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: 12/31/2016

Date of reporting period: 03/31/2016

Item 1 – Schedule of Investments

Consolidated Schedule of Investments March 31, 2016 (Unaudited)   BlackRock Resources & Commodities Strategy Trust (BCX)
 

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares      Value  

Chemicals — 15.5%

  

Albemarle Corp. (a)

      245,000       $ 15,662,850   

CF Industries Holdings, Inc. (a)

      424,800         13,313,232   

Monsanto Co. (a)(b)

      435,481         38,209,103   

Potash Corp. of Saskatchewan, Inc. (a)

      1,312,943         22,346,290   

Syngenta AG

      106,161         44,024,628   
     

 

 

  
                133,556,103   

Containers & Packaging — 5.9%

  

International Paper Co. (a)

      559,075         22,944,438   

Packaging Corp. of America

      244,348         14,758,619   

Smurfit Kappa Group PLC

      511,889         13,167,609   
     

 

 

  
                50,870,666   

Energy Equipment & Services — 0.7%

  

Schlumberger Ltd. (a)

      86,803         6,401,721   

Food & Staples Retailing — 1.0%

  

Fyffes PLC

      5,661,526         8,954,747   

Food Products — 11.4%

  

AGT Food & Ingredients, Inc.

      304,049         8,884,435   

Bunge Ltd. (a)

      224,049         12,696,857   

First Resources Ltd.

      8,361,900         12,546,845   

Glanbia PLC

      395,570         8,075,154   

Ingredion, Inc. (a)

      41,716         4,454,852   

Kerry Group PLC, Class A

      106,253         9,881,309   

Leroy Seafood Group ASA

      143,496         6,774,428   

Mead Johnson Nutrition Co. (a)

      120,398         10,230,218   

Pilgrim’s Pride Corp. (a)(c)

      142,458         3,618,433   

Select Harvests Ltd. (d)

      1,175,925         3,714,362   

Tyson Foods, Inc., Class A (a)

      193,933         12,927,574   

Wilmar International Ltd.

      1,833,400         4,571,866   
     

 

 

  
                98,376,333   

Independent Power and Renewable Electricity Producers — 0.0%

  

Greenko Group PLC (c)

      59,000         856   

Metals & Mining — 31.4%

  

Alcoa, Inc. (a)

      1,993,872         19,101,294   

Barrick Gold Corp. (a)

      1,726,922         23,451,601   

BHP Billiton Ltd. — ADR (a)(d)

      930,196         24,092,076   

BHP Billiton PLC

      204,755         2,292,915   

Boliden AB

      329,897         5,262,418   

Dominion Diamond Corp. (a)

      825,000         9,147,257   

Eldorado Gold Corp. (a)

      3,572,003         11,221,384   

First Quantum Minerals Ltd.

      3,178,624         16,740,549   

Fresnillo PLC

      643,996         8,794,854   

Glencore PLC

      13,278,009         29,855,000   

Grupo Mexico SAB de CV, Series B

      6,189,083         14,930,760   

Iluka Resources Ltd.

      2,502,297         12,546,261   

Lundin Mining Corp. (c)

      3,907,085         12,304,121   

MMC Norilsk Nickel PJSC — ADR

      557,928         7,189,963   

Nevsun Resources Ltd. (a)

      3,584,647         11,592,314   

Newcrest Mining Ltd. (c)

      1,750,000         22,646,635   

OZ Minerals Ltd.

      2,158,845         8,266,380   
Common Stocks    Shares      Value  

Metals & Mining (continued)

      

Rio Tinto PLC — ADR (a)

      453,575       $ 12,822,565   

Silver Wheaton Corp. (a)

      490,788         8,137,265   

Tahoe Resources, Inc. (a)

      1,086,180         10,888,981   
     

 

 

  
                271,284,593   

Oil, Gas & Consumable Fuels — 30.1%

  

Anadarko Petroleum Corp. (a)

      100,340         4,672,834   

BP PLC — ADR (a)

      1,038,760         31,349,776   

Cairn Energy PLC (c)

      3,188,680         9,133,833   

Chevron Corp. (a)(b)

      553,752         52,827,941   

ConocoPhillips (a)(b)

      628,460         25,308,084   

Enbridge, Inc. (a)

      527,610         20,539,720   

Eni SpA — ADR

      167,870         5,073,031   

EQT Corp.

      60,400         4,062,504   

Exxon Mobil Corp. (a)(b)

      664,604         55,554,248   

Imperial Oil Ltd. (a)

      298,090         9,958,903   

Inpex Corp.

      301,400         2,282,467   

Royal Dutch Shell PLC, A Shares

      215,918         5,213,534   

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

      258,824         12,540,023   

Statoil ASA

      216,331         3,378,735   

Suncor Energy, Inc. (a)

      130,476         3,633,738   

TOTAL SA — ADR (a)

      313,270         14,228,723   
     

 

 

  
                259,758,094   

Paper & Forest Products — 2.4%

  

Interfor Corp. (c)

      1,099,173         12,161,783   

Louisiana-Pacific Corp. (a)(c)

      520,900         8,917,808   

Precious Woods Holding AG (c)

      20,000         97,759   
     

 

 

  
                21,177,350   

Real Estate Investment Trusts (REITs) — 0.3%

  

Weyerhaeuser Co. (a)

      91,871         2,846,164   

Total Common Stocks — 98.7%

               853,226,627   
     
Preferred Stocks                

Food Products — 0.9%

      

Tyson Foods, Inc.

      99,842         7,436,232   

Total Long-Term Investments

(Cost — $887,011,083) — 99.6%

               860,662,859   
     
                    
 
      Portfolio Abbreviations               
ADR    American Depositary Receipt      EUR    Euro    NOK    Norwegian Krone
AUD    Australian Dollar      GBP    British Pound    SEK    Swedish Krona
CAD    Canadian Dollar      JPY    Japanese Yen    SGD    Singapore Dollar
CHF    Swiss Franc      MXN    Mexican Peso    USD    U.S. Dollar

 

          MARCH 31, 2016    1

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

 

Short-Term Securities    Shares      Value  

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.37% (e)(f)

      16,267,760       $ 16,267,760   
      Beneficial
Interest
(000)		          

BlackRock Liquidity Series, LLC Money Market
Series, 0.55% (e)(f)(g)

      $       10,080         10,079,689   

Total Short-Term Securities

(Cost — $26,347,449) — 3.0%

  

  

      26,347,449   
     
                    
            Value  

Total Investments Before Options Written

(Cost — $913,358,532*) — 102.6%

         $ 887,010,308   
     
Options Written              

(Premiums Received — $9,139,275) — (1.5)%

           (12,992,872 ) 

Total Investments Net of Options Written — 101.1%

         874,017,436   

Liabilities in Excess of Other Assets — (1.1)%

         (9,854,401 ) 
     

 

 

  

Net Assets — 100.0%

       $   864,163,035   
     

 

 

  
 

 

      Notes to Schedule of Investments

 

* As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

    $ 954,340,387   
  

 

 

  

Gross unrealized appreciation

    $ 73,276,103   

Gross unrealized depreciation

      (140,606,182 ) 
  

 

 

  

Net unrealized depreciation

    $ (67,330,079 ) 
  

 

 

  

 

(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 security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(c) Non-income producing security.

 

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

 

(e) During the period ended March 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliates    Shares/
Beneficial Interest
Held at
December  31,
2015		     

Net

Activity

     

Shares/
Beneficial Interest
Held at

March 31,

2016

      Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

      6,170,241         10,097,519         16,267,760         $ 15,542   

BlackRock Liquidity Series, LLC Money Market Series

      $     35,689         $10,044,000         $10,079,689         $ 26,693 1 

Total

               $ 42,235   
           

 

 

  

 

  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.

 

(f) Current yield as of period end.

 

(g) Security was purchased with the cash collateral from loaned securities. The Trust may withdraw up to 25% of its investment daily, although the manager of the BlackRock Liquidity Series LLC, Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

 

•  

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

 

      Derivative Financial Instruments Outstanding as of Period End

      Exchange-Traded Options Written

Description    Put/
Call		      Expiration
Date		   

Strike

Price

      Contracts      Value  

Anadarko Petroleum Corp.

      Call       4/01/16      USD         47.00         54       $ (2,133 ) 

Barrick Gold Corp.

      Call       4/01/16      USD         12.50         385         (43,890 ) 

CF Industries Holdings, Inc.

      Call       4/01/16      USD         34.50         490         (1,960 ) 

Chevron Corp.

      Call       4/01/16      USD         91.00         675         (295,312 ) 

ConocoPhillips

      Call       4/01/16      USD         41.00         258         (2,967 ) 

Exxon Mobil Corp.

      Call       4/01/16      USD         81.00         115         (31,740 ) 

Exxon Mobil Corp.

      Call       4/01/16      USD         81.50         221         (47,515 ) 

 

2         MARCH 31, 2016     

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

 

Description      Put/
Call		        Expiration
Date		     

Strike

Price

        Contracts        Value  

Potash Corp. of Saskatchewan, Inc.

        Call         4/01/16        USD         18.50           417         $ (417 ) 

TOTAL SA — ADR

        Call         4/06/16        USD         45.01           415           (32,935 ) 

Alcoa, Inc.

        Call         4/08/16        USD         10.00           3,000           (22,500 ) 

Anadarko Petroleum Corp.

        Call         4/08/16        USD         45.00           54           (12,636 ) 

Chevron Corp.

        Call         4/08/16        USD         90.00           484           (268,620 ) 

ConocoPhillips

        Call         4/08/16        USD         42.50           505           (9,595 ) 

ConocoPhillips

        Call         4/08/16        USD         45.00           86           (2,064 ) 

Monsanto Co.

        Call         4/08/16        USD         96.00           433           (9,093 ) 

Potash Corp. of Saskatchewan, Inc.

        Call         4/08/16        USD         18.50           417           (1,460 ) 

Schlumberger Ltd.

        Call         4/08/16        USD         75.00           61           (2,806 ) 

Schlumberger Ltd.

        Call         4/08/16        USD         76.00           8           (172 ) 

BHP Billiton Ltd. — ADR

        Call         4/14/16        USD         24.00           1,000           (227,725 ) 

Albemarle Corp.

        Call         4/15/16        USD         60.00           357           (164,220 ) 

Anadarko Petroleum Corp.

        Call         4/15/16        USD         47.50           55           (8,085 ) 

Barrick Gold Corp.

        Call         4/15/16        USD         14.00           2,000           (74,000 ) 

BHP Billiton Ltd. — ADR

        Call         4/15/16        USD         27.00           305           (15,250 ) 

BHP Billiton Ltd. — ADR

        Call         4/15/16        USD         30.00           360           (1,980 ) 

BP PLC — ADR

        Call         4/15/16        USD         32.00           375           (3,938 ) 

Bunge Ltd.

        Call         4/15/16        USD         52.50           305           (140,300 ) 

Bunge Ltd.

        Call         4/15/16        USD         57.50           480           (38,400 ) 

Chevron Corp.

        Call         4/15/16        USD         92.50           229           (82,440 ) 

ConocoPhillips

        Call         4/15/16        USD         42.50           252           (11,592 ) 

ConocoPhillips

        Call         4/15/16        USD         45.00           171           (1,881 ) 

Dominion Diamond Corp.

        Call         4/15/16        CAD         16.00           1,890           (16,735 ) 

Eldorado Gold Corp.

        Call         4/15/16        CAD         4.00           5,000           (100,096 ) 

Enbridge, Inc.

        Call         4/15/16        CAD         48.00           605           (134,626 ) 

Exxon Mobil Corp.

        Call         4/15/16        USD         82.50           665           (128,012 ) 

Exxon Mobil Corp.

        Call         4/15/16        USD         85.00           263           (14,860 ) 

Imperial Oil Ltd.

        Call         4/15/16        CAD         46.00           670           (6,964 ) 

Ingredion, Inc.

        Call         4/15/16        USD         110.00           75           (4,125 ) 

International Paper Co.

        Call         4/15/16        USD         39.00           240           (53,760 ) 

Louisiana-Pacific Corp.

        Call         4/15/16        USD         17.00           300           (15,750 ) 

Louisiana-Pacific Corp.

        Call         4/15/16        USD         18.00           300           (4,500 ) 

Mead Johnson Nutrition Co.

        Call         4/15/16        USD         75.00           56           (56,000 ) 

Mead Johnson Nutrition Co.

        Call         4/15/16        USD         85.00           155           (40,145 ) 

Nevsun Resources Ltd.

        Call         4/15/16        CAD         5.00           3,520           (10,841 ) 

Pilgrim’s Pride Corp.

        Call         4/15/16        USD         25.00           600           (51,000 ) 

Potash Corp. of Saskatchewan, Inc.

        Call         4/15/16        USD         19.00           416           (1,456 ) 

Rio Tinto PLC — ADR

        Call         4/15/16        USD         30.00           420           (16,800 ) 

Royal Dutch Shell PLC, A Shares — ADR

        Call         4/15/16        USD         50.00           183           (7,778 ) 

Schlumberger Ltd.

        Call         4/15/16        USD         75.00           32           (2,480 ) 

Silver Wheaton Corp.

        Call         4/15/16        USD         18.50           215           (1,935 ) 

Silver Wheaton Corp.

        Call         4/15/16        USD         19.00           215           (1,612 ) 

Suncor Energy, Inc.

        Call         4/15/16        CAD         36.00           155           (9,309 ) 

Tahoe Resources, Inc.

        Call         4/15/16        CAD         13.00           1,165           (48,887 ) 

Tahoe Resources, Inc.

        Call         4/15/16        CAD         14.00           1,185           (18,248 ) 

TOTAL SA — ADR

        Call         4/15/16        USD         47.50           134           (2,680 ) 

Tyson Foods, Inc., Class A

        Call         4/15/16        USD         62.50           282           (124,080 ) 

Tyson Foods, Inc., Class A

        Call         4/15/16        USD         67.50           400           (30,000 ) 

Alcoa, Inc.

        Call         4/22/16        USD         10.00           1,000           (27,500 ) 

Anadarko Petroleum Corp.

        Call         4/22/16        USD         55.00           55           (1,375 ) 

BP PLC — ADR

        Call         4/22/16        USD         31.50           250           (7,250 ) 

CF Industries Holdings, Inc.

        Call         4/22/16        USD         38.00           510           (17,340 ) 

ConocoPhillips

        Call         4/22/16        USD         43.50           503           (21,880 ) 

Exxon Mobil Corp.

        Call         4/22/16        USD         83.00           500           (94,000 ) 

Exxon Mobil Corp.

        Call         4/22/16        USD         86.00           263           (12,756 ) 

Monsanto Co.

        Call         4/22/16        USD         93.00           545           (77,390 ) 

Potash Corp. of Saskatchewan, Inc.

        Call         4/22/16        USD         20.00           1,540           (21,560 ) 

Schlumberger Ltd.

        Call         4/22/16        USD         76.50           42           (3,402 ) 

Silver Wheaton Corp.

        Call         4/22/16        USD         19.00           430           (5,375 ) 

Weyerhaeuser Co.

        Call         4/22/16        USD         27.50           322           (119,140 ) 

Alcoa, Inc.

        Call         4/29/16        USD         10.00           1,500           (48,000 ) 

Anadarko Petroleum Corp.

        Call         4/29/16        USD         48.50           67           (12,261 ) 

Barrick Gold Corp.

        Call         4/29/16        USD         17.00           1,275           (12,750 ) 

BHP Billiton Ltd. — ADR

        Call         4/29/16        USD         29.50           520           (12,743 ) 

 

          MARCH 31, 2016    3

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

 

Description      Put/
Call		        Expiration
Date		     

Strike

Price

        Contracts        Value  

BP PLC — ADR

        Call         4/29/16        USD         33.00           375         $ (5,438 ) 

CF Industries Holdings, Inc.

        Call         4/29/16        USD         35.50           250           (7,625 ) 

Chevron Corp.

        Call         4/29/16        USD         96.00           64           (14,528 ) 

ConocoPhillips

        Call         4/29/16        USD         43.50           251           (18,323 ) 

Exxon Mobil Corp.

        Call         4/29/16        USD         84.00           150           (24,900 ) 

Potash Corp. of Saskatchewan, Inc.

        Call         4/29/16        USD         19.50           690           (7,935 ) 

Potash Corp. of Saskatchewan, Inc.

        Call         4/29/16        USD         20.00           1,115           (8,363 ) 

Schlumberger Ltd.

        Call         4/29/16        USD         75.50           27           (3,712 ) 

Silver Wheaton Corp.

        Call         4/29/16        USD         19.50           430           (6,880 ) 

TOTAL SA — ADR

        Call         4/29/16        USD         46.75           134           (9,486 ) 

Barrick Gold Corp.

        Call         5/06/16        USD         14.00           385           (27,528 ) 

BP PLC — ADR

        Call         5/06/16        USD         32.50           878           (21,072 ) 

CF Industries Holdings, Inc.

        Call         5/06/16        USD         32.50           237           (32,706 ) 

ConocoPhillips

        Call         5/06/16        USD         41.00           173           (29,670 ) 

Exxon Mobil Corp.

        Call         5/06/16        USD         84.50           149           (23,840 ) 

International Paper Co.

        Call         5/06/16        USD         42.00           628           (54,950 ) 

Schlumberger Ltd.

        Call         5/06/16        USD         75.00           61           (10,950 ) 

International Paper Co.

        Call         5/13/16        USD         42.00           629           (61,011 ) 

Schlumberger Ltd.

        Call         5/13/16        USD         76.00           26           (4,043 ) 

TOTAL SA — ADR

        Call         5/13/16        USD         46.01           278           (39,198 ) 

Alcoa, Inc.

        Call         5/20/16        USD         10.00           1,500           (66,000 ) 

Anadarko Petroleum Corp.

        Call         5/20/16        USD         50.00           67           (14,003 ) 

Barrick Gold Corp.

        Call         5/20/16        USD         14.00           2,000           (169,000 ) 

BHP Billiton Ltd. — ADR

        Call         5/20/16        USD         31.00           520           (14,820 ) 

BP PLC — ADR

        Call         5/20/16        USD         33.00           879           (18,898 ) 

Chevron Corp.

        Call         5/20/16        USD         95.51           486           (137,131 ) 

Eldorado Gold Corp.

        Call         5/20/16        CAD         5.00           4,500           (39,846 ) 

Enbridge, Inc.

        Call         5/20/16        CAD         52.00           630           (55,542 ) 

International Paper Co.

        Call         5/20/16        USD         42.00           460           (47,150 ) 

Louisiana-Pacific Corp.

        Call         5/20/16        USD         17.00           620           (66,650 ) 

Mead Johnson Nutrition Co.

        Call         5/20/16        USD         85.00           210           (96,600 ) 

Monsanto Co.

        Call         5/20/16        USD         95.00           546           (58,149 ) 

Silver Wheaton Corp.

        Call         5/20/16        USD         20.00           430           (9,675 ) 

Suncor Energy, Inc.

        Call         5/20/16        CAD         38.00           146           (6,350 ) 

Tahoe Resources, Inc.

        Call         5/20/16        CAD         15.00           1,435           (37,014 ) 

TOTAL SA — ADR

        Call         5/20/16        USD         47.50           135           (11,138 ) 

Suncor Energy, Inc.

        Call         6/17/16        CAD         36.00           155           (20,110 ) 

Total

                             $ (4,235,261 ) 
                           

 

 

  

 

OTC Options Written

                             
Description    Put/
Call		      Counterparty      Expiration
Date		     

Strike

Price

        Contracts        Value  

Albemarle Corp.

      Call       Goldman Sachs International      4/04/16      USD      53.88           50,000         $ (502,679 ) 

Eldorado Gold Corp.

      Call       Credit Suisse International      4/04/16      CAD      4.30           300,000           (7,842 ) 

Interfor Corp.

      Call       Credit Suisse International      4/04/16      CAD      11.22           64,000           (155,254 ) 

Cairn Energy PLC

      Call       Morgan Stanley & Co. International PLC      4/05/16      GBP      1.48           51,000           (37,372 ) 

Eni SpA — ADR

      Call       Morgan Stanley & Co. International PLC      4/05/16      USD      27.26           28,000           (97,019 ) 

First Resources Ltd.

      Call       JPMorgan Chase Bank N.A.      4/05/16      SGD      1.99           400,000           (12,788 ) 

Glanbia PLC

      Call       Morgan Stanley & Co. International PLC      4/05/16      EUR      19.31           45,000           (39 ) 

Glencore PLC

      Call       Credit Suisse International      4/05/16      GBP      0.98           500,000           (417,390 ) 

Glencore PLC

      Call       Credit Suisse International      4/05/16      GBP      1.10           267,000           (177,898 ) 

Iluka Resources Ltd.

      Call       UBS AG      4/05/16      AUD      6.84           350,000           (11,324 ) 

Newcrest Mining Ltd.

      Call       Citibank N.A.      4/05/16      AUD      17.62           306,000           (39,154 ) 

Syngenta AG

      Call       UBS AG      4/05/16      CHF      407.79           28,300           (36,562 ) 

First Resources Ltd.

      Call       UBS AG      4/06/16      SGD      1.71           400,000           (92,721 ) 

Boliden AB

      Call       Credit Suisse International      4/07/16      SEK      122.85           30,000           (27,008 ) 

First Quantum Minerals Ltd.

      Call       Credit Suisse International      4/07/16      CAD      5.29           500,000           (608,631 ) 

Inpex Corp.

      Call       JPMorgan Chase Bank N.A.      4/07/16      JPY      852.70           62,500           (11,975 ) 

Lundin Mining Corp.

      Call       Morgan Stanley & Co. International PLC      4/07/16      CAD      4.05           349,000           (37,718 ) 

Smurfit Kappa Group PLC

      Call       UBS AG      4/07/16      EUR      23.49           59,000           (3,453 ) 

AGT Food & Ingredients, Inc.

      Call       Morgan Stanley & Co. International PLC      4/08/16      CAD      38.11           35,000           (18,655 ) 

Kerry Group PLC, Class A

      Call       Morgan Stanley & Co. International PLC      4/08/16      EUR      82.22           20,000           (20,110 ) 

Royal Dutch Shell PLC, A Shares — ADR

      Call       Citibank N.A.      4/08/16      USD      48.41           14,000           (11,491 ) 

 

4         MARCH 31, 2016     

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

 

Description    Put/
Call		      Counterparty      Expiration
Date		     

Strike

Price

        Contracts        Value  

Enbridge, Inc.

      Call       UBS AG      4/11/16      CAD      44.95           15,300         $ (66,497 ) 

Packaging Corp. of America

      Call       Goldman Sachs International      4/11/16      USD      49.63           30,000           (324,769 ) 

BHP Billiton PLC

      Call       Morgan Stanley & Co. International PLC      4/12/16      GBP      7.88           204,000           (81,413 ) 

Fresnillo PLC

      Call       Deutsche Bank AG      4/12/16      GBP      9.51           90,000           (28,668 ) 

Glanbia PLC

      Call       Morgan Stanley & Co. International PLC      4/12/16      EUR      19.41           45,000           (668 ) 

Grupo Mexico SAB de CV, Series B

      Call       Citibank N.A.      4/12/16      MXN      36.57           500,000           (149,488 ) 

Iluka Resources Ltd.

      Call       UBS AG      4/12/16      AUD      6.67           200,000           (23,338 ) 

Newcrest Mining Ltd.

      Call       Citibank N.A.      4/12/16      AUD      18.38           306,000           (37,812 ) 

Select Harvests Ltd.

      Call       JPMorgan Chase Bank N.A.      4/12/16      AUD      4.69           50,000           (839 ) 

Select Harvests Ltd.

      Call       UBS AG      4/12/16      AUD      5.00           35,000           (142 ) 

First Resources Ltd.

      Call       Morgan Stanley & Co. International PLC      4/13/16      SGD      1.78           200,000           (35,756 ) 

Glencore PLC

      Call       Goldman Sachs International      4/13/16      GBP      1.55           641,000           (89,309 ) 

Interfor Corp.

      Call       Deutsche Bank AG      4/13/16      CAD      11.10           75,000           (189,036 ) 

Leroy Seafood Group ASA

      Call       Morgan Stanley & Co. International PLC      4/13/16      NOK      352.80           82,500           (378,521 ) 

Lundin Mining Corp.

      Call       Morgan Stanley & Co. International PLC      4/13/16      CAD      4.05           349,000           (49,361 ) 

MMC Norilsk Nickel PJSC — ADR

      Call       Deutsche Bank AG      4/13/16      USD      12.91           118,000           (45,891 ) 

OZ Minerals Ltd.

      Call       Bank of America N.A.      4/13/16      AUD      5.42           249,400           (5,743 ) 

Statoil ASA

      Call       Citibank N.A.      4/13/16      NOK      124.61           9,900           (9,905 ) 

Syngenta AG

      Call       Morgan Stanley & Co. International PLC      4/13/16      CHF      415.89           8,900           (13,164 ) 

AGT Food & Ingredients, Inc.

      Call       Morgan Stanley & Co. International PLC      4/14/16      CAD      38.48           35,000           (20,987 ) 

Boliden AB

      Call       Credit Suisse International      4/20/16      SEK      142.91           52,500           (4,747 ) 

Cairn Energy PLC

      Call       Credit Suisse International      4/20/16      GBP      1.44           146,000           (115,401 ) 

First Resources Ltd.

      Call       Morgan Stanley & Co. International PLC      4/20/16      SGD      1.78           200,000           (35,761 ) 

Glanbia PLC

      Call       Morgan Stanley & Co. International PLC      4/20/16      EUR      19.50           45,000           (1,788 ) 

Glencore PLC

      Call       Citibank N.A.      4/20/16      GBP      1.17           2,445,000           (1,408,988 ) 

Iluka Resources Ltd.

      Call       UBS AG      4/20/16      AUD      7.58           126,000           (1,680 ) 

Wilmar International Ltd.

      Call       JPMorgan Chase Bank N.A.      4/20/16      SGD      3.35           321,000           (24,734 ) 

Dominion Diamond Corp.

      Call       Deutsche Bank AG      4/22/16      CAD      16.21           50,000           (6,357 ) 

Eni SpA — ADR

      Call       Deutsche Bank AG      4/22/16      USD      32.26           30,000           (4,007 ) 

Rio Tinto PLC — ADR

      Call       Citibank N.A.      4/22/16      USD      30.76           42,000           (16,833 ) 

Enbridge, Inc.

      Call       UBS AG      4/25/16      CAD      44.95           15,300           (68,718 ) 

Packaging Corp. of America

      Call       Goldman Sachs International      4/25/16      USD      49.63           30,000           (334,760 ) 

Kerry Group PLC, Class A

      Call       Goldman Sachs International      4/26/16      EUR      82.46           18,000           (30,571 ) 

Select Harvests Ltd.

      Call       UBS AG      4/26/16      AUD      5.65           38,000           (135 ) 

First Quantum Minerals Ltd.

      Call       Credit Suisse International      4/27/16      CAD      5.29           500,000           (694,995 ) 

First Resources Ltd.

      Call       Bank of America N.A.      4/27/16      SGD      2.00           225,000           (13,336 ) 

Interfor Corp.

      Call       Deutsche Bank AG      4/27/16      CAD      11.10           75,000           (189,749 ) 

Wilmar International Ltd.

      Call       JPMorgan Chase Bank N.A.      4/27/16      SGD      3.35           321,000           (28,244 ) 

Cairn Energy PLC

      Call       Credit Suisse International      4/28/16      GBP      1.46           146,000           (112,726 ) 

Rio Tinto PLC — ADR

      Call       Deutsche Bank AG      4/28/16      USD      29.70           75,000           (58,568 ) 

Statoil ASA

      Call       Credit Suisse International      4/28/16      NOK      135.92           56,200           (34,520 ) 

AGT Food & Ingredients, Inc.

      Call       Morgan Stanley & Co. International PLC      4/29/16      CAD      38.67           35,000           (30,732 ) 

Dominion Diamond Corp.

      Call       Morgan Stanley & Co. International PLC      4/29/16      CAD      15.75           50,000           (9,387 ) 

Imperial Oil Ltd.

      Call       Deutsche Bank AG      4/29/16      CAD      45.75           35,000           (11,869 ) 

Louisiana-Pacific Corp.

      Call       Deutsche Bank AG      4/29/16      USD      17.39           60,000           (31,056 ) 

Fresnillo PLC

      Call       Bank of America N.A.      5/03/16      GBP      9.45           76,000           (41,153 ) 

Interfor Corp.

      Call       Deutsche Bank AG      5/03/16      CAD      12.91           85,000           (117,150 ) 

Boliden AB

      Call       Morgan Stanley & Co. International PLC      5/04/16      SEK      126.48           33,000           (27,484 ) 

Grupo Mexico SAB de CV, Series B

      Call       Credit Suisse International      5/04/16      MXN      44.45           50,000           (1,482 ) 

Iluka Resources Ltd.

      Call       UBS AG      5/04/16      AUD      7.45           200,000           (10,139 ) 

Royal Dutch Shell PLC, A Shares

      Call       Morgan Stanley & Co. International PLC      5/04/16      GBP      17.47           37,800           (15,157 ) 

Smurfit Kappa Group PLC

      Call       Citibank N.A.      5/04/16      EUR      22.62           90,100           (41,733 ) 

BHP Billiton Ltd. — ADR

      Call       Bank of America N.A.      5/05/16      USD      27.76           55,000           (40,774 ) 

First Resources Ltd.

      Call       Goldman Sachs International      5/06/16      SGD      2.03           250,000           (13,490 ) 

EQT Corp.

      Call       JPMorgan Chase Bank N.A.      5/10/16      USD      66.98           10,500           (38,505 ) 

First Resources Ltd.

      Call       Bank of America N.A.      5/10/16      SGD      2.04           200,000           (10,654 ) 

Glencore PLC

      Call       Deutsche Bank AG      5/10/16      GBP      1.48           795,000           (210,099 ) 

Inpex Corp.

      Call       Bank of America N.A.      5/10/16      JPY      972.01           62,700           (6,898 ) 

Interfor Corp.

      Call       Deutsche Bank AG      5/10/16      CAD      12.91           85,000           (121,833 ) 

Packaging Corp. of America

      Call       Bank of America N.A.      5/10/16      USD      53.02           25,500           (216,289 ) 

Select Harvests Ltd.

      Call       UBS AG      5/10/16      AUD      5.44           40,000           (801 ) 

Smurfit Kappa Group PLC

      Call       UBS AG      5/10/16      EUR      23.14           30,000           (10,093 ) 

Cairn Energy PLC

      Call       Morgan Stanley & Co. International PLC      5/11/16      GBP      1.63           75,000           (41,006 ) 

First Resources Ltd.

      Call       JPMorgan Chase Bank N.A.      5/11/16      SGD      2.04           200,000           (11,714 ) 

Grupo Mexico SAB de CV, Series B

      Call       Credit Suisse International      5/11/16      MXN      44.45           50,000           (1,579 ) 

 

          MARCH 31, 2016    5

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

 

Description    Put/
Call		      Counterparty      Expiration
Date		     

Strike

Price

        Contracts        Value  

OZ Minerals Ltd.

      Call       UBS AG      5/12/16      AUD      5.35           506,000         $ (54,366 ) 

Royal Dutch Shell PLC, A Shares

      Call       UBS AG      5/12/16      GBP      17.65           37,800           (14,101 ) 

MMC Norilsk Nickel PJSC — ADR

      Call       UBS AG      5/13/16      USD      14.04           77,000           (16,244 ) 

Royal Dutch Shell PLC, A Shares — ADR

      Call       Credit Suisse International      5/13/16      USD      48.46           44,000           (77,063 ) 

Enbridge, Inc.

      Call       Credit Suisse International      5/16/16      CAD      49.88           30,500           (45,109 ) 

Ingredion, Inc.

      Call       Citibank N.A.      5/17/16      USD      112.37           7,200           (9,400 ) 

Cairn Energy PLC

      Call       UBS AG      5/18/16      GBP      1.72           211,500           (95,246 ) 

EQT Corp.

      Call       JPMorgan Chase Bank N.A.      5/18/16      USD      66.98           10,600           (42,249 ) 

First Resources Ltd.

      Call       Bank of America N.A.      5/18/16      SGD      1.98           275,000           (22,733 ) 

First Resources Ltd.

      Call       Morgan Stanley & Co. International PLC      5/18/16      SGD      2.14           376,600           (15,239 ) 

Fresnillo PLC

      Call       Deutsche Bank AG      5/18/16      GBP      9.45           76,000           (54,332 ) 

Select Harvests Ltd.

      Call       Goldman Sachs International      5/18/16      AUD      4.29           181,000           (36,638 ) 

Statoil ASA

      Call       Deutsche Bank AG      5/18/16      NOK      135.86           9,700           (4,025 ) 

Royal Dutch Shell PLC, A Shares — ADR

      Call       Citibank N.A.      5/20/16      USD      49.41           14,200           (17,005 ) 

First Resources Ltd.

      Call       JPMorgan Chase Bank N.A.      5/24/16      SGD      2.00           200,000           (16,085 ) 

Cairn Energy PLC

      Call       Credit Suisse International      5/25/16      GBP      1.67           70,000           (36,315 ) 

Select Harvests Ltd.

      Call       Citibank N.A.      6/01/16      AUD      4.89           30,000           (3,172 ) 

Cairn Energy PLC

      Call       Goldman Sachs International      6/02/16      GBP      1.98           120,000           (27,240 ) 

Cairn Energy PLC

      Call       Deutsche Bank AG      6/08/16      GBP      2.17           51,000           (6,691 ) 

Select Harvests Ltd.

      Call       Morgan Stanley & Co. International PLC      6/08/16      AUD      5.03           37,500           (3,607 ) 

Cairn Energy PLC

      Call       UBS AG      6/14/16      GBP      2.15           245,500           (34,666 ) 

Total

                              $ (8,757,611 ) 
                            

 

 

  

 

      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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3.

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.

 

6         MARCH 31, 2016     

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

 

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

 

      Level 1   Level 2   Level 3    Total

Assets:

                  

Investments:

                  

Long-Term Investments:

                  

Common Stocks:

                  

Chemicals

      $ 89,531,475       $ 44,024,628         —        $ 133,556,103  

Containers & Packaging

        37,703,057         13,167,609         —          50,870,666  

Energy Equipment & Services

        6,401,721         —         —          6,401,721  

Food & Staples Retailing

        8,954,747         —         —          8,954,747  

Food Products

        60,887,523         37,488,810         —          98,376,333  

Independent Power and Renewable Electricity Producers

        856         —         —          856  

Metals & Mining

        174,430,167         96,854,426         —          271,284,593  

Oil, Gas & Consumable Fuels

        239,749,525         20,008,569         —          259,758,094  

Paper & Forest Products

        21,079,591         97,759         —          21,177,350  

Real Estate Investment Trusts (REITs)

        2,846,164         —         —          2,846,164  

Preferred Stocks

        7,436,232         —         —          7,436,232  

Short-Term Securities

        16,267,760         10,079,689         —          26,347,449  
    

 

 

  

Total

      $     665,288,818       $     221,721,490                     —        $     887,010,308  
    

 

 

  
                 
      Level 1   Level 2   Level 3    Total

Derivative Financial Instruments1

                  

Liabilities:

                  

Equity contracts

      $ (3,776,043 )     $ (9,216,829 )       —        $ (12,992,872 )
    

 

 

  

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
                 
      Level 1   Level 2   Level 3    Total

Assets:

                  

Foreign currency at value

      $ 14,587         —         —        $ 14,587  

Liabilities:

                  

Bank overdraft

        —       $ (177,318 )       —          (177,318 )

Collateral on securities loaned at value

        —         (10,079,689 )       —          (10,079,689 )
    

 

 

  

Total

      $ 14,587       $ (10,257,007 )       —        $ (10,242,420 )
    

 

 

  

Transfers between Level 1 and Level 2 were as follows:

 

      Transfers into
Level 1		      Transfers out of
Level 1 1		      Transfers into
Level 2 1		      Transfers out of
Level 2		  

Assets:

            

Long-Term Investments:

            

Common Stocks

      —       $     41,370,578       $     41,370,578         —   

 

          MARCH 31, 2016    7

Item 2 – Controls and Procedures

 

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

 

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

 

Item 3 – Exhibits

Certifications – Attached hereto

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

BlackRock Resources & Commodities Strategy Trust

 

By:     /s/ John M. Perlowski                
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of 
  BlackRock Resources & Commodities Strategy Trust
Date:   May 23, 2016

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

 

By:     /s/ John M. Perlowski                
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of 
  BlackRock Resources & Commodities Strategy Trust
Date:   May 23, 2016
By:     /s/ Neal J. Andrews                   
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Resources & Commodities Strategy Trust
Date:   May 23, 2016