BlackRock Resources & Commodities Strategy Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-22501

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

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 12/31/2017

Date of reporting period: 09/30/2017

Item 1 – Schedule of Investments

Consolidated Schedule of Investments

September 30, 2017 (Unaudited)

   

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares     Value  
Chemicals — 15.7%  

Agrium, Inc. (a)

      363,045     $ 38,907,135  

CF Industries Holdings, Inc. (a)(b)

      790,098       27,779,846  

FMC Corp. (a)

      185,128       16,533,782  

Monsanto Co. (a)(b)

      259,699       31,117,134  

Mosaic Co. (a)

      219,733       4,744,035  

Potash Corp. of Saskatchewan, Inc. (a)

      1,149,440       22,115,225  

Yara International ASA (a)

      266,000       11,927,662  
    

 

 

  
               153,124,819  
Containers & Packaging — 2.6%  

Packaging Corp. of America (a)(b)

      221,537       25,405,863  
Energy Equipment & Services — 3.4%  

Baker Hughes a GE Co. (a)

      213,777       7,828,514  

Halliburton Co. (a)(b)

      347,800       16,009,234  

Patterson-UTI Energy, Inc. (a)

      105,204       2,202,972  

Precision Drilling Corp. (a)(c)

      1,749,350       5,439,774  

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

      137,156       1,464,826  
    

 

 

  
               32,945,320  
Food Products — 6.7%  

BRF SA — ADR (a)(c)

      997,160       14,369,075  

Bunge Ltd. (a)

      133,744       9,289,858  

Elders, Ltd. (a)(c)

      1,246,696       4,746,887  

Glanbia PLC (a)

      407,065       7,673,709  

Hormel Foods Corp. (a)

      292,059       9,386,776  

Origin Enterprises PLC (a)

      586,425       4,616,019  

Tyson Foods, Inc., Class A (a)

      218,575       15,398,609  
    

 

 

  
               65,480,933  
Metals & Mining — 30.7%  

BHP Billiton PLC (a)

      1,771,597       31,261,563  

Boliden AB (a)

      377,525       12,805,397  

First Quantum Minerals Ltd. (a)

      1,519,081       17,056,562  

Franco-Nevada Corp. (a)

      130,878       10,138,784  

Fresnillo PLC (a)

      470,404       8,863,465  

Glencore PLC (a)(c)

      10,010,092       45,946,380  

Lundin Mining Corp. (a)

      1,514,539       10,390,266  

Neo Lithium Corp. (a)(c)(d)

      3,000,000       3,438,189  

Nevsun Resources, Ltd. (a)

      3,527,285       7,632,674  

Newcrest Mining Ltd. (a)

      1,394,772       22,957,609  

Newmont Mining Corp. (a)

      332,840       12,484,828  

Public Joint Stock Company Polyus (a)

      144,076       5,581,872  

Rio Tinto PLC, ADR (a)

      840,229       39,650,407  

South32 Ltd. (a)

      8,060,093       20,851,500  

Teck Resources Ltd., Class B (a)

      1,081,199       22,802,487  

Vale SA — ADR (a)

      1,741,926       17,541,195  

Wheaton Precious Metals Corp. (a)

      506,378       9,666,756  
    

 

 

  
               299,069,934  
Common Stocks    Shares     Value  
Oil, Gas & Consumable Fuels — 37.9%  

Anadarko Petroleum Corp. (a)

      282,575     $ 13,803,789  

BP PLC — ADR (a)

      1,530,155       58,803,857  

Cairn Energy PLC (a)(c)

      2,536,430       6,516,330  

Canadian Natural Resources Ltd. (a)

      468,500       15,691,136  

Chevron Corp. (a)(b)

      249,960       29,370,300  

Cimarex Energy Co. (a)

      120,067       13,648,016  

ConocoPhillips (a)(b)

      534,277       26,740,564  

Devon Energy Corp. (a)

      392,750       14,417,852  

Encana Corp. (a)

      1,318,600       15,524,131  

Eni SpA, ADR (a)

      382,320       12,643,322  

EOG Resources, Inc. (a)

      269,930       26,113,028  

EQT Corp. (a)

      119,550       7,799,442  

Exxon Mobil Corp. (a)(b)

      339,196       27,807,288  

Hess Corp. (a)

      216,422       10,148,027  

Kosmos Energy Ltd. (a)(c)(d)

      1,258,200       10,015,272  

Pioneer Natural Resources Co. (a)

      114,280       16,860,871  

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

      1,028,924       62,332,216  
    

 

 

  
               368,235,441  
Paper & Forest Products — 1.2%  

International Paper Co. (a)

      187,940       10,678,751  

Precious Woods Holding AG (a)(c)

      20,000       117,726  

Quintis, Ltd. (a)(d)(e)

      7,903,566       557,969  
    

 

 

  
               11,354,446  
Total Common Stocks — 98.2%       955,616,756  
    
                  
Corporate Bonds — 0.9%    Par
(000)		         
Metals & Mining — 0.9%  

Pilgangoora Operations Pty Ltd, 12.00%, 6/21/22

    $ 9,000       9,357,453  
Total Long-Term Investments
(Cost — $806,542,710) — 99.1%		       964,974,209  
    
                  
Short-Term Securities    Shares         

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.91% (f)(h)

      19,090,150       19,090,150  

SL Liquidity Series, LLC, Money Market
Series, 1.32% (f)(g)(h)

      954,024       954,119  
Total Short-Term Securities
(Cost — $20,044,194) — 2.1%		       20,044,269  
 

 

     
                
   BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST    SEPTEMBER 30, 2017    1

Consolidated Schedule of Investments (continued)

   

BlackRock Resources & Commodities Strategy Trust (BCX)

 

             Value  

Total Investments Before Options Written

(Cost — $826,586,904) — 101.2%

            $ 985,018,478  

Options Written

(Premiums Received — $7,576,412) — (1.3)%

              (12,997,370 ) 

Total Investments, Net of Options Written

(Cost — $819,010,492) — 99.9%

        972,021,108  

Other Assets Less Liabilities — 0.1%

        1,178,456  
    

 

 

  

Net Assets — 100.0%

      $ 973,199,564  
    

 

 

  

    

 
Notes to Schedule of Investments

 

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

 

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

 

(c)   Non-income producing security.

 

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

 

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

 

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

 

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

 

(h)   During the period ended September 30, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Trust were as follows:

 

 

Affiliate   Shares Held
at December 31,
2016		        Net
Activity		        Shares Held
at September 30,
2017		        Value at
September 30,
2017		        Income        Net Realized
Gain (Loss)		        Change  in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

     12,603,929          6,486,221          19,090,150        $ 19,090,150        $ 65,866          —            —    

SL Liquidity Series, LLC, Money Market Series

     3,936,869          (2,982,845 )         954,024          954,119          113,256 1       $ 2,696        $ (129 ) 
                 $ 20,044,269        $ 179,122        $ 2,696        $ (129 ) 
                

 

 

  

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

    

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

 

Portfolio Abbreviations

 

ADR    American Depositary Receipts      NOK    Norwegian Krone
AUD    Australian Dollar      SEK    Swedish Krona
EUR    Euro      USD    United States Dollar
GBP    British Pound        

 

     
                
2    BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST    SEPTEMBER 30, 2017   

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

 

 

Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written  
Description   Number of
Contracts		        Expiration
Date		        Exercise
Price		        Notional
Amount
(000)		     Value  

Call

                       

Royal Dutch Shell PLC — ADR, Class A

     756          10/02/17          USD       56.60          USD       4,580     $ (299,203 ) 

Anadarko Petroleum Corp.

     243          10/06/17          USD       42.50          USD       1,187       (153,090 ) 

Chevron Corp.

     76          10/06/17          USD       110.00          USD       893       (57,190 ) 

Halliburton Co.

     281          10/06/17          USD       40.00          USD       1,293       (167,898 ) 

Newmont Mining Corp.

     300          10/06/17          USD       38.50          USD       1,125       (3,450 ) 

BP PLC — ADR

     926          10/13/17          USD       36.00          USD       3,559       (229,185 ) 

CF Industries Holdings, Inc.

     411          10/13/17          USD       32.50          USD       1,445       (113,847 ) 

ConocoPhillips

     178          10/13/17          USD       46.00          USD       891       (73,870 ) 

Exxon Mobil Corp.

     275          10/13/17          USD       79.50          USD       2,254       (72,600 ) 

Halliburton Co.

     268          10/13/17          USD       42.00          USD       1,234       (110,550 ) 

International Paper Co.

     251          10/13/17          USD       56.00          USD       1,426       (31,500 ) 

Mosaic Co.

     285          10/13/17          USD       21.00          USD       615       (23,512 ) 

Pioneer Natural Resources Co.

     125          10/13/17          USD       137.00          USD       1,844       (140,000 ) 

Agrium, Inc.

     248          10/20/17          USD       130.00          USD       3,316       (93,913 ) 

Anadarko Petroleum Corp.

     87          10/20/17          USD       45.00          USD       425       (35,888 ) 

BP PLC — ADR

     926          10/20/17          USD       36.00          USD       3,559       (229,648 ) 

Baker Hughes a GE Co.

     124          10/20/17          USD       39.00          USD       454       (2,480 ) 

Bunge Ltd.

     230          10/20/17          USD       77.50          USD       1,598       (2,875 ) 

Bunge Ltd.

     304          10/20/17          USD       75.00          USD       2,112       (4,560 ) 

Canadian Natural Resources Ltd.

     634          10/20/17          USD       40.00          USD       2,649       (102,639 ) 

Chevron Corp.

     78          10/20/17          USD       110.00          USD       917       (59,865 ) 

Cimarex Energy Co.

     133          10/20/17          USD       100.00          USD       1,512       (182,875 ) 

ConocoPhillips

     561          10/20/17          USD       44.00          USD       2,808       (342,210 ) 

ConocoPhillips

     193          10/20/17          USD       47.00          USD       966       (62,243 ) 

ConocoPhillips

     271          10/20/17          USD       50.00          USD       1,356       (24,254 ) 

Devon Energy Corp.

     419          10/20/17          USD       32.00          USD       1,538       (202,168 ) 

EOG Resources, Inc.

     133          10/20/17          USD       87.50          USD       1,287       (125,685 ) 

EOG Resources, Inc.

     156          10/20/17          USD       95.00          USD       1,509       (43,446 ) 

EQT Corp.

     478          10/20/17          USD       65.00          USD       3,118       (76,480 ) 

Encana Corp.

     570          10/20/17          USD       13.00          USD       837       (80,629 ) 

Encana Corp.

     1,150          10/20/17          USD       12.00          USD       1,689       (251,152 ) 

Exxon Mobil Corp.

     404          10/20/17          USD       77.50          USD       3,312       (186,850 ) 

FMC Corp.

     240          10/20/17          USD       87.50          USD       2,143       (72,000 ) 

FMC Corp.

     500          10/20/17          USD       92.50          USD       4,466       (37,500 ) 

Franco-Nevada Corp.

     288          10/20/17          USD       105.00          USD       2,784       (7,963 ) 

Halliburton Co.

     278          10/20/17          USD       42.50          USD       1,280       (100,775 ) 

Hess Corp.

     246          10/20/17          USD       40.00          USD       1,153       (171,585 ) 

Lundin Mining Corp.

     2,715          10/20/17          USD       9.00          USD       2,324       (17,407 ) 

Lundin Mining Corp.

     1,910          10/20/17          USD       10.00          USD       1,635       (7,654 ) 

Newmont Mining Corp.

     135          10/20/17          USD       36.00          USD       506       (24,232 ) 

Newmont Mining Corp.

     58          10/20/17          USD       40.00          USD       218       (783 ) 

Packaging Corp. of America

     275          10/20/17          USD       115.00          USD       3,154       (50,875 ) 

Pioneer Natural Resources Co.

     147          10/20/17          USD       149.00          USD       2,169       (38,220 ) 

Rio Tinto PLC, ADR

     473          10/20/17          USD       47.50          USD       2,232       (43,753 ) 

Royal Dutch Shell PLC — ADR, Class A

     807          10/20/17          USD       57.50          USD       4,889       (258,240 ) 

Tyson Foods, Inc., Class A

     140          10/20/17          USD       70.00          USD       986       (21,350 ) 

Vale SA — ADR

     910          10/20/17          USD       10.00          USD       916       (34,125 ) 

Vale SA — ADR

     1,560          10/20/17          USD       11.00          USD       1,571       (14,820 ) 

Anadarko Petroleum Corp.

     573          10/27/17          USD       44.00          USD       2,799       (292,230 ) 

BP PLC — ADR

     483          10/27/17          USD       36.00          USD       1,856       (124,614 ) 

BP PLC — ADR

     1,390          10/27/17          USD       37.00          USD       5,342       (225,180 ) 

CF Industries Holdings, Inc.

     206          10/27/17          USD       33.50          USD       724       (48,101 ) 

ConocoPhillips

     191          10/27/17          USD       47.00          USD       956       (62,075 ) 

 

                
   BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST    SEPTEMBER 30, 2017    3

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

 

 

Exchange-Traded Options Written (continued)  
Description   Number of
Contracts		        Expiration
Date		      Exercise
Price		        Notional
Amount
(000)		     Value  

ConocoPhillips

     271        10/27/17      USD     50.00          USD       1,356     $ (29,674 ) 

Devon Energy Corp.

     193        10/27/17      USD     34.00          USD       709       (57,997 ) 

EOG Resources, Inc.

     266        10/27/17      USD     91.00          USD       2,573       (163,590 ) 

Exxon Mobil Corp.

     137        10/27/17      USD     81.00          USD       1,123       (23,769 ) 

Hess Corp.

     178        10/27/17      USD     42.00          USD       835       (91,225 ) 

Hess Corp.

     107        10/27/17      USD     44.00          USD       502       (36,380 ) 

International Paper Co.

     250        10/27/17      USD     57.00          USD       1,421       (32,125 ) 

International Paper Co.

     250        10/27/17      USD     55.00          USD       1,421       (61,875 ) 

Mosaic Co.

     310        10/27/17      USD     21.50          USD       669       (23,715 ) 

Newmont Mining Corp.

     538        10/27/17      USD     38.50          USD       2,018       (35,777 ) 

Pioneer Natural Resources Co.

     159        10/27/17      USD     135.00          USD       2,346       (210,675 ) 

Potash Corp. of Saskatchewan, Inc.

     1,070        10/27/17      USD     18.50          USD       2,059       (107,535 ) 

Tyson Foods, Inc., Class A

     295        10/27/17      USD     67.00          USD       2,078       (116,525 ) 

Vale SA — ADR

     1,290        10/27/17      USD     11.50          USD       1,299       (7,740 ) 

Vale SA — ADR

     573        10/27/17      USD     10.00          USD       577       (25,212 ) 

Anadarko Petroleum Corp.

     227        11/03/17      USD     50.00          USD       1,109       (29,283 ) 

CF Industries Holdings, Inc.

     404        11/03/17      USD     36.50          USD       1,420       (46,056 ) 

CF Industries Holdings, Inc.

     425        11/03/17      USD     35.00          USD       1,494       (76,075 ) 

ConocoPhillips

     472        11/03/17      USD     51.00          USD       2,362       (41,536 ) 

Devon Energy Corp.

     308        11/03/17      USD     35.00          USD       1,131       (74,536 ) 

EOG Resources, Inc.

     74        11/03/17      USD     95.00          USD       716       (27,565 ) 

Halliburton Co.

     286        11/03/17      USD     44.00          USD       1,316       (75,933 ) 

Mosaic Co.

     283        11/03/17      USD     22.50          USD       611       (14,150 ) 

Pioneer Natural Resources Co.

     26        11/03/17      USD     157.50          USD       384       (5,135 ) 

Vale SA — ADR

     1,278        11/03/17      USD     10.50          USD       1,287       (35,784 ) 

Tyson Foods, Inc., Class A

     140        11/10/17      USD     70.00          USD       986       (28,280 ) 

Vale SA — ADR

     573        11/10/17      USD     10.00          USD       577       (30,369 ) 

Exxon Mobil Corp.

     169        11/13/17      USD     80.07          USD       1,385       (37,015 ) 

Agrium, Inc.

     379        11/17/17      USD     130.00          USD       5,068       (189,082 ) 

Agrium, Inc.

     825        11/17/17      USD     140.00          USD       11,032       (93,228 ) 

BP PLC — ADR

     2,195        11/17/17      USD     37.00          USD       8,435       (386,320 ) 

BP PLC — ADR

     200        11/17/17      USD     38.00          USD       769       (20,800 ) 

Baker Hughes a GE Co.

     62        11/17/17      USD     38.00          USD       227       (4,805 ) 

CF Industries Holdings, Inc.

     205        11/17/17      USD     32.50          USD       721       (73,288 ) 

CF Industries Holdings, Inc.

     113        11/17/17      USD     35.00          USD       397       (22,882 ) 

CF Industries Holdings, Inc.

     231        11/17/17      USD     37.50          USD       812       (23,677 ) 

Canadian Natural Resources Ltd.

     317        11/17/17      USD     43.00          USD       1,325       (18,292 ) 

Chevron Corp.

     174        11/17/17      USD     112.25          USD       2,045       (92,840 ) 

Chevron Corp.

     445        11/17/17      USD     113.25          USD       5,229       (205,979 ) 

Devon Energy Corp.

     193        11/17/17      USD     35.00          USD       709       (51,724 ) 

EOG Resources, Inc.

     450        11/17/17      USD     97.50          USD       4,353       (125,550 ) 

Encana Corp.

     847        11/17/17      USD     16.00          USD       1,244       (20,365 ) 

Exxon Mobil Corp.

     169        11/17/17      USD     80.75          USD       1,385       (31,580 ) 

Halliburton Co.

     278        11/17/17      USD     45.00          USD       1,280       (61,716 ) 

Hess Corp.

     334        11/17/17      USD     45.00          USD       1,566       (106,045 ) 

Newmont Mining Corp.

     300        11/17/17      USD     39.00          USD       1,125       (25,050 ) 

Potash Corp. of Saskatchewan, Inc.

     1,625        11/17/17      USD     20.00          USD       3,127       (63,375 ) 

Rio Tinto PLC, ADR

     1,277        11/17/17      USD     50.00          USD       6,026       (86,198 ) 

Rio Tinto PLC, ADR

     341        11/17/17      USD     47.50          USD       1,609       (52,173 ) 

Royal Dutch Shell PLC — ADR, Class A

     807        11/17/17      USD     57.80          USD       4,889       (260,040 ) 

Royal Dutch Shell PLC — ADR, Class A

     808        11/17/17      USD     60.00          USD       4,895       (133,320 ) 

Tyson Foods, Inc., Class A

     300        11/17/17      USD     67.50          USD       2,114       (130,500 ) 

Vale SA — ADR

     261        11/17/17      USD     11.00          USD       263       (5,742 ) 

Exxon Mobil Corp.

     138        11/27/17      USD     81.00          USD       1,131       (26,066 ) 

 

     
                
4    BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST    SEPTEMBER 30, 2017   

Consolidated Schedule of Investments (continued)

   

BlackRock Resources & Commodities Strategy Trust (BCX)

 

 

Exchange-Traded Options Written (continued)  
Description   Number of
Contracts		        Expiration
Date		      Exercise
Price		       

Notional
Amount
(000)

     Value  

Chevron Corp.

     227        12/15/17      USD     120.00          USD       2,667     $ (39,044 ) 

Exxon Mobil Corp.

     64        12/15/17      USD     82.50          USD       525       (9,408 ) 

Potash Corp. of Saskatchewan, Inc.

     1,900        12/15/17      USD     20.00          USD       3,656       (102,600 ) 

Total

 

   $ (9,246,457 ) 
 

 

 

  
                      
OTC Options Written  
Description   Counterparty      Number of
Contracts		        Expiration
Date		      Exercise
Price		     Notional
Amount
(000)		     Value  
Call  

Baker Hughes a GE Co.

   Morgan Stanley & Co. International PLC        32,600        10/03/17        USD        34.04       USD       1,194     $ (84,219 ) 

Elders, Ltd.

   Deutsche Bank AG        35,000        10/04/17        AUD        5.01       AUD       170       (262 ) 

Baker Hughes a GE Co.

   Morgan Stanley & Co. International PLC        1,700        10/11/17        USD        36.54       USD       62       (1,272 ) 

Eni SpA, ADR

   Credit Suisse International        13,300        10/11/17        USD        31.61       USD       440       (19,847 ) 

Glanbia PLC

   Morgan Stanley & Co. International PLC        25,000        10/11/17        EUR        16.24       EUR       399       (3,347 ) 

Royal Dutch Shell PLC — ADR, Class A

   Deutsche Bank AG        93,700        10/11/17        USD        55.31       USD       5,676       (490,717 ) 

Vale SA — ADR

   Morgan Stanley & Co. International PLC        52,200        10/12/17        USD        9.89       USD       526       (19,890 ) 

Packaging Corp. of America

   Bank of America N.A.        61,100        10/16/17        USD        117.00       USD       7,007       (54,328 ) 

Baker Hughes a GE Co.

   Morgan Stanley & Co. International PLC        32,600        10/18/17        USD        34.04       USD       1,194       (89,296 ) 

Elders, Ltd.

   UBS AG        32,000        10/18/17        AUD        5.07       AUD       155       (753 ) 

Fresnillo PLC

   Goldman Sachs International        41,500        10/18/17        GBP        16.56       GBP       583       (34 ) 

Glencore PLC

   Credit Suisse International        375,200        10/18/17        GBP        3.77       GBP       1,287       (2,066 ) 

Yara International ASA

   Goldman Sachs International        35,500        10/18/17        NOK        338.95       NOK       12,678       (96,417 ) 

CF Industries Holdings, Inc.

   Citibank N.A.        21,200        10/20/17        USD        30.99       USD       745       (91,982 ) 

CF Industries Holdings, Inc.

   UBS AG        21,300        10/20/17        USD        30.83       USD       749       (95,568 ) 

Glencore PLC

   Goldman Sachs International        80,000        10/24/17        GBP        3.50       GBP       274       (7,380 ) 

Glencore PLC

   Goldman Sachs International        1,829,000        10/24/17        GBP        3.73       GBP       6,273       (40,466 ) 

BHP Billiton PLC

   Goldman Sachs International        327,500        10/25/17        GBP        13.92       GBP       4,313       (55,427 ) 

Elders, Ltd.

   UBS AG        55,000        10/25/17        AUD        4.65       AUD       267       (10,683 ) 

Eni SpA, ADR

   Barclays Bank PLC        27,500        10/25/17        USD        32.47       USD       909       (23,818 ) 

Glanbia PLC

   Goldman Sachs International        36,800        10/25/17        EUR        16.36       EUR       587       (7,531 ) 

South32 Ltd.

   Deutsche Bank AG        1,200,000        10/25/17        AUD        3.14       AUD       3,960       (188,692 ) 

Encana Corp.

   Royal Bank of Canada        126,800        10/26/17        CAD        12.17       CAD       1,863       (258,572 ) 

Newcrest Mining Ltd.

   UBS AG        183,000        10/27/17        AUD        23.57       AUD       3,839       (3,131 ) 

Eni SpA, ADR

   UBS AG        27,500        10/30/17        USD        32.73       USD       909       (20,471 ) 

Precision Drilling Corp.

   Morgan Stanley & Co. International PLC        70,000        10/30/17        CAD        3.31       CAD       272       (37,081 ) 

Canadian Natural Resources Ltd.

   Deutsche Bank AG        92,300        10/31/17        CAD        40.81       CAD       3,857       (118,183 ) 

Encana Corp.

   Morgan Stanley & Co. International PLC        84,600        10/31/17        CAD        13.30       CAD       1,243       (115,070 ) 

Franco-Nevada Corp.

   Deutsche Bank AG        23,500        10/31/17        CAD        104.57       CAD       2,272       (11,314 ) 

Fresnillo PLC

   UBS AG        22,325        10/31/17        GBP        15.46       GBP       314       (2,172 ) 

Glanbia PLC

   Morgan Stanley & Co. International PLC        45,000        10/31/17        EUR        16.33       EUR       718       (11,357 ) 

Newcrest Mining Ltd.

   UBS AG        258,000        10/31/17        AUD        22.90       AUD       5,413       (14,574 ) 

 

     
                
   BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST    SEPTEMBER 30, 2017    5

Consolidated Schedule of Investments (continued)

   

BlackRock Resources & Commodities Strategy Trust (BCX)

 

 

OTC Options Written (continued)  
Description   Counterparty      Number of
Contracts		        Expiration
Date		   Exercise
Price		     Notional
Amount
(000)		     Value  
Call  

Rio Tinto PLC, ADR

   Morgan Stanley & Co. International PLC        34,100        10/31/17     USD          48.42       USD       1,609     $ (26,015 ) 

Elders, Ltd.

   UBS AG        55,000        11/01/17     AUD          4.63       AUD       267       (11,943 ) 

Elders, Ltd.

   Goldman Sachs International        35,000        11/08/17     AUD          4.65       AUD       170       (7,562 ) 

Elders, Ltd.

   UBS AG        55,000        11/08/17     AUD          4.66       AUD       267       (11,637 ) 

Eni SpA, ADR

   JPMorgan Chase Bank N.A.        42,300        11/08/17     USD          33.02       USD       1,399       (25,896 ) 

Lundin Mining Corp.

   Citibank N.A.        160,000        11/08/17     CAD          9.80       CAD       1,370       (19,864 ) 

Newcrest Mining Ltd.

   UBS AG        117,000        11/08/17     AUD          22.89       AUD       2,455       (10,313 ) 

Boliden AB

   UBS AG        38,500        11/09/17     SEK          280.06       SEK       10,636       (37,302 ) 

Elders, Ltd.

   JPMorgan Chase Bank N.A.        46,700        11/09/17     AUD          4.55       AUD       226       (12,939 ) 

Elders, Ltd.

   UBS AG        50,000        11/09/17     AUD          4.70       AUD       243       (9,590 ) 

Glencore PLC

   Goldman Sachs International        867,800        11/09/17     GBP          3.55       GBP       2,977       (92,885 ) 

Boliden AB

   UBS AG        52,600        11/10/17     SEK          273.87       SEK       14,532       (71,403 ) 

Rio Tinto PLC, ADR

   Barclays Bank PLC        92,800        11/10/17     USD          49.10       USD       4,379       (71,860 ) 

Encana Corp.

   Morgan Stanley & Co. International PLC        59,300        11/14/17     CAD          13.20       CAD       871       (82,068 ) 

BHP Billiton PLC

   Credit Suisse International        327,500        11/16/17     GBP          13.81       GBP       4,313       (113,675 ) 

BHP Billiton PLC

   Goldman Sachs International        53,700        11/16/17     GBP          13.38       GBP       707       (24,952 ) 

Boliden AB

   Morgan Stanley & Co. International PLC        60,000        11/16/17     SEK          276.44       SEK       16,576       (76,894 ) 

Fresnillo PLC

   Credit Suisse International        124,400        11/16/17     GBP          14.85       GBP       1,749       (46,777 ) 

Glanbia PLC

   Citibank N.A.        16,100        11/16/17     EUR          16.74       EUR       257       (3,258 ) 

Glencore PLC

   Credit Suisse International        852,100        11/16/17     GBP          3.57       GBP       2,923       (95,778 ) 

South32 Ltd.

   Citibank N.A.        1,108,000        11/16/17     AUD          3.29       AUD       3,656       (123,582 ) 

South32 Ltd.

   UBS AG        916,000        11/16/17     AUD          3.26       AUD       3,023       (110,784 ) 

Yara International ASA

   Morgan Stanley & Co. International PLC        35,400        11/16/17     NOK          372.35       NOK       12,642       (34,675 ) 

Cimarex Energy Co.

   Morgan Stanley & Co. International PLC        21,400        11/20/17     USD          106.71       USD       2,433       (200,349 ) 

Glanbia PLC

   HSBC Bank PLC        20,000        11/20/17     EUR          16.34       EUR       319       (7,183 ) 

Devon Energy Corp.

   Credit Suisse International        22,900        11/27/17     USD          34.65       USD       841       (68,413 ) 

Eni SpA, ADR

   Bank of America N.A.        42,300        11/27/17     USD          33.00       USD       1,399       (31,832 ) 

CF Industries Holdings, Inc.

   Barclays Bank PLC        74,000        12/04/17     USD          35.60       USD       2,602       (137,114 ) 

Elders, Ltd.

   UBS AG        38,000        12/05/17     AUR          4.64       AUD       184       (9,665 ) 

Elders, Ltd.

   UBS AG        49,000        12/05/17     AUR          4.93       AUD       238       (5,969 ) 

Glanbia PLC

   Morgan Stanley & Co. International PLC        20,000        12/05/17     EUR          16.36       EUR       319       (8,463 ) 

Yara International ASA

   Goldman Sachs International        35,500        12/05/17     NOK          365.22       NOK       12,678       (55,693 ) 

Cimarex Energy Co.

   Morgan Stanley & Co. International PLC        13,300        12/07/17     USD          113.00       USD       1,512       (79,956 ) 

Devon Energy Corp.

   Credit Suisse International        22,900        12/11/17     USD          36.50       USD       841       (48,704 ) 

Total

 

   $ (3,750,913 ) 
                        

 

 

  

 

     
                
6    BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST    SEPTEMBER 30, 2017   

Consolidated Schedule of Investments (continued)

   

BlackRock Resources & Commodities Strategy Trust (BCX)

 

Fair Value Hierarchy as of Period End

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

 

  •  

Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  •  

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

 

  •  

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

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

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

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

 

     Level 1        Level 2        Level 3     Total  
Assets:              
Long-Term Investments:              
Common Stocks:              

Chemicals

  $ 141,197,157        $ 11,927,662          —     $ 153,124,819  

Containers & Packaging

    25,405,863          —          —       25,405,863  

Energy Equipment & Services

    32,945,320          —          —       32,945,320  

Food Products

    60,734,046          4,746,887          —       65,480,933  

Metals & Mining

    150,802,148          148,267,786          —       299,069,934  

Oil, Gas & Consumable Fuels

    361,719,111          6,516,330          —       368,235,441  

Paper & Forest Products

    10,678,751          117,726        $ 557,969       11,354,446  

Corporate Bonds

    —          9,357,453          —       9,357,453  

Short-Term Investment Fund

    19,090,150          —          —       19,090,150  
 

 

 

  

Subtotal

   $ 802,572,546        $ 180,933,844        $ 557,969     $ 984,064,359  
 

 

 

  

Investments Valued at NAV1

     —          —          —       954,119  
 

 

 

  

Total

   $ 802,572,546        $ 180,933,844        $ 557,969     $ 985,018,478  
 

 

 

  

Derivative Financial Instruments2

 

 

     
                
   BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST    SEPTEMBER 30, 2017    7

Consolidated Schedule of Investments (concluded)

   

BlackRock Resources & Commodities Strategy Trust (BCX)

 

 

Liabilities:

             

Equity contracts

   $ (8,293,734 )       $ (4,703,636 )         —     $ (12,997,370 ) 
 

 

 

  

1    As of September 30, 2017, certain of the Trust’s investments were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

     

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

     

During the period ended September 30, 2017, there were no transfers between levels.

 

     
                
8    BLACKROCK RESOURCES & COMMODITIES STRATEGY TRUST    SEPTEMBER 30, 2017   

Item 2 – Controls and Procedures

 

2(a) –    The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) –    There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

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

 

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

Date:

   November 20, 2017

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

 

By:   /s/ John M. Perlowski                        
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Resources & Commodities Strategy Trust
Date:   November 20, 2017
By:   /s/ Neal J. Andrews                        
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Resources & Commodities Strategy Trust
Date:   November 20, 2017