<![CDATA[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: 10/31/2013

Date of reporting period: 01/31/2013

Item 1 – Schedule of Investments

  

 

Consolidated Schedule of Investments

January 31, 2013 (Unaudited)

   

 

BlackRock Resources & Commodities StrategyTrust (BCX)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares      Value  

 

  

Chemicals – 21.4%

      

Agrium, Inc. (a)

      78,500       $ 8,908,965   

CF Industries Holdings, Inc.

      51,200         11,733,504   

E.I. du Pont de Nemours & Co.

      421,000         19,976,450   

Israel Chemicals Ltd.

      514,400         6,832,088   

K+S AG

      108,000         4,868,531   

Monsanto Co. (a)

      182,700         18,516,645   

The Mosaic Co.

      181,600         11,123,000   

Potash Corp. of Saskatchewan, Inc. (a)

      581,500         24,713,750   

Rentech Nitrogen Partners LP (a)

      116,000         5,600,480   

Sociedad Quimica y Minera de Chile
SA - ADR

      123,900         7,042,476   

Syngenta AG

      48,500         20,856,836   

Uralkali OJSC - GDR

      255,100         9,706,621   
     

 

 

  
        149,879,346   

 

  

Energy Equipment & Services – 2.5%

  

   

Atwood Oceanics, Inc. (b)

      16,900         891,813   

Baker Hughes, Inc. (a)

      32,400         1,448,928   

Basic Energy Services, Inc. (b)

      21,900         283,167   

Calfrac Well Services Ltd. (a)

      7,000         179,948   

Core Laboratories NV (a)

      17,500         2,233,700   

Forum Energy Technologies, Inc. (b)

      42,100         1,073,971   

Halliburton Co.

      43,100         1,753,308   

Key Energy Services, Inc. (b)

      135,800         1,104,054   

National Oilwell Varco, Inc.

      27,900         2,068,506   

Patterson-UTI Energy, Inc. (a)

      85,600         1,741,104   

Schlumberger Ltd.

      15,900         1,240,995   

Seadrill Ltd.

      46,054         1,820,590   

Technip SA

      11,700         1,266,858   
     

 

 

  
        17,106,942   

 

  

Food Products – 2.8%

  

   

Archer-Daniels-Midland Co.

      262,000         7,474,860   

Bunge Ltd.

      111,200         8,858,192   

SLC Agricola SA

      305,000         3,305,245   
     

 

 

  
        19,638,297   

 

  

Machinery – 4.7%

  

   

AGCO Corp. (b)

      245,700         13,022,100   

Deere & Co.

      149,900         14,099,594   

Joy Global, Inc. (a)

      94,500         5,969,565   
     

 

 

  
        33,091,259   

 

  

Metals & Mining – 27.3%

  

   

Alexco Resource Corp. (b)

      611,000         2,590,640   

Allied Nevada Gold Corp. (a)(b)

      282,300         6,687,687   

Augusta Resource Corp. (b)

      894,729         2,326,295   

Avalon Rare Metals, Inc. (b)

      107,600         133,772   

BHP Billiton Ltd. - ADR (a)

      69,600         5,478,912   

Cliffs Natural Resources, Inc. (a)

      26,700         996,177   

Compass Minerals International, Inc. (a)

      103,100         7,428,355   

Detour Gold Corp. (a)(b)

      288,200         6,091,093   

Eldorado Gold Corp. (a)

      608,300         6,812,960   

Endeavour Silver Corp. (b)

      229,800         1,578,726   
Common Stocks    Shares      Value  

 

  

Metals & Mining (concluded)

      

First Majestic Silver Corp. (b)

      207,100       $ 3,777,504   

Franco-Nevada Corp. (a)

      321,900         17,205,223   

Freeport-McMoRan Copper & Gold,
Inc. (a)

      368,900         13,003,725   

Fresnillo Plc

      523,700         13,766,769   

Goldcorp, Inc.

      325,300         11,479,837   

Hi-Crush Partners LP (a)

      235,600         3,983,996   

HudBay Minerals, Inc.

      358,200         4,165,951   

Iluka Resources Ltd.

      196,000         1,986,743   

Kenmare Resources Plc (b)

      4,464,100         2,356,644   

MAG Silver Corp. (b)

      462,000         5,160,096   

McEwen Mining, Inc. (a)(b)

      793,400         2,483,342   

New Gold, Inc. (a)(b)

      540,300         5,240,910   

Newmont Mining Corp.

      237,700         10,211,592   

Novagold Resources, Inc. (a)(b)

      833,200         3,682,744   

Pan American Silver Corp. (a)

      103,500         1,812,285   

Prospect Global Resources, Inc. (b)

      2,884,615         4,153,846   

Rio Tinto Plc - ADR (a)

      91,000         5,138,770   

Seabridge Gold, Inc. (a)(b)

      460,300         6,798,631   

Silver Wheaton Corp. (a)

      658,400         22,945,240   

Silvercorp Metals, Inc. (a)

      1,149,100         4,975,603   

Teck Resources Ltd., Class B

      186,200         6,786,014   
     

 

 

  
        191,240,082   

 

  

Oil, Gas & Consumable Fuels – 37.2%

      

Alpha Natural Resources, Inc. (a)(b)

      307,765         2,726,798   

AltaGas Ltd. (a)

      303,800         10,755,141   

Anadarko Petroleum Corp. (a)

      27,700         2,216,554   

Angle Energy, Inc. (b)

      98,600         272,845   

Apache Corp. (a)

      52,000         4,355,520   

Baytex Energy Corp. (a)

      72,900         3,351,909   

Bill Barrett Corp. (b)

      53,200         849,604   

Bonavista Energy Corp.

      132,800         1,794,811   

Cenovus Energy, Inc.

      67,700         2,250,348   

Chevron Corp.

      40,500         4,663,575   

Cobalt International Energy, Inc. (a)(b)

      28,800         697,248   

Concho Resources, Inc. (a)(b)

      27,700         2,526,794   

CONSOL Energy, Inc. (a)

      234,100         7,336,694   

Continental Resources, Inc. (a)(b)

      21,300         1,770,456   

Crescent Point Energy Corp. (a)

      267,300         10,339,316   

Crew Energy, Inc. (a)(b)

      83,500         498,120   

DeeThree Exploration Ltd. (b)

      167,328         1,142,474   

Denbury Resources, Inc. (b)

      198,800         3,703,644   

Enbridge Energy Partners LP (a)

      115,411         3,460,022   

Energy XXI (Bermuda) Ltd. (a)

      43,500         1,362,420   

Enterprise Products Partners LP (a)

      273,800         15,516,246   

EOG Resources, Inc. (a)

      56,400         7,048,872   

EQT Corp.

      29,100         1,728,831   

Exxon Mobil Corp.

      13,200         1,187,604   

Gasco Energy, Inc. (b)

      371,900         28,264   

Hess Corp. (a)

      28,300         1,900,628   

James River Coal Co. (b)

      89,100         268,191   

Keyera Corp. (a)

      194,100         10,100,050   
 

 

Portfolio Abbreviations

 

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many securities have been abbreviated according to the following list:      ADR         American Depositary Receipt   GBP      British Pound
     AUD         Australian Dollar   GDR      Global Depositary Receipt
     BRL         Brazilian Real   ILS      Israeli Shekel
     CAD         Canadian Dollar   NOK      Norwegian Krone
     CHF         Swiss Franc   USD      US Dollar
     EUR         Euro       

 

                 
        JANUARY 31, 2013    1

  

 

Consolidated Schedule of Investments (continued)

   

 

BlackRock Resources & Commodities Strategy Trust (BCX)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares      Value  

 

  

Oil, Gas & Consumable Fuels (concluded)

  

   

Kodiak Oil & Gas Corp. (b)

      138,200       $ 1,271,440   

LinnCo. LLC

      183,500         7,321,650   

Long Run Exploration Ltd. (b)

      65,838         290,442   

Magellan Midstream Partners LP (a)

      255,200         12,915,672   

MarkWest Energy Partners LP (a)

      173,300         9,569,626   

Noble Energy, Inc. (a)

      43,600         4,699,644   

Occidental Petroleum Corp.

      121,300         10,707,151   

ONEOK Partners LP

      271,950         16,208,220   

Patriot Coal Corp. (b)

      64,000         5,888   

Peabody Energy Corp.

      118,800         2,987,820   

Permian Basin Royalty Trust

      598,985         8,206,096   

PetroChina Co. Ltd. - ADR (a)

      6,200         881,640   

Pioneer Natural Resources Co. (a)

      20,800         2,444,832   

Plains All American Pipeline LP (a)

      352,500         18,576,750   

Plains Exploration & Production Co. (a)(b)

      72,100         3,442,775   

Range Resources Corp.

      53,600         3,600,312   

Rex Energy Corp. (b)

      67,300         883,649   

Rosetta Resources, Inc. (b)

      41,600         2,205,632   

Royal Dutch Shell Plc, Class A - ADR

      91,300         6,438,476   

Ship Finance International Ltd. (a)

      330,000         5,563,800   

Southwestern Energy Co. (a)(b)

      17,300         593,390   

Statoil ASA

      101,400         2,701,549   

Suncor Energy, Inc.

      153,000         5,205,060   

Targa Resources Partners LP (a)

      92,500         3,714,800   

Valero Energy Corp. (a)

      70,100         3,065,473   

Vermilion Energy, Inc. (a)

      126,900         6,509,128   

Whiting Petroleum Corp. (a)(b)

      105,700         5,029,206   

Williams Partners LP (a)

      233,500         11,847,790   
     

 

 

  
        260,740,890   

 

  

Total Common Stocks – 95.9%

         671,696,816   

 

  

    

      
     
Investment Companies    Shares      Value  

 

  

Sprott Physical Gold Trust (b)

      1,249,400       $ 17,853,926   

Sprott Physical Platinum and
Equity Trust (b)

      702,100         6,999,937   

    

      

 

  

Total Investment Companies – 3.5%

         24,853,863   

 

  

Total Long-Term Investments

      

(Cost – $719,400,350) – 99.4%

         696,550,679   

 

  

    

      
     

Short-Term Securities

      

 

  

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (c)(d)

      85,241         85,241   

 

  

Total Short-Term Securities

      

(Cost – $85,241) – 0.0%

         85,241   

 

  

Total Investments Before Options Written

  

   

(Cost – $719,485,591*) – 99.4%

         696,635,920   

 

  

    

      
     

Options Written

      

 

  

(Premiums Received – $6,346,135) – (1.0)%

  

      (7,163,076 ) 

 

  

Total Investments Net of Options Written – 98.4%

  

      689,472,844   

Other Assets Less Liabilities – 1.6%

  

      10,901,705   
     

 

 

  

Net Assets – 100.0%

       $ 700,374,549   
     

 

 

  
 

 

Notes to Schedule of Investments

 

* As of January 31, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

    $ 789,826,018   
  

 

 

  

Gross unrealized appreciation

    $ 58,185,330   

Gross unrealized depreciation

      (151,375,428 ) 
  

 

 

  

Net unrealized depreciation

    $ (93,190,098 ) 
  

 

 

  

 

(a) All or a portion of security has been pledged/segregated as collateral in connection with outstanding options written.
(b) Non-income producing security.
(c) Represents the current yield as of report date.
(d) Investments in issuers considered to be an affiliate of the Trust during the period ended January 31, 2013, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliate    Shares
Held at
October 31,
2012		      Net
Activity		     Shares
Held at
January 31,
2013		      Income      Realized
Gain		  

BlackRock Liquidity Funds, TempFund,

              

Institutional Class

      7,260,037         (7,174,796 )      85,241       $ 3,158       $ 142   

 

                 
2         JANUARY 31, 2013   

  

 

Consolidated Schedule of Investments (continued)

   

 

BlackRock Resources & Commodities Strategy Trust (BCX)

 

—  

Foreign currency exchange contracts as of January 31, 2013 were as follows:

 

Currency

Purchased

   

Currency

Sold

      Counterparty    Settlement
Date		   

Unrealized
Appreciation

(Depreciation)

  

CAD        523,000

    USD 521,548       Deutsche Bank Securities Corp.    2/01/13    $ 2,815   

USD          58,419

    GBP 37,000       Banc of America Securities    2/01/13      (263 ) 

USD        917,605

    NOK      5,042,435       Deutsche Bank Securities Corp.    2/01/13      (5,428 ) 

NOK     2,720,000

    USD 496,471       Citigroup Global Markets, Inc.    2/04/13      1,359   

NOK     2,231,000

    USD 406,464       Deutsche Bank Securities Corp.    2/04/13      1,927   

Total

             $ 410   
           

 

 

  

 

—  

Exchange-Traded options written as of January 31, 2013 were as follows:

 

Description    Put/
Call		       

Strike

Price

       

Expiration

Date

      Contracts        Market
Value		  

CONSOL Energy, Inc.

      Call         USD 36         2/07/13        410         $ (105 ) 

Potash Corp. of Saskatchewan, Inc.

      Call         USD 43.25         2/16/13        1,065           (35,889 ) 

Apache Corp.

      Call         USD 82.50         2/18/13        91           (23,796 ) 

Baker Hughes, Inc.

      Call         USD 45         2/18/13        115           (8,338 ) 

CONSOL Energy, Inc.

      Call         USD 34         2/18/13        409           (4,908 ) 

Crescent Point Energy Corp.

      Call         CAD 38         2/18/13        38           (2,953 ) 

Crew Energy, Inc.

      Call         CAD 7         2/18/13        300           (1,203 ) 

Detour Gold Corp.

      Call         CAD 26         2/18/13        503           (3,530 ) 

Detour Gold Corp.

      Call         CAD 27         2/18/13        503           (3,278 ) 

Enbridge Energy Partners LP

      Call         USD 30         2/18/13        400           (7,000 ) 

Energy XXI (Bermuda) Ltd.

      Call         USD 35         2/18/13        150           (750 ) 

Freeport-McMoRan Copper & Gold, Inc.

      Call         USD 36         2/18/13        1,290           (47,085 ) 

MarkWest Energy Partners LP

      Call         USD 52.50         2/18/13        100           (27,500 ) 

McEwen Mining, Inc.

      Call         USD 4         2/18/13        500           (2,500 ) 

New Gold, Inc.

      Call         USD 12         2/18/13        1,800           (9,000 ) 

Noble Energy, Inc.

      Call         USD 110         2/18/13        152           (15,580 ) 

Plains All American Pipeline LP

      Call         USD 50         2/18/13        2           (565 ) 

Plains Exploration & Production Co.

      Call         USD 48         2/18/13        120           (6,420 ) 

Seabridge Gold, Inc.

      Call         USD 16         2/18/13        405           (4,050 ) 

Seabridge Gold, Inc.

      Call         USD 18         2/18/13        390           (1,950 ) 

Seabridge Gold, Inc.

      Call         USD 19         2/18/13        815           (4,075 ) 

Ship Finance International Ltd.

      Call         USD 17.50         2/18/13        290           (3,625 ) 

Silver Wheaton Corp.

      Call         USD 37         2/18/13        1,150           (20,700 ) 

Vermilion Energy, Inc.

      Call         CAD 52         2/18/13        61           (1,529 ) 

Vermilion Energy, Inc.

      Call         CAD 52         2/18/13        383           (9,600 ) 

Magellan Midstream Partners LP

      Call         USD     44.25         2/27/13        200           (127,200 ) 

Agrium, Inc.

      Call         USD 110         3/18/13        393           (227,940 ) 

Allied Nevada Gold Corp.

      Call         USD 35         3/18/13        940           (9,400 ) 

Alpha Natural Resources, Inc.

      Call         USD 11         3/18/13        725           (10,513 ) 

AltaGas Ltd.

      Call         CAD 34         3/18/13        665           (105,011 ) 

Anadarko Petroleum Corp.

      Call         USD 80         3/18/13        95           (36,100 ) 

Baytex Energy Corp.

      Call         CAD 46.50         3/18/13        255           (18,536 ) 

BHP Billiton Ltd. - ADR

      Call         USD 77.50         3/18/13        348           (88,392 ) 

Cliffs Natural Resources, Inc.

      Call         USD 40         3/18/13        93           (8,928 ) 

Cobalt International Energy, Inc.

      Call         USD 25         3/18/13        100           (10,250 ) 

Compass Minerals International, Inc.

      Call         USD 80         3/18/13        343           (6,002 ) 

Concho Resources, Inc.

      Call         USD 95         3/18/13        96           (23,040 ) 

Continental Resources, Inc.

      Call         USD 85         3/18/13        73           (19,892 ) 

Core Laboratories NV

      Call         USD 120         3/18/13        61           (54,900 ) 

 

                 
        JANUARY 31, 2013    3

  

 

Consolidated Schedule of Investments (continued)

   

 

BlackRock Resources & Commodities Strategy Trust (BCX)

 

—  

Exchange-Traded options written as of January 31, 2013 were as follows: (concluded)

 

 

  
Description    Put/
Call		       

Strike

Price

        Expiration
Date		      Contracts        Market
Value		  

 

  

Crescent Point Energy Corp.

      Call         CAD 39         3/18/13        445         $ (23,423 ) 

Enterprise Products Partners LP

      Call         USD 52.50         3/18/13        2           (830 ) 

Franco-Nevada Corp.

      Call         CAD 56         3/18/13        560           (32,284 ) 

MarkWest Energy Partners LP

      Call         USD 55         3/18/13        391           (37,145 ) 

Novagold Resources, Inc.

      Call         USD 5         3/18/13        1,200           (12,000 ) 

Pan American Silver Corp.

      Call         USD 20         3/18/13        360           (4,500 ) 

Patterson-UTI Energy, Inc.

      Call         USD 20         3/18/13        297           (31,185 ) 

PetroChina Co. Ltd. - ADR

      Call         USD 145         3/18/13        21           (5,198 ) 

Pioneer Natural Resources Co.

      Call         USD 115         3/18/13        74           (52,910 ) 

Potash Corp. of Saskatchewan, Inc.

      Call         USD 42         3/18/13        970           (143,075 ) 

Potash Corp. of Saskatchewan, Inc.

      Call         USD 43         3/18/13        2,035           (191,290 ) 

Silver Wheaton Corp.

      Call         USD 38         3/18/13        1,150           (51,750 ) 

Silvercorp Metals, Inc.

      Call         USD 5         3/18/13        2,200           (16,500 ) 

Silvercorp Metals, Inc.

      Call         USD 6         3/18/13        780           (3,900 ) 

Southwestern Energy Co.

      Call         USD 34         3/18/13        60           (9,630 ) 

Southwestern Energy Co.

      Call         USD 35         3/18/13        54           (6,021 ) 

Targa Resources Partners LP

      Call         USD 41         3/18/13        320           (17,600 ) 

Valero Energy Corp.

      Call         USD 38         3/18/13        245           (144,550 ) 

Whiting Petroleum Corp.

      Call         USD 50         3/18/13        134           (15,075 ) 

Williams Partners LP

      Call         USD 50         3/18/13        40           (7,500 ) 

Apache Corp.

      Call         USD      82.50         4/22/13        91           (40,950 ) 

Calfrac Well Services Ltd.

      Call         CAD 26         4/22/13        25           (2,131 ) 

Eldorado Gold Corp.

      Call         USD 14         4/22/13        381           (4,762 ) 

EOG Resources, Inc.

      Call         USD 130         4/22/13        197           (77,322 ) 

Hess Corp.

      Call         USD 60         4/22/13        100           (83,500 ) 

Hi-Crush Partners LP

      Call         USD 20         4/22/13        13           (715 ) 

Joy Global, Inc.

      Call         USD 70         4/22/13        623           (84,417 ) 

Keyera Corp.

      Call         CAD 52         4/22/13        678           (76,474 ) 

Monsanto Co.

      Call         USD 105         4/22/13        914           (184,628 ) 

Rentech Nitrogen Partners LP

      Call         USD 47.50         4/22/13        337           (74,982 ) 

Rio Tinto Plc - ADR

      Call         USD 60         4/22/13        285           (31,350 ) 

Total

                        $ (2,459,630 ) 
                      

 

 

  

 

—  

Over-the-counter options written as of January 31, 2013 were as follows:

 

 

  
Description    Counterparty    Put/
Call		     

Strike

Price

      Expiration
Date		    Contracts      Market
Value		  

 

  

Augusta Resource Corp.

    Morgan Stanley & Co., Inc.      Call       USD 2.41       2/04/13      43,000       $ (8,174 ) 

Chevron Corp.

    Citigroup Global Markets, Inc.      Call       USD 107       2/04/13      13,500         (110,025 ) 

Kenmare Resources Plc

    Goldman Sachs & Co.      Call       GBP 0.32       2/05/13      685,500         (21,550 ) 

EQT Corp.

    Morgan Stanley & Co., Inc.      Call       USD 59.02       2/06/13      10,000         (8,799 ) 

McEwen Mining, Inc.

    Morgan Stanley & Co., Inc.      Call       USD 3.93       2/06/13      50,000         (3 ) 

DeeThree Exploration Ltd.

    Citigroup Global Markets, Inc.      Call       CAD 6.46       2/07/13      22,000         (8,581 ) 

E.I. du Pont de Nemours & Co.

    Morgan Stanley & Co., Inc.      Call       USD 44.60       2/07/13      116,200         (331,170 ) 

Plains Exploration & Production Co.

    UBS Securities LLC      Call       USD 47.08       2/07/13      13,500         (12,025 ) 

SLC Agricola SA

    Credit Suisse First Boston      Call       BRL 20.29       2/07/13      16,000         (10,635 ) 

Archer-Daniels-Midland Co.

    Goldman Sachs & Co.      Call       USD 28.15       2/08/13      91,500         (53,822 ) 

DeeThree Exploration Ltd.

    Morgan Stanley & Co., Inc.      Call       CAD 6.68       2/08/13      6,200         (1,480 ) 

Exxon Mobil Corp.

    Credit Suisse First Boston      Call       USD      89.95       2/08/13      4,400         (3,610 ) 

Forum Energy Technologies, Inc.

    Morgan Stanley & Co., Inc.      Call       USD 25.60       2/08/13      14,700         (6,684 ) 

Halliburton Co.

    Banc of America Securities      Call       USD 34.73       2/08/13      15,000         (89,250 ) 

Kodiak Oil & Gas Corp.

    Goldman Sachs & Co.      Call       USD 8.56       2/08/13      46,000         (29,814 ) 

 

                 
4         JANUARY 31, 2013   

  

 

Consolidated Schedule of Investments (continued)

   

 

BlackRock Resources & Commodities Strategy Trust (BCX)

 

—  

Over-the-counter options written as of January 31, 2013 were as follows: (continued)

 

 

  
Description    Counterparty    Put/
Call		     

Strike

Price

      Expiration
Date		    Contracts      Market
Value		  

 

  

Silvercorp Metals, Inc.

    Goldman Sachs & Co.      Call       USD 5.38       2/08/13      97,000       $ –   

Denbury Resources, Inc.

    Goldman Sachs & Co.      Call       USD 16.40       2/11/13      64,500         (144,016 ) 

Magellan Midstream Partners LP

    Goldman Sachs & Co.      Call       USD 43.29       2/11/13      69,500         (508,740 ) 

Fresnillo Plc

    Morgan Stanley & Co., Inc.      Call       GBP 19.84       2/12/13      122,000         –   

Uralkali OJSC - GDR

    Morgan Stanley & Co., Inc.      Call       USD 39.96       2/12/13      84,200         (6,918 ) 

Eldorado Gold Corp.

    Credit Suisse First Boston      Call       USD 13.04       2/13/13      108,000         (453 ) 

First Majestic Silver Corp.

    Goldman Sachs & Co.      Call       USD 21.19       2/13/13      67,000         (2,093 ) 

MAG Silver Corp.

    Citigroup Global Markets, Inc.      Call       CAD 10.04       2/13/13      40,000         (45,817 ) 

Bunge Ltd.

    Deutsche Bank Securities Corp.      Call       USD 73.93       2/14/13      38,900         (223,138 ) 

Franco-Nevada Corp.

    Deutsche Bank Securities Corp.      Call       CAD 57.74       2/14/13      56,700         (1,048 ) 

ONEOK Partners LP

    UBS Securities LLC      Call       USD 55.22       2/14/13      46,500         (203,670 ) 

Sprott Physical Gold Trust

    UBS Securities LLC      Call       USD 14.56       2/14/13      150,000         (6,200 ) 

Rio Tinto Plc - ADR

    Credit Suisse First Boston      Call       USD 54.47       2/21/13      31,700         (81,141 ) 

SLC Agricola SA

    Credit Suisse First Boston      Call       BRL 20.92       2/21/13      32,900         (16,567 ) 

The Mosaic Co.

    JPMorgan Chase Securities      Call       USD 58.87       2/22/13      63,500         (163,172 ) 

Occidental Petroleum Corp.

    Citigroup Global Markets, Inc.      Call       USD 80.70       2/22/13      42,500         (321,725 ) 

Alexco Resource Corp.

    Morgan Stanley & Co., Inc.      Call       USD 4.01       2/25/13      37,500         (12,847 ) 

Bill Barrett Corp.

    Morgan Stanley & Co., Inc.      Call       USD 20.63       2/25/13      18,600         (370 ) 

DeeThree Exploration Ltd.

    Morgan Stanley & Co., Inc.      Call       CAD 7.25       2/25/13      27,400         (3,656 ) 

MarkWest Energy Partners LP

    Deutsche Bank Securities Corp.      Call       USD 53.15       2/25/13      11,500         (24,663 ) 

Augusta Resource Corp.

    Citigroup Global Markets, Inc.      Call       USD 2.76       2/26/13      43,000         (3,780 ) 

Alexco Resource Corp.

    UBS Securities LLC      Call       USD 4.30       2/28/13      50,000         (9,931 ) 

National Oilwell Varco, Inc.

    Morgan Stanley & Co., Inc.      Call       USD 72.50       2/28/13      10,000         (32,300 ) 

Ship Finance International Ltd.

    Citigroup Global Markets, Inc.      Call       USD 16.48       2/28/13      60,000         (33,803 ) 

Sprott Physical Gold Trust

    Deutsche Bank Securities Corp.      Call       USD 14.41       3/01/13      125,000         (17,481 ) 

Whiting Petroleum Corp.

    Goldman Sachs & Co.      Call       USD 47.20       3/01/13      13,800         (25,841 ) 

Alexco Resource Corp.

    Morgan Stanley & Co., Inc.      Call       USD 4.04       3/04/13      34,130         (11,916 ) 

Iluka Resources Ltd.

    Citigroup Global Markets, Inc.      Call       AUD 9.64       3/04/13      68,600         (41,917 ) 

Plains All American Pipeline LP

    Banc of America Securities      Call       USD 50.29       3/05/13      44,000         (117,037 ) 

Plains All American Pipeline LP

    Morgan Stanley & Co., Inc.      Call       USD 51.97       3/05/13      39,000         (44,549 ) 

Seadrill Ltd.

    Deutsche Bank Securities Corp.      Call       NOK      212.40       3/06/13      16,200         (16,977 ) 

Technip SA

    Citigroup Global Markets, Inc.      Call       EUR 81.52       3/06/13      2,100         (5,796 ) 

E.I. du Pont de Nemours & Co.

    Goldman Sachs & Co.      Call       USD 46.33       3/07/13      31,200         (48,806 ) 

Range Resources Corp.

    Goldman Sachs & Co.      Call       USD 66.69       3/07/13      18,700         (49,783 ) 

Rentech Nitrogen Partners LP

    Deutsche Bank Securities Corp.      Call       USD 44.28       3/07/13      24,300         (104,829 ) 

Royal Dutch Shell Plc, Class A - ADR

    Citigroup Global Markets, Inc.      Call       USD 69.22       3/07/13      32,000         (50,039 ) 

Chevron Corp.

    Morgan Stanley & Co., Inc.      Call       USD 116.35       3/11/13      2,000         (3,567 ) 

HudBay Minerals, Inc.

    Deutsche Bank Securities Corp.      Call       CAD 12.05       3/11/13      126,600         (28,941 ) 

Peabody Energy Corp.

    Morgan Stanley & Co., Inc.      Call       USD 26       3/11/13      41,500         (32,646 ) 

Williams Partners LP

    UBS Securities LLC      Call       USD 51.77       3/11/13      47,000         (33,597 ) 

Denbury Resources, Inc.

    Banc of America Securities      Call       USD 18.05       3/12/13      5,000         (5,129 ) 

Israel Chemicals Ltd.

    Banc of America Securities      Call       ILS 47.82       3/12/13      180,000         (102,260 ) 

Syngenta AG

    Morgan Stanley & Co., Inc.      Call       CHF 384.91       3/12/13      17,000         (246,042 ) 

Technip SA

    Citigroup Global Markets, Inc.      Call       EUR 81.52       3/12/13      2,100         (6,331 ) 

SLC Agricola SA

    UBS Securities LLC      Call       BRL 21.41       3/13/13      31,500         (15,176 ) 

AGCO Corp.

    Deutsche Bank Securities Corp.      Call       USD 52.48       3/20/13      86,000         (185,947 ) 

Fresnillo Plc

    Deutsche Bank Securities Corp.      Call       GBP 16.83       3/20/13      61,300         (38,604 ) 

Kenmare Resources Plc

    Deutsche Bank Securities Corp.      Call       GBP 0.34       3/20/13      774,000         (25,455 ) 

LinnCo. LLC

    Morgan Stanley & Co., Inc.      Call       USD 38.49       3/20/13      32,000         (45,120 ) 

Altas Income Ltd.

    Deutsche Bank Securities Corp.      Call       CAD 35.09       3/21/13      19,900         (11,413 ) 

 

                 
        JANUARY 31, 2013    5

  

 

Consolidated Schedule of Investments (continued)

   

 

BlackRock Resources & Commodities Strategy Trust (BCX)

 

—  

Over-the-counter options written as of January 31, 2013 were as follows: (concluded)

 

 

  
Description    Counterparty    Put/
Call		     

Strike

Price

      Expiration
Date		    Contracts      Market
Value		  

 

  

Goldcorp, Inc.

    UBS Securities LLC      Call       USD 38.38       3/21/13      113,500       $ (56,289 ) 

Newmont Mining Corp.

    Morgan Stanley & Co., Inc.      Call       USD 45.35       3/21/13      83,100         (58,484 ) 

Sociedad Quimica y Minera de Chile SA - ADR

    Goldman Sachs & Co.      Call       USD 58.66       3/21/13      43,400         (21,188 ) 

Augusta Resource Corp.

    UBS Securities LLC      Call       USD 2.56       3/26/13      19,000         (4,496 ) 

Endeavour Silver Corp.

    Citigroup Global Markets, Inc.      Call       USD 7.43       3/26/13      80,500         (16,271 ) 

Rex Energy Corp.

    Deutsche Bank Securities Corp.      Call       USD 14.15       3/26/13      23,500         (8,975 ) 

Rosetta Resources, Inc.

    Deutsche Bank Securities Corp.      Call       USD 51.31       3/26/13      14,500         (53,377 ) 

Schlumberger Ltd.

    Citigroup Global Markets, Inc.      Call       USD 79.31       3/26/13      5,500         (9,094 ) 

Suncor Energy, Inc.

    Citigroup Global Markets, Inc.      Call       USD 34.74       3/26/13      53,500         (45,039 ) 

Teck Resources Ltd., Class B

    Citigroup Global Markets, Inc.      Call       CAD 38.35       3/26/13      93,000         (59,094 ) 

Altas Income Ltd.

    Deutsche Bank Securities Corp.      Call       CAD 35.09       3/27/13      19,900         (11,861 ) 

Atwood Oceanics, Inc.

    Morgan Stanley & Co., Inc.      Call       USD 54.47       3/27/13      6,000         (5,581 ) 

Crescent Point Energy Corp.

    Citigroup Global Markets, Inc.      Call       CAD 40.08       3/27/13      47,500         (10,836 ) 

Enterprise Products Partners LP

    Citigroup Global Markets, Inc.      Call       USD 56.60       3/27/13      95,500         (79,157 ) 

Basic Energy Services, Inc.

    Citigroup Global Markets, Inc.      Call       USD 13.29       4/01/13      7,500         (5,459 ) 

Cenovus Energy, Inc.

    Goldman Sachs & Co.      Call       USD 34.23       4/01/13      23,600         (16,633 ) 

LinnCo. LLC

    JPMorgan Chase Securities      Call       USD 39.97       4/02/13      32,000         (24,608 ) 

MAG Silver Corp.

    Morgan Stanley & Co., Inc.      Call       CAD 11.40       4/02/13      40,000         (24,624 ) 

Whiting Petroleum Corp.

    Morgan Stanley & Co., Inc.      Call       USD 49.75       4/02/13      9,500         (13,782 ) 

Deere & Co.

    UBS Securities LLC      Call       USD 96.25       4/03/13      52,400         (71,145 ) 

K+S AG

    Deutsche Bank Securities Corp.      Call       EUR 34.45       4/03/13      37,800         (29,255 ) 

Kenmare Resources Plc

    Morgan Stanley & Co., Inc.      Call       GBP 0.34       4/03/13      774,000         (29,541 ) 

Statoil ASA

    Deutsche Bank Securities Corp.      Call       NOK      147.61       4/03/13      35,500         (14,337 ) 

ONEOK Partners LP

    Morgan Stanley & Co., Inc.      Call       USD 60.55       4/04/13      48,500         (35,065 ) 

Plains All American Pipeline LP

    Deutsche Bank Securities Corp.      Call       USD 52.70       4/05/13      20,000         (20,186 ) 

HudBay Minerals, Inc.

    Deutsche Bank Securities Corp.      Call       CAD 11.80       4/11/13      52,500         (24,270 ) 

Key Energy Services, Inc.

    Banc of America Securities      Call       USD 8.50       4/11/13      47,500         (23,988 ) 

Williams Partners LP

    UBS Securities LLC      Call       USD 50.79       4/11/13      30,700         (43,106 ) 

Plains All American Pipeline LP

    Deutsche Bank Securities Corp.      Call       USD 52.70       4/18/13      20,000         (21,776 ) 

SLC Agricola SA

    JPMorgan Chase Securities      Call       BRL 22.01       4/21/13      26,300         (9,060 ) 

 

  

Total

                   $ (4,703,446 ) 
                 

 

 

  

 

—  

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 Trust management. These definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

—  

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

 

  —  

Level 1 - unadjusted price quotations in active markets/exchanges for identical assets and 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 level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

                 
6         JANUARY 31, 2013   

  

 

Consolidated Schedule of Investments (concluded)

   

 

BlackRock Resources & Commodities Strategy Trust (BCX)

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure 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 investment and derivative financial instrument 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 and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its annual report.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of January 31, 2013:

 

        Level 1        Level 2        Level 3      Total  

Assets:

                    

Investments:

                    

Long-Term Investments:

                    

Common Stocks:

                    

Chemicals

      $ 107,615,270         $ 42,264,076         –      $ 149,879,346   

Energy Equipment & Services

        14,019,494           3,087,448         –        17,106,942   

Food Products

        19,638,297           –         –        19,638,297   

Machinery

        33,091,259           –         –        33,091,259   

Metals & Mining

        173,129,926           18,110,156         –        191,240,082   

Oil, Gas & Consumable Fuels

        258,039,341           2,701,549         –        260,740,890   

Investment Companies

        24,853,863           –         –        24,853,863   

Short-Term Securities

        85,241           –         –        85,241   

Total

      $ 630,472,691         $ 66,163,229         –      $ 696,635,920   

    

                    
        Level 1        Level 2        Level 3      Total  

Derivative Financial Instruments1

                    

Assets:

                    

Foreign currency exchange contracts

      $ 6,101           –         –      $ 6,101   

Liabilities:

                    

Equity contracts

        (2,296,436 )       $ (4,866,640 )       –        (7,163,076 ) 

Foreign currency exchange contracts

                   (5,691 )       –        (5,691 ) 

Total

      $ (2,296,026 )       $ (4,866,640 )       –      $ (7,162,666 ) 

 

  1

Derivative financial instruments are foreign currency exchange contracts and options written. Foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options written are shown at value.

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of January 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

        Level 1      Level 2        Level 3      Total  

Assets:

                    

Cash

      $8,585,999        –         –      $ 8,585,999   

Foreign currency at value

      76,614        –         –        76,614   

Liabilities:

                    

Cash received as collateral for options written

      –      $ (448,000 )       –        (448,000 ) 

Total

      $8,662,613      $ (448,000 )       –      $ 8,214,613   

There were no transfers between levels during the period ended January 31, 2013.

 

                 
        JANUARY 31, 2013    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: March 26, 2013

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: March 26, 2013
By:  

/s/ Neal J. Andrews

  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of BlackRock Resources & Commodities Strategy Trust

Date: March 26, 2013