Schedule of Investments (unaudited) September 30, 2023
| BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities | ||||||||||||
Anchorage Capital CLO Ltd., Series 2013-1A, Class DR, (3-mo. CME Term SOFR + 7.06%), 12.36%, 10/13/30(a)(b) | USD | 3,050 | $ | 2,855,526 | ||||||||
Apidos CLO XV, Series 2013-15A, Class ERR, (3-mo. CME Term SOFR + 5.96%), 11.29%, 04/20/31(a)(b) | 1,000 | 931,592 | ||||||||||
Apres Static CLO Ltd., Series 2019-1A, Class CR, (3-mo. CME Term SOFR + 4.51%), 9.82%, 10/15/28(a)(b) | 500 | 501,059 | ||||||||||
Ares LI CLO Ltd., Series 2019-51A, Class ER, (3-mo. CME Term SOFR + 7.11%), 12.42%, 07/15/34(a)(b) | 700 | 647,592 | ||||||||||
Ares LV CLO Ltd., Series 2020-55A, Class DR, (3-mo. CME Term SOFR + 3.41%), 8.72%, 07/15/34(a)(b) | 1,000 | 958,881 | ||||||||||
BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22(a) | 2,300 | 541,373 | ||||||||||
Bean Creek CLO Ltd., Series 2015-1A, Class ER, (3-mo. CME Term SOFR + 6.01%), 11.34%, 04/20/31(a)(b) | 1,500 | 1,363,734 | ||||||||||
CarVal CLO II Ltd., Series 2019-1A, Class DR, (3-mo. CME Term SOFR + 3.46%), 8.79%, 04/20/32(a)(b) | 250 | 245,899 | ||||||||||
CarVal CLO III Ltd., Series 2019-2A, Class E, (3-mo. CME Term SOFR + 6.70%), 12.03%, 07/20/32(a)(b) | 2,200 | 2,068,121 | ||||||||||
Cedar Funding IX CLO Ltd., Series 2018-9A, Class E, (3-mo. CME Term SOFR + 5.61%), 10.94%, 04/20/31(a)(b) | 2,000 | 1,773,499 | ||||||||||
Cedar Funding XIV CLO Ltd.(a)(b) | ||||||||||||
Series 2021-14A, Class D, (3-mo. CME Term SOFR + 3.51%), 8.82%, 07/15/33 | 1,000 | 951,481 | ||||||||||
Series 2021-14A, Class E, (3-mo. CME Term SOFR + 6.60%), 11.91%, 07/15/33 | 750 | 685,978 | ||||||||||
Series 2021-14A, Class SUB, 0.00%, 07/15/33 | 750 | 359,095 | ||||||||||
Deer Creek CLO Ltd., Series 2017-1A, Class E, (3-mo. CME Term SOFR + 6.61%), 11.94%, 10/20/30(a)(b) | 1,000 | 974,927 | ||||||||||
Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3-mo. CME Term SOFR + 7.06%), 12.39%, 04/20/34(a)(b) | 250 | 246,732 | ||||||||||
Fairstone Financial Issuance Trust I, Series 2020-1A, Class D, 6.87%, 10/20/39(b) | CAD | 210 | 139,156 | |||||||||
Generate CLO Ltd., Series 2A, Class ER, (3-mo. CME Term SOFR + 5.91%), 11.26%, 01/22/31(a)(b) | USD | 500 | 456,607 | |||||||||
Gilbert Park CLO Ltd., Series 2017-1A, Class D, (3-mo. CME Term SOFR + 3.21%), 8.52%, 10/15/30(a)(b) | 550 | 541,259 | ||||||||||
GoldenTree Loan Management U.S. CLO Ltd., Series 2017-2A, Class E, (3-mo. CME Term SOFR + 4.96%), 10.29%, 11/28/30(a)(b) | 1,500 | 1,372,831 | ||||||||||
GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class ER2, (3-mo. CME Term SOFR + 5.92%), 11.29%, 10/29/29(a)(b) | 500 | 491,508 | ||||||||||
JP Morgan Mortgage Acquisition Corp., Series 2006- FRE2, Class M2, (1-mo. Term SOFR + 0.65%), 5.97%, 02/25/36(a) | 2,788 | 2,416,665 | ||||||||||
Lending Funding Trust, Series 2020-2A, Class D, 6.77%, 04/21/31(b) | 315 | 274,882 | ||||||||||
Madison Park Funding XXX Ltd. | ||||||||||||
Series 2018-30A, Class E, (3-mo. CME Term SOFR + 5.21%), 10.52%, 04/15/29(a)(b) | 1,250 | 1,160,510 | ||||||||||
Series 2018-30X, Class E, (3-mo. CME Term SOFR + 5.21%), 10.52%, 04/15/29 | 250 | 232,102 | ||||||||||
Mosaic Solar Loan Trust, Series 2018-2GS, Class C, 5.97%, 02/22/44(b) | 203 | 167,832 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) |
| |||||||||||
OCP CLO Ltd.(a)(b) | ||||||||||||
Series 2013-4A, Class CRR, (3-mo. CME Term SOFR + 3.26%), 8.61%, 04/24/29 | USD | 600 | $ | 594,290 | ||||||||
Series 2019-17A, Class ER, (3-mo. CME Term SOFR + 6.76%), 12.09%, 07/20/32 | 1,000 | 948,805 | ||||||||||
Palmer Square CLO Ltd.(a)(b) | ||||||||||||
Series 2015-2A, Class CR2, (3-mo. CME Term SOFR + 3.01%), 8.34%, 07/20/30 | 250 | 244,621 | ||||||||||
Series 2018-2A, Class D, (3-mo. CME Term SOFR + 5.86%), 11.17%, 07/16/31 | 1,500 | 1,411,012 | ||||||||||
Rad CLO Ltd., Series 2019-6A, Class E, (3-mo. CME Term SOFR + 7.79%), 13.12%, 01/20/33(a)(b) | 500 | 478,341 | ||||||||||
Republic Finance Issuance Trust, Series 2020-A, Class D, 7.00%, 11/20/30(b) | 700 | 641,422 | ||||||||||
Rockford Tower CLO Ltd., Series 2017-3A, Class D, (3-mo. CME Term SOFR + 2.91%), 8.24%, 10/20/30(a)(b) | 970 | 940,220 | ||||||||||
Strata CLO I Ltd.(a)(b) | ||||||||||||
Series 2018-1A, Class E, (3-mo. CME Term SOFR + 7.34%), 12.65%, 01/15/31 | 500 | 490,103 | ||||||||||
Series 2018-1A, Class USUB, 0.00%, 01/15/2118 | 1,750 | 831,250 | ||||||||||
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3-mo. CME Term SOFR + 7.31%), 12.62%, 04/15/33(a)(b) | 500 | 467,783 | ||||||||||
TICP CLO XII Ltd., Series 2018-12A, Class ER, (3-mo. CME Term SOFR + 6.51%), 11.82%, 07/15/34(a)(b) | 725 | 684,719 | ||||||||||
Trestles CLO II Ltd., Series 2018-2A, Class D, (3-mo. CME Term SOFR + 6.01%), 11.36%, 07/25/31(a)(b) | 1,000 | 892,853 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities — 17.0% | 30,984,260 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
Common Stocks | ||||||||||||
Hotel & Resort REITs — 0.0% | ||||||||||||
Service Properties Trust | 4,000 | 30,760 | ||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure — 0.1% | ||||||||||||
Caesars Entertainment, Inc.(c) | 3,435 | 159,212 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.6% | ||||||||||||
California Resources Corp. | 19,725 | 1,104,797 | ||||||||||
|
| |||||||||||
Real Estate Management & Development — 0.0% | ||||||||||||
ADLER Group SA | 3,319 | 1,676 | ||||||||||
|
| |||||||||||
Total Common Stocks — 0.7% | 1,296,445 | |||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Corporate Bonds | ||||||||||||
Aerospace & Defense — 0.4% | ||||||||||||
Embraer Netherlands Finance BV(b) | ||||||||||||
6.95%, 01/17/28 | USD | 291 | 290,805 | |||||||||
7.00%, 07/28/30 | 320 | 316,504 | ||||||||||
Rolls-Royce PLC, 1.63%, 05/09/28(d) | EUR | 100 | 89,866 | |||||||||
|
| |||||||||||
697,175 |
1 |
Schedule of Investments (unaudited) (continued) September 30, 2023
| BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Automobile Components — 0.5% | ||||||||||||
Clarios Global LP/Clarios U.S. Finance Co., 6.25%, 05/15/26(b) | USD | 71 | $ | 69,470 | ||||||||
Dana Financing Luxembourg SARL, 8.50%, 07/15/31(d) | EUR | 100 | 106,938 | |||||||||
Forvia SE(d) | ||||||||||||
2.75%, 02/15/27 | 100 | 95,152 | ||||||||||
3.75%, 06/15/28 | 200 | 189,683 | ||||||||||
ZF Finance GmbH(d) | ||||||||||||
3.00%, 09/21/25 | 100 | 100,826 | ||||||||||
5.75%, 08/03/26 | 100 | 105,428 | ||||||||||
3.75%, 09/21/28 | 300 | 284,534 | ||||||||||
|
| |||||||||||
952,031 | ||||||||||||
Automobiles — 0.9% | ||||||||||||
Ford Motor Co., 6.10%, 08/19/32 | USD | 197 | 185,557 | |||||||||
Ford Motor Credit Co. LLC | ||||||||||||
5.58%, 03/18/24 | 612 | 608,106 | ||||||||||
4.54%, 03/06/25 | GBP | 100 | 117,134 | |||||||||
6.86%, 06/05/26 | 218 | 262,072 | ||||||||||
RCI Banque SA(d) | ||||||||||||
4.63%, 07/13/26 | EUR | 75 | 79,415 | |||||||||
(5-year EUR Swap + 2.85%), 2.63%, 02/18/30(a) | 400 | 396,452 | ||||||||||
|
| |||||||||||
1,648,736 | ||||||||||||
Banks — 1.2% | ||||||||||||
Banco BPM SpA, (5-year EUR Swap + 3.40%), 3.38%, 01/19/32(a)(d) | 200 | 186,076 | ||||||||||
Banco do Brasil SA, 6.25%, 04/18/30(b) | USD | 296 | 287,083 | |||||||||
Banco Votorantim SA, 4.50%, 09/24/24(d) | 207 | 201,753 | ||||||||||
Bangkok Bank PCL | ||||||||||||
5.30%, 09/21/28 | 270 | 265,288 | ||||||||||
5.50%, 09/21/33 | 270 | 260,520 | ||||||||||
(5-year CMT + 4.73%), 5.00% | 200 | 187,646 | ||||||||||
Bank Leumi Le-Israel BM, (5-year CMT + 3.47%), 7.13%, 07/18/33(a)(b)(d) | 204 | 199,436 | ||||||||||
Cooperatieve Rabobank UA, (3-mo. EURIBOR + 1.15%), 4.23%, 04/25/29(a)(d) | EUR | 100 | 104,303 | |||||||||
Freedom Mortgage Corp., 8.25%, 04/15/25(b) | USD | 178 | 178,037 | |||||||||
Intesa Sanpaolo SpA, 5.15%, 06/10/30(d) | GBP | 250 | 255,150 | |||||||||
|
| |||||||||||
2,125,292 | ||||||||||||
Beverages — 0.8% | ||||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 2.00%, 09/01/28(d) | EUR | 200 | 174,975 | |||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.(d) | ||||||||||||
2.13%, 08/15/26 | 100 | 93,837 | ||||||||||
4.75%, 07/15/27 | GBP | 190 | 182,797 | |||||||||
Crown European Holdings SA, 3.38%, 05/15/25(d) | EUR | 100 | 103,089 | |||||||||
Mauser Packaging Solutions Holding Co., 7.88%, 08/15/26(b) | USD | 160 | 154,357 | |||||||||
OI European Group BV, 2.88%, 02/15/25(d) | EUR | 260 | 267,106 | |||||||||
Trivium Packaging Finance BV, 5.50%, 08/15/26(b) | USD | 446 | 415,865 | |||||||||
|
| |||||||||||
1,392,026 | ||||||||||||
Building Materials — 0.2% | ||||||||||||
Cemex SAB de CV, 3.13%, 03/19/26(d) | EUR | 300 | 305,034 | |||||||||
Emerald Debt Merger Sub LLC, 6.38%, 12/15/30(d) | 100 | 105,338 | ||||||||||
Standard Industries, Inc., 4.75%, 01/15/28(b) | USD | 46 | 41,491 | |||||||||
|
| |||||||||||
451,863 | ||||||||||||
Building Products — 0.1% | ||||||||||||
HT Troplast GmbH, 9.38%, 07/15/28 | EUR | 100 | 106,402 | |||||||||
|
|
Security | Par (000) | Value | ||||||||||
Capital Markets — 0.2% | ||||||||||||
SURA Asset Management SA, 4.88%, 04/17/24(d) | USD | 417 | $ | 410,276 | ||||||||
|
| |||||||||||
Chemicals — 2.2% | ||||||||||||
Axalta Coating Systems Dutch Holding B BV, 3.75%, 01/15/25(d) | EUR | 100 | 104,041 | |||||||||
Braskem Idesa SAPI, 6.99%, 02/20/32(b) | USD | 300 | 180,027 | |||||||||
Braskem Netherlands Finance BV(b) | ||||||||||||
8.50%, 01/12/31 | 245 | 242,091 | ||||||||||
7.25%, 02/13/33 | 330 | 302,808 | ||||||||||
Chemours Co., 4.00%, 05/15/26 | EUR | 100 | 97,927 | |||||||||
INEOS Finance PLC, 6.63%, 05/15/28(d) | 100 | 103,544 | ||||||||||
INEOS Quattro Finance 2 PLC, 2.50%, 01/15/26(d) | 100 | 96,059 | ||||||||||
Kronos International, Inc., 3.75%, 09/15/25(d) | 100 | 95,074 | ||||||||||
MEGlobal BV | ||||||||||||
4.25%, 11/03/26(d) | USD | 200 | 189,606 | |||||||||
2.63%, 04/28/28(d) | 223 | 192,322 | ||||||||||
2.63%, 04/28/28(b) | 200 | 172,486 | ||||||||||
NOVA Chemicals Corp., 4.88%, 06/01/24(b) | 1,407 | 1,382,362 | ||||||||||
OCI NV, 3.63%, 10/15/25(d) | EUR | 90 | 92,699 | |||||||||
Olympus Water U.S. Holding Corp., 9.63%, 11/15/28(d) | 100 | 105,455 | ||||||||||
Sasol Financing USA LLC | ||||||||||||
4.38%, 09/18/26 | USD | 200 | 176,666 | |||||||||
6.50%, 09/27/28 | 200 | 178,154 | ||||||||||
8.75%, 05/03/29(b) | 239 | 229,208 | ||||||||||
SCIL IV LLC/SCIL USA Holdings LLC, 9.50%, 07/15/28(d) | EUR | 100 | 107,669 | |||||||||
|
| |||||||||||
4,048,198 | ||||||||||||
Commercial Services & Supplies — 0.3% | ||||||||||||
AMN Healthcare, Inc., 4.63%, 10/01/27(b) | USD | 210 | 189,786 | |||||||||
DAE Funding LLC, 1.55%, 08/01/24(d) | 212 | 202,545 | ||||||||||
Loxam SAS, 3.75%, 07/15/26(d) | EUR | 200 | 197,613 | |||||||||
|
| |||||||||||
589,944 | ||||||||||||
Construction Materials — 0.0% | ||||||||||||
OPENLANE, Inc., 5.13%, 06/01/25(b) | USD | 97 | 93,844 | |||||||||
|
| |||||||||||
Consumer Discretionary(d) — 0.3% | ||||||||||||
Carnival Corp., 7.63%, 03/01/26 | EUR | 100 | 103,773 | |||||||||
Q-Park Holding I BV | ||||||||||||
1.50%, 03/01/25 | 100 | 102,289 | ||||||||||
(3-mo. EURIBOR + 2.00%), 5.80%, 03/01/26(a) | 100 | 104,668 | ||||||||||
Techem Verwaltungsgesellschaft 674 mbH, 6.00%, 07/30/26 | 88 | 90,197 | ||||||||||
Techem Verwaltungsgesellschaft 675 mbH, 2.00%, 07/15/25 | 100 | 101,978 | ||||||||||
|
| |||||||||||
502,905 | ||||||||||||
Consumer Finance(d) — 0.2% | ||||||||||||
Encore Capital Group, Inc., 4.88%, 10/15/25 | 200 | 205,671 | ||||||||||
Nexi SpA, 0.00%, 02/24/28(e)(f) | 100 | 80,349 | ||||||||||
|
| |||||||||||
286,020 | ||||||||||||
Consumer Staples Distribution & Retail(d) — 0.3% | ||||||||||||
Bellis Acquisition Co. PLC | ||||||||||||
3.25%, 02/16/26 | GBP | 200 | 211,873 | |||||||||
4.50%, 02/16/26 | 200 | 216,243 | ||||||||||
Picard Groupe SAS, 3.88%, 07/01/26 | EUR | 100 | 97,806 | |||||||||
Premier Foods Finance PLC, 3.50%, 10/15/26 | GBP | 100 | 110,785 | |||||||||
|
| |||||||||||
636,707 |
S C H E D U L E O F I N V E S T M E N T S | 2 |
Schedule of Investments (unaudited) (continued) September 30, 2023
| BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Containers & Packaging — 0.2% | ||||||||||||
Ahlstrom-Munksjo Holding 3 Oy, 3.63%, 02/04/28(d) | EUR | 100 | $ | 88,624 | ||||||||
Suzano Austria GmbH, 3.13%, 01/15/32 | USD | 290 | 222,285 | |||||||||
|
| |||||||||||
310,909 | ||||||||||||
Diversified Consumer Services(d) — 0.1% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 3.63%, 06/01/28 | EUR | 120 | 104,351 | |||||||||
Cedacri Mergeco SpA, (3-mo. EURIBOR + 5.50%), 9.28%, 05/15/28(a) | 100 | 104,800 | ||||||||||
|
| |||||||||||
209,151 | ||||||||||||
Diversified REITs — 0.3% | ||||||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 4.88%, 05/15/29(b) | USD | 87 | 73,598 | |||||||||
Service Properties Trust | ||||||||||||
4.35%, 10/01/24 | 24 | 23,023 | ||||||||||
7.50%, 09/15/25 | 69 | 67,788 | ||||||||||
Trust Fibra Uno, 5.25%, 01/30/26(b) | 230 | 219,576 | ||||||||||
XHR LP(b) | ||||||||||||
6.38%, 08/15/25 | 148 | 145,305 | ||||||||||
4.88%, 06/01/29 | 27 | 22,950 | ||||||||||
|
| |||||||||||
552,240 | ||||||||||||
Diversified Telecommunication Services — 0.9% | ||||||||||||
British Telecommunications PLC, (5-year UK Government Bond + 3.82%), 8.38%, 12/20/83 | GBP | 100 | 121,704 | |||||||||
SoftBank Group Corp., 3.88%, 07/06/32(d) | EUR | 100 | 80,606 | |||||||||
Telecom Italia Capital SA, 6.38%, 11/15/33 | USD | 1,239 | 1,074,303 | |||||||||
Telecom Italia SpA, 1.63%, 01/18/29(d) | EUR | 176 | 145,366 | |||||||||
Telecom Italia SpA/Milano, 6.88%, 02/15/28(d) | 200 | 212,539 | ||||||||||
|
| |||||||||||
1,634,518 | ||||||||||||
Electric Utilities — 0.8% | ||||||||||||
AES Panama Generation Holdings SRL, 4.38%, 05/31/30(d) | USD | 210 | 178,479 | |||||||||
Comision Federal de Electricidad, 4.88%, 01/15/24 | 400 | 396,648 | ||||||||||
Diamond II Ltd., 7.95%, 07/28/26(b) | 200 | 196,328 | ||||||||||
EDP - Energias de Portugal SA, (5-year EUR Swap + 1.84%), 1.70%, 07/20/80(a)(d) | EUR | 400 | 389,597 | |||||||||
Electricite de France SA, (12-year EUR Swap + 3.04%), 5.00%(a)(d)(g) | 100 | 100,835 | ||||||||||
Engie Energia Chile SA, 3.40%, 01/28/30(d) | USD | 242 | 199,367 | |||||||||
Orano SA, 2.75%, 03/08/28(d) | EUR | 100 | 96,583 | |||||||||
|
| |||||||||||
1,557,837 | ||||||||||||
Electrical Equipment(d) — 0.0% | ||||||||||||
Pearl Holding II Ltd., (6.00% Cash or 8.00% PIK), 6.00%(g)(h) | USD | 95 | 2,388 | |||||||||
Pearl Holding III Ltd., 9.00%, 10/22/25 | 76 | 23,161 | ||||||||||
|
| |||||||||||
25,549 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | ||||||||||||
Belden, Inc., 3.88%, 03/15/28(d) | EUR | 200 | 196,268 | |||||||||
|
| |||||||||||
Energy Equipment & Services — 0.0% | ||||||||||||
Vallourec SA, 8.50%, 06/30/26(d) | 42 | 44,405 | ||||||||||
|
| |||||||||||
Environmental, Maintenance & Security Service — 0.0% | ||||||||||||
Covanta Holding Corp., 4.88%, 12/01/29(b) | USD | 22 | 18,049 | |||||||||
|
| |||||||||||
Financial Services — 1.5% | ||||||||||||
ASG Finance Designated Activity Co., 7.88%, 12/03/24(b) | 428 | 415,875 | ||||||||||
Banco Santander SA, 3.75%, 01/16/26(d) | EUR | 100 | 104,522 | |||||||||
doValue SpA, 3.38%, 07/31/26(d) | 259 | 235,492 |
Security | Par (000) | Value | ||||||||||
Financial Services (continued) | ||||||||||||
Garfunkelux Holdco 3 SA, 7.75%, 11/01/25(d) | GBP | 100 | $ | 91,924 | ||||||||
Intrum AB, 4.88%, 08/15/25(d) | EUR | 100 | 95,888 | |||||||||
Nationstar Mortgage Holdings, Inc., 6.00%, 01/15/27(b) | USD | 24 | 22,678 | |||||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.(b) | ||||||||||||
2.88%, 10/15/26 | 179 | 157,644 | ||||||||||
3.63%, 03/01/29 | 541 | 447,264 | ||||||||||
3.88%, 03/01/31 | 122 | 97,279 | ||||||||||
Sun Country Airlines Holdings, Inc., 6.95%, 12/15/23(i) | 372 | 371,056 | ||||||||||
UniCredit SpA(a) | ||||||||||||
(3-mo. EURIBOR + 1.60%), 4.45%, 02/16/29(d) | EUR | 150 | 152,908 | |||||||||
(5-year USD ICE Swap + 4.91%), 7.30%, 04/02/34(b) | USD | 200 | 188,406 | |||||||||
United Wholesale Mortgage LLC, 5.75%, 06/15/27(b) | 374 | 338,507 | ||||||||||
|
| |||||||||||
2,719,443 | ||||||||||||
Food Products — 0.2% | ||||||||||||
BRF SA, 4.88%, 01/24/30(d) | 200 | 161,250 | ||||||||||
Minerva Luxembourg SA, 8.88%, 09/13/33 | 245 | 242,795 | ||||||||||
|
| |||||||||||
404,045 | ||||||||||||
Ground Transportation — 0.1% | ||||||||||||
Danaos Corp., 8.50%, 03/01/28(b) | 100 | 101,122 | ||||||||||
|
| |||||||||||
Health Care Providers & Services — 1.5% | ||||||||||||
Medline Borrower LP, 3.88%, 04/01/29(b) | 935 | 790,470 | ||||||||||
Phoenix PIB Dutch Finance BV, 2.38%, 08/05/25(d) | EUR | 100 | 100,650 | |||||||||
Select Medical Corp., 6.25%, 08/15/26(b) | USD | 780 | 762,045 | |||||||||
Tenet Healthcare Corp. | ||||||||||||
4.25%, 06/01/29 | 1,124 | 967,481 | ||||||||||
4.38%, 01/15/30 | 111 | 95,474 | ||||||||||
|
| |||||||||||
2,716,120 | ||||||||||||
Hotels, Restaurants & Leisure — 3.1% | ||||||||||||
Affinity Interactive, 6.88%, 12/15/27(b) | 367 | 311,135 | ||||||||||
Caesars Entertainment, Inc.(b) | ||||||||||||
6.25%, 07/01/25 | 486 | 479,348 | ||||||||||
8.13%, 07/01/27 | 314 | 315,497 | ||||||||||
CDI Escrow Issuer, Inc., 5.75%, 04/01/30(b) | 9 | 8,131 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, Series 2020, 5.50%, 05/01/25(b) | 220 | 215,421 | ||||||||||
Cirsa Finance International SARL | ||||||||||||
4.75%, 05/22/25(d) | EUR | 100 | 104,527 | |||||||||
(3-mo. EURIBOR + 4.50%), 8.19%, 07/31/28 | 100 | 105,780 | ||||||||||
Dave & Buster’s, Inc., Series B, 7.63%, 11/01/25(b) | USD | 35 | 34,984 | |||||||||
Food Service Project SA, 5.50%, 01/21/27(d) | EUR | 100 | 100,597 | |||||||||
Full House Resorts, Inc., 8.25%, 02/15/28(b) | USD | 29 | 25,375 | |||||||||
Golden Entertainment, Inc., 7.63%, 04/15/26(b) | 274 | 273,414 | ||||||||||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, 5.00%, 06/01/29(b) | 361 | 313,148 | ||||||||||
IRB Holding Corp., 7.00%, 06/15/25(b) | 151 | 151,039 | ||||||||||
Lottomatica SpA, (3-mo. EURIBOR + 4.13%), 7.93%, 06/01/28(a)(d) | EUR | 109 | 116,133 | |||||||||
MGM Resorts International | ||||||||||||
4.63%, 09/01/26 | USD | 355 | 331,564 | |||||||||
5.50%, 04/15/27 | 355 | 331,211 | ||||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) | 218 | 185,599 | ||||||||||
Scientific Games International, Inc., 7.00%, 05/15/28(b) | 464 | 456,070 | ||||||||||
SeaWorld Parks & Entertainment, Inc., 8.75%, 05/01/25(b) | 669 | 675,690 | ||||||||||
Stonegate Pub Co. Financing PLC, 8.00%, 07/13/25(d) | GBP | 100 | 113,469 | |||||||||
Studio City Finance Ltd., 5.00%, 01/15/29(b) | USD | 200 | 149,796 |
3 |
Schedule of Investments (unaudited) (continued) September 30, 2023
| BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Travel & Leisure Co., 6.63%, 07/31/26(b) | USD | 189 | $ | 183,897 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.(b) | ||||||||||||
5.50%, 03/01/25 | 163 | 160,263 | ||||||||||
5.25%, 05/15/27 | 7 | 6,511 | ||||||||||
Wynn Macau Ltd., 5.50%, 01/15/26(d) | 200 | 185,488 | ||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(b) | 482 | 421,329 | ||||||||||
|
| |||||||||||
5,755,416 | ||||||||||||
Household Durables — 3.3% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.(b) | ||||||||||||
Series B, 6.63%, 01/15/28 | 495 | 466,994 | ||||||||||
Series B, 4.63%, 08/01/29 | 66 | 55,695 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC(b) | ||||||||||||
6.25%, 09/15/27 | 541 | 487,073 | ||||||||||
5.00%, 06/15/29 | 27 | 22,223 | ||||||||||
Century Communities, Inc., 6.75%, 06/01/27 | 110 | 108,098 | ||||||||||
Forestar Group, Inc.(b) | ||||||||||||
3.85%, 05/15/26 | 560 | 508,308 | ||||||||||
5.00%, 03/01/28 | 669 | 600,591 | ||||||||||
M/I Homes, Inc., 4.95%, 02/01/28 | 510 | 459,635 | ||||||||||
Taylor Morrison Communities, Inc.(b) | ||||||||||||
5.88%, 06/15/27 | 647 | 615,091 | ||||||||||
5.75%, 01/15/28 | 2,269 | 2,113,574 | ||||||||||
Tri Pointe Homes, Inc. | ||||||||||||
5.25%, 06/01/27 | 505 | 472,562 | ||||||||||
5.70%, 06/15/28 | 38 | 34,868 | ||||||||||
|
| |||||||||||
5,944,712 | ||||||||||||
Independent Power and Renewable Electricity Producers — 0.2% | ||||||||||||
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26(d) | 100 | 92,792 | ||||||||||
India Cleantech Energy, 4.70%, 08/10/26(b) | 221 | 191,894 | ||||||||||
|
| |||||||||||
284,686 | ||||||||||||
Insurance(d) — 0.2% | ||||||||||||
Galaxy Bidco Ltd., 6.50%, 07/31/26 | GBP | 220 | 248,290 | |||||||||
Liberty Mutual Group, Inc., (5-year EUR Swap + 3.70%), 3.63%, 05/23/59(a) | EUR | 200 | 200,912 | |||||||||
|
| |||||||||||
449,202 | ||||||||||||
Interactive Media & Services(d) — 0.1% | ||||||||||||
iliad SA | ||||||||||||
5.38%, 06/14/27 | 100 | 102,744 | ||||||||||
5.63%, 02/15/30 | 100 | 100,703 | ||||||||||
|
| |||||||||||
203,447 | ||||||||||||
Internet Software & Services — 0.1% | ||||||||||||
Gen Digital, Inc., 6.75%, 09/30/27(b) | USD | 120 | 117,644 | |||||||||
|
| |||||||||||
IT Services(d) — 0.2% | ||||||||||||
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28 | EUR | 100 | 105,646 | |||||||||
La Financiere Atalian SASU, 6.63%, 05/15/25 | GBP | 200 | 175,694 | |||||||||
|
| |||||||||||
281,340 | ||||||||||||
Machinery(d) — 0.3% | ||||||||||||
Renk AG/Frankfurt am Main, 5.75%, 07/15/25 | EUR | 200 | 209,843 | |||||||||
TK Elevator Midco GmbH | ||||||||||||
4.38%, 07/15/27 | 115 | 109,997 | ||||||||||
(3-mo. EURIBOR + 4.75%), 8.41%, 07/15/27(a) | 173 | 182,566 | ||||||||||
|
| |||||||||||
502,406 |
Security | Par (000) | Value | ||||||||||
Media — 1.4% | ||||||||||||
Altice Financing SA, 2.25%, 01/15/25(d) | EUR | 116 | $ | 120,458 | ||||||||
Clear Channel Outdoor Holdings, Inc., 5.13%, 08/15/27(b) | USD | 738 | 655,338 | |||||||||
CSC Holdings LLC, 5.38%, 02/01/28(b) | 360 | 293,080 | ||||||||||
Global Switch Holdings Ltd., 2.25%, 05/31/27(d) | EUR | 100 | 97,371 | |||||||||
Lorca Telecom Bondco SA, 4.00%, 09/18/27(d) | 150 | 147,174 | ||||||||||
Nexstar Media, Inc., 5.63%, 07/15/27(b) | USD | 733 | 652,308 | |||||||||
Pinewood Finance Co. Ltd., 3.25%, 09/30/25(d) | GBP | 100 | 114,232 | |||||||||
SES SA, (5-year EUR Swap + 5.40%), | EUR | 100 | 104,980 | |||||||||
Sirius XM Radio, Inc.(b) | ||||||||||||
5.00%, 08/01/27 | USD | 70 | 63,938 | |||||||||
5.50%, 07/01/29 | 66 | 58,376 | ||||||||||
Summer BC Holdco B SARL, 5.75%, 10/31/26(d) | EUR | 131 | 126,900 | |||||||||
Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25(d)(h) | 119 | 120,524 | ||||||||||
Tele Columbus AG, 3.88%, 05/02/25(d) | 100 | 60,792 | ||||||||||
|
| |||||||||||
2,615,471 | ||||||||||||
Metals & Mining — 1.0% | ||||||||||||
AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30 | USD | 471 | 378,382 | |||||||||
Freeport Indonesia PT, 4.76%, 04/14/27(d) | 344 | 326,336 | ||||||||||
Metinvest BV(d) | ||||||||||||
8.50%, 04/23/26 | 296 | 208,680 | ||||||||||
7.65%, 10/01/27 | 400 | 262,000 | ||||||||||
Periama Holdings LLC, 5.95%, 04/19/26(d) | 200 | 189,252 | ||||||||||
POSCO, 5.63%, 01/17/26(b) | 200 | 199,086 | ||||||||||
Vedanta Resources Finance II PLC, 8.95%, 03/11/25(b) | 320 | 235,130 | ||||||||||
|
| |||||||||||
1,798,866 | ||||||||||||
Multi-Utilities — 0.2% | ||||||||||||
Promigas SA ESP/Gases del Pacifico SAC, 3.75%, 10/16/29(b) | 300 | 246,750 | ||||||||||
UGI International LLC, 2.50%, 12/01/29(d) | EUR | 100 | 87,201 | |||||||||
|
| |||||||||||
333,951 | ||||||||||||
Oil, Gas & Consumable Fuels — 6.1% | ||||||||||||
AI Candelaria Spain SA, 7.50%, 12/15/28(d) | USD | 221 | 201,806 | |||||||||
BP Capital Markets PLC, (5-year EUR Swap + 3.78%), 3.63%(a)(d)(g) | EUR | 812 | 746,549 | |||||||||
Buckeye Partners LP, 4.13%, 03/01/25(b) | USD | 195 | 185,235 | |||||||||
California Resources Corp., 7.13%, 02/01/26(b) | 378 | 379,880 | ||||||||||
Cellnex Finance Co. SA(d) | ||||||||||||
1.00%, 09/15/27 | EUR | 100 | 91,557 | |||||||||
2.00%, 02/15/33 | 100 | 81,431 | ||||||||||
Cellnex Telecom SA(d) | ||||||||||||
1.00%, 04/20/27 | 200 | 186,845 | ||||||||||
Series CLNX, 0.75%, 11/20/31(e) | 200 | 162,172 | ||||||||||
Chesapeake Energy Corp., 5.50%, 02/01/26(b) | USD | 110 | 106,440 | |||||||||
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b) | 54 | 53,133 | ||||||||||
Ecopetrol SA | ||||||||||||
4.13%, 01/16/25 | 440 | 423,817 | ||||||||||
8.88%, 01/13/33 | 395 | 384,819 | ||||||||||
EIG Pearl Holdings SARL, 3.55%, 08/31/36(b) | 401 | 324,237 | ||||||||||
Empresa Nacional del Petroleo ENAP, Series 2020, 6.15%, 05/10/33(b) | 200 | 191,022 | ||||||||||
Energean Israel Finance Ltd., 8.50%, 09/30/33 | 425 | 424,469 | ||||||||||
Geopark Ltd., 5.50%, 01/17/27(b) | 205 | 174,763 | ||||||||||
Hammerhead Resources, Inc., Series AI, (12.00% PIK), 12.00%, 07/10/24(h)(i) | 496 | 495,990 | ||||||||||
HTA Group Ltd., 7.00%, 12/18/25(b) | 415 | 399,243 | ||||||||||
Infrastrutture Wireless Italiane SpA, 1.63%, 10/21/28(d) | EUR | 100 | 92,390 |
S C H E D U L E O F I N V E S T M E N T S | 4 |
Schedule of Investments (unaudited) (continued) September 30, 2023
| BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Leviathan Bond Ltd., 6.75%, 06/30/30(b)(d) | USD | 341 | $ | 313,573 | ||||||||
MC Brazil Downstream Trading SARL | ||||||||||||
7.25%, 06/30/31(b) | 305 | 231,549 | ||||||||||
7.25%, 06/30/31(d) | 193 | 147,015 | ||||||||||
Medco Oak Tree Pte. Ltd., 7.38%, 05/14/26(d) | 200 | 198,234 | ||||||||||
Neptune Energy Bondco PLC, 6.63%, 05/15/25(b) | 200 | 198,100 | ||||||||||
Permian Resources Operating LLC(b) | ||||||||||||
5.38%, 01/15/26 | 1,841 | 1,762,555 | ||||||||||
6.88%, 04/01/27 | 127 | 125,187 | ||||||||||
Petroleos Mexicanos | ||||||||||||
3.75%, 02/21/24(d) | EUR | 190 | 197,738 | |||||||||
4.25%, 01/15/25 | USD | 209 | 198,976 | |||||||||
6.50%, 03/13/27 | 703 | 616,471 | ||||||||||
8.75%, 06/02/29 | 406 | 358,129 | ||||||||||
5.95%, 01/28/31 | 514 | 365,968 | ||||||||||
6.70%, 02/16/32 | 90 | 66,645 | ||||||||||
SM Energy Co., 6.75%, 09/15/26 | 341 | 334,732 | ||||||||||
Sunoco LP/Sunoco Finance Corp. | ||||||||||||
4.50%, 05/15/29 | 67 | 58,804 | ||||||||||
4.50%, 04/30/30 | 427 | 369,770 | ||||||||||
TotalEnergies SE(a)(d)(g) | ||||||||||||
(5-year EUR Swap + 2.15%), 2.63% | EUR | 180 | 181,503 | |||||||||
Series NC7, (5-year EUR Swap + 1.99%), 1.63% | 400 | 352,808 | ||||||||||
|
| |||||||||||
11,183,555 | ||||||||||||
Passenger Airlines — 0.3% | ||||||||||||
Air France-KLM, 8.13%, 05/31/28(d) | 100 | 110,069 | ||||||||||
Allegiant Travel Co., 7.25%, 08/15/27(b) | USD | 56 | 52,710 | |||||||||
Azul Investments LLP, 5.88%, 10/26/24(b) | 223 | 207,948 | ||||||||||
Azul Secured Finance LLP, 11.93%, 08/28/28 | 200 | 198,176 | ||||||||||
|
| |||||||||||
568,903 | ||||||||||||
Personal Care Products — 0.1% | ||||||||||||
Coty, Inc., 3.88%, 04/15/26(d) | EUR | 100 | 102,993 | |||||||||
|
| |||||||||||
Pharmaceuticals — 0.6% | ||||||||||||
Cheplapharm Arzneimittel GmbH(d) | ||||||||||||
3.50%, 02/11/27 | 100 | 96,210 | ||||||||||
4.38%, 01/15/28 | 331 | 318,495 | ||||||||||
Gruenenthal GmbH, 3.63%, 11/15/26(d) | 200 | 200,581 | ||||||||||
Rossini SARL(d) | ||||||||||||
6.75%, 10/30/25 | 100 | 105,672 | ||||||||||
(3-mo. EURIBOR + 3.88%), 7.59%, 10/30/25(a) | 100 | 105,461 | ||||||||||
Teva Pharmaceutical Finance Netherlands II BV | ||||||||||||
7.38%, 09/15/29 | 101 | 108,540 | ||||||||||
4.38%, 05/09/30 | 100 | 90,216 | ||||||||||
|
| |||||||||||
1,025,175 | ||||||||||||
Real Estate Management & Development — 1.1% | ||||||||||||
Agps Bondco PLC, 5.50%, 11/13/26(c)(d)(j) | 100 | 41,878 | ||||||||||
Fantasia Holdings Group Co. Ltd.(c)(j) | ||||||||||||
11.75%, 04/17/22(d) | USD | 400 | 16,000 | |||||||||
9.25%, 07/28/23 | 200 | 8,000 | ||||||||||
Five Point Operating Co. LP/Five Point Capital Corp., Series C, 7.88%, 11/15/25(b) | 750 | 707,619 | ||||||||||
Heimstaden Bostad AB, (5-year EUR Swap + 3.15%), 2.63%(a)(d)(g) | EUR | 100 | 45,726 | |||||||||
Howard Hughes Corp., 5.38%, 08/01/28(b) | USD | 981 | 864,330 |
Security | Par (000) | Value | ||||||||||
Real Estate Management & Development (continued) | ||||||||||||
JGC Ventures Pte. Ltd.(h) | ||||||||||||
(3.00% PIK), 3.00%, 06/30/25 | USD | 11 | $ | 3,710 | ||||||||
(3.00% PIK), 3.00%, 06/30/25 | — | (k) | 91 | |||||||||
MAF Global Securities Ltd., (5-year CMT + 3.54%), 6.38%(a)(d)(g) | 200 | 192,708 | ||||||||||
Yanlord Land HK Co. Ltd., 6.80%, 02/27/24(d) | 200 | 178,500 | ||||||||||
|
| |||||||||||
2,058,562 | ||||||||||||
Software — 0.4% | ||||||||||||
Boxer Parent Co., Inc., 6.50%, 10/02/25(d) | EUR | 100 | 104,747 | |||||||||
Cloud Software Group, Inc., 6.50%, 03/31/29(b) | USD | 239 | 211,355 | |||||||||
Playtika Holding Corp., 4.25%, 03/15/29(b) | 436 | 364,060 | ||||||||||
|
| |||||||||||
680,162 | ||||||||||||
Specialty Retail — 0.1% | ||||||||||||
Goldstory SASU, 5.38%, 03/01/26(d) | EUR | 254 | 260,386 | |||||||||
|
| |||||||||||
Transportation Infrastructure — 0.5% | ||||||||||||
Aeropuertos Dominicanos Siglo XXI SA, Series E, 6.75%, 03/30/29(b) | USD | 347 | 335,896 | |||||||||
Azzurra Aeroporti SpA, 2.13%, 05/30/24(d) | EUR | 303 | 312,958 | |||||||||
DP World Salaam, (5-year CMT + 5.75%), 6.00%(a)(d)(g) | USD | 200 | 196,924 | |||||||||
|
| |||||||||||
845,778 | ||||||||||||
Water Utilities — 0.3% | ||||||||||||
Veolia Environnement SA, (5-year EUR Swap + 2.84%), 2.50%(a)(d)(g) | EUR | 700 | 606,805 | |||||||||
|
| |||||||||||
Wireless Telecommunication Services — 1.8% | ||||||||||||
Altice France SA/France(d) | ||||||||||||
2.50%, 01/15/25 | 141 | 140,873 | ||||||||||
5.88%, 02/01/27 | 100 | 90,729 | ||||||||||
Kenbourne Invest SA, 6.88%, 11/26/24(b) | USD | 249 | 207,417 | |||||||||
Liberty Costa Rica Senior Secured Finance, 10.88%, 01/15/31(b) | 200 | 199,858 | ||||||||||
Millicom International Cellular SA, 4.50%, 04/27/31(b) | 380 | 270,750 | ||||||||||
VICI Properties LP/VICI Note Co., Inc.(b) | ||||||||||||
5.63%, 05/01/24 | 1,895 | 1,883,007 | ||||||||||
4.63%, 06/15/25 | 123 | 118,780 | ||||||||||
Vmed O2 U.K. Financing I PLC(d) | ||||||||||||
3.25%, 01/31/31 | EUR | 133 | 114,986 | |||||||||
4.50%, 07/15/31 | GBP | 300 | 285,973 | |||||||||
|
| |||||||||||
3,312,373 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds — 34.7% | 63,362,908 | |||||||||||
|
| |||||||||||
Floating Rate Loan Interests(a) | ||||||||||||
Commercial Services & Supplies — 0.6% | ||||||||||||
Interface Security Systems LLC, Term Loan, (1-mo. CME Term SOFR + 7.00%, 1.00% PIK), 13.32%, 08/07/24(h)(i) | USD | 1,295 | 1,074,933 | |||||||||
|
| |||||||||||
Consumer Finance — 0.0% | ||||||||||||
Credito Real SAB de CV Sofom ENR, Term Loan B, (Defaulted), 0.00%, 02/17/24(c)(i)(j) | 112 | 12,320 | ||||||||||
|
|
5 |
Schedule of Investments (unaudited) (continued) September 30, 2023
| BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Telecommunication Services — 0.4% | ||||||||||||
Connect Finco SARL, 2021 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.82%, 12/11/26 | USD | 819 | $ | 801,586 | ||||||||
|
| |||||||||||
Financial Services(i) — 2.3% | ||||||||||||
Caliber Home Loans, Inc., 2018 Revolver, (3-mo. LIBOR US + 3.25%), 8.92%, 07/24/25 | 2,519 | 2,523,906 | ||||||||||
Colorado Plaza, Term Loan, (1-mo. LIBOR US), 0.00%, 05/15/24(c)(j) | 4,118 | 1,676,053 | ||||||||||
|
| |||||||||||
4,199,959 | ||||||||||||
Passenger Airlines — 0.0% | ||||||||||||
Kestrel Bidco, Inc., Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.42%, 12/11/26 | 1 | 448 | ||||||||||
|
| |||||||||||
Real Estate Management & Development — 0.0% | ||||||||||||
Magnum Intermediate Holdings I LLC, 2nd Lien Term Loan, (Defaulted), 0.00%, 01/01/59(c)(i)(j) | 17,000 | 2 | ||||||||||
|
| |||||||||||
Total Floating Rate Loan Interests — 3.3% |
| 6,089,248 | ||||||||||
|
| |||||||||||
Foreign Agency Obligations | ||||||||||||
Bahrain — 0.2% | ||||||||||||
Bahrain Government International Bond, 7.00%, 01/26/26(d) | 295 | 296,915 | ||||||||||
|
| |||||||||||
Colombia — 0.9% | ||||||||||||
Colombia Government International Bond | ||||||||||||
4.50%, 01/28/26 | 411 | 392,484 | ||||||||||
3.88%, 04/25/27 | 573 | 520,508 | ||||||||||
3.13%, 04/15/31 | 400 | 295,400 | ||||||||||
8.00%, 04/20/33 | 373 | 368,513 | ||||||||||
|
| |||||||||||
1,576,905 | ||||||||||||
Dominican Republic — 0.9% | ||||||||||||
Dominican Republic International Bond | ||||||||||||
6.88%, 01/29/26(d) | 279 | 278,353 | ||||||||||
5.95%, 01/25/27(d) | 379 | 366,281 | ||||||||||
4.50%, 01/30/30(b) | 435 | 367,649 | ||||||||||
7.05%, 02/03/31(b) | 150 | 144,685 | ||||||||||
4.88%, 09/23/32(b) | 737 | 598,215 | ||||||||||
|
| |||||||||||
1,755,183 | ||||||||||||
Guatemala — 0.3% | ||||||||||||
Guatemala Government Bond | ||||||||||||
5.25%, 08/10/29(b) | 200 | 184,012 | ||||||||||
3.70%, 10/07/33(d) | 361 | 276,259 | ||||||||||
6.60%, 06/13/36 | 200 | 192,000 | ||||||||||
|
| |||||||||||
652,271 | ||||||||||||
Hungary — 0.3% | ||||||||||||
Hungary Government International Bond | ||||||||||||
5.38%, 03/25/24 | 56 | 55,860 | ||||||||||
5.25%, 06/16/29(b) | 510 | 486,713 | ||||||||||
|
| |||||||||||
542,573 | ||||||||||||
Ivory Coast — 0.5% | ||||||||||||
Ivory Coast Government International Bond(d) | ||||||||||||
6.38%, 03/03/28 | 808 | 754,187 | ||||||||||
5.88%, 10/17/31 | EUR | 133 | 115,945 | |||||||||
|
| |||||||||||
870,132 |
Security | Par (000) | Value | ||||||||||
Jordan — 0.1% | ||||||||||||
Jordan Government International Bond, 4.95%, 07/07/25(d) | USD | 200 | $ | 192,914 | ||||||||
|
| |||||||||||
Mexico — 0.2% | ||||||||||||
Mexico Government International Bond | ||||||||||||
6.35%, 02/09/35 | 200 | 195,278 | ||||||||||
6.34%, 05/04/53 | 200 | 181,500 | ||||||||||
|
| |||||||||||
376,778 | ||||||||||||
Morocco — 0.2% | ||||||||||||
Morocco Government International Bond(b) | ||||||||||||
2.38%, 12/15/27 | 217 | 185,889 | ||||||||||
5.95%, 03/08/28 | 205 | 201,632 | ||||||||||
|
| |||||||||||
387,521 | ||||||||||||
Nigeria — 0.2% | ||||||||||||
Nigeria Government International Bond, 8.38%, 03/24/29(b) | 441 | 377,293 | ||||||||||
|
| |||||||||||
Oman — 0.1% | ||||||||||||
Oman Sovereign Sukuk Co., 4.40%, 06/01/24(d) | 205 | 201,853 | ||||||||||
|
| |||||||||||
Panama — 0.3% | ||||||||||||
Panama Government International Bond | ||||||||||||
3.16%, 01/23/30 | 215 | 180,200 | ||||||||||
6.40%, 02/14/35 | 200 | 193,280 | ||||||||||
4.50%, 04/16/50 | 210 | 142,685 | ||||||||||
|
| |||||||||||
516,165 | ||||||||||||
Paraguay — 0.1% | ||||||||||||
Paraguay Government International Bond, 5.40%, 03/30/50(d) | 200 | 157,280 | ||||||||||
|
| |||||||||||
Peru — 0.3% | ||||||||||||
Corp. Financiera de Desarrollo SA, 4.75%, 07/15/25(d) | 361 | 350,109 | ||||||||||
Peruvian Government International Bond, 3.30%, 03/11/41 | 240 | 165,818 | ||||||||||
|
| |||||||||||
515,927 | ||||||||||||
Romania — 0.6% | ||||||||||||
Romanian Government International Bond | ||||||||||||
5.25%, 11/25/27(b) | 202 | 196,154 | ||||||||||
2.50%, 02/08/30(d) | EUR | 475 | 410,544 | |||||||||
2.12%, 07/16/31(d) | 499 | 390,126 | ||||||||||
4.00%, 02/14/51(d) | USD | 230 | 145,845 | |||||||||
|
| |||||||||||
1,142,669 | ||||||||||||
Saudi Arabia — 0.1% | ||||||||||||
Saudi Government International Bond, 3.75%, 01/21/55(d) | 230 | 152,193 | ||||||||||
|
| |||||||||||
South Africa — 0.4% | ||||||||||||
Republic of South Africa Government International Bond | ||||||||||||
4.85%, 09/30/29 | 340 | 291,105 | ||||||||||
5.88%, 04/20/32 | 440 | 373,582 | ||||||||||
|
| |||||||||||
664,687 |
S C H E D U L E O F I N V E S T M E N T S | 6 |
Schedule of Investments (unaudited) (continued) September 30, 2023
| BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Ukraine — 0.1% | ||||||||||||
Ukraine Government International Bond(c)(d)(j) |
| |||||||||||
8.99%, 02/01/26 | USD | 243 | $ | 76,909 | ||||||||
7.75%, 09/01/27 | 369 | 105,165 | ||||||||||
|
| |||||||||||
182,074 | ||||||||||||
|
| |||||||||||
Total Foreign Agency Obligations — 5.8% |
| 10,561,333 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Investment Companies | ||||||||||||
Fixed Income Funds — 0.9% | ||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF(l) | 22,500 | 1,658,700 | ||||||||||
|
| |||||||||||
Total Investment Companies — 0.9% | 1,658,700 | |||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Municipal Bonds | ||||||||||||
Puerto Rico(a) — 0.2% | ||||||||||||
Commonwealth of Puerto Rico, GO | ||||||||||||
0.00%, 11/01/51 | USD | 555 | 224,681 | |||||||||
Series A-1, 0.00%, 11/01/43 | 50 | 26,011 | ||||||||||
Commonwealth of Puerto Rico, RB, 0.00%, 11/01/51 | 235 | 82,076 | ||||||||||
|
| |||||||||||
332,768 | ||||||||||||
|
| |||||||||||
Total Municipal Bonds — 0.2% | 332,768 | |||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed Securities |
| |||||||||||
Collateralized Mortgage Obligations(a)(b) — 1.5% | ||||||||||||
BCAP LLC Trust, Series 2012-RR3, Class 1A5, 5.23%, 12/26/37 | 957 | 788,475 | ||||||||||
Cascade Funding Mortgage Trust, Series 2019-RM3, Class C, 4.00%, 06/25/69 | 2,227 | 1,934,848 | ||||||||||
|
| |||||||||||
2,723,323 | ||||||||||||
Commercial Mortgage-Backed Securities — 6.2% | ||||||||||||
Ashford Hospitality Trust, Series 2018-ASHF, Class E, (1-mo. Term SOFR + 3.27%), 8.61%, 04/15/35(a)(b) | 153 | 147,656 | ||||||||||
Benchmark Mortgage Trust, Series 2019-B9, Class XD, 2.16%, 03/15/52(a)(b) | 11,550 | 970,033 | ||||||||||
BX Commercial Mortgage Trust, Series 2021-MFM1, Class G, (1-mo. Term SOFR + 4.01%), 9.35%, 01/15/34(a)(b) | 185 | 175,261 | ||||||||||
CFK Trust, Series 2019-FAX, Class E, 4.79%, 01/15/39(a)(b) | 2,000 | 1,629,174 | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2019- PRM, Class F, 4.89%, 05/10/36(a)(b) | 2,000 | 1,992,704 | ||||||||||
Cold Storage Trust, Series 2020-ICE5, Class F, (1-mo. Term SOFR + 3.61%), 8.94%, 11/15/37(a)(b) | 266 | 261,189 | ||||||||||
Credit Suisse Mortgage Capital Certificates Trust(a)(b) | ||||||||||||
Series 2020-FACT, Class F, (1-mo. Term SOFR + 6.27%), 11.60%, 10/15/37 | 700 | 594,737 | ||||||||||
Series 2021-BHAR, Class E, (1-mo. Term SOFR + 3.61%), 8.95%, 11/15/38 | 250 | 244,981 |
Security | Par (000) | Value | ||||||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||||||
DBGS Mortgage Trust, Series 2019-1735, Class F, 4.33%, 04/10/37(a)(b) | USD | 369 | $ | 215,103 | ||||||||
GS Mortgage Securities Corp. Trust, Series 2021-DM, Class F, (1-mo. Term SOFR + 3.55%), 8.88%, 11/15/36(a)(b) | 110 | 104,989 | ||||||||||
HONO Mortgage Trust(a)(b) | ||||||||||||
Series 2021-LULU, Class E, (1-mo. Term SOFR + 3.46%), 8.80%, 10/15/36 | 200 | 181,926 | ||||||||||
Series 2021-LULU, Class F, (1-mo. Term SOFR + 4.51%), 9.85%, 10/15/36 | 110 | 99,381 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class F, (1-mo. Term SOFR + 3.54%), 8.87%, 04/15/37(a)(b) | 244 | 211,341 | ||||||||||
JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class XD, 1.50%, 06/15/51(a)(b) | 11,427 | 623,519 | ||||||||||
LSTAR Commercial Mortgage Trust, Series 2016-4, Class C, 4.76%, 03/10/49(a)(b) | 476 | 411,738 | ||||||||||
MED Trust, Series 2021-MDLN, Class G, (1-mo. Term SOFR + 5.36%), 10.70%, 11/15/38(a)(b) | 174 | 164,589 | ||||||||||
MF1 Trust, Series 2021-W10, Class G, (1-mo. Term SOFR + 4.22%), 9.55%, 12/15/34(a)(b) | 310 | 288,149 | ||||||||||
Morgan Stanley Capital I, Series 2017-HR2, Class D, 2.73%, 12/15/50 | 250 | 169,312 | ||||||||||
Morgan Stanley Capital I Trust(b) | ||||||||||||
Series 2018-MP, Class E, 4.42%, 07/11/40(a) | 551 | 358,874 | ||||||||||
Series 2018-SUN, Class F, (1-mo. Term SOFR + 2.91%), 8.24%, 07/15/35(a) | 1,360 | 1,308,643 | ||||||||||
Series 2019-H7, Class D, 3.00%, 07/15/52 | 1,250 | 749,574 | ||||||||||
One New York Plaza Trust, Series 2020-1NYP, Class D, (1-mo. Term SOFR + 2.86%), 8.20%, 01/15/36(a)(b) | 100 | 76,000 | ||||||||||
Velocity Commercial Capital Loan Trust(b) | ||||||||||||
Series 2018-1, Class M5, 6.26%, 04/25/48 | 136 | 103,556 | ||||||||||
Series 2018-1, Class M6, 7.26%, 04/25/48 | 188 | 122,132 | ||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2020- SDAL, Class E, (1-mo. Term SOFR + 2.85%), 8.19%, 02/15/37(a)(b) | 100 | 91,806 | ||||||||||
|
| |||||||||||
11,296,367 | ||||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed Securities — 7.7% |
| 14,019,690 | ||||||||||
|
| |||||||||||
Preferred Securities | ||||||||||||
Capital Trusts — 2.5% | ||||||||||||
Banks — 0.0% | ||||||||||||
HSBC Bank Capital Funding Sterling 1 LP, Series 1, 5.84%(a)(d)(g) | GBP | 20 | 24,229 | |||||||||
|
| |||||||||||
Diversified Telecommunication Services(a) — 0.9% | ||||||||||||
British Telecommunications PLC, 4.25%, 11/23/81(b) | USD | 200 | 175,304 | |||||||||
Koninklijke KPN NV, 2.00%(d)(g) | EUR | 100 | 100,306 | |||||||||
Telefonica Europe BV(d)(g) | ||||||||||||
4.38% | 200 | 206,812 | ||||||||||
6.14% | 100 | 101,509 | ||||||||||
2.38% | 1,400 | 1,161,326 | ||||||||||
|
| |||||||||||
1,745,257 | ||||||||||||
Electric Utilities(a)(d)(g) — 0.4% | ||||||||||||
Electricite de France SA | ||||||||||||
3.38% | 200 | 162,790 | ||||||||||
7.50%, 12/31/29 | 200 | 215,000 |
7 |
Schedule of Investments (unaudited) (continued) September 30, 2023 | BlackRock Multi-Sector Opportunities Trust (MSO) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Electric Utilities (continued) | ||||||||||||
Iberdrola International BV, Series NC9, 1.83% | EUR | 300 | $ | 245,379 | ||||||||
Naturgy Finance BV | ||||||||||||
2.37% | 100 | 93,302 | ||||||||||
3.38% | 100 | 103,521 | ||||||||||
|
| |||||||||||
819,992 | ||||||||||||
Media — 0.2% | ||||||||||||
SES SA, 2.88%(a)(d)(g) | 350 | 323,613 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels(a)(d)(g) — 0.4% | ||||||||||||
Abertis Infraestructuras Finance BV, 3.25% | 300 | 289,123 | ||||||||||
Eni SpA, Series NC-9, 2.75% | 450 | 373,743 | ||||||||||
|
| |||||||||||
662,866 | ||||||||||||
Pharmaceuticals — 0.4% | ||||||||||||
Bayer AG | ||||||||||||
3.13%, 11/12/79(a)(d) | 700 | 642,940 | ||||||||||
7.00%, 09/25/83 | 100 | 104,572 | ||||||||||
|
| |||||||||||
747,512 | ||||||||||||
Wireless Telecommunication Services(a)(d) — 0.2% | ||||||||||||
Vodafone Group PLC | ||||||||||||
2.63%, 08/27/80 | 218 | 209,772 | ||||||||||
4.20%, 10/03/78 | 100 | 97,267 | ||||||||||
|
| |||||||||||
307,039 | ||||||||||||
|
| |||||||||||
4,630,508 | ||||||||||||
|
| |||||||||||
Total Preferred Securities — 2.5% | 4,630,508 | |||||||||||
|
| |||||||||||
U.S. Government Sponsored Agency Securities |
| |||||||||||
Commercial Mortgage-Backed Securities — 0.2% | ||||||||||||
FREMF Mortgage Trust, Series 2017-KGX1, Class BFX, 3.71%, 10/25/27(a)(b) | USD | 370 | 328,226 | |||||||||
|
| |||||||||||
Mortgage-Backed Securities(m) — 4.3% | ||||||||||||
Uniform Mortgage-Backed Securities | ||||||||||||
4.50%, 10/13/52 | 2,305 | 2,116,150 | ||||||||||
3.00%, 10/12/53 | 1,048 | 866,337 | ||||||||||
3.50%, 10/12/53 | 5,774 | 4,964,988 | ||||||||||
|
| |||||||||||
7,947,475 | ||||||||||||
|
| |||||||||||
Total U.S. Government Sponsored Agency Securities — 4.5% (Cost: $8,522,340) | 8,275,701 | |||||||||||
|
| |||||||||||
Total Long-Term Investments — 77.3% (Cost: $164,020,650) | 141,211,561 | |||||||||||
|
| |||||||||||
Short-Term Securities | ||||||||||||
Commercial Paper — 0.4% | ||||||||||||
AT&T, Inc., 5.93%, 02/21/24(n) | 590 | 576,436 | ||||||||||
Societe Generale SA, 5.70%, 03/06/24(n) | 250 | 243,749 | ||||||||||
|
| |||||||||||
820,185 | ||||||||||||
|
|
Security |
Shares | Value | ||||||||||
Money Market Funds — 20.8% | ||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.23%(l)(o) | 38,062,884 | $ | 38,062,884 | |||||||||
|
| |||||||||||
Par (000) | ||||||||||||
U.S. Treasury Obligations — 0.2% | ||||||||||||
U.S. Treasury Bills, 5.42%, 11/14/23(n) | USD | 318 | 315,992 | |||||||||
|
| |||||||||||
Total Short-Term Securities — 21.4% | 39,199,061 | |||||||||||
|
| |||||||||||
Total Investments — 98.7% | 180,410,622 | |||||||||||
Other Assets Less Liabilities — 1.3% | 2,318,521 | |||||||||||
|
| |||||||||||
Net Assets — 100.0% | $ | 182,729,143 | ||||||||||
|
|
(a) | 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. |
(b) | 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. |
(c) | Non-income producing security. |
(d) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(e) | Convertible security. |
(f) | Zero-coupon bond. |
(g) | Perpetual security with no stated maturity date. |
(h) | 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. |
(i) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(j) | Issuer filed for bankruptcy and/or is in default. |
(k) | Rounds to less than 1,000. |
(l) | Affiliate of the Trust. |
(m) | Represents or includes a TBA transaction. |
(n) | Rates are discount rates or a range of discount rates as of period end. |
(o) | Annualized 7-day yield as of period end. |
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.
S C H E D U L E O F I N V E S T M E N T S | 8 |
Schedule of Investments (unaudited) (continued) September 30, 2023 | BlackRock Multi-Sector Opportunities Trust (MSO) |
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the period ended September 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 12/31/22 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 09/30/23 | Shares Held at 09/30/23 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | $ | 8,842,853 | $ | 29,220,031 | (a) | $ | — | $ | — | $ | — | $ | 38,062,884 | 38,062,884 | $ | 634,944 | $ | — | ||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 1,656,675 | — | — | — | 2,025 | 1,658,700 | 22,500 | 66,375 | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | — | $ | 2,025 | $ | 39,721,584 | $ | 701,319 | $ | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Represents net amount purchased (sold). |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
10-Year U.S. Treasury Note | 158 | 12/19/23 | $ 17,066 | $ | (326,337 | ) | ||||||||
U.S. Long Bond | 12 | 12/19/23 | 1,366 | (73,241 | ) | |||||||||
Ultra U.S. Treasury Bond | 4 | 12/19/23 | 476 | (40,743 | ) | |||||||||
Long Gilt | 8 | 12/27/23 | 919 | (593 | ) | |||||||||
2-Year U.S. Treasury Note | 70 | 12/29/23 | 14,189 | (40,999 | ) | |||||||||
5-Year U.S. Treasury Note | 43 | 12/29/23 | 4,529 | (44,522 | ) | |||||||||
|
| |||||||||||||
(526,435 | ) | |||||||||||||
|
| |||||||||||||
Short Contracts | ||||||||||||||
Euro BOBL | 4 | 12/07/23 | 490 | 5,833 | ||||||||||
Euro Bund | 3 | 12/07/23 | 408 | 11,891 | ||||||||||
10-Year U.S. Ultra Long Treasury Note | 230 | 12/19/23 | 25,652 | 823,181 | ||||||||||
|
| |||||||||||||
840,905 | ||||||||||||||
|
| |||||||||||||
$ | 314,470 | |||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 201,025 | EUR | 186,415 | BNP Paribas SA | 12/14/23 | $ | 3,293 | |||||||||||||
USD | 1,949 | EUR | 1,809 | JPMorgan Chase Bank N.A. | 12/14/23 | 30 | ||||||||||||||
USD | 124,631 | EUR | 115,682 | JPMorgan Chase Bank N.A. | 12/14/23 | 1,925 | ||||||||||||||
USD | 389,325 | EUR | 361,372 | JPMorgan Chase Bank N.A. | 12/14/23 | 6,015 | ||||||||||||||
USD | 362,889 | BRL | 1,812,469 | Bank of America N.A. | 12/20/23 | 5,774 | ||||||||||||||
USD | 125,439 | CAD | 169,000 | HSBC Bank PLC | 12/20/23 | 860 | ||||||||||||||
USD | 298,121 | CNH | 2,159,632 | The Bank of New York Mellon | 12/20/23 | 1,302 | ||||||||||||||
USD | 592,257 | EUR | 549,000 | Standard Chartered Bank | 12/20/23 | 9,699 | ||||||||||||||
USD | 17,966,856 | EUR | 16,771,000 | UBS AG | 12/20/23 | 170,708 | ||||||||||||||
USD | 2,635,919 | GBP | 2,130,000 | Morgan Stanley & Co. International PLC | 12/20/23 | 35,693 | ||||||||||||||
USD | 324,759 | MXN | 5,671,776 | The Bank of New York Mellon | 12/20/23 | 3,545 | ||||||||||||||
|
| |||||||||||||||||||
238,844 | ||||||||||||||||||||
|
| |||||||||||||||||||
BRL | 2,867,122 | USD | 576,816 | Morgan Stanley & Co. International PLC | 12/20/23 | (11,901 | ) | |||||||||||||
MXN | 3,351,190 | USD | 192,677 | Morgan Stanley & Co. International PLC | 12/20/23 | (2,887 | ) | |||||||||||||
USD | 5,114,509 | AUD | 7,934,000 | HSBC Bank PLC | 12/20/23 | (365 | ) | |||||||||||||
ZAR | 2,086,287 | USD | 109,645 | State Street Bank and Trust Co. | 12/20/23 | (213 | ) | |||||||||||||
|
| |||||||||||||||||||
(15,366 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
$ | 223,478 | |||||||||||||||||||
|
|
9 |
Schedule of Investments (unaudited) (continued) September 30, 2023 | BlackRock Multi-Sector Opportunities Trust (MSO) |
Centrally Cleared Credit Default Swaps — Sell Protection
Reference Obligation/Index | | Financing Rate Received by the Trust | | | Payment Frequency | | Termination Date | | Credit Rating | (a) | | Notional Amount (000) | (b) | Value | | Upfront Premium Paid (Received) |
| | Unrealized Appreciation (Depreciation) | | ||||||||||
CDX.NA.HY.34.V11 | 5.00 | % | Quarterly | 06/20/25 | C+ | USD 3,420 | $ | 93,365 | $ | (6,008 | ) | $ | 99,373 | |||||||||||||||||
CDX.NA.HY.41.V1 | 5.00 | Quarterly | 12/20/28 | B | USD 9,022 | 88,578 | 76,281 | 12,297 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 181,943 | $ | 70,273 | $ | 111,670 | |||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | 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 |
Received by the Trust | Effective Date | Termination Date | Notional Amount (000) |
| Upfront Premium Paid (Received) | Unrealized (Depreciation) | |||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Value | ||||||||||||||||||||||||||||
4.18% | Annual | 1-Day SOFR, 5.31% | Annual | N/A | 06/21/24 | USD | 4,685 | $ | 59,432 | $ | (4,441 | ) | $ | 63,873 | ||||||||||||||||||
28-Day MXIBTIIE, 11.50% | Monthly | 9.80% | Monthly | N/A | 02/04/25 | MXN | 2,271 | (2,215 | ) | 1 | (2,216 | ) | ||||||||||||||||||||
28-Day MXIBTIIE, 11.50% | Monthly | 9.90% | Monthly | N/A | 02/05/25 | MXN | 8,533 | (7,666 | ) | 2 | (7,668 | ) | ||||||||||||||||||||
28-Day MXIBTIIE, 11.50% | Monthly | 9.92% | Monthly | N/A | 02/05/25 | MXN | 4,111 | (3,632 | ) | 1 | (3,633 | ) | ||||||||||||||||||||
1-Day SOFR, 5.31% | Annual | 3.71% | Annual | N/A | 01/10/27 | USD | 7,146 | (259,130 | ) | 45,704 | (304,834 | ) | ||||||||||||||||||||
1-Day SOFR, 5.31% | Annual | 1.56% | Annual | N/A | 03/07/27 | USD | 8,805 | (1,014,197 | ) | 56 | (1,014,253 | ) | ||||||||||||||||||||
1-Day SOFR, 5.31% | Annual | 3.47% | Annual | 03/10/25 | (a) | 03/10/27 | USD | 1,097 | (10,808 | ) | 5 | (10,813 | ) | |||||||||||||||||||
3.50% | Annual | 1-Day SOFR, 5.31% | Annual | N/A | 05/28/31 | USD | 200 | 11,501 | (3,245 | ) | 14,746 | |||||||||||||||||||||
1-Day SOFR, 5.31% | Annual | 3.14% | Annual | 05/12/28 | (a) | 05/12/33 | USD | 1,560 | (57,170 | ) | 15 | (57,185 | ) | |||||||||||||||||||
3.22% | Annual | 1-Day SOFR, 5.31% | Annual | N/A | 05/28/51 | USD | 89 | 12,871 | (4,586 | ) | 17,457 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (1,271,014 | ) | $ | 33,512 | $ | (1,304,526 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward Swap. |
OTC Credit Default Swaps — Sell Protection
Reference Obligation/Index | | Financing Rate Received by the Trust | | | Payment Frequency | | Counterparty | | Termination Date | | | Credit Rating | (a) | | Notional Amount (000)(b) |
| Value | | Upfront Premium Paid (Received) | | | Unrealized Appreciation (Depreciation) | | |||||||||||||||
CMA CGM SA | 5.00 | % | Quarterly | Credit Suisse International | 06/20/27 | N/R | EUR | 6 | $ | 758 | $ | 150 | $ | 608 | ||||||||||||||||||||||||
CMA CGM SA | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | N/R | EUR | 6 | 762 | 164 | 598 | ||||||||||||||||||||||||||||
CMA CGM SA | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | N/R | EUR | 5 | 716 | 154 | 562 | ||||||||||||||||||||||||||||
CMA CGM SA | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/27 | N/R | EUR | 3 | 340 | 74 | 266 | ||||||||||||||||||||||||||||
CMA CGM SA | 5.00 | Quarterly | JPMorgan Chase Bank N.A. Morgan Stanley & Co. | 06/20/27 | N/R | EUR | 156 | 20,094 | 12,902 | 7,192 | ||||||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | International PLC | 09/17/58 | N/R | USD | 451 | (97,265 | ) | (31,237 | ) | (66,028 | ) | |||||||||||||||||||||||||
CMBX.NA.15 | 3.00 | Monthly | Goldman Sachs International Morgan Stanley & Co. | 11/15/64 | N/R | USD | 3,523 | (839,013 | ) | (748,987 | ) | (90,026 | ) | |||||||||||||||||||||||||
CMBX.NA.15 | 3.00 | Monthly | International PLC | 11/15/64 | N/R | USD | 3,522 | (838,823 | ) | (679,751 | ) | (159,072 | ) | |||||||||||||||||||||||||
CMBX.NA.15 | 3.00 | Monthly | International PLC | 11/18/64 | N/R | USD | 4,000 | (952,667 | ) | (742,921 | ) | (209,746 | ) | |||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
$ | (2,705,098 | ) | $ | (2,189,452 | ) | $ | (515,646 | ) | ||||||||||||||||||||||||||||||
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(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement. |
SCHEDULE OF INVESTMENTS | 10 |
Schedule of Investments (unaudited) (continued) September 30, 2023 |
BlackRock Multi-Sector Opportunities Trust (MSO) |
OTC Total Return Swaps
Paid by the Trust | Received by the Trust | Upfront Premium | Unrealized | |||||||||||||||||||||||||||||||||
Effective | Termination | Notional | Paid | Appreciation | ||||||||||||||||||||||||||||||||
Rate/Reference | Frequency | Rate/Reference | Frequency | Counterparty | Date | Date | Amount (000) | Value | (Received) | (Depreciation) | ||||||||||||||||||||||||||
1-Day SOFR minus 1.05%, 5.31% | Monthly | iShares iBoxx $ High Yield Corporate Bond ETF | Monthly | JPMorgan Chase Bank N.A. | N/A | 12/15/23 | USD | 328 | $ | (4,554 | ) | $ | — | $ | (4,554 | ) | ||||||||||||||||||||
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Fair Value Hierarchy as of Period End
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:
• | 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); and |
• | 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 inputs used by the 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. 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. For information about the Trust’s policy regarding valuation of financial instruments, refer to its most recent 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 | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 30,984,260 | $ | — | $ | 30,984,260 | ||||||||
Common Stocks | ||||||||||||||||
Hotel & Resort REITs | 30,760 | — | — | 30,760 | ||||||||||||
Hotels, Restaurants & Leisure | 159,212 | — | — | 159,212 | ||||||||||||
Oil, Gas & Consumable Fuels | 1,104,797 | — | — | 1,104,797 | ||||||||||||
Real Estate Management & Development | — | 1,676 | — | 1,676 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Aerospace & Defense | — | 697,175 | — | 697,175 | ||||||||||||
Automobile Components | — | 952,031 | — | 952,031 | ||||||||||||
Automobiles | — | 1,648,736 | — | 1,648,736 | ||||||||||||
Banks | — | 2,125,292 | — | 2,125,292 | ||||||||||||
Beverages | — | 1,392,026 | — | 1,392,026 | ||||||||||||
Building Materials | — | 451,863 | — | 451,863 | ||||||||||||
Building Products | — | 106,402 | — | 106,402 | ||||||||||||
Capital Markets | — | 410,276 | — | 410,276 | ||||||||||||
Chemicals | — | 4,048,198 | — | 4,048,198 | ||||||||||||
Commercial Services & Supplies | — | 589,944 | — | 589,944 | ||||||||||||
Construction Materials | — | 93,844 | — | 93,844 | ||||||||||||
Consumer Discretionary | — | 502,905 | — | 502,905 | ||||||||||||
Consumer Finance | 80,349 | 205,671 | — | 286,020 | ||||||||||||
Consumer Staples Distribution & Retail | — | 636,707 | — | 636,707 | ||||||||||||
Containers & Packaging | — | 310,909 | — | 310,909 | ||||||||||||
Diversified Consumer Services | — | 209,151 | — | 209,151 | ||||||||||||
Diversified REITs | — | 552,240 | — | 552,240 | ||||||||||||
Diversified Telecommunication Services | — | 1,634,518 | — | 1,634,518 |
11 |
|
Schedule of Investments (unaudited) (continued) September 30, 2023 |
BlackRock Multi-Sector Opportunities Trust (MSO) |
Fair Value Hierarchy as of Period End (continued)
| ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ||||||||||||||||
Corporate Bonds (continued) | ||||||||||||||||
Electric Utilities | $ | — | $ | 1,557,837 | $ | — | $ | 1,557,837 | ||||||||
Electrical Equipment | — | 25,549 | — | 25,549 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 196,268 | — | 196,268 | ||||||||||||
Energy Equipment & Services | — | 44,405 | — | 44,405 | ||||||||||||
Environmental, Maintenance & Security Service | — | 18,049 | — | 18,049 | ||||||||||||
Financial Services | — | 2,348,387 | 371,056 | 2,719,443 | ||||||||||||
Food Products | — | 404,045 | — | 404,045 | ||||||||||||
Ground Transportation | — | 101,122 | — | 101,122 | ||||||||||||
Health Care Providers & Services | — | 2,716,120 | — | 2,716,120 | ||||||||||||
Hotels, Restaurants & Leisure | — | 5,755,416 | — | 5,755,416 | ||||||||||||
Household Durables | — | 5,944,712 | — | 5,944,712 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 284,686 | — | 284,686 | ||||||||||||
Insurance | — | 449,202 | — | 449,202 | ||||||||||||
Interactive Media & Services | — | 203,447 | — | 203,447 | ||||||||||||
Internet Software & Services | — | 117,644 | — | 117,644 | ||||||||||||
IT Services | — | 281,340 | — | 281,340 | ||||||||||||
Machinery | — | 502,406 | — | 502,406 | ||||||||||||
Media | — | 2,615,471 | — | 2,615,471 | ||||||||||||
Metals & Mining | — | 1,798,866 | — | 1,798,866 | ||||||||||||
Multi-Utilities | — | 333,951 | — | 333,951 | ||||||||||||
Oil, Gas & Consumable Fuels | 162,172 | 10,525,393 | 495,990 | 11,183,555 | ||||||||||||
Passenger Airlines | — | 568,903 | — | 568,903 | ||||||||||||
Personal Care Products | — | 102,993 | — | 102,993 | ||||||||||||
Pharmaceuticals | — | 1,025,175 | — | 1,025,175 | ||||||||||||
Real Estate Management & Development | — | 2,058,562 | — | 2,058,562 | ||||||||||||
Software | — | 680,162 | — | 680,162 | ||||||||||||
Specialty Retail | — | 260,386 | — | 260,386 | ||||||||||||
Transportation Infrastructure | — | 845,778 | — | 845,778 | ||||||||||||
Water Utilities | — | 606,805 | — | 606,805 | ||||||||||||
Wireless Telecommunication Services | — | 3,312,373 | — | 3,312,373 | ||||||||||||
Floating Rate Loan Interests | — | 802,034 | 5,287,214 | 6,089,248 | ||||||||||||
Foreign Agency Obligations | — | 10,561,333 | — | 10,561,333 | ||||||||||||
Investment Companies | 1,658,700 | — | — | 1,658,700 | ||||||||||||
Municipal Bonds | — | 332,768 | — | 332,768 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 14,019,690 | — | 14,019,690 | ||||||||||||
Preferred Securities | ||||||||||||||||
Capital Trusts | — | 4,630,508 | — | 4,630,508 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 8,275,701 | — | 8,275,701 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Commercial Paper | — | 820,185 | — | 820,185 | ||||||||||||
Money Market Funds | 38,062,884 | — | — | 38,062,884 | ||||||||||||
U.S. Treasury Obligations | — | 315,992 | — | 315,992 | ||||||||||||
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$ | 41,258,874 | $ | 132,997,488 | $ | 6,154,260 | $ | 180,410,622 | |||||||||
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Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | $ | — | $ | 120,896 | $ | — | $ | 120,896 | ||||||||
Foreign Currency Exchange Contracts | — | 238,844 | — | 238,844 | ||||||||||||
Interest Rate Contracts | 840,905 | 96,076 | — | 936,981 | ||||||||||||
Liabilities | ||||||||||||||||
Credit Contracts | — | (524,872 | ) | — | (524,872 | ) | ||||||||||
Equity Contracts | — | (4,554 | ) | — | (4,554 | ) | ||||||||||
Foreign Currency Exchange Contracts | — | (15,366 | ) | — | (15,366 | ) | ||||||||||
Interest Rate Contracts | (526,435 | ) | (1,400,602 | ) | — | (1,927,037 | ) | |||||||||
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$ | 314,470 | $ | (1,489,578 | ) | $ | — | $ | (1,175,108 | ) | |||||||
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(a) | Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
SCHEDULE OF INVESTMENTS | 12 |
Schedule of Investments (unaudited) (continued) September 30, 2023 | BlackRock Multi-Sector Opportunities Trust (MSO) |
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 period 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 Securities | Corporate Bonds | Floating Rate Loan Interests | Total | |||||||||||||
| ||||||||||||||||
Assets | ||||||||||||||||
Opening balance, as of December 31, 2022 | $ | 1,003,006 | $ | 2,503,178 | $ | 14,067,820 | $ | 17,574,004 | ||||||||
Transfers into Level 3 | — | — | — | — | ||||||||||||
Transfers out of Level 3 | (191,535 | ) | — | — | (191,535 | ) | ||||||||||
Other(a) | (811,471 | ) | 3,687,893 | (2,876,422 | ) | — | ||||||||||
Accrued discounts/premiums | — | — | 5,163 | 5,163 | ||||||||||||
Net realized gain (loss) | — | (641,826 | ) | 421 | (641,405 | ) | ||||||||||
Net change in unrealized appreciation (depreciation)(b) | — | 454,076 | 97,553 | 551,629 | ||||||||||||
Purchases | — | 54,560 | 160,793 | 215,353 | ||||||||||||
Sales | — | (5,190,835 | ) | (6,168,114 | ) | (11,358,949 | ) | |||||||||
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| |||||||||
Closing balance, as of September 30, 2023 | $ | — | $ | 867,046 | $ | 5,287,214 | $ | 6,154,260 | ||||||||
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| |||||||||
Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2023(b) | $ | — | $ | 9,688 | $ | 97,936 | $ | 107,624 | ||||||||
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(a) | Certain Level 3 investments were re-classified between Asset-Backed Securities, Corporate Bonds and Floating Rate Loan Interests. |
(b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at September 30, 2023 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 $12,322. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.
Value | | Valuation Approach | | | Unobservable Inputs |
| | Range of Unobservable Inputs Utilized | (a) | | Weighted Average of Unobservable Inputs Based on Fair Value | | ||||||||
Assets | ||||||||||||||||||||
Corporate Bonds | $ | 867,046 | Income | Discount Rate | 9% - 12% | 11% | ||||||||||||||
Floating Rate Loan Interests(b) | 5,274,892 | Income | Discount Rate | 3% - 4% | 3% | |||||||||||||||
Estimated Recovery Value | 41% | — | ||||||||||||||||||
Market | EBITDA Multiple | 15.25x | — | |||||||||||||||||
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| |||||||||||||||||||
$ | 6,141,938 | |||||||||||||||||||
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|
(a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
(b) | For the period end September 30, 2023, the valuation technique for investments classified as Floating Rate Loan Interests amounting to $1,074,933 changed to a Market approach. The investments were previously valued utilizing a discounted Cash Flow approach. The change was due to consideration of the information that was available at the time the investments were valued. |
13 |
|
Schedule of Investments (unaudited) (continued) September 30, 2023 | BlackRock Multi-Sector Opportunities Trust (MSO) |
Currency Abbreviation | ||
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CNH | Chinese Yuan | |
EUR | Euro | |
GBP | British Pound | |
MXN | Mexican Peso | |
USD | United States Dollar | |
ZAR | South African Rand | |
Portfolio Abbreviation | ||
CDI | CREST Depository Interest | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury | |
ETF | Exchange-Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
FREMF | Freddie Mac Multifamily Securities | |
GO | General Obligation Bonds | |
LIBOR | London Interbank Offered Rate | |
MXIBTIIE | Mexico Interbank TIIE 28-Day | |
PCL | Public Company Limited | |
PIK | Payment-in-Kind | |
RB | Revenue Bond | |
SAB | Special Assessment Bonds | |
SOFR | Secured Overnight Financing Rate |
SCHEDULE OF INVESTMENTS | 14 |