/24/31 |  | 119 | 90903 |
|  Bank of New York Mellon Corp., 1.65%, 01/28/31 |  | 119 | 92610 |
|  Baxalta, Inc., 4.00%, 06/23/25 |  | 1970 | 1918623 |
|  Baxter International, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.32%, 11/29/24 |  | 1130 | 1051989 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.92%, 02/01/27 |  | 2155 | 1910595 |
|  Becton Dickinson and Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.36%, 06/06/24 |  | 1250 | 1221495 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 06/06/27 |  | 4035 | 3812372 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.82%, 05/20/30 |  | 3000 | 2574777 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.96%, 02/11/31 |  | 119 | 94105 |
|  Berry Global, Inc., 1.57%, 01/15/26 |  | 2782 | 2478249 |
|  Boston Properties LP, 2.55%, 04/01/32 |  | 119 | 90470 |
|  Bristol-Myers Squibb Co., 1.45%, 11/13/30 |  | 3454 | 2730186 |
|  Broadcom, Inc., 4.15%, 11/15/30 |  | 3370 | 3020033 |
|  Calpine Corp., 4.50%, 02/15/28<sup>(b)</sup> |  | 860 | 767101 |
|  Carrier Global Corp., 2.49%, 02/15/27 |  | 444 | 400227 |
|  CCO Holdings LLC/CCO Holdings Capital Corp., 5.38%, 06/01/29<sup>(b)</sup> |  | 1245 | 1125816 |
|  Charles Schwab Corp., 1.65%, 03/11/31 |  | 119 | 92632 |
|  Cigna Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 07/15/23 |  | 2000 | 1978077 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 10/15/28 |  | 2316 | 2233629 |
|  Citigroup, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 10/23/26 | GBP | 200 | 212745 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.69%), 2.01%, 01/25/26<sup>(a)</sup> | USD | 1433 | 1328057 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.55%), 5.61%, 09/29/26<sup>(a)</sup> |  | 1960 | 1968383 |
|  Clorox Co., 1.80%, 05/15/30 |  | 119 | 94744 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  Cloud Software Group Holdings, Inc., 6.50%, 03/31/29<sup>(b)</sup> | USD | 2073 | $1746049 |
|  Coca-Cola Co., 1.38%, 03/15/31 |  | 119 | 92806 |
|  Comcast Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 02/01/30 |  | 1580 | 1366888 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 04/01/30 |  | 1500 | 1367762 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 02/15/31 |  | 119 | 92653 |
|  Commercial Metals Co., 4.38%, 03/15/32 |  | 1987 | 1728544 |
|  Conagra Brands, Inc., 0.50%, 08/11/23 |  | 1780 | 1729448 |
|  Covanta Holding Corp., 4.88%, 12/01/29<sup>(b)</sup> |  | 3498 | 2865806 |
|  Crown Castle, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 11/15/29 |  | 3065 | 2671596 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 07/15/31 |  | 2334 | 1880869 |
|  CSC Holdings LLC<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 02/01/28 |  | 1294 | 1043288 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 04/01/28 |  | 1264 | 859520 |
|  CSX Corp., 4.10%, 11/15/32 |  | 6485 | 6079653 |
|  CVS Health Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 08/12/24 |  | 2965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2890215 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/01/30 |  | 2000 | 1813326 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 08/21/30 |  | 2225 | 1753503 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 09/15/31 |  | 2120 | 1680887 |
|  Dana, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 06/15/28 |  | 1309 | 1190753 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/01/30 |  | 383 | 308552 |
|  Dell International LLC/EMC Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 06/15/23 |  | 1694 | 1695072 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 10/01/29 |  | 1500 | 1467003 |
|  Digital Realty Trust LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 01/15/28 |  | 2440 | 2456132 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 07/01/29 |  | 3000 | 2679556 |
|  DR Horton, Inc., 1.30%, 10/15/26 |  | 3345 | 2876564 |
|  Eaton Corp., 4.15%, 03/15/33 |  | 2750 | 2556448 |
|  eBay, Inc., 1.90%, 03/11/25 |  | 2070 | 1937380 |
|  Ecolab, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 01/15/28 |  | 4490 | 4574667 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 02/01/32 |  | 4000 | 3192958 |
|  Elevance Health, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 05/15/30 |  | 2500 | 2068111 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 03/15/31 |  | 3625 | 3045459 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 10/15/32 |  | 1724 | 1764901 |
|  Equinix, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 11/18/26 |  | 2000 | 1827993 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.55%, 03/15/28 |  | 3500 | 2892803 |
|  Expedia Group, Inc., 2.95%, 03/15/31 |  | 33 | 26536 |
|  Fidelity National Information Services, Inc., 1.15%, 03/01/26 |  | 2230 | 1955472 |
|  Flyr Convertible Notes, 8.00%, 07/20/23<sup>(c)</sup> |  | 2036 | 2208210 |
|  Flyr Secured Notes, 10.00%, 01/20/27<sup>(c)</sup> |  | 1036 | 958300 |
|  Ford Motor Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/12/32 |  | 2518 | 1888353 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 08/19/32 |  | 2250 | 2077554 |
|  Forestar Group, Inc., 3.85%, 05/15/26<sup>(b)</sup> |  | 399 | 349800 |
|  Freed Corp., 10.00%, 12/02/23<sup>(c)</sup> |  | 3052 | 2938031 |
|  Freedom Mortgage Corp.<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 11/15/24 |  | 1307 | 1202440 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 04/15/25 |  | 2471 | 2222608 |
|  FreeWire Technologies, Inc., 12.59%, 03/31/25<sup>(c)</sup> |  | 3251 | 2982519 |
|  Frontier Communications Holdings LLC, 8.75%, 05/15/30<sup>(b)</sup> |  | 1000 | 1016750 |

---

S C H E D U L E O F I N V E S T M E N T S 51

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  GE HealthCare Technologies, Inc., 5.91%, 11/22/32 | USD | 1900 | $1968777 |
|  Gen Digital, Inc., 6.75%, 09/30/27<sup>(b)</sup> |  | 1394 | 1366120 |
|  General Mills, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/17/25 |  | 1965 | 1919044 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 04/15/30 |  | 400 | 345571 |
|  General Motors Co., 4.88%, 10/02/23 |  | 1800 | 1794401 |
|  General Motors Financial Co., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 10/10/25 |  | 1720 | 1749486 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 06/10/26 |  | 2000 | 1736885 |
|  Gilead Sciences, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 09/29/23 |  | 1730 | 1676029 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 03/01/26 |  | 2945 | 2839175 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 03/01/27 |  | 1050 | 976784 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 10/01/30 |  | 119 | 94364 |
|  Goldman Sachs Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 01/26/27 |  | 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2380311 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 04/10/28 | GBP | 100 | 129748 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.80%), 1.43%, 03/09/27<sup>(a)</sup> | USD | 2500 | 2192270 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.82%), 1.54%, 09/10/27<sup>(a)</sup> |  | 1000 | 862627 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.25%), 2.38%, 07/21/32<sup>(a)</sup> |  | 119 | 92333 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series VAR, (1 day SOFR + 0.79%), 1.09%, 12/09/26<sup>(a)</sup> |  | 1000 | 881526 |
|  GSK Consumer Healthcare Capital U.S. LLC, 3.02%, 03/24/24 |  | 4585 | 4449932 |
|  HCA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 02/01/25 |  | 2500 | 2496973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/15/26 |  | 1960 | 1936342 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 02/01/29 |  | 2605 | 2596861 |
|  Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/01/29 |  | 865 | 743900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 07/01/31 |  | 1335 | 1089564 |
|  Home Depot, Inc., 1.38%, 03/15/31 |  | 5919 | 4585310 |
|  HP, Inc., 3.40%, 06/17/30 |  | 1045 | 885207 |
|  Humana, Inc., 0.65%, 08/03/23 |  | 2615 | 2547558 |
|  Intercontinental Exchange, Inc., 1.85%, 09/15/32 |  | 2479 | 1864768 |
|  International Business Machines Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 05/15/26 |  | 3100 | 2949555 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 05/15/29 |  | 1506 | 1384377 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 05/15/50 |  | 605 | 393700 |
|  JPMorgan Chase & Co.<sup>(a)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 0.77%), 1.47%, 09/22/27 |  | 2500 | 2164408 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.02%), 2.07%, 06/01/29 |  | 2170 | 1812359 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SONIA + 0.68%), 0.99%, 04/28/26<sup>(g)</sup> | GBP | 200 | 218376 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. SOFR + 0.60%), 0.65%, 09/16/24 | USD | 392 | 378024 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3 mo. SOFR + 1.11%), 1.76%, 11/19/31 |  | 119 | 90210 |
|  KB Home, 4.80%, 11/15/29 |  | 2081 | 1809617 |
|  Keurig Dr. Pepper, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.42%, 05/25/25 |  | 479 | 473568 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 03/15/31 |  | 4765 | 3826524 |
|  Kilroy Realty LP, 2.50%, 11/15/32 |  | 119 | 84495 |
|  Kimco Realty Corp., 2.25%, 12/01/31 |  | 119 | 91360 |
|  Kraft Heinz Foods Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/01/30 |  | 1505 | 1370526 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/01/31 |  | 3000 | 2804565 |
|  Lam Research Corp., 1.90%, 06/15/30 |  | 3800 | 3096251 |
|  Level 3 Financing, Inc.<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 09/15/27 |  | 2000 | 1665000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 07/01/28 |  | 1082 | 852291 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 01/15/29 |  | 970 | 710274 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  Lowe's Cos., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/25 | USD | 1950 | $1912023 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 10/15/30 |  | 2014 | 1574953 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/15/50 |  | 3845 | 2445955 |
|  Marriott Ownership Resorts, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/28 |  | 1294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1126792 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/15/29<sup>(b)</sup> |  | 888 | 736708 |
|  Medline Borrower LP, 3.88%, 04/01/29<sup>(b)</sup> |  | 2396 | 1931080 |
|  MetLife, Inc., 4.55%, 03/23/30 |  | 3060 | 3007864 |
|  Mondelez International, Inc., 1.50%, 02/04/31 |  | 119 | 91496 |
|  Moody's Corp., 3.10%, 11/29/61 |  | 1787 | 1124674 |
|  Morgan Stanley |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 01/20/27 |  | 2000 | 1886030 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.00%), 2.48%, 01/21/28<sup>(a)</sup> |  | 1087 | 965857 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.03%), 1.79%, 02/13/32<sup>(a)</sup> |  | 119 | 89436 |
| &nbsp;&nbsp;&nbsp;&nbsp; (1 day SOFR + 1.14%), 2.70%, 01/22/31<sup>(a)</sup> |  | 2500 | 2065867 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series F, 3.88%, 04/29/24 |  | 2000 | 1968931 |
|  Motorola Solutions, Inc., 5.60%, 06/01/32 |  | 2000 | 1946894 |
|  Nationstar Mortgage Holdings, Inc.<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/27 |  | 224 | 200480 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 08/15/28 |  | 1921 | 1566405 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 12/15/30 |  | 961 | 742216 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/15/31 |  | 454 | 352985 |
|  Newmont Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 10/01/29 |  | 2055 | 1747027 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 07/15/32 |  | 2615 | 2081832 |
|  NextEra Energy Capital Holdings, Inc., 4.45%, 06/20/25 |  | 1720 | 1698714 |
|  Norfolk Southern Corp., 3.85%, 01/15/24 |  | 2000 | 1979878 |
|  Northern States Power Co., 2.90%, 03/01/50 |  | 1225 | 837857 |
|  NRG Energy, Inc., 3.38%, 02/15/29<sup>(b)</sup> |  | 1391 | 1122008 |
|  NVIDIA Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 04/01/30 |  | 2005 | 1748974 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 06/15/31 |  | 3250 | 2603005 |
|  Olympus Water U.S. Holding Corp., 7.13%, 10/01/27<sup>(b)</sup> |  | 705 | 671513 |
|  Oncor Electric Delivery Co. LLC, 2.75%, 05/15/30 |  | 2025 | 1763519 |
|  Oracle Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 09/15/23 |  | 1765 | 1729940 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 04/01/50 |  | 2135 | 1437424 |
|  Parker-Hannifin Corp., 3.25%, 06/14/29 |  | 3250 | 2902244 |
|  Pitney Bowes, Inc., 6.88%, 03/15/27<sup>(b)</sup> |  | 1250 | 1068613 |
|  PNC Financial Services Group, Inc., 5.35%, 12/02/28 |  | 1778 | 1791994 |
|  PPG Industries, Inc., 2.55%, 06/15/30 |  | 3140 | 2636689 |
|  Procter & Gamble Co., 2.45%, 11/03/26 |  | 2030 | 1875674 |
|  Prologis LP, 2.25%, 01/15/32 |  | 119 | 94323 |
|  QUALCOMM, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 05/20/32 |  | 2000 | 1540421 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 05/20/33 |  | 3625 | 3774059 |
|  Reliance Steel & Aluminum Co., 1.30%, 08/15/25 |  | 3000 | 2710418 |
|  Republic Services, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 08/15/24 |  | 3010 | 2884445 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 03/15/25 |  | 1750 | 1678015 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 02/15/31 |  | 4119 | 3175423 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 02/15/32 |  | 2745 | 2107265 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 03/15/33 |  | 1000 | 797502 |
|  Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc.<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 10/15/26 |  | 2062 | 1767469 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/01/29 |  | 1398 | 1107828 |

---

52 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  Rohm and Haas Co., 7.85%, 07/15/29 | USD | 2500 | $2791897 |
|  Roper Technologies, Inc., 1.75%, 02/15/31 |  | 119 | 91674 |
|  Ryder System, Inc., 2.90%, 12/01/26 |  | 2110 | 1923270 |
|  S&P Global, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 03/01/29<sup>(b)</sup> |  | 2010 | 1769247 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 08/15/30 |  | 119 | 91522 |
|  Salesforce, Inc., 1.95%, 07/15/31 |  | 1500 | 1195899 |
|  San Diego Gas & Electric Co., Series XXX, 3.00%, 03/15/32 |  | 1000 | 854505 |
|  Sherwin-Williams Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 06/01/24 |  | 1980 | 1923425 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 08/15/29 |  | 3000 | 2626156 |
|  Sonoco Products Co., 2.25%, 02/01/27 |  | 807 | 717572 |
|  Sprint LLC, 7.88%, 09/15/23 |  | 8990 | 9115734 |
|  State Street Corp., (1 day SOFR + 1.00%), 2.62%, 02/07/33<sup>(a)</sup> |  | 2000 | 1634018 |
|  Steel Dynamics, Inc., 3.45%, 04/15/30 |  | 3060 | 2690591 |
|  Stem, Inc., 0.50%, 12/01/28<sup>(b)</sup> |  | 275 | 172920 |
|  Taylor Morrison Communities, Inc., 5.88%, 06/15/27<sup>(b)</sup> |  | 1643 | 1577479 |
|  Tenet Healthcare Corp.<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/01/29 |  | 2081 | 1802770 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 06/15/30 |  | 1206 | 1149077 |
|  Texas Instruments, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 02/15/28 |  | 1058 | 1056559 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 09/04/29 |  | 3250 | 2809875 |
|  Thermo Fisher Scientific, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.22%, 10/18/24 |  | 2070 | 1942716 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 10/15/28 |  | 2346 | 1986831 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 11/21/32 |  | 3255 | 3300894 |
|  T-Mobile USA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/15/27 |  | 2750 | 2590202 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 04/15/29 |  | 3930 | 3461424 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 10/15/52 |  | 1360 | 913851 |
|  Toyota Motor Credit Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 09/20/24 |  | 1000 | 990566 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 09/12/31 |  | 119 | 93956 |
|  Travel & Leisure Co., 4.63%, 03/01/30<sup>(b)</sup> |  | 440 | 364879 |
|  Truist Bank, 2.15%, 12/06/24 |  | 4070 | 3869311 |
|  Union Pacific Corp., 2.40%, 02/05/30 |  | 5070 | 4337302 |
|  United Rentals North America, Inc., 6.00%, 12/15/29 |  | 1551 | 1541306 |
|  United Wholesale Mortgage LLC<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 11/15/25 |  | 1304 | 1174408 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 06/15/27 |  | 1346 | 1158760 |
|  UnitedHealth Group, Inc., 5.35%, 02/15/33 |  | 4645 | 4792190 |
|  Verizon Communications, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 11/03/28 | GBP | 100 | 96926 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 01/20/31 | USD | 4000 | 3103354 |
|  Visa, Inc., 1.10%, 02/15/31 |  | 119 | 91149 |
|  VMware, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 05/15/27 |  | 750 | 725934 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/15/30 |  | 1500 | 1395323 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 08/15/31 |  | 2369 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1797749 |
|  Walt Disney Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/22/30 |  | 3042 | 2835207 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 01/13/31 |  | 2830 | 2415587 |
|  Warnermedia Holdings, Inc., 3.43%, 03/15/24<sup>(b)</sup> |  | 2985 | 2897743 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  Waste Management, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 03/15/31 | USD | 3509 | $2743473 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 04/15/32 |  | 2785 | 2649840 |
|  Welltower, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/15/24 |  | 1750 | 1727757 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/15/24 |  | 1750 | 1712519 |
|  WestRock MWV LLC, 7.95%, 02/15/31 |  | 2000 | 2247225 |
|  Weyerhaeuser Co., 3.38%, 03/09/33 |  | 1000 | 835724 |
|  Workday, Inc., 3.50%, 04/01/27 |  | 6020 | 5626106 |
|  Xerox Holdings Corp., 5.00%, 08/15/25<sup>(b)</sup> |  | 500 | 460270 |
|  Xylem, Inc., 2.25%, 01/30/31 |  | 3000 | 2433603 |
|  |  |  | 426592017 |
|  **Total Corporate Bonds — 27.6%<br>(Cost: $493,549,300)** |  |  | 469848464 |
|  **Floating Rate Loan Interests** |  |  |  |
|  **Australia<sup>(c)</sup> — 0.3%** |  |  |  |
|  Oceana Australian Fixed Income Trust, A Note Upsize |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 01/21/24<sup>(a)</sup> | AUD | 7570 | 5063840 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 03/28/26 |  | 690 | 458042 |
|  |  |  | 5521882 |
| **Belgium — 0.2%** |  |  |  |
|  Apollo Finco, 2021 EUR Term Loan B, (6 mo. EURIBOR + 4.85%), 7.60%, 10/01/28<sup>(a)</sup> | EUR | 3116 | 2601706 |
| **United States<sup>(a)</sup> — 2.2%** |  |  |  |
|  Altar Bidco, Inc., 2021 2nd Lien Term Loan, 02/01/30<sup>(h)</sup> | USD | 650 | 550875 |
|  American Auto Auction Group LLC, 2021 Term Loan B, (3 mo. SOFRTE + 5.00%, 0.75% Floor), 9.73%, 12/30/27 |  | 2727 | 2097409 |
|  AMF MF Portfolio, Term Loan, 6.67%, 11/01/28<sup>(c)</sup> |  | 4075 | 4020196 |
|  CML Paradise Plaza, Term Loan, 12/07/26<sup>(c)(h)</sup> |  | 5400 | 5217256 |
|  EIS Buyer, Inc., Revolver, 09/01/27<sup>(c)(h)</sup> |  | 341 | 331264 |
|  EIS Group, Inc., Term Loan, (3 mo. SOFR CME), 4.39%, 05/01/28<sup>(c)</sup> |  | 3406 | 3312636 |
|  Galaxy Universal LLC<sup>(c)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1st Lien Term Loan, (3 mo. LIBOR + 5.75%, 1.00% Floor), 9.07%, 11/12/26 |  | 6225 | 6085088 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2022 Delayed Draw Term Loan, (3 mo. SOFR CME + 5.75%, 1.00% Floor), 10.29%, 06/24/23 |  | 265 | 263557 |
|  Hydrofarm Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 5.50%, (4.50)% Floor), 9.89%, 09/27/28<sup>(c)</sup> |  | 1122 | 953419 |
|  MIP V Waste Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 7.63%, 12/08/28 |  | 3059 | 3011717 |
|  OVG Business Services LLC, Initial Term Loan, (1 mo. LIBOR + 6.25%, 1.00% Floor), 10.64%, 10/13/28<sup>(c)</sup> |  | 4520 | 4203456 |
|  Redstone Holdco 2 LP, 2021 Term Loan, 04/27/28<sup>(h)</sup> |  | 997 | 686472 |
|  Signal Parent, Inc., Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 7.89%, 04/03/28 |  | 990 | 589842 |

---

S C H E D U L E O F I N V E S T M E N T S 53

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  Sonder Secured Notes, (10.00% PIK), 11.10%, 01/19/27<sup>(c)(i)</sup> | USD | 5398 | $4865599 |
|  Vaca Morada Partners LP, Revolver, (3 mo. LIBOR + 0.50%), 4.74%, 03/25/24<sup>(c)</sup> |  | 1412 | 1408277 |
|  |  |  | 37597063 |
|  **Floating Rate Loan Interests — 2.7%<br>(Cost: $49,166,548)** |  |  | 45720651 |
|  **Foreign Agency Obligations** |  |  |  |
|  **Spain — 0.1%** |  |  |  |
|  Spain Government Bond, 2.55%, 10/31/32<sup>(b)(g)</sup> | EUR | 1993 | 1952591 |
|  **Total Foreign Agency Obligations — 0.1%<br>(Cost: $1,982,761)** | **Total Foreign Agency Obligations — 0.1%<br>(Cost: $1,982,761)** | **Total Foreign Agency Obligations — 0.1%<br>(Cost: $1,982,761)** | 1952591 |
|  |  | *Shares* |  |
|  **Investment Companies** |  |  |  |
|  **United States — 2.9%** |  |  |  |
|  Invesco QQQ Trust, Series 1 |  | 13700 | 3648036 |
|  Invesco Senior Loan ETF |  | 985000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20222050 |
|  iShares China Large-Cap ETF<sup>(j)</sup> |  | 20575 | 582272 |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF<sup>(j)</sup> |  | 25134 | 2649878 |
|  iShares iBoxx High Yield Corporate Bond ETF<sup>(j)</sup> |  | 65458 | 4819673 |
|  iShares JP Morgan USD Emerging Markets Bond ETF<sup>(j)</sup> |  | 127514 | 10786409 |
|  iShares Russell 2000 ETF<sup>(j)</sup> |  | 100 | 17436 |
|  KraneShares CSI China Internet ETF<sup>(d)</sup> |  | 14430 | 435786 |
|  SPDR Bloomberg High Yield Bond ETF |  | 63634 | 5727060 |
|  SPDR S&P 500 ETF Trust |  | 2800 | 1070804 |
|  **Total Investment Companies — 2.9%<br>(Cost: $51,529,160)** |  |  | 49959404 |
|  |  | *Par<br>(000)* |  |
|  **Municipal Bonds** |  |  |  |
|  **Puerto Rico<sup>(a)</sup> — 0.1%** |  |  |  |
|  Commonwealth of Puerto Rico, GO |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 11/01/43 | USD | 385 | 168517 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 11/01/51 |  | 4297 | 1418101 |
|  Commonwealth of Puerto Rico, RB, 0.00%, 11/01/51 |  | 1828 | 591168 |
|  **Total Municipal Bonds — 0.1%<br>(Cost: $2,732,880)** |  |  | 2177786 |
|  **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
|  **United States<sup>(a)(b)</sup> — 2.5%** |  |  |  |
|  Barclays Mortgage Loan Trust, Series 2021-NQM1, Class B1, 4.38%, 09/25/51 |  | 2047 | 1450912 |
|  CHNGE Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class M1, 3.99%, 01/25/67 |  | 2000 | 1568992 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class M1, 4.61%, 03/25/67 |  | 5000 | 4111899 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **United States (continued)** |  |  |  |
|  DBUBS Mortgage Trust, Series 2017-BRBK, Class F, 3.53%, 10/10/34<sup>(c)</sup> | USD | 1470 | $1236659 |
|  FREMF 2018-KW05 Trust, Series 2018-W5FX, Class CFX, 3.66%, 04/25/28 |  | 1923 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1583048 |
|  Grace Trust, Series 2020-GRCE, Class D, 2.68%, 12/10/40 |  | 2000 | 1365770 |
|  GS Mortgage Securities Corp. Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DM, Class E, (1 mo. LIBOR US + 2.94%), 7.25%, 11/15/36 |  | 2150 | 1998204 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DM, Class F, (1 mo. LIBOR US + 3.44%), 7.75%, 11/15/36 |  | 2150 | 1969550 |
|  Hudson Yards Mortgage Trust, Series 2019-55HY, Class F, 2.94%, 12/10/41 |  | 2000 | 1344343 |
|  JP Morgan Chase Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class E, (1 mo. LIBOR US + 2.45%), 6.77%, 04/15/38 |  | 2270 | 2150347 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NYAH, Class E, (1 mo. LIBOR US + 1.84%), 6.16%, 06/15/38 |  | 4000 | 3789194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NLP, Class F, (1 mo. SOFR CME + 3.54%), 7.88%, 04/15/37 |  | 2000 | 1612119 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-OPO, Class D, 3.45%, 01/05/39 |  | 860 | 618187 |
|  Manhattan West Mortgage Trust, Series 2020-1MW, Class D, 2.34%, 09/10/39 |  | 2250 | 1787703 |
|  MFRA Trust, Class M1, 4.57%, 09/25/56 |  | 4000 | 3200904 |
|  MHC Commercial Mortgage Trust, Series 2021-MHC, Class F, (1 mo. LIBOR US + 2.60%), 6.92%, 04/15/38 |  | 2000 | 1874658 |
|  RIAL Issuer Ltd., Series 2022-FL8, Class A, (1 mo. SOFR CME + 2.25%), 6.57%, 01/19/37 |  | 3065 | 2990670 |
|  RMF Buyout Issuance Trust, Series 2021-HB1, Class M4, 4.70%, 11/25/31 |  | 3500 | 2283472 |
|  SUMIT Mortgage Trust, Series 2022-BVUE, Class D, 2.89%, 02/12/41 |  | 650 | 447205 |
|  Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1 mo. SOFR CME + 2.19%), 6.52%, 05/15/37 |  | 2410 | 2340085 |
|  Velocity Commercial Capital Loan Trust, Series 2021-4, Class M4, 4.48%, 12/26/51 |  | 2840 | 2165919 |
|  **Total Non-Agency Mortgage-Backed Securities — 2.5%<br>(Cost: $49,734,045)** | **Total Non-Agency Mortgage-Backed Securities — 2.5%<br>(Cost: $49,734,045)** | **Total Non-Agency Mortgage-Backed Securities — 2.5%<br>(Cost: $49,734,045)** | 41889840 |
|  |  | *Shares* |  |
|  **Preferred Securities** |  |  |  |
| **Preferred Stocks — 0.9%<sup>(c)</sup>** |  |  |  |
| **Sweden — 0.0%** |  |  |  |
|  Volta, (Acquired 02/22/22, Cost: $293,944)<sup>(e)</sup> |  | 2492 | 319361 |
| **United States — 0.9%** |  |  |  |
|  Deep Instinct Ltd., Series D-4, (Acquired 09/20/22, Cost: $3,691,501)<sup>(e)</sup> |  | 523592 | 3597077 |
|  Lesson Nine GmbH, Series B |  | 456729 | 5836997 |
|  MNTN Digital, Inc., Series D, (Acquired 11/05/21, Cost: $1,239,070)<sup>(e)</sup> |  | 53954 | 517958 |

---

54 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* |  | <br> *Shares* | *Value* | *Value* |
| **United States (continued)** |  |  |  |  |
|  Verge Genomics, Inc., Series B, (Acquired 11/05/21, Cost: $1,437,421)<sup>(e)</sup> |  | 269847 | $| 1276376 |
|  Versa Networks Inc., Series E, (Acquired 10/14/22, Cost: $4,623,422)<sup>(e)</sup> |  | 1584337 |  | 4230180 |
|  Zero Mass Water, Inc., Series D, (Acquired 07/05/22, Cost: $249,208)<sup>(e)</sup> |  | 6084 |  | 223161 |
|  |  |  |  | 15681749 |
|  **Total Preferred Securities — 0.9%<br>(Cost: $15,893,344)** |  |  |  | 16001110 |
|  |  | *Par*<br> *(000)* |  |  |
|  **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
|  **Mortgage-Backed Securities — 12.4%** | **Mortgage-Backed Securities — 12.4%** | **Mortgage-Backed Securities — 12.4%** | **Mortgage-Backed Securities — 12.4%** | **Mortgage-Backed Securities — 12.4%** |
|  Uniform Mortgage-Backed Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/12/53<sup>(k)</sup> | USD | 117739 |  | 113295247 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/12/53 |  | 98969 |  | 97506536 |
|  **Total U.S. Government Sponsored Agency Securities — 12.4%<br>(Cost: $212,697,133)** | **Total U.S. Government Sponsored Agency Securities — 12.4%<br>(Cost: $212,697,133)** | **Total U.S. Government Sponsored Agency Securities — 12.4%<br>(Cost: $212,697,133)** |  | 210801783 |
|  |  | *Shares* |  |  |
|  **Warrants** |  |  |  |  |
| **Israel — 0.0%** |  |  |  |  |
|  Deep Instinct Ltd., (Acquired 09/20/22, Cost: $0), (1 Share for 1 Warrant, Expires 09/20/32) <sup>(c)(d)(e)</sup> |  | 36915 |  | 214845 |
| **United States — 0.1%** |  |  |  |  |
|  Flyr Warrants, (Issued 05/10/22, 1 Share for 1 Warrant, Expires 05/10/32, Strike Price USD 3.95)<sup>(c)(d)</sup> |  | 5576 |  | 82135 |
|  FreeWire Technologies, Inc., (Issued 04/27/22, 1 Share for 1 Warrant, Expires 04/26/27, Strike Price USD 3.35)<sup>(c)(d)</sup> |  | 354944 |  | 276856 |
|  Proof Acquisition Corp. I, (1 Share for 1 Warrant, Expires 12/23/28, Strike Price USD 11.50)<sup>(c)(d)</sup> |  | 61805 |  | 1236 |
|  Sonder Holdings, Inc., (Issued 11/19/20, Exercisable 01/19/21, 1 Share for 1 Warrant, Expires 11/19/26, Strike Price USD 12.50)<sup>(c)(d)</sup> |  | 75255 |  | 753 |
|  Versa Networks, Inc., (Acquired 10/14/22, Cost: $0), (1 Share for 1 Warrant, Expires 10/07/32) <sup>(c)(d)(e)</sup> |  | 195273 |  | 503804 |
|  |  |  |  | 864784 |
|  **Total Warrants — 0.1%<br>(Cost: $61,805)** | **Total Warrants — 0.1%<br>(Cost: $61,805)** | **Total Warrants — 0.1%<br>(Cost: $61,805)** |  | 1079629 |
|  **Total Long-Term Investments — 108.9%<br>(Cost: $1,995,682,996)** | **Total Long-Term Investments — 108.9%<br>(Cost: $1,995,682,996)** | **Total Long-Term Investments — 108.9%<br>(Cost: $1,995,682,996)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1853551933 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Short-Term Securities** |  |  |  |
|  **Certificates of Deposit — 0.2%** |  |  |  |
| **United States — 0.2%** |  |  |  |
|  Citibank N.A., 5.00%, 09/21/23 | USD | 2690 | $2680410 |
| **Commercial Paper — 0.9%** |  |  |  |
| **United States — 0.9%** |  |  |  |
|  Enel Finance America LLC, 0.00%, 09/06/23 |  | 720 | 689570 |
|  General Motors Financial Co., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 02/13/23 |  | 4905 | 4874190 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 02/14/23 |  | 4905 | 4873475 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 04/04/23 |  | 2500 | 2463366 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 04/05/23 |  | 2400 | 2364467 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 04/13/23 |  | 630 | 619915 |
|  |  |  | 15884983 |
|  |  | *Shares* |  |
| **Money Market Funds — 0.3%** |  |  |  |
|  BlackRock Liquidity Funds, T-Fund, Institutional Class, 4.03%<sup>(j)(l)</sup> |  | 5346114 | 5346114 |
|  **Total Short-Term Securities — 1.4%<br>(Cost: $23,952,094)** | **Total Short-Term Securities — 1.4%<br>(Cost: $23,952,094)** |  | 23911507 |
|  **Options Purchased — 0.1%<br>(Cost: $4,267,408)** | **Options Purchased — 0.1%<br>(Cost: $4,267,408)** | **Options Purchased — 0.1%<br>(Cost: $4,267,408)** | 2036171 |
|  **Total Investments Before TBA Sale Commitments and Options Written — 110.4%<br>(Cost: $2,023,902,498)** | **Total Investments Before TBA Sale Commitments and Options Written — 110.4%<br>(Cost: $2,023,902,498)** | **Total Investments Before TBA Sale Commitments and Options Written — 110.4%<br>(Cost: $2,023,902,498)** | 1879499611 |
|  |  | *Par*<br> *(000)* |  |
|  **TBA Sale Commitments** |  |  |  |
|  **United States — (5.7)%** |  |  |  |
|  Uniform Mortgage-Backed Securities, 5.00%, 01/12/53<sup>(k)</sup> | USD | (98969) | (97506535) |
|  **Total TBA Sale Commitments — (5.7)%<br>(Proceeds: $(98027409))** | **Total TBA Sale Commitments — (5.7)%<br>(Proceeds: $(98027409))** | **Total TBA Sale Commitments — (5.7)%<br>(Proceeds: $(98027409))** | (97506535) |
|  **Options Written — (0.2)%<br>(Premiums Received: $(2715559))** | **Options Written — (0.2)%<br>(Premiums Received: $(2715559))** | **Options Written — (0.2)%<br>(Premiums Received: $(2715559))** | (2823442) |
|  **Total Investments, Net of TBA Sale Commitments and Options Written — 104.5%<br>(Cost: $1,923,159,530)** | **Total Investments, Net of TBA Sale Commitments and Options Written — 104.5%<br>(Cost: $1,923,159,530)** | **Total Investments, Net of TBA Sale Commitments and Options Written — 104.5%<br>(Cost: $1,923,159,530)** | 1779169634 |
|  **Liabilities in Excess of Other Assets — (4.5)%** | **Liabilities in Excess of Other Assets — (4.5)%** | **Liabilities in Excess of Other Assets — (4.5)%** | (77296409) |
|  **Net Assets — 100.0%** |  |  | $1701873225 |

---

<sup>(a)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

<sup>(b)</sup> 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.

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

<sup>(d)</sup> Non-income producing security.

<sup>(e)</sup> Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $11,415,611, representing 0.7% of its net assets as of period end, and an original cost of $12,633,936. 

S C H E D U L E O F I N V E S T M E N T S 55

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

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

<sup>(g)</sup> This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

<sup>(h)</sup> Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

<sup>(i)</sup> Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

<sup>(j)</sup> Affiliate of the Trust.

<sup>(k)</sup> Represents or includes a TBA transaction.

<sup>(l)</sup> Annualized 7-day yield as of period end.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the Trust during the year ended December 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at*<br> *12/31/21* | *Purchases*<br> *at Cost* | *Proceeds*<br> *from Sales* | *Net*<br> *Realized*<br> *Gain (Loss)* | *Change in*<br> *Unrealized*<br> *Appreciation<br>(Depreciation)* | *Value at*<br> *12/31/22* | *Shares*<br> *Held at*<br> *12/31/22* | *Income* | *Capital Gain*<br> *Distributions*<br> *from*<br> *Underlying*<br> *Funds* |
|  BlackRock Liquidity Funds, T-Fund, Institutional Class | $800242110 | $— | $(794895996)<sup>(a)</sup> | $— | $— | $5346114 | 5346114 | $1968949 | $— |
|  iShares China Large-Cap ETF |  | 518618 |  |  | 63654 | 582272 | 20575 | 12204 |  |
|  iShares iBoxx $ High Yield Corporate Bond ETF |  | 22439347 | (16612292) | (1022111) | 14729 | 4819673 | 65458 | 295015 |  |
|  iShares iBoxx $ Investment Grade Corporate Bond ETF |  | 33924566 | (29479182) | (1675715) | (119791) | 2649878 | 25134 | 155872 |  |
|  iShares JP Morgan USD Emerging Markets Bond ETF |  | 18040182 | (6132059) | (730437) | (391277) | 10786409 | 127514 | 282658 |  |
|  iShares Russell 2000 ETF |  | 5558831 | (5869303) | 327973 | (65) | 17436 | 100 | 170 |  |
|  SL Liquidity Series, LLC, Money Market Series<sup>(b)</sup> |  | 8995 <sup>(a)</sup> |  | (8995) |  |  |  | 135232 <sup>(c)</sup> |  |
|  |  |  |  | $(3109285) | $(432750) | $24201782 |  | $2850100 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

<sup>(b)</sup> As of period end, the entity is no longer held.

<sup>(c)</sup> 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.

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Notional*<br> *Amount (000)* | *Value/*<br> *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Euro Bund | 69 | 03/08/23 | $9818 | $(596637) |
| &nbsp;&nbsp;&nbsp;&nbsp; NASDAQ 100 E-Mini Index | 219 | 03/17/23 | 48277 | (3553669) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 E-Mini Index | 372 | 03/17/23 | 71815 | (2151032) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Long Bond | 42 | 03/22/23 | 5237 | (28523) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year U.S. Treasury Note | 200 | 03/31/23 | 41000 | (155033) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5-Year U.S. Treasury Note | 483 | 03/31/23 | 52081 | (756578) |
|  |  |  |  | (7241472) |
| Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Japanese Government Treasury Bonds | 58 | 03/13/23 | 64284 | 1172775 |
| &nbsp;&nbsp;&nbsp;&nbsp; Euro Stoxx 50 Index | 31 | 03/17/23 | 1255 | 82275 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russell 2000 E-Mini Index | 51 | 03/17/23 | 4516 | 161180 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 1722 | 03/22/23 | 193106 | 1289324 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Ultra Long Treasury Note | 536 | 03/22/23 | 63189 | 1019315 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 10 | 03/22/23 | 1335 | 93589 |
|  |  |  |  | 3818458 |
|  |  |  |  | $(3423014) |

---

56 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement Date* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  | BRL | 17006340 | USD | 3137238 | Morgan Stanley & Co. International PLC | 03/15/23 | $41729 |
|  | EUR | 800000 | USD | 851656 | Deutsche Bank AG | 03/15/23 | 8811 |
|  | EUR | 200658 | USD | 215092 | Morgan Stanley & Co. International PLC | 03/15/23 | 732 |
|  | EUR | 127018 | USD | 134622 | UBS AG | 03/15/23 | 1997 |
|  | USD | 5702497 | AUD | 8260000 | Morgan Stanley & Co. International PLC | 03/15/23 | 62799 |
|  | USD | 8238518 | CHF | 7546303 | Morgan Stanley & Co. International PLC | 03/15/23 | 14910 |
|  | USD | 3727197 | EUR | 3457609 | Bank of America N.A. | 03/15/23 | 8249 |
|  | USD | 1346515 | GBP | 1093393 | Bank of America N.A. | 03/15/23 | 22358 |
|  | USD | 29843928 | GBP | 24012594 | Deutsche Bank AG | 03/15/23 | 763407 |
|  | USD | 1752832 | HKD | 13660686 | Bank of America N.A. | 03/15/23 | 363 |
|  | USD | 7952108 | HKD | 61884895 | Societe Generale | 03/15/23 | 13171 |
|  | USD | 212740 | SEK | 2184932 | Deutsche Bank AG | 03/15/23 | 2516 |
|  | USD | 3711176 | SEK | 37643097 | Deutsche Bank AG | 03/15/23 | 89332 |
|  |  |  |  |  |  |  | 1030374 |
|  | USD | 472336 | CHF | 437561 | Deutsche Bank AG | 03/15/23 | (4498) |
|  | USD | 50895 | DKK | 353233 | Bank of America N.A. | 03/15/23 | (227) |
|  | USD | 2608882 | EUR | 2430101 | Bank of America N.A. | 03/15/23 | (4895) |
|  | USD | 6077584 | EUR | 5692411 | BNP Paribas SA | 03/15/23 | (45080) |
|  | USD | 9993047 | EUR | 9422558 | BNP Paribas SA | 03/15/23 | (141703) |
|  | USD | 1189648 | EUR | 1123968 | Deutsche Bank AG | 03/15/23 | (19274) |
|  | USD | 1807668 | EUR | 1702271 | Deutsche Bank AG | 03/15/23 | (23268) |
|  | USD | 170277833 | EUR | 159010790 | Morgan Stanley & Co. International PLC | 03/15/23 | (751582) |
|  | USD | 430756 | JPY | 58560256 | Deutsche Bank AG | 03/15/23 | (19634) |
|  | USD | 6582484 | JPY | 878968656 | Morgan Stanley & Co. International PLC | 03/15/23 | (177721) |
|  |  |  |  |  |  |  | (1187882) |
|  |  |  |  |  |  |  | $(157508) |

---

**Exchange-Traded Options Purchased** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Call |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Invesco QQQ Trust, Series 1 | 194 | 01/06/23 | USD | 292.00 | USD | 5166 | $388 |
| &nbsp;&nbsp;&nbsp;&nbsp; Invesco QQQ Trust, Series 1 | 146 | 01/06/23 | USD | 300.00 | USD | 3888 | 219 |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Index | 32 | 01/06/23 | USD | 4090.00 | USD | 12286 | 400 |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P 500 ETF Trust | 88 | 01/13/23 | USD | 410.00 | USD | 3365 | 1672 |
| &nbsp;&nbsp;&nbsp;&nbsp; Abbott Laboratories | 161 | 01/20/23 | USD | 115.00 | USD | 1768 | 8694 |
| &nbsp;&nbsp;&nbsp;&nbsp; Abbott Laboratories | 92 | 01/20/23 | USD | 105.00 | USD | 1010 | 51750 |
| &nbsp;&nbsp;&nbsp;&nbsp; Adobe, Inc. | 17 | 01/20/23 | USD | 480.00 | USD | 572 | 51 |
| &nbsp;&nbsp;&nbsp;&nbsp; Align Technology, Inc. | 24 | 01/20/23 | USD | 240.00 | USD | 506 | 4140 |
| &nbsp;&nbsp;&nbsp;&nbsp; Alphabet, Inc., Class C | 160 | 01/20/23 | USD | 125.00 | USD | 1420 | 240 |
| &nbsp;&nbsp;&nbsp;&nbsp; AstraZeneca PLC | 117 | 01/20/23 | USD | 62.50 | USD | 793 | 66690 |
| &nbsp;&nbsp;&nbsp;&nbsp; Booking Holdings, Inc. | 5 | 01/20/23 | USD | 2000.00 | USD | 1008 | 39050 |
| &nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp. | 106 | 01/20/23 | USD | 97.50 | USD | 988 | 5247 |
| &nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp. | 76 | 01/20/23 | USD | 105.00 | USD | 708 | 494 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dexcom, Inc. | 118 | 01/20/23 | USD | 100.00 | USD | 1336 | 172280 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dynatrace, Inc. | 103 | 01/20/23 | USD | 45.00 | USD | 394 | 1545 |
| &nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 32 | 01/20/23 | USD | 340.00 | USD | 1171 | 89680 |
| &nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 32 | 01/20/23 | USD | 320.00 | USD | 1171 | 152320 |
| &nbsp;&nbsp;&nbsp;&nbsp; Energy Select Sector SPDR Fund | 95 | 01/20/23 | USD | 95.00 | USD | 831 | 3230 |
| &nbsp;&nbsp;&nbsp;&nbsp; Humana, Inc. | 15 | 01/20/23 | USD | 500.00 | USD | 768 | 31425 |
| &nbsp;&nbsp;&nbsp;&nbsp; Humana, Inc. | 53 | 01/20/23 | USD | 550.00 | USD | 2715 | 8083 |
| &nbsp;&nbsp;&nbsp;&nbsp; Intuit, Inc. | 17 | 01/20/23 | USD | 450.00 | USD | 662 | 1445 |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares iBoxx $ High Yield Corporate Bond ETF | 1047 | 01/20/23 | USD | 75.00 | USD | 7709 | 36121 |
| &nbsp;&nbsp;&nbsp;&nbsp; KLA Corp. | 32 | 01/20/23 | USD | 400.00 | USD | 1206 | 19840 |
| &nbsp;&nbsp;&nbsp;&nbsp; Lululemon Athletica, Inc. | 19 | 01/20/23 | USD | 360.00 | USD | 609 | 3116 |
| &nbsp;&nbsp;&nbsp;&nbsp; Lululemon Athletica, Inc. | 23 | 01/20/23 | USD | 390.00 | USD | 737 | 587 |
| &nbsp;&nbsp;&nbsp;&nbsp; McKesson Corp. | 16 | 01/20/23 | USD | 400.00 | USD | 600 | 2560 |
| &nbsp;&nbsp;&nbsp;&nbsp; Merck & Co., Inc. | 95 | 01/20/23 | USD | 95.00 | USD | 1054 | 154612 |

---

S C H E D U L E O F I N V E S T M E N T S 57

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

**Exchange-Traded Options Purchased (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Call (continued) |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Otis Worldwide Corp. | 108 | 01/20/23 | USD | 85.00 | USD | 846 | $1890 |
| &nbsp;&nbsp;&nbsp;&nbsp; Rockwell Automation, Inc. | 25 | 01/20/23 | USD | 280.00 | USD | 644 | 4063 |
| &nbsp;&nbsp;&nbsp;&nbsp; Salesforce, Inc. | 56 | 01/20/23 | USD | 200.00 | USD | 743 | 112 |
| &nbsp;&nbsp;&nbsp;&nbsp; Salesforce, Inc. | 56 | 01/20/23 | USD | 210.00 | USD | 743 | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp; ServiceNow, Inc. | 19 | 01/20/23 | USD | 550.00 | USD | 738 | 380 |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P 500 ETF Trust | 238 | 01/20/23 | USD | 430.00 | USD | 9102 | 1071 |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P 500 ETF Trust | 252 | 01/20/23 | USD | 415.00 | USD | 9637 | 5418 |
| &nbsp;&nbsp;&nbsp;&nbsp; TE Connectivity Ltd. | 75 | 01/20/23 | USD | 135.00 | USD | 861 | 5813 |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 75 | 01/20/23 | USD | 210.00 | USD | 1558 | 30562 |
| &nbsp;&nbsp;&nbsp;&nbsp; XPO Logistics, Inc. | 72 | 01/20/23 | USD | 57.50 | USD | 240 | 3420 |
| &nbsp;&nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 91 | 02/17/23 | USD | 100.00 | USD | 764 | 12558 |
| &nbsp;&nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 155 | 02/17/23 | USD | 90.00 | USD | 1302 | 58900 |
| &nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 24 | 02/17/23 | USD | 380.00 | USD | 878 | 23880 |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares China Large-Cap ETF | 720 | 02/17/23 | USD | 30.00 | USD | 2038 | 70200 |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares China Large-Cap ETF | 715 | 02/17/23 | USD | 31.00 | USD | 2023 | 47547 |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 79 | 02/17/23 | USD | 225.00 | USD | 1641 | 21923 |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares China Large-Cap ETF | 1370 | 03/17/23 | USD | 32.00 | USD | 3877 | 100010 |
| &nbsp;&nbsp;&nbsp;&nbsp; Tesla, Inc. | 305 | 03/17/23 | USD | 130.00 | USD | 3757 | 446825 |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 194 | 03/17/23 | USD | 220.00 | USD | 4031 | 115430 |
| &nbsp;&nbsp;&nbsp;&nbsp; Rockwell Automation, Inc. | 16 | 04/21/23 | USD | 290.00 | USD | 412 | 11280 |
| &nbsp;&nbsp;&nbsp;&nbsp; Tesla, Inc. | 157 | 04/21/23 | USD | 175.00 | USD | 1934 | 89882 |
|  |  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;1907127 |
|  Put |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P Regional Banking ETF | 681 | 01/20/23 | USD | 56.00 | USD | 4000 | 38817 |
|  |  |  |  |  |  |  | $1945944 |

---

**OTC Options Purchased** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Counterparty* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Put |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Financial Select Sector SPDR Fund | Goldman Sachs International | 84300 | 01/20/23 | USD | 35.00 | USD | <br>2883 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90227 |

---

**Exchange-Traded Options Written** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Call |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Invesco QQQ Trust, Series 1 | 194 | 01/06/23 | USD | 312.00 | USD | 5166 | $(194) |
| &nbsp;&nbsp;&nbsp;&nbsp; Invesco QQQ Trust, Series 1 | 146 | 01/06/23 | USD | 320.00 | USD | 3888 | (146) |
| &nbsp;&nbsp;&nbsp;&nbsp; Air Products & Chemicals, Inc. | 108 | 01/20/23 | USD | 310.00 | USD | 3329 | (67500) |
| &nbsp;&nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 54 | 01/20/23 | USD | 110.00 | USD | 454 | (297) |
| &nbsp;&nbsp;&nbsp;&nbsp; Archer-Daniels-Midland Co. | 326 | 01/20/23 | USD | 110.00 | USD | 3027 | (1630) |
| &nbsp;&nbsp;&nbsp;&nbsp; CF Industries Holdings, Inc. | 36 | 01/20/23 | USD | 125.00 | USD | 307 | (360) |
| &nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 32 | 01/20/23 | USD | 430.00 | USD | 1171 | (2400) |
| &nbsp;&nbsp;&nbsp;&nbsp; Humana, Inc. | 15 | 01/20/23 | USD | 640.00 | USD | 768 | (150) |
| &nbsp;&nbsp;&nbsp;&nbsp; Intuitive Surgical, Inc. | 72 | 01/20/23 | USD | 290.00 | USD | 1911 | (9900) |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares iBoxx $ High Yield Corporate Bond ETF | 2095 | 01/20/23 | USD | 78.00 | USD | 15425 | (6285) |
| &nbsp;&nbsp;&nbsp;&nbsp; Lululemon Athletica, Inc. | 23 | 01/20/23 | USD | 420.00 | USD | 737 | (104) |
| &nbsp;&nbsp;&nbsp;&nbsp; Merck & Co., Inc. | 151 | 01/20/23 | USD | 100.00 | USD | 1675 | (171762) |
| &nbsp;&nbsp;&nbsp;&nbsp; Microsoft Corp. | 112 | 01/20/23 | USD | 265.00 | USD | 2686 | (5936) |
| &nbsp;&nbsp;&nbsp;&nbsp; Schlumberger Ltd. | 50 | 01/20/23 | USD | 60.00 | USD | 267 | (1850) |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P 500 ETF Trust | 126 | 01/20/23 | USD | 435.00 | USD | 4819 | (441) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Parcel Service, Inc., Class B | 79 | 01/20/23 | USD | 195.00 | USD | 1373 | (1027) |
| &nbsp;&nbsp;&nbsp;&nbsp; Walt Disney Co. | 59 | 01/20/23 | USD | 105.00 | USD | 513 | (443) |
| &nbsp;&nbsp;&nbsp;&nbsp; Humana, Inc. | 41 | 02/17/23 | USD | 580.00 | USD | 2100 | (11070) |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares China Large-Cap ETF | 720 | 02/17/23 | USD | 34.00 | USD | 2038 | (15120) |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares China Large-Cap ETF | 715 | 02/17/23 | USD | 35.00 | USD | 2023 | (10010) |
| &nbsp;&nbsp;&nbsp;&nbsp; S&P 500 Index | 32 | 02/17/23 | USD | 4350.00 | USD | 12286 | (11200) |

---

58 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

**Exchange-Traded Options Written (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Call (continued) |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 79 | 02/17/23 | USD | 240.00 | USD | 1641 | $(5451) |
| &nbsp;&nbsp;&nbsp;&nbsp; iShares China Large-Cap ETF | 1370 | 03/17/23 | USD | 37.00 | USD | 3877 | (20550) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tesla, Inc. | 305 | 03/17/23 | USD | 170.00 | USD | 3757 | (128100) |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 194 | 03/17/23 | USD | 245.00 | USD | 4031 | (19109) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tesla, Inc. | 157 | 04/21/23 | USD | 208.33 | USD | 1934 | (41055) |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P 500 ETF Trust | 28 | 12/15/23 | USD | 420.00 | USD | 1071 | (61222) |
|  |  |  |  |  |  |  | (593312) |
|  Put |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Invesco QQQ Trust, Series 1 | 73 | 01/06/23 | USD | 270.00 | USD | 1944 | (39018) |
| &nbsp;&nbsp;&nbsp;&nbsp; Abbott Laboratories | 161 | 01/20/23 | USD | 95.00 | USD | 1768 | (2496) |
| &nbsp;&nbsp;&nbsp;&nbsp; Abbott Laboratories | 92 | 01/20/23 | USD | 90.00 | USD | 1010 | (736) |
| &nbsp;&nbsp;&nbsp;&nbsp; Align Technology, Inc. | 24 | 01/20/23 | USD | 180.00 | USD | 506 | (3960) |
| &nbsp;&nbsp;&nbsp;&nbsp; Alphabet, Inc., Class C | 220 | 01/20/23 | USD | 80.00 | USD | 1952 | (11880) |
| &nbsp;&nbsp;&nbsp;&nbsp; Alphabet, Inc., Class C | 160 | 01/20/23 | USD | 100.00 | USD | 1420 | (180800) |
| &nbsp;&nbsp;&nbsp;&nbsp; Booking Holdings, Inc. | 5 | 01/20/23 | USD | 1700.00 | USD | 1008 | (2825) |
| &nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp. | 76 | 01/20/23 | USD | 95.00 | USD | 708 | (24890) |
| &nbsp;&nbsp;&nbsp;&nbsp; Dynatrace, Inc. | 103 | 01/20/23 | USD | 35.00 | USD | 394 | (5150) |
| &nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 32 | 01/20/23 | USD | 260.00 | USD | 1171 | (112) |
| &nbsp;&nbsp;&nbsp;&nbsp; Energy Select Sector SPDR Fund | 95 | 01/20/23 | USD | 80.00 | USD | 831 | (4750) |
| &nbsp;&nbsp;&nbsp;&nbsp; Intuit, Inc. | 17 | 01/20/23 | USD | 370.00 | USD | 662 | (13090) |
| &nbsp;&nbsp;&nbsp;&nbsp; Invesco QQQ Trust, Series 1 | 202 | 01/20/23 | USD | 265.00 | USD | 5379 | (117463) |
| &nbsp;&nbsp;&nbsp;&nbsp; KLA Corp. | 32 | 01/20/23 | USD | 330.00 | USD | 1206 | (6880) |
| &nbsp;&nbsp;&nbsp;&nbsp; Lululemon Athletica, Inc. | 23 | 01/20/23 | USD | 310.00 | USD | 737 | (18285) |
| &nbsp;&nbsp;&nbsp;&nbsp; McKesson Corp. | 15 | 01/20/23 | USD | 360.00 | USD | 563 | (5288) |
| &nbsp;&nbsp;&nbsp;&nbsp; Micron Technology, Inc. | 149 | 01/20/23 | USD | 47.50 | USD | 745 | (15570) |
| &nbsp;&nbsp;&nbsp;&nbsp; Otis Worldwide Corp. | 108 | 01/20/23 | USD | 65.00 | USD | 846 | (1080) |
| &nbsp;&nbsp;&nbsp;&nbsp; Rockwell Automation, Inc. | 25 | 01/20/23 | USD | 240.00 | USD | 644 | (4188) |
| &nbsp;&nbsp;&nbsp;&nbsp; ServiceNow, Inc. | 19 | 01/20/23 | USD | 450.00 | USD | 738 | (117895) |
| &nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P Regional Banking ETF | 681 | 01/20/23 | USD | 52.00 | USD | 4000 | (7151) |
| &nbsp;&nbsp;&nbsp;&nbsp; TE Connectivity Ltd. | 75 | 01/20/23 | USD | 110.00 | USD | 861 | (10875) |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 75 | 01/20/23 | USD | 180.00 | USD | 1558 | (2025) |
| &nbsp;&nbsp;&nbsp;&nbsp; Walt Disney Co. | 81 | 01/20/23 | USD | 80.00 | USD | 704 | (6764) |
| &nbsp;&nbsp;&nbsp;&nbsp; Walt Disney Co. | 59 | 01/20/23 | USD | 85.00 | USD | 513 | (12567) |
| &nbsp;&nbsp;&nbsp;&nbsp; XPO Logistics, Inc. | 72 | 01/20/23 | USD | 45.00 | USD | 240 | (33840) |
| &nbsp;&nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 91 | 02/17/23 | USD | 75.00 | USD | 764 | (23887) |
| &nbsp;&nbsp;&nbsp;&nbsp; Amazon.com, Inc. | 155 | 02/17/23 | USD | 70.00 | USD | 1302 | (24257) |
| &nbsp;&nbsp;&nbsp;&nbsp; Eli Lilly & Co. | 24 | 02/17/23 | USD | 310.00 | USD | 878 | (5148) |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 45 | 02/17/23 | USD | 185.00 | USD | 935 | (10507) |
| &nbsp;&nbsp;&nbsp;&nbsp; Walt Disney Co. | 81 | 02/17/23 | USD | 80.00 | USD | 704 | (20938) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tesla, Inc. | 305 | 03/17/23 | USD | 80.00 | USD | 3757 | (97600) |
| &nbsp;&nbsp;&nbsp;&nbsp; Visa, Inc., Class A | 194 | 03/17/23 | USD | 185.00 | USD | 4031 | (67415) |
| &nbsp;&nbsp;&nbsp;&nbsp; Rockwell Automation, Inc. | 16 | 04/21/23 | USD | 220.00 | USD | 412 | (9440) |
| &nbsp;&nbsp;&nbsp;&nbsp; Tesla, Inc. | 157 | 04/21/23 | USD | 108.33 | USD | 1934 | (199390) |
|  |  |  |  |  |  |  | (1108160) |
|  |  |  |  |  |  |  | $(1701472) |

---

**OTC Options Written** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | *Counterparty* | *Number of*<br> *Contracts* | *Expiration*<br> *Date* | *Exercise Price* | *Exercise Price* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* |
|  Put |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Financial Select Sector SPDR Fund | Goldman Sachs International | 84300 | 01/20/23 | USD | 31.00 | USD | 2883 | $&nbsp;&nbsp;&nbsp;&nbsp;(5881) |

---

S C H E D U L E O F I N V E S T M E N T S 59

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

**OTC Interest Rate Swaptions Written** 

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Description* | | Paid by the Trust | Paid by the Trust | Paid by the Trust |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Received by the Trust | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Received by the Trust | *Counterparty* | *Expiration<br>Date* | *Exercise<br>Rate* | *Notional<br>Amount (000)* | *Notional<br>Amount (000)* | *Value* |
| *Description* | | *Rate* | | *Frequency* | | *Rate* | *Frequency* | *Counterparty* | *Expiration<br>Date* | *Exercise<br>Rate* | *Notional<br>Amount (000)* | *Notional<br>Amount (000)* | *Value* |
|  Put |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1-Year Interest Rate Swap, 03/09/24 |  | 1-Day SOFR,<br>4.32% |  | Quarterly |  | 4.50% | Semi-Annual | Morgan Stanley & Co. International PLC | 03/07/23 | 4.50% | USD | 85272 | $(397292) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 03/10/25 |  | 1-Day SOFR,<br>4.32% |  | Quarterly |  | 4.03% | Semi-Annual | Goldman Sachs International | 03/08/23 | 4.03 | USD | 86623 | (718797) |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $(1116089) |

---

**Centrally Cleared Credit Default Swaps — Buy Protection** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing*<br> *Rate Paid*<br> *by the Trust* | *Payment*<br> *Frequency* | *Termination<br>Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  iTraxx.XO.38.V1 | 5.00% | Quarterly | 12/20/27 | EUR | 842 | $(10486) | $(13996) | $3510 |

---

**Centrally Cleared Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | <br>| *Financing*<br> *Rate Received*<br> *by the Trust* | *Payment*<br> *Frequency* | <br>| *Termination*<br> *Date* | *Credit<br>Rating* | *<br><sup>(a)</sup>* | *Notional*<br> *Amount (000)* | <br> *<sup>(b)</sup>*  | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received* | *Unrealized*<br> *Appreciation*<br> *(Depreciation* | <br>*)*  |
|  CDX.NA.HY.39.V1 |  | 5.00% | Quarterly |  | 12/20/27 | B+ |  | USD 13,856 |  | $57131 | $(312186) | $369317 |  |
|  CDX.NA.IG.39.V1 |  | 1.00 | Quarterly |  | 12/20/27 | BBB+ |  | USD 4,406 |  | 36582 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6848 | 29734 |  |
|  |  |  |  |  |  |  |  |  |  | $93713 | $(305338) | $399051 |  |

---

<sup>(a)</sup> Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

<sup>(b)</sup> The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. 

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Trust | Paid by the Trust | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Received by the Trust  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Received by the Trust  | *Effective* | *Termination* | *Notional* | *Notional* |  | *Upfront*<br> *Premium*<br> *Paid* | *Unrealized*<br> *Appreciation* |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Date* | *Date* | *Amount (000)* | *Amount (000)* | *Value* | *(Received)* | *(Depreciation)* |
|  2.60% | Annual | 1-Day SOFR, 4.32% | Annual | N/A | 05/26/32 | USD | 2250 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171677 | $34 | $171643 |
|  1-Day SOFR, 4.32% | Annual | 3.20% | Annual | N/A | 11/28/32 | USD | 10016 | (307152) | 160 | (307312) |
|  |  |  |  |  |  |  |  | $(135475) | $194 | $(135669) |

---

60 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

**OTC Total Return Swaps** 

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Paid by the Trust | Paid by the Trust | Received by the Trust | Received by the Trust |  |  |  |  |  |  | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
| | *Rate/Reference* | *Frequency* | *Rate/Reference* | *Frequency* | *Counterparty* | *Effective*<br> *Date* | *Termination*<br> *Date* | *Notional*<br> *Amount (000)* | *Notional*<br> *Amount (000)* | *Value* | *Upfront*<br> *Premium*<br> *Paid*<br> *(Received)* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  | 1-Day SOFR minus 1.65%, 4.32% | Monthly | iShares iBoxx $ High Yield<br>Corporate Bond ETF | Monthly | BNP Paribas<br>SA | N/A | 01/17/23 | USD | 6684 | $(59061) | $— | $(59061) |
|  | 1-Day SOFR minus 0.30%, 4.32% | Monthly | iShares iBoxx $ High Yield<br>Corporate Bond ETF | Monthly | JPMorgan<br>Chase Bank<br>N.A. | N/A | 01/17/23 | USD | 3632 | (106061) |  | (106061) |
|  | 1-Day SOFR minus 0.45%, 4.32% | Monthly | iShares iBoxx $ High Yield<br>Corporate Bond ETF | Monthly | Barclays<br>Bank PLC | N/A | 01/27/23 | USD | 897 | (10293) |  | (10293) |
|  | 1-Day SOFR minus 0.40%, 4.32% | Monthly | iShares iBoxx $ High Yield<br>Corporate Bond ETF | Monthly | JPMorgan<br>Chase Bank<br>N.A. | N/A | 02/07/23 | USD | 49057 | (1017112) |  | (1017112) |
|  | 1-Day SOFR minus 0.40%, 4.32% | Monthly | iShares iBoxx $ High Yield<br>Corporate Bond ETF | Monthly | Goldman<br>Sachs<br>International | N/A | 03/17/23 | USD | 109 | (2186) |  | (2186) |
|  | 1-Day SOFR minus 0.20%, 4.32% | Quarterly | SPDR Bloomberg High<br>Yield Bond ETF | Monthly | Barclays<br>Bank PLC | N/A | 03/17/23 | USD | 836 | (22395) | 371 | (22766) |
|  | 1-Day SOFR minus 0.20%, 4.32% | Monthly | SPDR Bloomberg High<br>Yield Bond ETF | Monthly | Goldman<br>Sachs<br>International | N/A | 03/17/23 | USD | 314 | (8555) |  | (8555) |
|  | 1-Day SOFR plus 0.15%, 4.32% | Monthly | SPDR Bloomberg High<br>Yield Bond ETF | Monthly | Goldman<br>Sachs<br>International | N/A | 03/17/23 | USD | 1381 | (30077) |  | (30077) |
|  |  |  |  |  |  |  |  |  |  | $(1255740) | $371 | $(1256111) |

---

**Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Description* | *Swap*<br> *Premiums*<br> *Paid* | *Swap*<br> *Premiums*<br> *Received* | *Unrealized*<br> *Appreciation* | *Unrealized*<br> *Depreciation* | *Value* |
|  Centrally Cleared Swaps<sup>(a)</sup> | $7042 | $(326182) | $574204 | $(307312) | $— |
|  OTC Swaps | 371 |  |  | (1256111) |  |
|  Options Written | N/A | N/A | 1200903 | (1308786) | (2823442) |

---

<sup>(a)</sup> Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day's variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. 

**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*<br> *Contracts* | *Credit*<br> *Contracts* | *Equity*<br> *Contracts* | *Foreign*<br> *Currency*<br> *Exchange*<br> *Contracts* | *Interest*<br> *Rate*<br> *Contracts* | *Other*<br> *Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup> | $— | $— | $243455 | $— | $3575003 | $— | $3818458 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts |  |  |  | 1030374 |  |  | 1030374 |
|  Options purchased |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments at value — unaffiliated<sup>(b)</sup> |  |  | 2036171 |  |  |  | 2036171 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on centrally cleared swaps<sup>(a)</sup> |  | 402561 |  |  | 171643 |  | 574204 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on OTC swaps; Swap premiums paid |  |  | 371 |  |  |  | 371 |
|  | $— | $&nbsp;&nbsp;&nbsp;&nbsp;402561 | $&nbsp;&nbsp;&nbsp;&nbsp;2279997 | $&nbsp;&nbsp;&nbsp;&nbsp;1030374 | $&nbsp;&nbsp;&nbsp;&nbsp;3746646 | $— | $&nbsp;&nbsp;&nbsp;&nbsp;7459578 |

---

S C H E D U L E O F I N V E S T M E N T S 61

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

**Derivative Financial Instruments Categorized by Risk Exposure (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity*<br> *Contracts* | *Credit*<br> *Contracts* | *Equity*<br> *Contracts* | *Foreign*<br> *Currency*<br> *Exchange*<br> *Contracts* | *Interest*<br> *Rate*<br> *Contracts* | *Other*<br> *Contracts* | *Total* |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $5704701 | $— | $1536771 | $— | $7241472 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts |  |  |  | 1187882 |  |  | 1187882 |
|  Options written |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Options written at value |  |  | 1707353 |  | 1116089 |  | 2823442 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on centrally cleared swaps<sup>(a)</sup> |  |  |  |  | 307312 |  | 307312 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on OTC swaps; Swap premiums received |  |  | 1256111 |  |  |  | 1256111 |
|  | $— | $— | $8668165 | $1187882 | $2960172 | $— | $12816219 |

---

<sup>(a)</sup> Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day's variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). 

<sup>(b)</sup> Includes options purchased at value as reported in the Schedule of Investments.

For the period ended December 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity*<br> *Contracts* | *Credit*<br> *Contracts* | *Equity*<br> *Contracts* | *Foreign*<br> *Currency*<br> *Exchange*<br> *Contracts* | *Interest*<br> *Rate*<br> *Contracts* | *Other*<br> *Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(14520125) | $— | $13518286 | $— | $(1001839) |
|  Forward foreign currency exchange contracts |  |  |  | 13602138 |  |  | 13602138 |
|  Options purchased<sup>(a)</sup> |  |  | (3445123) |  | (323472) |  | (3768595) |
|  Options written |  | 19032 | 7899140 |  | 187725 |  | 8105897 |
|  Swaps |  | 2400655 | 353865 |  | (3) |  | 2754517 |
|  | $— | $2419687 | $(9712243) | $13602138 | $13382536 | $— | $19692118 |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $(6189912) | $— | $1944516 | $— | $(4245396) |
|  Forward foreign currency exchange contracts |  |  |  | 1945883 |  |  | 1945883 |
|  Options purchased<sup>(b)</sup> |  |  | (2915325) |  |  |  | (2915325) |
|  Options written |  |  | 218086 |  | (756774) |  | (538688) |
|  Swaps |  | 402561 | (1256111) |  | (135669) |  | (989219) |
|  | $— | $402561 | $(10143262) | $1945883 | $1052073 | $— | $(6742745) |

---

<sup>(a)</sup> Options purchased are included in net realized gain (loss) from investments — unaffiliated.

<sup>(b)</sup> Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated.

**Average Quarterly Balances of Outstanding Derivative Financial Instruments** 

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $89014942 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | $186607957 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $222914932 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | $6726760 |
|  Options: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average value of option contracts purchased | $2615494 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average value of option contracts written | $3827463 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of swaption contracts purchased | $— <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of swaption contracts written | $125997020 |
|  Credit default swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — buy protection | $225264 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — sell protection | $40079462 |

---

62 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

**Average Quarterly Balances of Outstanding Derivative Financial Instruments (continued)** 

---

| | |
|:---|:---|
|  Interest rate swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — pays fixed rate | $1687191 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — receives fixed rate | $2504007 |
|  Total return swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value | $56455987 |

---

<sup>(a)</sup> 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 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $836752 | $311952 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 1030374 | 1187882 |
| &nbsp;&nbsp;&nbsp;&nbsp; Options | 2036171 <sup>(a)</sup> | 2823442 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — centrally cleared |  | 88382 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — OTC<sup>(b)</sup> | 371 | 1256111 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3903668 | 5667769 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") | (2782696) | (2101806) |
|  Total derivative assets and liabilities subject to an MNA | $1120972 | $3565963 |

---

<sup>(a)</sup> Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.

<sup>(b)</sup> Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  *Counterparty* | *Derivative*<br> *Assets*<br> *Subject to*<br> *an MNA by*<br> *Counterparty* | <br>| *Derivatives*<br> *Available*<br> *for Offset* | <br>*<sup>(a)</sup>*  | *Non-Cash*<br> *Collateral*<br> *Received* | <br>| *Cash*<br> *Collateral*<br> *Received* | *Net Amount*<br> *of Derivative*<br> *Assets* | <br>*<sup>(b)(c)</sup>*  |
|  Bank of America N.A. | $30970 |  | $(5122) |  | $— |  | $— | $25848 |  |
|  Barclays Bank PLC | 371 |  | (371) |  |  |  |  |  |  |
|  Deutsche Bank AG | 864066 |  | (66674) |  |  |  |  | 797392 |  |
|  Goldman Sachs International | 90227 |  | (90227) |  |  |  |  |  |  |
|  Morgan Stanley & Co. International PLC | 120170 |  | (120170) |  |  |  |  |  |  |
|  Societe Generale | 13171 |  |  |  |  |  |  | 13171 |  |
|  UBS AG | 1997 |  |  |  |  |  |  | 1997 |  |
|  | $1120972 |  | $(282564) |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $838408 |  |

---

S C H E D U L E O F I N V E S T M E N T S 63

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  *Counterparty* | *Derivative*<br> *Liabilities*<br> *Subject to*<br> *an MNA by*<br> *Counterparty* | <br>| *Derivatives*<br> *Available*<br> *for Offset* | <br>*<sup>(a)</sup>*  | *Non-Cash*<br> *Collateral*<br> *Pledged* | <br>| *Cash*<br> *Collateral*<br> *Pledged* | *Net Amount*<br> *of Derivative*<br> *Liabilities* | <br>*<sup>(b)(d)</sup>*  |
|  Bank of America N.A | $5122 |  | $(5122) |  | $— |  | $— | $— |  |
|  Barclays Bank PLC | 33059 |  | (371) |  |  |  |  | 32688 |  |
|  BNP Paribas SA | 245844 |  |  |  |  |  |  | 245844 |  |
|  Deutsche Bank AG | 66674 |  | (66674) |  |  |  |  |  |  |
|  Goldman Sachs International | 765496 |  | (90227) |  |  |  | (533000) | 142269 |  |
|  JPMorgan Chase Bank N.A | 1123173 |  |  |  |  |  | (880000) | 243173 |  |
|  Morgan Stanley & Co. International PLC | 1326595 |  | (120170) |  |  |  | (505000) | 701425 |  |
|  | $3565963 |  | $(282564) |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1918000) | $1365399 |  |

---

<sup>(a)</sup> The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. 

<sup>(b)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(c)</sup> Net amount represents the net amount receivable from the counterparty in the event of default. 

<sup>(d)</sup> 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 financial instruments. For a description of the input levels and information about the Trust's policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Trust's financial instruments categorized in the fair value hierarchy. The breakdown of the Trust's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61134714 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;343613 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61478327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canada | 3428046 |  |  | 3428046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cayman Islands |  |  | 532849 | 532849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; China |  | 5949489 |  | 5949489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 18018310 | 3559983 | 21578293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; France | 2731520 | 88977003 |  | 91708523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Germany | 670735 | 53158329 |  | 53829064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 1760315 |  | 1760315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ireland | 8741 |  |  | 8741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Italy | 4586308 |  |  | 4586308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 6255223 |  | 6255223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 33182196 |  | 33182196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Norway | 859440 |  |  | 859440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 21266311 |  | 21266311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 1735253 |  | 1735253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 3829067 |  | 3829067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 5634040 | 8614341 |  | 14248381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 8731047 |  |  | 8731047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 16542036 | 26358335 |  | 42900371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United States | 631762129 | 256280 | 4235022 | 636253431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 460761404 | 9087060 | 469848464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Floating Rate Loan Interests |  | 9538021 | 36182630 | 45720651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Agency Obligations |  | 1952591 |  | 1952591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | 49959404 |  |  | 49959404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 2177786 |  | 2177786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities |  | 40653181 | 1236659 | 41889840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks |  |  | 16001110 | 16001110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities |  | 210801783 |  | 210801783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warrants |  |  | 1079629 | 1079629 |

---

64 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

**Fair Value Hierarchy as of Period End (continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Certificates of Deposit | $— | $2680410 | $— | $2680410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Paper |  | 15884983 |  | 15884983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 5346114 |  |  | 5346114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options Purchased |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | 1945944 | 90227 |  | 2036171 |
|  Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments |  | (97506535) |  | (97506535) |
| &nbsp;&nbsp;&nbsp;&nbsp; Unfunded Floating Rate Loan Interests<sup>(a)</sup> |  |  | (2950) | (2950) |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;732205504 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;977529017 | $7 2255605 | $&nbsp;&nbsp;&nbsp;&nbsp;1781990126 |
|  Derivative Financial Instruments<sup>(b)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | $— | $402561 | $— | $402561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | 161180 | 82275 |  | 243455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | 1030374 |  | 1030374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | 3575003 | 171643 |  | 3746646 |
|  Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Contracts | (7406173) | (1261992) |  | (8668165) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | (1187882) |  | (1187882) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (1536771) | (1423401) |  | (2960172) |
|  | $(5206761) | $(2186422) | $— | $(7393183) |

---

<sup>(a)</sup> Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

<sup>(b)</sup> Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. 

A reconciliation of Level 3 financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year 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:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Asset-Backed*<br> *Securities* | *Common*<br> *Stocks* | *Corporate*<br> *Bonds* | *Floating*<br> *Rate Loan*<br> *Interests* | *Non-Agency*<br> *Mortgage-Backed*<br> *Securities* | *Preferred*<br> *Stocks* | *Unfunded*<br> *Floating*<br> *Rate Loan*<br> *Interests* | *Unfunded*<br> *SPAC PIPE*<br> *Commitments* |
|  **Assets** |  |  |  |  |  |  |  |  |
|  Opening balance, as of December 31, 2021 | $550000 | $1099494 | $3056625 | $16214511 | $— | $2674909 | $— | $— <sup>(a)</sup> |
|  Transfers into Level 3 | 534103 |  |  | 4013875 | 1995688 |  |  |  |
|  Transfers out of Level 3 | (550000) |  |  |  |  |  |  |  |
|  Accrued discounts/premiums | (725) |  | 43645 | 67348 |  |  |  |  |
|  Net realized gain (loss) | (6492) |  | 1066 | 1732 | (79778) |  |  |  |
|  Net change in unrealized appreciation (depreciation)<sup>(b)(c)</sup> | (85600) | (1666624) | (217486) | (1457000) | (187270) | 109347 | (2950) |  |
|  Purchases |  | 8894984 | 6285711 | 17458591 |  | 13216854 |  |  |
|  Sales | (97673) |  | (82501) | (116427) | (491981) |  |  |  |
|  Closing balance, as of December 31, 2022 | $343613 | $8327854 | $9087060 | $36182630 | $1236659 | $16001110 | $(2950) | $— |
|  Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022<sup>(c)</sup> | $(85600) | $(1666624) | $(217486) | $(1457000) | $(187270) | $109347 | $(2950) | $— |

---

---

| | | | |
|:---|:---|:---|:---|
|  | *Warrants* | | *Total* |
|  **Assets** |  |  |  |
|  Opening balance, as of December 31, 2021 | $61805 |  | $23657344 |
|  Transfers into Level 3 |  |  | 6543666 |
|  Transfers out of Level 3 |  |  | (550000) |
|  Accrued discounts/premiums |  |  | 110268 |
|  Net realized gain (loss) |  |  | (83472) |
|  Net change in unrealized appreciation (depreciation)<sup>(b)(c)</sup> | 1017824 |  | (2489759) |

---

S C H E D U L E O F I N V E S T M E N T S 65

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> December 31, 2022 | **BlackRock ESG Capital Allocation Trust (ECAT)** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | *Warrants* | | *Total* |
|  Purchases | $— |  | $45856140 |
|  Sales |  |  | (788582) |
|  Closing balance, as of December 31, 2022 | $1079629 |  | $72255605 |
|  Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022<sup>(c)</sup> | $1017823 |  | $(2489760) |

---

<sup>(a)</sup> Rounds to less than $1. 

<sup>(b)</sup> Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

<sup>(c)</sup> Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022 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 Valuation Committee (the "Valuation Committee") to determine the value of certain of the Trust's Level 3 financial instruments as of period end. The table does not include Level 3 financial instruments with values based upon unadjusted third-party pricing information in the amount of $8,142,473. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Value* | | *Valuation*<br> *Approach* | *Unobservable*<br> *Inputs* | *Range of*<br> *Unobservable*<br> *Inputs*<br> *Utilized* | <br>*<sup>(a)</sup>*  | *Weighted*<br> *Average of*<br> *Unobservable*<br> *Inputs Based*<br> *on Fair Value* | <br>|
|  **Assets** |  |  |  |  |  |  |  |  |
|  Common Stocks | $8327854 |  | Market | Revenue Multiple<br> Volatility<br> Time to Exit<br> EBITDA Multiple | 10.75x - 13.50x<br> 51%<br> 1.4 years<br> 24.00x |  | 12.47x<br> —<br> —<br> — |  |
|  Corporate Bonds | 9087060 |  | Income<br> Market | Discount Rate<br> Revenue Multiple<br> Volatility | 15%- 35%<br> 12.25x<br> 60%- 60% |  | 24%<br> —<br> 60% |  |
|  Floating Rate Loan Interests | 29617479 |  | Income | Discount Rate<br> Credit Spread | 9%- 16%<br> 453-819 |  | 12%<br> 612 |  |
|  Preferred Stocks | 16001110 |  | Market | Revenue Multiple<br>Time to Exit<br>Volatility | 0.21x - 18.50x<br> 2.0 - 2.5 years<br> 58% - 75% |  | 9.43x<br> 2.4 years<br> 72% |  |
|  Warrants | 1079629 |  | Market | Revenue Multiple<br>Volatility Time to<br>Exit | 6.75x -18.00x<br> 40% - 65%<br> 0.5 - 4.7 years |  | 10.71x<br> 62%<br> 4.7 years |  |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64113132 |  |  |  |  |  |  |  |

---

<sup>(a)</sup> A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value.

*See notes to financial statements.* 

66 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statements of Assets and Liabilities

December 31, 2022

---

| | | |
|:---|:---|:---|
|  | BCAT<sup>(a)</sup> | ECAT |
|  **ASSETS** |  |  |
|  Investments, at value — unaffiliated<sup>(b)</sup> | $2000414664 | $1855297829 |
|  Investments, at value — affiliated<sup>(c)</sup> | 65027268 | 24201782 |
|  Cash |  | 115873 |
|  Cash pledged: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — OTC derivatives | 416000 | 1918000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 11143000 | 13510000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Centrally cleared swaps | 14545000 | 1210000 |
|  Foreign currency, at value<sup>(d)</sup> | 4104465 | 2654006 |
|  Receivables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold | 9630790 | 19825981 |
| &nbsp;&nbsp;&nbsp;&nbsp; Options written |  | 1622 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps | 590697 | 554844 |
| &nbsp;&nbsp;&nbsp;&nbsp; TBA sale commitments | 131214138 | 98027409 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | 1061063 | 993137 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 320552 | 66002 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 9162460 | 5836415 |
|  Due from broker | 310000 |  |
|  Principal paydowns | 3186 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 2162815 | 836752 |
|  Swap premiums paid | 394 | 371 |
|  Unrealized appreciation on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 2998199 | 1030374 |
| &nbsp;&nbsp;&nbsp;&nbsp; OTC swaps | 198493 |  |
|  Deferred offering costs | 14957 |  |
|  Prepaid expenses | 15039 | 14326 |
|  Total assets | 2253333180 | 2026094723 |
|  **LIABILITIES** |  |  |
|  Bank overdraft | 1804769 |  |
|  Due to broker | 283001 |  |
|  Cash received: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — OTC derivatives | 1210000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — TBA commitments | 11000 |  |
|  Options written, at value<sup>(e)</sup> | 13714621 | 2823442 |
|  TBA sale commitments, at value<sup>(f)</sup> | 130311513 | 97506535 |
|  Payables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 265482439 | 215965752 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps | 123970 | 187482 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services fees | 79817 | 66281 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 1780050 | 1698644 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian fees | 85553 | 38744 |
| &nbsp;&nbsp;&nbsp;&nbsp; Deferred foreign capital gain tax | 114006 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Income dividend distributions | 1630475 | 981739 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest expense and fees | 118403 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | 1948217 | 1853153 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' and Officer's fees | 14293 | 12629 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accrued expenses | 74969 | 31547 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 390481 | 176239 |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees | 36657 | 32034 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 1478819 | 311952 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on centrally cleared swaps | 314903 | 88382 |
|  Swap premiums received | 540835 |  |
|  Unrealized depreciation on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 9481295 | 1187882 |
| &nbsp;&nbsp;&nbsp;&nbsp; OTC swaps | 949651 | 1256111 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unfunded floating rate loan interests | 5042 | 2950 |
|  Total liabilities | 431984779 | 324221498 |
|  NET ASSETS | $1821348401 | $1701873225 |

---

F I N A N C I A L S T A T E M E N T S 67

------

Statements of Assets and Liabilities (continued)

December 31, 2022

---

| | | |
|:---|:---|:---|
|  | BCAT<sup>(a)</sup> | ECAT |
|  **NET ASSETS CONSIST OF** |  |  |
|  Paid-in capital<sup>(g)(h)(i)</sup> | $2102239188 | $2002070089 |
|  Accumulated loss | (280890787) | (300196864) |
|  NET ASSETS | $1821348401 | $1701873225 |
|  Net asset value | $16.84 | $16.62 |
|  <sup>(a)</sup> Consolidated Statement of Assets and Liabilities. |  |  |
|  <sup>(b)</sup> Investments, at cost — unaffiliated | $2121237688 | $1999267966 |
|  <sup>(c)</sup> Investments, at cost — affiliated | $65644798 | $24634532 |
|  <sup>(d)</sup> Foreign currency, at cost | $4231573 | $2650930 |
|  <sup>(e)</sup> Premiums received | $8572509 | $2715559 |
|  <sup>(f)</sup> Proceeds from TBA sale commitments | $131214138 | $98027409 |
|  <sup>(g)</sup> Shares outstanding | 108135000 | 102382241 |
|  <sup>(h)</sup> Shares authorized | Unlimited | Unlimited |
|  <sup>(i)</sup> Par value | $0.001 | $0.001 |

---

*See notes to financial statements.* 

68 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statements of Operations

Year Ended December 31, 2022

---

| | | |
|:---|:---|:---|
|  | BCAT<sup>(a)</sup> | ECAT |
|  **INVESTMENT INCOME** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $18827187 | $17231735 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | 1805470 | 2714868 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 66928415 | 23598814 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income — affiliated — net |  | 135232 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other income — unaffiliated | 447327 | 214946 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign taxes withheld | (896763) | (1179716) |
|  Total investment income | 87111636 | 42715879 |
|  EXPENSES |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investment advisory | 27314665 | 23213443 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 602403 | 193030 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services | 263149 | 215294 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian | 248080 | 84591 |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent | 109812 | 89225 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees and Officer | 76942 | 81955 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration | 75763 | 35811 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage | 30330 | 30239 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 158482 | 48823 |
|  Total expenses excluding interest expense | &nbsp;&nbsp;&nbsp;&nbsp;28879626 | 23992411 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest expense and fees | 2900624 |  |
|  Total expenses | 31780250 | 23992411 |
| &nbsp;&nbsp;&nbsp;&nbsp; Less: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (300262) | (231445) |
|  Total expenses after fees waived and/or reimbursed | 31479988 | 23760966 |
|  Net investment income | 55631648 | 18954913 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (183651300) | (133410581) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (3393803) | (3109285) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 36933815 | &nbsp;&nbsp;&nbsp;&nbsp;13602138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | 2389216 | (37888) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 21266762 | (1001839) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options written | 10567894 | 8105897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | 36266630 | 2754517 |
|  | (79620786) | (113097041) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated<sup>(b)</sup> | (273773279) | (214501229) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated | (494559) | (432750) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | (4498780) | 1945883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations | (193620) | 9925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 11187183 | (4245396) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options written | (7515629) | (538688) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | (23013642) | (989219) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded floating rate loan interests | (4524) | (2950) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded SPAC PIPE commitments | (227689) |  |
|  | (298534539) | (218754424) |
|  Net realized and unrealized loss | (378155325) | (331851465) |
|  NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $(322523677) | $(312896552) |
|  <sup>(a)</sup> Consolidated Statement of Operations. |  |  |
|  <sup>(b)</sup> Net of increase in deferred foreign capital gain tax of | $(114006) | $— |

---

*See notes to financial statements.* 

F I N A N C I A L S T A T E M E N T S 69

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Statements of Changes in Net Assets

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BCAT | BCAT | ECAT | ECAT |
|  | Year Ended<br> 12/31/22<br><sup>(a)</sup>  | Year Ended<br> 12/31/21<br><sup>(a)</sup>  | Year Ended<br> 12/31/22 | Period from<br> 09/27/21<br> to 12/31/21<br><sup>(b)</sup> <br>|
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $55631648 | $59797037 | $18954913 | $(4236917) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (79620786) | 25010819 | (113097041) | 18030217 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (298534539) | 36481238 | (218754424) | 70201810 |
|  Net increase (decrease) in net assets resulting from operations | (322523677) | 121289094 | (312896552) | 83995110 |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(c)</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income and net realized gain | (109547627) | (86919506) | (60724637) | (10570785) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (28661646) | (53256836) | (64828979) |  |
|  Decrease in net assets resulting from distributions to shareholders | (138209273) | (140176342) | (125553616) | (10570785) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net proceeds from the issuance of shares |  |  |  | 2114057040 |
| &nbsp;&nbsp;&nbsp;&nbsp; Reinvestment of distributions |  | 16909374 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Redemption of shares resulting from share repurchase program (including transaction costs) | (50901644) | (16734011) | (47257972) |  |
|  Net increase (decrease) in net assets derived from capital share transactions | (50901644) | 175363 | (47257972) | 2114057040 |
|  *NET ASSETS* |  |  |  |  |
|  Total increase (decrease) in net assets | (511634594) | (18711885) | (485708140) | 2187481365 |
|  Beginning of year | 2332982995 | 2351694880 | 2187581365 | 100000 |
|  End of year | $1821348401 | $2332982995 | $1701873225 | $2187581365 |

---

<sup>(a)</sup> Consolidated Statement of Changes in Net Assets.

<sup>(b)</sup> Commencement of operations.

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

70 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Statements of Cash Flows

Year Ended December 31, 2022

---

| | | |
|:---|:---|:---|
|  | BCAT<sup>(a)</sup> | ECAT |
|  **CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES** |  |  |
|  Net decrease in net assets resulting from operations | $(322523677) | $(312896552) |
|  Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from sales of long-term investments and principal paydowns/payups | 2670461908 | 1531852765 |
| &nbsp;&nbsp;&nbsp;&nbsp; Purchases of long-term investments | (1949402331) | (2144522737) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net proceeds from sales (purchases) of short-term securities | (15149857) | 763235761 |
| &nbsp;&nbsp;&nbsp;&nbsp; Amortization of premium and accretion of discount on investments and other fees | (2299911) | (903967) |
| &nbsp;&nbsp;&nbsp;&nbsp; Premiums paid on closing options written | (27334845) | (8339101) |
| &nbsp;&nbsp;&nbsp;&nbsp; Premiums received from options written | 46343373 | 20910942 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized loss on investments and options written | 177122863 | 128413969 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net unrealized depreciation on investments, options written, swaps, foreign currency translations, unfunded floating rate loan interests and unfunded SPAC PIPE commitments | 288291337 | 214785845 |
| (Increase) Decrease in Assets |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivables |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated | (320410) | (62249) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | (93609) | (383448) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 5064940 | (4735551) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | (509102) | (554844) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | (1212862) | (807728) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap premiums paid | (394) | (371) |
| &nbsp;&nbsp;&nbsp;&nbsp; Prepaid expenses | 41745 | 2113 |
| &nbsp;&nbsp;&nbsp;&nbsp; Deferred offering costs | (14957) |  |
|  Increase (Decrease) in Liabilities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due to broker | 283001 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash received |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateral — reverse repurchase agreements | (654973) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateral — OTC derivatives | 370000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateral — TBA commitments | 11000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payables |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | 85475 | 187482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Accounting services fees | (7250) | 22292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Custodian fees | (25615) | (287) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deferred foreign capital gain tax | 114006 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest expense and fees | (457793) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment advisory fees | (1236291) | (450698) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trustees' and Officer's fees | 3282 | 12629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other accrued expenses | 10475 | 20187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 355832 | 57203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees | 22175 | 15792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 1310042 | (80238) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Variation margin on centrally cleared swaps | 139677 | 88382 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap premiums received | (926790) |  |
|  Net cash provided by operating activities | 867860464 | 185867591 |
|  **CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES** |  |  |
|  Cash dividends paid to shareholders | (138909597) | (125797775) |
|  Payments for bank borrowings | (441000000) |  |
|  Net payments on redemption of capital shares including change in redemptions payable | (52768302) | (45559328) |
|  Increase (decrease) in bank overdraft | 288724 | (5975) |
|  Net borrowing of reverse repurchase agreements | (247518581) |  |
|  Net cash used for financing activities | (879907756) | (171363078) |
|  **CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS** |  |  |
|  Cash impact from foreign exchange fluctuations | (208278) | 3076 |

---

F I N A N C I A L S T A T E M E N T S 71

------

Statements of Cash Flows (continued)

Year Ended December 31, 2022

---

| | | |
|:---|:---|:---|
|  | BCAT<sup>(a)</sup> | ECAT |
|  **CASH AND FOREIGN CURRENCY** |  |  |
|  Net increase (decrease) in restricted and unrestricted cash and foreign currency | $(12255570) | $14507589 |
|  Restricted and unrestricted cash and foreign currency at beginning of year | 42774035 | 4900290 |
|  Restricted and unrestricted cash and foreign currency at end of year | $30518465 | $19407879 |
|  **SUPPLEMENTAL DISCLOSURE OFCASH FLOW INFORMATION** |  |  |
|  Cash paid during the year for interest expense | $3358417 | $— |
|  **RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES** |  |  |
|  Cash | $— | $115873 |
|  Cash pledged |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — OTC derivatives | 416000 | 1918000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 11143000 | 13510000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Centrally cleared swaps | 14545000 | 1210000 |
|  Foreign currency at value | 4104465 | 2654006 |
|  Due from broker | 310000 |  |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30518465 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19407879 |

---

<sup>(a)</sup> Consolidated Statement of Cash Flows.

*See notes to financial statements.* 

72 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Financial Highlights

(For a share outstanding throughout each period)

---

| | | | |
|:---|:---|:---|:---|
|  | BCAT | BCAT | BCAT |
| | Year Ended<br> 12/31/22<br><sup>(a)</sup>  | Year Ended<br> 12/31/21<br><sup>(a)</sup>  | Period from<br> 09/28/20<br> to 12/31/20<br><sup>(b)</sup> <br>|
|  **Net asset value, beginning of period** | $20.90 | $21.05 | $20.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(c)</sup> | 0.50 | 0.53 | 0.04 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.31) | 0.57 | 1.11 |
|  Net increase (decrease) from investment operations | (2.81) | 1.10 | 1.15 |
|  **Distributions<sup>(d)</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.99) | (0.75) | (0.03) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain |  | (0.03) | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.26) | (0.47) |  |
|  Total distributions | (1.25) | (1.25) | (0.10) |
|  **Net asset value, end of period** | $16.84 | $20.90 | $21.05 |
|  **Market price, end of period** | $13.87 | $19.45 | $21.77 |
|  **Total Return<sup>(e)</sup>** |  |  |  |
|  Based on net asset value | (12.61)% | 5.44% | 5.77 %<sup>(f)</sup> |
|  Based on market price | (22.66)% | (5.12)% | 9.39 %<sup>(f)</sup> |
|  **Ratios to Average Net Assets<sup>(g)</sup>** |  |  |  |
|  Total expenses | 1.58% | 1.61% | 1.30 %<sup>(h)</sup> |
|  Total expenses after fees waived and/or reimbursed | 1.57% | 1.60% | 1.26 %<sup>(h)</sup> |
|  Total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs | 1.42% | 1.51% | 1.26 %<sup>(h)</sup> |
|  Net investment income | 2.77% | 2.49% | 0.84 %<sup>(h)</sup> |
|  **Supplemental Data** |  |  |  |
|  Net assets, end of period (000) | $1821348 | $2332983 | $2351695 |
|  Borrowings outstanding, end of period (000) | $— | $687791 | $— |
|  Asset coverage, end of year per $1,000 of bank borrowings | $— | $6290 | $— |
|  Portfolio turnover rate<sup>(i)</sup> | 98% | 90% | 13% |

---

<sup>(a)</sup> Consolidated Financial Highlights.

<sup>(b)</sup> Commencement of operations.

<sup>(c)</sup> Based on average shares outstanding.

<sup>(d)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(e)</sup> 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. 

<sup>(f)</sup> Not annualized.

<sup>(g)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(h)</sup> Annualized.

<sup>(i)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows:

---

| | | | |
|:---|:---|:---|:---|
| | Year Ended<br> 12/31/22<br><sup>(a)</sup>  | Year Ended<br> 12/31/21<br><sup>(a)</sup>  | Period from<br> 09/28/20<br> to 12/31/20<br><sup>(b)</sup> <br>|
|  Portfolio turnover rate (excluding MDRs) | 88% | 86% | 13% |

---

*See notes to financial statements.* 

F I N A N C I A L H I G H L I G H T S 73

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Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | |
|:---|:---|:---|
|  | ECAT | ECAT |
| | Year Ended<br> 12/31/22 | Period from<br> 09/27/21<br> to 12/31/21<br><sup>(a)</sup> <br>|
|  **Net asset value, beginning of period** | $20.69 | $20.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(b)</sup> | 0.18 | (0.04) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (3.05) | 0.83 |
|  Net increase (decrease) from investment operations | (2.87) | 0.79 |
|  **Distributions<sup>(c)</sup>** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.50) | (0.05) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain | (0.08) | (0.05) |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | (0.62) |  |
|  Total distributions | (1.20) | (0.10) |
|  **Net asset value, end of period** | $16.62 | $20.69 |
|  **Market price, end of period** | $13.43 | $18.65 |
|  **Total Return<sup>(d)</sup>** |  |  |
|  Based on net asset value | (12.89)% | 4.00 %<sup>(e)</sup> |
|  Based on market price | (21.91)% | (6.25)%<sup>(e)</sup> |
|  **Ratios to Average Net Assets<sup>(f)</sup>** |  |  |
|  Total expenses | 1.29% | 1.30 %<sup>(g)</sup> |
|  Total expenses after fees waived and/or reimbursed | 1.28% | 1.30 %<sup>(g)</sup> |
|  Net investment income (loss) | 1.02% | (0.77)%<sup>(g)</sup> |
|  **Supplemental Data** |  |  |
|  Net assets, end of period (000) | $1701873 | $2187581 |
|  Portfolio turnover rate<sup>(h)</sup> | 106% | 15% |

---

<sup>(a)</sup> Commencement of operations.

<sup>(b)</sup> Based on average shares outstanding.

<sup>(c)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(d)</sup> 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. 

<sup>(e)</sup> Not annualized.

<sup>(f)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(g)</sup> Annualized.

<sup>(h)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows:

---

| | | |
|:---|:---|:---|
| | Year Ended<br> 12/31/22 | Period from<br> 09/27/21<br> to 12/31/21 |
|  Portfolio turnover rate (excluding MDRs) | 95% | 15% |

---

*See notes to financial statements.* 

74 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements

***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*<br> *Classification* |
|  BlackRock Capital Allocation Trust | BCAT | Maryland | Non-diversified |
|  BlackRock ESG Capital Allocation Trust | ECAT | Maryland | Non-diversified |

---

The Boards of Trustees of the Trusts are collectively referred to throughout this report as the "Board," and the 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 funds referred to as the BlackRock Fixed-Income Complex.

**Basis of Consolidation:** The accompanying consolidated financial statements of BCAT include the account of Cayman Capital Allocation Fund, Ltd. (the "Cayman Subsidiary"), which is a wholly-owned subsidiary of BCAT and primarily invests in commodity-related instruments and other derivatives. The Cayman Subsidiary enables BCAT to hold these commodity-related instruments and satisfy regulated investment company tax requirements. BCAT may invest up to 25% of its total assets in the Cayman Subsidiary. The net assets of the Cayman Subsidiary as of period end were $3,685,172, which is 0.2% of BCAT's consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Cayman Subsidiary is subject to the same investment policies and restrictions that apply to BCAT, except that the Cayman 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 using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Trusts are informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets. For convertible securities, premiums attributable to the debt instrument are amortized, but premiums attributable to the conversion feature are not amortized.

**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 effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments 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.

**Foreign Taxes:** The Trusts may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Trust invests. These foreign taxes, if any, are paid by each Trust and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as "Foreign taxes withheld", and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2022, if any, are disclosed in the Statements of Assets and Liabilities.

The Trusts file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Trusts may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction's applicable laws, payment history and market convention. The Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

**Collateralization:** 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.

N O T E S T O F I N A N C I A L S T A T E M E N T S 75

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Notes to Financial Statements (continued)

**Distributions:** Distributions paid by the Trusts are recorded on the ex-dividend dates. 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. See Income Tax Information note for the tax character of each Trust's distributions paid during the period.

Net income and realized gains from investments held by the Cayman Subsidiary are treated as ordinary income for tax purposes. If a net loss is realized by the Cayman Subsidiary in any taxable year, the loss will generally not be available to offset BCAT'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, if any, 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. Net appreciation (depreciation) in the value of participants' deferral accounts is allocated among the participating funds in the BlackRock Fixed-Income Complex and reflected as Trustees and Officer expense on the Statements of Operations. The Trustees and Officer expense may be negative as a result of a decrease in value of the deferred accounts.

**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:** Each Trust's investments are valued at fair value (also referred to as "market value" within the financial statements) each day that the Trust is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board has approved the designation of each Trust's Manager as the valuation designee for each Trust. Each Trust determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager's policies. 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 the Manager's policies and procedures as reflecting fair value. The Manager has formed a committee (the "Valuation Committee") to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

**Fair Value Inputs and Methodologies:** The following methods and inputs are used to establish the fair value of each Trust's assets and liabilities:

&nbsp;&nbsp;&nbsp;&nbsp;• Equity investments traded on a recognized securities exchange are valued at that day's official closing price, as
applicable, on the exchange where the stock is primarily traded. 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.

&nbsp;&nbsp;&nbsp;&nbsp;• Fixed-income investments for which market quotations are readily available are generally valued using the last available
bid price 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),
market data, 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 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.

&nbsp;&nbsp;&nbsp;&nbsp;• Investments in open-end U.S. mutual funds (including money market funds) are valued at that day's published NAV.

&nbsp;&nbsp;&nbsp;&nbsp;• Futures contracts are valued based on that day's last reported settlement or trade price on the exchange where the
contract is traded.

&nbsp;&nbsp;&nbsp;&nbsp;• Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as
of the close of trading on the NYSE based on that day's prevailing forward exchange rate for the underlying currencies.

&nbsp;&nbsp;&nbsp;&nbsp;• Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in
which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day's price will

76 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Notes to Financial Statements (continued)

be used, unless it is determined that the prior day's price no longer reflects the fair value of the option. Over-the-counter ("OTC") options and options on swaps ("swaptions") 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. <br>

&nbsp;&nbsp;&nbsp;&nbsp;• Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are
derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Trusts use current market factors supplied by independent pricing services to value certain foreign instruments ("Systematic Fair Value Price"). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that 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 Valuation Committee in accordance with the Manager's policies and procedures as reflecting fair value ("Fair Valued Investments"). The fair valuation approaches that may be used by the Valuation Committee 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 Valuation Committee 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 Valuation Committee deems relevant and consistent with the principles of fair value measurement.

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 Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.

---

| | |
|:---|:---|
|  | *Standard Inputs Generally Considered By The Valuation Committee And 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. Enterprise valuation techniques such as an option pricing model ("OPM"), a probability weighted expected return model ("PWERM"), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation 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 applicable to 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 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:

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each
Trust has the ability to access;

&nbsp;&nbsp;&nbsp;&nbsp;• 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); and

&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable
inputs are not available (including the Valuation Committee's assumptions used in determining the fair value of 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

N O T E S T O F I N A N C I A L S T A T E M E N T S 77

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Notes to Financial Statements (continued)

inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of December 31, 2022, certain investments of BCAT were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

***4.***  ***SECURITIES AND OTHER INVESTMENTS*** 

**Asset-Backed and Mortgage-Backed Securities:** Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the "Mortgage Assets") there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower's ability to repay its loans.

**Zero-Coupon Bonds:** Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

**Capital Securities and Trust Preferred Securities:** Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company's senior debt securities and are freely callable at the issuer's option.

**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.

**Floating Rate Loan Interests:** Floating rate loan interests are typically issued to companies (the "borrower") by banks, other financial institutions, or privately and publicly offered corporations (the "lender"). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate ("LIBOR"), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund's investment policies.

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Notes to Financial Statements (continued)

When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower's option. A fund may invest in such loans in the form of participations in loans ("Participations") or assignments ("Assignments") of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund's investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Trusts may also enter into unfunded floating rate loan interests ("commitments"). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Trusts had the following unfunded floating rate loan interests:

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Trust Name* | *Borrower* | *Par* | *Commitment*<br> *Amount* | *Value* | *Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  BCAT | IPS Corp. | $45320 | $45320 | $40278 | $(5042) |
|  ECAT | Vaca Morada Partners LP | 1180193 | 1180193 | 1177243 | (2950) |

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**Forward Commitments, When-Issued and Delayed Delivery Securities:** The Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Trusts may purchase securities under such conditions with the intention of actually acquiring them but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts' maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

**TBA Commitments:** TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.

In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an "MSFTA"). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. 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 the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.

**Mortgage Dollar Roll Transactions:** The Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.

**Commitments:** Commitments are agreements to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Such agreements may obligate a fund to make future cash payments. As of December 31, 2022, BCAT and ECAT had outstanding commitments of $11,677,048 and $3,882,674, respectively. These commitments are not included in the net assets of a Trust as of December 31, 2022.

**Reverse Repurchase Agreements:** Reverse repurchase agreements are agreements with qualified third-party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon

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Notes to Financial Statements (continued)

competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.

For the year ended December 31, 2022, the average daily amount of reverse repurchase agreements outstanding and the weighted average interest rate for BCAT were $22,464,096 and 0.41%, respectively.

Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an "MRA"), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty's bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund's use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund's obligation to repurchase the securities.

**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.

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. Any non-cash collateral received cannot be sold, re-invested or pledged by the Trust, except in the event of borrower default. The securities on loan, if any, are disclosed in the Trusts' Schedules of Investments. The market value of any securities on loan and the value of any related collateral are shown separately in the Statements of Assets and Liabilities as a component of investments at value – affiliated, and collateral on securities loaned, respectively.

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 the Trusts 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.

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.

**Futures Contracts:** Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk), foreign currencies (foreign currency exchange rate risk) or bitcoin (commodity risk).

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Notes to Financial Statements (continued)

Futures contracts are exchange-traded agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. BCAT may invest in cash-settled bitcoin futures that are traded on commodity exchanges registered with the Commodity Futures Trading Commission. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract's size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract ("variation margin"). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

**Forward Foreign Currency Exchange Contracts**: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Trust's risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Trust.

**Options:** The Trusts may 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.

&nbsp;&nbsp;&nbsp;&nbsp;• Swaptions — The Trusts may purchase and write options on swaps ("swaptions") primarily to preserve a
return or spread on a particular investment or portion of the Trusts' holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer
of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

&nbsp;&nbsp;&nbsp;&nbsp;• Foreign currency options — The Trusts may purchase and write foreign currency options, foreign currency futures and
options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before
the expiration of the option.

&nbsp;&nbsp;&nbsp;&nbsp;• Barrier options – The Trusts may purchase and write a variety of options with non-standard payout structures or
other features ("barrier options") that are generally traded OTC.

The Trusts may invest in various types of barrier options, including down-and-out options, down-and-in options, double no-touch options, one-touch options, instant one-touch options, up-and-out options and up-and-in options. Down-and-out options expire worthless to the purchaser if the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Down-and-in options expire worthless to the purchaser unless the price of the underlying instrument falls below a specific barrier price level prior to the expiration date. Double no-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument does not reach or surpass predetermined barrier price levels prior to the option's expiration date. One-touch options and instant one-touch options provide the purchaser an agreed-upon payout if the price of the underlying instrument reaches or surpasses predetermined barrier price levels prior to the expiration date. Up-and-out options expire worthless to the purchaser if the price of the underlying instrument increases beyond a predetermined barrier price level prior to the expiration date. Up-and-in options can only be exercised when the price of the underlying instrument increases beyond a predetermined barrier price level.

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Notes to Financial Statements (continued)

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.

**Swaps:** Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Trusts and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract ("OTC swaps") or centrally cleared ("centrally cleared swaps").

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts' basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the "CCP") and the CCP becomes the Trusts' counterparty on the swap. Each Trust is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Trust is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each Trust agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract ("variation margin"). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.

&nbsp;&nbsp;&nbsp;&nbsp;• Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of
the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

&nbsp;&nbsp;&nbsp;&nbsp;• Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning
such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest
rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Trusts receive payment from or make a payment to the counterparty.

Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Trust has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap's market value. The market value also includes interest charges and credits ("financing fees") related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.

Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Trusts and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Statements of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Trusts and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.

&nbsp;&nbsp;&nbsp;&nbsp;• Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage
duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party's stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

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Notes to Financial Statements (continued)

&nbsp;&nbsp;&nbsp;&nbsp;• Inflation swaps — Inflation swaps are entered into to gain or reduce exposure to inflation (inflation risk). In an
inflation swap, one party makes fixed interest payments on a notional principal amount in exchange for another party's variable payments based on an inflation index, such as the Consumer Price Index.

**Master Netting Arrangements:** In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Trust may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a 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, a 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. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against 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.

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 the counterparties are not fully collateralized, each Trust bears 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, each Trust bears 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, 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 pays the Manager a monthly fee at an annual rate equal to 1.25% of the average daily value of each Trust's managed assets. For purposes of calculating these fees, "managed assets" are determined as total assets of each Trust (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 each Trust, the Manager entered into separate sub-advisory agreements with BlackRock (Singapore) Limited ("BSL"), an affiliate of the Manager. The Manager pays BSL for services it provides for that portion of each Trust for which BSL 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 the Cayman Subsidiary and Cayman ESG Capital Allocation Fund, Ltd., a wholly owned subsidiary of ECAT (collectively, the "Subsidiaries"). The Manager does not receive separate compensation from the Subsidiaries for providing investment management or administrative services. However, the Trusts pay the Manager based on the Trusts' net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, which includes the assets of the respective Subsidiary.

**Expense Waivers and Reimbursements:** 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, 2024. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees, or by a vote of a majority of the 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 year ended December 31, 2022, the amounts waived were as follows:

---

| | |
|:---|:---|
| *Trust Name* | *Fees Waived and/or Reimbursed*<br> *by the Manager* |
|  BCAT | $39720 |
|  ECAT | 231445 |

---

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, 2024. 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. These amounts are included in fees waived and/or

N O T E S T O F I N A N C I A L S T A T E M E N T S 83

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Notes to Financial Statements (continued)

reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2022, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

---

| | |
|:---|:---|
| *Trust Name* | *Fees Waived and/or Reimbursed*<br> *by the Manager* |
|  BCAT | $260542 |
|  ECAT |  |

---

**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, Money Market Series, managed by the Manager or its affiliates. However, BIM has agreed to cap the collateral investment expenses of the Money Market Series to an annual rate of 0.04%. The investment adviser to the Money Market Series will not charge any advisory fees with respect to shares purchased by the Trusts. The Money Market Series 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. 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.

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, each Trust retains 82% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the 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 in an amount equal to 85% of securities lending income (which excludes collateral investment expenses), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment expenses.

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 year ended December 31, 2022, each Trust paid BIM the following amounts for securities lending agent services:

---

| | |
|:---|:---|
| *Trust Name* | *Amounts* |
|  ECAT | $24468 |

---

**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.

**Other Transactions:** 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 year ended December 31, 2022, 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:

---

| | | | |
|:---|:---|:---|:---|
| *Trust Name* | *Purchases* | *Sales* | *Net Realized*<br> *Gain (Loss)* |
|  BCAT | $564058 | $3628124 | $(1053033) |

---

***7.***  ***PURCHASES AND SALES*** 

For the year ended December 31, 2022, purchases and sales of investments, including paydowns/payups and mortgage dollar rolls and excluding short-term securities, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Government Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Government Securities | Other Securities | Other Securities |
| *Trust Name* | *Purchases* | *Sales* | *Purchases* | *Sales* |
|  BCAT | $138296303 | $140850476 | $1952936804 | $2612686406 |
|  ECAT | 203800894 | 200677893 | 2127107441 | 1431534617 |

---

For the year ended December 31, 2022, purchases and sales related to mortgage dollar rolls were as follows:

---

| | | | |
|:---|:---|:---|:---|
| *Trust Name* | *Purchases* | | *Sales* |
|  BCAT | $207553568 |  | $207651293 |
|  ECAT | 170829965 |  | 170911184 |

---

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Notes to Financial Statements (continued)

***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 a period of three years after they are filed. 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 December 31, 2022, 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.

The tax character of distributions paid was as follows:

---

| | | | |
|:---|:---|:---|:---|
| *Trust Name* | *Year Ended*<br> *12/31/22* |  | *Year Ended*<br> *12/31/21* |
|  BCAT |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $109547627 |  | $86919506 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 28661646 |  | 53256836 |
|  | $138209273 |  | $&nbsp;&nbsp;&nbsp;&nbsp;140176342 |
|  ECAT |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $56829735 |  | $8250213 |
| &nbsp;&nbsp;&nbsp;&nbsp; Long-term capital gains | 3894902 |  | 2320572 |
| &nbsp;&nbsp;&nbsp;&nbsp; Return of capital | 64828979 |  |  |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;125553616 |  | $10570785 |

---

As of December 31, 2022, the tax components of accumulated earnings (loss) were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Trust Name* | *Non-Expiring*<br> *Capital Loss*<br> *Carryforwards<sup>(a)</sup>* | *Net Unrealized*<br> *Gains (Losses)<sup>(b)</sup>* | *Qualified*<br> *Late-Year Losses<sup>(c)</sup>* | *Total* |
|  BCAT | $(115518910) | $(148753605) | $(16618272) | $(280890787) |
|  ECAT | (108169492) | (160987254) | (31040118) | (300196864) |

---

<sup>(a)</sup> Amounts available to offset future realized capital gains. 

<sup>(b)</sup> The difference between book-basis and tax-basis net unrealized gains were attributable primarily to the tax deferral of losses on wash sales and straddles, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the accounting for swap agreements, timing and recognition of partnership income, amortization methods for premiums and discounts on fixed income securities, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the accrual of income on securities in default, characterization of corporate actions and the classification of investments. 

<sup>(c)</sup> The Trust has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year.

As of December 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Trust Name* | *Tax Cost* | *Gross Unrealized*<br> *Appreciation* | *Gross Unrealized*<br> *Depreciation* | *Net Unrealized*<br> *Appreciation*<br> *(Depreciation)* |
|  BCAT | $2195982182 | $137772700 | $(283447132) | $(145674432) |
|  ECAT | 2042142378 | 43196356 | (204089180) | (160892824) |

---

***9.***  ***BANK BORROWINGS*** 

BCAT entered into a 179-day rolling line of credit facility with BNP Paribas Prime Brokerage International, Limited ("BNP"). BNP is required to provide 179 days' notice of termination to BCAT absent a default or certain similar events. BCAT has granted a security interest in substantially all of its assets to BNP. BCAT can borrow up to $550,000,000 at any time, subject to asset coverage and other limitations as specified in the credit facility. Advances will be made by BNP to BCAT at the Overnight Bank Funding Rate plus 0.75%. In addition, BCAT pays a commitment fee on the daily unused amount if utilization is less than 80% of the committed line amount. For the year ended December 31, 2022, the maximum amount borrowed, the average daily borrowing and the weighted average interest rate, if any, under the credit agreement were as follows:

---

| | | | |
|:---|:---|:---|:---|
| *Trust Name* | *Maximum*<br> *Amount Borrowed* | *Average Amount*<br> *Outstanding* | *Daily Weighted Average* <br> *Interest Rate*  |
|  BCAT | $441000000 | $154164384 | 1.20% |

---

As of December 31, 2022, the Fund did not have any borrowings outstanding under the credit agreement.

N O T E S T O F I N A N C I A L S T A T E M E N T S 85

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Notes to Financial Statements (continued)

***10.***  ***PRINCIPAL RISKS*** 

In the normal course of business, the 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 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 their investments. Each Trust's prospectus provides details of the risks to which each Trust is subject.

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 Trust's NAV 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.

**Market Risk:** Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust's portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolio's current earnings rate.

**Infectious Illness Risk:** An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

**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.

**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, including making timely interest and/or principal payments or otherwise honoring its obligations. 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.

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 each Trust deposits collateral with its counterparty to a written option.

With exchange-traded options purchased, exchange-traded futures and centrally cleared swaps, 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 and centrally cleared swaps 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.

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Notes to Financial Statements (continued)

**Concentration Risk:** A diversified portfolio, where this is appropriate and consistent with a fund's objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Trust's portfolio are disclosed in its Schedule of Investments.

The Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Trusts may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. The Federal Reserve has recently begun to raise the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Trusts' performance.

**LIBOR Transition Risk:** The United Kingdom's Financial Conduct Authority announced a phase out of the LIBOR. Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Trusts may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Trusts is uncertain.

***11.***  ***CAPITAL SHARE TRANSACTIONS*** 

Each Trust is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. Each Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

**Common Shares** 

For the year shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

---

| | | | |
|:---|:---|:---|:---|
|  | Year Ended | Year Ended | Year Ended |
| *Trust Name* | *12/31/22* | *12/31/21* | *12/31/21* |
|  BCAT |  |  | 788514 |

---

The Trusts participate in an open market share repurchase program (the "Repurchase Program"). From December 1, 2021 through November 30, 2022, each Trust may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2021, subject to certain conditions. From December 1, 2022 through November 30, 2023, each Trust may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2022, subject to certain conditions. The Repurchase Program has an accretive effect as shares are purchased at a discount to the Trust's NAV. There is no assurance that the Trusts will purchase shares in any particular amounts.

The total cost of the shares repurchased is reflected in Trusts' Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | *BCAT* | *BCAT* | *BCAT* | *ECAT* | *ECAT* | *ECAT* |
|  | *Shares* | *Amounts* | | *Shares* | | *Amounts* |
|  Year Ended December 31, 2022 | 3502458 | $50901644 |  | 3325611 |  | $47257972 |
|  Year Ended December 31, 2021 | 887894 | 16734011 |  |  |  |  |

---

As of December 31, 2022, BlackRock Financial Management, Inc., an affiliate of the Trusts, owned 5,000 shares of each of BCAT and ECAT.

***12.***  ***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 or will pay distributions to Common Shareholders as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Trust Name* | *Declaration*<br> *Date* | *Record*<br> *Date* | *Payable/*<br> *Paid Date* |  | *Dividend Per*<br> *Common Share* |
|  BCAT | 01/03/23 | 01/13/23 | 01/31/23 |  | $0.104100 |
|  | 02/01/23 | 02/15/23 | 02/28/23 |  | 0.127500 |
|  ECAT | 01/03/23 | 01/13/23 | 01/31/23 |  | 0.100000 |
|  | 02/01/23 | 02/15/23 | 02/28/23 |  | 0.125000 |

---

With respect to ECAT, effective January 1, 2023, the Manager contractually agreed to waive a portion of its investment advisory fees equal to the annual rate of 0.01% of the average daily value of managed assets through December 31, 2023. The contractual agreement may be terminated upon 90 days' notice by a majority of the Independent Trustees or by a vote of a majority of the outstanding voting securities of the Trust.

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Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of BlackRock Capital Allocation Trust and BlackRock ESG Capital Allocation Trust:

**Opinion on the Financial Statements and Financial Highlights** 

We have audited the accompanying statements of assets and liabilities of BlackRock Capital Allocation Trust and BlackRock ESG Capital Allocation Trust (the "Funds"), including the schedules of investments, as of December 31, 2022, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets and the financial highlights for the periods indicated in the table below, and the related notes. Such financial statements and financial highlights are consolidated for BlackRock Capital Allocation Trust as of and for the two years in the period ended December 31, 2022. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2022, and the results of their operations and their cash flows for the year then ended, the changes in their net assets and the financial highlights for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.

---

| | | |
|:---|:---|:---|
| *Fund* | *Statements of Changes in Net Assets* | *Financial Highlights* |
|  BlackRock Capital Allocation Trust | For each of the two years in the period ended December 31, 2022 | For each of the two years in the period ended December 31, 2022 and for the period from September 28, 2020 (commencement of operations) through December 31, 2020 |
|  BlackRock ESG Capital Allocation Trust | For the year ended December 31, 2022 and for the period from September 27, 2021 (commencement of operations) through December 31, 2021 | For the year ended December 31, 2022 and for the period from September 27, 2021 (commencement of operations) through December 31, 2021 |

---

**Basis for Opinion** 

These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with custodians or counterparties; when replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

February 23, 2023

We have served as the auditor of one or more BlackRock investment companies since 1992.

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Important Tax Information (unaudited)

The following amounts, or maximum amounts allowable by law, are hereby designated as qualified dividend income for individuals for the fiscal year ended December 31, 2022:

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| | |
|:---|:---|
| *Trust Name* | *Qualified Dividend*<br> *Income* |
|  BCAT | $17847041 |
|  ECAT | 14570730 |

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The Trusts hereby designate the following amounts, or maximum amounts allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate as noted below, for the fiscal year ended December 31, 2022:

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| | |
|:---|:---|
| *Trust Name* | *20% Rate Long-Term*<br> *Capital Gain Dividends* |
|  BCAT | $— |
|  ECAT | 3894902 |

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The Trusts hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended December 31, 2022:

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| | |
|:---|:---|
| *Trust Name* | *Federal Obligation*<br> *Interest* |
|  BCAT | $885118 |
|  ECAT | 312894 |

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The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

The following percentages, or maximum percentages allowable by law, of ordinary income distributions paid during the fiscal year ended December 31, 2022 qualified for the dividends-received deduction for corporate shareholders:

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| | |
|:---|:---|
| *Trust Name* | *Dividends-Received <br>Deduction* |
|  BCAT | 7.85% |
|  ECAT | 9.88 |

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The Trusts hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended December 31, 2022:

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| | |
|:---|:---|
| *Trust Name* | *Interest*<br> *Dividends* |
|  BCAT | $52402084 |
|  ECAT | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17467760 |

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The Trusts hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended December 31, 2022:

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| | | |
|:---|:---|:---|
| *Trust Name* | *Interest*<br> *Related*<br> *Dividends* | *Qualified*<br> *Short-Term*<br> *Capital Gains* |
|  BCAT | $31821506 | $— |
|  ECAT | 14370587 | 4628343 |

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I M P O R T A N T T A X I N F O R M A T I O N 89

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Investment Objectives, Policies and Risks

**Recent Changes** 

**The following information is a summary of certain changes since December 31, 2021.This information may not reflect all of the changes that have occurred since you purchased the relevant Trust.** 

During each Trust's most recent fiscal year, there were no material changes in the Trust's investment objectives or policies that have not been approved by shareholders or in the principal risk factors associated with investment in the Trust.

**Investment Objectives and Policies** 

**BlackRock Capital Allocation Trust (BCAT)** 

The Trust's investment objectives are to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust's investment objectives may be changed by the Trust's Board of Trustees (the "Board") without prior shareholder approval.

In making investment decisions, Trust management tries to identify the long term trends and changes that could benefit particular markets and/or industries relative to other markets and industries. Trust management will consider a variety of factors when selecting the markets, such as the rate of economic growth, natural resources, capital reinvestment and the social and political environment. In choosing investments, Trust management may look at various fundamental and systematic factors, such as the relative opportunity for equity or debt instruments to increase in value, capital recovery risk, dividend yields and the level of interest rates paid on debt securities of different maturities. The Trust may invest in individual securities, baskets of securities or particular measurements of value or rate, and may consider a variety of factors and systematic inputs. Trust management may employ derivatives for a variety of reasons, including but not limited to, adjusting its exposures to markets, sectors, asset classes and securities. As a result, the economic exposure of the Trust to any particular market, sector, or asset class may vary relative to the market value of any particular exposure.

Trust management will invest in "junk" bonds, corporate loans and distressed securities only when it believes that they will provide an attractive total return, relative to their risk, as compared to higher quality debt securities.

Trust management will invest in distressed securities when Trust management believes they offer significant potential for higher returns or can be exchanged for other securities that offer this potential. However, there can be no assurance that the Trust will generally achieve these returns or that the issuer will make an exchange offer or adopt a plan of reorganization.

BlackRock Advisors, LLC (the "Manager") intends to utilize option strategies that consist of writing (selling) call options on a portion of the common stocks in the Trust's portfolio, as well as other option strategies such as writing other calls and puts or using options to manage risk. The portfolio management team will work closely to determine which option strategies to pursue to seek to generate current gains from options premiums and to enhance the Trust's risk-adjusted returns.

The Trust seeks to achieve its objectives by investing in both equity and debt securities of issuers located around the world. There is no limit on the percentage of assets the Trust can invest in a particular type of security. Generally, the Trust seeks diversification across markets and industries. The Trust has no geographic limits on where it may invest. This flexibility will allow Trust management to look for investments in markets around the world that it believes will provide the best relative asset allocation to meet the Trust's objectives.

Trust management intends to use the Trust's investment flexibility to create a portfolio of assets that, over time, is expected to be relatively balanced between equity and debt securities and that is widely differentiated among many individual investments. The Trust may invest in both developed and emerging markets. In addition to investing in foreign securities, the Trust will actively manage its exposure to foreign currencies through the use of forward currency contracts and other currency derivatives. From time to time, the Trust may own foreign cash equivalents or foreign bank deposits as part of the Trust's investment strategy. The Trust will also invest in non-U.S. currencies, however, the Trust may underweight or overweight a currency based on the Trust management team's outlook.

The Trust may invest in shares of companies through initial public offerings ("IPOs"). The Trust may also invest, without limit, in privately placed or restricted securities (including in Rule 144A securities, which are privately placed securities purchased by qualified institutional buyers), illiquid securities and securities in which no secondary market is readily available, including those of private companies. Issuers of these securities may not have a class of securities registered, and may not be subject to periodic reporting, pursuant to the Securities Exchange Act of 1934, as amended (the "Exchange Act"). Under normal market conditions, the Trust currently intends to invest up to 25% of its total assets, measured at the time of investment, in illiquid privately placed or restricted securities. The Trust expects certain of such investments to be in "late-stage private securities," which are securities of private companies that have demonstrated sustainable business operations and generally have a well-known product or service with a strong market presence. Late-stage private companies have generally had large cash flows from their core business operations and are expanding into new markets with their products or services. Late-stage private companies may also be referred to as "pre-IPO companies."

The Trust may seek to provide exposure to the investment returns of real assets that trade in the commodity markets through investment in commodity-linked derivative instruments and investment vehicles such as exchange traded funds that invest exclusively in commodities and are designed to provide this exposure without direct investment in physical commodities. The Trust may also gain exposure to commodity markets by investing in Cayman Capital Allocation Fund, Ltd. (the "Subsidiary"). The Subsidiary will invest primarily in commodity-related instruments. The Subsidiary may also hold cash and invest in other instruments, including fixed-income securities, either as investments or to serve as margin or collateral for the Subsidiary's derivative positions. The Manager is the manager of the Subsidiary. The Subsidiary (unlike the Trust) may invest without limitation in commodity-related instruments. However, the Subsidiary will otherwise be subject to the same fundamental, non-fundamental and certain other investment restrictions as the Trust. The Trust will limit its investments in the Subsidiary to 25% of its total assets.

The Subsidiary will be managed pursuant to compliance policies and procedures that are the same, in all material respects, as the policies and procedures adopted by the Trust. As a result, the Manager, in managing the Subsidiary's portfolio, will be subject to the same investment policies and restrictions that apply to the management of the Trust, and, in particular, to the requirements relating to portfolio leverage, liquidity, brokerage, and the timing and method of the valuation of the Subsidiary's portfolio

90 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Investment Objectives, Policies and Risks (continued)

investments and shares of the Subsidiary. The Trust's Chief Compliance Officer will oversee implementation of the Subsidiary's policies and procedures, and make periodic reports to the Board regarding the Subsidiary's compliance with its policies and procedures. The Trust and Subsidiary will test for compliance with certain investment restrictions on a consolidated basis, except that with respect to the Subsidiary's investments in certain securities that may involve leverage, the Subsidiary will comply with asset segregation requirements to the same extent as the Trust.

The Manager will provide investment management and other services to the Subsidiary pursuant to a separate investment management agreement (the "Subsidiary Management Agreement"). The Manager does not receive separate compensation from the Subsidiary for providing it with investment management or administrative services pursuant to the Subsidiary Management Agreement. However, the Trust pays the Manager based on the Trust's assets, including the assets invested in the Subsidiary. The Subsidiary has also entered into separate contracts for the provision of custody and audit services with the same or with affiliates of the same service providers that provide those services to the Trust. The financial statements of the Subsidiary are consolidated with the Trust's financial statements in the Trust's annual and semi-annual reports.

The Trust can invest in all types of equity securities, including common stock, preferred stock, warrants, convertible securities and stock purchase rights of companies of any market capitalization. Trust management may seek to invest in the stock of smaller or emerging growth companies that it expects will provide a higher total return than other equity investments. Investing in smaller or emerging growth companies involves greater risk than investing in more established companies.

The Trust can invest in all types of debt securities, including U.S. and foreign government bonds, corporate bonds, convertible bonds, municipal bonds, structured notes, credit-linked notes, loan assignments and participations, mortgage- and asset-backed securities, and securities issued or guaranteed by certain international organizations such as the World Bank. The Trust may invest in debt securities paying a fixed or fluctuating rate of interest. The Trust has no set policy regarding portfolio maturity or duration of the fixed-income securities it may hold.

The Trust may invest without limit in "junk" bonds, corporate loans and distressed securities. Junk bonds are bonds that are rated below investment grade by independent rating agencies or are bonds that are not rated but which Trust management considers to be of comparable quality. These securities offer the possibility of relatively higher returns but are significantly riskier than higher rated debt securities.

As part of its investment strategy, the Trust intends to employ a strategy of writing (selling) covered call options on a portion of the common stocks in its portfolio, writing (selling) other call and put options on individual common stocks, including uncovered call and put options, and, to a lesser extent, writing (selling) call and put options on indices of securities and sectors of securities (collectively referred to as "index options"). This options writing strategy is intended to generate current gains from options premiums and to enhance the Trust's risk-adjusted returns. A substantial portion of the options written by the Trust may be over-the-counter ("OTC") options.

The Trust may also purchase and sell futures contracts, enter into various interest rate transactions such as swaps, caps, floors or collars, currency transactions such as currency forward contracts, currency futures contracts, currency swaps or options on currency or currency futures and swap contracts (including, but not limited to, credit default swaps) and may purchase and sell exchange-listed and OTC put and call options on securities and swap contracts, financial indices and futures contracts and use other derivative instruments or management techniques for duration management and other risk management purposes, including to attempt to protect against possible changes in the market value of the Trust's portfolio resulting from trends in the securities markets and changes in interest rates or to protect the Trust's unrealized gains in the value of its portfolio securities, to facilitate the sale of portfolio securities for investment purposes, to establish a position in the securities markets as a temporary substitute for purchasing particular securities or to enhance income or gain.

During temporary defensive periods (i.e., in response to adverse market, economic or political conditions), the Trust may invest up to 100% of its total assets in liquid, short-term investments, including high quality, short-term securities. The Trust may not achieve its investment objectives under these circumstances. The Manager's determination that it is temporarily unable to follow the Trust's investment strategy or that it is impractical to do so will generally occur only in situations in which a market disruption event has occurred and where trading in the securities selected through application of the Trust's investment strategy is extremely limited or absent.

The Trust may also invest in securities of other open- or closed-end investment companies, including exchange-traded funds ("ETFs") and business development companies, subject to applicable regulatory limits, that invest primarily in securities of the types in which the Trust may invest directly.

The Trust may lend securities with a value of up to 33 1/3% of its total assets (including such loans) to financial institutions that provide cash or securities issued or guaranteed by the U.S. Government as collateral.

Unless otherwise stated herein, the Trust's investment policies are non-fundamental policies and may be changed by the Board without prior shareholder approval. The percentage limitations applicable to the Trust's portfolio described herein apply only at the time of initial investment and the Trust will not be required to sell investments due to subsequent changes in the value of investments that it owns. The Trust's investment objectives may be changed by the Board without prior shareholder approval.

**Leverage:** The Trust may use leverage to seek to achieve its investment objectives. The Trust's use of leverage may increase or decrease from time to time in its discretion and the Trust may, in the future, determine not to use leverage. The Trust may utilize leverage for investment purposes through the bank credit facility described below and by entering into reverse repurchase agreements or other derivative instruments with leverage embedded in them. The Trust may issue debt securities or preferred shares.

The Trust entered into a 179-day rolling line credit facility with BNP Paribas Prime Brokerage International, Limited ("BNP"). BNP is required to provide 179 days' notice of termination to the Trust absent a default or certain similar events. The Trust has granted a security interest in substantially all of its assets to BNP. The Trust can borrow up to $550,000,000 at any time, subject to asset coverage and other limitations as specified in the credit facility. Advances will be made by BNP to the Trust at the Overnight Bank Funding Rate plus 0.75%. In addition, the Trust pays a commitment fee on the daily unused amount if utilization is less than 80% of the committed line amount.

The Trust may enter into "dollar roll" transactions.

The Trust may also borrow money as a temporary measure for extraordinary or emergency purposes, including the payment of dividends and the settlement of securities transactions which otherwise might require untimely dispositions of Trust securities.

I N V E S T M E N T O B J E C T I V E S, P O L I C I E S A N D R I S K S 91

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Investment Objectives, Policies and Risks (continued)

**BlackRock ESG Capital Allocation Trust (ECAT)** 

The Trust's investment objectives are to provide total return and income through a combination of current income, current gains and long-term capital appreciation. The Trust's investment objectives may be changed by the Trust's Board of Trustees (the "Board") without prior shareholder approval.

The Trust will invest at least 80% of its total assets in securities that, in the Manager's assessment, meet the ESG criteria described below. To determine the Trust's investable universe, Trust management will first seek to screen out certain issuers based on ESG criteria determined by BlackRock, subject to the considerations noted below. Such screening criteria principally includes:

&nbsp;&nbsp;&nbsp;&nbsp;• (i) issuers that derive more than zero percent of revenue from the production of controversial weapons;

&nbsp;&nbsp;&nbsp;&nbsp;• (ii) issuers that derive more than zero percent of revenue from the production of civilian firearms;

&nbsp;&nbsp;&nbsp;&nbsp;• (iii) issuers that derive more than zero percent of revenue from the production of tobacco-related products;

&nbsp;&nbsp;&nbsp;&nbsp;• (iv) issuers that derive more than twenty percent of revenue from thermal coal generation, unless the Trust is investing
in green bonds of such issuers or the issuers have made certain commitments to reduce climate impact, or more than five percent of revenue from thermal coal mining, unless the Trust is investing in green bonds of such issuers;

&nbsp;&nbsp;&nbsp;&nbsp;• (v) issuers that derive more than five percent of revenue from oil sands extraction, unless the Trust is investing in
green bonds of such issuers or the issuers have set certain targets to reduce climate impact;

&nbsp;&nbsp;&nbsp;&nbsp;• (vi) issuers ranked in the bottom half of the applicable fossil fuel issuers peer group by internal or external ESG
criteria, other than green bonds of such issuers;

&nbsp;&nbsp;&nbsp;&nbsp;• (vii) issuers identified as violators of the United Nations Global Compact, which are globally accepted principles
covering corporate behavior in the areas of human rights, labor, environment, and anti-corruption; and

&nbsp;&nbsp;&nbsp;&nbsp;• (viii) issuers receiving an ESG rating of CCC or equivalent by recognized third-party rating agencies.

The Trust relies on one or more third-party ratings agencies to identify issuers for purposes of the above screening criteria. Third-party rating agencies may base the above screening criteria on an estimate when revenue for a covered business activity is not disclosed by the issuer or publicly available.

The Trust's screening criteria is measured at the time of investment and is dependent upon information and data that may be incomplete, inaccurate, unavailable or estimated. Where the Fund's screening criteria looks solely to third-party ratings or data, issuers are only screened to the extent such ratings or data have been assigned or made available by the third parties. This screening criteria is subject to change over time at the Manager's discretion. In addition, the Trust may gain indirect exposure (through, including but not limited to, derivatives and investments in other investment companies) to issuers with exposures that are inconsistent with the ESG-related criteria used by Trust management.

Trust management then seeks to allocate the Trust's assets to issuers that have been identified by the Manager as having positive sustainability metrics within their respective sector using a proprietary sustainability scoring system, fundamental sector research and third-party ESG data. In evaluating potential investments, the Manager considers certain criteria, including but not limited to: (i) whether, based on the Manager's proprietary methodologies using internal data sources and third-party data, the issuer provides positive environmental and social benefits to third parties relative to other companies in its sector; (ii) whether a bond is a green, social or sustainability bond (e.g., the proceeds of the bond issuance are used for environmental projects that benefit the entire planet by either directly or indirectly reducing carbon-emissions) as determined through the Manager's proprietary methodology and in line with global norms; (iii) whether it has been determined, based on metrics provided by third parties, that the issuer has established a decarbonization strategy; and (iv) whether the issuer is aligned with the Manager's social and environmental criteria and/or generates revenue associated with the UN Sustainable Development goals. Some examples of third-party data and metrics utilized by the Trust include green revenue metrics, forward looking emissions reduction commitments, revenue from socially controversial business lines, exposure to biodiversity controversies, product mix and targeted populations.

After the investable universe is determined, Trust management tries to identify the long term trends and changes that could benefit particular markets and/or industries relative to other markets and industries. Trust management will consider a variety of factors when selecting the markets, such as the rate of economic growth, natural resources, capital reinvestment and the social and political environment. In choosing investments, Trust management may look at various fundamental and systematic factors, such as the relative opportunity for equity or debt instruments to increase in value, capital recovery risk, dividend yields and the level of interest rates paid on debt securities of different maturities. In selecting investments, the Trust may consider a variety of factors and systematic inputs. Trust management may employ derivatives for a variety of reasons, including but not limited to, adjusting its exposures to markets, sectors, asset classes and securities. As a result, the economic exposure of the Trust to any particular market, sector, or asset class may vary relative to the market value of any particular exposure.

Trust management will invest in "junk" bonds, corporate loans and distressed securities only when it believes that they will provide an attractive total return, relative to their risk, as compared to higher quality debt securities.

Trust management will invest in distressed securities when Trust management believes they offer significant potential for higher returns or can be exchanged for other securities that offer this potential. However, there can be no assurance that the Trust will generally achieve these returns or that the issuer will make an exchange offer or adopt a plan of reorganization.

The Trust intends to utilize option strategies that consist of writing (selling) call and put options on a portion of the common stocks in its portfolio, as well as other option strategies such as writing other calls and puts or using options to manage risk. The portfolio management team will work to determine which option strategies to pursue to seek to generate current gains from options premiums and to enhance the Trust's risk-adjusted returns.

92 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Investment Objectives, Policies and Risks (continued)

The Trust seeks to achieve its objectives by investing in both equity and debt securities of issuers located around the world. There is no limit on the percentage of assets the Trust can invest in a particular type of security. Generally, the Trust seeks diversification across markets and industries. The Trust has no geographic limits on where it may invest. This flexibility will allow Trust management to look for investments in markets around the world that it believes will provide the best relative asset allocation to meet the Trust's objectives.

The Trust may invest in both developed and emerging markets. In addition to investing in foreign securities, the Trust will actively manage its exposure to foreign currencies through the use of forward currency contracts and other currency derivatives. From time to time, the Trust may own foreign cash equivalents or foreign bank deposits as part of the Trust's investment strategy. The Trust will also invest in non-U.S. currencies. The Trust may underweight or overweight a currency based on the Trust management team's outlook.

The Trust may invest in shares of companies through initial public offerings ("IPOs"). The Trust may also invest, without limit, in privately placed or restricted securities (including in Rule 144A securities, which are privately placed securities purchased by qualified institutional buyers), illiquid securities and securities in which no secondary market is readily available, including those of private companies. Issuers of these securities may not have a class of securities registered, and may not be subject to periodic reporting, pursuant to the Securities Exchange Act of 1934, as amended. Under normal market conditions, the Trust currently intends to invest up to 25% of its total assets, measured at the time of investment, in illiquid privately placed or restricted securities. The Trust expects certain of such investments to be in "late-stage private securities," which are securities of private companies that have demonstrated sustainable business operations and generally have a well-known product or service with a strong market presence. Late-stage private companies have generally had large cash flows from their core business operations and are expanding into new markets with their products or services. Late-stage private companies may also be referred to as "pre-IPO companies."

The Trust may seek to provide exposure to the investment returns of real assets that trade in the commodity markets through investment in commodity-linked derivative instruments and investment vehicles such as exchange traded funds that invest exclusively in commodities and are designed to provide this exposure without direct investment in physical commodities.

The Trust may also gain exposure to commodity markets by investing in Cayman ESG Capital Allocation Fund, Ltd. (the "Subsidiary"). The Subsidiary will invest primarily in commodity-related instruments. The Subsidiary may also hold cash and invest in other instruments, including fixed-income securities, either as investments or to serve as margin or collateral for the Subsidiary's derivative positions. The Manager is the manager of the Subsidiary. The Subsidiary (unlike the Trust) may invest without limitation in commodity-related instruments. However, the Subsidiary will otherwise be subject to the same fundamental, non-fundamental and certain other investment restrictions as the Trust. The Trust will limit its investments in the Subsidiary to 25% of its total assets.

The Subsidiary will be managed pursuant to compliance policies and procedures that are the same, in all material respects, as the policies and procedures adopted by the Trust. As a result, the Manager, in managing the Subsidiary's portfolio, will be subject to the same investment policies and restrictions that apply to the management of the Trust, and, in particular, to the requirements relating to portfolio leverage, liquidity, brokerage, and the timing and method of the valuation of the Subsidiary's portfolio investments and shares of the Subsidiary. The Trust's Chief Compliance Officer will oversee implementation of the Subsidiary's policies and procedures, and make periodic reports to the Board regarding the Subsidiary's compliance with its policies and procedures. The Trust and Subsidiary will test for compliance with certain investment restrictions on a consolidated basis, except that with respect to the Subsidiary's investments in certain securities that may involve leverage, the Subsidiary will comply with asset segregation requirements to the same extent as the Trust.

The Manager will provide investment management and other services to the Subsidiary pursuant to a separate investment management agreement (the "Subsidiary Management Agreement"). The Manager does not receive separate compensation from the Subsidiary for providing it with investment management or administrative services pursuant to the Subsidiary Management Agreement. However, the Trust pays the Manager based on the Trust's assets, including the assets invested in the Subsidiary. The Subsidiary has also entered into separate contracts for the provision of custody and audit services with the same or with affiliates of the same service providers that provide those services to the Trust.

The financial statements of the Subsidiary are consolidated with the Trust's financial statements in the Trust's annual and semi-annual reports.

The Trust can invest in all types of equity securities, including common stock, preferred stock, warrants, convertible securities and stock purchase rights of companies of any market capitalization. Trust management may seek to invest in the stock of smaller or emerging growth companies that it expects will provide a higher total return than other equity investments. Investing in smaller or emerging growth companies involves greater risk than investing in more established companies.

The Trust can invest in all types of debt securities, including U.S. and foreign government bonds, corporate bonds, convertible bonds, municipal bonds, structured notes, credit-linked notes, loan assignments and participations, mortgage- and asset-backed securities, and securities issued or guaranteed by certain international organizations such as the World Bank. The Trust may invest in debt securities paying a fixed or fluctuating rate of interest. The Trust has no set policy regarding portfolio maturity or duration of the fixed-income securities it may hold. The Trust will apply the ESG criteria described above to municipal bonds, government sponsored asset-backed securities/mortgage-backed securities and government securities.

The Trust may invest without limit in "junk" bonds, corporate loans and distressed securities. Junk bonds are bonds that are rated below investment grade by independent rating agencies or are bonds that are not rated but which Trust management considers to be of comparable quality. These securities offer the possibility of relatively higher returns but are significantly riskier than higher rated debt securities.

As part of its investment strategy, the Trust intends to employ a strategy of writing (selling) covered call options on a portion of the common stocks in its portfolio, writing (selling) other call and put options on individual common stocks, including uncovered call and put options, and, to a lesser extent, writing (selling) covered and uncovered call and put options on indices of securities and sectors of securities (collectively referred to as "index options"). This options writing strategy is intended to generate current gains from options premiums and to enhance the Trust's risk-adjusted returns. A substantial portion of the options written by the Trust may be over-the-counter ("OTC") options.

I N V E S T M E N T O B J E C T I V E S, P O L I C I E S A N D R I S K S 93

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Investment Objectives, Policies and Risks (continued)

The Trust may also purchase and sell futures contracts, enter into various interest rate transactions such as swaps, caps, floors or collars, currency transactions such as currency forward contracts, currency futures contracts, currency swaps or options on currency or currency futures and swap contracts (including, but not limited to, credit default swaps) and may purchase and sell exchange-listed and OTC put and call options on securities and swap contracts, financial indices and futures contracts and use other derivative instruments or management techniques for duration management and other investment and risk management purposes, including to attempt to protect against possible changes in the market value of the Trust's portfolio resulting from trends in the securities markets and changes in interest rates or to protect the Trust's unrealized gains in the value of its portfolio securities, to facilitate the sale of portfolio securities for investment purposes, to establish a position in the securities markets as a temporary substitute for purchasing particular securities or to enhance income or gain. Derivatives will be marked to market for purposes of the Trust's 80% investment policy set out above.

During temporary defensive periods (i.e., in response to adverse market, economic or political conditions), the Trust may invest up to 100% of its total assets in liquid, short-term investments, including high quality, short-term securities. The Trust may not achieve its investment objectives under these circumstances. An Advisor's determination that it is temporarily unable to follow the Trust's investment strategy or that it is impractical to do so will generally occur only in situations in which a market disruption event has occurred and where trading in the securities selected through application of the Trust's investment strategy is extremely limited or absent.

The Trust may also invest in securities of other open- or closed-end investment companies, including exchange-traded funds ("ETFs") and business development companies, including those advised by the Advisor or one of its affiliates, subject to applicable regulatory limits, that invest primarily in securities of the types in which the Trust may invest directly.

The Trust may lend securities with a value of up to 33 1/3% of its total assets (including such loans) to financial institutions that provide cash or securities issued or guaranteed by the U.S. Government as collateral.

Unless otherwise stated herein, the Trust's investment policies are non-fundamental policies and may be changed by the Board without prior shareholder approval. The percentage limitations applicable to the Trust's portfolio described herein apply only at the time of initial investment and the Trust will not be required to sell investments due to subsequent changes in the value of investments that it owns. The Trust's investment objectives may be changed by the Board without prior shareholder approval.

**Leverage:** The Trust currently does not intend to borrow money or issue debt securities or preferred shares. The Trust is, however, permitted to borrow money or issue debt securities in an amount up to 33 1/3% of its Managed Assets (50% of its net assets), and issue preferred shares in an amount up to 50% of its Managed Assets (100% of its net assets). "Managed Assets" means the total assets of the Trust (including any assets attributable to money borrowed for investment purposes) minus the sum of the Trust's accrued liabilities (other than money borrowed for investment purposes). Although it has no present intention to do so, the Trust reserves the right to borrow money from banks or other financial institutions, or issue debt securities or preferred shares, in the future if it believes that market conditions would be conducive to the successful implementation of a leveraging strategy through borrowing money or issuing debt securities or preferred shares. Any such leveraging will not be fully achieved until the proceeds resulting from the use of leverage have been invested in accordance with the Trust's investment objectives and policies.

The Trust may enter into reverse repurchase agreements with respect to its portfolio investments subject to the Trust's investment restrictions.

The Trust may enter into "dollar roll" transactions.

The Trust may enter into derivative transactions that have leverage embedded in them.

The Trust may also borrow money as a temporary measure for extraordinary or emergency purposes, including the payment of dividends and the settlement of securities transactions which otherwise might require untimely dispositions of Trust securities.

**Risk Factors** 

This section contains a discussion of the general risks of investing in the Trust. The net asset value and market price of, and dividends paid on, the common shares will fluctuate with and be affected by, among other things, the risks more fully described below. As with any fund, there can be no guarantee that the Trust will meet its investment objective or that the Trust's performance will be positive for any period of time. The order of the below risk factors does not indicate the significance of any particular risk.

**Limited Term Risk:** In accordance with the Trust's Agreement and Declaration of Trust, the Trust intends to dissolve as of the first business day following the twelfth anniversary of the effective date of the Trust's initial registration statement (the "Dissolution Date"); provided that the Board may, by a vote of a majority of the Board and seventy-five percent (75%) of the members of the Board who either (i) have been a member of the Board for a period of at least thirty-six months (or since the commencement of the Trust's operations, if less than thirty-six months) or (ii) were nominated to serve as a member of the Board by a majority of the Continuing Trustees then members of the Board (a "Board Action Vote"), without shareholder approval, extend the Dissolution Date: (i) once for up to one year, and (ii) once for up to an additional six months, to a date up to and including eighteen months after the initial Dissolution Date (which date shall then become the Dissolution Date). As of a date within twelve months preceding the Dissolution Date (as may be extended as described above), the Board may, by a Board Action Vote, cause the Trust to conduct a tender offer to all common shareholders to purchase 100% of the then outstanding common shares of the Trust at a price equal to the net asset value ("NAV") per common share on the expiration date of the tender offer (an "Eligible Tender Offer"). The Board has established that the Trust must have at least $200 million of aggregate net assets immediately following the completion of an Eligible Tender Offer to ensure the continued viability of the Trust (the "Dissolution Threshold"). In an Eligible Tender Offer, the Trust will offer to purchase all common shares held by each common shareholder; provided that if the payment for properly tendered common shares would result in the Trust having aggregate net assets below the Dissolution Threshold, the Eligible Tender Offer will be canceled and no common shares will be repurchased pursuant to the Eligible Tender Offer. Instead, the Trust will begin (or continue) liquidating its portfolio and proceed to dissolve on or about the Dissolution Date. If the payment for properly tendered common shares would result in the Trust having aggregate net assets greater than or equal to the Dissolution Threshold, all common shares properly tendered and not withdrawn will be purchased by the Trust pursuant to the terms of the Eligible Tender Offer. Following the completion of an Eligible Tender Offer, the Board may, by a Board Action Vote, eliminate the Dissolution Date without shareholder approval and provide for the Trust's perpetual existence.

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Unless the limited term provision of the Trust's Agreement and Declaration of Trust is amended by shareholders in accordance with the Agreement and Declaration of Trust, or unless the Trust completes an Eligible Tender Offer and converts to perpetual existence, the Trust will dissolve on or about the first business day following the Dissolution Date. **The Trust is not a so called "target date" or "life cycle" fund whose asset allocation becomes more conservative over time as its target date, often associated with retirement, approaches. In addition, the Trust is not a "target term" fund and thus does not seek to return its initial public offering price per common share upon dissolution.** As the assets of the Trust will be liquidated in connection with its dissolution, the Trust may be required to sell portfolio securities when it otherwise would not, including at times when market conditions are not favorable, which may cause the Trust to lose money. In addition, as the Trust approaches the Dissolution Date, the Manager may invest the proceeds of sold, matured or called securities in money market mutual funds, cash, cash equivalents, securities issued or guaranteed by the U.S. government or its instrumentalities or agencies, high quality, short-term money market instruments, short-term debt securities, certificates of deposit, bankers' acceptances and other bank obligations, commercial paper or other liquid debt securities, which may adversely affect the Trust's investment performance.

Rather than reinvesting proceeds received from sales of or payments received in respect of portfolio securities, the Trust may distribute such proceeds in one or more liquidating distributions prior to the final dissolution, which may cause the Trust's fixed expenses to increase when expressed as a percentage of net assets attributable to common shares, or the Trust may invest the proceeds in lower yielding securities or hold the proceeds in cash or cash equivalents, which may adversely affect the performance of the Trust. The final distribution of net assets upon dissolution may be more than, equal to or less than $20.00 per common share. Because the Trust may adopt a plan of liquidation and make liquidating distributions in advance of the Dissolution Date, the total value of the Trust's assets returned to common shareholders upon dissolution will be impacted by decisions of the Board and the Manager regarding the timing of adopting a plan of liquidation and making liquidating distributions. This may result in common shareholders receiving liquidating distributions with a value more or less than the value that would have been received if the Trust had liquidated all of its assets on the Dissolution Date, or any other potential date for liquidation, and distributed the proceeds thereof to shareholders.

If the Trust conducts an Eligible Tender Offer, the Trust anticipates that funds to pay the aggregate purchase price of shares accepted for purchase pursuant to the tender offer will be first derived from any cash on hand and then from the proceeds from the sale of portfolio investments held by the Trust. The risks related to the disposition of securities in connection with the Trust's dissolution also would be present in connection with the disposition of securities in connection with an Eligible Tender Offer. It is likely that during the pendency of a tender offer, and possibly for a time thereafter, the Trust will hold a greater than normal percentage of its total assets in cash and cash equivalents, which may impede the Trust's ability to achieve its investment objectives and decrease returns to shareholders. The tax effect of any such dispositions of portfolio investments will depend on the difference between the price at which the investments are sold and the tax basis of the Trust in the investments.

Any capital gains recognized on such dispositions, as reduced by any capital losses the Trust realizes in the year of such dispositions and by any available capital loss carryforwards, will be distributed to shareholders as capital gain dividends (to the extent of net long-term capital gains over net short-term capital losses) or ordinary dividends (to the extent of net short-term capital gains over net long-term capital losses) during or with respect to such year, and such distributions will generally be taxable to common shareholders. If the Trust's tax basis for the investments sold is less than the sale proceeds, the Trust will recognize capital gains, which the Trust intends to distribute to common shareholders. In addition, the Trust's purchase of tendered common shares pursuant to an Eligible Tender Offer will have tax consequences for tendering common shareholders and may have tax consequences for non-tendering common shareholders.

The purchase of common shares by the Trust pursuant to an Eligible Tender Offer will have the effect of increasing the proportionate interest in the Trust of non-tendering common shareholders. All common shareholders remaining after an Eligible Tender Offer will be subject to any increased risks associated with the reduction in the Trust's assets resulting from payment for the tendered common shares, such as greater volatility due to decreased diversification and proportionately higher expenses. The reduced assets of the Trust as a result of an Eligible Tender Offer may result in less investment flexibility for the Trust and may have an adverse effect on the Trust's investment performance. Such reduction in the Trust's assets may also cause common shares of the Trust to become thinly traded or otherwise negatively impact secondary trading of common shares. A reduction in assets, and the corresponding increase in the Trust's expense ratio, could result in lower returns and put the Trust at a disadvantage relative to its peers and potentially cause the Trust's common shares to trade at a wider discount, or smaller premium, to NAV than they otherwise would. Furthermore, the portfolio of the Trust following an Eligible Tender Offer could be significantly different and, therefore, common shareholders retaining an investment in the Trust could be subject to greater risk. For example, the Trust may be required to sell its more liquid, higher quality portfolio investments to purchase common shares that are tendered in an Eligible Tender Offer, which would leave a less liquid, lower quality portfolio for remaining shareholders. The prospects of an Eligible Tender Offer may attract arbitrageurs who would purchase the common shares prior to the tender offer for the sole purpose of tendering those shares which could have the effect of exacerbating the risks described herein for shareholders retaining an investment in the Trust following an Eligible Tender Offer.

The Trust is not required to conduct an Eligible Tender Offer. If the Trust conducts an Eligible Tender Offer, there can be no assurance that the payment for tendered common shares would not result in the Trust having aggregate net assets below the Dissolution Threshold, in which case the Eligible Tender Offer will be canceled, no common shares will be repurchased pursuant to the Eligible Tender Offer and the Trust will liquidate on the Dissolution Date (subject to possible extensions). Following the completion of an Eligible Tender Offer in which the payment for tendered common shares would result in the Trust having aggregate net assets greater than or equal to the Dissolution Threshold, the Board may, by a Board Action Vote, eliminate the Dissolution Date without shareholder approval and provide for the Trust's perpetual existence. Thereafter, the Trust will have a perpetual existence. There is no guarantee that the Board will eliminate the Dissolution Date following the completion of an Eligible Tender Offer so that the Trust will have a perpetual existence. The Manager may have a conflict of interest in recommending to the Board that the Dissolution Date be eliminated and the Trust have a perpetual existence. The Trust is not required to conduct additional tender offers following an Eligible Tender Offer and conversion to perpetual existence. Therefore, remaining common shareholders may not have another opportunity to participate in a tender offer. Shares of closed-end management investment companies frequently trade at a discount from their NAV, and as a result remaining common shareholders may only be able to sell their shares at a discount to NAV.

Although it is anticipated that the Trust will have distributed substantially all of its net assets to shareholders as soon as practicable after the Dissolution Date, securities for which no market exists or securities trading at depressed prices, if any, may be placed in a liquidating trust. Securities placed in a liquidating trust may be held for an indefinite period of time, potentially several years or longer, until they can be sold or pay out all of their cash flows. During such time, the shareholders will continue to be exposed to the risks associated with the Trust and the value of their interest in the liquidating trust will fluctuate with the value of the liquidating trust's remaining assets. Additionally, the tax treatment of the liquidating trust's assets may differ from the tax treatment applicable to such assets when held by the Trust. To the extent the costs associated with a liquidating

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trust exceed the value of the remaining securities, the liquidating trust trustees may determine to dispose of the remaining securities in a manner of their choosing. The Trust cannot predict the amount, if any, of securities that will be required to be placed in a liquidating trust or how long it will take to sell or otherwise dispose of such securities.

**Non-Diversification Risk:** The Trust is a non-diversified fund. Because the Trust may invest in securities of a smaller number of issuers, it may be more exposed to the risks associated with and developments affecting an individual issuer than a fund that invests more widely.

**Investment and Market Discount Risk:** An investment in the Trust's common shares is subject to investment risk, including the possible loss of the entire amount that you invest. As with any stock, the price of the Trust's common shares will fluctuate with market conditions and other factors. If shares are sold, the price received may be more or less than the original investment. Common shares are designed for long-term investors and the Trust should not be treated as a trading vehicle. Shares of closed-end management investment companies frequently trade at a discount from their net asset value. This risk is separate and distinct from the risk that the Trust's net asset value could decrease as a result of its investment activities. At any point in time an investment in the Trust's common shares may be worth less than the original amount invested, even after taking into account distributions paid by the Trust. During periods in which the Trust may use leverage, the Trust's investment, market discount and certain other risks will be magnified.

**Equity Securities Risk:** Stock markets are volatile. The price of equity securities fluctuates based on changes in a company's financial condition and overall market and economic conditions.

**Debt Securities Risk:** Debt securities, such as bonds, involve interest rate risk, credit risk, extension risk, and prepayment risk, among other things.

&nbsp;&nbsp;&nbsp;&nbsp;• Interest Rate Risk — The market value of bonds and other fixed-income securities changes in response to interest
rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.

The Trust may be subject to a greater risk of rising interest rates due to the recent period of historically low interest rates. For example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors being equal, the value of the Trust's investments would be expected to decrease by 10%. (Duration is a measure of the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater for those securities with longer maturities. Fluctuations in the market price of the Trust's investments will not affect interest income derived from instruments already owned by the Trust, but will be reflected in the Trust's net asset value. The Trust may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by Trust management.

To the extent the Trust invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of the Trust) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the net asset value of the Trust to the extent that it invests in floating rate debt securities.

These basic principles of bond prices also apply to U.S. Government securities. A security backed by the "full faith and credit" of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in value when interest rates change.

A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy redemptions could cause the Trust to sell assets at inopportune times or at a loss or depressed value and could hurt the Trust's performance.

&nbsp;&nbsp;&nbsp;&nbsp;• Credit Risk — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not
be able to make payments of interest and principal when due. Changes in an issuer's credit rating or the market's perception of an issuer's creditworthiness may also affect the value of the Trust's investment in that issuer. The
degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.

&nbsp;&nbsp;&nbsp;&nbsp;• Extension Risk — When interest rates rise, certain obligations will be paid off by the obligor more slowly than
anticipated, causing the value of these obligations to fall.

&nbsp;&nbsp;&nbsp;&nbsp;• Prepayment Risk — When interest rates fall, certain obligations will be paid off by the obligor more quickly than
originally anticipated, and the Trust may have to invest the proceeds in securities with lower yields.

**Risks Associated with the Trust's Options Strategy:** The ability of the Trust to generate current gains from options premiums and to enhance the Trust's risk-adjusted returns is partially dependent on the successful implementation of its options strategy. There are several risks associated with transactions in options on securities. For example, there are significant differences between the securities and options markets that could result in an imperfect correlation between these markets, causing a given transaction not to achieve its objectives. A decision as to whether, when and how to use options involves the exercise of skill and judgment, and even a well-conceived transaction may be unsuccessful to some degree because of market behavior or unexpected events.

&nbsp;&nbsp;&nbsp;&nbsp;• Risks of Writing Options — As the writer of a covered call option, the Trust forgoes, during the option's life,
the opportunity to profit from increases in the market value of the security covering the call option above the sum of the premium and the strike price of the call, but has retained the risk of loss should the price of the underlying security
decline. In other words, as the Trust writes covered calls over more of its portfolio, the Trust's ability to benefit from capital appreciation becomes more limited.

If the Trust writes call options on individual securities or index call options that include securities, in each case, that are not in the Trust's portfolio or that are not in the same proportion as securities in the Trust's portfolio, the Trust will experience loss, which theoretically could be unlimited, if the value of the individual security, index or basket of securities appreciates above the exercise price of the index option written by the Trust.

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When the Trust writes put options, it bears the risk of loss if the value of the underlying stock declines below the exercise price minus the put premium. If the option is exercised, the Trust could incur a loss if it is required to purchase the stock underlying the put option at a price greater than the market price of the stock at the time of exercise plus the put premium the Trust received when it wrote the option. While the Trust's potential gain in writing a put option is limited to the premium received from the purchaser of the put option, the Trust risks a loss equal to the entire exercise price of the option minus the put premium

&nbsp;&nbsp;&nbsp;&nbsp;• Exchange-Listed Options Risks — There can be no assurance that a liquid market will exist when the Trust seeks to
close out an exchange-listed option position. Reasons for the absence of a liquid secondary market on an exchange include the following: (i) there may be insufficient trading interest in certain options; (ii) restrictions may be imposed by
an exchange on opening transactions or closing transactions or both; (iii) trading halts, suspensions or other restrictions may be imposed with respect to particular classes or series of options; (iv) unusual or unforeseen circumstances
may interrupt normal operations on an exchange; (v) the facilities of an exchange or the Options Clearing Corporation (the "OCC") may not at all times be adequate to handle current trading volume; or (vi) one or more exchanges
could, for economic or other reasons, decide or be compelled at some future date to discontinue the trading of options (or a particular class or series of options).

&nbsp;&nbsp;&nbsp;&nbsp;• Over-the-Counter Options Risk — The Trust may write (sell) unlisted OTC options. OTC options differ from
exchange-listed options in that they are two-party contracts, with exercise price, premium and other terms negotiated between buyer and seller, and generally do not have as much market liquidity as exchange-listed options. The OTC options written by
the Trust will not be issued, guaranteed or cleared by the OCC. In addition, the Trust's ability to terminate OTC options may be more limited than with exchange-traded options. Banks, broker-dealers or other financial institutions participating
in such transactions may fail to settle a transaction in accordance with the terms of the option as written. In the event of default or insolvency of the counterparty, the Trust may be unable to liquidate an OTC option position.

&nbsp;&nbsp;&nbsp;&nbsp;• Index Options Risk — The Trust may sell index put and call options from time to time. The purchaser of an index put
option has the right to any depreciation in the value of the index below the exercise price of the option on or before the expiration date. The purchaser of an index call option has the right to any appreciation in the value of the index over the
exercise price of the option on or before the expiration date. Because the exercise of index options is settled in cash, sellers of index call options, such as the Trust, cannot provide in advance for their potential settlement obligations by
acquiring and holding the underlying securities. The Trust will lose money if it is required to pay the purchaser of an index option the difference between the cash value of the index on which the option was written and the exercise price and such
difference is greater than the premium received by the Trust for writing the option.

&nbsp;&nbsp;&nbsp;&nbsp;• Limitation on Options Writing Risk — The number of call options the Trust can write is limited by the total assets
the Trust holds and is further limited by the fact that all options represent 100 share lots of the underlying common stock. Furthermore, the Trust's options transactions will be subject to limitations established by each of the exchanges,
boards of trade or other trading facilities on which such options are traded.

&nbsp;&nbsp;&nbsp;&nbsp;• Tax Risk — Income on options on individual stocks will generally not be recognized by the Trust for tax purposes
until an option is exercised, lapses or is subject to a "closing transaction" (as defined by applicable regulations) pursuant to which the Trust's obligations with respect to the option are otherwise terminated. If the option lapses
without exercise or is otherwise subject to a closing transaction, the premiums received by the Trust from the writing of such options will generally be characterized as short-term capital gain. If an option written by the Trust is exercised, the
Trust may recognize taxable gain depending on the exercise price of the option, the option premium, and the tax basis of the security underlying the option. The character of any gain on the sale of the underlying security as short-term or long-term
capital gain will depend on the holding period of the Trust in the underlying security. In general, distributions received by shareholders of the Trust that are attributable to short-term capital gains recognized by the Trust from its options
writing activities will be taxed to such shareholders as ordinary income and will not be eligible for the reduced tax rate applicable to qualified dividend income.

Index options will generally be "marked-to-market" for U.S. federal income tax purposes. As a result, the Trust will generally recognize gain or loss on the last day of each taxable year equal to the difference between the value of the index option on that date and the adjusted basis of the index option. The adjusted basis of the index option will consequently be increased by such gain or decreased by such loss. Any gain or loss with respect to index options will be treated as short-term capital gain or loss to the extent of 40% of such gain or loss and long-term capital gain or loss to the extent of 60% of such gain or loss. Because the mark-to-market rules may cause the Trust to recognize gain in advance of the receipt of cash, the Trust may be required to dispose of investments in order to meet its distribution requirements.

**ESG Investing Risk (ECAT):** The Trust intends to screen out particular issuers pursuant to certain criteria established by the Manager, and to incorporate ESG criteria in selecting Trust investments pursuant to a methodology determined by the Manager. This may affect the Trust's exposure to certain issuers and the Trust may forego certain investment opportunities. The Trust's results may be lower than other funds that do not seek to invest in issuers based on ESG criteria, or that use a different methodology to screen out issuers or evaluate ESG criteria. The Trust seeks to identify issuers that it believes are better positioned to manage ESG risks and opportunities related to their businesses and to avoid certain companies and industries with ESG related risks, but investors may differ in their views of what constitutes positive or negative ESG criteria. As a result, the Trust may invest in issuers that do not reflect the beliefs and values of any particular investor. In evaluating a security or issuer based on ESG criteria, the Manager is dependent upon certain information and data from third party providers of ESG research, which may be incomplete, inaccurate or unavailable. As a result, there is a risk that the Manager may incorrectly assess a security or issuer. There is also a risk that the Manager may not apply the relevant ESG criteria correctly or that the Trust could have indirect exposure to issuers who do not meet the relevant ESG criteria used by the Trust. Neither the Trust nor the Manager make any representation or warranty, express or implied, with respect to the fairness, correctness, accuracy, reasonableness or completeness of such ESG assessment. There may be limitations with respect to availability of ESG data in certain sectors, as well as limited availability of investments with positive ESG assessments in certain sectors. The Manager's evaluation of ESG criteria is subjective and may change over time.

The Trust's ESG screening criteria is measured at the time of investment and is dependent upon information and data that may change over time. If a particular portfolio holding no longer meets the applicable screening criteria subsequent to the time of investment, the Trust will generally look to sell the holding in a reasonable amount of time. The Trust may be forced to sell investments at an inopportune time or at a time when those investments may be difficult to sell. In addition, the Trust may incur expenses in an effort to dispose of such investments.

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The Trust may not include all instruments in its ESG-related assessments, and may place weight on other factors when selecting investments. In addition, the Trust may not be successful in its objectives related to ESG characteristics. There is no guarantee that these objectives will be achieved, and such assessments are at the Manager's discretion.

**Risks Associated with Private Company Investments:** Private companies are generally not subject to Securities and Exchange Commission ("SEC") reporting requirements, are not required to maintain their accounting records in accordance with generally accepted accounting principles, and are not required to maintain effective internal controls over financial reporting. As a result, the Manager may not have timely or accurate information about the business, financial condition and results of operations of the private companies in which the Trust invests. There is risk that the Trust may invest on the basis of incomplete or inaccurate information, which may adversely affect the Trust's investment performance. Private companies in which the Trust may invest may have limited financial resources, shorter operating histories, more asset concentration risk, narrower product lines and smaller market shares than larger businesses, which tend to render such private companies more vulnerable to competitors' actions and market conditions, as well as general economic downturns.

These companies generally have less predictable operating results, may from time to time be parties to litigation, may be engaged in rapidly changing businesses with products subject to a substantial risk of obsolescence, and may require substantial additional capital to support their operations, finance expansion or maintain their competitive position. These companies may have difficulty accessing the capital markets to meet future capital needs, which may limit their ability to grow or to repay their outstanding indebtedness upon maturity. In addition, the Trust's investment also may be structured as pay-in-kind securities with minimal or no cash interest or dividends until the company meets certain growth and liquidity objectives.

Typically, investments in private companies are in restricted securities that are not traded in public markets and subject to substantial holding periods, so that the Trust may not be able to resell some of its holdings for extended periods, which may be several years. There can be no assurance that the Trust will be able to realize the value of private company investments in a timely manner.

&nbsp;&nbsp;&nbsp;&nbsp;• Late-Stage Private Companies Risk — Investments in late-stage private companies involve greater risks than
investments in shares of companies that have traded publicly on an exchange for extended periods of time. These investments may present significant opportunities for capital appreciation but involve a high degree of risk that may result in
significant decreases in the value of these investments. The Trust may not be able to sell such investments when the Manager deems it appropriate to do so because they are not publicly traded. As such, these investments are generally considered to
be illiquid until a company's public offering (which may never occur) and are often subject to additional contractual restrictions on resale following any public offering that may prevent the Trust from selling its shares of these companies for
a period of time. See "Illiquid Investments Risk." Market conditions, developments within a company, investor perception or regulatory decisions may adversely affect a late-stage private company and delay or prevent such a company from
ultimately offering its securities to the public. If a company does issue shares in an IPO, IPOs are risky and volatile and may cause the value of the Trust's investment to decrease significantly.

**Illiquid Investments Risk:** The 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. The Trust may not be able to readily dispose of such investments at prices that approximate those at which the Trust could sell such investments if they were more widely traded and, as a result of such illiquidity, the Trust may have to sell other investments or engage in borrowing transactions if necessary to raise cash to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Trust's net asset value and ability to make dividend distributions. The financial markets in general, and certain segments of the mortgage-related securities markets in particular, have in recent years experienced periods of extreme secondary market supply and demand imbalance, resulting in a loss of liquidity during which market prices were suddenly and substantially below traditional measures of intrinsic value. During such periods, some investments could be sold only at arbitrary prices and with substantial losses. Periods of such market dislocation may occur again at any time. 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.

I**nitial Public Offerings ("IPOs") Risk:** The Trust may invest in shares of companies through IPOs. Securities issued in IPOs have no trading history, and information about the companies may be available for limited periods of time. In addition, the prices of securities sold in IPOs may be highly volatile or may decline shortly after the IPO.

**Leverage Risk:** The Trust's use of leverage may increase or decrease from time to time in its discretion and the Trust may, in the future, determine not to use leverage.

The use of leverage creates an opportunity for increased common share net investment income dividends, but also creates risks for the holders of common shares. The Trust cannot assure you that the use of leverage will result in a higher yield on the common shares. Any leveraging strategy the Trust employs may not be successful.

Leverage involves risks and special considerations for common shareholders, including:

&nbsp;&nbsp;&nbsp;&nbsp;• the likelihood of greater volatility of net asset value, market price and dividend rate of the common shares than a
comparable portfolio without leverage;

&nbsp;&nbsp;&nbsp;&nbsp;• the risk that fluctuations in interest rates or dividend rates on any leverage that the Trust must pay will reduce the
return to the common shareholders;

&nbsp;&nbsp;&nbsp;&nbsp;• the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the
common shares than if the Trust were not leveraged, which may result in a greater decline in the market price of the common shares;

&nbsp;&nbsp;&nbsp;&nbsp;• leverage may increase operating costs, which may reduce total return.

Any decline in the net asset value of the Trust's investments will be borne entirely by the holders of common shares. Therefore, if the market value of the Trust's portfolio declines, leverage will result in a greater decrease in net asset value to the holders of common shares than if the Trust were not leveraged. This greater net asset value decrease will also tend to cause a greater decline in the market price for the common shares.

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**Investment Style Risk:** Under certain market conditions, growth investments have performed better during the later stages of economic expansion and value investments have performed better during periods of economic recovery. Therefore, these investment styles may over time go in and out of favor. At times when the investment style used by the Trust is out of favor, the Trust may underperform other equity funds that use different investment styles.

**Dividend Paying Equity Securities Risk:** Dividends on common equity securities that the Trust may hold are not fixed but are declared at the discretion of an issuer's board of directors. Companies that have historically paid dividends on their securities are not required to continue to pay dividends on such securities. There is no guarantee that the issuers of the common equity securities in which the Trust invests will declare dividends in the future or that, if declared, they will remain at current levels or increase over time. Therefore, there is the possibility that such companies could reduce or eliminate the payment of dividends in the future. Dividend producing equity securities, in particular those whose market price is closely related to their yield, may exhibit greater sensitivity to interest rate changes. The Trust's investments in dividend producing equity securities may also limit its potential for appreciation during a broad market advance.

The prices of dividend producing equity securities can be highly volatile. Investors should not assume that the Trust's investments in these securities will necessarily reduce the volatility of the Trust's NAV or provide "protection," compared to other types of equity securities, when markets perform poorly.

**Small and Mid-Capitalization Company Risk:** Companies with small or mid-size market capitalizations will normally have more limited product lines, markets and financial resources and will be dependent upon a more limited management group than larger capitalized companies. In addition, it is more difficult to get information on smaller companies, which tend to be less well known, have shorter operating histories, do not have significant ownership by large investors and are followed by relatively few securities analysts.

**Preferred Securities Risk:** Preferred securities may pay fixed or adjustable rates of return. Preferred securities are subject to issuer-specific and market risks applicable generally to equity securities. In addition, a company's preferred securities generally pay dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred securities will usually react more strongly than bonds and other debt to actual or perceived changes in the company's financial condition or prospects. Preferred securities of smaller companies may be more vulnerable to adverse developments than preferred securities of larger companies

**Convertible Securities Risk:** The market value of a convertible security performs like that of a regular debt security; that is, if market interest rates rise, the value of a convertible security usually falls. In addition, convertible securities are subject to the risk that the issuer will not be able to pay interest or dividends when due, and their market value may change based on changes in the issuer's credit rating or the market's perception of the issuer's creditworthiness. Since it derives a portion of its value from the common stock into which it may be converted, a convertible security is also subject to the same types of market and issuer risks that apply to the underlying common stock.

**Warrants Risk:** If the price of the underlying stock does not rise above the exercise price before the warrant expires, the warrant generally expires without any value and the Trust will lose any amount it paid for the warrant. Thus, investments in warrants may involve substantially 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.

**Municipal Securities Risks:** : Municipal securities risks include the ability of the issuer to repay the obligation, the relative lack of information about certain issuers of municipal securities, and the possibility of future legislative changes which could affect the market for and value of municipal securities. These risks include:

&nbsp;&nbsp;&nbsp;&nbsp;• General Obligation Bonds Risks — Timely payments depend on the issuer's credit quality, ability to raise tax
revenues and ability to maintain an adequate tax base.

&nbsp;&nbsp;&nbsp;&nbsp;• Revenue Bonds Risks — These payments depend on the money earned by the particular facility or class of facilities,
or the amount of revenues derived from another source.

&nbsp;&nbsp;&nbsp;&nbsp;• Private Activity Bonds Risks — Municipalities and other public authorities issue private activity bonds to finance
development of industrial facilities for use by a private enterprise. The private enterprise pays the principal and interest on the bond, and the issuer does not pledge its full faith, credit and taxing power for repayment.

&nbsp;&nbsp;&nbsp;&nbsp;• Moral Obligation Bonds Risks — Moral obligation bonds are generally issued by special purpose public authorities of
a state or municipality. If the issuer is unable to meet its obligations, repayment of these bonds becomes a moral commitment, but not a legal obligation, of the state or municipality.

&nbsp;&nbsp;&nbsp;&nbsp;• Municipal Notes Risks — Municipal notes are shorter term municipal debt obligations. If there is a shortfall in the
anticipated proceeds, the notes may not be fully repaid and the Trust may lose money.

&nbsp;&nbsp;&nbsp;&nbsp;• Municipal Lease Obligations Risks — In a municipal lease obligation, the issuer agrees to make payments when due on
the lease obligation. Although the issuer does not pledge its unlimited taxing power for payment of the lease obligation, the lease obligation is secured by the leased property.

&nbsp;&nbsp;&nbsp;&nbsp;• Tax-Exempt Status Risk — The Trust and its investment manager will rely on the opinion of issuers' bond counsel
and, in the case of derivative securities, sponsors' counsel, on the tax-exempt status of interest on municipal bonds and payments under derivative securities. Neither the Trust nor its investment manager will independently review the bases for
those tax opinions, which may ultimately be determined to be incorrect and subject the Trust and its shareholders to substantial tax liabilities.

**Junk Bonds Risk:** Although junk bonds generally pay higher rates of interest than investment grade bonds, junk bonds are high risk investments that are considered speculative and may cause income and principal losses for the Trust.

**Corporate Loans Risk:** Commercial banks and other financial institutions or institutional investors make corporate loans to companies that need capital to grow or restructure. Borrowers generally pay interest on corporate loans at rates that change in response to changes in market interest rates such as the London Interbank Offered Rate ("LIBOR") or the prime rates of U.S. banks. As a result, the value of corporate loan investments is generally less exposed to the adverse effects of shifts in market interest rates than investments that pay a fixed rate of interest. The market for corporate loans may be subject to irregular trading activity and wide bid/ask spreads. In addition, transactions in

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Investment Objectives, Policies and Risks (continued)

corporate loans may settle on a delayed basis. As a result, the proceeds from the sale of corporate loans may not be readily available to make additional investments or to meet the Trust's redemption obligations. To the extent the extended settlement process gives rise to short-term liquidity needs, the Trust may hold additional cash, sell investments or temporarily borrow from banks and other lenders. The corporate loans in which the Trust invests are usually rated below investment grade.

**Risks of Loan Assignments and Participations:** As the purchaser of an assignment, the Trust typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the Trust may not be able unilaterally to enforce all rights and remedies under the loan and with regard to any associated collateral. Because assignments may be arranged through private negotiations between potential assignees and potential assignors, the rights and obligations acquired by the Trust as the purchaser of an assignment may differ from, and be more limited than, those held by the assigning lender. In addition, if the loan is foreclosed, the Trust could become part owner of any collateral and could bear the costs and liabilities of owning and disposing of the collateral. The Trust may be required to pass along to a purchaser that buys a loan from the Trust by way of assignment a portion of any fees to which the Trust is entitled under the loan. In connection with purchasing participations, the Trust generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower, and the Trust may not directly benefit from any collateral supporting the loan in which it has purchased the participation. As a result, the Trust will be subject to the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Trust may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower.

**Distressed Securities Risk:** Distressed securities are speculative and involve substantial risks in addition to the risks of investing in junk bonds. The Trust will generally not receive interest payments on the distressed securities and may incur costs to protect its investment. In addition, distressed securities involve the substantial risk that principal will not be repaid. These securities may present a substantial risk of default or may be in default at the time of investment. The Trust may incur additional expenses to the extent it is required to seek recovery upon a default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Trust may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Distressed securities and any securities received in an exchange for such securities may be subject to restrictions on resale.

**Unrated Securities Risk:** Because the Trust may purchase securities that are not rated by any rating organization, the Manager may, after assessing their credit quality, internally assign ratings to certain of those securities in categories similar to those of rating organizations. Some unrated securities may not have an active trading market or may be difficult to value, which means the Trust might have difficulty selling them promptly at an acceptable price. To the extent that the Trust invests in unrated securities, the Trust's ability to achieve its investment objectives will be more dependent on the Manager's credit analysis than would be the case when the Trust invests in rated securities.

**Mortgage- and Asset-Backed Securities Risks:** Mortgage- and asset-backed securities represent interests in "pools" of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities.

**U.S. Government Obligations Risk:** Certain securities in which the Trust may invest, including securities issued by certain U.S. Government agencies and U.S. Government sponsored enterprises, are not guaranteed by the U.S. Government or supported by the full faith and credit of the United States.

**Sovereign Debt Risk:** Sovereign debt instruments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity's debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies.

**Foreign Securities Risk:** Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Trust will lose money. These risks include:

&nbsp;&nbsp;&nbsp;&nbsp;• The Trust generally holds its foreign securities and cash in foreign banks and securities depositories, which may be
recently organized or new to the foreign custody business and may be subject to only limited or no regulatory oversight.

&nbsp;&nbsp;&nbsp;&nbsp;• Changes in foreign currency exchange rates can affect the value of the Trust's portfolio.

&nbsp;&nbsp;&nbsp;&nbsp;• The economies of certain foreign markets may not compare favorably with the economy of the United States with respect to
such issues as growth of gross national product, reinvestment of capital, resources and balance of payments position.

&nbsp;&nbsp;&nbsp;&nbsp;• The governments of certain countries, or the U.S. Government with respect to certain countries, may prohibit or impose
substantial restrictions through capital controls and/or sanctions on foreign investments in the capital markets or certain industries in those countries, which may prohibit or restrict the ability to own or transfer currency, securities,
derivatives or other assets.

&nbsp;&nbsp;&nbsp;&nbsp;• Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to the same
extent as does the United States and may not have laws to protect investors that are comparable to U.S. securities laws.

&nbsp;&nbsp;&nbsp;&nbsp;• Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of
securities not typically associated with settlement and clearance of U.S. investments.

&nbsp;&nbsp;&nbsp;&nbsp;• The Trust's claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of
foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the foreign country, accruals in the Trust's net asset value for such refunds may be written down partially or in full, which will
adversely affect the Trust's net asset value.

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Investment Objectives, Policies and Risks (continued)

&nbsp;&nbsp;&nbsp;&nbsp;• 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 as well as acts of war in the region. These events may spread to other countries in Europe and may affect the value and liquidity of certain of the Trust's
investments.

**Emerging Markets Risk:** Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.

**Foreign Currency Transactions Risk:** The Trust may invest in forward foreign currency exchange contracts. Forward foreign currency exchange contracts do not eliminate movements in the value of non-U.S. currencies and securities but rather allow the Trust to establish a fixed rate of exchange for a future point in time. This strategy can have the effect of reducing returns and minimizing opportunities for gain.

**Commodities Related Investments Risk:** Exposure to the commodities markets may subject the Trust to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments.

**Repurchase Agreements and Purchase and Sale Contracts Risk:** If the other party to a repurchase agreement or purchase and sale contract defaults on its obligation under the agreement, the Trust may suffer delays and incur costs or lose money in exercising its rights under the agreement. If the seller fails to repurchase the security in either situation and the market value of the security declines, the Trust may lose money.

**Reverse Repurchase Agreements Risk:** Reverse repurchase agreements involve the sale of securities held by the Trust with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at all. The Trust could lose money if it is unable to recover the securities and the value of the collateral held by the Trust, including the value of the investments made with cash collateral, is less than the value of the securities. These events could also trigger adverse tax consequences for the Trust. In addition, reverse repurchase agreements involve the risk that the interest income earned in the investment of the proceeds will be less than the interest expense**.** 

**Dollar Rolls Risk:** Dollar rolls involve the risk that the market value of the securities that the Trust is committed to buy may decline below the price of the securities the Trust has sold. These transactions may involve leverage.

**Structured Products Risk:** Holders of structured products bear risks of the underlying investments, index or reference obligation and are subject to counterparty risk. The Trust may have the right to receive payments only from the structured product, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. Certain structured products may be thinly traded or have a limited trading market. In addition to the general risks associated with debt securities discussed herein, structured products carry additional risks, including, but not limited to: the possibility that distributions from collateral securities will not be adequate to make interest or other payments; the quality of the collateral may decline in value or default; and the possibility that the structured products are subordinate to other classes. Structured notes are based upon the movement of one or more factors, including currency exchange rates, interest rates, reference bonds and stock indices, and changes in interest rates and impact of these factors may cause significant price fluctuations. Additionally, changes in the reference instrument or security may cause the interest rate on the structured note to be reduced to zero.

**Investment Companies and ETFs Risk:** Subject to the limitations set forth in the Investment Company Act of 1940, as amended (the "1940 Act"), and the rules thereunder, the Trust may acquire shares in other investment companies and in ETFs, some of which may be affiliated investment companies. The market value of the shares of other investment companies and ETFs may differ from their net asset value. As an investor in investment companies and ETFs, the Trust would bear its ratable share of that entity's expenses, including its investment advisory and administration fees, while continuing to pay its own advisory and administration fees and other expenses (to the extent not offset by the Manager through waivers). As a result, shareholders will be absorbing duplicate levels of fees with respect to investments in other investment companies and ETFs (to the extent not offset by the Manager through waivers).

The securities of other investment companies and ETFs in which the Trust may invest may be leveraged. As a result, the Trust may be indirectly exposed to leverage through an investment in such securities. An investment in securities of other investment companies and ETFs that use leverage may expose the Trust to higher volatility in the market value of such securities and the possibility that the Trust's long-term returns on such securities (and, indirectly, the long-term returns of shares of the Trust) will be diminished.

As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. To the extent the Trust is held by an affiliated fund, the ability of the Trust itself to hold other investment companies may be limited.

**Derivatives Risk:** The Trust's use of derivatives may increase its costs, reduce the Trust's returns and/or increase volatility. Derivatives involve significant risks, including:

&nbsp;&nbsp;&nbsp;&nbsp;• Leverage Risk — The Trust's use of derivatives can magnify the Trust's gains and losses. Relatively small
market movements may result in large changes in the value of a derivatives position and can result in losses that greatly exceed the amount originally invested.

&nbsp;&nbsp;&nbsp;&nbsp;• Market Risk — Some derivatives are more sensitive to interest rate changes and market price fluctuations than other
securities. The Trust could also suffer losses related to its derivatives positions as a result of unanticipated market movements, which losses are potentially unlimited. Finally, the Manager may not be able to predict correctly the direction of
securities prices, interest rates and other economic factors, which could cause the Trust's derivatives positions to lose value.

&nbsp;&nbsp;&nbsp;&nbsp;• Counterparty Risk — Derivatives are also subject to counterparty risk, which is the risk that the other party in the
transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated exposure to such a counterparty.

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Investment Objectives, Policies and Risks (continued)

&nbsp;&nbsp;&nbsp;&nbsp;• Illiquidity Risk — The possible lack of a liquid secondary market for derivatives and the resulting inability of the
Trust to sell or otherwise close a derivatives position could expose the Trust to losses and could make derivatives more difficult for the Trust to value accurately.

&nbsp;&nbsp;&nbsp;&nbsp;• Operational Risk — The use of derivatives includes the risk of potential operational issues, including documentation
issues, settlement issues, systems failures, inadequate controls and human error.

&nbsp;&nbsp;&nbsp;&nbsp;• Legal Risk — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality
or enforceability of a contract.

&nbsp;&nbsp;&nbsp;&nbsp;• Volatility and Correlation Risk — Volatility is defined as the characteristic of a security, an index or a market to
fluctuate significantly in price within a short time period. A risk of the Trust's use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets.

&nbsp;&nbsp;&nbsp;&nbsp;• Valuation Risk — Valuation for derivatives may not be readily available in the market. Valuation may be more
difficult in times of market turmoil since many investors and market makers may be reluctant to purchase complex instruments or quote prices for them.

&nbsp;&nbsp;&nbsp;&nbsp;• Hedging Risk — Hedges are sometimes subject to imperfect matching between the derivative and the underlying
security, and there can be no assurance that the Trust's hedging transactions will be effective. The use of hedging may result in certain adverse tax consequences.

&nbsp;&nbsp;&nbsp;&nbsp;• Tax Risk — Certain aspects of the tax treatment of derivative instruments, including swap agreements and
commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct investment in an
underlying asset and may adversely affect the timing, character and amount of income the Trust realizes from its investments.

&nbsp;&nbsp;&nbsp;&nbsp;• Regulatory Risk — Derivative contracts are subject to regulation under the Dodd-Frank Wall Street Reform and
Consumer Protection Act (the "Dodd-Frank Act") in the United States and under comparable regimes in Europe, Asia and other non-U.S. jurisdictions. Under the Dodd-Frank Act, with respect to uncleared swaps, swap dealers are required to
collect variation margin from the Trust and may be required by applicable regulations to collect initial margin from the Trust. Both initial and variation margin may be comprised of cash and/or securities, subject to applicable regulatory haircuts.
Shares of investment companies (other than certain money market funds) may not be posted as collateral under applicable regulations. In addition, regulations adopted by global prudential regulators that are now in effect require certain
bank-regulated counterparties and certain of their affiliates to include in certain financial contracts, including many derivatives contracts, terms that delay or restrict the rights of counterparties, such as the Trust, to terminate such contracts,
foreclose upon collateral, exercise other default rights or restrict transfers of credit support in the event that the counterparty and/or its affiliates are subject to certain types of resolution or insolvency proceedings. The implementation of
these requirements with respect to derivatives, as well as regulations under the Dodd-Frank Act regarding clearing, mandatory trading and margining of other derivatives, may increase the costs and risks to the Trust of trading in these instruments
and, as a result, may affect returns to investors in the Trust.

**Securities Lending Risk:** Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Trust may lose money and there may be a delay in recovering the loaned securities. The Trust could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. These events could trigger adverse tax consequences for the Trust.

**Subsidiary Risk:** By investing in the Subsidiary, the Trust is indirectly exposed to the risks associated with the Subsidiary's investments. The commodity-related instruments held by the Subsidiary are generally similar to those that are permitted to be held by the Trust and are subject to the same risks that apply to similar investments if held directly by the Trust (see "Commodities Related Investments Risk" above). There can be no assurance that the investment objective of the Subsidiary will be achieved. The Subsidiary is not registered under the 1940 Act, and, unless otherwise noted, is not subject to all the investor protections of the 1940 Act. However, the Trust wholly owns and controls the Subsidiary, and the Trust and the Subsidiary are both managed by the Manager, making it unlikely that the Subsidiary will take action contrary to the interests of the Trust and its shareholders. The Board has oversight responsibility for the investment activities of the Trust, including its investment in the Subsidiary, and the Trust's role as sole shareholder of the Subsidiary. The Subsidiary is subject to the same investment restrictions and limitations, and follows the same compliance policies and procedures, as the Trust. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Trust and/or the Subsidiary to operate as described and could adversely affect the Trust.

**Variable and Floating Rate Instrument Risk:** Variable and floating rate securities provide for periodic adjustment in the interest rate paid on the securities. These securities may be subject to greater illiquidity risk than other fixed-income securities, meaning the absence of an active market for these securities could make it difficult for the Trust to dispose of them at any given time.

**Market Risk and Selection Risk:** Market risk is the risk that one or more markets in which the Trust invests will go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a security or other asset may decline due to changes in general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Trust and its investments. Selection risk is the risk that the securities selected by Trust management will underperform the markets, the relevant indices or the securities selected by other funds with similar investment objectives and investment strategies. This means you may lose money.

An outbreak of an infectious coronavirus (COVID-19) that was first detected in December 2019 developed into a global pandemic that has resulted in numerous disruptions in the market and has had significant economic impact leaving general concern and uncertainty. Although vaccines have been developed and approved for use by various governments, the duration of the pandemic and its effects cannot be predicted with certainty. The impact of this coronavirus, and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies and the market in general ways that cannot necessarily be foreseen at the present time.

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Automatic Dividend Reinvestment Plan

Pursuant to BCAT and ECAT's Dividend Reinvestment Plan (the "Reinvestment Plan"), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains and other distributions reinvested by Computershare Trust Company, N.A. (the "Reinvestment Plan Agent") in the respective Trust's Common Shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After BCAT and ECAT declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants' accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trusts ("newly issued shares") or (ii) by purchase of outstanding shares on the open market or on the Trust's primary exchange ("open-market purchases"). If, on the dividend payment date, the net asset value ("NAV") per share is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a "market premium"), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant's account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a "market discount"), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent's fees for the handling of the reinvestment of distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent's open-market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any U.S. federal, state or local income tax that may be payable on such dividends or distributions.

Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants in BCAT and ECAT that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share sold fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at computershare.com/blackrock, or in writing to Computershare, P.O. Box 43006, Providence, RI 02940-3078, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 150 Royall Street, Suite 101, Canton, MA 02021.

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Trustee and Officer Information

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** | **Independent Trustees<sup>(a)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships Held**<br> **During**<br> **Past 5 Years** |
| **R. Glenn Hubbard**<br> 1958 | Chair of the Board (Since 2022)<br> Trustee<br> (Since 2007) | Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988. | 70 RICs consisting of 102 Portfolios | ADP (data and information services) from 2004 to 2020; Metropolitan Life Insurance Company (insurance); Total Energies SE (multi-energy) |
| **W. Carl Kester<sup>(d)</sup>**<br> 1951 | Vice Chair of the Board<br> (Since 2022)<br> Trustee<br> (Since 2007) | George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981. | 72 RICs consisting of 104 Portfolios |  |
| **Cynthia L. Egan**<br> 1955 | Trustee<br> (Since 2016) | Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007. | 70 RICs consisting of 102 Portfolios | Unum (insurance); The Hanover Insurance Group (Board Chair); Huntsman Corporation (Lead Independent Director and non Executive Vice Chair of the Board) (chemical products) |
| **Frank J. Fabozzi<sup>(d)</sup>**<br> 1948 | Trustee<br> (Since 2007) | Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) from 2011 to 2022; Professor of Practice, Johns Hopkins University since 2021; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale's Executive Programs; Visiting Professor, Rutgers University for the Spring 2019 semester; Visiting Professor, New York University for the 2019 academic year; Adjunct Professor of Finance, Carnegie Mellon University in fall 2020 semester. | 72 RICs consisting of 104 Portfolios |  |
| **Lorenzo A. Flores**<br> 1964 | Trustee<br> (Since 2021) | Vice Chairman, Kioxia, Inc. since 2019; Chief Financial Officer, Xilinx, Inc. from 2016 to 2019; Corporate Controller, Xilinx, Inc. from 2008 to 2016. | 70 RICs consisting of 102 Portfolios |  |
| **Stayce D. Harris**<br> 1959 | Trustee<br> (Since 2021) | Lieutenant General, Inspector General, Office of the Secretary of the United States Air Force from 2017 to 2019; Lieutenant General, Assistant Vice Chief of Staff and Director, Air Staff, United States Air Force from 2016 to 2017; Major General, Commander, 22nd Air Force, AFRC, Dobbins Air Reserve Base, Georgia from 2014 to 2016; Pilot, United Airlines from 1990 to 2020. | 70 RICs consisting of 102 Portfolios | The Boeing Company (airplane manufacturer) |
| **J. Phillip Holloman**<br> 1955 | Trustee<br> (Since 2021) | President and Chief Operating Officer, Cintas Corporation from 2008 to 2018. | 70 RICs consisting of 102 Portfolios | PulteGroup, Inc. (home construction); Rockwell Automation Inc. (industrial automation) |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) | **Independent Trustees<sup>(a)</sup>** (continued) |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships Held**<br> **During**<br> **Past 5 Years** |
| **Catherine A. Lynch<sup>(d)</sup>**<br> 1961 | Trustee<br> (Since 2016) | Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999. | 72 RICs consisting of 104 Portfolios | PennyMac Mortgage Investment Trust |
| **Interested Trustees<sup>(a)(e)</sup>** | **Interested Trustees<sup>(a)(e)</sup>** | **Interested Trustees<sup>(a)(e)</sup>** | **Interested Trustees<sup>(a)(e)</sup>** | **Interested Trustees<sup>(a)(e)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)<sup>(c)</sup>** | **Principal Occupation(s) During Past 5 Years** | **Number of BlackRock-Advised**<br> **Registered Investment Companies**<br> **("RICs") Consisting of**<br> **Investment Portfolios**<br> **("Portfolios") Overseen** | **Public Company**<br> **and Other**<br> **Investment**<br> **Company**<br> **Directorships**<br> **Held During**<br> **Past 5 Years** |
| **Robert Fairbairn**<br> 1965 | Trustee<br> (Since 2018) | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock's Global Executive and Global Operating Committees; Co-Chair of BlackRock's Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock's Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock's Retail and iShares<sup>®</sup> businesses from 2012 to 2016. | 98 RICs consisting of 266 Portfolios |  |
| **John M. Perlowski<sup>(d)</sup>**<br> 1964 | Trustee<br> (Since 2015)<br> President and Chief<br> Executive Officer<br> (Since 2010) | Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009. | 100 RICs consisting of 268 Portfolios |  |

---

<sup>(a)</sup> The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

<sup>(b)</sup> Each Independent Trustee holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Trust's by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Trustees who are "interested persons," as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trust's by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustees on a case-by-case basis, as appropriate. 

<sup>(c)</sup> Following the combination of Merrill Lynch Investment Managers, L.P. ("MLIM") and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; and W. Carl Kester, 1995. 

<sup>(d)</sup> Dr. Fabozzi, Dr. Kester, Ms. Lynch and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund.

<sup>(e)</sup> Mr. Fairbairn and Mr. Perlowski are both "interested persons," as defined in the 1940 Act, of the Corporation based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex.

T R U S T E E A N D O F F I C E R I N F O R M A T I O N 105

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Trustee and Officer Information (continued)

---

| | | |
|:---|:---|:---|
| **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** | **Officers Who Are Not Trustees<sup>(a)</sup>** |
| **Name**<br> **Year of Birth<sup>(b)</sup>** | **Position(s) Held**<br> **(Length of Service)** | **Principal Occupation(s) During Past 5 Years** |
| **Jonathan Diorio**<br> 1980 | Vice President<br> (Since 2015) | Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015. |
| **Trent Walker**<br> 1974 | Chief Financial Officer<br> (Since 2021) | Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. |
| **Jay M. Fife**<br> 1970 | Treasurer<br> (Since 2007) | Managing Director of BlackRock, Inc. since 2007. |
| **Charles Park**<br> 1967 | Chief Compliance Officer<br> (Since 2014) | Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares<sup>®</sup> Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors ("BFA") since 2006; Chief Compliance Officer for the BFA-advised iShares<sup>®</sup> exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012. |
| **Janey Ahn**<br> 1975 | Secretary<br> (Since 2012) | Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017. |

---

<sup>(a)</sup> The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

<sup>(b)</sup> Officers of the Corporation serve at the pleasure of the Board.

<br> <u> Effective May 31, 2022, Karen P. Robards retired as a Trustee of the Trusts.</u>

106 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Additional Information

**Proxy Results** 

The Annual Meeting of Shareholders was held on July 25, 2022 for shareholders of record on May 27, 2022, to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Shareholders elected the Class III Trustees as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | Frank J. Fabozzi | Frank J. Fabozzi | Robert Fairbairn | Robert Fairbairn | J. Phillip Holloman | J. Phillip Holloman |
| *Fund Name* | *Votes For* | *Votes Withheld* | *Votes For* | *Votes Withheld* | *Votes For* | *Votes Withheld* |
|  &nbsp;&nbsp;&nbsp;&nbsp;BCAT | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90955629 | 5374635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92832103 | 3498161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91065811 | 5264453 |
|  &nbsp;&nbsp;&nbsp;&nbsp;ECAT | 77980592 | 8986863 | 79393023 | 7574432 | 77949534 | 9017921 |

---

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Cynthia L. Egan, Lorenzo A. Flores, Stayce D. Harris, R. Glenn Hubbard, Catherine A. Lynch, John M. Perlowski and W. Carl Kester.

**Trust 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.

**Environmental, Social and Governance ("ESG") Integration** 

Although BCAT does not seek to implement a specific sustainability strategy unless otherwise disclosed, BCAT management will consider ESG characteristics as part of the investment process for actively managed BCAT. These considerations will vary depending on BCAT's particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. BCAT management will consider those ESG characteristics it deems relevant or additive, if any, when making investment decisions for BCAT. The ESG characteristics utilized in BCAT's investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. ESG characteristics are not the sole considerations when making investment decisions for BCAT. Further, investors can differ in their views of what constitutes positive or negative ESG characteristics. As a result, BCAT may invest in issuers that do not reflect the beliefs and values with respect to ESG of any particular investor. ESG considerations may affect BCAT's exposure to certain companies or industries and BCAT may forego certain investment opportunities. While BCAT management views ESG considerations as having the potential to contribute to BCAT's long-term performance, there is no guarantee that such results will be achieved.

**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 a Trust for any particular month may be more or less than the amount of net investment income earned by a Trust during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of a 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. Each 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 ("NAV") per share 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.

**General Information** 

The Trusts do not make available copies of their Statements of Additional Information because the Trusts' shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust's offerings and the information contained in each Trust's Statement of Additional Information may have become outdated.

The following information is a summary of certain changes since December 31, 2021. This information may not reflect all of the changes that have occurred since you purchased the relevant Trust.

A D D I T I O N A L I N F O R M A T I O N 107

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Additional Information (continued)

**General Information (continued)** 

Except if noted otherwise herein, there were no changes 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. Except if noted otherwise herein, 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 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 adviser. 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, annual and semi-annual reports, Rule 30e-3 notices 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 at (800) 882-0052.

**Availability of Quarterly Schedule of Investments** 

The Trusts file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Trusts' Forms N-PORT are available on the SEC's website at **sec.gov**. Additionally, each Trust makes its portfolio holdings for the first and third quarters of each fiscal year available at **blackrock.com/fundreports**.

**Availability of Proxy Voting Policies, Procedures and Voting Records** 

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities and information about how the Trusts voted proxies relating to securities held in the Trusts' portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 882-0052; (2) on the BlackRock website at **blackrock.com**; and (3) 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.

**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.

108 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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Additional Information (continued)

**BlackRock Privacy Principles (continued)** 

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.

**Trust and Service Providers** 

**Investment Adviser**

BlackRock Advisors, LLC

Wilmington, DE 19809

**Sub-Adviser**

BlackRock (Singapore) Limited

079912 Singapore

**Accounting Agent and Custodian**

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

**Legal Counsel**

Willkie Farr & Gallagher LLP

New York, NY 10019

**Address of the Trusts**

100 Bellevue Parkway

Wilmington, DE 19809

A D D I T I O N A L I N F O R M A T I O N 109

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Glossary of Terms Used in this Report

---

| | |
|:---|:---|
| **Currency Abbreviation** | **Currency Abbreviation** |
| AUD | Australian Dollar |
| BRL | Brazilian Real |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| CNH | Chinese Yuan |
| CNY | Chinese Yuan |
| DKK | Danish Krone |
| EUR | Euro |
| GBP | British Pound |
| HKD | Hong Kong Dollar |
| JPY | Japanese Yen |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| SEK | Swedish Krona |
| USD | United States Dollar |
| ZAR | South African Rand |

---

---

| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| ABS | Asset-Backed Security |
| ADR | American Depositary Receipt |
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity Treasury |
| CR | Custodian Receipt |
| DAC | Designated Activity Company |
| DIP | Debtor-In-Possession |
| ETF | Exchange-Traded Fund |
| EURIBOR | Euro Interbank Offered Rate |
| FREMF | Freddie Mac Multifamily Securities |
| FTSE | Financial Times Stock Exchange |
| GO | General Obligation Bonds |
| GOL | General Obligation Ltd. |
| LIBOR | London Interbank Offered Rate |
| MSCI | Morgan Stanley Capital International |
| MTA | Month Treasury Average |
| MXIBOR | Mexico Interbank Offered Rate |
| PIK | Payment-in-Kind |
| RB | Revenue Bond |
| S&P | Standard & Poor's |
| SAN | State Aid Notes |
| SOFR | Secured Overnight Financing Rate |
| SOFR CME | Secured Overnight Financing Rate Chicago Mercantile Exchange |
| SOFRTE | Term Secured Overnight Financing Rate |
| SONIA | Sterling Overnight Interbank Average Rate |
| SPDR | Standard & Poor's Depository Receipt |
| ST | Special Tax |
| TAN | Tax Anticipation Notes |
| TBA | To-Be-Announced |

---

110 2 0 2 2 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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**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.

BCAT-12/22-AR

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|:---|:---|
| ![LOGO](g459908snap1.jpg) <br>| ![LOGO](g459908snap2.jpg) |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not Applicable

---

| | |
|:---|:---|
| Item 2 – | Code of Ethics – The registrant (or the "Fund") has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-882-0052, option 4.  |

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Item 3 – Audit Committee Financial Expert – The registrant's board of directors (the "board of directors"), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Frank J. Fabozzi

Lorenzo A. Flores

Catherine A. Lynch

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP ("D&T") in each of the last two fiscal years for the services rendered to the Fund:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **(a) Audit Fees** | **(a) Audit Fees** | **(b) Audit-Related Fees<sup>1</sup>** | **(b) Audit-Related Fees<sup>1</sup>** | **(c) Tax Fees<sup>2</sup>** | **(c) Tax Fees<sup>2</sup>** | **(d) All Other Fees** | **(d) All Other Fees** |
| &nbsp;&nbsp;&nbsp;**Entity Name** | **<u>Current</u><br> <u>Fiscal Year</u> <br>End** | **<u>Previous</u><br> <u>Fiscal Year</u> <br><u>End</u>** | **<u>Current</u><br> <u>Fiscal Year</u>** <br> **<u>End</u>** | **<u>Previous</u><br> <u>Fiscal Year</u> <br>End** | **<u>Current</u><br> <u>Fiscal Year</u> <br>End** | **<u>Previous</u><br> <u>Fiscal Yea</u>r <br><u>End</u>** | **<u>Current</u><br> <u>Fiscal Year</u> <br><u>End</u>** | **<u>Previous</u><br> <u>Fiscal Year</u> <br><u>End</u>** |
| &nbsp;&nbsp;&nbsp; BlackRock Capital<br> Allocation Trust | $74970 | $74235 | $2000 | $0 | $21600 | $20000 | $431 | $0 |

---

The following table presents fees billed by D&T that were required to be approved by the registrant's audit committee (the "Committee") for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (the "Investment Adviser" or "BlackRock") and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund ("Affiliated Service Providers"):

**2**

------

---

| | | |
|:---|:---|:---|
|  | **Current Fiscal Year End** | **Previous Fiscal Year End** |
| &nbsp;&nbsp;&nbsp; **(b) Audit-Related Fees<sup>1</sup>** | $0 | $0 |
| &nbsp;&nbsp;&nbsp; **(c) Tax Fees<sup>2</sup>** | $0 | $0 |
| &nbsp;&nbsp;&nbsp; **(d) All Other Fees<sup>3</sup>** | $2098000 | $2032000 |

---

<sup>1</sup> The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

<sup>2</sup> The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

<sup>3</sup> Non-audit fees of $2,098,000 and $2,032,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund's principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC's auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis ("general pre-approval"). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Not Applicable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) The aggregate non-audit fees, defined as the sum of the fees shown under "Audit-Related Fees,"

**3**

------

"Tax Fees" and "All Other Fees," paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

---

| | | |
|:---|:---|:---|
| **<u>Entity Name</u>** |  **<u>Current Fiscal Year</u> <br><u>End</u>** |  **<u>Previous Fiscal Year</u> <br><u>End</u>** |
| BlackRock Capital Allocation<br>Trust | $24031 | $20000 |

---

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; **<u>Current Fiscal</u> <u>Year</u>**<br> **<u>End</u>** |  **<u>Previous Fiscal</u> <u>Year<br>End</u>** |
| &nbsp;&nbsp;&nbsp; $2098000 | $2032000 |

---

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) – Not Applicable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) – Not Applicable

Item 5 – Audit Committee of Listed Registrant

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The following individuals are members of the registrant's separately designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Frank J. Fabozzi

Lorenzo A. Flores

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;J. Phillip Holloman

Catherine A. Lynch

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not Applicable

Item 6 – Investments

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant's Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.

**4**

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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 – The board of directors has delegated the voting of proxies for the Fund's portfolio securities to the Investment Adviser pursuant to the Investment Adviser's proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund's stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser's Equity Investment Policy Oversight Committee, or a sub-committee thereof (the "Oversight Committee") is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser's clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser's Portfolio Management Group and/or the Investment Adviser's Legal and Compliance Department and concluding that the vote cast is in its client's best interest notwithstanding the conflict. A copy of the Fund's Proxy Voting Policy and Procedures are attached as [Exhibit 99.PROXYPOL](d459908dex99proxypol.htm), a copy of the Fund's Global Corporate Governance & Engagement Principles are attached as [Exhibit 99.GLOBAL.CORP.GOV](d459908dex99globalcorpgov.htm) and a copy of the Fund's Corporate Governance and Proxy Voting Guidelines for U.S. Securities are attached as [Exhibit 99.US.CORP.GOV](d459908dex99uscorpgov.htm). Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC's website at <u>http://www.sec.gov</u>.  |

---

Item 8 – Portfolio Managers of Closed-End Management Investment Companies

(a)(1) As of the date of filing this Report:

The registrant is managed by a team of investment professionals comprised of Rick Rieder, Managing Director at BlackRock, David Clayton, CFA, JD, Managing Director at BlackRock, and Russ Koesterich, CFA, JD, Managing Director at BlackRock. Messrs. Rieder, Clayton and Koesterich are the Fund's portfolio managers and are responsible for the day-to-day management of the Fund's portfolio and the selection of its investments. Messrs. Rieder, Clayton and Koesterich have been members of the Fund's portfolio management team since 2020.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;**Portfolio Manager** | **Biography** |
| &nbsp;&nbsp;&nbsp; Rick Rieder | Global Chief Investment Officer of Fixed Income, Co-head of BlackRock's Global Fixed Income platform, member of Global Operating Committee and Chairman of the BlackRock firmwide Investment Council. Managing Director of BlackRock, Inc. since 2009. President and Chief Executive Officer of R3 Capital Partners from 2008 to 2009; Managing Director of Lehman Brothers from 1994 to 2008. |

---

**5**

------

David Clayton, CFA, JD   <u>Managing Director of BlackRock, Inc. since 2012; Director of BlackRock, Inc. from 2010 to 2011.</u> <br> Russ Koesterich, CFA, JD   <u>Managing Director of BlackRock, Inc. since 2009.</u>

(a)(2) As of December 31, 2022:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **(ii) Number of Other Accounts Managed**<br> **and Assets by Account Type** | **(ii) Number of Other Accounts Managed**<br> **and Assets by Account Type** | **(ii) Number of Other Accounts Managed**<br> **and Assets by Account Type** | **(iii) Number of Other Accounts and**<br> **Assets for Which Advisory Fee is**<br> **Performance-Based** | **(iii) Number of Other Accounts and**<br> **Assets for Which Advisory Fee is**<br> **Performance-Based** | **(iii) Number of Other Accounts and**<br> **Assets for Which Advisory Fee is**<br> **Performance-Based** |
| &nbsp;&nbsp;&nbsp; **(i) Name of**<br> **Portfolio Manager** | **Other**<br> **Registered**<br> **Investment**<br> **Companies** | **Other Pooled**<br> **Investment**<br> **Vehicles** | **Other**<br> **Accounts** | **Other**<br> **Registered**<br> **Investment**<br> **Companies** | **Other Pooled**<br> **Investment**<br> **Vehicles** | **Other**<br> **Accounts** |
| &nbsp;&nbsp;&nbsp; Rick Rieder | 23 | 37 | 18 | 0 | 7 | 3 |
|  | $100.0 Billion | $38.48 Billion | $3.31 Billion | $0 | $533.4 Million | $265.8 Million |
| &nbsp;&nbsp;&nbsp; David Clayton, CFA, JD | 12 | 8 | 7 | 0 | 0 | 0 |
|  | $33.18 Billion | $18.08 Billion | $0.22 Million | $0 | $0 | $0 |
| &nbsp;&nbsp;&nbsp; Russ Koesterich, CFA, JD | 12 | 8 | 9 | 0 | 0 | 0 |
|  | $33.18 Billion | $18.08 Billion | $0.28 Million | $0 | $0 | $0 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.'s (or its affiliates' or significant shareholders') officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts

**6**

------

whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Rieder, Clayton and Koesterich may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Rieder, Clayton and Koesterich may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3) As of December 31, 2022:

**Portfolio Manager Compensation Overview**

The discussion below describes the portfolio managers' compensation as of December 31, 2022.

BlackRock's financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

**Base Compensation**. Generally, portfolio managers receive base compensation based on their position with the firm.

**Discretionary Incentive Compensation**

Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager's group within BlackRock, the investment performance, including risk-adjusted returns, of the firm's assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual's performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock's Chief Investment Officers make a subjective determination with respect to each portfolio manager's compensation based on the performance of the funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance is generally assessed over trailing 1-,3-, and 5-year periods relative to benchmarks plus an alpha target as well as against peer groups. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are: S&P 500 Index, FTSE World ex-US Index, ICE BofA Current 5-Year Treasury Index and FTSE Non-US Dollar World Government Bond Index.

**7**

------

**Distribution of Discretionary Incentive Compensation**

Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.

Portfolio managers receive their annual discretionary incentive compensation in the form of cash. Portfolio managers whose total compensation is above a specified threshold also receive deferred BlackRock, Inc. stock awards annually as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year "at risk" based on BlackRock's ability to sustain and improve its performance over future periods. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align interests with long-term shareholders and motivate performance. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.

For certain portfolio managers, a portion of the discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage, which provides direct alignment of portfolio manager discretionary incentive compensation with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Only portfolio managers who manage specified products and whose total compensation is above a specified threshold are eligible to participate in the deferred cash award program.

**Other Compensation Benefits**. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($305,000 for 2022). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) *Beneficial Ownership of Securities* – As of December 31, 2022.

**8**

------

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;**Portfolio Manager** | **Dollar Range of Equity Securities of the Fund Beneficially Owned** |
| &nbsp;&nbsp;&nbsp;Rick Rieder |  |
| &nbsp;&nbsp;&nbsp;David Clayton, CFA, JD | $100001 - $500000 |
| &nbsp;&nbsp;&nbsp; Russ Koesterich, CFA, JD |  |

---

(b) Not Applicable

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;<u>Period</u> | <u>(a) Total<br>Number of<br>Shares<br>Purchased**<sup>1</sup>**</u> | <u>(b) Average<br>Price Paid per<br>Share</u> | <u>(c) Total Number of<br>Shares Purchased as Part<br>of Publicly Announced<br>Plans or Programs**<sup>1</sup>**</u> | <u>(d) Maximum Number of<br>Shares that May Yet Be<br>Purchased Under the<br>Plans or Programs**<sup>1</sup>**</u> |
| &nbsp;&nbsp;&nbsp; July 1-31, 2022 | 0 | $- | 0 | 3655721 |
| &nbsp;&nbsp;&nbsp; August 1-31, 2022 | 393928 | $15.4841 | 393928 | 3261793 |
| &nbsp;&nbsp;&nbsp; September 1-30, 2022 | 309576 | $13.8474 | 309576 | 2952217 |
| &nbsp;&nbsp;&nbsp; October 1-31, 2022 | 715030 | $13.9859 | 715030 | 2237187 |
| &nbsp;&nbsp;&nbsp; November 1-30, 2022 | 457921 | $14.3782 | 457921 | 1779266 |
| &nbsp;&nbsp;&nbsp; December 1-31, 2022 | 543350 | $13.8782 | 543350 | 4890568 |
| &nbsp;&nbsp;&nbsp; **Total:** | 2419805 | 14.2621 | 2419805 | 4890568 |

---

**<sup>1</sup>** On November 19, 2021, the Fund announced an open market share repurchase program. Commencing on December 1, 2021, the Fund may repurchase through November 30, 2022, up to 5% of its common shares outstanding as of the close of business on November 18, 2022, subject to certain conditions. On September 8, 2022, the Fund announced a continuation of its open market share repurchase program. Commencing on December 1, 2022, the Fund may repurchase through November 30, 2023, up to 5% of its common shares outstanding as of the close of business on November 30, 2022, subject to certain conditions.

---

| | |
|:---|:---|
| Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.  |

---

Item 11 – Controls and Procedures0

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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

**9**

------

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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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

Item 13 – Exhibits attached hereto

(a)(1) [Code of Ethics – See Item 2](#item2)

(a)(2) [Section 302 Certifications are attached](d459908dex99cert.htm)

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable

(a)(4) Change in Registrant's independent public accountant – Not Applicable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) [Section 906 Certifications are attached](d459908dex99906cert.htm)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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, 2009<sup>1</sup>](d459908dex99section19.htm)

------

<sup>1</sup>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.

**10**

------

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 Capital Allocation Trust

---

| | |
|:---|:---|
| By: | /s/ John M. Perlowski  |
|  | John M. Perlowski |
|  | Chief Executive Officer (principal executive officer) of |
|  | BlackRock Capital Allocation Trust |

---

Date: February 23, 2023

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 Capital Allocation Trust |

---

Date: February 23, 2023

---

| | |
|:---|:---|
| By: | /s/ Trent Walker  |
|  | Trent Walker |
|  | Chief Financial Officer (principal financial officer) of |
|  | BlackRock Capital Allocation Trust |

---

Date: February 23, 2023

**11**

## Ex-99.Cert

**EX-99. CERT** 

**CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE** 

**SARBANES-OXLEY ACT OF 2002** 

------

I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Capital Allocation Trust, certify that:

1. I have reviewed this report on Form N-CSR of BlackRock Capital Allocation Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: February 23, 2023

<u>/s/ John M. Perlowski</u> 

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Capital Allocation Trust

------

**EX-99. CERT** 

**CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE** 

**SARBANES-OXLEY ACT OF 2002** 

------

I, Trent Walker, Chief Financial Officer (principal financial officer) of BlackRock Capital Allocation Trust, certify that:

1. I have reviewed this report on Form N-CSR of BlackRock Capital Allocation Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: February 23, 2023

<u>/s/ Trent Walker</u> 

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Capital Allocation Trust

## Exhibit 99.906

Exhibit 99.906CERT

**Certification Pursuant to Rule 30a-2(b) under the 1940 Act and** 

**Section 906 of the Sarbanes-Oxley Act of 2002** 

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Capital Allocation Trust (the "Registrant"), hereby certifies, to the best of his knowledge, that the Registrant's Report on Form N-CSR for the period ended December 31, 2022 (the "Report") fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date: February 23, 2023

<u>/s/ John M. Perlowski</u> 

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Capital Allocation Trust

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Capital Allocation Trust (the "Registrant"), hereby certifies, to the best of his knowledge, that the Registrant's Report on Form N-CSR for the period ended December 31, 2022 (the "Report") fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date: February 23, 2023

<u>/s/ Trent Walker</u> 

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Capital Allocation Trust

This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission**.**

## Ex-99.Section19

BlackRock Capital Allocation Trust

Cusip: 09260U109

Ticker: BCAT

---

| | |
|:---|:---|
|  Record Date | December 16, 2022 |
|  Pay Date | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;December 30, 2022 |
|  Distribution Amount per share | $0.104100 |

---

The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net income, net realized short-term capital gains, net realized long-term capital gains and return of capital. All amounts are expressed per common share.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | % Breakdown | Total Cumulative | % Breakdown of the Total |
|  | | of the Current | Distributions for the Fiscal | Cumulative Distributions for |
|  | Current Distribution | Distribution | Year to Date | the Fiscal Year to Date |
|  Net Income | $0.053759 | 52% | $0.587966 | 47% |
|  Net Realized Short-Term Capital Gains | $- | 0% | $- | 0% |
|  Net Realized Long-Term Capital Gains | $- | 0% | $- | 0% |
|  Return of Capital | $0.050341 | 48% | $0.661234 | 53% |
|  Total (per common share) | $0.104100 | 100% | $1.249200 | 100% |
|  Average annual total return (in relation to NAV) for the 5-year period ending on November 30, 2022 | Average annual total return (in relation to NAV) for the 5-year period ending on November 30, 2022 | Average annual total return (in relation to NAV) for the 5-year period ending on November 30, 2022 | Average annual total return (in relation to NAV) for the 5-year period ending on November 30, 2022 | 0.12% |
|  Annualized current distribution rate expressed as a percentage of NAV as of November 30, 2022 | Annualized current distribution rate expressed as a percentage of NAV as of November 30, 2022 | Annualized current distribution rate expressed as a percentage of NAV as of November 30, 2022 |  | 7.16% |
|  Cumulative total return (in relation to NAV) for the fiscal year through November 30, 2022 | Cumulative total return (in relation to NAV) for the fiscal year through November 30, 2022 | Cumulative total return (in relation to NAV) for the fiscal year through November 30, 2022 |  | -10.06% |
|  Cumulative fiscal year distributions as a percentage of NAV as of November 30, 2022 | Cumulative fiscal year distributions as a percentage of NAV as of November 30, 2022 | Cumulative fiscal year distributions as a percentage of NAV as of November 30, 2022 |  | 6.56% |

---

You should not draw any conclusions about the Fund's investment performance from the amount of this distribution or from the terms of the Fund's Managed Distribution Plan.

The Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital does not necessarily reflect the Fund's investment performance and should not be confused with 'yield' or 'income'.

When distributions exceed total return performance, the difference will reduce the Fund's net asset value per share.

The amounts and sources of distributions reported in this Notice are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Fund's investment experience during its fiscal year and may be subject to changes based on tax regulations. The Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes.

**Contact Number: 800-882-0052**

------

BlackRock Capital Allocation Trust

Cusip: 09260U109

Ticker: BCAT

---

| | |
|:---|:---|
|  Record Date | January 13, 2023 |
|  Pay Date | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;January 31, 2023 |
|  Distribution Amount per share | $0.104100 |

---

The following table sets forth the estimated amounts of the current distribution and the cumulative distributions paid this fiscal year to date from the following sources: net income, net realized short-term capital gains, net realized long-term capital gains and return of capital. All amounts are expressed per common share.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | % Breakdown | Total Cumulative | % Breakdown of the Total |
|  | | of the Current | Distributions for the Fiscal | Cumulative Distributions for |
|  | Current Distribution | Distribution | Year to Date | the Fiscal Year to Date |
|  Net Income | $0.036761 | 35% | $0.036761 | 35% |
|  Net Realized Short-Term Capital Gains | $- | 0% | $- | 0% |
|  Net Realized Long-Term Capital Gains | $- | 0% | $- | 0% |
|  Return of Capital | $0.067339 | 65% | $0.067339 | 65% |
|  Total (per common share) | $0.104100 | 100% | $0.104100 | 100% |
|  Average annual total return (in relation to NAV) for the 5-year period ending on December 31, 2022 \* | Average annual total return (in relation to NAV) for the 5-year period ending on December 31, 2022 \* | Average annual total return (in relation to NAV) for the 5-year period ending on December 31, 2022 \* | Average annual total return (in relation to NAV) for the 5-year period ending on December 31, 2022 \* | -1.08% |
|  Annualized current distribution rate expressed as a percentage of NAV as of December 31, 2022 | Annualized current distribution rate expressed as a percentage of NAV as of December 31, 2022 | Annualized current distribution rate expressed as a percentage of NAV as of December 31, 2022 |  | 7.41% |
|  Cumulative total return (in relation to NAV) for the fiscal year through December 31, 2022 | Cumulative total return (in relation to NAV) for the fiscal year through December 31, 2022 | Cumulative total return (in relation to NAV) for the fiscal year through December 31, 2022 |  | -12.46% |
|  Cumulative fiscal year distributions as a percentage of NAV as of December 31, 2022 | Cumulative fiscal year distributions as a percentage of NAV as of December 31, 2022 | Cumulative fiscal year distributions as a percentage of NAV as of December 31, 2022 |  | 7.41% |

---

\*Portfolio launched within the past 5 years; the performance and distribution rate information presented for this Fund reflects data from inception to 12/31/2022 You should not draw any conclusions about the Fund's investment performance from the amount of this distribution or from the terms of the Fund's Managed Distribution Plan.

The Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of your distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital does not necessarily reflect the Fund's investment performance and should not be confused with 'yield' or 'income'.

When distributions exceed total return performance, the difference will reduce the Fund's net asset value per share.

The amounts and sources of distributions reported in this Notice are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Fund's investment experience during its fiscal year and may be subject to changes based on tax regulations. The Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes.

**Contact Number: 800-882-0052**

## Ex-99.Proxypol

Closed-End Fund Proxy Voting Policy

August 1, 2021

![LOGO](g412750g42l24.jpg)

---

| |
|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Closed-End Fund Proxy Voting Policy <br>***Procedures Governing Delegation of Proxy Voting to Fund Adviser***<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; <br> &nbsp;&nbsp;&nbsp;&nbsp;Effective Date: August 1, 2021<br> &nbsp;&nbsp;&nbsp;&nbsp;Last Review Date: August 1, 2022 |

---

------

---

| |
|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;**Applies to the following types of Funds registered under the 1940 Act:** |
|  ☐ Open-End Mutual Funds (including money market funds) |
|  ☐ Money Market Funds Only |
|  ☐ iShares and BlackRock ETFs |
|  ☒ Closed-End Funds |
|  ☐ Other |

---

------

**Objective and Scope** 

Set forth below is the Closed-End Fund Proxy Voting Policy.

**Policy / Document Requirements and Statements** 

The Boards of Trustees/Directors (the "Directors") of the closed-end funds advised by BlackRock Advisors, LLC ("BlackRock") (the "Funds") have the responsibility for the oversight of voting proxies relating to portfolio securities of the Funds, and have determined that it is in the best interests of the Funds and their shareholders to delegate that responsibility to BlackRock as part of BlackRock's authority to manage, acquire and dispose of account assets, all as contemplated by the Funds' respective investment management agreements.

BlackRock has adopted guidelines and procedures (together and as from time to time amended, the "BlackRock Proxy Voting Guidelines") governing proxy voting by accounts managed by BlackRock. BlackRock will cast votes on behalf of each of the Funds on specific proxy issues in respect of securities held by each such Fund in accordance with the BlackRock Proxy Voting Guidelines; provided, however, that in the case of underlying closed-end funds (including business development companies and other similarly-situated asset pools) held by the Funds that have, or are proposing to adopt, a classified board structure, BlackRock will typically (a) vote in favor of proposals to adopt classification and against proposals to eliminate classification, and (b) not vote against directors as a result of their adoption of a classified board structure.

BlackRock will report on an annual basis to the Directors on (1) a summary of all proxy votes that BlackRock has made on behalf of the Funds in the preceding year together with a representation that all votes were in accordance with the BlackRock Proxy Voting Guidelines (as modified pursuant to the immediately preceding paragraph), and (2) any changes to the BlackRock Proxy Voting Guidelines that have not previously been reported.

![LOGO](g412750dsp17n.jpg)

Public Page 1 of 1

## Ex-99.Globalcorpgov

![LOGO](g412750g00s01.jpg)

BlackRock Investment Stewardship Global Principles Effective as of January 2023 BlackRock

------

## Contents

---

| | |
|:---|:---|
|  **[Introduction to BlackRock](#globalcorp412750_1)** | **3** |
|  **[Philosophy on investment stewardship](#globalcorp412750_2)** | **3** |
|  **[Key themes](#globalcorp412750_3)** | **5** |
|  **[Boards and directors](#globalcorp412750_4)** | **6** |
|  **[Auditors and audit-related issues](#globalcorp412750_5)** | **9** |
|  **[Capital structure, mergers, asset sales, and other special transactions](#globalcorp412750_6)** | **10** |
|  **[Compensation and benefits](#globalcorp412750_7)** | **11** |
|  **[Material sustainability-related risks and opportunities](#globalcorp412750_8)** | **12** |
|  **[Other corporate governance matters and shareholder protections](#globalcorp412750_9)** | **14** |
|  **[Shareholder proposals](#globalcorp412750_10)** | **15** |
|  **[BlackRock's oversight of its investment stewardship activities](#globalcorp412750_11)** | **15** |
|  **[Vote execution](#globalcorp412750_12)** | **16** |
|  **[Conflicts management policies and procedures](#globalcorp412750_13)** | **17** |
|  **[Securities lending](#globalcorp412750_14)** | **19** |
|  **[Voting guidelines](#globalcorp412750_15)** | **19** |
|  **[Reporting and vote transparency](#globalcorp412750_16)** | **19** |

---

*The purpose of this document is to provide an overarching explanation of BlackRock's approach globally to our responsibilities as a shareholder on behalf of our clients, our expectations of companies, and our commitments to clients in terms of our own governance and transparency.* 

---

| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **2** |

---

------

**Introduction to BlackRock** 

BlackRock's purpose is to help more and more people experience financial well-being. We manage assets on behalf of institutional and individual clients, across a full spectrum of investment strategies, asset classes, and regions. Our client base includes pension plans, endowments, foundations, charities, official institutions, insurers, and other financial institutions, as well as individuals around the world. As part of our fiduciary duty to our clients, we consider it one of our responsibilities to promote sound corporate governance, as an informed, engaged shareholder on their behalf. At BlackRock, this is the responsibility of the Investment Stewardship team.

**Philosophy on investment stewardship** 

Companies are responsible for ensuring they have appropriate governance structures to serve the interests of shareholders and other key stakeholders. We believe that there are certain fundamental rights attached to shareholding. Companies and their boards should be accountable to shareholders and structured with appropriate checks and balances to ensure that they operate in shareholders' best interests to create sustainable value. Shareholders should have the right to vote to elect, remove, and nominate directors, approve the appointment of the auditor, and amend the corporate charter or by-laws. Shareholders should be able to vote on key board decisions that are material to the protection of their investment, including but not limited to, changes to the purpose of the business, dilution levels and pre-emptive rights, and the distribution of income and capital structure. In order to make informed decisions, shareholders need sufficient and timely information. In addition, shareholder voting rights should be proportionate to their economic ownership—the principle of "one share, one vote" helps achieve this balance.

Consistent with these shareholder rights, BlackRock has a responsibility to monitor and provide feedback to companies in our role as stewards of our clients' investments. Investment stewardship is how we use our voice as an investor to promote sound corporate governance and business practices to help maximize long-term shareholder value for our clients, the vast majority of whom are investing for long-term goals such as retirement. BlackRock Investment Stewardship (BIS) does this through engagement with management teams and/or board members on material business issues and, for those clients who have given us authority, through voting proxies in their best long-term financial interests.<sup>1</sup> We also contribute to consultations on public policy and private sector initiatives on industry standards, consistent with our clients' interests as long-term shareholders.

BlackRock looks to companies to provide timely, accurate, and comprehensive disclosure on all material governance and business matters. This transparency allows shareholders to appropriately understand and assess how relevant risks and opportunities are being effectively identified and managed. Where company reporting and disclosure is inadequate or where the governance approach taken may be inconsistent with durable, long-term value creation for shareholders, we will engage with a company and/or vote in a manner that advances long-term shareholders' interests.

------

<sup>1</sup> Through <u>BlackRock Voting Choice</u> we have, since January 2022, made proxy voting easier and more accessible for investors in separate accounts and certain pooled vehicles. As a result, the shares attributed to BlackRock in company share registers may be voted differently depending on whether our clients have authorized BIS to vote on their behalf, have authorized BIS to vote in accordance with a third party policy, or have elected to vote shares in accordance with their own policy. We are not able to disclose which clients have opted to exercise greater control over their voting, nor are we able to disclose which proxy voting policies they have selected.

---

| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **3** |

---

------

BlackRock views engagement as an important activity; engagement provides us with the opportunity to improve our understanding of the business and of the risks and opportunities that are material to the companies in which our clients invest. Engagement may also inform our voting decisions. As long-term investors on behalf of clients, we seek to have regular and continuing dialogue with executives and board directors to advance sound governance and durable business practices aligned with long-term value creation, as well as to understand the effectiveness of the company's management and oversight of material issues. Engagement is an important mechanism for providing feedback on company practices and disclosures, particularly where we believe they could be enhanced to support a company's ability to deliver financial performance. Similarly, it provides us with an opportunity to hear directly from company boards and management on how they believe their actions are aligned with durable, long-term value creation.

We generally vote in support of management and boards that exhibit an approach to decision-making that is consistent with creating durable, long-term value for shareholders. If we have concerns about a company's approach, we may choose to explain our expectations to the company's board and management. Following that engagement, we may signal through our voting that we have outstanding concerns, generally by voting against the re-election of directors we view as having responsibility for an issue. We apply our regional proxy voting guidelines to achieve the outcome that is most aligned with our clients' long-term financial interests.

---

| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **4** |

---

------

**Key themes** 

We recognize that accepted standards and norms of corporate governance can differ between markets. However, in our experience, there are certain fundamental elements of governance practice that are intrinsic globally to a company's ability to create long-term value for shareholders. These global themes are set out in this overarching set of principles (the Principles), which are anchored in transparency and accountability. At a minimum, it is our view that companies should observe the accepted corporate governance standards in their domestic market and ask that, if they do not, they explain how their approach better supports durable, long-term value creation.

**These Principles cover seven key themes:** 

• Boards and directors

• Auditors and audit-related issues

• Capital structure, mergers, asset sales, and other special transactions

• Compensation and benefits

• Material sustainability-related risks and opportunities

• Other corporate governance matters and shareholder protections

• Shareholder proposals

Our regional and market-specific <u>voting</u><u> </u><u>guidelines</u> explain how these Principles inform our voting decisions in relation to specific ballot items for shareholder meetings.

---

| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **5** |

---

------

**Boards and directors** 

Our primary focus is on the performance of the board of directors to promote sound corporate governance. The performance of the board is critical to the economic success of the company and the protection of shareholders' interests. As part of their responsibilities, board members owe fiduciary duties to shareholders in overseeing the strategic direction and operation of the company. For this reason, BIS sees engaging with and the election of directors as one of our most important and impactful responsibilities.

We support boards whose approach is consistent with creating durable, long-term value. This includes the effective corporate governance and management of material sustainability-related risks and opportunities,<sup>2</sup> as well as the consideration of the company's key constituents including their employees, clients, suppliers, and the communities within which they operate. The board should establish and maintain a framework of robust and effective governance mechanisms to support its oversight of the company's strategic aims. We look to the board to articulate the effectiveness of these mechanisms in overseeing the management of business risks and opportunities and the fulfillment of the company's purpose. Disclosure of all material issues that affect the company's long-term strategy and ability to create value is essential for shareholders to be able to appropriately understand and assess how risks are effectively identified, managed and mitigated.

Where a company has not adequately disclosed and demonstrated that they have fulfilled these responsibilities, we will consider voting against the re-election of directors whom we consider to have particular responsibility for the issue. We assess director performance on a case-by-case basis and in light of each company's circumstances, taking into consideration our assessment of their governance, business practices that support durable, long-term value creation, and performance. In serving the interests of shareholders, the responsibility of the board of directors includes, but is not limited to, the following:

• Establishing an appropriate corporate governance structure

• Supporting and overseeing management in setting long-term strategic goals and applicable measures of value-creation and
milestones that will demonstrate progress, and taking steps to address anticipated or actual obstacles to success

• Providing oversight on the identification and management of material governance and sustainability-related risks

• Overseeing the financial resilience of the company, the integrity of financial statements, and the robustness of a
company's Enterprise Risk Management<sup>3</sup> framework

------

<sup>2</sup> By material sustainability-related risks and opportunities, we mean the drivers of risk and value creation in a company's business model that have an environmental or social dependency or impact. Examples of environmental issues include, but are not limited to, water use, land use, waste management and climate risk. Examples of social issues include, but are not limited to, human capital management, impacts on the communities in which a company operates, customer loyalty and relationships with regulators. It is our view that well-managed companies will effectively evaluate and manage material sustainability-related risks and opportunities relevant to their businesses. Governance is the core means by which boards can oversee the creation of durable, long-term value. Appropriate risk oversight of business-relevant and material sustainability-related considerations is a component of a sound governance framework.

<sup>3</sup> Enterprise risk management is a process, effected by the entity's board of directors, management, and other personnel, applied in strategy setting and across the enterprise, designed to identify potential events that may affect the entity, and manage risk to be within the risk appetite, to provide reasonable assurance regarding the achievement of objectives. (Committee of Sponsoring

---

| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **6** |

---

------

• Making decisions on matters that require independent evaluation, which may include mergers, acquisitions and dispositions,
activist situations or other similar cases

• Establishing appropriate executive compensation structures

• Monitoring business issues including material sustainability-related risks and opportunities, that have the potential to
significantly impact the company's long-term value

There should be clear descriptions of the role of the board and the committees of the board and how they engage with and oversee management. Set out below are ways in which boards and directors can demonstrate a commitment to acting in the best long-term economic interests of all shareholders.

We will seek to engage with the appropriate directors where we have concerns about the performance of the company, board, or individual directors and may signal outstanding concerns in our voting. While we consider these principles to be globally relevant, when assessing a board's composition and governance processes, we consider local market norms and regulations.

**Regular accountability** 

It is our view that directors should stand for re-election on a regular basis, ideally annually. In our experience, annual re-elections allow shareholders to reaffirm their support for board members or hold them accountable for their decisions in a timely manner. When board members are not re-elected annually, in our experience, it is good practice for boards to have a rotation policy to ensure that, through a board cycle, all directors have had their appointment re-confirmed, with a proportion of directors being put forward for re-election at each annual general meeting.

**Effective board composition** 

Regular director elections also give boards the opportunity to adjust their composition in an orderly way to reflect the evolution of the company's strategy and the market environment. In our view, it is beneficial for new directors to be brought onto the board periodically to refresh the group's thinking and in a manner that supports both continuity and appropriate succession planning. We consider the average overall tenure of the board, where we are seeking a balance between the knowledge and experience of longer-serving members and the fresh perspectives of newer members. We encourage companies to keep under regular review the effectiveness of their board (including its size), and assess directors nominated for election or re-election in the context of the composition of the board as a whole. This assessment should consider a number of factors, including the potential need to address gaps in skills, experience, independence, and diversity.

In our view, there should be a sufficient number of independent directors, free from conflicts of interest or undue influence from connected parties, to ensure objectivity in the decision-making of the board and its ability to oversee management. Common impediments to independence may include but are not limited to:

• Current or recent employment at the company or a subsidiary

• Being, or representing, a shareholder with a substantial shareholding in the company

------

Organizations of the Treadway Commission (COSO), Enterprise Risk Management — Integrated Framework, September 2004, New York, NY).

---

| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **7** |

---

------

• Interlocking directorships

• Having any other interest, business, or other relationship which could, or could reasonably be perceived to, materially
interfere with a director's ability to act in the best interests of the company and their shareholders

In our experience, boards are most effective at overseeing and advising management when there is a senior independent board leader. This director may chair the board, or, where the chair is also the CEO (or is otherwise not independent), be designated as a lead independent director. The role of this director is to enhance the effectiveness of the independent members of the board through shaping the agenda, ensuring adequate information is provided to the board, and encouraging independent director participation in board deliberations. The lead independent director or another appropriate director should be available to shareholders in those situations where an independent director is best placed to explain and contextualize a company's approach.

When nominating new directors to the board, we look to companies to provide sufficient information on the individual candidates so that shareholders can assess the suitability of each individual nominee and the overall board composition. These disclosures should give an understanding of how the collective experience and expertise of the board aligns with the company's long-term strategy and business model. Highly qualified, engaged directors with professional characteristics relevant to a company's business enhance the ability of the board to add value and be the voice of shareholders in board discussions. In our view, a strong board provides a competitive advantage to a company, providing valuable oversight and contributing to the most important management decisions that support long-term financial performance.

It is in this context that we are interested in diversity in the board room. We see it as a means to promoting diversity of thought and avoiding "group think" in the board's exercise of its responsibilities to advise and oversee management. It allows boards to have deeper discussions and make more resilient decisions. We ask boards to disclose how diversity is considered in board composition, including professional characteristics, such as a director's industry experience, specialist areas of expertise and geographic location; as well as demographic characteristics such as gender, race/ethnicity and age.

We look to understand a board's diversity in the context of a company's domicile, market capitalization, business model and strategy. Increasingly, we see leading boards adding members whose experience deepens the board's understanding of the company's customers, employees and communities. Self-identified board demographic diversity can usefully be disclosed in aggregate, consistent with local law. We believe boards should aspire to meaningful diversity of membership, at least consistent with local regulatory requirements and best practices, while recognizing that building a strong, diverse board can take time.

This position is based on our view that diversity of perspective and thought – in the board room, in the management team and throughout the company – leads to better long term economic outcomes for companies. Academic research already reveals correlations between specific dimensions of diversity and effects on decision-making processes and outcomes.<sup>4</sup> In our experience, greater diversity in the board room contributes to more robust discussions and more innovative and resilient decisions. Over time, greater diversity in the board room can also promote greater diversity and resilience in the leadership team, and the workforce more broadly. That diversity can enable companies to develop businesses that more closely reflect and resonate with the customers and communities they serve.

------

<sup>4</sup> For a discussion on the different impacts of diversity see: <u>McKinsey</u>, "Diversity Wins: How Inclusion Matters", May 2022; <u>Harvard</u> <u>Business</u><u> </u><u>Review</u>, Diverse Teams Feel Less Comfortable – and That's Why They Perform Better, September 2016; "<u>Do</u><u> </u><u>Diverse</u><u> </u><u>Directors</u> Influence DEI Outcomes", September 2022

<u>McKinsey</u>, "Diversity Wins: How Inclusion Matters", May 2022; <u>Harvard</u><u> </u><u>Business</u><u> </u><u>Review</u>, Diverse Teams Feel Less Comfortable – and That's Why They Perform Better, September 2016; "<u>Do</u><u> </u><u>Diverse</u><u> </u><u>Directors</u><u> </u><u>Influence</u><u> </u><u>DEI</u><u> </u><u>Outcomes</u>", September 2022

---

| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **8** |

---

------

There are matters for which the board has responsibility that may involve a conflict of interest for executives or for affiliated directors. It is our view that objective oversight of such matters is best achieved when the board forms committees comprised entirely of independent directors. In many markets, these committees of the board specialize in audit, director nominations, and compensation matters. An ad hoc committee might also be formed to decide on a special transaction, particularly one involving a related party, or to investigate a significant adverse event.

**Sufficient capacity** 

As the role and expectations of a director are increasingly demanding, directors must be able to commit an appropriate amount of time to board and committee matters. It is important that directors have the capacity to meet all of their responsibilities - including when there are unforeseen events – and therefore, they should not take on an excessive number of roles that would impair their ability to fulfill their duties.

**Auditors and audit-related issues** 

BlackRock recognizes the critical importance of financial statements, which should provide a true and fair picture of a company's financial condition. Accordingly, the assumptions made by management and reviewed by the auditor in preparing the financial statements should be reasonable and justified.

The accuracy of financial statements, inclusive of financial and non-financial information as required or permitted under market-specific accounting rules, is of paramount importance to BlackRock. Investors increasingly recognize that a broader range of risks and opportunities have the potential to materially impact financial performance. Over time, we anticipate investors and other users of company reporting will increasingly seek to understand and scrutinize the assumptions underlying financial statements, particularly those that pertain to the impact of the transition to a low carbon economy on a company's business model and asset mix. We recognize that this is an area of evolving practice and we look to international standards setters, the International Accounting Standards Board (IASB) and the International Auditing and Assurance Standards Board (IAASB) to provide additional guidance to companies.

In this context, audit committees, or equivalent, play a vital role in a company's financial reporting system by providing independent oversight of the accounts, material financial and, where appropriate to the jurisdiction, non-financial information, internal control frameworks, and in the absence of a dedicated risk committee, Enterprise Risk Management systems. In our view, effective audit committee oversight strengthens the quality and reliability of a company's financial statements and provides an important level of reassurance to shareholders.

We hold members of the audit committee or equivalent responsible for overseeing the management of the audit function. Audit committees or equivalent should have clearly articulated charters that set out their responsibilities and have a rotation plan in place that allows for a periodic refreshment of the committee membership to introduce fresh perspectives to audit oversight. We recognize that audit committees will rely on management, internal audit and the independent auditor in fulfilling their responsibilities but look to committee members to demonstrate they have relevant expertise to monitor and oversee those functions.

---

| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **9** |

---

------

We take particular note of unexplained changes in reporting methodology, cases involving significant financial restatements, or ad hoc notifications of material financial weakness. In this respect, audit committees should provide timely disclosure on the remediation of Key and Critical Audit Matters identified either by the external auditor or internal audit function.

The integrity of financial statements depends on the auditor being free of any impediments to being an effective check on management. To that end, it is important that auditors are, and are seen to be, independent. Where an audit firm provides services to the company in addition to the audit, the fees earned should be disclosed and explained. Audit committees should have in place a procedure for assessing annually the independence of the auditor and the quality of the external audit process.

Comprehensive disclosure provides investors with a sense of the company's long-term operational risk management practices and, more broadly, the quality of the board's oversight. The audit committee or equivalent, or a dedicated risk committee, should periodically review the company's risk assessment and risk management policies and the significant risks and exposures identified by management, the internal auditors or the independent accountants, and management's steps to address them. In the absence of robust disclosures, we may reasonably conclude that companies are not adequately managing risk.

**Capital structure, mergers, asset sales, and other special transactions** 

The capital structure of a company is critical to shareholders as it impacts the value of their investment and the priority of their interest in the company relative to that of other equity or debt investors. Pre-emptive rights are a key protection for shareholders against the dilution of their interests.

Effective voting rights are basic rights of share ownership. It is our view that one vote for one share as a guiding principle supports effective corporate governance. Shareholders, as the residual claimants, have the strongest interest in protecting company value, and voting rights should match economic exposure.

In principle, we disagree with the creation of a share class with equivalent economic exposure and preferential, differentiated voting rights. In our view, this structure violates the fundamental corporate governance principle of proportionality and results in a concentration of power in the hands of a few shareholders, thus disenfranchising other shareholders and amplifying any potential conflicts of interest. However, we recognize that in certain markets, at least for a period of time, companies may have a valid argument for listing dual classes of shares with differentiated voting rights. In our view, such companies should review these share class structures on a regular basis or as company circumstances change. Additionally, they should seek shareholder approval of their capital structure on a periodic basis via a management proposal at the company's shareholder meeting. The proposal should give unaffiliated shareholders the opportunity to affirm the current structure or establish mechanisms to end or phase out controlling structures at the appropriate time, while minimizing costs to shareholders.

In assessing mergers, asset sales, or other special transactions, BlackRock's primary consideration is the long-term economic interests of our clients as shareholders. Boards proposing a transaction need to clearly explain the economic and strategic rationale behind it. We will review a proposed transaction to determine the degree to which it can enhance long-term shareholder value. We would prefer that proposed transactions have the unanimous support of the board and have been negotiated at arm's length. We may seek reassurance from the board that executives' and/or board members' financial interests in a given transaction have not adversely affected their ability to place shareholders' interests before their own. Where the transaction involves related parties, the recommendation to support should come from the independent directors, a best practice in most markets, and ideally, the terms should have been assessed through an independent appraisal process. In addition, it is good practice that it be approved by a separate vote of the non-conflicted parties.

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| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **10** |

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As a matter of sound governance practice, shareholders should have a right to dispose of company shares in the open market without unnecessary restriction. In our view, corporate mechanisms designed to limit shareholders' ability to sell their shares are contrary to basic property rights. Such mechanisms can serve to protect and entrench interests other than those of the shareholders. In our experience, shareholders are broadly capable of making decisions in their own best interests. We encourage any so-called "shareholder rights plans" proposed by a board to be subject to shareholder approval upon introduction and periodically thereafter.

**Compensation and benefits** 

In most markets, one of the most important roles for a company's board of directors is to put in place a compensation structure that incentivizes and rewards executives appropriately. There should be a clear link between variable pay and operational and financial performance. Performance metrics should be stretching and aligned with a company's strategy and business model. BIS does not have a position on the use of sustainability-related criteria, but in our view, where companies choose to include them, they should be as rigorous as other financial or operational targets. Long-term incentive plans should vest over timeframes aligned with the delivery of long-term shareholder value. Compensation committees should guard against contractual arrangements that would entitle executives to material compensation for early termination of their employment. Finally, pension contributions and other deferred compensation arrangements should be reasonable in light of market practice.

We are not supportive of one-off or special bonuses unrelated to company or individual performance. Where discretion has been used by the compensation committee or its equivalent, we expect disclosure relating to how and why the discretion was used, and how the adjusted outcome is aligned with the interests of shareholders. We acknowledge that the use of peer group evaluation by compensation committees can help ensure competitive pay; however, we are concerned when the rationale for increases in total compensation at a company is solely based on peer benchmarking rather than a rigorous measure of outperformance. We encourage companies to clearly explain how compensation outcomes have rewarded outperformance against peer firms.

We believe consideration should be given to building claw back provisions into incentive plans such that executives would be required to forgo rewards when they are not justified by actual performance and/or when compensation was based on faulty financial reporting or deceptive business practices. We also favor recoupment from any senior executive whose behavior caused material financial harm to shareholders, material reputational risk to the company, or resulted in a criminal investigation, even if such actions did not ultimately result in a material restatement of past results.

Non-executive directors should be compensated in a manner that is commensurate with the time and effort expended in fulfilling their professional responsibilities. Additionally, these compensation arrangements should not risk compromising directors' independence or aligning their interests too closely with those of the management, whom they are charged with overseeing.

We use third party research, in addition to our own analysis, to evaluate existing and proposed compensation structures. We may vote against members of the compensation committee or equivalent board members for poor compensation practices or structures.

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| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **11** |

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**Material sustainability-related risks and opportunities** 

It is our view that well-managed companies will effectively evaluate and manage material sustainability-related risks and opportunities relevant to their businesses. Appropriate oversight of sustainability considerations is a core component of having an effective governance framework, which supports durable, long-term value creation.

Robust disclosure is essential for investors to effectively evaluate companies' strategy and business practices related to material sustainability-related risks and opportunities. Given the increased understanding of material sustainability-related risks and opportunities and the need for better information to assess them, BlackRock advocates for continued improvement in companies' reporting, where necessary, and will express any concerns through our voting where a company's actions or disclosures are inadequate.

BlackRock encourages companies to use the framework developed by the Task Force on Climate-related Financial Disclosures (TCFD) to disclose their approach to ensuring they have a sustainable business model and to supplement that disclosure with industry-specific metrics such as those identified by the Sustainability Accounting Standards Board (SASB), now part of the International Sustainability Standards Board (ISSB) under the International Financial Reporting Standards (IFRS) Foundation.<sup>5</sup> While the TCFD framework was developed to support climate-related risk disclosure, the four pillars of the TCFD – governance, strategy, risk management, and metrics and targets – are a useful way for companies to disclose how they identify, assess, manage, and oversee a variety of sustainability-related risks and opportunities. SASB's industry-specific guidance (as identified in its materiality map) is beneficial in helping companies identify key performance indicators (KPIs) across various dimensions of sustainability that are considered to be financially material and decision-useful within their industry. In particular, we encourage companies to consider reporting on nature-related factors, given the growing materiality of these issues for many businesses.<sup>6</sup> We recognize that some companies may report using different standards, which may be required by regulation, or one of a number of voluntary standards. In such cases, we ask that companies highlight the metrics that are industry- or company-specific.

Climate and other sustainability-related disclosures often require companies to collect and aggregate data from various internal and external sources. We recognize that the practical realities of data-collection and reporting may not line up with financial reporting cycles and companies may require additional time after their fiscal year-end to accurately collect, analyze and report this data to investors. To give investors time to assess the data, we encourage companies to produce climate and other sustainability-related disclosures sufficiently in advance of their annual meeting.

Companies may also adopt or refer to guidance on sustainable and responsible business conduct issued by supranational organizations such as the United Nations or the Organization for Economic Cooperation and Development. Further, industry initiatives on managing specific operational risks may provide useful guidance to companies on best practices and disclosures. Companies should disclose any relevant global climate and other sustainability-related standards adopted, the industry initiatives in which they participate, any peer group benchmarking undertaken, and any assurance processes to help investors understand their approach to sustainable and responsible business practices.

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<sup>5</sup> The <u>International Financial Reporting Standards (IFRS) Foundation</u> announced in November 2021 the formation of an International <u>Sustainability</u><u> </u><u>Standards</u> <u>Board</u><u> </u><u>(ISSB)</u> to develop a comprehensive global baseline of high-quality sustainability disclosure standards to meet investors' information needs. SASB standards will over time be adapted to ISSB standards but are the reference reporting tool in the meantime.

<sup>6</sup> While guidance is still under development for a unified disclosure framework related to natural capital, the emerging recommendations of the Taskforce on Nature-related Financial Disclosures (TNFD), may prove useful to some companies.

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| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **12** |

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**Climate risk** 

It is our view that climate change has become a key factor in many companies' long-term prospects. As such, as long-term investors we are interested in understanding how companies may be impacted by material climate-related risks and opportunities - just as we seek to understand other business-relevant risks and opportunities - and how these factors are considered within strategy in a manner consistent with the company's business model and sector. Specifically, we look for companies to disclose strategies they have in place that mitigate and are resilient to any material risks to their long-term business model associated with a range of climate-related scenarios, including a scenario in which global warming is limited to well below 2°C, considering global ambitions to achieve a limit of 1.5°C*.*<sup>7</sup> It is, of course, up to each company to define their own strategy: that is not the role of BlackRock or other investors.

BIS recognizes that climate change can be challenging for many companies, as they seek to drive long-term value by mitigating risks and capturing opportunities. A growing number of companies, financial institutions, as well as governments, have committed to advancing decarbonization in line with the Paris Agreement. There is growing consensus that companies can benefit from the more favorable macro-economic environment under an orderly, timely and equitable global energy transition.<sup>8</sup> Yet the path ahead is deeply uncertain and uneven, with different parts of the economy moving at different speeds.<sup>9</sup> Many companies are asking what their role should be in contributing to an orderly and equitable transition – in ensuring a reliable energy supply and energy security, and in protecting the most vulnerable from energy price shocks and economic dislocation. In this context, we encourage companies to include in their disclosure a business plan for how they intend to deliver long-term financial performance through a transition to global net zero carbon emissions, consistent with their business model and sector.

We look to companies to disclose short-, medium- and long-term targets, ideally science-based targets where these are available for their sector, for Scope 1 and 2 greenhouse gas emissions (GHG) reductions and to demonstrate how their targets are consistent with the long-term economic interests of their shareholders. Many companies have an opportunity to use and contribute to the development of low carbon energy sources and technologies that will be essential to decarbonizing the global economy over time. We also recognize that continued investment in traditional energy sources, including oil and gas, is required to maintain an orderly and equitable transition — and that divestiture of carbon-intensive assets is unlikely to contribute to global emissions reductions. We encourage companies to disclose how their capital allocation to various energy sources is consistent with their strategy.

At this stage, we view Scope 3 emissions differently from Scopes 1 and 2, given methodological complexity, regulatory uncertainty, concerns about double-counting, and lack of direct control by companies. While we welcome any disclosures and commitments companies choose to make regarding Scope 3 emissions, we recognize these are provided on a good-faith basis as methodology develops. Our publicly available <u>commentary</u> provides more information on our approach to climate risk.

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<sup>7</sup> The global aspiration to achieve a net-zero global economy by 2050 is reflective of aggregated efforts; governments representing over <u>90%</u> of GDP have committed to move to net-zero over the coming decades. In determining how to vote on behalf of clients who have authorized us to do so, we look to companies only to address issues within their control and do not anticipate that they will address matters that are the domain of public policy.

<sup>8</sup> For example, BlackRock's <u>Capital</u><u> </u><u>Markets</u><u> </u><u>Assumptions</u> anticipate 25 points of cumulative economic gains over a 20-year period in an orderly transition as compared to the alternative. This better macro environment will support better economic growth, financial stability, job growth, productivity, as well as ecosystem stability and health outcomes.

<sup>9</sup> BlackRock, "<u>Managing</u><u> </u><u>the</u><u> </u><u>net-zero</u><u> </u><u>transition</u>", February 2022.

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| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **13** |

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**Key stakeholder interests** 

In order to advance long-term shareholders' interests, companies should consider the interests of the various parties on whom they depend for their success over time. It is for each company to determine their key stakeholders based on what is material to their business and long-term financial performance. Most commonly, key stakeholders include employees, business partners (such as suppliers and distributors), clients and consumers, regulators, and the communities in which they operate.

Considering the interests of key stakeholders recognizes the collective nature of long-term value creation and the extent to which each company's prospects for growth are tied to its ability to foster strong sustainable relationships with and support from those stakeholders. Companies should articulate how they address adverse impacts that could arise from their business practices and affect critical business relationships with their stakeholders. We encourage companies to implement, to the extent appropriate, monitoring processes (often referred to as due diligence) to identify and mitigate potential adverse impacts and grievance mechanisms to remediate any actual adverse material impacts. In our view, maintaining trust within these relationships can contribute to a company's long-term success.

As a long-term shareholder on behalf of our clients, we find it helpful when companies disclose how they have identified their key stakeholders and considered their interests in business decision-making. We are also interested to understand the role of the board, which is well positioned to ensure that the approach taken is informed by and aligns with the company's strategy and purpose.

**Other corporate governance matters and shareholder protections** 

It is our view that shareholders have a right to material and timely information on the financial performance and viability of the companies in which they invest. In addition, companies should publish information on the governance structures in place and the rights of shareholders to influence these structures. The reporting and disclosure provided by companies help shareholders assess whether their economic interests have been protected and the quality of the board's oversight of management. We believe shareholders should have the right to vote on key corporate governance matters, including changes to governance mechanisms, to submit proposals to the shareholders' meeting, and to call special meetings of shareholders.

**Corporate Form** 

In our view, it is the responsibility of the board to determine the corporate form that is most appropriate given the company's purpose and business model.<sup>10</sup> Companies proposing to change their corporate form to a public benefit corporation or similar entity should put it to a shareholder vote if not already required to do so under applicable law. Supporting documentation from companies or shareholder proponents proposing to alter the corporate form should clearly articulate how the interests of shareholders and different stakeholders would be impacted as well as the accountability and voting mechanisms that would be available to shareholders. As a fiduciary on behalf of clients, we generally support management proposals if our analysis indicates that shareholders' interests are adequately protected. Relevant shareholder proposals are evaluated on a case-by-case basis.

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<sup>10</sup> Corporate form refers to the legal structure by which a business is organized.

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| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **14** |

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**Shareholder proposals** 

In most markets in which BlackRock invests on behalf of clients, shareholders have the right to submit proposals to be voted on by shareholders at a company's annual or extraordinary meeting, as long as eligibility and procedural requirements are met. The matters that we see put forward by shareholders address a wide range of topics, including governance reforms, capital management, and improvements in the management or disclosure of sustainability-related risks.

BlackRock is subject to certain requirements under antitrust law in the United States that place restrictions and limitations on how BlackRock can interact with the companies in which we invest on behalf of our clients, including our ability to submit shareholder proposals. As noted above, we can vote, on behalf of clients who authorize us to do so, on proposals put forth by others.

When assessing shareholder proposals, we evaluate each proposal on its merit, with a singular focus on its implications for long-term value creation. We consider the business and economic relevance of the issue raised, as well as its materiality and the urgency with which we believe it should be addressed. We take into consideration the legal effect of the proposal, as shareholder proposals may be advisory or legally binding depending on the jurisdiction. We would not support proposals that we believe would result in over-reaching into the basic business decisions of the company.

Where a proposal is focused on a material governance or sustainability-related risk that we agree needs to be addressed and the intended outcome is consistent with long-term value creation, we will look to the board and management to demonstrate that the company has met the intent of the request made in the shareholder proposal. Where our analysis and/or engagement indicate an opportunity for improvement in the company's approach to the issue, we may support shareholder proposals that are reasonable and not unduly prescriptive or constraining on management. Alternatively, or in addition, we may vote against the re-election of one or more directors if, in our assessment, the board has not responded sufficiently or with an appropriate sense of urgency. While we may not agree with all aspects of a shareholder proponent's views or all facets of the proponent's supporting statement, we may still support proposals that address material governance or sustainability-related risks where we believe it would be helpful for shareholders to have more detailed information on how those risks are identified, monitored, and managed to support a company's ability to deliver long-term financial returns. We may also support a proposal if management is on track, but we believe that voting in favor might accelerate progress.

**BlackRock's oversight of its investment stewardship activities** 

**Oversight** 

BlackRock maintains three regional advisory committees (Stewardship Advisory Committees) for a) the Americas; b) Europe, the Middle East and Africa (EMEA); and c) Asia-Pacific, generally consisting of senior BlackRock investment professionals and/or senior employees with practical boardroom experience. The regional Stewardship Advisory Committees review and advise on amendments to BIS proxy voting guidelines covering markets within each respective region (Guidelines). The advisory committees do not determine voting decisions, which are the responsibility of BIS.

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| | |
|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **15** |

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In addition to the regional Stewardship Advisory Committees, the Investment Stewardship Global Oversight Committee (Global Committee) is a risk-focused committee, comprised of senior representatives from various BlackRock investment teams, a senior legal representative, the Global Head of Investment Stewardship (Global Head), and other senior executives with relevant experience and team oversight. The Global Oversight Committee does not determine voting decisions, which are the responsibility of BIS.

The Global Head has primary oversight of the activities of BIS, including voting in accordance with the Guidelines, which require the application of professional judgment and consideration of each company's unique circumstances. The Global Committee reviews and approves amendments to these Principles. The Global Committee also reviews and approves amendments to the regional Guidelines, as proposed by the regional Stewardship Advisory Committees.

In addition, the Global Committee receives and reviews periodic reports regarding the votes cast by BIS, as well as updates on material process issues, procedural changes, and other risk oversight considerations. The Global Committee reviews these reports in an oversight capacity as informed by the BIS corporate governance engagement program and the Guidelines.

BIS carries out engagement with companies, monitors and executes proxy votes, and conducts vote operations (including maintaining records of votes cast) in a manner consistent with the relevant Guidelines. BIS also conducts research on corporate governance issues and participates in industry discussions to contribute to and keep abreast of important developments in the corporate governance field. BIS may utilize third parties for certain of the foregoing activities and performs oversight of those third parties. BIS may raise complicated or particularly controversial matters for internal discussion with the relevant investment teams and governance specialists for discussion and guidance prior to making a voting decision.

**Vote execution** 

BlackRock votes on proxy issues when our clients authorize us to do so. We offer certain clients who prefer their holdings to be voted consistent with specific values or views Voting Choice.<sup>11</sup> When BlackRock votes on behalf of our clients, we carefully consider proxies submitted to funds and other fiduciary account(s) (Fund or Funds) for which we have voting authority. BlackRock votes (or refrains from voting) proxies for each Fund for which we have voting authority based on our evaluation of the best long-term economic interests of our clients as shareholders, in the exercise of our independent business judgment, and without regard to the relationship of the issuer of the proxy (or any shareholder proponent or dissident shareholder) to the Fund, the Fund's affiliates (if any), BlackRock or BlackRock's affiliates, or BlackRock employees (see "Conflicts management policies and procedures", below).

When exercising voting rights, BlackRock will normally vote on specific proxy issues in accordance with the Guidelines for the relevant market. The Guidelines are reviewed annually and are amended consistent with changes in the local market practice, as developments in corporate governance occur, or as otherwise deemed advisable by the applicable Stewardship Advisory Committees. BIS analysts may, in the exercise of their professional judgment, conclude that the Guidelines do not cover the specific matter upon which a proxy vote is required or that an exception to the Guidelines would be in the best long-term economic interests of BlackRock's clients.

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<sup>11</sup> To learn more visit <u>https://www.blackrock.com/corporate/about-us/investment-stewardship/blackrock-voting-choice</u>

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|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **16** |

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In the uncommon circumstance of there being a vote with respect to fixed income securities or the securities of privately held issuers, the decision generally will be made by a Fund's portfolio managers and/or BIS based on their assessment of the particular transactions or other matters at issue.

In certain markets, proxy voting involves logistical issues which can affect BlackRock's ability to vote such proxies, as well as the desirability of voting such proxies. These issues include, but are not limited to: i) untimely notice of shareholder meetings; ii) restrictions on a foreigner's ability to exercise votes; iii) requirements to vote proxies in person; iv) "share-blocking" (requirements that investors who exercise their voting rights surrender the right to dispose of their holdings for some specified period in proximity to the shareholder meeting); v) potential difficulties in translating the proxy; vi) regulatory constraints; and vii) requirements to provide local agents with unrestricted powers of attorney to facilitate voting instructions. We are not supportive of impediments to the exercise of voting rights such as share-blocking or overly burdensome administrative requirements.

As a consequence, BlackRock votes proxies in these situations on a "best-efforts" basis. In addition, BIS may determine that it is generally in the best interests of BlackRock's clients not to vote proxies (or not to vote our full allocation) if the costs (including but not limited to opportunity costs associated with share-blocking constraints) associated with exercising a vote are expected to outweigh the benefit the client would derive by voting on the proposal.

Portfolio managers have full discretion to vote the shares in the Funds they manage based on their analysis of the economic impact of a particular ballot item on their investors. Portfolio managers may, from time to time, reach differing views on how best to maximize economic value with respect to a particular investment. Therefore, portfolio managers may, and sometimes do, vote shares in the Funds under their management differently from BIS or from one another. However, because BlackRock's clients are mostly long-term investors with long-term economic goals, ballots are frequently cast in a uniform manner.

**Conflicts management policies and procedures** 

BIS maintains policies and procedures that seek to prevent undue influence on BlackRock's proxy voting activity. Such influence might stem from any relationship between the investee company (or any shareholder proponent or dissident shareholder) and BlackRock, BlackRock's affiliates, a Fund or a Fund's affiliates, or BlackRock employees. The following are examples of sources of perceived or potential conflicts of interest:

• BlackRock clients who may be issuers of securities or proponents of shareholder resolutions

• BlackRock business partners or third parties who may be issuers of securities or proponents of shareholder resolutions

• BlackRock employees who may sit on the boards of public companies held in Funds managed by BlackRock

• Significant BlackRock, Inc. investors who may be issuers of securities held in Funds managed by BlackRock

• Securities of BlackRock, Inc. or BlackRock investment funds held in Funds managed by BlackRock

• BlackRock, Inc. board members who serve as senior executives or directors of public companies held in Funds managed by
BlackRock

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|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **17** |

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BlackRock has taken certain steps to mitigate perceived or potential conflicts including, but not limited to, the following:

• Adopted the Guidelines which are designed to advance our clients' interests in the companies in which BlackRock
invests on their behalf

• Established a reporting structure that separates BIS from employees with sales, vendor management, or business partnership
roles. In addition, BlackRock seeks to ensure that all engagements with corporate issuers, dissident shareholders or shareholder proponents are managed consistently and without regard to BlackRock's relationship with such parties. Clients or
business partners are not given special treatment or differentiated access to BIS. BIS prioritizes engagements based on factors including, but not limited to, our need for additional information to make a voting decision or our view on the
likelihood that an engagement could lead to positive outcome(s) over time for the economic value of the company. Within the normal course of business, BIS may engage directly with BlackRock clients, business partners and/or third parties, and/or
with employees with sales, vendor management, or business partnership roles, in discussions regarding our approach to stewardship, general corporate governance matters, client reporting needs, and/or to otherwise ensure that proxy-related client
service levels are met

• Determined to engage, in certain instances, an independent third party voting service provider to make proxy voting
recommendations as a further safeguard to avoid potential conflicts of interest, to satisfy regulatory compliance requirements, or as may be otherwise required by applicable law. In such circumstances, the voting service provider provides BlackRock
with recommendations, in accordance with the Guidelines, as to how to vote such proxies. BlackRock uses an independent voting service provider to make proxy voting recommendations for shares of BlackRock, Inc. and companies affiliated with
BlackRock, Inc. BlackRock may also use an independent voting service provider to make proxy voting recommendations for:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o public companies that include BlackRock employees on their boards of directors

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o public companies of which a BlackRock, Inc. board member serves as a senior executive or a member of the board of
directors

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o public companies that are the subject of certain transactions involving BlackRock Funds

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o public companies that are joint venture partners with BlackRock, and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o public companies when legal or regulatory requirements compel BlackRock to use an independent voting service provider

In selecting a voting service provider, we assess several characteristics, including but not limited to: independence, an ability to analyze proxy issues and make recommendations in the best economic interest of our clients in accordance with the Guidelines, reputation for reliability and integrity, and operational capacity to accurately deliver the assigned recommendations in a timely manner. We may engage more than one voting service provider, in part to mitigate potential or perceived conflicts of interest at a single voting service provider. The Global Committee appoints and reviews the performance of the voting service providers, generally on an annual basis.

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|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **18** |

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**Securities lending** 

When so authorized, BlackRock acts as a securities lending agent on behalf of Funds. Securities lending is a well-regulated practice that contributes to capital market efficiency. It also enables funds to generate additional returns for a fund, while allowing fund providers to keep fund expenses lower.

With regard to the relationship between securities lending and proxy voting, BlackRock's approach is informed by our fiduciary responsibility to act in our clients' best interests. In most cases, BlackRock anticipates that the potential long-term value to the Fund of voting shares would be less than the potential revenue the loan may provide the Fund. However, in certain instances, BlackRock may determine, in its independent business judgment as a fiduciary, that the value of voting outweighs the securities lending revenue loss to clients and would therefore recall shares to be voted in those instances.

The decision to recall securities on loan as part of BlackRock's securities lending program in order to vote is based on an evaluation of various factors that include, but are not limited to, assessing potential securities lending revenue alongside the potential long-term value to clients of voting those securities (based on the information available at the time of recall consideration).<sup>12</sup> BIS works with colleagues in the Securities Lending and Risk and Quantitative Analysis teams to evaluate the costs and benefits to clients of recalling shares on loan.

Periodically, BlackRock reviews our process for determining whether to recall securities on loan in order to vote and may modify it as necessary.

**Voting guidelines** 

The issue-specific Guidelines published for each region/country in which we vote are intended to summarize BlackRock's general philosophy and approach to issues that may commonly arise in the proxy voting context in each market where we invest. The Guidelines are not intended to be exhaustive. BIS applies the Guidelines on a case-by-case basis, in the context of the individual circumstances of each company and the specific issue under review. As such, the Guidelines do not indicate how BIS will vote in every instance. Rather, they reflect our view about corporate governance issues generally, and provide insight into how we typically approach issues that commonly arise on corporate ballots.

**Reporting and vote transparency** 

We are committed to transparency in the stewardship work we do on behalf of clients. We inform clients about our engagement and voting policies and activities through direct communication and through disclosure on our <u>website</u>. Each year we publish an annual report that provides a global overview of our investment stewardship engagement and voting activities and a voting spotlight that summarizes our voting over a proxy year.<sup>13</sup> Additionally, we make public our market-specific voting guidelines for the benefit of clients and companies with whom we engage. We also publish commentaries to share our perspective on market developments and emerging key themes.

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<sup>12</sup> Recalling securities on loan can be impacted by the timing of record dates. In the United States, for example, the record date of a shareholder meeting typically falls before the proxy statements are released. Accordingly, it is not practicable to evaluate a proxy statement, determine that a vote has a material impact on a fund and recall any shares on loan in advance of the record date for the annual meeting. As a result, managers must weigh independent business judgement as a fiduciary, the benefit to a fund's shareholders of recalling loaned shares in advance of an estimated record date without knowing whether there will be a vote on matters which have a material impact on the fund (thereby forgoing potential securities lending revenue for the fund's shareholders) or leaving shares on loan to potentially earn revenue for the fund (thereby forgoing the opportunity to vote).

<sup>13</sup> The proxy year runs from July 1 to June 30 of the proceeding calendar year.

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|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **19** |

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At a more granular level, we publish quarterly our vote record for each company that held a shareholder meeting during the period, showing how we voted on each proposal and explaining any votes against management proposals or on shareholder proposals. For shareholder meetings where a vote might be high profile or of significant interest to clients, we may publish a vote bulletin after the meeting, disclosing and explaining our vote on key proposals. We also publish a quarterly list of all companies with which we engaged and the key topics addressed in the engagement meeting.

In this way, we help inform our clients about the work we do on their behalf in promoting the governance and business models that support durable, long-term value creation.

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|:---|:---|
| **BlackRock Investment Stewardship** | Global Principles \| **20** |

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**Want to know more?** 

<u>blackrock.com/stewardship</u> \| <u>contactstewardship@blackrock.com</u>

This document is provided for information and educational purposes only. Investing involves risk, including the loss of principal.

Prepared by BlackRock, Inc.

<sup>©</sup>2023 BlackRock, Inc. All rights reserved. **BLACKROCK** is a trademark of BlackRock, Inc., or its subsidiaries in the United States and elsewhere. All other trademarks are those of their respective owners.

![LOGO](g412750g0228085941376.jpg)

## Ex-99.Uscorpgov

![LOGO](g412750g00s02.jpg)

Public BlackRock Investment Stewardship Proxy voting guidelines for U.S. securities January 2023 BlackRock®

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## Contents

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| | |
|:---|:---|
|  **[Introduction](#uscorp412750_1)** | **3** |
|  **[Voting guidelines](#uscorp412750_2)** | **3** |
|  **[Boards and directors](#uscorp412750_3)** | **3** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Board structure](#uscorp412750_4) | **5** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Board composition and effectiveness](#uscorp412750_5) | **7** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; [Board responsiveness and shareholder rights](#uscorp412750_6) | **9** |
|  **[Auditors and audit-related issues](#uscorp412750_7)** | **11** |
|  **[Capital structure proposals](#uscorp412750_8)** | **11** |
|  **[Mergers, acquisitions, transactions, and other special situations](#uscorp412750_9)** | **12** |
|  **[Executive compensation](#uscorp412750_10)** | **14** |
|  **[Material sustainability-related risks and opportunities](#uscorp412750_11)** | **17** |
|  **[General corporate governance matters](#uscorp412750_12)** | **21** |
|  **[Shareholder protections](#uscorp412750_13)** | **23** |

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| **BlackRock Investment Stewardship** | Proxy voting guidelines for U.S. securities \| **2** |

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**These guidelines should be read in conjunction with the BlackRock Investment Stewardship <u>Global</u> <u>Principles</u>.** 

**Introduction** 

As stewards of our clients' investments, BlackRock believes it has a responsibility to engage with management teams and/or board members on material business issues and, for those clients who have given us authority, to vote proxies in the best long-term economic interests of their assets.

The following issue-specific proxy voting guidelines (the "Guidelines") summarize BlackRock Investment Stewardship's ("BIS") philosophy and approach to engagement and voting, as well as our view of governance best practices and the roles and responsibilities of boards and directors for publicly listed U.S. companies. These Guidelines are not intended to limit the analysis of individual issues at specific companies or provide a guide to how BIS will engage and/or vote in every instance. They are to be applied with discretion, taking into consideration the range of issues and facts specific to the company, as well as individual ballot items at shareholder meetings.

**Voting guidelines** 

These guidelines are divided into eight key themes, which group together the issues that frequently appear on the agenda of shareholder meetings:

• Boards and directors

• Auditors and audit-related issues

• Capital structure

• Mergers, acquisitions, asset sales, and other special transactions

• Executive compensation

• Material sustainability-related risks and opportunities

• General corporate governance matters

• Shareholder protections

**Boards and directors** 

An effective and well-functioning board is critical to the economic success of the company and the protection of shareholders' interests, inducting the establishment of appropriate governance structures that facilitate oversight of management and the company's strategic initiatives. As part of their responsibilities, board members owe fiduciary duties to shareholders in overseeing the strategic direction, operations, and risk management of the company. For this reason, BIS sees engagement with and the election of directors as one of our most critical responsibilities.

Disclosure of material issues that affect the company's long-term strategy and value creation, including, when relevant, material sustainability-related factors, is essential for shareholders to appropriately understand and assess how effectively the board is identifying, managing, and mitigating risks.

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Where a company has not adequately demonstrated, through actions and/or disclosures, how material issues are appropriately identified, managed, and overseen, we will consider voting against the re-election of those directors responsible for the oversight of such issues, as indicated below.

**Independence** 

It is our view that a majority of the directors on the board should be independent to ensure objectivity in the decision-making of the board and its ability to oversee management. In addition, all members of audit, compensation, and nominating/governance committees should be independent. Our view of independence may vary from listing standards.

Common impediments to independence may include:

• Employment as a senior executive by the company or a subsidiary within the past five years

• An equity ownership in the company in excess of 20%

• Having any other interest, business, or relationship (professional or personal) which could, or could reasonably be perceived to, materially interfere with the director's ability to act in the best interests of the
company and its shareholders

We may vote against directors who we do not consider to be independent, including at controlled companies, when we believe oversight could be enhanced with greater independent director representation. To signal our concerns, we may also vote against the chair of the nominating/governance committee, or where no chair exists, the nominating/governance committee member with the longest tenure.

**Oversight role of the board** 

The board should exercise appropriate oversight of management and the business activities of the company. Where we determine that a board has failed to do so in a way that may impede a company's long-term value, we may vote against the responsible committees and/or individual directors.

Common circumstances are illustrated below:

• Where the board has failed to facilitate quality, independent auditing or accounting practices, we may vote against members of the audit committee

• Where the company has failed to provide shareholders with adequate disclosure to conclude that appropriate strategic consideration is given to material risk factors (including, where relevant, sustainability factors),
we may vote against members of the responsible committee, or the most relevant director

• Where it appears that a director has acted (at the company or at other companies) in a manner that compromises their ability to represent the best long-term economic interests of shareholders, we may vote against that
individual

• Where a director has a multi-year pattern of poor attendance at combined board and applicable committee meetings, or a director has poor attendance in a single year with no disclosed rationale, we may vote against that
individual. Excluding exigent circumstances, BIS generally considers attendance at less than 75% of the combined board and applicable committee meetings to be poor attendance

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

• Where a director serves on an excessive number of boards, which may limit their capacity to focus on each board's needs, we may vote against that individual. The following identifies the maximum number of boards on
which a director may serve, before BIS considers them to be over-committed:

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| | | | |
|:---|:---|:---|:---|
| | **Public Company Executive<sup>1</sup>** | **# Outside Public Boards<sup>2</sup>** | **Total # of Public Boards** |
|  &nbsp;&nbsp;&nbsp;&nbsp;Director A | ✓ | 1 | 2 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Director B |  | 3 | 4 |

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In addition, we recognize that board leadership roles may vary in responsibility and time requirements in different markets around the world. In particular, where a director maintains a Chair role of a publicly listed company in European markets, we may consider that responsibility as equal to two board commitments, consistent with our <u>EMEA</u><u> </u><u>Proxy</u> <u>Voting</u><u> </u><u>Guidelines</u>. We will take the total number of board commitments across our global policies into account for director elections.

**Risk oversight** 

Companies should have an established process for identifying, monitoring, and managing business and material risks. Independent directors should have access to relevant management information and outside advice, as appropriate, to ensure they can properly oversee risk. We encourage companies to provide transparency around risk management, mitigation, and reporting to the board. We are particularly interested in understanding how risk oversight processes evolve in response to changes in corporate strategy and/or shifts in the business and related risk environment. Comprehensive disclosures provide investors with a sense of the company's long-term risk management practices and, more broadly, the quality of the board's oversight. In the absence of robust disclosures, we may reasonably conclude that companies are not adequately managing risk.

**Board Structure** 

**Classified board of directors/staggered terms** 

Directors should be re-elected annually; classification of the board generally limits shareholders' rights to regularly evaluate a board's performance and select directors. While we will typically support proposals requesting board de-classification, we may make exceptions, should the board articulate an appropriate strategic rationale for a classified board structure. This may include when a company needs consistency and stability during a time of transition, e.g., newly public companies or companies undergoing a strategic restructuring. A classified board structure may also be justified at non-operating companies, e.g., closed-end funds or business development companies ("BDC"),<sup>3</sup> in certain circumstances. However, in these instances, boards should periodically review the rationale for a classified structure and consider when annual elections might be more appropriate.

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<sup>1</sup> A public company executive is defined as a Named Executive Officer (NEO) or Executive Chair.

<sup>2</sup> In addition to the company under review.

<sup>3</sup> A BDC is a special investment vehicle under the Investment Company Act of 1940 that is designed to facilitate capital formation for small and middle-market companies.

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Without a voting mechanism to immediately address concerns about a specific director, we may choose to vote against the directors up for election at the time (see "Shareholder rights" for additional detail).

**Independent leadership** 

There are two commonly accepted structures for independent leadership to balance the CEO role in the boardroom: 1) an independent Chair; or 2) a Lead Independent director when the roles of Chair and CEO are combined, or when the Chair is otherwise not independent.

In the absence of a significant governance concern, we defer to boards to designate the most appropriate leadership structure to ensure adequate balance and independence.<sup>4</sup> However, BIS may vote against the most senior non-executive member of the board when appropriate independence is lacking in designated leadership roles.

In the event that the board chooses to have a combined Chair/CEO or a non-independent Chair, we support the designation of a Lead Independent director, with the ability to: 1) provide formal input into board meeting agendas; 2) call meetings of the independent directors; and 3) preside at meetings of independent directors. These roles and responsibilities should be disclosed and easily accessible.

The following table illustrates examples<sup>5</sup> of responsibilities under each board leadership model:

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|:---|:---|:---|:---|
| | **Combined Chair/CEO or CEO + Non-independent Chair** | **Combined Chair/CEO or CEO + Non-independent Chair** | **Separate Independent Chair** |
| | **Chair/CEO or Non-**<br> **independent Chair** | **Lead Independent Director** | **Independent Chair** |
| **Board Meetings** | Authority to call full meetings of the board of directors | Attends full meetings of the board of directors | Authority to call full meetings of the board of directors |
| **Board Meetings** | | Authority to call meetings of independent directors | |
| **Board Meetings** | | Briefs CEO on issues arising from executive sessions | |
| **Agenda** | Primary responsibility for shaping board agendas, consulting with the lead independent director | Collaborates with chair/CEO to set board agenda and board information | Primary responsibility for shaping board agendas, in conjunction with CEO |

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<sup>4</sup> To this end, we do not view shareholder proposals asking for the separation of Chair and CEO to be a proxy for other concerns we may have at the company for which a vote against directors would be more appropriate. Rather, support for such a proposal might arise in the case of overarching and sustained governance concerns such as lack of independence or failure to oversee a material risk over consecutive years.

<sup>5</sup> This table is for illustrative purposes only. The roles and responsibilities cited here are not all-encompassing and are noted for reference as to how these leadership positions may be defined.

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|:---|:---|:---|:---|
| | **Combined Chair/CEO or CEO + Non-independent Chair** | **Combined Chair/CEO or CEO + Non-independent Chair** | **Separate Independent Chair**<br>|
| | <br> **Chair/CEO or Non-**<br> **independent Chair**<br>| **Lead Independent Director**<br>| **Independent Chair**<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;**Board**<br> &nbsp;&nbsp;&nbsp;&nbsp;**Communications** | Communicates with all directors on key issues and concerns outside of full board meetings | Facilitates discussion among independent directors on key issues and concerns outside of full board meetings, including contributing to the oversight of CEO and management succession planning | Facilitates discussion among independent directors on key issues and concerns outside of full board meetings, including contributing to the oversight of CEO and management succession planning<br>|

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**CEO and management succession planning** 

Companies should have a robust CEO and senior management succession plan in place at the board level that is reviewed and updated on a regular basis. Succession planning should cover scenarios over both the long-term, consistent with the strategic direction of the company and identified leadership needs over time, as well as the short-term, in the event of an unanticipated executive departure. We encourage the company to explain their executive succession planning process, including where accountability lies within the boardroom for this task, without prematurely divulging sensitive information commonly associated with this exercise.

During a CEO transition, companies may elect for the departing CEO to maintain a role in the boardroom. We ask for disclosures to understand the timeframe and responsibilities of this role. In such instances, we typically look for the board to have appropriate independent leadership structures in place. (See chart above.)

**Director compensation and equity programs** 

Compensation for directors should generally be structured to attract and retain directors, while also aligning their interests with those of shareholders. In our view, director compensation packages that are based on the company's long-term value creation and include some form of long-term equity compensation are more likely to meet this goal.

**Board composition and effectiveness** 

**Director qualifications and skills** 

We encourage boards to periodically review director qualifications and skills to ensure relevant experience and diverse perspectives are represented in the boardroom. To this end, performance reviews and skills assessments should be conducted by the nominating/governance committee or the Lead Independent Director. This process may include internal board evaluations; however, boards may also find it useful to periodically conduct an assessment with a third party. We encourage boards to disclose their approach to evaluations, including objectives of the evaluation; if an external party conducts the evaluation; the frequency of the evaluations; and, whether that evaluation occurs on an individual director basis.

**Board term limits and director tenure** 

Where boards find that age limits or term limits are the most efficient and objective mechanism for ensuring periodic board refreshment, we generally defer to the board's determination in setting such limits. BIS will also consider the average board tenure to evaluate processes for board renewal. We may oppose boards that appear to have an insufficient mix of short-, medium-, and long-tenured directors.

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**Board diversity** 

As noted above, highly qualified, engaged directors with professional characteristics relevant to a company's business enhance the ability of the board to add value and be the voice of shareholders in board discussions. In our view, a strong board provides a competitive advantage to a company, providing valuable oversight and contributing to the most important management decisions that support long-term financial performance.

It is in this context that we are interested in diversity in the boardroom. We see it as a means to promoting diversity of thought and avoiding 'group think' in the board's exercise of its responsibilities to advise and oversee management. It allows boards to have deeper discussions and make more resilient decisions. We ask boards to disclose how diversity is considered in board composition, including professional characteristics, such as a director's industry experience, specialist areas of expertise and geographic location; as well as demographic characteristics such as gender, race/ethnicity, and age.

We look to understand a board's diversity in the context of a company's domicile, market capitalization, business model, and strategy. Increasingly, we see leading boards adding members whose experience deepens the board's understanding of the company's customers, employees, and communities. Self- identified board demographic diversity can usefully be disclosed in aggregate, consistent with local law. We believe boards should aspire to meaningful diversity of membership, at least consistent with local regulatory requirements and best practices, while recognizing that building a strong, diverse board can take time.

This position is based on our view that diversity of perspective and thought—in the boardroom, in the management team and throughout the company—leads to better long-term economic outcomes for companies. Academic and other research reveals correlations between specific dimensions of diversity and effects on decision-making processes and outcomes.<sup>6</sup> In our experience, greater diversity in the boardroom contributes to more robust discussions and more innovative and resilient decisions. Over time, greater diversity in the boardroom can also promote greater diversity and resilience in the leadership team, and the workforce more broadly. That diversity can enable companies to develop businesses that more closely reflect and resonate with the customers and communities they serve.

In the U.S., we believe that boards should aspire to at least 30% diversity of membership,<sup>7</sup> and we encourage large companies, such as those in the S&P 500, to lead in achieving this standard. In our view, an informative indicator of diversity for such companies is having at least two women and a director who

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<sup>6</sup> For a discussion on the different impacts of diversity see: <u>McKinsey</u>, "Diversity Wins: How Inclusion Matters", May 2022; <u>Harvard</u> <u>Business</u> Review, Diverse Teams Feel Less Comfortable – and That's Why They Perform Better, September 2016; "<u>Do Diverse Directors Influence DEI Outcomes</u>", September 2022

<sup>7</sup> We take a case-by-case approach and consider the size of the board in our evaluation of overall composition and diversity. Business model, strategy, location, and company size may also impact our analysis of board diversity. We acknowledge that these factors may also play into the various elements of diversity that a board may attract. We look for disclosures from companies to help us understand their approach and do not prescribe any particular board composition.

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identifies as a member of an underrepresented group.<sup>8</sup> We recognize that it may take time and that companies with smaller market capitalizations and in certain sectors may face more challenges in pursuing diversity. Among these smaller companies, we look for the presence of diversity and take into consideration the progress that companies are making.

In order to help investors understand overall diversity, we look to boards to disclose:

• How diversity, including demographic factors and professional characteristics, is considered in board composition, given the company's long-term strategy and business model

• How directors' professional characteristics, which may include domain expertise such as finance or technology, and sector- or market-specific experience, are complementary and link to the company's long-term
strategy

• The process by which candidates for board positions are identified, including whether professional firms or other resources outside of incumbent directors' networks are engaged to identify and/or assess candidates,
and whether a diverse slate of nominees is considered for all available board nominations

To the extent that, based on our assessment of corporate disclosures, a company has not adequately explained their approach to diversity in their board composition, we may vote against members of the nominating/governance committee. Our publicly available <u>commentary</u> provides more information on our approach to board diversity.

**Board size** 

We typically defer to the board in setting the appropriate size and believe that directors are generally in the best position to assess the optimal board size to ensure effectiveness. However, we may vote against the appropriate committees and/or individual directors if, in our view, the board is ineffective in its oversight, either because it is too small to allow for the necessary range of skills and experience or too large to function efficiently.

**Board responsiveness and shareholder rights** 

**Shareholder rights** 

Where we determine that a board has not acted in the best interests of the company's shareholders, or takes action to unreasonably limit shareholder rights, we may vote against the appropriate committees and/or individual directors. Common circumstances are illustrated below:

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<sup>8</sup> Including, but not limited to, individuals who identify as Black or African American, Hispanic or Latinx, Asian, Native American or Alaska Native, or Native Hawaiian or Pacific Islander; individuals who identify as LGBTQ+; individuals who identify as underrepresented based on national, Indigenous, religious, or cultural identity; individuals with disabilities; and veterans.

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

• The Independent Chair or Lead Independent Director and members of the nominating/governance committee, where a board implements or renews a poison pill without shareholder approval

• The Independent Chair or Lead Independent Director and members of the nominating/governance committee, where a board amends the charter/articles/bylaws and where the effect may be to entrench directors or to
unreasonably reduce shareholder rights

• Members of the compensation committee where the company has repriced options without shareholder approval

If a board maintains a classified structure, it is possible that the director(s) or committee members with whom we have a particular concern may not be subject to election in the year that the concern arises. In such situations, we may register our concern by voting against the most relevant director(s) up for election.

**Responsiveness to shareholders** 

A board should be engaged and responsive to the company's shareholders, including acknowledging voting outcomes for director elections, compensation, shareholder proposals, and other ballot items. Where we determine that a board has not substantially addressed shareholder concerns that we deem material to the business, we may vote against the responsible committees and/or individual directors. Common circumstances are illustrated below:

• The Independent Chair or Lead Independent Director, members of the nominating/governance committee, and/or the longest tenured director(s), where we observe a lack of board responsiveness to shareholders, evidence of
board entrenchment, and/or failure to plan for adequate board member succession

• The chair of the nominating/governance committee, or where no chair exists, the nominating/governance committee member with the longest tenure, where board member(s) at the most recent election of directors have
received against votes from more than 25% of shares voted, and the board has not taken appropriate action to respond to shareholder concerns. This may not apply in cases where BIS did not support the initial vote against such board member(s)

• The Independent Chair or Lead Independent Director and/or members of the nominating/governance committee, where a board fails to consider shareholder proposals that (1) receive substantial support, and (2) in
our view, have a material impact on the business, shareholder rights, or the potential for long-term value creation

**Majority vote requirements** 

Directors should generally be elected by a majority of the shares voted. We will normally support proposals seeking to introduce bylaws requiring a majority vote standard for director elections. Majority vote standards generally assist in ensuring that directors who are not broadly supported by shareholders are not elected to serve as their representatives. As a best practice, companies with either a majority vote standard or a plurality vote standard should adopt a resignation policy for directors who do not receive support from at least a majority of votes cast. Where the company already has a sufficiently robust majority voting process in place, we may not support a shareholder proposal seeking an alternative mechanism.

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We note that majority voting may not be appropriate in all circumstances, for example, in the context of a contested election, or for majority-controlled companies or those with concentrated ownership structures.

**Cumulative voting** 

As stated above, a majority vote standard is generally in the best long-term interests of shareholders, as it ensures director accountability through the requirement to be elected by more than half of the votes cast. As such, we will generally oppose proposals requesting the adoption of cumulative voting, which may disproportionately aggregate votes on certain issues or director candidates.

**Auditors and audit-related issues** 

BIS recognizes the critical importance of financial statements to provide a complete and accurate portrayal of a company's financial condition. Consistent with our approach to voting on directors, we seek to hold the audit committee of the board responsible for overseeing the management of the independent auditor and the internal audit function at a company.

We may vote against the audit committee members where the board has failed to facilitate quality, independent auditing. We look to public disclosures for insight into the scope of the audit committee responsibilities, including an overview of audit committee processes, issues on the audit committee agenda, and key decisions taken by the audit committee. We take particular note of cases involving significant financial restatements or material weakness disclosures, and we look for timely disclosure and remediation of accounting irregularities.

The integrity of financial statements depends on the auditor effectively fulfilling its role. To that end, we favor an independent auditor. In addition, to the extent that an auditor fails to reasonably identify and address issues that eventually lead to a significant financial restatement, or the audit firm has violated standards of practice, we may also vote against ratification.

From time to time, shareholder proposals may be presented to promote auditor independence or the rotation of audit firms. We may support these proposals when they are consistent with our views as described above.

**Capital structure proposals** 

**Equal voting rights** 

In our view, shareholders should be entitled to voting rights in proportion to their economic interests. In addition, companies that have implemented dual or multiple class share structures should review these structures on a regular basis, or as company circumstances change. Companies with multiple share classes should receive shareholder approval of their capital structure on a periodic basis via a management proposal on the company's proxy. The proposal should give unaffiliated shareholders the opportunity to affirm the current structure or establish mechanisms to end or phase out controlling structures at the appropriate time, while minimizing costs to shareholders. Where companies are unwilling to voluntarily implement "one share, one vote" within a specified timeframe, or are unresponsive to shareholder feedback for change over time, we generally support shareholder proposals to recapitalize stock into a single voting class.

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**Blank check preferred stock** 

We frequently oppose proposals requesting authorization of a class of preferred stock with unspecified voting, conversion, dividend distribution, and other rights ("blank check" preferred stock) because they may serve as a transfer of authority from shareholders to the board and as a possible entrenchment device. We generally view the board's discretion to establish voting rights on a when-issued basis as a potential anti-takeover device, as it affords the board the ability to place a block of stock with an investor sympathetic to management, thereby foiling a takeover bid without a shareholder vote.

Nonetheless, we may support the proposal where the company:

• Appears to have a legitimate financing motive for requesting blank check authority

• Has committed publicly that blank check preferred shares will not be used for anti-takeover purposes

• Has a history of using blank check preferred stock for financings

• Has blank check preferred stock previously outstanding such that an increase would not necessarily provide further anti-takeover protection but may provide greater financing flexibility

**Increase in authorized common shares** 

BIS will evaluate requests to increase authorized shares on a case-by-case basis, in conjunction with industry-specific norms and potential dilution, as well as a company's history with respect to the use of its common shares.

**Increase or issuance of preferred stock** 

We generally support proposals to increase or issue preferred stock in cases where the company specifies the voting, dividend, conversion, and other rights of such stock and where the terms of the preferred stock appear reasonable.

**Stock splits** 

We generally support stock splits that are not likely to negatively affect the ability to trade shares or the economic value of a share. We generally support reverse stock splits that are designed to avoid delisting or to facilitate trading in the stock, where the reverse split will not have a negative impact on share value (e.g., one class is reduced while others remain at pre-split levels). In the event of a proposal for a reverse split that would not proportionately reduce the company's authorized stock, we apply the same analysis we would use for a proposal to increase authorized stock.

**Mergers, acquisitions, transactions, and other special situations** 

**Mergers, acquisitions, and transactions** 

In assessing mergers, acquisitions, or other transactions – including business combinations involving Special Purpose Acquisition Companies ("SPACs") – BIS' primary consideration is the long-term economic interests of our clients as shareholders. Boards should clearly explain the economic and strategic rationale for any proposed transactions or material changes to the business. We will review a proposed transaction to determine the degree to which it has the potential to enhance long-term

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shareholder value. While mergers, acquisitions, asset sales, business combinations, and other special transaction proposals vary widely in scope and substance, we closely examine certain salient features in our analyses, such as:

• The degree to which the proposed transaction represents a premium to the company's trading price. We consider the share price over multiple time periods prior to the date of the merger announcement. We may consider
comparable transaction analyses provided by the parties' financial advisors and our own valuation assessments. For companies facing insolvency or bankruptcy, a premium may not apply

• There should be clear strategic, operational, and/or financial rationale for the combination

• Unanimous board approval and arm's-length negotiations are preferred. We will consider whether the transaction involves a dissenting board or does not appear to be the result
of an arm's-length bidding process. We may also consider whether executive and/or board members' financial interests appear likely to affect their ability to place shareholders' interests before
their own, as well as measures taken to address conflicts of interest

• We prefer transaction proposals that include the fairness opinion of a reputable financial advisor assessing the value of the transaction to shareholders in comparison to recent similar transactions

**Contested director elections and special situations** 

Contested elections and other special situations<sup>9</sup> are assessed on a case-by-case basis. We evaluate a number of factors, which may include: the qualifications and past performance of the dissident and management candidates; the validity of the concerns identified by the dissident; the viability of both the dissident's and management's plans; the ownership stake and holding period of the dissident; the likelihood that the dissident's strategy will produce the desired change; and whether the dissident represents the best option for enhancing long-term shareholder value.

We will evaluate the actions that the company has taken to limit shareholders' ability to exercise the right to nominate dissident director candidates, including those actions taken absent the immediate threat of a contested situation. BIS may take voting action against directors (up to and including the full board) where those actions are viewed as egregiously infringing on shareholder rights.

We will consider a variety of possible voting outcomes in contested situations, including the ability to support a mix of management and dissident nominees.

**Poison pill plans** 

Where a poison pill is put to a shareholder vote by management, our policy is to examine these plans individually. Although we have historically opposed most plans, we may support plans that include a reasonable "qualifying offer clause." Such clauses typically require shareholder ratification of the pill and

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<sup>9</sup> Special situations are broadly defined as events that are non-routine and differ from the normal course of business for a company's shareholder meeting, involving a solicitation other than by management with respect to the exercise of voting rights in a manner inconsistent with management's recommendation. These may include instances where shareholders nominate director candidates, oppose the view of management and/or the board on mergers, acquisitions, or other transactions, etc.

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stipulate a sunset provision whereby the pill expires unless it is renewed. These clauses also tend to specify that an all-cash bid for all shares that includes a fairness opinion and evidence of financing does not trigger the pill, but forces either a special meeting at which the offer is put to a shareholder vote or requires the board to seek the written consent of shareholders, where shareholders could rescind the pill at their discretion. We may also support a pill where it is the only effective method for protecting tax or other economic benefits that may be associated with limiting the ownership changes of individual shareholders. Lastly, we look for shareholder approval of poison pill plans within one year of adoption of implementation.

**Reimbursement of expense for successful shareholder campaigns** 

We generally do not support shareholder proposals seeking the reimbursement of proxy contest expenses, even in situations where we support the shareholder campaign. Introducing the possibility of such reimbursement may incentivize disruptive and unnecessary shareholder campaigns.

**Executive compensation** 

A company's board of directors should put in place a compensation structure that balances incentivizing, rewarding, and retaining executives appropriately across a wide range of business outcomes. This structure should be aligned with shareholder interests, particularly the generation of sustainable, long- term value.

The compensation committee should carefully consider the specific circumstances of the company and the key individuals the board is focused on incentivizing. We encourage companies to ensure that their compensation plans incorporate appropriate and rigorous performance metrics, consistent with corporate strategy and market practice. Performance-based compensation should include metrics that are relevant to the business and stated strategy and/or risk mitigation efforts. Goals, and the processes used to set these goals, should be clearly articulated and appropriately rigorous. We use third party research, in addition to our own analysis, to evaluate existing and proposed compensation structures. We hold members of the compensation committee, or equivalent board members, accountable for poor compensation practices and/or structures.

There should be a clear link between variable pay and company performance that drives sustained value creation for our clients as shareholders. Where compensation structures provide for a front-loaded<sup>10</sup> award, we look for appropriate structures (including vesting and/or holding periods) that motivate sustained performance for shareholders over a number of years. We generally do not favor programs focused on awards that require performance levels to be met and maintained for a relatively short time period for payouts to be earned, unless there are extended vesting and/or holding requirements.

Compensation structures should generally drive outcomes that align the pay of the executives with performance of the company and the value received by shareholders. When evaluating performance, we examine both executive teams' efforts, as well as outcomes realized by shareholders. Payouts to executives should reflect both the executive's contributions to the company's ongoing success, as well as exogenous factors that impacted shareholder value. Where discretion has been used by the

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<sup>10</sup> Front-loaded awards are generally those that accelerate the grant of multiple years' worth of compensation in a single year.

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compensation committee, we look for disclosures relating to how and why the discretion was used and how the adjusted outcome is aligned with the interests of shareholders. While we believe special awards<sup>11</sup> should be used sparingly, we acknowledge that there may be instances when such awards are appropriate. When evaluating these awards, we consider a variety of factors, including the magnitude and structure of the award, the scope of award recipients, the alignment of the grant with shareholder value, and the company's historical use of such awards, in addition to other company-specific circumstances.

We acknowledge that the use of peer group evaluation by compensation committees can help calibrate competitive pay; however, we are concerned when the rationale for increases in total compensation is solely based on peer benchmarking.

We support incentive plans that foster the sustainable achievement of results – both financial and non- financial – consistent with the company's strategic initiatives. Compensation committees should guard against contractual arrangements that would entitle executives to material compensation for early termination of their contract. Finally, pension contributions and other deferred compensation arrangements should be reasonable in light of market practices. Our publicly available <u>commentary</u> provides more information on our approach to executive compensation.

Where executive compensation appears excessive relative to the performance of the company and/or compensation paid by peers, or where an equity compensation plan is not aligned with shareholders' interests, we may vote against members of the compensation committee.

**"Say on Pay" advisory resolutions** 

In cases where there is a "Say on Pay" vote, BIS will respond to the proposal as informed by our evaluation of compensation practices at that particular company and in a manner that appropriately addresses the specific question posed to shareholders. Where we conclude that a company has failed to align pay with performance, we will vote against the management compensation proposal and relevant compensation committee members.

**Frequency of "Say on Pay" advisory resolutions** 

BIS will generally support annual advisory votes on executive compensation. It is our view that shareholders should have the opportunity to express feedback on annual incentive programs and changes to long-term compensation before multiple cycles are issued. Where a company has failed to implement a "Say on Pay" advisory vote within the frequency period that received the most support from shareholders or a "Say on Pay" resolution is omitted without explanation, BIS may vote against members of the compensation committee.

**Clawback proposals** 

We generally favor prompt recoupment from any senior executive whose compensation was based on faulty financial reporting or deceptive business practices. We also favor prompt recoupment from any senior executive whose behavior caused material financial harm to shareholders, material reputational risk to the company, or resulted in a criminal proceeding, even if such actions did not ultimately result in a

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<sup>11</sup> "Special awards" refers to awards granted outside the company's typical compensation program.

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material restatement of past results. This includes, but is not limited to, settlement agreements arising from such behavior and paid for directly by the company. We typically support shareholder proposals on these matters unless the company already has a robust clawback policy that sufficiently addresses our concerns.

**Employee stock purchase plans** 

Employee stock purchase plans ("ESPP") are an important part of a company's overall human capital management strategy and can provide performance incentives to help align employees' interests with those of shareholders. The most common form of ESPP qualifies for favorable tax treatment under Section 423 of the Internal Revenue Code. We will typically support qualified ESPP proposals.

**Equity compensation plans** 

BIS supports equity plans that align the economic interests of directors, managers, and other employees with those of shareholders. Boards should establish policies prohibiting the use of equity awards in a manner that could disrupt the intended alignment with shareholder interests, such as the excessive pledging or hedging of stock. We may support shareholder proposals requesting the establishment of such policies.

Our evaluation of equity compensation plans is based on a company's executive pay and performance relative to peers and whether the plan plays a significant role in a pay-for-performance disconnect. We generally oppose plans that contain "evergreen" provisions, which allow for automatic annual increases of shares available for grant without requiring further shareholder approval; we note that the aggregate impacts of such increases are difficult to predict and may lead to significant dilution. We also generally oppose plans that allow for repricing without shareholder approval. We may oppose plans that provide for the acceleration of vesting of equity awards even in situations where an actual change of control may not occur. We encourage companies to structure their change of control provisions to require the termination of the covered employee before acceleration or special payments are triggered (commonly referred to as "double trigger" change of control provisions).

**Golden parachutes** 

We generally view golden parachutes as encouragement to management to consider transactions that might be beneficial to shareholders. However, a large potential payout under a golden parachute arrangement also presents the risk of motivating a management team to support a sub-optimal sale price for a company.

When determining whether to support or oppose an advisory vote on a golden parachute plan, BIS may consider several factors, including:

• Whether we determine that the triggering event is in the best interests of shareholders

• Whether management attempted to maximize shareholder value in the triggering event

• The percentage of total premium or transaction value that will be transferred to the management team, rather than shareholders, as a result of the golden parachute payment

• Whether excessively large excise tax gross-up payments are part of the pay-out

• Whether the pay package that serves as the basis for calculating the golden parachute payment was reasonable in light of performance and peers

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• Whether the golden parachute payment will have the effect of rewarding a management team that has failed to effectively manage the company

It may be difficult to anticipate the results of a plan until after it has been triggered; as a result, BIS may vote against a golden parachute proposal even if the golden parachute plan under review was approved by shareholders when it was implemented.

We may support shareholder proposals requesting that implementation of such arrangements require shareholder approval.

**Option exchanges** 

There may be legitimate instances where underwater options create an overhang on a company's capital structure and a repricing or option exchange may be warranted. We will evaluate these instances on a case-by-case basis. BIS may support a request to reprice or exchange underwater options under the following circumstances:

• The company has experienced significant stock price decline as a result of macroeconomic trends, not individual company performance

• Directors and executive officers are excluded; the exchange is value neutral or value creative to shareholders; tax, accounting, and other technical considerations have been fully contemplated

• There is clear evidence that absent repricing, employee incentives, retention, and/or recruiting may be impacted

BIS may also support a request to exchange underwater options in other circumstances, if we determine that the exchange is in the best interests of shareholders.

**Supplemental executive retirement plans** 

BIS may support shareholder proposals requesting to put extraordinary benefits contained in supplemental executive retirement plans ("SERP") to a shareholder vote unless the company's executive pension plans do not contain excessive benefits beyond what is offered under employee-wide plans.

**Material sustainability-related risks and opportunities** 

It is our view that well-run companies, where appropriate, effectively evaluate and manage material sustainability-related risks and opportunities<sup>12</sup> as a core component of their long-term value creation for shareholder and business strategy. At the board level, appropriate governance structures and responsibilities allow for effective oversight of the strategic implementation of material sustainability issues.

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<sup>12</sup> By material sustainability-related risks and opportunities, we mean the drivers of risk and value creation in a company's business model that have an environmental or social dependency or impact. Examples of environmental issues include, but are not limited to, water use, land use, waste management, and climate risk. Examples of social issues include, but are not limited to, human capital management, impacts on the communities in which a company operates, customer loyalty, and relationships with regulators. It is our view that well-run companies will effectively evaluate and manage material sustainability-related risks and opportunities relevant to their businesses. Governance is the core means by which boards can oversee the creation of durable, long-term value. Appropriate risk oversight of business-relevant and material sustainability-related considerations is a component of a sound governance framework.

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When assessing how to vote – including on the election of directors and relevant shareholder proposals – robust disclosures are essential for investors to understand, where appropriate, how companies are integrating material sustainability risks and opportunities across their business and strategic, long-term planning. Where a company has failed to appropriately provide robust disclosures and evidence of effective business practices, BIS may express concerns through our engagement and voting. As part of this consideration, we encourage companies to produce sustainability-related disclosures sufficiently in advance of their annual meeting so that the disclosures can be considered in relevant vote decisions.

We encourage disclosures aligned with the reporting framework developed by the Task Force on Climate- related Financial Disclosures (TCFD), supported by industry-specific metrics, such as those identified by the Sustainability Accounting Standards Board (SASB), now part of the International Sustainability Standards Board (ISSB) under the International Financial Reporting Standards (IFRS) Foundation.<sup>13</sup> While the TCFD framework was developed to support climate-related risk disclosures, the four pillars of the TCFD – governance, strategy, risk management, and metrics and targets – are a useful way for companies to disclose how they identify, assess, manage, and oversee a variety of sustainability-related risks and opportunities. SASB's<sup>14</sup> industry-specific metrics are beneficial in helping companies identify key performance indicators ("KPIs") across various dimensions of sustainability that are considered to be financially material. We recognize that some companies may report using different standards, which may be required by regulation, or one of a number of private standards. In such cases, we ask that companies highlight the metrics that are industry- or company-specific.

We look to companies to:

• Disclose the identification, assessment, management, and oversight of material sustainability- related risks and opportunities in accordance with the four pillars of TCFD

• Publish material, investor-relevant, industry-specific metrics and rigorous targets, aligned with SASB (ISSB) or comparable sustainability reporting standards

Companies should also disclose any material supranational standards adopted, the industry initiatives in which they participate, any peer group benchmarking undertaken, and any assurance processes to help investors understand their approach to sustainable and responsible business conduct.

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<sup>13</sup> The <u>International Financial Reporting Standards (IFRS) Foundation</u> announced in November 2021 the formation of an <u>International</u> Sustainability Standards Board (ISSB) to develop a comprehensive global baseline of high-quality sustainability disclosure standards to meet investors' information needs. SASB standards will over time be adapted to ISSB standards but are the reference reporting tool in the meantime.

<sup>14</sup> The <u>ISSB has committed to build upon</u> the SASB standards, which identify material, sustainability-related disclosures across sectors. SASB Standards can be used to provide a baseline of investor-focused sustainability disclosure and to implement the principles-based framework recommended by the TCFD, which is also incorporated into the ISSB's Climate Exposure Draft. Similarly, SASB Standards enable robust implementation of the <u>Integrated Reporting Framework</u>, providing the comparability sought by investors.

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**Climate risk** 

It is our view that climate change has become a key factor in many companies' long-term prospects. As such, as long-term investors, we are interested in understanding how companies may be impacted by material climate-related risks and opportunities—just as we seek to understand other business-relevant risks and opportunities—and how these factors are considered within their strategy in a manner that is consistent with the company's business model and sector. Specifically, we look for companies to disclose strategies that they have in place that mitigate and are resilient to any material risks to their long-term business model associated with a range of climate-related scenarios, including a scenario in which global warming is limited to well below 2°C, and considering global ambitions to achieve a limit of 1.5°C.<sup>15</sup> It is, of course, up to each company to define their own strategy: that is not the role of BlackRock or other investors.

BIS recognizes that climate change can be challenging for many companies, as they seek to drive long- term value by mitigating risks and capturing opportunities. A growing number of companies, financial institutions, as well as governments, have committed to advancing decarbonization in line with the Paris Agreement. There is growing consensus that companies can benefit from the more favorable macro- economic environment under an orderly, timely, and equitable global energy transition.<sup>16</sup> Yet, the path ahead is deeply uncertain and uneven, with different parts of the economy moving at different speeds.<sup>17</sup> Many companies are asking what their role should be in contributing to an orderly and equitable transition—in ensuring a reliable energy supply and energy security and in protecting the most vulnerable from energy price shocks and economic dislocation. In this context, we encourage companies to include in their disclosures a business plan for how they intend to deliver long-term financial performance through a transition to global net zero carbon emissions, consistent with their business model and sector.

We look to companies to disclose short-, medium-, and long-term targets, ideally science-based targets where these are available for their sector, for Scope 1 and 2 greenhouse gas emissions (GHG) reductions and to demonstrate how their targets are consistent with the long-term economic interests of their shareholders. Many companies have an opportunity to use and contribute to the development of low carbon energy sources and technologies that will be essential to decarbonizing the global economy over time. We also recognize that continued investment in traditional energy sources, including oil and gas, is required to maintain an orderly and equitable transition—and that divestiture of carbon-intensive assets is unlikely to contribute to global emissions reductions. We encourage companies to disclose how their capital allocation to various energy sources is consistent with their strategy.

At this stage, we view Scope 3 emissions differently from Scopes 1 and 2, given methodological complexity, regulatory uncertainty, concerns about double-counting, and lack of direct control by companies. While we welcome any disclosures and commitments companies choose to make regarding

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<sup>15</sup> The global aspiration to achieve a net-zero global economy by 2050 is reflective of aggregated efforts; governments representing <u>over</u><u> </u><u>90%</u> of GDP have committed to move to net-zero over the coming decades. In determining how to vote on behalf of clients who have authorized us to do so, we look to companies only to address issues within their control and do not anticipate that they will address matters that are the domain of public policy.

<sup>16</sup> For example, BlackRock's <u>Capital Markets Assumptions</u> anticipate 25 points of cumulative economic gains over a 20-year period in an orderly transition as compared to the alternative. This better macro environment will support better economic growth, financial stability, job growth, productivity, as well as ecosystem stability and health outcomes.

<sup>1</sup><sup>7</sup> <u>h</u><u>ttps</u><u>:</u><u>//</u><u>www</u><u>.</u><u>b</u><u>l</u><u>a</u><u>c</u><u>k</u><u>r</u><u>o</u><u>c</u><u>k.</u><u>c</u><u>o</u><u>m</u><u>/</u><u>c</u><u>o</u><u>r</u><u>po</u><u>r</u><u>a</u><u>t</u><u>e</u><u>/</u><u>li</u><u>t</u><u>e</u> <u>r</u><u>a</u><u>t</u><u>u</u><u>r</u><u>e</u><u>/</u><u>w</u><u>h</u><u>i</u><u>t</u><u>e</u><u>pa</u><u>p</u><u>e</u><u>r</u><u>/</u><u>b</u><u>i</u><u>i</u><u>-</u><u>man</u><u>ag</u><u>i</u><u>n</u><u>g</u><u>-</u><u>t</u><u>h</u><u>e</u><u>-</u> <u>n</u><u>e</u><u>t</u><u>-</u><u>z</u><u>e</u><u>r</u><u>o</u><u>-</u><u>t</u><u>r</u><u>a</u><u>n</u><u>s</u><u>i</u><u>t</u><u>i</u><u>o</u><u>n</u><u>-</u><u>f</u><u>e</u><u>b</u><u>r</u><u>u</u><u>a</u><u>r</u><u>y</u><u>-</u><u>2</u><u>022</u> <u>.</u><u>p</u><u>d</u><u>f</u>

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Scope 3 emissions, we recognize that these are provided on a good-faith basis as methodology develops. Our publicly available <u>commentary</u> provides more information on our approach to climate risk and the global energy transition.

**Natural capital** 

The management of nature-related factors is increasingly a core component of some companies' ability to generate sustainable, long-term financial returns for shareholders, particularly where a company's strategy is heavily reliant on the availability of natural capital, or whose supply chains are exposed to locations with nature-related risks. We look for such companies to disclose<sup>18</sup> how they consider their reliance on and use of natural capital, including appropriate risk oversight and relevant metrics and targets, to understand how these factors are integrated into strategy. We will evaluate these disclosures to inform our view of how a company is managing material nature-related risks and opportunities, as well as in our assessment of relevant shareholder proposals. Our publicly available <u>commentary</u> provides more information on our approach to natural capital.

**Key stakeholder interests** 

In order to deliver long-term value for shareholders, companies should also consider the interests of their key stakeholders. While stakeholder groups may vary across industries, they are likely to include employees; business partners (such as suppliers and distributors); clients and consumers; government and regulators; and the constituents of the communities in which a company operates. Companies that build strong relationships with their key stakeholders are more likely to meet their own strategic objectives, while poor relationships may create adverse impacts that expose a company to legal, regulatory, operational, and reputational risks.

Companies should effectively oversee and mitigate material risks related to stakeholders with appropriate due diligence processes and board oversight. Where we determine that company is not appropriately considering their key stakeholder interests in a way that poses material financial risk to the company and its shareholders, we may vote against relevant directors or support shareholder proposals related to these topics. Our publicly available <u>commentary</u> provides more information on our approach.

Conversely, we note that some shareholder proposals seek to address topics that are clearly within the purview of certain stakeholders. For example, we recognize that topics around taxation and tax reporting are within the domain of local, state, and federal authorities. BIS will generally not support these proposals.

**Human capital management** 

A company's approach to human capital management ("HCM") is a critical factor in fostering an inclusive, diverse, and engaged workforce, which contributes to business continuity, innovation, and long-term value creation. Consequently, we ask companies to demonstrate a robust approach to HCM and provide shareholders with disclosures to understand how their approach aligns with their stated strategy and business model.

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<sup>18</sup> While guidance is still under development for a unified disclosure framework related to natural capital, the emerging recommendations of the Taskforce on Nature-related Financial Disclosures (TNFD), may prove useful to some companies.

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Clear and consistent disclosures on these matters are critical for investors to make an informed assessment of a company's HCM practices. Companies should disclose the steps they are taking to advance diversity, equity, and inclusion; job categories and workforce demographics; and their responses to the U.S. Equal Employment Opportunity Commission's EEO-1 Survey. Where we believe a company's disclosures or practices fall short relative to the market or peers, or we are unable to ascertain the board and management's effectiveness in overseeing related risks and opportunities, we may vote against members of the appropriate committee or support relevant shareholder proposals. Our publicly available <u>commentary</u> provides more information on our approach to HCM.

**Corporate political activities** 

Companies may engage in certain political activities, within legal and regulatory limits, in order to support public policy matters material to the companies' long-term strategies. These activities can also create risks, including: the potential for allegations of corruption; certain reputational risks; and risks that arise from the complex legal, regulatory, and compliance considerations associated with corporate political spending and lobbying activity. Companies that engage in political activities should develop and maintain robust processes to guide these activities and mitigate risks, including board oversight.

We depend on companies to provide accessible and clear disclosures so that investors can easily understand how their political activities support their long-term strategy, including on stated public policy priorities. When presented with shareholder proposals requesting increased disclosure on corporate political activities, BIS will evaluate publicly available information to consider how a company's lobbying and political activities may impact the company. We will also evaluate whether there is general consistency between a company's stated positions on policy matters material to their strategy and the material positions taken by significant industry groups of which they are a member. We may decide to support a shareholder proposal requesting additional disclosures if we identify a material inconsistency or feel that further transparency may clarify how the company's political activities support its long-term strategy. Our publicly available <u>commentary</u> provides more information on our approach to corporate political activities.

**General corporate governance matters** 

**IPO governance** 

Boards should disclose how the corporate governance structures adopted upon a company's initial public offering ("IPO") are in shareholders' best long-term interests. We also ask boards to conduct a regular review of corporate governance and control structures, such that boards might evolve foundational corporate governance structures as company circumstances change, without undue costs and disruption to shareholders. In our view, a "one vote for one share" structure is preferred for publicly-traded companies. We also recognize the potential benefits of dual class shares to newly public companies as they establish themselves; however, these structures should have a specific and limited duration. We will generally engage new companies on topics such as classified boards and supermajority vote provisions to amend bylaws, as we think that such arrangements may not be in the best interests of shareholders over the long-term.

We may apply a one-year grace period for the application of certain director-related guidelines (including, but not limited to, responsibilities on other public company boards and board composition concerns), during which we ask boards to take steps to bring corporate governance standards in line with our policies.

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Further, if a company qualifies as an emerging growth company (an "EGC") under the Jumpstart Our Business Startups Act of 2012 (the "JOBS Act"), we will give consideration to the NYSE and NASDAQ governance exemptions granted under the JOBS Act for the duration such a company is categorized as an EGC. An EGC should have an independent audit committee by the first anniversary of its IPO, with our standard approach to voting on auditors and audit-related issues applicable in full for an EGC on the first anniversary of its IPO.

**Corporate form** 

Proposals to change a corporation's form, including those to convert to a public benefit corporation ("PBC") structure, should clearly articulate the stakeholder groups the company seeks to benefit and provide detail on how the interests of shareholders would be augmented or adversely affected with the change to a PBC. These disclosures should also include the accountability and voting mechanisms that would be available to shareholders. We generally support management proposals to convert to a PBC if our analysis indicates that shareholders' interests are adequately protected. Corporate form shareholder proposals are evaluated on a case-by-case basis.

**Exclusive forum provisions** 

BIS generally supports proposals to seek exclusive forum for certain shareholder litigation. In cases where a board unilaterally adopts exclusive forum provisions that we consider unfavorable to the interests of shareholders, we will vote against the Independent Chair or Lead Independent director and members of the nominating/governance committee.

**Reincorporation** 

We will evaluate the economic and strategic rationale behind the company's proposal to reincorporate on a case-by-case basis. In all instances, we will evaluate the changes to shareholder protections under the new charter/articles/bylaws to assess whether the move increases or decreases shareholder protections. Where we find that shareholder protections are diminished, we may support reincorporation if we determine that the overall benefits outweigh the diminished rights.

**Multi-jurisdictional companies** 

Where a company is listed on multiple exchanges or incorporated in a country different from their primary listing, we will seek to apply the most relevant market guideline(s) to our analysis of the company's governance structure and specific proposals on the shareholder meeting agenda. In doing so, we typically consider the governance standards of the company's primary listing, the market standards by which the company governs themselves, and the market context of each specific proposal on the agenda. If the relevant standards are silent on the issue under consideration, we will use our professional judgment as to what voting outcome would best protect the long-term economic interests of investors. Companies should disclose the rationale for their selection of primary listing, country of incorporation, and choice of governance structures, particularly where there is conflict between relevant market governance practices.

**Adjourn meeting to solicit additional votes** 

We generally support such proposals unless the agenda contains items that we judge to be detrimental to shareholders' best long-term economic interests.

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**Bundled proposals** 

Shareholders should have the opportunity to review substantial governance changes individually without having to accept bundled proposals. Where several measures are grouped into one proposal, BIS may reject certain positive changes when linked with proposals that generally contradict or impede the rights and economic interests of shareholders.

**Other business** 

We oppose voting on matters where we are not given the opportunity to review and understand those measures and carry out an appropriate level of shareholder oversight.

**Shareholder protections** 

**Amendment to charter/articles/bylaws** 

Shareholders should have the right to vote on key corporate governance matters, including changes to governance mechanisms and amendments to the charter/articles/bylaws. We may vote against certain directors where changes to governing documents are not put to a shareholder vote within a reasonable period of time, particularly if those changes have the potential to impact shareholder rights (see "Director elections"). In cases where a board's unilateral adoption of changes to the charter/articles/bylaws promotes cost and operational efficiency benefits for the company and its shareholders, we may support such action if it does not have a negative effect on shareholder rights or the company's corporate governance structure.

When voting on a management or shareholder proposal to make changes to the charter/articles/bylaws, we will consider in part the company's and/or proponent's publicly stated rationale for the changes; the company's governance profile and history; relevant jurisdictional laws; and situational or contextual circumstances which may have motivated the proposed changes, among other factors. We will typically support amendments to the charter/articles/bylaws where the benefits to shareholders outweigh the costs of failing to make such changes.

**Proxy access** 

It is our view that long-term shareholders should have the opportunity, when necessary and under reasonable conditions, to nominate directors on the company's proxy card.<sup>19</sup>

Securing the right of shareholders to nominate directors without engaging in a control contest can enhance shareholders' ability to meaningfully participate in the director election process, encourage board attention to shareholder interests, and provide shareholders an effective means of directing that attention where it is lacking. Proxy access mechanisms should provide shareholders with a reasonable opportunity to use this right without stipulating overly restrictive or onerous parameters for use, and also provide assurances that the mechanism will not be subject to abuse by short-term investors, investors without a substantial investment in the company, or investors seeking to take control of the board.

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<sup>19</sup> BlackRock is subject to certain regulations and laws in the United States that place restrictions and limitations on how BlackRock can interact with the companies in which we invest on behalf of our clients, including our ability to submit shareholder proposals or elect directors to the board.

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In general, we support market-standardized proxy access proposals, which allow a shareholder (or group of up to 20 shareholders) holding three percent of a company's outstanding shares for at least three years the right to nominate the greater of up to two directors or 20% of the board. Where a standardized proxy access provision exists, we will generally oppose shareholder proposals requesting outlier thresholds.

**Right to act by written consent** 

In exceptional circumstances and with sufficiently broad support, shareholders should have the opportunity to raise issues of substantial importance without having to wait for management to schedule a meeting. Accordingly, shareholders should have the right to solicit votes by written consent provided that: 1) there are reasonable requirements to initiate the consent solicitation process (in order to avoid the waste of corporate resources in addressing narrowly supported interests); and 2) shareholders receive a minimum of 50% of outstanding shares to effectuate the action by written consent.

We may oppose shareholder proposals requesting the right to act by written consent in cases where the proposal is structured for the benefit of a dominant shareholder to the exclusion of others, or if the proposal is written to discourage the board from incorporating appropriate mechanisms to avoid the waste of corporate resources when establishing a right to act by written consent. Additionally, we may oppose shareholder proposals requesting the right to act by written consent if the company already provides a shareholder right to call a special meeting that offers shareholders a reasonable opportunity to raise issues of substantial importance without having to wait for management to schedule a meeting.

**Right to call a special meeting** 

In exceptional circumstances and with sufficiently broad support, shareholders should have the opportunity to raise issues of substantial importance without having to wait for management to schedule a meeting. Accordingly, shareholders should have the right to call a special meeting in cases where a reasonably high proportion of shareholders (typically a minimum of 15% but no higher than 25%) are required to agree to such a meeting before it is called. However, we may oppose this right in cases where the proposal is structured for the benefit of a dominant shareholder, or where a lower threshold may lead to an ineffective use of corporate resources. We generally think that a right to act via written consent is not a sufficient alternative to the right to call a special meeting.

**Consent solicitation** 

While BlackRock is supportive of the shareholder rights to act by written consent and call a special meeting, BlackRock is subject to certain regulations and laws that place restrictions and limitations on how BlackRock can interact with the companies in which we invest on behalf of our clients, including our ability to participate in consent solicitations. As a result, BlackRock will generally not participate in consent solicitations or related processes. However, once an item comes to a shareholder vote, we uphold our fiduciary duty to vote in the best long-term interests of our clients, where we are authorized to do so.

**Simple majority voting** 

We generally favor a simple majority voting requirement to pass proposals. Therefore, we will generally support the reduction or the elimination of supermajority voting requirements to the extent that we determine shareholders' ability to protect their economic interests is improved. Nonetheless, in situations where there is a substantial or dominant shareholder, supermajority voting may be protective of minority shareholder interests, and we may support supermajority voting requirements in those situations.

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**Virtual meetings** 

Shareholders should have the opportunity to participate in the annual and special meetings for the companies in which they are invested, as these meetings facilitate an opportunity for shareholders to provide feedback and hear from the board and management. While these meetings have traditionally been conducted in-person, virtual meetings are an increasingly viable way for companies to utilize technology to facilitate shareholder accessibility, inclusiveness, and cost efficiencies. Shareholders should have a meaningful opportunity to participate in the meeting and interact with the board and management in these virtual settings; companies should facilitate open dialogue and allow shareholders to voice concerns and provide feedback without undue censorship. Relevant shareholder proposals are assessed on a case-by-case basis.

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**Want to know more?** 

<u>blackrock.com/stewardship</u> \| <u>contactstewardship@blackrock.com</u>

This document is provided for information and educational purposes only. Investing involves risk, including the loss of principal.

Prepared by BlackRock, Inc.©2023 BlackRock, Inc. All rights reserved. BLACKROCK is a trademark of BlackRock, Inc., or its subsidiaries in the United States and elsewhere. All other trademarks are those of their respective owners.

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