Schedule of Investments (unaudited) 

March 31, 2024

   

BlackRock Enhanced Government Fund, Inc. (EGF)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

Asset-Backed Securities

    

Apidos CLO XXIV, Series 2016-24A, Class A1AL, (3-mo. CME Term SOFR + 1.21%), 6.53%, 10/20/30(a)(b)

  $       249     $    249,387  

Birch Grove CLO Ltd., Series 19A, Class CR, (3-mo. CME Term SOFR + 2.46%), 7.79%, 06/15/31(a)(b)

    300       300,009  

BlueMountain CLO XXV Ltd., Series 2019-25A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.28%, 07/15/36(a)(b)

    250       249,604  

Cedar Funding XV CLO Ltd., Series 2022-15A, Class B, (3-mo. CME Term SOFR + 1.80%), 7.12%, 04/20/35(a)(b)

    250       249,202  

Dryden CLO Ltd., Series 2017-53A, Class B, (3-mo. CME Term SOFR + 1.66%), 6.98%, 01/15/31(a)(b)

    250       249,967  

Elmwood CLO X Ltd., Series 2021-3A, Class C, (3-mo. CME Term SOFR + 2.21%), 7.53%, 10/20/34(a)(b)

    500       500,870  

Generate CLO Ltd., Series 2A, Class CR, (3-mo. CME Term SOFR + 2.11%), 7.43%, 01/22/31(a)(b)

    250       250,501  

Neuberger Berman Loan Advisers CLO Ltd.(a)(b)

   

Series 2017-25A, Class AR, (3-mo. CME Term SOFR + 1.19%), 6.49%, 10/18/29

     369       368,855  

Series 2019-35R, Class CR, (3-mo. CME Term SOFR + 2.30%), 7.64%, 01/19/33

     250       252,365  

OCP CLO Ltd., Series 2019-17A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.18%, 07/20/32(a)(b)

    250       249,604  

OHA Credit Funding Ltd., Series 2019-4A, Class CR, (3-mo. CME Term SOFR + 2.31%), 7.63%, 10/22/36(a)(b)

    250       251,242  

Palmer Square CLO Ltd.(a)(b)

   

Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.39%), 6.71%, 01/17/31

     130       129,643  

Series 2015-1A, Class BR4, (3-mo. CME Term SOFR + 2.11%), 7.43%, 05/21/34

     250       249,144  

Securitized Asset-Backed Receivables LLC Trust, Series 2005-OP1, Class M2, (1-mo. Term SOFR + 0.79%), 6.12%, 01/25/35(a)

    117       103,302  

Southwick Park CLO LLC, Series 2019-4A, Class A1R, (3-mo. CME Term SOFR + 1.32%), 6.64%, 07/20/32(a)(b)

    250       250,125  

Trimaran CAVU Ltd., Series 2019-1A, Class C1, (3-mo. CME Term SOFR + 3.41%), 8.73%, 07/20/32(a)(b)

    250       250,006  

Voya CLO Ltd., Series 2016-1A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 6.65%, 01/20/31(a)(b)

    191       191,564  
   

 

 

  

Total Asset-Backed Securities — 11.4%
(Cost: $4,288,713)

 

     4,345,390  
   

 

 

  

Non-Agency Mortgage-Backed Securities

 

Collateralized Mortgage Obligations — 6.4%            

Bank of America Mortgage Trust, Series 2003-J, Class 2A1, 5.08%, 11/25/33(a)

    16       14,237  

Bravo Residential Funding Trust, Series 2021-NQM1, Class A1, 0.94%, 02/25/49(a)(b)

    46       40,426  

Chase Home Lending Mortgage Trust, Series 2019-ATR1, Class A12, 6.50%, 04/25/49(a)(b)

    33       33,110  

COLT Mortgage Loan Trust(b)

   

Series 2022-1, Class A1, 4.55%, 04/25/67(a)

    94       94,006  

Series 2022-2, Class A1, 2.99%, 02/25/67

     114       103,200  

Series 2022-7, Class A1, 5.16%, 04/25/67

     195       191,658  

Credit Suisse Mortgage Capital Certificates Trust, Series 2022-ATH1, Class A1A, 2.87%, 01/25/67(a)(b)

    113       104,915  

Ellington Financial Mortgage Trust, Series 2022-1, Class A1, 2.21%, 01/25/67(a)(b)

    221       187,347  
Security  

Par

(000)

     Value  

Collateralized Mortgage Obligations (continued)

 

Flagstar Mortgage Trust, Series 2021-4, Class A1, 2.50%, 06/01/51(a)(b)

  $       167     $    134,093  

GS Mortgage-Backed Securities Corp. Trust, Series 2022- PJ2, Class A4, 2.50%,
06/25/52(a)(b)

    86       68,860  

GS Mortgage-Backed Securities Trust, Series 2021-PJ2, Class A2, 2.50%, 11/25/51(a)(b)

    82       65,472  

JP Morgan Mortgage Trust(a)(b)

   

Series 2022-DSC1, Class A1, 4.75%, 01/25/63

     109       103,821  

Series 2022-INV3, Class A3B, 3.00%, 09/25/52

     85       70,562  

Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A3, 3.00%, 04/25/52(a)(b)

    89       73,974  

MFA Trust(a)(b)

   

Series 2020-NQM1, Class A1, 1.48%, 03/25/65

     53       49,607  

Series 2021-NQM1, Class M1, 2.31%, 04/25/65

     250       192,733  

OBX Trust, Series 2022-INC3, Class A1, 3.00%, 02/25/52(a)(b)

    87       73,013  

RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, 02/25/52(a)(b)

    87       72,681  

STAR Trust, Series 2021-1, Class M1, 2.36%, 05/25/65(a)(b)

    200       158,096  

TRK Trust, Series 2021-INV2, Class A1, 1.97%, 11/25/56(a)(b)

     130       111,275  

Verus Securitization Trust(b)

   

Series 2022-1, Class A1, 2.72%, 01/25/67

     82       73,976  

Series 2022-3, Class A1, 4.13%, 02/25/67

     317       296,583  

Series 2022-7, Class A1, 5.15%, 07/25/67

     128       127,492  
   

 

 

  
      2,441,137  
Interest Only Collateralized Mortgage Obligations — 0.0%  

CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37

     61       10,302  
   

 

 

  

Total Non-Agency Mortgage-Backed Securities — 6.4%
(Cost: $2,693,016)

 

     2,451,439  
   

 

 

  

U.S. Government Sponsored Agency Securities

 

Agency Obligations — 6.7%  

Federal Farm Credit Banks Funding Corp.

    

2.75%, 02/22/30

     400       363,394  

1.84%, 01/25/36

     500       362,242  

Federal Home Loan Banks

    

2.13%, 09/14/29

     1,000       895,230  

1.61%, 01/27/33

     300       233,967  

Freddie Mac

    

0.38%, 05/17/24

     500       496,913  

0.41%, 09/17/24

     220       214,833  
   

 

 

  
      2,566,579  
Collateralized Mortgage Obligations — 10.5%  

Fannie Mae REMICS

    

Series 2013-73, Class KE, 3.00%, 07/25/43

     500       409,119  

Series 2017-90, Class WB, 3.00%, 11/25/47

     433       333,611  

Series 2020-79, Class JA, 1.50%, 11/25/50

     212       184,254  

Series 2022-25, Class KL, 4.00%, 05/25/52

     1,000       878,648  

Series 2022-31, Class BZ, 4.00%, 10/25/51

     710       598,849  

Series 4480, Class ZX, 4.00%, 11/15/44

     622       581,785  

Freddie Mac REMICS

    

Series 4398, Class ZX, 4.00%, 09/15/54

     364       319,259  

Series 4921, Class NL, 3.00%, 10/25/49

     504       355,238  

Series 5230, Class DL, 3.50%, 09/25/44

     400       333,860  
   

 

 

  
      3,994,623  
 

 

 

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

   1

Schedule of Investments (unaudited) (continued)

March 31, 2024

   

BlackRock Enhanced Government Fund, Inc. (EGF)

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

      Value  
Commercial Mortgage-Backed Securities — 0.0%  

Ginnie Mae, Series 2006-30, Class IO, 2.79%, 05/16/46(a)

  $ 37      $ 8  
    

 

 

  
Interest Only Collateralized Mortgage Obligations — 0.3%  

Fannie Mae REMICS, Series 2012-47, Class NI, 4.50%, 04/25/42

     183        30,046  

Ginnie Mae(a)

    

Series 2009-116, Class KS, (1-mo. Term SOFR + 6.36%), 1.03%, 12/16/39

     106        7,752  

Series 2011-52, Class NS, (1-mo. Term SOFR + 6.56%), 1.23%, 04/16/41

     1,049        69,941  
    

 

 

  
       107,739  
Mortgage-Backed Securities — 46.8%  

Freddie Mac Mortgage-Backed Securities, 3.50%, 01/01/46

     770        707,326  

Ginnie Mae Mortgage-Backed Securities, 5.00%, 11/15/35

     1        1,450  

Uniform Mortgage-Backed Securities

     

4.00%, 10/01/24 - 10/01/53

     4,578        4,342,595  

1.50%, 06/01/31

     603        548,595  

5.00%, 11/01/33 - 04/11/54(c)

    2,447        2,429,574  

3.50%, 02/01/35 - 04/11/54(c)

    1,722        1,565,897  

5.50%, 03/01/35 - 04/01/53

     1,458        1,468,061  

6.00%, 02/01/36 - 03/01/38

     63        65,142  

4.50%, 04/01/39 - 04/11/54(c)

    2,129        2,071,867  

3.00%, 03/01/43 - 07/01/52

     4,070        3,563,747  

6.50%, 09/01/53 - 10/01/53

     1,075        1,097,984  
    

 

 

  
       17,862,238  
    

 

 

  

Total U.S. Government Sponsored Agency
Securities — 64.3%
(Cost: $26,241,442)

 

         24,531,187  
    

 

 

  

U.S. Treasury Obligations

     

U.S. Treasury Bonds

     

1.88%, 02/15/41 - 02/15/51

     940        649,162  

3.38%, 08/15/42

     900        777,375  

3.00%, 08/15/48

     5        3,902  

2.38%, 05/15/51

     700        475,207  

2.00%, 08/15/51

     950        588,592  

U.S. Treasury Notes

     

5.00%, 10/31/25

     310        310,872  

4.25%, 12/31/25 - 02/28/29

     800        795,321  

4.63%, 02/28/26

     200        199,836  

4.38%, 11/30/28

     700        703,691  

4.00%, 01/31/29 - 02/15/34

     1,120        1,106,856  
    

 

 

  

Total U.S. Treasury Obligations — 14.7%
(Cost: $6,567,000)

 

      5,610,814  
    

 

 

  

Total Long-Term Investments — 96.8%
(Cost: $39,790,171)

 

      36,938,830  
    

 

 

  
Security  

 

Shares

     Value  

Short-Term Securities

    
Money Market Funds — 3.1%            

BlackRock Liquidity Funds, T-Fund, Institutional Class, 5.19%(d)(e)

    1,183,945     $ 1,183,945  
   

 

 

  
    

Par

(000)

         
U.S. Government Sponsored Agency Securities — 2.4%  

Freddie Mac, 0.40%, 05/24/24

   $ 905       898,603  
   

 

 

  

Total Short-Term Securities — 5.5%
(Cost: $2,083,304)

 

     2,082,548  
   

 

 

  

Total Investments Before TBA Sale Commitments and
Options Written — 102.3%
(Cost: $41,873,475)

 

     39,021,378  

TBA Sale Commitments

    
Mortgage-Backed Securities — (1.2)%  

Uniform Mortgage-Backed Securities, 4.50%, 04/11/54(c)

    (490 )      (466,589 ) 
   

 

 

  

Total TBA Sale Commitments — (1.2)%
(Proceeds: $(469,673))

 

     (466,589 ) 
   

 

 

  

Options Written — (0.3)%
(Premiums Received: $(120,000))

 

     (104,202 ) 
   

 

 

  

Total Investments, Net of TBA Sale Commitments and Options Written — 100.8%
(Cost: $41,283,802)

 

     38,450,587  

Liabilities in Excess of Other Assets — (0.8)%

 

     (311,928 ) 
   

 

 

  

Net Assets — 100.0%

 

   $  38,138,659  
   

 

 

  

 

(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) 

Represents or includes a TBA transaction.

(d) 

Affiliate of the Fund.

(e) 

Annualized 7-day yield as of period end.

 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the period ended March 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
12/31/23		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Value at
03/31/24		     Shares
Held at
03/31/24		     Income     Capital Gain
Distributions
from
Underlying
Funds		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $ 1,302,929     $ —     $ (118,984 )(a)    $ —     $ —     $ 1,183,945       1,183,945     $ 12,432     $ —  
       

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

  (a) 

Represents net amount purchased (sold).

 

 

 

2  

Schedule of Investments (unaudited) (continued)

March 31, 2024

   

BlackRock Enhanced Government Fund, Inc. (EGF)

 

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

      2        06/18/24      $ 222      $ 1,309  

10-Year U.S. Ultra Long Treasury Note

      8        06/18/24        917        1,716  

Ultra U.S. Treasury Bond

      11        06/18/24        1,419        32,154  

2-Year U.S. Treasury Note

      8        06/28/24        1,636        (2,142 ) 

5-Year U.S. Treasury Note

      44        06/28/24        4,709        9,274  
           

 

 

  
              42,311  
           

 

 

  

Short Contracts

            

U.S. Long Bond

      8        06/18/24        964        (20,389 ) 
           

 

 

  
            $ 21,922  
           

 

 

  

OTC Interest Rate Swaptions Written

 

    

Paid by the Fund

     Received by the Fund            Expiration      Exercise     Notional          
Description   Rate   Frequency     Rate      Frequency    Counterparty      Date      Rate     Amount (000)      Value  

Call

                          

10-Year Interest Rate Swap, 05/01/34

   3.82%     Annual      
 1-Day SOFR,
5.34%		  
 		    Annual      Bank of America N.A.        04/29/24        3.82 %      USD        3,507      $ (25,992 ) 

2-Year Interest Rate Swap, 05/01/26

   4.45%     Annual      
 1-Day SOFR,
5.34%		  
 		    Annual      Bank of America N.A.        04/29/24        4.45       USD        16,834        (30,154 ) 

30-Year Interest Rate Swap, 05/01/54

   3.61%     Annual      
 1-Day SOFR,
5.34%		  
 		    Annual      Bank of America N.A.        04/29/24        3.61       USD        1,402        (20,057 ) 

5-Year Interest Rate Swap, 05/01/29

   3.94%     Annual      
 1-Day SOFR,
5.34%		  
 		    Annual      Bank of America N.A.        04/29/24        3.94       USD        6,312        (27,999 ) 
                         

 

 

  
                          $  (104,202 ) 
                         

 

 

  

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 Fund 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 Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.

 

 

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

   3

Schedule of Investments (unaudited) (continued)

March 31, 2024

   

BlackRock Enhanced Government Fund, Inc. (EGF)

 

Fair Value Hierarchy as of Period End (continued)

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’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

    $ —         $ 4,345,390         $ —         $ 4,345,390  

Non-Agency Mortgage-Backed Securities

      —           2,451,439           —           2,451,439  

U.S. Government Sponsored Agency Securities

      —           24,531,187           —           24,531,187  

U.S. Treasury Obligations

      —           5,610,814           —           5,610,814  

Short-Term Securities

                     

Money Market Funds

      1,183,945           —           —           1,183,945  

U.S. Government Sponsored Agency Securities

      —           898,603           —           898,603  

Liabilities

                     

Investments

                     

TBA Sale Commitments

      —           (466,589 )          —           (466,589 ) 
  

 

 

        

 

 

        

 

 

        

 

 

  
   $  1,183,945         $  37,370,844         $     —         $  38,554,789  
  

 

 

        

 

 

        

 

 

        

 

 

  

Derivative Financial Instruments(a)

                    

Assets

                     

Interest Rate Contracts

    $ 44,453         $ —         $ —         $ 44,453  

Liabilities

                     

Interest Rate Contracts

      (22,531 )          (104,202 )          —           (126,733 ) 
  

 

 

        

 

 

        

 

 

        

 

 

  
   $ 21,922         $ (104,202 )        $ —         $ (82,280 ) 
  

 

 

        

 

 

        

 

 

        

 

 

  

 

  (a) 

Derivative financial instruments are futures contracts and options written. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

 

Currency Abbreviation

 

USD    United States Dollar

Portfolio Abbreviation

 

CLO    Collateralized Loan Obligation
SOFR    Secured Overnight Financing Rate
TBA    To-Be-Announced

 

 

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