UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number 811-10543

 

Name of Fund: BlackRock Core Bond Trust (BHK)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Core Bond 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: 08/31/2012

 

Date of reporting period: 02/29/2012

 

Item 1 – Report to Stockholders


 

 

(BLACKROCK LOGO)

February 29, 2012


 

Semi-Annual Report (Unaudited)

 

BlackRock Core Bond Trust (BHK)

 

BlackRock Corporate High Yield Fund V, Inc. (HYV)

 

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

 

BlackRock High Income Shares (HIS)

 

BlackRock High Yield Trust (BHY)

 

BlackRock Income Opportunity Trust, Inc. (BNA)

 

BlackRock Income Trust, Inc. (BKT)

 

BlackRock Strategic Bond Trust (BHD)


 

Not FDIC Insured § No Bank Guarantee § May Lose Value




 

 

Table of Contents


 

 

 

Page

 

 

Dear Shareholder

3

Semi-Annual Report:

 

Trust Summaries

4

The Benefits and Risks of Leveraging

20

Derivative Financial Instruments

20

Financial Statements:

 

Schedules of Investments

21

Statements of Assets and Liabilities

99

Statements of Operations

103

Statements of Changes in Net Assets

105

Statements of Cash Flows

107

Financial Highlights

109

Notes to Financial Statements

117

Officers and Trustees

132

Additional Information

133


 

 

 

 

 

 

2

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Dear Shareholder

Risk assets were advancing at this time last year despite a wave of geopolitical revolutions, soaring oil prices and natural disasters in Japan. Markets reversed sharply in May, however, when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe. Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5, 2011, Standard & Poor’s downgraded the US government’s credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as Greece teetered on the brink of default, debt problems escalated in Italy and Spain, and exposure to European sovereign bonds stressed banks globally. Financial markets whipsawed on hopes and fears. Macro news flow became a greater influence on trading decisions than the fundamentals of the securities traded. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.

October brought enough positive economic data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming the region’s debt crisis. Investors began to reenter the markets and risk assets recovered through the month. But a lack of definitive details about Europe’s rescue plan eventually raised doubts among investors and thwarted the rally at the end of October. The last two months of 2011 saw more political instability in Greece, unsustainable yields on Italian government bonds, and US policymakers in gridlock over budget issues. Global central bank actions and improving economic data invigorated the markets, but investor confidence was easily tempered by sobering news flow.

Investors showed more optimism at the start of 2012. Risk assets rallied through January and February as economic data grew stronger and debt problems in Europe stabilized. In the United States, jobs data signaled solid improvement in the labor market and the Federal Reserve indicated that it would keep short-term interest rates low through 2014. In Europe, policymakers made significant progress toward securing a Greek bailout plan and restructuring the nation’s debt. Nevertheless, considerable head-winds remain. Europe faces a prolonged recession, the US economy still remains somewhat shaky and the risks of additional flare ups of euro-zone debt problems and slowing growth in China weigh heavily on the future of the global economy.

Risk assets, including equities and high yield bonds, recovered their late-summer losses and posted strong returns for the 6-month period ended February 29, 2012. On a 12-month basis, US large-cap stocks and high yield bonds delivered positive results, while small-cap and emerging-market stocks finished slightly negative. International markets, which experienced some significant downturns in 2011, lagged the broader rebound. Fixed income securities, which benefited from declining yields, advanced over the 6- and 12-month periods. Despite their quality rating downgrade, US Treasury bonds performed particularly well. Municipal bonds also delivered superior results. Continued low short-term interest rates kept yields on money market securities near their all-time lows.

Many of the themes that caused uncertainty in 2011 remain. For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times. Visit blackrock.com/newworld for more information.

Sincerely,

-s- Rob Kapito

Rob Kapito
President, BlackRock Advisors, LLC

(PHOTO OF ROB KAPITO)

“For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times.”

Rob Kapito
President, BlackRock Advisors, LLC

 

 

Total Returns as of February 29, 2012


 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

US large cap equities
(S&P 500® Index)

 

13.31

%

 

5.12

%

 

US small cap equities
(Russell 2000® Index)

 

12.40

 

 

(0.15

)

 

International equities
(MSCI Europe, Australasia,
Far East Index)

 

4.13

 

 

(7.45

)

 

Emerging market
equities (MSCI Emerging
Markets Index)

 

5.27

 

 

(0.11

)

 

3-month Treasury
bill (BofA Merrill Lynch
3-Month Treasury
Bill Index)

 

0.00

 

 

0.08

 

 

US Treasury securities
(BofA Merrill Lynch 10-
Year US Treasury Index)

 

3.70

 

 

17.22

 

 

US investment grade bonds
(Barclays US Aggregate
Bond Index)

 

2.73

 

 

8.37

 

 

Tax-exempt municipal
bonds (S&P Municipal
Bond Index)

 

5.93

 

 

12.88

 

 

US high yield bonds
(Barclays US Corporate
High Yield 2% Issuer
Capped Index)

 

8.62

 

 

6.92

 

 

 

 

 

 

 

 

 

 

Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.


 

 

 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

3




 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Core Bond Trust


 

Investment Objective

BlackRock Core Bond Trust’s (BHK) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trust’s investments will include a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

 

 

No assurance can be given that the Trust’s investment objective will be achieved.


 

Portfolio Management Commentary

How did the Trust perform?

 

 

For the six months ended February 29, 2012, the Trust returned 15.20% based on market price and 8.63% based on net asset value (“NAV”). For the same period, the closed-end Lipper Corporate Debt Funds BBB-Rated category posted an average return of 8.84% based on market price and 5.79% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

What factors influenced performance?

 

 

Spread sectors outperformed government-related debt for the six-month period as improving US economic fundamentals and accommodative monetary policy provided a backdrop conducive for credit spread compression. As a result, the Trust benefited from its allocations to investment grade credit and high yield corporate credit. Within corporate credit, relative value trading in industrials was additive to performance. The Trust also benefited from exposure to commercial mortgage-backed securities (“CMBS”), which outperformed most other securitized debt sectors. Finally, the Trust’s duration stance (sensitivity to interest rate movements) contributed to returns as rates generally moved lower throughout the period.

 

 

The Trust actively traded exposure to financials within investment grade credit. Although these positions performed well toward period end, the overall effect was a drag on performance as European sovereign debt fear caused weakness in US financial names.

 

 

Describe recent portfolio activity.

 

 

During the period, the Trust reduced its allocation to investment grade securities in the banking industry while increasing exposure to companies with strong cash flow and high earnings visibility in the energy and telecommunications space. Toward period end, the Trust increased its portfolio duration, primarily by adding exposure to US Treasury bonds.

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust maintained a diversified exposure to non-government spread sectors, including investment grade credit, high yield corporate credit, CMBS, asset-backed securities and non-agency residential mortgage-backed securities (“MBS”). The Trust also held allocations to government-related sectors such as US Treasuries, agency debt and agency MBS. The Trust ended the reporting period with a long duration profile.


 

 

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 

4

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

 

BlackRock Core Bond Trust


 

 

Trust Information

 

 

Symbol on New York Stock Exchange (“NYSE”)

BHK

Initial Offering Date

November 27, 2001

Yield on Closing Market Price as of February 29, 2012 ($14.19)1

5.67%

Current Monthly Distribution per Common Share2

$0.067

Current Annualized Distribution per Common Share2

$0.804

Economic Leverage as of February 29, 20123

29%


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

The distribution rate is not constant and is subject to change.

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

 

 

 

 

 

 

 

 

 

 

 

 

Market Price

 

$14.19

 

$12.69

 

11.82%

 

$14.24

 

$12.59

 

Net Asset Value

 

$14.53

 

$13.78

 

5.44%

 

$14.56

 

$13.65

 

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond and US Government securities:

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

2/29/12

 

8/31/11

Corporate Bonds

53

%

 

52

%

US Treasury Obligations

22

 

 

16

 

Non-Agency Mortgage-Backed Securities

11

 

 

12

 

US Government Sponsored Agency Securities

5

 

 

13

 

Asset-Backed Securities

5

 

 

4

 

Foreign Agency Obligations

2

 

 

1

 

Taxable Municipal Bonds

1

 

 

1

 

Preferred Securities

1

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

AAA/Aaa5

38

%

 

40

%

AA/Aa

6

 

 

8

 

A

18

 

 

17

 

BBB/Baa

16

 

 

16

 

BB/Ba

9

 

 

6

 

B

10

 

 

11

 

CCC/Caa

2

 

 

2

 

Not Rated

1

 

 

 


 

 

 

 

4

Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.

 

 

 

 

5

Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

5




 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Corporate High Yield Fund V, Inc.


 

Investment Objective

BlackRock Corporate High Yield Fund V, Inc.’s (HYV) (the “Trust”) investment objective is to provide shareholders with current income by investing primarily in a diversified portfolio of fixed income securities that are rated in the lower rating categories of the established rating services (BB or lower by S&P or Ba or lower by Moody’s) or in unrated securities considered by the Trust’s investment adviser to be of comparable quality. The Trust also seeks to provide shareholders with capital appreciation. The Trust seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in domestic and foreign high yield debt instruments, including high yield bonds (commonly referred to as “junk” bonds) and high yield corporate loans which are below investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

 

 

No assurance can be given that the Trust’s investment objective will be achieved.

 

 

 

 

Portfolio Management Commentary


 

 

How did the Trust perform?

 

 

For the six months ended February 29, 2012, the Trust returned 16.85% based on market price and 11.05% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 13.38% based on market price and 10.05% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

What factors influenced performance?

 

 

The Trust delivered strong returns for the six-month period as risk assets rallied. High yield debt posted solid gains, outpacing government, emerging market and investment grade corporate sectors. Across the high yield credit spectrum, security selection in the mid- to higher-quality tiers boosted the Trust’s returns. Among sectors, security selection in the consumer service and non-captive diversified financials was rewarding. The Trust’s exposure to Delphi Automotive Plc stock received in connection with the company’s reorganization also added to performance.

 

 

Detracting from performance was the Trust’s tactical allocations to bank loans and investment grade credit, which underperformed relative to high yield debt in the risk asset rally. Exposure to select lower- and non-rated names in the high yield market hurt performance, as did security selection in the paper, metals & mining and non-cable media sectors.

 

 

Describe recent portfolio activity.

 

 

The period began with severe market volatility in reaction to headwinds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term panacea for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets.

 

 

Given these developments, the Trust maintained its higher-quality income- oriented bias, but started selectively adding back some risk in names with appealing risk-reward characteristics. Despite this modest shift to “risk-on,” the Trust continued to seek issuers with superior fundamentals (solid cash flows, earnings visibility and attractive downside protection), while generally remaining cautious of higher-beta credits (i.e., those with higher sensitivity to market volatility) and the more cyclical sectors.

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust held 76% of its total portfolio in corporate bonds, 15% in floating rate loan interests (bank loans), with the remainder in common stocks, preferred stocks and other interests. The Trust’s largest sector exposures included non-cable media, wireless and independent energy, while its portfolio holdings reflected less emphasis on the more cyclical segments of the market such as gaming, building materials and technology. The Trust ended the period with economic leverage at 24% of its total managed assets.


 

 

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 

6

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

BlackRock Corporate High Yield Fund V, Inc.

 

Trust Information


 

 

Symbol on NYSE

HYV

Initial Offering Date

November 30, 2001

Yield on Closing Market Price as of February 29, 2012 ($12.88)1

8.01%

Current Monthly Distribution per Common Share2

$0.086

Current Annualized Distribution per Common Share2

$1.032

Economic Leverage as of February 29, 20123

24%


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

The distribution rate is not constant and is subject to change.

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

Market Price

 

$12.88

 

$11.55

 

11.52%

 

$13.05

 

$10.13

Net Asset Value

 

$12.41

 

$11.71

 

5.98%

 

$12.41

 

$10.91

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond investments:

 

 

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Corporate Bonds

 

 

76

%

 

 

79

%

 

Floating Rate Loan Interests

 

 

15

 

 

 

13

 

 

Common Stocks

 

 

7

 

 

 

3

 

 

Preferred Stocks

 

 

2

 

 

 

2

 

 

Other Interests

 

 

 

 

 

3

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

A

 

 

1

%

 

 

 

 

BBB/Baa

 

 

7

 

 

 

7

%

 

BB/Ba

 

 

38

 

 

 

34

 

 

B

 

 

43

 

 

 

45

 

 

CCC/Caa

 

 

10

 

 

 

11

 

 

D

 

 

 

 

 

1

 

 

Not Rated

 

 

1

 

 

 

2

 

 


 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

7




 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Corporate High Yield Fund VI, Inc.

 

Investment Objective

BlackRock Corporate High Yield Fund VI, Inc.’s (HYT) (the “Trust”) primary investment objective is to provide shareholders with current income. The Trust’s secondary investment objective is to provide shareholders with capital appreciation. The Trust seeks to achieve its objectives by investing, under normal market conditions, at least 80% of its assets in domestic and foreign high yield securities, including high yield bonds (commonly referred to as “junk” bonds), corporate loans, convertible debt securities and preferred securities which are below investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Trust’s investment objectives will be achieved.

 

Portfolio Management Commentary


 

 

 

How did the Trust perform?

 

 

For the six months ended February 29, 2012, the Trust returned 16.21% based on market price and 10.55% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 13.38% based on market price and 10.05% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

The Trust delivered strong returns for the six-month period as risk assets rallied. High yield debt posted solid gains, outpacing government, emerging market and investment grade corporate sectors. Across the high yield credit spectrum, security selection in the mid- to higher-quality tiers boosted the Trust’s returns. Among sectors, security selection in the consumer service and non-captive diversified financials was rewarding. The Trust’s exposure to Delphi Automotive Plc stock received in connection with the company’s reorganization also added to performance.

 

 

Detracting from performance was the Trust’s tactical allocations to bank loans and investment grade credit, which underperformed relative to high yield debt in the risk asset rally. Exposure to select lower- and non-rated names in the high yield market hurt performance, as did security selection in the paper, metals & mining and non-cable media sectors.

 

 

 

Describe recent portfolio activity.

 

 

The period began with severe market volatility in reaction to headwinds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term panacea for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets.

 

 

Given these developments, the Trust maintained its higher-quality income-oriented bias, but started selectively adding back some risk in names with appealing risk-reward characteristics. Despite this modest shift to “risk-on,” the Trust continued to seek issuers with superior fundamentals (solid cash flows, earnings visibility and attractive downside protection), while generally remaining cautious of higher-beta credits (i.e., those with higher sensitivity to market volatility) and the more cyclical sectors.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust held 77% of its total portfolio in corporate bonds, 15% in floating rate loan interests (bank loans), with the remainder in common stocks, preferred stocks and other interests. The Trust’s largest sector exposures included non-cable media, wireless and independent energy, while its portfolio holdings reflected less emphasis on the more cyclical segments of the market such as gaming, building materials and technology. The Trust ended the period with economic leverage at 24% of its total managed assets.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 

8

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

BlackRock Corporate High Yield Fund VI, Inc.

 

Trust Information


 

 

Symbol on NYSE

HYT

Initial Offering Date

May 30, 2003

Yield on Closing Market Price as of February 29, 2012 ($12.44)1

8.05%

Current Monthly Distribution per Common Share2

$0.0835

Current Annualized Distribution per Common Share2

$1.0020

Economic Leverage as of February 29, 20123

24%


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

The distribution rate is not constant and is subject to change.

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

Market Price

 

$12.44

 

$11.21

 

10.97%

 

$12.67

 

$  9.95

Net Asset Value

 

$12.13

 

$11.49

 

5.57%

 

$12.13

 

$10.72

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond investments:

 

 

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Corporate Bonds

 

 

77

%

 

 

79

%

 

Floating Rate Loan Interests

 

 

15

 

 

 

13

 

 

Common Stocks

 

 

6

 

 

 

3

 

 

Preferred Stocks

 

 

2

 

 

 

2

 

 

Other Interests

 

 

 

 

 

3

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

A

 

 

1

%

 

 

 

 

BBB/Baa

 

 

6

 

 

 

7

%

 

BB/Ba

 

 

38

 

 

 

35

 

 

B

 

 

43

 

 

 

45

 

 

CCC/Caa

 

 

11

 

 

 

11

 

 

D

 

 

 

 

 

1

 

 

Not Rated

 

 

1

 

 

 

1

 

 


 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

9




 

 

 

 

Trust Summary as of February 29, 2012

BlackRock High Income Shares

 

Investment Objective

BlackRock High Income Shares’ (HIS) (the “Trust”) primary investment objective is to provide the highest current income attainable consistent with reasonable risk as determined by the Trust’s investment adviser, through investment in a professionally managed, diversified portfolio of high yield, high risk fixed income securities (commonly referred to as “junk bonds”). The Trust’s secondary objective is to provide capital appreciation, but only when consistent with its primary objective. The Trust seeks to achieve its objectives by investing primarily in high yield, high risk debt instruments rated in the medium to lower categories by nationally recognized rating services (BBB or lower by S&P or Baa or lower by Moody’s) or non-rated securities, which, in the investment adviser’s opinion, are of comparable quality. Under normal market conditions, the average maturity of the Trust’s portfolio is between eight and twelve years. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Trust’s investment objectives will be achieved.

 

Portfolio Management Commentary


 

 

 

How did the Trust perform?

 

 

For the six months ended February 29, 2012, the Trust returned 16.70% based on market price and 8.54% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 13.38% based on market price and 10.05% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

The Trust delivered strong returns for the six-month period as risk assets rallied. High yield debt posted solid gains, outpacing government, emerging market and investment grade corporate sectors. Across the high yield credit spectrum, security selection in the higher-quality tiers boosted the Trust’s returns. Among sectors, security selection in the consumer service and non-captive diversified financials was rewarding. The Trust’s exposure to preferred stock also added to performance.

 

 

Detracting from performance was the Trust’s tactical allocations to bank loans and investment grade credit, which underperformed relative to high yield debt in the risk asset rally. Exposure to select mid-, lower- and non-rated names in the high yield market hurt performance, as did security selection in the paper, metals & mining and non-cable media sectors.

 

 

 

Describe recent portfolio activity.

 

 

The period began with severe market volatility in reaction to headwinds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term panacea for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets.

 

 

Given these developments, the Trust maintained its higher-quality income- oriented bias, but started selectively adding back some risk in names with appealing risk-reward characteristics. Despite this modest shift to “risk-on,” the Trust continued to seek issuers with superior fundamentals (solid cash flows, earnings visibility and attractive downside protection), while generally remaining cautious of higher-beta credits (i.e., those with higher sensitivity to market volatility) and the more cyclical sectors.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust held 81% of its total portfolio in corporate bonds, 16% in floating rate loan interests (bank loans), with the remainder in preferred securities and common stocks. The Trust’s largest sector exposures included non-cable media, wireless and independent energy, while its portfolio holdings reflected less emphasis on the more cyclical segments of the market such as gaming, building materials and technology. The Trust ended the period with economic leverage at 19% of its total managed assets.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 

10

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

BlackRock High Income Shares


 

 

 

 

 

 

 

 

 

 

 

 

Trust Information

 

 

 

 

 

Symbol on NYSE

 

 

HIS

 

 

Initial Offering Date

 

August 10, 1988

 

Yield on Closing Market Price as of February 29, 2012 ($2.32)1

 

 

7.34%

 

 

Current Monthly Distribution per Common Share2

 

$

0.0142

 

 

Current Annualized Distribution per Common Share2

 

$

0.1704

 

 

Economic Leverage as of February 29, 20123

 

 

19%

 

 


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

2

The distribution rate is not constant and is subject to change.

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

2.32

 

 

$

2.10

 

 

 

10.48

%

 

$

2.35

 

 

$

1.81

 

 

Net Asset Value

 

$

2.24

 

 

$

2.18

 

 

 

2.75

%

 

$

2.24

 

 

$

2.04

 

 

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond investments:

 

 

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Corporate Bonds

 

 

81

%

 

 

83

%

 

Floating Rate Loan Interests

 

 

16

 

 

 

14

 

 

Preferred Securities

 

 

2

 

 

 

2

 

 

Common Stocks

 

 

1

 

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

A

 

 

1

%

 

 

 

 

BBB/Baa

 

 

7

 

 

 

7

%

 

BB/Ba

 

 

38

 

 

 

34

 

 

B

 

 

41

 

 

 

45

 

 

CCC/Caa

 

 

12

 

 

 

12

 

 

D

 

 

 

 

 

1

 

 

Not Rated

 

 

1

 

 

 

1

 

 


 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 

 

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


11




 

 

 

 

 

Trust Summary as of February 29, 2012

BlackRock High Yield Trust


 

 

Investment Objective

BlackRock High Yield Trust’s (BHY) (the “Trust”) primary investment objective is to provide high current income. The Trust’s secondary investment objective is to provide capital appreciation. The Trust seeks to achieve its objectives by investing, under normal market conditions, at least 80% of its assets in high-risk, high yield bonds and other such securities, such as preferred stocks, which are rated below investment grade. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Trust’s investment objectives will be achieved.


 

 

Portfolio Management Commentary


 

 

 

How did the Trust perform?

 

 

For the six months ended February 29, 2012, the Trust returned 13.56% based on market price and 10.07% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 13.38% based on market price and 10.05% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

The Trust delivered strong returns for the six-month period as risk assets rallied. High yield debt posted solid gains, outpacing government, emerging market and investment grade corporate sectors. Across the high yield credit spectrum, security selection in the higher-quality tiers and among non-rated investments boosted the Trust’s returns. Among sectors, security selection in the consumer service and non-captive diversified financials was rewarding. The Trust’s exposure to Delphi Automotive Plc stock received in connection with the company’s reorganization also added to performance.

 

 

Detracting from performance was the Trust’s tactical allocations to bank loans and investment grade credit, which underperformed relative to high yield debt in the risk asset rally. Exposure to select lower-rated names in the high yield market hurt performance, as did security selection in the paper and non-cable media sectors.

 

 

 

Describe recent portfolio activity.

 

 

The period began with severe market volatility in reaction to headwinds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term panacea for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets.

 

 

Given these developments, the Trust maintained its higher-quality income- oriented bias, but started selectively adding back some risk in names with appealing risk-reward characteristics. Despite this modest shift to “risk-on,” the Trust continued to seek issuers with superior fundamentals (solid cash flows, earnings visibility and attractive downside protection), while generally remaining cautious of higher-beta credits (i.e., those with higher sensitivity to market volatility) and the more cyclical sectors.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust held 79% of its total portfolio in corporate bonds, 16% in floating rate loan interests (bank loans), with the remainder in common stocks and other interests. The Trust’s largest sector exposures included non-cable media, wireless and independent energy, while its portfolio holdings reflected less emphasis on the more cyclical segments of the market such as banking, building materials and technology. The Trust ended the period with economic leverage at 21% of its total managed assets.


 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

12

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

BlackRock High Yield Trust


 

 

 

 

 

 

 

 

 

 

 

 

Trust Information

 

 

 

 

 

Symbol on NYSE

 

 

BHY

 

 

Initial Offering Date

 

December 23, 1998

 

Yield on Closing Market Price as of February 29, 2012 ($7.21)1

 

 

7.24%

 

 

Current Monthly Distribution per Common Share2

 

$

0.0435

 

 

Current Annualized Distribution per Common Share2

 

$

0.5220

 

 

Economic Leverage as of February 29, 20123

 

 

21%

 

 


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

2

The distribution rate is not constant and is subject to change.

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

7.21

 

 

$

6.60

 

 

 

9.24%

 

 

$

7.25

 

 

$

5.92

 

 

Net Asset Value

 

$

7.19

 

 

$

6.79

 

 

 

5.89%

 

 

$

7.19

 

 

$

6.36

 

 

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Corporate Bonds

 

 

79

%

 

 

82

%

 

Floating Rate Loan Interests

 

 

16

 

 

 

15

 

 

Common Stocks

 

 

3

 

 

 

 

 

Preferred Securities

 

 

2

 

 

 

1

 

 

Other Interests

 

 

 

 

 

2

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

A

 

 

1

%

 

 

 

 

BBB/Baa

 

 

6

 

 

 

8

%

 

BB/Ba

 

 

40

 

 

 

35

 

 

B

 

 

42

 

 

 

46

 

 

CCC/Caa

 

 

9

 

 

 

9

 

 

D

 

 

 

 

 

1

 

 

Not Rated

 

 

2

 

 

 

1

 

 


 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.


 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

13




 

 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Income Opportunity Trust, Inc.


 

 

Investment Objective

BlackRock Income Opportunity Trust, Inc.’s (BNA) (the “Trust”) investment objective is to provide current income and capital appreciation. The Trust seeks to achieve its investment objective by investing at least 75% of its assets in bonds that are investment grade quality at the time of investment. The Trust’s investments will include a broad range of bonds, including corporate bonds, US government and agency securities and mortgage-related securities. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Trust’s investment objective will be achieved.


 

 

Portfolio Management Commentary


 

 

 

How did the Trust perform?

 

 

For the six months ended February 29, 2012, the Trust returned 12.86% based on market price and 8.48% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds BBB-Rated category posted an average return of 8.84% based on market price and 5.79% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

Spread sectors outperformed government-related debt for the six-month period as improving US economic fundamentals and accommodative monetary policy provided a backdrop conducive for credit spread compression. As a result, the Trust benefited from its allocations to investment grade credit and high yield corporate credit. Within corporate credit, relative value trading in industrials was additive to performance. The Trust also benefited from exposure to commercial mortgage-backed securities (“CMBS”), which outperformed most other securitized debt sectors. Finally, the Trust’s duration stance (sensitivity to interest rate movements) contributed to returns as rates generally moved lower throughout the period.

 

 

The Trust actively traded exposure to financials within investment grade credit. Although these positions performed well toward period end, the overall effect was a drag on performance as European sovereign debt fear caused weakness in US financial names.

 

 

 

Describe recent portfolio activity.

 

 

During the period, the Trust reduced its allocation to investment grade securities in the banking industry while increasing exposure to companies with strong cash flow and high earnings visibility in the energy and telecommunications space. Toward period end, the Trust increased its portfolio duration, primarily by adding exposure to US Treasury bonds.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust maintained a diversified exposure to non-government spread sectors, including investment grade credit, high yield corporate credit, CMBS, asset-backed securities and non-agency residential mortgage-backed securities (“MBS”). The Trust also held allocations to government-related sectors such as US Treasuries, agency debt and agency MBS. The Trust ended the reporting period with a long duration profile.


 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

14

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

BlackRock Income Opportunity Trust, Inc.

 

Trust Information


 

 

Symbol on NYSE

BNA

Initial Offering Date

December 20, 1991

Yield on Closing Market Price as of February 29, 2012 ($10.78)1

5.90%

Current Monthly Distribution per Common Share2

$0.053

Current Annualized Distribution per Common Share2

$0.636

Economic Leverage as of February 29, 20123

30%


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

The distribution rate is not constant and is subject to change.

 

 

 

 

3

Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

Market Price

 

$10.78

 

$  9.85

 

9.44%

 

$10.81

 

$  9.66

Net Asset Value

 

$11.33

 

$10.77

 

5.20%

 

$11.37

 

$10.68

The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond and US Government securities:

 

 

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Corporate Bonds

 

 

52

%

 

 

52

%

 

US Treasury Obligations

 

 

24

 

 

 

16

 

 

Non-Agency Mortgage-Backed Securities

 

 

10

 

 

 

12

 

 

US Government Sponsored Agency Securities

 

 

5

 

 

 

13

 

 

Asset-Backed Securities

 

 

4

 

 

 

4

 

 

Foreign Agency Obligations

 

 

2

 

 

 

1

 

 

Taxable Municipal Bonds

 

 

2

 

 

 

1

 

 

Preferred Securities

 

 

1

 

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AAA/Aaa5

 

 

40

%

 

 

40

%

 

AA/Aa

 

 

5

 

 

 

7

 

 

A

 

 

17

 

 

 

19

 

 

BBB/Baa

 

 

18

 

 

 

16

 

 

BB/Ba

 

 

8

 

 

 

7

 

 

B

 

 

9

 

 

 

9

 

 

CCC/Caa

 

 

2

 

 

 

2

 

 

Not Rated

 

 

1

 

 

 

 

 


 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

5

Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

15




 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Income Trust, Inc.

 

Investment Objective

BlackRock Income Trust, Inc.’s (BKT) (the “Trust”) investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Trust seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Trust invests at least 80% of its assets in securities that are (i) issued or guaranteed by the US government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P or Aaa by Moody’s. Securities issued or guaranteed by the US government or its agencies or instrumentalities are generally considered to be of the same or higher credit or quality as privately issued securities rated AAA or Aaa. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Trust’s investment objective will be achieved.

 

Portfolio Management Commentary


 

 

 

How did the Trust perform?

 

 

For the six months ended February 29, 2012, the Trust returned 8.48% based on market price and 3.29% based on NAV. For the same period, the closed-end Lipper US Mortgage Funds category posted an average return of 5.62% based on market price and 4.03% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

The agency mortgage-backed securities (“MBS”) sector exhibited elevated volatility during the period as debt problems in Europe weighed on market sentiment and the future of government policy on mortgage pre-payment remained uncertain. While these headwinds challenged the sector, the US Federal Reserve’s MBS purchase program provided support, and agency MBS outperformed US Treasuries for the period. Given these market conditions, the Trust benefited from increasing its allocation to pre-payment-sensitive agency MBS during the fourth quarter of 2011 after spreads widened in the space due to increased policy risk. These purchases were focused on securities where the impact of the potential policy changes would be limited while their spread widening was commensurate with the rest of the sector. These holdings were significant contributors to the Trust’s performance as they generated strong returns in the first two months of 2012.

 

 

Detracting slightly from performance were the Trust’s interest rate hedges designed to protect the portfolio from market volatility. The Trust uses interest rate derivatives including futures, options, swaps and swaptions, mainly for the purpose of managing duration, convexity and yield curve positioning. During the period, the Trust held short positions in US Treasury futures in order to reduce the overall duration profile of the portfolio. These positions served as a drag on performance as the US Treasury market broadly advanced during the period.

 

 

 

Describe recent portfolio activity.

 

 

The Trust increased its allocation to agency MBS in the fourth quarter of 2011, as discussed above. Near the end of the period, the Trust took profits on these holdings. The sales were mainly among the lower-coupon securities, where the potential for their extension was greatest. The Trust maintained a strong level of yield by increasing exposure to pre-payment-sensitive securities. The Trust also maintained a limited exposure to commercial mortgage-backed securities (“CMBS”), which performed well later in the period. The Trust slightly reduced its small allocation to non-agency MBS.

 

 

 

Describe portfolio positioning at period end.

 

 

The backdrop for agency MBS appears constructive given the impact of the Federal Reserve’s mortgage reinvestment program in curtailing net supply along with the pending conclusion of the US Treasury portfolio liquidation, subdued mortgage refinance and purchase activity, and the sector’s attractive yields relative to other high-quality asset classes in a low interest rate environment. However, the extension potential for lower-coupon agency MBS remains high and, therefore, the Trust maintains a cautious stance. The Trust maintains exposure to high-quality agency MBS with varying maturities and coupon rates. The Trust also holds small allocations to non-agency MBS and CMBS. The Trust ended the reporting period with a slightly short duration profile.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 

16

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

BlackRock Income Trust, Inc.

 

Trust Information


 

 

Symbol on NYSE

BKT

Initial Offering Date

July 22, 1988

Yield on Closing Market Price as of February 29, 2012 ($7.55)1

6.44%

Current Monthly Distribution per Common Share2

$0.0405

Current Annualized Distribution per Common Share2

$0.4860

Economic Leverage as of February 29, 20123

24%


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

The distribution rate is not constant and is subject to change.

 

 

 

 

3

Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 20.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

Market Price

 

$7.55

 

$7.18

 

5.15%

 

$7.58

 

$7.00

Net Asset Value

 

$7.97

 

$7.96

 

0.13%

 

$8.12

 

$7.95

The following charts show the portfolio composition and credit quality allocations of the Trust’s long-term investments:

 

 

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

US Government Sponsored Agency Securities

 

 

82

%

 

 

84

%

 

US Treasury Obligations

 

 

15

 

 

 

12

 

 

Non-Agency Mortgage-Backed Securities

 

 

2

 

 

 

3

 

 

Asset-Backed Securities

 

 

1

 

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AAA/Aaa5

 

 

100

%

 

 

100

%

 


 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

5

Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

17




 

 

 

 

 

Trust Summary as of February 29, 2012

BlackRock Strategic Bond Trust

 

 

Investment Objective

 

BlackRock Strategic Bond Trust’s (BHD) (the “Trust”) investment objective is to provide total return through high current income and capital appreciation. The Trust seeks to achieve its investment objective by investing primarily in a diversified portfolio of fixed income securities including corporate bonds, US government and agency securities, mortgage-related and asset-backed securities and other types of fixed income securities. The Trust invests, under normal market conditions, a significant portion of its assets in corporate fixed income securities that are below investment grade quality, including high-risk, high yield bonds (commonly referred to as “junk” bonds) and other such securities, such as preferred stocks. The Trust may invest directly in such securities or synthetically through the use of derivatives.

 

 

 

No assurance can be given that the Trust’s investment objective will be achieved.


 

 

Portfolio Management Commentary


 

 

 

How did the Trust perform?

 

 

For the six months ended February 29, 2012, the Trust returned 12.07% based on market price and 10.13% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 13.38% based on market price and 10.05% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

 

 

What factors influenced performance?

 

 

Security selection among higher-quality credit instruments had a positive impact on the Trust’s performance. While the surge in risk assets benefited overall performance, the Trust’s tactical exposure to equity securities was particularly helpful as equities outperformed high yield bonds, bank loans and investment grade credits amid improving investor demand for riskier assets over the six-month period.

 

 

The Trust differs from its Lipper category competitors,which invest primarily in high yield bonds, in that the Trust also invests in floating rate loan interests (bank loans) and investment grade credits. While the Trust’s allocations to bank loans and investment grade credit did not detract from performance on an absolute basis, these asset classes underperformed high yield bonds for the period.

 

 

 

Describe recent portfolio activity.

 

 

In the early part of the period, as the outlook for global growth worsened and the potential for further spreading of the ongoing debt crisis in Europe increased, the Trust shifted its positioning to a more conservative posture. Specifically, the Trust reduced positions in the more cyclical credits and increased exposure to market sectors with more stable cash flows.

 

 

However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term panacea for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets. Given these developments, the Trust maintained its higher-quality income-oriented bias, but started selectively adding back some risk in names with appealing risk-reward characteristics. Despite this modest shift to “risk-on,” the Trust continued to seek issuers with superior fundamentals while avoiding higher-beta credits (i.e., those with higher sensitivity to market volatility) and the more economically sensitive areas of the market.

 

 

 

Describe portfolio positioning at period end.

 

 

At period end, the Trust held 82% of its total portfolio in corporate bonds, 14% in floating rate loan interests (bank loans), with the remainder in other interests, preferred securities and US Treasury Obligations. The Trust’s largest sector exposures included non-cable media, independent energy and wireless. The Trust ended the period with economic leverage at 20% of its total managed assets.

 

 

 

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.


 

 

 

 

 

 


18


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

BlackRock Strategic Bond Trust

 

 

 

 

 

 

 

 

 

 

 

 

Trust Information

 

 

 

 

 

 

Symbol on NYSE

 

 

BHD

 

 

Initial Offering Date

 

February 26, 2002

 

Yield on Closing Market Price as of February 29, 2012 ($13.87)1

 

 

7.31%

 

 

Current Monthly Distribution per Common Share2

 

$

0.0845

 

 

Current Annualized Distribution per Common Share2

 

$

1.0140

 

 

Economic Leverage as of February 29, 20123

 

 

20%

 

 


 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

2

The distribution rate is not constant and is subject to change.

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.


The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

13.87

 

 

$

12.93

 

 

 

7.27

%

 

$

13.88

 

 

$

11.86

 

 

Net Asset Value

 

$

14.21

 

 

$

13.48

 

 

 

5.42

%

 

$

14.21

 

 

$

12.72

 

 


The following charts show the portfolio composition of the Trust’s long-term investments and credit quality allocations of the Trust’s corporate bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Portfolio Composition

 

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

 

8/31/11

 

Corporate Bonds

 

 

82

%

 

 

85

%

 

Floating Rate Loan Interests

 

 

14

 

 

 

12

 

 

Other Interests

 

 

2

 

 

 

2

 

 

Preferred Securities

 

 

1

 

 

 

1

 

 

US Treasury Obligations

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations4

 

 

 

 

 

 

 

 

 

 

 

2/29/12

 

8/31/11

 

AA/Aa

 

 

2

%

 

 

3

%

 

A

 

 

13

 

 

 

13

 

 

BBB/Baa

 

 

17

 

 

 

16

 

 

BB/Ba

 

 

33

 

 

 

26

 

 

B

 

 

29

 

 

 

34

 

 

CCC/Caa

 

 

5

 

 

 

6

 

 

D

 

 

 

 

 

1

 

 

Not Rated

 

 

1

 

 

 

1

 

 


 

 

 

 

4

Using the higher of S&P’s or Moody’s ratings.

 

 

 

 

 

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


19




 

 

The Benefits and Risks of Leveraging

The Trusts may utilize leverage to seek to enhance the yield and NAV of their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

The Trusts may utilize leverage by borrowing through a credit facility or through entering into reverse repurchase agreements and treasury roll transactions. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders will benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Trusts had not used leverage.

To illustrate these concepts, assume a Trust’s capitalization is $100 million and it borrows for an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Trust pays borrowing costs and interest expense on the $30 million of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Trust with assets received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense of the borrowings is significantly lower than the income earned on the Trust’s long-term investments, and therefore the Trust’s shareholders are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Trust pays higher short-term interest rates whereas the Trust’s total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts’ borrowings does not fluctuate in relation to interest rates.

As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively in addition to the impact on Trust performance from leverage from borrowings discussed above.

The use of leverage may enhance opportunities for increased income to the Trusts, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Trusts’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Trust’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to Shareholders will be reduced. Each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust will incur expenses in connection with the use of leverage, all of which are borne by Shareholders and may reduce income.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Trusts are permitted to issue senior securities representing indebtedness up to 331/3% of their total managed assets (each Trust’s net assets plus the proceeds of any outstanding borrowings). If the Trusts segregate liquid assets having a value not less than the repurchase price (including accrued interest), a reverse repurchase agreement will not be considered a senior security and therefore will not be subject to this limitation. In addition, each Trust voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of February 29, 2012, the Trusts had aggregate economic leverage from reverse repurchase agreements, treasury roll transactions and/or borrowings through a credit facility as a percentage of their total managed assets as follows:

 

 

 

 

 

 

Percent of
Economic
Leverage

 

BHK

 

29%

 

HYV

 

24%

 

HYT

 

24%

 

HIS

 

19%

 

BHY

 

21%

 

BNA

 

30%

 

BKT

 

24%

 

BHD

 

20%

 


 

 

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate, foreign currency exchange rate and/or other risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in lower dividends paid to shareholders or may cause a Trust to hold an investment that it might otherwise sell. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

 

 

 

 

20

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities — 6.1%

 

 

 

 

 

 

 

321 Henderson Receivables I LLC, Series 2010-3A,
Class A, 3.82%, 12/15/48 (a)

 

USD

808

 

$

814,447

 

AH Mortgage Advance Trust, Series SART-3,
Class 1A1, 2.98%, 3/13/43 (a)

 

 

630

 

 

624,706

 

AmeriCredit Automobile Receivables Trust,
Series 2011-5, Class C, 3.44%, 10/08/17

 

 

400

 

 

409,022

 

CarMax Auto Owner Trust:

 

 

 

 

 

 

 

Series 2012-1, Class B, 1.76%, 8/15/17

 

 

210

 

 

209,783

 

Series 2012-1, Class C, 2.20%, 10/16/17

 

 

125

 

 

124,845

 

Series 2012-1, Class D, 3.09%, 8/15/18

 

 

155

 

 

154,815

 

CenterPoint Energy Transition Bond Co. LLC,
Series 2012-1, Class A3, 3.03%, 10/15/25

 

 

1,105

 

 

1,118,781

 

Countrywide Asset-Backed Certificates,
Series 2006-13, Class 3AV2, 0.39%, 1/25/37 (b)

 

 

1,153

 

 

793,063

 

Credit Acceptance Auto Loan Trust, Series 2010-1,
Class B, 3.63%, 10/15/18 (a)

 

 

1,980

 

 

1,984,470

 

DT Auto Owner Trust (a):

 

 

 

 

 

 

 

Series 2011-2A, Class C, 3.05%, 2/16/16

 

 

1,500

 

 

1,498,858

 

Series 2011-3A, Class C, 4.03%, 2/15/17

 

 

255

 

 

257,829

 

Ford Credit Floorplan Master Owner Trust:

 

 

 

 

 

 

 

Series 2012-1, Class B, 1.15%, 1/15/16 (b)

 

 

180

 

 

180,002

 

Series 2012-1, Class C, 1.75%, 1/15/16 (b)

 

 

475

 

 

475,004

 

Series 2012-1, Class D, 2.35%, 1/15/16 (b)

 

 

445

 

 

445,003

 

Series 2012-2, Class B, 2.32%, 1/15/19

 

 

245

 

 

245,023

 

Series 2012-2, Class C, 2.86%, 1/15/19

 

 

105

 

 

104,921

 

Series 2012-2, Class D, 3.51%, 1/15/19

 

 

200

 

 

199,843

 

Globaldrive BV, Series 2008-2, Class A, 4.00%,
10/20/16

 

EUR

234

 

 

314,378

 

Home Equity Asset Trust, Series 2007-2, Class 2A1,
0.35%, 7/25/37 (b)

 

USD

120

 

 

117,302

 

Nelnet Student Loan Trust (b):

 

 

 

 

 

 

 

Series 2006-1, Class A5, 0.60%, 8/23/27

 

 

525

 

 

488,049

 

Series 2008-3, Class A4, 2.14%, 11/25/24

 

 

615

 

 

634,037

 

PFS Financing Corp., Series 2012-AA, Class A, 1.46%,
2/15/16 (a)(b)

 

 

480

 

 

480,000

 

Santander Consumer Acquired Receivables Trust (a):

 

 

 

 

 

 

 

Series 2011-S1A, Class B, 1.66%, 8/15/16

 

 

596

 

 

596,319

 

Series 2011-S1A, Class C, 2.01%, 8/15/16

 

 

437

 

 

432,086

 

Series 2011-S1A, Class D, 3.15%, 8/15/16

 

 

452

 

 

451,249

 

Series 2011-WO, Class C, 3.19%, 10/15/15

 

 

580

 

 

579,242

 

Santander Drive Auto Receivables Trust:

 

 

 

 

 

 

 

Series 2010-2, Class B, 2.24%, 12/15/14

 

 

860

 

 

863,669

 

Series 2010-2, Class C, 3.89%, 7/17/17

 

 

1,010

 

 

1,021,202

 

Series 2010-B, Class B, 2.10%, 9/15/14 (a)

 

 

700

 

 

704,040

 

Series 2010-B, Class C, 3.02%, 10/17/16 (a)

 

 

740

 

 

735,407

 

Series 2011-1, Class D, 4.01%, 2/15/17

 

 

940

 

 

944,687

 

Series 2011-S1A, Class B, 1.48%, 5/15/17 (a)

 

 

357

 

 

354,894

 

Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)

 

 

388

 

 

384,887

 

Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)

 

 

919

 

 

919,399

 

Series 2012-1, Class B, 2.72%, 5/16/16

 

 

240

 

 

240,290

 

Series 2012-1, Class C, 3.78%, 11/15/17

 

 

325

 

 

325,521

 


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities (concluded)

 

 

 

 

 

 

 

SLM Student Loan Trust:

 

 

 

 

 

 

 

Series 2004-B, Class A2, 0.75%, 6/15/21 (b)

 

USD

213

 

$

204,187

 

Series 2008-5, Class A3, 1.86%, 1/25/18 (b)

 

 

515

 

 

523,075

 

Series 2008-5, Class A4, 2.26%, 7/25/23 (b)

 

 

615

 

 

629,850

 

Series 2012-A, Class A1, 1.66%, 8/15/25 (a)(b)

 

 

380

 

 

380,085

 

Series 2012-A, Class A2, 3.83%, 1/17/45 (a)

 

 

345

 

 

345,338

 

Small Business Administration, Class 1:

 

 

 

 

 

 

 

Series 2003-P10B, 5.14%, 8/10/13

 

 

262

 

 

273,767

 

Series 2004-P10B, 4.75%, 8/10/14

 

 

174

 

 

184,522

 

Structured Asset Securities Corp., Series 2002-AL1,
Class A2, 3.45%, 2/25/32

 

 

1,406

 

 

1,283,799

 

 

 

 

 

 

 

24,051,696

 

Interest Only Asset-Backed Securities — 0.2%

 

 

 

 

 

 

 

Sterling Bank Trust, Series 2004-2, Class Note,
2.08%, 3/30/30 (a)

 

 

4,107

 

 

318,310

 

Sterling Coofs Trust, Series 1, 2.36%, 4/15/29

 

 

6,359

 

 

492,822

 

 

 

 

 

 

 

811,132

 

Total Asset-Backed Securities — 6.3%

 

 

 

 

 

24,862,828

 


 

 

 

 

 

 

 

 


Common Stocks (c) — 0.0%

 

Shares

 

 

 

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.

 

 

135

 

 

3

 


 

 

 

 

 

 

 

 

Corporate Bonds

 


Par
(000)

 

 

 

Aerospace & Defense — 0.6%

 

 

 

 

 

 

 

United Technologies Corp.:

 

 

 

 

 

 

 

4.88%, 5/01/15

 

USD

1,125

 

 

1,263,058

 

6.13%, 7/15/38

 

 

700

 

 

929,554

 

 

 

 

 

 

 

2,192,612

 

Airlines — 0.3%

 

 

 

 

 

 

 

Continental Airlines, Inc., Series 2010-1, Class B,
6.00%, 7/12/20

 

 

672

 

 

651,508

 

United Air Lines, Inc., 12.75%, 7/15/12

 

 

334

 

 

345,594

 

 

 

 

 

 

 

997,102

 

Auto Components — 0.1%

 

 

 

 

 

 

 

BorgWarner, Inc., 4.63%, 9/15/20

 

 

265

 

 

284,247

 

Beverages — 0.1%

 

 

 

 

 

 

 

Crown European Holdings SA, 7.13%, 8/15/18 (a)

 

EUR

355

 

 

506,665

 

Building Products — 0.1%

 

 

 

 

 

 

 

Momentive Performance Materials, Inc., 11.50%,
12/01/16

 

USD

510

 

 

428,400

 


 

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

 

 

AUD

Australian Dollar

CAD

Canadian Dollar

CHF

Swiss Franc

ETF

Exchange-Traded Fund

EUR

Euro

EURIBOR

Euro Interbank Offered Rate

FKA

Formerly Known As

GBP

British Pound

JPY

Japanese Yen

LIBOR

London Interbank Offered Rate

NZD

New Zealand Dollar

PHP

Philippine Peso

RB

Revenue Bonds

SGD

Singapore Dollar

SPDR

Standard and Poor’s Depositary Receipts

USD

US Dollar


 

 

 

 

See Notes to Financial Statements.

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

21



 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Capital Markets — 5.6%

 

 

 

 

 

 

 

American Capital Ltd., 8.96%, 12/31/13 (d)

 

USD

720

 

$

733,349

 

CDP Financial, Inc., 5.60%, 11/25/39 (a)

 

 

2,935

 

 

3,549,838

 

Credit Suisse AG:

 

 

 

 

 

 

 

2.60%, 5/27/16 (a)

 

 

570

 

 

583,207

 

5.40%, 1/14/20

 

 

1,565

 

 

1,572,146

 

E*Trade Financial Corp., 12.50%, 11/30/17

 

 

1,570

 

 

1,829,050

 

Goldman Sachs Group, Inc.:

 

 

 

 

 

 

 

5.38%, 3/15/20

 

 

1,220

 

 

1,250,169

 

5.25%, 7/27/21

 

 

3,165

 

 

3,170,171

 

5.75%, 1/24/22

 

 

3,450

 

 

3,601,248

 

Morgan Stanley:

 

 

 

 

 

 

 

3.01%, 5/14/13 (b)

 

 

1,890

 

 

1,892,682

 

4.20%, 11/20/14

 

 

490

 

 

491,830

 

4.00%, 7/24/15

 

 

410

 

 

410,372

 

6.25%, 8/28/17

 

 

1,930

 

 

2,023,202

 

5.63%, 9/23/19

 

 

630

 

 

629,901

 

5.50%, 7/28/21

 

 

360

 

 

356,676

 

 

 

 

 

 

 

22,093,841

 

Chemicals — 0.5%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

 

250

 

 

243,750

 

The Dow Chemical Co., 4.13%, 11/15/21

 

 

350

 

 

372,474

 

Ineos Finance Plc, 8.38%, 2/15/19 (a)

 

 

265

 

 

281,562

 

Lyondell Chemical Co., 11.00%, 5/01/18

 

 

680

 

 

745,450

 

LyondellBasell Industries NV, 6.00%, 11/15/21 (a)

 

 

240

 

 

263,400

 

 

 

 

 

 

 

1,906,636

 

Commercial Banks — 5.4%

 

 

 

 

 

 

 

CIT Group, Inc. (a):

 

 

 

 

 

 

 

7.00%, 5/02/16

 

 

110

 

 

110,138

 

7.00%, 5/02/17

 

 

1,035

 

 

1,036,294

 

DEPFA ACS Bank, 5.13%, 3/16/37 (a)

 

 

3,775

 

 

2,638,178

 

Discover Bank, 8.70%, 11/18/19

 

 

250

 

 

300,923

 

DnB NOR Boligkreditt (a):

 

 

 

 

 

 

 

2.10%, 10/14/16

 

 

4,020

 

 

4,062,712

 

2.90%, 3/29/17

 

 

2,600

 

 

2,694,936

 

Eksportfinans ASA, 5.50%, 6/26/17

 

 

950

 

 

911,884

 

HSBC Bank Brasil SA — Banco Multiplo, 4.00%,
5/11/16 (a)

 

 

1,400

 

 

1,393,000

 

HSBC Bank Plc, 3.10%, 5/24/16 (a)

 

 

700

 

 

716,034

 

HSBC Holdings Plc, 6.10%, 1/14/42

 

 

305

 

 

363,539

 

Sparebanken 1 Boligkreditt (a):

 

 

 

 

 

 

 

1.25%, 10/25/14

 

 

1,580

 

 

1,581,657

 

2.63%, 5/27/17

 

 

1,675

 

 

1,714,687

 

Wachovia Corp., 5.25%, 8/01/14

 

 

3,425

 

 

3,697,606

 

 

 

 

 

 

 

21,221,588

 

Commercial Services & Supplies — 0.1%

 

 

 

 

 

 

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

18

 

 

18,473

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)

 

 

136

 

 

141,702

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

320

 

 

336,000

 

 

 

 

 

 

 

496,175

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Abengoa SA, 8.50%, 3/31/16

 

EUR

150

 

 

204,881

 

Construction Materials — 0.0%

 

 

 

 

 

 

 

Lafarge SA, 7.13%, 7/15/36

 

USD

135

 

 

124,670

 

Consumer Finance — 0.6%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.80%, 6/01/12

 

 

340

 

 

344,191

 

5.88%, 8/02/21

 

 

270

 

 

301,313

 

SLM Corp.:

 

 

 

 

 

 

 

6.25%, 1/25/16

 

 

661

 

 

690,745

 

Series A, 0.86%, 1/27/14 (b)

 

 

550

 

 

523,388

 

Toll Brothers Finance Corp., 5.88%, 2/15/22

 

 

345

 

 

357,846

 

 

 

 

 

 

 

2,217,483

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Containers & Packaging — 0.6%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc, 7.38%,
10/15/17 (a)

 

EUR

425

 

$

597,370

 

Smurfit Kappa Acquisitions (a):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

 

725

 

 

1,033,531

 

7.75%, 11/15/19

 

 

410

 

 

588,577

 

 

 

 

 

 

 

2,219,478

 

Diversified Financial Services — 7.3%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15

 

USD

1,500

 

 

1,657,500

 

6.25%, 12/01/17

 

 

160

 

 

165,379

 

8.00%, 3/15/20

 

 

560

 

 

634,200

 

Capital One Financial Corp., 4.75%, 7/15/21

 

 

960

 

 

1,012,109

 

Citigroup, Inc.:

 

 

 

 

 

 

 

5.00%, 9/15/14

 

 

285

 

 

296,700

 

4.59%, 12/15/15

 

 

6,390

 

 

6,768,141

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

2.13%, 12/21/12 (e)

 

 

515

 

 

522,987

 

6.15%, 8/07/37 (e)

 

 

4,150

 

 

4,682,055

 

6.88%, 1/10/39

 

 

135

 

 

166,638

 

JPMorgan Chase & Co.:

 

 

 

 

 

 

 

3.70%, 1/20/15 (e)

 

 

3,425

 

 

3,636,209

 

6.30%, 4/23/19

 

 

2,000

 

 

2,351,116

 

4.50%, 1/24/22

 

 

750

 

 

796,909

 

Series BKNT, 6.00%, 10/01/17

 

 

2,050

 

 

2,300,188

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

550

 

 

778,563

 

7.88%, 8/15/19

 

USD

660

 

 

722,700

 

6.88%, 2/15/21

 

 

1,215

 

 

1,287,900

 

WMG Acquisition Corp. (a):

 

 

 

 

 

 

 

9.50%, 6/15/16

 

 

160

 

 

176,800

 

11.50%, 10/01/18

 

 

785

 

 

834,062

 

 

 

 

 

 

 

28,790,156

 

Diversified Telecommunication Services — 2.9%

 

 

 

 

 

 

 

Level 3 Financing, Inc. (a):

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

698

 

 

731,155

 

8.63%, 7/15/20

 

 

740

 

 

789,950

 

Qwest Communications International, Inc., 7.50%,
2/15/14

 

 

1,200

 

 

1,204,200

 

Telecom Italia Capital SA:

 

 

 

 

 

 

 

4.95%, 9/30/14

 

 

1,075

 

 

1,084,406

 

6.00%, 9/30/34

 

 

1,550

 

 

1,290,375

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

3.50%, 11/01/21

 

 

500

 

 

523,076

 

6.40%, 2/15/38

 

 

3,483

 

 

4,364,011

 

8.95%, 3/01/39

 

 

900

 

 

1,426,869

 

Windstream Corp., 7.88%, 11/01/17

 

 

40

 

 

45,100

 

 

 

 

 

 

 

11,459,142

 

Electric Utilities — 5.7%

 

 

 

 

 

 

 

Alabama Power Co.:

 

 

 

 

 

 

 

3.95%, 6/01/21

 

 

460

 

 

499,779

 

6.00%, 3/01/39

 

 

1,275

 

 

1,647,876

 

The Cleveland Electric Illuminating Co.:

 

 

 

 

 

 

 

8.88%, 11/15/18

 

 

121

 

 

161,070

 

5.95%, 12/15/36

 

 

217

 

 

238,477

 

Constellation Energy Group, Inc., 7.60%, 4/01/32

 

 

200

 

 

267,491

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

315

 

 

399,949

 

6.00%, 1/15/38

 

 

825

 

 

1,084,208

 

4.25%, 12/15/41

 

 

375

 

 

395,793

 

E.ON International Finance BV, 6.65%, 4/30/38 (a)

 

 

1,525

 

 

1,997,058

 

EDF SA, 5.60%, 1/27/40 (a)

 

 

1,400

 

 

1,490,042

 

Florida Power Corp.:

 

 

 

 

 

 

 

6.35%, 9/15/37

 

 

1,325

 

 

1,785,846

 

6.40%, 6/15/38

 

 

430

 

 

585,411

 

Jersey Central Power & Light Co., 7.35%, 2/01/19

 

 

245

 

 

310,546

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

22

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Electric Utilities (concluded)

 

 

 

 

 

 

 

Ohio Power Co., Series D, 6.60%, 3/01/33

 

USD

1,500

 

$

1,893,546

 

PacifiCorp., 6.25%, 10/15/37

 

 

575

 

 

762,992

 

Public Service Co. of Colorado, 6.25%, 9/01/37

 

 

1,200

 

 

1,614,450

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.63%, 2/01/36

 

 

625

 

 

782,376

 

Series 08-A, 5.95%, 2/01/38

 

 

1,075

 

 

1,414,934

 

The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14

 

EUR

1,350

 

 

1,680,796

 

The Toledo Edison Co., 6.15%, 5/15/37

 

USD

350

 

 

413,908

 

Trans-Allegheny Interstate Line Co., 4.00%,
1/15/15 (a)

 

 

250

 

 

264,907

 

Virginia Electric and Power Co., Series A, 6.00%,
5/15/37

 

 

2,000

 

 

2,581,362

 

 

 

 

 

 

 

22,272,817

 

Energy Equipment & Services — 2.8%

 

 

 

 

 

 

 

Calfrac Holdings LP, 7.50%, 12/01/20 (a)(e)

 

 

565

 

 

565,000

 

Ensco Plc:

 

 

 

 

 

 

 

3.25%, 3/15/16

 

 

160

 

 

166,976

 

4.70%, 3/15/21

 

 

1,745

 

 

1,910,543

 

Frac Tech Services LLC, 7.63%, 11/15/18 (a)

 

 

1,110

 

 

1,184,925

 

Noble Holding International Ltd., 5.25%, 3/15/42

 

 

350

 

 

370,145

 

Peabody Energy Corp., 6.25%, 11/15/21 (a)

 

 

3,845

 

 

4,027,637

 

Pride International, Inc., 6.88%, 8/15/20

 

 

230

 

 

280,173

 

Transocean, Inc.:

 

 

 

 

 

 

 

5.05%, 12/15/16

 

 

850

 

 

929,948

 

6.50%, 11/15/20

 

 

350

 

 

408,186

 

6.38%, 12/15/21

 

 

840

 

 

991,326

 

 

 

 

 

 

 

10,834,859

 

Food & Staples Retailing — 0.9%

 

 

 

 

 

 

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37

 

 

1,900

 

 

2,585,685

 

6.20%, 4/15/38 (e)

 

 

850

 

 

1,120,925

 

 

 

 

 

 

 

3,706,610

 

Food Products — 1.0%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

 

335

 

 

376,875

 

Kraft Foods, Inc., 5.38%, 2/10/20

 

 

3,000

 

 

3,497,868

 

 

 

 

 

 

 

3,874,743

 

Health Care Equipment & Supplies — 0.9%

 

 

 

 

 

 

 

Boston Scientific Corp., 6.25%, 11/15/15

 

 

1,251

 

 

1,390,957

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

810

 

 

824,175

 

7.75%, 4/15/18

 

 

735

 

 

632,100

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (a)

 

 

152

 

 

168,340

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

385

 

 

414,837

 

 

 

 

 

 

 

3,430,409

 

Health Care Providers & Services — 2.2%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

175

 

 

178,937

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)

 

EUR

494

 

 

682,837

 

HCA, Inc.:

 

 

 

 

 

 

 

6.50%, 2/15/20

 

USD

2,115

 

 

2,268,337

 

7.88%, 2/15/20

 

 

135

 

 

148,838

 

Health Management Associates, Inc., 7.38%,
1/15/20 (a)

 

 

850

 

 

886,125

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

1,000

 

 

955,000

 

INC Research LLC, 11.50%, 7/15/19 (a)

 

 

545

 

 

523,200

 

inVentiv Health, Inc., 10.00%, 8/15/18 (a)

 

 

155

 

 

141,050

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

805

 

 

896,569

 

Symbion, Inc., 8.00%, 6/15/16

 

 

455

 

 

439,075

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

200

 

 

233,000

 

8.88%, 7/01/19

 

 

1,150

 

 

1,311,000

 

UnitedHealth Group, Inc., 3.38%, 11/15/21

 

 

160

 

 

168,580

 

 

 

 

 

 

 

8,832,548

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Technology — 0.8%

 

 

 

 

 

 

 

Amgen, Inc.:

 

 

 

 

 

 

 

3.88%, 11/15/21

 

USD

1,500

 

$

1,558,739

 

6.40%, 2/01/39

 

 

750

 

 

896,546

 

5.15%, 11/15/41

 

 

750

 

 

784,909

 

 

 

 

 

 

 

3,240,194

 

Hotels, Restaurants & Leisure — 0.6%

 

 

 

 

 

 

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (a)

 

 

180

 

 

171,450

 

MGM Resorts International, 11.13%, 11/15/17

 

 

265

 

 

301,438

 

Punch Taverns Finance B Ltd., Series A7, 4.77%,
6/30/33

 

GBP

1,721

 

 

1,964,615

 

 

 

 

 

 

 

2,437,503

 

Household Durables — 0.9%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17

 

USD

1,050

 

 

1,144,500

 

Standard Pacific Corp., 10.75%, 9/15/16

 

 

2,100

 

 

2,412,375

 

 

 

 

 

 

 

3,556,875

 

Household Products — 0.1%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (a)

 

EUR

190

 

 

232,886

 

Independent Power Producers &
Energy Traders — 0.6%

 

 

 

 

 

 

 

Energy Future Holdings Corp., 10.00%, 1/15/20

 

USD

1,425

 

 

1,540,781

 

Energy Future Intermediate Holding Co. LLC,
10.00%, 12/01/20

 

 

742

 

 

805,998

 

 

 

 

 

 

 

2,346,779

 

Industrial Conglomerates — 0.7%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

690

 

 

733,125

 

13.50%, 12/01/15

 

 

1,940

 

 

2,071,368

 

 

 

 

 

 

 

2,804,493

 

Insurance — 2.5%

 

 

 

 

 

 

 

Allianz Finance II BV, 5.75%, 7/08/41 (b)

 

EUR

500

 

 

633,705

 

American International Group, Inc., 5.45%, 5/18/17

 

USD

800

 

 

850,281

 

AXA SA, 5.25%, 4/16/40 (b)

 

EUR

250

 

 

279,985

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (a)

 

USD

478

 

 

514,447

 

Fairfax Financial Holdings Ltd., 5.80%, 5/15/21 (a)

 

 

820

 

 

804,094

 

Hartford Financial Services Group, Inc., 6.00%,
1/15/19

 

 

345

 

 

368,167

 

Hartford Life Global Funding Trusts, 0.73%,
6/16/14 (b)

 

 

425

 

 

402,955

 

Lincoln National Corp., 6.25%, 2/15/20

 

 

630

 

 

722,091

 

Manulife Financial Corp., 3.40%, 9/17/15

 

 

1,630

 

 

1,696,700

 

Metropolitan Life Global Funding I, 5.13%,
6/10/14 (a)

 

 

775

 

 

836,546

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)

 

 

340

 

 

303,450

 

Muenchener Rueckversicherungs AG, 6.00%,
5/26/41 (b)

 

EUR

200

 

 

270,465

 

Prudential Financial, Inc.:

 

 

 

 

 

 

 

7.38%, 6/15/19

 

USD

250

 

 

309,444

 

5.38%, 6/21/20

 

 

250

 

 

282,002

 

4.50%, 11/15/20

 

 

450

 

 

479,050

 

5.70%, 12/14/36

 

 

675

 

 

728,359

 

Series D, 5.90%, 3/17/36

 

 

500

 

 

549,010

 

 

 

 

 

 

 

10,030,751

 

IT Services — 0.8%

 

 

 

 

 

 

 

First Data Corp. (a):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

205

 

 

207,306

 

8.25%, 1/15/21

 

 

80

 

 

77,400

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

1,080

 

 

1,161,000

 

7.63%, 11/15/20

 

 

1,730

 

 

1,868,400

 

 

 

 

 

 

 

3,314,106

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

23




 

 

 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Machinery — 0.5%

 

 

 

 

 

 

 

Joy Global, Inc., 5.13%, 10/15/21

 

USD

225

 

$

247,153

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (f)

 

 

518

 

 

583,397

 

8.25%, 11/01/21

 

 

14

 

 

15,312

 

UR Financing Escrow Corp. (a)(g):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

194

 

 

199,335

 

7.38%, 5/15/20

 

 

495

 

 

507,994

 

7.63%, 4/15/22

 

 

452

 

 

467,820

 

 

 

 

 

 

 

2,021,011

 

Marine — 0.3%

 

 

 

 

 

 

 

Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)

 

 

1,050

 

 

1,128,750

 

Media — 8.7%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

1,045

 

 

935,275

 

AMC Networks, Inc., 7.75%, 7/15/21 (a)

 

 

320

 

 

356,800

 

CBS Corp.:

 

 

 

 

 

 

 

4.63%, 5/15/18

 

 

810

 

 

874,123

 

8.88%, 5/15/19

 

 

325

 

 

433,344

 

5.75%, 4/15/20

 

 

250

 

 

287,944

 

CCH II LLC, 13.50%, 11/30/16

 

 

2,300

 

 

2,645,432

 

Clear Channel Communications, Inc., 9.00%,
3/01/21

 

 

680

 

 

625,600

 

Clear Channel Worldwide Holdings, Inc., Series B,
9.25%, 12/15/17

 

 

2,172

 

 

2,389,200

 

Comcast Cable Communications Holdings, Inc.,
9.46%, 11/15/22

 

 

600

 

 

887,318

 

Comcast Corp., 6.45%, 3/15/37

 

 

790

 

 

986,479

 

Cox Communications, Inc., 8.38%, 3/01/39 (a)

 

 

905

 

 

1,279,889

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 4.00%, 8/15/18

 

 

963

 

 

977,628

 

Loan Close 3, 4.00%, 8/15/18

 

 

1,102

 

 

1,117,709

 

Shares Loan, 4.00%, 8/15/18

 

 

1,136

 

 

1,152,751

 

DIRECTV Holdings LLC, 6.38%, 3/01/41

 

 

260

 

 

312,960

 

Gray Television, Inc., 10.50%, 6/29/15

 

 

1,055

 

 

1,114,344

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

450

 

 

475,875

 

11.25%, 2/04/17

 

 

520

 

 

536,250

 

11.50%, 2/04/17 (h)

 

 

415

 

 

427,450

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

1,330

 

 

1,499,575

 

NBC Universal Media LLC:

 

 

 

 

 

 

 

5.15%, 4/30/20

 

 

1,983

 

 

2,292,812

 

4.38%, 4/01/21

 

 

1,015

 

 

1,111,845

 

The New York Times Co., 6.63%, 12/15/16

 

 

1,800

 

 

1,876,500

 

News America, Inc.:

 

 

 

 

 

 

 

4.50%, 2/15/21

 

 

40

 

 

43,122

 

7.63%, 11/30/28

 

 

385

 

 

460,393

 

TCI Communications, Inc., 7.88%, 2/15/26

 

 

610

 

 

804,450

 

Time Warner Cable, Inc.:

 

 

 

 

 

 

 

7.30%, 7/01/38

 

 

930

 

 

1,195,128

 

5.88%, 11/15/40

 

 

465

 

 

528,001

 

5.50%, 9/01/41

 

 

920

 

 

1,012,976

 

Time Warner, Inc.:

 

 

 

 

 

 

 

4.70%, 1/15/21

 

 

350

 

 

390,302

 

6.10%, 7/15/40

 

 

215

 

 

254,966

 

Unitymedia Hessen GmbH & Co. KG (FKA UPC
Germany GmbH), 8.13%, 12/01/17 (a)

 

 

2,370

 

 

2,571,450

 

Virgin Media Secured Finance Plc, 6.50%, 1/15/18

 

 

525

 

 

572,250

 

Ziggo Finance BV, 6.13%, 11/15/17 (a)

 

EUR

1,135

 

 

1,568,866

 

 

 

 

 

 

 

33,999,007

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Metals & Mining — 3.5%

 

 

 

 

 

 

 

Alcoa, Inc., 5.40%, 4/15/21

 

USD

1,450

 

$

1,509,501

 

AngloGold Ashanti Holdings Plc, 5.38%, 4/15/20

 

 

245

 

 

252,252

 

Barrick Gold Corp., 2.90%, 5/30/16

 

 

1,690

 

 

1,781,390

 

Barrick North America Finance LLC, 4.40%,
5/30/21

 

 

15

 

 

16,508

 

Cliffs Natural Resources, Inc., 4.80%, 10/01/20

 

 

240

 

 

253,865

 

Falconbridge Ltd., 6.20%, 6/15/35

 

 

1,250

 

 

1,309,683

 

Freeport-McMoRan Copper & Gold, Inc., 3.55%,
3/01/22

 

 

540

 

 

537,419

 

New World Resources NV, 7.88%, 5/01/18

 

EUR

215

 

 

290,741

 

Newcrest Finance Pty Ltd., 4.45%, 11/15/21 (a)

 

USD

475

 

 

487,131

 

Novelis, Inc., 8.75%, 12/15/20

 

 

4,120

 

 

4,593,800

 

Teck Resources Ltd., 5.38%, 10/01/15

 

 

2,359

 

 

2,631,266

 

 

 

 

 

 

 

13,663,556

 

Multiline Retail — 0.4%

 

 

 

 

 

 

 

Macy’s Retail Holdings, Inc.:

 

 

 

 

 

 

 

5.90%, 12/01/16

 

 

800

 

 

920,615

 

7.45%, 7/15/17

 

 

581

 

 

713,135

 

 

 

 

 

 

 

1,633,750

 

Oil, Gas & Consumable Fuels — 8.5%

 

 

 

 

 

 

 

Anadarko Petroleum Corp.:

 

 

 

 

 

 

 

5.95%, 9/15/16

 

 

1,916

 

 

2,218,197

 

6.38%, 9/15/17

 

 

1,824

 

 

2,189,387

 

Bill Barrett Corp., 9.88%, 7/15/16

 

 

40

 

 

44,200

 

BP Capital Markets Plc, 3.13%, 10/01/15

 

 

330

 

 

353,344

 

Burlington Resources Finance Co., 7.40%,
12/01/31

 

 

875

 

 

1,191,593

 

Cenovus Energy, Inc., 6.75%, 11/15/39

 

 

750

 

 

1,022,706

 

Chesapeake Midstream Partners LP, 6.13%,
7/15/22 (a)

 

 

400

 

 

414,000

 

ConocoPhillips Canada Funding Co., 5.95%,
10/15/36

 

 

535

 

 

669,913

 

Crosstex Energy LP, 8.88%, 2/15/18

 

 

130

 

 

141,050

 

Devon Energy Corp., 7.95%, 4/15/32

 

 

625

 

 

910,312

 

El Paso Pipeline Partners Operating Co. LLC,
6.50%, 4/01/20

 

 

240

 

 

267,419

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

670

 

 

757,430

 

6.63%, 8/15/37

 

 

700

 

 

819,783

 

Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17

 

 

540

 

 

598,050

 

Enterprise Products Operating LLC:

 

 

 

 

 

 

 

6.13%, 10/15/39

 

 

700

 

 

835,938

 

Series L, 6.30%, 9/15/17

 

 

575

 

 

679,820

 

KeySpan Gas East Corp., 5.82%, 4/01/41 (a)

 

 

505

 

 

611,284

 

Kinder Morgan Energy Partners LP:

 

 

 

 

 

 

 

5.95%, 2/15/18

 

 

1,300

 

 

1,547,482

 

6.55%, 9/15/40

 

 

110

 

 

126,146

 

6.38%, 3/01/41

 

 

150

 

 

170,532

 

Linn Energy LLC, 6.25%, 11/01/19 (a)

 

 

590

 

 

589,263

 

Marathon Petroleum Corp., 6.50%, 3/01/41

 

 

997

 

 

1,126,789

 

MidAmerican Energy Co., 5.80%, 10/15/36

 

 

700

 

 

848,567

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

800

 

 

969,312

 

6.50%, 9/15/37

 

 

1,900

 

 

2,462,212

 

Nexen, Inc., 7.50%, 7/30/39

 

 

1,000

 

 

1,284,406

 

Niska Gas Storage US LLC, 8.88%, 3/15/18

 

 

305

 

 

292,800

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

3.88%, 1/27/16

 

 

1,340

 

 

1,397,553

 

5.75%, 1/20/20

 

 

1,725

 

 

1,897,500

 


 

 

 

See Notes to Financial Statements.

 

 

 

24

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Premier Oil Plc, 5.00%, 6/09/18 (a)

 

USD

1,900

 

$

1,961,750

 

Range Resources Corp., 5.75%, 6/01/21

 

 

935

 

 

1,000,450

 

Rockies Express Pipeline LLC, 3.90%, 4/15/15 (a)

 

 

804

 

 

771,840

 

Suncor Energy, Inc., 6.10%, 6/01/18

 

 

1,750

 

 

2,134,933

 

Western Gas Partners LP, 5.38%, 6/01/21

 

 

710

 

 

757,591

 

Woodside Finance, Ltd., 4.60%, 5/10/21 (a)

 

 

205

 

 

214,411

 

 

 

 

 

 

 

33,277,963

 

Paper & Forest Products — 0.9%

 

 

 

 

 

 

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

430

 

 

473,000

 

8.00%, 4/01/20

 

 

210

 

 

230,475

 

Clearwater Paper Corp., 10.63%, 6/15/16

 

 

620

 

 

704,475

 

International Paper Co.:

 

 

 

 

 

 

 

7.50%, 8/15/21

 

 

75

 

 

96,316

 

4.75%, 2/15/22

 

 

420

 

 

457,552

 

6.00%, 11/15/41

 

 

435

 

 

502,718

 

NewPage Corp., 11.38%, 12/31/14 (c)(e)(i)

 

 

430

 

 

259,075

 

Verso Paper Holdings LLC, 11.50%, 7/01/14

 

 

670

 

 

683,400

 

 

 

 

 

 

 

3,407,011

 

Pharmaceuticals — 0.6%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)

 

EUR

200

 

 

286,445

 

Jaguar Holding Co. II, 9.50%, 12/01/19 (a)

 

USD

620

 

 

678,125

 

Teva Pharmaceutical Finance Co. BV, Series 2,
3.65%, 11/10/21

 

 

205

 

 

213,889

 

Teva Pharmaceutical Finance IV BV, 3.65%,
11/10/21

 

 

1,000

 

 

1,043,362

 

 

 

 

 

 

 

2,221,821

 

Real Estate Investment Trusts (REITs) — 0.5%

 

 

 

 

 

 

 

ERP Operating LP, 4.63%, 12/15/21

 

 

500

 

 

535,722

 

Ventas Realty LP, 4.75%, 6/01/21

 

 

275

 

 

283,342

 

Vornado Realty LP, 5.00%, 1/15/22

 

 

1,185

 

 

1,249,283

 

 

 

 

 

 

 

2,068,347

 

Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp. (a)(e):

 

 

 

 

 

 

 

7.88%, 2/15/19

 

 

434

 

 

420,980

 

7.63%, 1/15/20

 

 

520

 

 

536,900

 

WEA Finance LLC, 4.63%, 5/10/21 (a)

 

 

305

 

 

321,743

 

 

 

 

 

 

 

1,279,623

 

Road & Rail — 0.6%

 

 

 

 

 

 

 

Burlington Northern Santa Fe LLC, 5.75%, 5/01/40

 

 

950

 

 

1,151,968

 

Florida East Coast Railway Corp., 8.13%, 2/01/17

 

 

490

 

 

494,900

 

The Hertz Corp., 7.38%, 1/15/21

 

 

650

 

 

703,625

 

 

 

 

 

 

 

2,350,493

 

Semiconductors & Semiconductor
Equipment — 0.1%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17

 

 

390

 

 

383,175

 

Software — 0.2%

 

 

 

 

 

 

 

Oracle Corp., 5.38%, 7/15/40

 

 

775

 

 

942,406

 

Specialty Retail — 0.3%

 

 

 

 

 

 

 

Home Depot, Inc., 5.88%, 12/16/36

 

 

830

 

 

1,038,021

 

QVC, Inc. (a):

 

 

 

 

 

 

 

7.50%, 10/01/19

 

 

35

 

 

38,850

 

7.38%, 10/15/20

 

 

35

 

 

38,763

 

 

 

 

 

 

 

1,115,634

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Thrifts & Mortgage Finance — 0.6%

 

 

 

 

 

 

 

Northern Rock Plc, 5.63%, 6/22/17 (a)

 

USD

290

 

$

308,892

 

Radian Group, Inc.:

 

 

 

 

 

 

 

5.63%, 2/15/13

 

 

1,400

 

 

1,211,000

 

5.38%, 6/15/15

 

 

1,400

 

 

1,029,000

 

 

 

 

 

 

 

2,548,892

 

Wireless Telecommunication Services — 2.1%

 

 

 

 

 

 

 

America Movil SAB de CV, 2.38%, 9/08/16

 

 

795

 

 

811,760

 

Crown Castle Towers LLC, 6.11%, 1/15/40 (a)

 

 

1,560

 

 

1,756,490

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

560

 

 

571,200

 

8.25%, 9/01/17

 

 

150

 

 

159,000

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

 

960

 

 

988,800

 

Rogers Communications, Inc., 7.50%, 8/15/38

 

 

1,150

 

 

1,562,431

 

SBA Tower Trust, 5.10%, 4/15/17 (a)

 

 

360

 

 

385,920

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

595

 

 

464,100

 

Sprint Nextel Corp. (a):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

530

 

 

590,950

 

7.00%, 3/01/20

 

 

770

 

 

782,513

 

 

 

 

 

 

 

8,073,164

 

Total Corporate Bonds — 72.9%

 

 

 

 

 

286,173,252

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

 

 

 

 

 

 

Hellenic Republic Government Bond, 4.60%,
9/20/40

 

EUR

160

 

 

42,634

 

Hydro-Quebec:

 

 

 

 

 

 

 

9.40%, 2/01/21

 

USD

390

 

 

584,676

 

8.40%, 1/15/22

 

 

730

 

 

1,046,735

 

8.05%, 7/07/24

 

 

1,900

 

 

2,801,945

 

Italy Buoni Poliennali Del Tesoro, 5.00%, 3/01/22

 

EUR

1,700

 

 

2,230,482

 

Italy Government International Bond, 5.38%,
6/15/33

 

USD

455

 

 

429,795

 

Kreditanstalt fuer Wiederaufbau, 1.38%,
7/15/13 (j)

 

 

660

 

 

667,363

 

Mexico Government International Bond:

 

 

 

 

 

 

 

5.63%, 1/15/17

 

 

370

 

 

426,425

 

5.13%, 1/15/20

 

 

145

 

 

165,663

 

Poland Government International Bond, 5.13%,
4/21/21

 

 

705

 

 

756,113

 

Russian Foreign Bond Eurobond, 7.50%,
3/31/30 (k)

 

 

1,386

 

 

1,652,924

 

Turkey Government International Bond, 6.25%,
9/26/22

 

 

1,500

 

 

1,608,750

 

Total Foreign Agency Obligations — 3.2%

 

 

 

 

 

12,413,505

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

Collateralized Mortgage Obligations — 3.0%

 

 

 

 

 

 

 

Banc of America Funding Corp., Series 2007-2,
Class 1A2, 6.00%, 3/25/37

 

 

1,100

 

 

863,258

 

Bear Stearns Adjustable Rate Mortgage Trust,
Series 2004-8, Class 14A1, 5.37%, 11/25/34 (b)

 

 

368

 

 

340,709

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

Series 2005-64CB, Class 1A15, 5.50%,
12/25/35

 

 

1,533

 

 

1,149,721

 

Series 2006-0A21, Class A1, 0.44%, 3/20/47 (b)

 

 

819

 

 

376,607

 

Series 2006-41CB, Class 1A4, 5.75%, 1/25/37

 

 

748

 

 

506,865

 

Series 2007-HY4, Class 4A1, 5.29%, 6/25/47 (b)

 

 

872

 

 

572,733

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

25




 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

Countrywide Home Loan Mortgage
Pass-Through Trust:

 

 

 

 

 

 

 

Series 2006-0A5, Class 2A1, 0.44%,
4/25/46 (b)

 

USD

336

 

$

177,404

 

Series 2007-10, Class A22, 6.00%, 7/25/37

 

 

675

 

 

520,090

 

Credit Suisse Mortgage Capital Certificates,
Series 2011-2R, Class 2A1, 2.70%,
7/27/36 (a)(b)

 

 

1,383

 

 

1,315,130

 

CS First Boston Mortgage Securities Corp.,
Series 2005-12, Class 6A1, 6.00%, 1/25/36

 

 

841

 

 

583,096

 

Deutsche ALT-A Securities, Inc. Alternate Loan Trust,
Series 2006-0A1, Class A1, 0.44%, 2/25/47 (b)

 

 

257

 

 

151,713

 

GMAC Mortgage Corp. Loan Trust, Series 2005-AR3,
Class 5A1, 5.10%, 6/19/35 (b)

 

 

1,232

 

 

1,158,735

 

GSR Mortgage Loan Trust:

 

 

 

 

 

 

 

Series 2006-4F, Class 1A1, 5.00%, 5/25/36

 

 

657

 

 

565,875

 

Series 2007-4F, Class 3A1, 6.00%, 7/25/37

 

 

788

 

 

671,020

 

Homebanc Mortgage Trust, Series 2006-2, Class A1,
0.42%, 12/25/36 (b)

 

 

636

 

 

400,839

 

IndyMac IMJA Mortgage Loan Trust, Series 2007-A1,
Class A4, 6.00%, 8/25/37

 

 

967

 

 

810,519

 

JPMorgan Mortgage Trust:

 

 

 

 

 

 

 

Series 2006-S3, Class 1A12, 6.50%, 8/25/36

 

 

409

 

 

378,737

 

Series 2007-S1, Class 2A22, 5.75%, 3/25/37

 

 

452

 

 

361,764

 

Merrill Lynch Mortgage Investors, Inc.,
Series 2006-A3, Class 3A1, 2.84%, 5/25/36 (b)

 

 

710

 

 

466,114

 

Residential Funding Mortgage Securities I,
Series 2007-S6, Class 1A16, 6.00%, 6/25/37

 

 

462

 

 

373,766

 

Wells Fargo Mortgage-Backed Securities Trust:

 

 

 

 

 

 

 

Series 2006-9, Class 1A29, 6.00%, 8/25/36

 

 

158

 

 

157,581

 

Series 2007-10, Class 1A21, 6.00%, 7/25/37

 

 

54

 

 

48,718

 

 

 

 

 

 

 

11,950,994

 

Commercial Mortgage-Backed Securities — 11.9%

 

 

 

 

 

 

 

Banc of America Merrill Lynch

 

 

 

 

 

 

 

Commercial Mortgage, Inc.:

 

 

 

 

 

 

 

Series 2007-1, Class A4, 5.45%, 1/15/49

 

 

500

 

 

563,501

 

Series 2007-2, Class A4, 5.66%, 4/10/49 (b)

 

 

750

 

 

832,763

 

Bear Stearns Commercial Mortgage Securities,
Series 2005-PWR9, Class A4A, 4.87%, 9/11/42

 

 

800

 

 

879,736

 

Citigroup Commercial Mortgage Trust,
Series 2008-C7, Class A4, 6.07%, 12/10/49 (b)

 

 

1,370

 

 

1,592,362

 

Citigroup/Deutsche Bank Commercial Mortgage
Trust, Series 2006-CD3, Class AM, 5.65%,
10/15/48

 

 

1,093

 

 

1,091,264

 

Commercial Mortgage Pass-Through Certificates,
Series 2006-C7, Class AM, 5.78%, 6/10/46 (b)

 

 

1,750

 

 

1,812,758

 

Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-C3, Class AJ, 4.77%, 7/15/37

 

 

705

 

 

620,444

 

Credit Suisse Mortgage Capital Certificates:

 

 

 

 

 

 

 

Series 2006-C3, Class AM, 5.81%, 6/15/38 (b)

 

 

1,000

 

 

1,056,006

 

Series 2006-C5, Class AM, 5.34%, 12/15/39

 

 

1,750

 

 

1,751,489

 

Series 2010-RR2, Class 2A, 5.79%,
9/15/39 (a)(b)

 

 

1,010

 

 

1,110,067

 

DBRR Trust, Series 2011-C32, Class A3A, 5.74%,
6/17/49 (a)(b)

 

 

365

 

 

396,307

 

Extended Stay America Trust, Series 2010-ESHA (a):

 

 

 

 

 

 

 

Class A, 2.95%, 11/05/27

 

 

489

 

 

493,750

 

Class B, 4.22%, 11/05/27

 

 

2,000

 

 

2,025,276

 

Class D, 5.50%, 11/05/27

 

 

210

 

 

213,275

 

GMAC Commercial Mortgage Securities, Inc.,
Series 2002-C3, Class A2, 4.93%, 7/10/39

 

 

2,053

 

 

2,084,653

 

Greenwich Capital Commercial Funding Corp.:

 

 

 

 

 

 

 

Series 2006-GG7, Class A4, 5.88%, 7/10/38 (b)

 

 

1,165

 

 

1,327,709

 

Series 2007-GG9, Class A4, 5.44%, 3/10/39

 

 

2,190

 

 

2,431,340

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities
(concluded)

 

 

 

 

 

 

 

GS Mortgage Securities Corp. II, Series 2007-GG10,
Class A4, 5.79%, 8/10/45 (b)

 

USD

435

 

$

486,326

 

JPMorgan Chase Commercial Mortgage
Securities Corp.:

 

 

 

 

 

 

 

Series 2004-CB8, Class A1A, 4.16%,
1/12/39 (a)

 

 

2,300

 

 

2,397,605

 

Series 2004-CBX, Class A4, 4.53%, 1/12/37

 

 

519

 

 

519,339

 

Series 2004-LN2, Class A2, 5.12%, 7/15/41

 

 

820

 

 

877,614

 

Series 2006-CB14, Class AM, 5.45%,
12/12/44 (b)

 

 

330

 

 

342,646

 

Series 2006-CB16, Class AJ, 5.62%, 5/12/45

 

 

730

 

 

600,073

 

LB-UBS Commercial Mortgage Trust (b):

 

 

 

 

 

 

 

Series 2004-C8, Class C, 4.93%, 12/15/39

 

 

1,385

 

 

1,345,115

 

Series 2007-C6, Class A4, 5.86%, 7/15/40

 

 

1,761

 

 

1,994,429

 

Series 2007-C7, Class A3, 5.87%, 9/15/45

 

 

1,460

 

 

1,658,566

 

Merrill Lynch Mortgage Trust (b):

 

 

 

 

 

 

 

Series 2004-BPC1, Class A3, 4.47%, 10/12/41

 

 

409

 

 

413,070

 

Series 2004-KEY2, Class A4, 4.86%, 8/12/39

 

 

1,000

 

 

1,077,270

 

Morgan Stanley, Series 2007-XLC1, Class A2, 0.56%,
7/17/17

 

 

610

 

 

567,747

 

Morgan Stanley Capital I:

 

 

 

 

 

 

 

Series 2004-HQ4, Class A7, 4.97%, 4/14/40

 

 

1,000

 

 

1,065,040

 

Series 2007-HQ11, Class A4, 5.45%,
2/12/44 (b)

 

 

4,000

 

 

4,507,196

 

Morgan Stanley Reremic Trust, Series 2011-IO,
Class A, 2.50%, 3/23/51 (a)

 

 

1,092

 

 

1,095,604

 

Titan Europe Plc, Series 2006-4FSX, Class A1,
9.14%, 9/03/14 (b)

 

GBP

255

 

 

389,708

 

Wachovia Bank Commercial Mortgage Trust:

 

 

 

 

 

 

 

Series 2006-C28, Class A2, 5.50%, 10/15/48

 

USD

4,592

 

 

4,626,234

 

Series 2007-C33, Class A4, 5.90%,
2/15/51 (b)

 

 

2,185

 

 

2,408,753

 

 

 

 

 

 

 

46,655,035

 

Total Non-Agency Mortgage-Backed Securities — 14.9%

 

 

 

 

 

58,606,029

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts

 

 

 

 

 

 

 

Capital Markets — 0.0%

 

 

 

 

 

 

 

State Street Capital Trust IV, 1.55%, 6/15/37 (b)

 

 

70

 

 

49,417

 

Commercial Banks — 0.2%

 

 

 

 

 

 

 

Barclays Bank Plc, 5.93% (a)(b)(l)

 

 

250

 

 

215,625

 

Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b)

 

 

505

 

 

501,212

 

JPMorgan Chase Capital XXV, Series Y, 6.80%,
10/01/37

 

 

210

 

 

212,100

 

 

 

 

 

 

928,937

 

Consumer Finance — 0.2%

 

 

 

 

 

 

 

Capital One Capital VI, 8.88%, 5/15/40

 

 

690

 

 

713,074

 

Capital One Financial Corp. Capital V, 10.25%,
8/15/39

 

 

200

 

 

208,500

 

 

 

 

 

 

 

921,574

 

Insurance — 1.2%

 

 

 

 

 

 

 

The Allstate Corp., 6.50%, 5/15/67 (b)

 

 

1,950

 

 

1,911,000

 

American International Group, Inc., 8.18%, 5/15/68 (b)

 

 

195

 

 

206,456

 

Lincoln National Corp., 6.05%, 4/20/67 (b)

 

 

675

 

 

619,313

 

MetLife Capital Trust IV, 7.88%, 12/15/67 (a)

 

 

120

 

 

132,000

 

Swiss Re Capital I LP, 6.85% (a)(b)(l)

 

 

1,060

 

 

956,422

 

XL Group Plc, Series E, 6.50% (b)(l)

 

 

815

 

 

690,712

 

 

 

 

 

 

4,515,903

 

Total Capital Trusts — 1.6%

 

 

 

 

 

6,415,831

 


 

 

 

See Notes to Financial Statements.

 

 



26


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Trust Preferreds — 0.1%

 

Par
(000)

 

Value

 

Commercial Banks — 0.1%

 

 

 

 

 

 

 

Citigroup Capital XIII, 7.88%, 10/30/40

 

USD

14,773

 

$

397,186

 

Total Preferred Securities — 1.7%

 

 

 

 

 

6,813,017

 

 

 

 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

 

 

 

 

 

 

East Bay Municipal Utility District, RB, Build America
Bonds, 5.87%, 6/01/40

 

 

950

 

 

1,202,310

 

Indianapolis Local Public Improvement Bond Bank,
RB, Build America Bonds, 6.12%, 1/15/40

 

 

1,275

 

 

1,590,907

 

Metropolitan Transportation Authority, RB, Build
America Bonds, 7.34%, 11/15/39

 

 

625

 

 

898,906

 

New York City Municipal Water Finance Authority:

 

 

 

 

 

 

 

Second General Resolution, Series EE, 5.50%,
6/15/43

 

 

465

 

 

535,610

 

RB, 5.72%, 6/15/42

 

 

700

 

 

890,379

 

RB, Build America Bonds, Second General
Resolution, Series EE, 5.38%, 6/15/43

 

 

385

 

 

436,725

 

New York State Dormitory Authority:

 

 

 

 

 

 

 

5.63%, 3/15/39

 

 

550

 

 

656,178

 

5.60%, 3/15/40

 

 

950

 

 

1,155,399

 

Port Authority of New York & New Jersey, RB,
Consolidated, 159th Series, 6.04%, 12/01/29

 

 

385

 

 

477,970

 

University of California, RB, Build America Bonds,
5.95%, 5/15/45

 

 

445

 

 

529,222

 

Total Taxable Municipal Bonds — 2.1%

 

 

 

 

 

8,373,606

 

 

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

 

 

 

 

 

 

Agency Obligations — 3.2%

 

 

 

 

 

 

 

Fannie Mae:

 

 

 

 

 

 

 

6.12%, 10/09/19 (e)(m)

 

 

7,055

 

 

5,489,192

 

5.63%, 7/15/37 (n)

 

 

775

 

 

1,065,921

 

Federal Home Loan Bank (e):

 

 

 

 

 

 

 

5.25%, 12/09/22

 

 

675

 

 

848,550

 

5.37%, 9/09/24

 

 

1,075

 

 

1,329,662

 

Resolution Funding Corp. (m):

 

 

 

 

 

 

 

1.62%, 7/15/18

 

 

525

 

 

473,753

 

1.69%, 10/15/18

 

 

525

 

 

469,887

 

Tennessee Valley Authority, 5.25%, 9/15/39 (e)

 

 

2,355

 

 

2,947,869

 

 

 

 

 

 

 

12,624,834

 

Collateralized Mortgage Obligations — 0.8%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities,
Series 2005-5, Class PK, 5.00%, 12/25/34

 

 

708

 

 

774,120

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 2825, Class VP, 5.50%, 6/15/15

 

 

634

 

 

677,146

 

Series K013, Class A2, 3.97%, 1/25/21 (b)

 

 

940

 

 

1,035,249

 

Series K706, Class X1, 1.60%, 10/25/18 (b)

 

 

2,605

 

 

226,666

 

FREMF Mortgage Trust (a)(b):

 

 

 

 

 

 

 

Series 2012-K706, Class B, 4.02%, 11/25/44

 

 

145

 

 

141,595

 

Series 2012-K706, Class C, 4.02%, 11/25/44

 

 

165

 

 

145,369

 

 

 

 

 

 

 

3,000,145

 

Interest Only Collateralized Mortgage
Obligations — 0.1%

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 2579, Class HI, 5.00%, 8/15/17

 

 

232

 

 

4,191

 

Series 2611, Class QI, 5.50%, 9/15/32

 

 

1,798

 

 

213,585

 

 

 

 

 

 

 

217,776

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

Par
(000)

 

Value

 

Mortgage-Backed Securities — 2.7%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities (o):

 

 

 

 

 

 

 

4.00%, 3/15/27

 

USD

4,100

 

$

4,340,875

 

5.00%, 3/15/27 – 03/14/42

 

 

3,900

 

 

4,209,469

 

5.50%, 3/15/27

 

 

300

 

 

326,344

 

3.50%, 3/14/42 (b)

 

 

700

 

 

723,406

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

6.00%, 2/01/13 – 12/01/18

 

 

721

 

 

778,519

 

4.50%, 3/14/42 (o)

 

 

100

 

 

106,203

 

5.00%, 3/14/42 (o)

 

 

100

 

 

107,656

 

Ginnie Mae Mortgage-Backed Securities, 5.50%,
8/15/33

 

 

86

 

 

96,400

 

 

 

 

 

 

 

10,688,872

 

Total US Government Sponsored Agency
Securities — 6.8%

 

 

 

 

 

26,531,627

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

US Treasury Obligations

 

 

 

 

 

 

 

US Treasury Bonds (e):

 

 

 

 

 

 

 

8.13%, 8/15/21

 

 

1,550

 

 

2,407,465

 

6.25%, 8/15/23

 

 

5,720

 

 

8,117,933

 

3.50%, 2/15/39

 

 

330

 

 

359,133

 

4.25%, 5/15/39

 

 

6,045

 

 

7,449,520

 

4.38%, 5/15/40

 

 

6,375

 

 

8,017,557

 

4.75%, 2/15/41

 

 

1,630

 

 

2,174,012

 

4.38%, 5/15/41

 

 

800

 

 

1,007,500

 

3.13%, 11/15/41

 

 

30,855

 

 

31,110,510

 

3.13%, 2/15/42

 

 

3,255

 

 

3,279,412

 

US Treasury Inflation Indexed Bonds, 2.13%,
2/15/41 (e)

 

 

3,808

 

 

5,263,761

 

US Treasury Notes:

 

 

 

 

 

 

 

0.63%, 1/31/13 (n)

 

 

200

 

 

200,789

 

0.25%, 1/31/14 (e)

 

 

1,415

 

 

1,413,729

 

0.25%, 2/15/15 (e)

 

 

8,145

 

 

8,104,275

 

2.50%, 4/30/15 (e)

 

 

965

 

 

1,026,066

 

0.88%, 1/31/17 (e)

 

 

7,600

 

 

7,607,129

 

2.25%, 7/31/18 (e)

 

 

2,495

 

 

2,649,573

 

2.63%, 8/15/20 (e)

 

 

1,105

 

 

1,186,580

 

2.00%, 2/15/22 (e)

 

 

29,150

 

 

29,209,204

 

Total US Treasury Obligations — 30.7%

 

 

 

 

 

120,584,148

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (p)

 

Shares

 

 

 

 

Media — 0.0%

 

 

 

 

 

 

 

Cumulus Media, Inc. (Expires 3/26/19)

 

 

13,751

 

 

99,323

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/29/17)

 

 

90

 

 

 

Total Warrants — 0.0%

 

 

 

 

 

99,323

 

Total Long-Term Investments
(Cost — $518,319,515) — 138.6%

 

 

 

 

 

544,457,338

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.11% (q)(r)

 

 

163,811

 

 

163,811

 

Total Short-Term Securities
(Cost — $163,811) — 0.1%

 

 

 

 

 

163,811

 


 

 

 

 

See Notes to Financial Statements.

 

 


 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

27




 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

Value

 

Exchange-Traded Put Options — 0.0%

 

 

 

 

 

 

 

Eurodollar 1-Year Mid-Curve Options, Strike Price
USD 99.00, Expires 3/16/12

 

 

221

 

$

1,381

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Interest Rate Call
Swaptions — 0.0%

 

 

 

 

 

 

 

Receive a fixed rate of 2.65% and pay a floating rate
based on 3-month LIBOR, Expires 5/01/12,
Broker Bank of America NA

 

USD

3,600

 

 

68,976

 

Over-the-Counter Put Options — 0.0%

 

 

 

 

 

 

 

EUR Put Option, Strike Price USD 1.30,
Expires 3/21/12, Broker Citibank NA

 

 

8,810

 

 

26,926

 

Over-the-Counter Interest Rate Put
Swaptions — 0.1%

 

 

 

 

 

 

 

Pay a fixed rate of 0.65% and receive a floating rate
based on 3-month LIBOR, Expires 7/05/12,
Broker Morgan Stanley Capital Services, Inc.

 

 

59,900

 

 

28,848

 

Pay a fixed rate of 3.50% and receive a floating rate
based on a 6-month EURIBOR, Expires 11/08/12,
Broker Citibank NA

 

EUR

4,000

 

 

42,282

 

 

 

 

 

 

 

71,130

 

Total Options Purchased
(Cost — $693,411) — 0.1%

 

 

 

 

 

168,413

 

Total Investments Before TBA Sale
Commitments and Options Written
(Cost — $519,176,737) — 138.8%

 

 

 

 

 

544,789,562

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TBA Sale Commitments (o)

 

Par
(000)

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.00%, 3/15/27

 

USD

4,100

 

 

(4,340,875

)

5.00%, 3/15/27 – 3/14/42

 

 

3,900

 

 

(4,209,469

)

5.50%, 3/15/27

 

 

300

 

 

(326,344

)

3.50%, 3/14/42

 

 

700

 

 

(723,406

)

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.50%, 3/14/42

 

 

100

 

 

(106,203

)

5.00%, 3/14/42

 

 

100

 

 

(107,656

)

Total TBA Sale Commitments
(Proceeds — $9,811,934) — (2.5)%

 

 

 

 

 

(9,813,953

)

 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

Value

 

Over-the-Counter Interest Rate Call
Swaptions — (0.3)%

 

 

 

 

 

 

 

Pay a fixed rate of 2.45% and receive a floating rate
based on 3-month LIBOR, Expires 02/22/13
Broker Citibank NA

 

USD

25,000

 

$

(963,422

)

Pay a fixed rate of 2.60% and receive a floating rate
based on 3-month LIBOR, Expires 12/16/13,
Broker JPMorgan Chase Bank

 

 

1,400

 

 

(63,784

)

Pay a fixed rate of 2.09% and receive a floating rate
based on 3-month LIBOR, Expires 01/03/14,
Broker Deutsche Bank AG

 

 

4,200

 

 

(107,326

)

Pay a fixed rate of 1.97% and receive a floating rate
based on 3-month LIBOR, Expires 01/27/14,
Broker Citibank NA

 

 

2,400

 

 

(51,669

)

 

 

 

 

 

 

(1,186,201

)

Over-the-Counter Put Options — (0.0)%

 

 

 

 

 

 

 

EUR Put Option, Strike Price USD 1.25,
Expires 3/21/12, Broker Citibank NA

 

 

8,810

 

 

(1,162

)

Over-the-Counter Interest Rate Put
Swaptions — (0.7)%

 

 

 

 

 

 

 

Receive a fixed rate of 1.50% and pay a floating rate
based on 3-month LIBOR, Expires 05/21/12,
Broker JPMorgan Chase Bank

 

 

124,600

 

 

(279,465

)

Receive a fixed rate of 1.55% and pay a floating rate
based on 3-month LIBOR, Expires 07/30/12,
Broker Citibank NA

 

 

200,000

 

 

(925,440

)

Receive a fixed rate of 1.70% and pay a floating rate
based on 3-month LIBOR, Expires 08/10/12,
Broker Bank of America NA

 

 

3,900

 

 

(14,293

)

Receive a fixed rate of 1.75% and pay a floating rate
based on 3-month LIBOR, Expires 08/23/12,
Broker Royal Bank of Scotland Plc

 

 

142,500

 

 

(531,682

)

Receive a fixed rate of 2.90% and pay a floating rate
based on 3-month LIBOR, Expires 01/09/13,
Broker Citibank NA

 

 

6,000

 

 

(89,089

)

Receive a fixed rate of 2.45% and pay a floating rate
based on 3-month LIBOR, Expires 02/22/13,
Broker Citibank NA

 

 

25,000

 

 

(766,158

)

Receive a fixed rate of 2.60% and pay a floating rate
based on 3-month LIBOR, Expires 12/16/13,
Broker JPMorgan Chase Bank

 

 

1,400

 

 

(64,530

)

Receive a fixed rate of 2.09% and pay a floating rate
based on 3-month LIBOR, Expires 01/03/14,
Broker Deutsche Bank AG

 

 

4,200

 

 

(79,290

)

Receive a fixed rate of 1.97% and pay a floating rate
based on 3-month LIBOR, Expires 01/27/14,
Broker Citibank NA

 

 

2,400

 

 

(53,147

)

 

 

 

 

 

 

(2,803,094

)

Total Options Written
(Premiums Received — $4,225,523) — (1.0)%

 

 

 

 

 

(3,990,457

)

Total Investments, Net of TBA Sale

 

 

 

 

 

 

 

Commitments and Options Written — 135.3%

 

 

 

 

 

530,985,152

 

Liabilities in Excess of Other Assets — (35.3)%

 

 

 

 

 

(138,407,350

)

Net Assets — 100.0%

 

 

 

 

$

392,577,802

 

 

 

 

 

 

 

 

 


 

 

 

See Notes to Financial Statements.


28


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

(a)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(b)

Variable rate security. Rate shown is as of report date.

 

 

(c)

Non-income producing security.

 

 

(d)

Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.

 

 

(e)

All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.

 

 

(f)

Convertible security.

 

 

(g)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Morgan Stanley & Co., Inc.

 

$

1,175,149

 

$

34,149

 


 

 

(h)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(i)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(j)

All or a portion of security has been pledged as collateral in connection with swaps.

 

 

(k)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(l)

Security is perpetual in nature and has no stated maturity date.

 

 

(m)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(n)

All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

 

 

(o)

Represents or includes a to-be-announced (“TBA”) transaction. Unsettled TBA transactions as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

BNP Paribas Securities Corp.

 

$

310,031

 

$

(141

)

Credit Suisse Securities (USA) LLC

 

$

3,455,000

 

$

4,000

 

Deutsche Bank Securities, Inc.

 

$

326,344

 

$

891

 

Goldman Sachs & Co., Inc.

 

$

4,014,531

 

$

363

 

JPMorgan Securities, Inc.

 

$

(3,765,031

)

$

(1,250

)

Morgan Stanley & Co., Inc.

 

$

(754,069

)

$

(90

)

RBS Greenwich Capital

 

$

(4,340,875

)

$

(641

)

UBS Securities

 

$

754,469

 

$

1,422

 


 

 

(p)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(q)

Represents the current yield as of report date.

 

 

(r)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

4,711,687

 

 

(4,547,876

)

 

163,811

 

$

2,089

 


 

 

Reverse repurchase agreements outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

 

Net Closing
Amount

 

 

Face
Amount

 

Credit Suisse
Securities (USA) LLC

 

0.13

%

 

11/29/11

 

Open

 

$

2,449,822

 

$

2,449,000

 

Credit Suisse
Securities (USA) LLC

 

0.17

%

 

11/29/11

 

Open

 

 

2,992,163

 

 

2,990,850

 

BNP Paribas
Securities Corp.

 

0.13

%

 

12/02/11

 

Open

 

 

360,642

 

 

360,525

 

Deutsche Bank AG

 

(0.50

)%

 

1/17/12

 

Open

 

 

344,819

 

 

345,030

 

UBS Securities LLC

 

0.35

%

 

1/19/12

 

Open

 

 

3,409,267

 

 

3,407,875

 

BNP Paribas
Securities Corp.

 

0.14

%

 

1/24/12

 

Open

 

 

1,190,808

 

 

1,190,637

 

Barclays Capital, Inc.

 

0.10

%

 

1/25/12

 

Open

 

 

2,597,260

 

 

2,597,000

 

Barclays Capital, Inc.

 

0.12

%

 

1/25/12

 

Open

 

 

8,209,185

 

 

8,208,200

 

Barclays Capital, Inc.

 

0.13

%

 

1/25/12

 

Open

 

 

1,372,147

 

 

1,371,969

 

Deutsche Bank AG

 

(0.12

)%

 

1/25/12

 

Open

 

 

259,152

 

 

262,300

 

Deutsche Bank AG

 

0.12

%

 

1/25/12

 

Open

 

 

2,660,613

 

 

2,660,294

 

Deutsche Bank AG

 

0.13

%

 

1/25/12

 

Open

 

 

2,184,484

 

 

2,184,200

 

UBS Securities LLC

 

(0.25

)%

 

2/01/12

 

Open

 

 

475,916

 

 

476,012

 

UBS Securities LLC

 

(1.25

)%

 

2/02/12

 

Open

 

 

440,272

 

 

440,700

 

BofA Merrill Lynch

 

0.11

%

 

2/07/12

 

Open

 

 

4,832,996

 

 

4,832,656

 

BofA Merrill Lynch

 

0.12

%

 

2/07/12

 

Open

 

 

8,009,208

 

 

8,008,594

 

BofA Merrill Lynch

 

0.01

%

 

2/13/12

 

Open

 

 

1,415,007

 

 

1,415,000

 

Deutsche Bank AG

 

0.25

%

 

2/13/12

 

3/12/12

 

 

1,901,814

 

 

1,901,444

 

BNP Paribas
Securities Corp.

 

0.15

%

 

2/16/12

 

Open

 

 

1,015,059

 

 

1,015,000

 

BNP Paribas
Securities Corp.

 

0.16

%

 

2/16/12

 

Open

 

 

1,036,233

 

 

1,036,169

 

BofA Merrill Lynch

 

0.17

%

 

2/16/12

 

Open

 

 

857,307

 

 

857,250

 

BNP Paribas
Securities Corp.

 

0.13

%

 

2/28/12

 

Open

 

 

5,311,600

 

 

5,311,562

 

BNP Paribas
Securities Corp.

 

0.32

%

 

2/28/12

 

Open

 

 

1,602,229

 

 

1,602,200

 

Deutsche Bank AG

 

0.16

%

 

2/28/12

 

Open

 

 

5,467,674

 

 

5,467,625

 

BofA Merrill Lynch

 

0.12

%

 

2/29/12

 

3/01/12

 

 

8,114,483

 

 

8,114,456

 

BNP Paribas
Securities Corp.

 

0.09

%

 

2/29/12

 

3/01/12

 

 

7,628,519

 

 

7,628,500

 

BNP Paribas
Securities Corp.

 

0.18

%

 

2/29/12

 

3/01/12

 

 

15,522,041

 

 

15,521,963

 

BNP Paribas
Securities Corp.

 

0.19

%

 

2/29/12

 

3/01/12

 

 

31,626,542

 

 

31,626,375

 

BNP Paribas
Securities Corp.

 

0.32

%

 

2/29/12

 

Open

 

 

4,520,540

 

 

4,520,500

 

Credit Suisse
Securities (USA) LLC

 

(0.06

)%

 

2/29/12

 

3/01/12

 

 

29,332,139

 

 

29,332,188

 

Total

 

 

 

 

 

 

 

 

$

157,139,941

 

$

157,136,074

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

29




 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

Financial futures contracts purchased as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation

 

2

 

Long-Term
UK Gilt Bond

 

London
International
Financial
Futures and
Options
Exchange

 

March
2012

 

GBP

232,760

 

$

10,878

 

257

 

30-Year US
Treasury Bond

 

Chicago Board
of Trade

 

June
2012

 

USD

36,405,656

 

 

82,066

 

Total

 

 

 

 

 

 

 

 

 

 

$

92,944

 


 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation
(Depreciation)

 

8

 

Euro-Bund

 

Eurex

 

March
2012

 

EUR

1,119,120

 

$

(1,291

)

312

 

Euro-Schatz

 

Eurex

 

March
2012

 

EUR

34,451,040

 

 

(23,057

)

67

 

2-Year US
Treasury Note

 

Chicago Board
of Trade

 

June
2012

 

USD

14,755,703

 

 

4,060

 

48

 

5-Year US
Treasury Note

 

Chicago Board
of Trade

 

June
2012

 

USD

5,912,250

 

 

6,259

 

114

 

10-Year US
Treasury Note

 

Chicago Board
of Trade

 

June
2012

 

USD

14,928,656

 

 

43,810

 

40

 

90-Day
Euro-Dollar

 

Chicago
Mercantile

 

March
2015

 

USD

9,867,000

 

 

(1,370

)

40

 

90-Day
Euro-Dollar

 

Chicago
Mercantile

 

June
2015

 

USD

9,850,000

 

 

(1,687

)

40

 

90-Day
Euro-Dollar

 

Chicago
Mercantile

 

September
2015

 

USD

9,834,000

 

 

(2,733

)

40

 

90-Day
Euro-Dollar

 

Chicago
Mercantile

 

December
2015

 

USD

9,817,500

 

 

(3,722

)

Total

 

 

 

 

 

 

 

 

 

 

$

20,269

 


 

 

Foreign currency exchange contracts as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

2,295,352

 

EUR

1,707,000

 

Deutsche Bank AG

 

3/01/12

 

$

21,117

 

GBP

799,000

 

USD

1,268,804

 

UBS Securities LLC

 

3/02/12

 

 

2,325

 

EUR

863,000

 

USD

1,142,931

 

UBS Securities LLC

 

3/05/12

 

 

6,855

 

GBP

693,000

 

USD

1,103,178

 

Deutsche Bank AG

 

3/05/12

 

 

(684

)

USD

1,137,468

 

EUR

863,000

 

Citibank NA

 

3/05/12

 

 

(12,319

)

EUR

8,790,000

 

CHF

10,593,532

 

UBS Securities LLC

 

3/06/12

 

 

555

 

EUR

1,700,000

 

USD

2,221,135

 

Citibank NA

 

3/07/12

 

 

43,813

 

EUR

1,470,000

 

USD

1,920,140

 

Royal Bank of Scotland Plc

 

3/07/12

 

 

38,373

 

USD

1,131,750

 

EUR

863,000

 

Citibank NA

 

3/07/12

 

 

(18,044

)

AUD

1,220,000

 

USD

1,308,670

 

UBS Securities LLC

 

3/13/12

 

 

(1,916

)

NZD

1,710,000

 

USD

1,420,711

 

Royal Bank of Scotland Plc

 

3/13/12

 

 

5,117

 

USD

1,314,294

 

AUD

1,220,000

 

HSBC Bank USA

 

3/13/12

 

 

7,540

 


 

 

 

Foreign currency exchange contracts as of February 29, 2012 were as follows (concluded):


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

1,427,183

 

NZD

1,710,000

 

Morgan Stanley Capital Services, Inc.

 

3/13/12

 

$

1,355

 

USD

1,616,393

 

EUR

1,220,000

 

Citibank NA

 

3/14/12

 

 

(9,079

)

JPY

78,276,510

 

USD

975,000

 

Citibank NA

 

3/16/12

 

 

(11,950

)

JPY

74,259,462

 

USD

925,000

 

Deutsche Bank AG

 

3/16/12

 

 

(11,373

)

USD

1,950,000

 

JPY

152,438,520

 

BNP Paribas Securities Corp.

 

3/16/12

 

 

74,522

 

USD

1,102,885

 

GBP

693,000

 

Deutsche Bank AG

 

4/11/12

 

 

713

 

USD

1,268,447

 

GBP

799,000

 

UBS Securities LLC

 

4/11/12

 

 

(2,311

)

USD

28,767

 

JPY

2,210,000

 

Citibank NA

 

4/11/12

 

 

1,571

 

PHP

53,125,804

 

USD

1,250,000

 

Royal Bank of Scotland Plc

 

4/17/12

 

 

(11,607

)

SGD

1,551,750

 

USD

1,250,000

 

HSBC Bank USA

 

4/17/12

 

 

(9,196

)

USD

1,250,000

 

PHP

53,387,500

 

Morgan Stanley Capital Services, Inc.

 

4/17/12

 

 

5,507

 

USD

1,250,000

 

SGD

1,577,488

 

Standard Chartered Bank

 

4/17/12

 

 

(11,385

)

EUR

1,707,000

 

USD

2,295,790

 

Deutsche Bank AG

 

4/18/12

 

 

(21,143

)

USD

9,495,666

 

EUR

7,392,500

 

Citibank NA

 

4/18/12

 

 

(355,142

)

USD

2,131,107

 

EUR

1,629,000

 

Citibank NA

 

4/18/12

 

 

(39,602

)

USD

367,592

 

EUR

280,000

 

Citibank NA

 

4/18/12

 

 

(5,520

)

USD

193,204

 

EUR

146,000

 

Citibank NA

 

4/18/12

 

 

(1,347

)

USD

2,977,160

 

EUR

2,264,000

 

Deutsche Bank AG

 

4/18/12

 

 

(39,712

)

Total

 

 

 

 

 

 

 

 

 

$

(352,967

)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

Radian

 

5.00

%

 

Citibank NA

 

3/20/13

 

$

1,400

 

$

188,478

 

Group, Inc.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Radian

 

5.00

%

 

Citibank NA

 

6/20/15

 

$

1,400

 

 

303,681

 

Group, Inc.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The New York

 

1.00

%

 

Barclays Bank, Inc.

 

12/20/16

 

$

1,800

 

 

385

 

Times Co.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sara Lee Corp.

 

1.00

%

 

JPMorgan
Chase Bank NA

 

3/20/17

 

$

404

 

 

(626

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

491,918

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

30

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 29, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Aviva USA Corp.

 

 

1.00%

 

 

Deutsche
Bank AG

 

 

5/25/12

 

 

Not Rated

 

$

1,150

 

$

(619

)

Assured
Guaranty Corp.

 

 

5.00%

 

 

Citibank NA

 

 

12/20/14

 

 

 

AA

 

$

3

 

 

336

 

Assured
Guaranty Corp.

 

 

5.00%

 

 

Citibank NA

 

 

3/20/15

 

 

 

AA

 

$

10

 

 

1,330

 

MetLife, Inc.

 

 

1.00%

 

 

Credit Suisse
Securities
(USA) LLC

 

 

9/20/16

 

 

 

A

 

$

535

 

 

20,656

 

MetLife, Inc.

 

 

1.00%

 

 

Deutsche
Bank AG

 

 

9/20/16

 

 

 

A

 

$

730

 

 

22,969

 

MetLife, Inc.

 

 

1.00%

 

 

Goldman
Sachs & Co.

 

 

9/20/16

 

 

 

A

 

$

500

 

 

14,705

 

MetLife, Inc.

 

 

1.00%

 

 

Morgan Stanley
& Co., Inc.

 

 

9/20/16

 

 

 

A

 

$

900

 

 

26,986

 

MetLife, Inc.

 

 

1.00%

 

 

Morgan Stanley
& Co., Inc.

 

 

9/20/16

 

 

 

A

 

$

275

 

 

6,017

 

Assured
Guaranty Corp.

 

 

5.00%

 

 

Citibank NA

 

 

12/20/16

 

 

 

AA

 

$

146

 

 

25,075

 

MetLife, Inc.

 

 

1.00%

 

 

Citibank NA

 

 

12/20/16

 

 

 

A

 

$

298

 

 

6,143

 

MetLife, Inc.

 

 

1.00%

 

 

Citibank NA

 

 

12/20/16

 

 

 

A

 

$

285

 

 

7,565

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

131,163

 


 

 

 

 

1

Using S&P’s rating.

 

2

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.


 

 

Credit default swaps on traded indexes — buy protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

 

Pay
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

Dow Jones
CDX Emerging
Markets Series 14

 

 

5.00%

 

 

Morgan Stanley
& Co., Inc.

 

 

12/20/15

 

$

990

 

$

(202

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX
North America
Investment Grade
Index Series 16

 

 

1.00%

 

 

Credit Suisse
Securities
(USA) LLC

 

 

6/20/16

 

$

388

 

 

(5,485

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX
North America
Investment Grade
Index Series 16

 

 

1.00%

 

 

JPMorgan
Chase & Co.

 

 

6/20/16

 

$

22

 

 

(264

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX
North America
Investment Grade
Index Series 16

 

 

1.00%

 

 

Morgan Stanley
& Co., Inc.

 

 

6/20/16

 

$

1,480

 

 

(28,844

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(34,795

)


 

 

Credit default swaps on traded indexes — sold protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

 

Receive
Fixed
Rate

 

 

Counterparty

 

 

Expiration
Date

 

 

Credit
Rating3

 

Notional
Amount
(000)4

 

Unrealized
Appreciation

 

Markit CMBX
North America
AAA Index Series 3

 

 

0.08%

 

 

Morgan Stanley
& Co., Inc.

 

 

12/13/49

 

 

AA

 

$

525

 

$

28,946

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Markit CMBX
North America
AAA Index Series 4

 

 

0.35%

 

 

Morgan Stanley
& Co., Inc.

 

 

2/17/51

 

 

A–

 

$

525

 

 

28,839

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

57,785

 


 

 

 

 

3

Using S&P’s rating of the underlying securities.

 

4

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.

 

 

 

Interest rate swaps outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

 

Floating
Rate

 

 

Counterparty

 

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

1.24%5

 

 

6-month EURIBOR

 

 

Citibank NA

 

 

12/13/13

 

EUR

40,010

 

$

204,880

 

3.27%6

 

 

3-month LIBOR

 

 

Deutsche
Bank AG

 

 

5/16/21

 

USD

910

 

 

(102,530

)

3.85%6

 

 

3-month LIBOR

 

 

UBS Securities
LLC

 

 

12/14/21

 

USD

300

 

 

(37,959

)

3.02%5

 

 

3-month LIBOR

 

 

Goldman
Sachs & Co.

 

 

1/17/22

 

USD

1,000

 

 

(2,991

)

1.97%6

 

 

3-month LIBOR

 

 

Deutsche
Bank AG

 

 

2/02/22

 

USD

2,200

 

 

17,832

 

2.01%6

 

 

3-month LIBOR

 

 

Credit Suisse
Securities
(USA) LLC

 

 

2/08/22

 

USD

600

 

 

2,810

 

2.14%6

 

 

3-month LIBOR

 

 

JPMorgan
Chase Bank NA

 

 

2/24/22

 

USD

25,000

 

 

(188,488

)

2.58%6

 

 

6-month EURIBOR

 

 

Deutsche
Bank AG

 

 

11/11/41

 

EUR

350

 

 

(5,803

)

2.68%6

 

 

6-month EURIBOR

 

 

Deutsche
Bank AG

 

 

11/18/41

 

EUR

745

 

 

(33,512

)

2.70%6

 

 

3-month LIBOR

 

 

Deutsche
Bank AG

 

 

1/11/42

 

USD

1,000

 

 

16,294

 

2.85%6

 

 

3-month LIBOR

 

 

Bank of
America NA

 

 

2/09/42

 

USD

1,100

 

 

(16,737

)

2.86%6

 

 

3-month LIBOR

 

 

JPMorgan
Chase Bank NA

 

 

2/24/42

 

USD

10,000

 

 

(164,984

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(311,188

)


 

 

 

 

5

Trust pays a floating interest rate and receives fixed rate.

 

6

Trust pays a fixed interest rate and receives floating rate.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

31




 

 

 

 

 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

Total return swaps outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reference Entity

 

 

Trust Pays/
Receives the
Total Return
of the
Reference
Entity

 

 

Fixed
Rate

 

 

Counterparty

 

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

Change in
Return of the
Consumer Price
Index for All
Urban Consumers

 

 

Pays

 

 

2.18%1

 

 

Bank of
America NA

 

 

10/06/21

 

$

1,880

 

$

(77,284

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1 Net payment made at termination.

 


 

 

 

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 rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such 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 are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Trust’s perceived risk of 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 Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

 

 

$

19,268,906

 

$

5,593,922

 

$

24,862,828

 

Common Stocks

 

 

 

 

 

 

3

 

 

3

 

Corporate Bonds

 

 

 

 

280,963,414

 

 

5,209,838

 

 

286,173,252

 

Foreign Agency
Obligations

 

 

 

 

12,413,505

 

 

 

 

12,413,505

 

Non-Agency
Mortgage-Backed
Securities

 

 

 

 

57,641,975

 

 

964,054

 

 

58,606,029

 

Preferred Securities

 

$

397,186

 

 

6,415,831

 

 

 

 

6,813,017

 

Taxable Municipal
Bonds

 

 

 

 

8,373,606

 

 

 

 

8,373,606

 

US Government
Sponsored Agency
Securities

 

 

 

 

26,531,627

 

 

 

 

26,531,627

 

US Treasury
Obligations

 

 

 

 

120,584,148

 

 

 

 

120,584,148

 

Warrants

 

 

 

 

99,323

 

 

 

 

99,323

 

Short-Term
Securities

 

 

163,811

 

 

 

 

 

 

163,811

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

TBA Sale
Commitments

 

 

 

 

(9,813,953

)

 

 

 

(9,813,953

)

Total

 

$

560,997

 

$

522,478,382

 

$

11,767,817

 

$

534,807,196

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

682,111

 

 

 

$

682,111

 

Foreign currency
exchange
contracts

 

 

 

 

236,289

 

 

 

 

236,289

 

Interest rate
contracts

 

$

148,454

 

 

381,922

 

 

 

 

530,376

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(35,421

)

$

(619

)

 

(36,040

)

Foreign currency
exchange
contracts

 

 

 

 

(563,492

)

 

 

 

(563,492

)

Interest rate
contracts

 

 

(33,860

)

 

(4,542,299

)

 

 

 

(4,576,159

)

Other contracts

 

 

 

 

(77,284

)

 

 

 

(77,284

)

Total

 

$

114,594

 

$

(3,918,174

)

$

(619

)

$

(3,804,199

)


 

 

 

 

2

Derivative financial instruments are financial futures contracts, foreign currency exchange contracts, options and swaps. Financial futures contracts, foreign currency exchange contracts and swaps are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

32

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock Core Bond Trust (BHK)

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Non-Agency
Mortgage-Backed
Securities

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2011

 

$

6,120,404

 

 

 

$

5,241,393

 

$

1,960,958

 

$

191

 

$

102,281

 

$

77,670

 

$

13,502,897

 

Accrued discounts/premiums

 

 

(146,593

)

 

 

 

190

 

 

62

 

 

 

 

 

 

 

 

(146,341

)

Net realized gain (loss)

 

 

89

 

 

 

 

17,862

 

 

40,781

 

 

 

 

 

 

 

 

58,732

 

Net change in unrealized appreciation/depreciation1

 

 

97,835

 

$

(1,584

)

 

(60,374

)

 

30,880

 

 

(191

)

 

(102,281

)

 

(1

)

 

(35,716

)

Purchases

 

 

1,364,968

 

 

 

 

62,767

 

 

960,976

 

 

 

 

 

 

 

 

2,388,711

 

Sales

 

 

(513,437

)

 

 

 

(52,000

)

 

(1,676,933

)

 

 

 

 

 

 

 

(2,242,370

)

Transfers in2

 

 

 

 

1,587

 

 

 

 

 

 

 

 

 

 

 

 

1,587

 

Transfers out2

 

 

(1,329,344

)

 

 

 

 

 

(352,670

)

 

 

 

 

 

(77,669

)

 

(1,759,683

)

Balance, as of February 29, 2012

 

$

5,593,922

 

$

3

 

$

5,209,838

 

$

964,054

 

 

 

 

 

 

 

$

11,767,817

 


 

 

 

 

1

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at February 29, 2012 was $61,330.

 

 

 

 

2

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the event.

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

Credit
Contracts

 

Liabilities:

 

 

 

 

Balance, as of August 31, 2011

 

$

(941

)

Accrued discounts/premiums

 

 

 

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation3

 

 

322

 

Purchases

 

 

 

Issuances4

 

 

 

Sales

 

 

 

Settlements5

 

 

 

Transfers in6

 

 

 

Transfers out6

 

 

 

Balance, as of February 29, 2012

 

$

(619

)


 

 

 

 

3

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held at February 29, 2012 was $322.

 

 

 

 

4

Issuances represent upfront cash received on certain derivative financial instruments.

 

 

 

 

5

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

 

 

 

 

6

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

A reconciliation of Level 3 investments and derivative 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.

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

33




 

 

 

 

Consolidated Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Corporate High Yield Fund V, Inc. (HYV)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 3.0%

 

 

 

 

 

 

 

Delphi Automotive Plc

 

 

25,885

 

$

828,330

 

Delphi Automotive Plc (180-day lock)
(Acquired 11/17/11, cost $3,421,472) (a)

 

 

360,536

 

 

11,248,714

 

 

 

 

 

 

 

12,077,044

 

Capital Markets — 0.3%

 

 

 

 

 

 

 

E*Trade Financial Corp. (b)

 

 

109,400

 

 

1,053,522

 

Commercial Banks — 0.3%

 

 

 

 

 

 

 

CIT Group, Inc. (b)

 

 

24,890

 

 

1,013,272

 

Communications Equipment — 0.3%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (b)

 

 

19,132

 

 

1,362,964

 

Diversified Financial Services — 0.6%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

280,076,816

 

 

2,564,103

 

Diversified Telecommunication Services — 0.1%

 

 

 

 

 

 

 

Level 3 Communications, Inc. (b)

 

 

22,720

 

 

552,323

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (b)

 

 

109,685

 

 

549

 

Energy Equipment & Services — 1.2%

 

 

 

 

 

 

 

Laricina Energy Ltd. (b)

 

 

70,588

 

 

3,031,977

 

Osum Oil Sands Corp. (b)

 

 

120,000

 

 

1,515,994

 

Transocean Ltd.

 

 

8,000

 

 

426,720

 

 

 

 

 

 

 

4,974,691

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (b)

 

 

1,854

 

 

185

 

Travelport Worldwide Ltd.

 

 

113,632

 

 

56,816

 

 

 

 

 

 

 

57,001

 

Media — 1.7%

 

 

 

 

 

 

 

Belo Corp., Class A

 

 

69,821

 

 

500,617

 

Charter Communications, Inc. (b)

 

 

98,748

 

 

6,261,611

 

Clear Channel Outdoor Holdings, Inc., Class A (b)

 

 

14,202

 

 

187,892

 

 

 

 

 

 

 

6,950,120

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

African Minerals Ltd. (b)

 

 

65,551

 

 

599,272

 

Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (b)

 

 

181,600

 

 

286,317

 

Ainsworth Lumber Co. Ltd. (b)

 

 

208,741

 

 

329,108

 

Western Forest Products, Inc. (b)

 

 

74,889

 

 

72,660

 

Western Forest Products, Inc. (b)

 

 

74,936

 

 

72,705

 

 

 

 

 

 

 

760,790

 

Professional Services — 0.0%

 

 

 

 

 

 

 

Pendrell Corp. (b)

 

 

5,100

 

 

12,342

 

Road & Rail — 0.2%

 

 

 

 

 

 

 

Dollar Thrifty Automotive Group, Inc. (b)

 

 

8,900

 

 

675,599

 

Semiconductors & Semiconductor

 

 

 

 

 

 

 

Equipment — 0.3%

 

 

 

 

 

 

 

Spansion, Inc., Class A (b)

 

 

94,583

 

 

1,210,662

 

SunPower Corp. (b)

 

 

200

 

 

1,506

 

 

 

 

 

 

 

1,212,168

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (b)

 

 

737

 

 

15

 

HMH Holdings/EduMedia

 

 

133,690

 

 

33,422

 

 

 

 

 

 

 

33,437

 

Total Common Stocks — 8.3%

 

 

 

 

 

33,899,197

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 3/15/18 (c)

 

USD

340

 

$

357,850

 

7.13%, 3/15/21

 

 

480

 

 

514,200

 

Kratos Defense & Security Solutions, Inc., 10.00%,
6/01/17

 

 

1,114

 

 

1,200,335

 

 

 

 

 

 

 

2,072,385

 

Air Freight & Logistics — 0.5%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

945

 

 

985,460

 

Series 2, 12.38%, 8/16/15

 

 

956

 

 

996,161

 

 

 

 

 

 

 

1,981,621

 

Airlines — 2.1%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust, Series 2011-2,
Class A, 8.63%, 4/15/23

 

 

1,663

 

 

1,762,780

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (c)

 

 

900

 

 

909,000

 

Series 1997-4-B, 6.90%, 7/02/18

 

 

50

 

 

49,466

 

Series 2010-1, 6.00%, 7/12/20

 

 

672

 

 

651,508

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

Series 2009-1-B, 9.75%, 6/17/18

 

 

277

 

 

293,314

 

Series 2010-1-B, 6.38%, 7/02/17

 

 

800

 

 

748,000

 

United Air Lines, Inc., 12.75%, 7/15/12

 

 

2,838

 

 

2,937,549

 

US Airways Pass-Through Trust, 10.88%, 10/22/14

 

 

1,020

 

 

1,020,000

 

 

 

 

 

 

 

8,371,617

 

Auto Components — 1.8%

 

 

 

 

 

 

 

Allison Transmission, Inc., 11.00%, 11/01/15 (c)

 

 

110

 

 

116,188

 

B-Corp Merger Sub, Inc., 8.25%, 6/01/19 (c)

 

 

310

 

 

316,200

 

Dana Holding Corp., 6.75%, 2/15/21

 

 

660

 

 

714,450

 

Delphi Corp., 6.13%, 5/15/21 (c)

 

 

260

 

 

278,850

 

Icahn Enterprises LP, 8.00%, 1/15/18

 

 

4,815

 

 

5,103,900

 

International Automotive Components Group, SL,
9.13%, 6/01/18 (c)

 

 

70

 

 

62,300

 

Titan International, Inc., 7.88%, 10/01/17

 

 

685

 

 

727,812

 

 

 

 

 

 

 

7,319,700

 

Beverages — 0.4%

 

 

 

 

 

 

 

Cott Beverages, Inc., 8.13%, 9/01/18

 

 

394

 

 

434,385

 

Crown European Holdings SA:

 

 

 

 

 

 

 

7.13%, 8/15/18

 

EUR

396

 

 

565,181

 

7.13%, 8/15/18 (c)

 

 

447

 

 

637,970

 

 

 

 

 

 

 

1,637,536

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

QHP Pharma, 10.25%, 3/15/15 (c)

 

USD

327

 

 

329,008

 

Building Products — 0.7%

 

 

 

 

 

 

 

Building Materials Corp. of America (c):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

670

 

 

726,950

 

6.75%, 5/01/21

 

 

1,510

 

 

1,642,125

 

Momentive Performance Materials, Inc., 11.50%,
12/01/16

 

 

710

 

 

596,400

 

 

 

 

 

 

 

2,965,475

 

Capital Markets — 1.0%

 

 

 

 

 

 

 

American Capital Ltd., 7.96%, 12/31/13 (d)

 

 

1,040

 

 

1,059,282

 

E*Trade Financial Corp. (c):

 

 

 

 

 

 

 

12.50%, 11/30/17

 

 

1,575

 

 

1,834,875

 

3.46%, 8/31/19 (e)(f)

 

 

356

 

 

336,865

 

KKR Group Finance Co., 6.38%, 9/29/20 (c)

 

 

970

 

 

1,032,290

 

 

 

 

 

 

 

4,263,312

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

34

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Chemicals — 3.8%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

USD

1,300

 

$

1,267,500

 

Ashland, Inc., 9.13%, 6/01/17

 

 

635

 

 

712,787

 

Basell Finance Co. BV, 8.10%, 3/15/27 (c)

 

 

735

 

 

841,575

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

2,640

 

 

2,877,600

 

Chemtura Corp., 7.88%, 9/01/18

 

 

555

 

 

596,625

 

Hexion U.S. Finance Corp., 9.00%, 11/15/20

 

 

460

 

 

450,800

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

250

 

 

282,500

 

Ineos Finance Plc, 8.38%, 2/15/19 (c)

 

 

695

 

 

738,437

 

Kinove German Bondco GmbH, 10.00%, 6/15/18

 

EUR

561

 

 

767,974

 

KRATON Polymers LLC, 6.75%, 3/01/19

 

USD

185

 

 

188,700

 

Lyondell Chemical Co., 11.00%, 5/01/18

 

 

4,017

 

 

4,404,179

 

LyondellBasell Industries NV, 6.00%, 11/15/21 (c)

 

 

245

 

 

268,888

 

Nexeo Solutions LLC, 8.38%, 3/01/18 (c)

 

 

275

 

 

275,000

 

PolyOne Corp., 7.38%, 9/15/20

 

 

320

 

 

344,800

 

Solutia, Inc., 7.88%, 3/15/20

 

 

910

 

 

1,066,975

 

TPC Group LLC, 8.25%, 10/01/17

 

 

495

 

 

522,225

 

 

 

 

 

 

 

15,606,565

 

Commercial Banks — 2.3%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (c)

 

 

4,958

 

 

4,964,197

 

7.00%, 5/01/17

 

 

0.00

 

 

0.00

 

7.00%, 5/02/17 (c)

 

 

3,555

 

 

3,559,444

 

5.50%, 2/15/19 (c)

 

 

890

 

 

908,913

 

Glitnir Banki HF, 6.38%, 9/25/12 (b)(c)(g)

 

 

1,005

 

 

 

 

 

 

 

 

 

9,432,554

 

Commercial Services & Supplies — 2.0%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15

 

 

490

 

 

540,842

 

Aviation Capital Group Corp., 6.75%, 4/06/21 (c)

 

 

800

 

 

792,992

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)

 

 

250

 

 

260,732

 

Brickman Group Holdings, Inc., 9.13%, 11/01/18 (c)

 

 

38

 

 

36,100

 

Casella Waste Systems, Inc., 7.75%, 2/15/19

 

 

969

 

 

964,155

 

Clean Harbors, Inc., 7.63%, 8/15/16

 

 

540

 

 

572,400

 

Iron Mountain, Inc., 7.75%, 10/01/19

 

 

620

 

 

685,100

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

545

 

 

572,250

 

RSC Equipment Rental, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/17 (c)

 

 

870

 

 

1,009,200

 

8.25%, 2/01/21

 

 

1,287

 

 

1,364,220

 

Verisure Holding AB:

 

 

 

 

 

 

 

8.75%, 9/01/18

 

EUR

274

 

 

368,701

 

8.75%, 12/01/18

 

 

134

 

 

158,890

 

WCA Waste Corp., 7.50%, 6/15/19 (c)

 

USD

490

 

 

496,125

 

West Corp., 8.63%, 10/01/18

 

 

205

 

 

224,987

 

 

 

 

 

 

 

8,046,694

 

Communications Equipment — 0.8%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

1,110

 

 

1,110,000

 

Frontier Communications Corp., 6.25%, 1/15/13

 

 

1,330

 

 

1,373,225

 

Hughes Satellite Systems Corp., 6.50%, 6/15/19

 

 

550

 

 

583,000

 

 

 

 

 

 

 

3,066,225

 

Computers & Peripherals — 0.1%

 

 

 

 

 

 

 

SanDisk Corp., 1.50%, 8/15/17 (f)

 

 

330

 

 

395,175

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Abengoa SA, 8.50%, 3/31/16

 

EUR

150

 

 

204,881

 

Boart Longyear Management Ltd., 7.00%,
4/01/21 (c)

 

USD

275

 

 

289,438

 

 

 

 

 

 

 

494,319

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

Xefin Lux SCA:

 

 

 

 

 

 

 

8.00%, 6/01/18

 

EUR

100

 

 

133,896

 

8.00%, 6/01/18 (c)

 

 

376

 

 

503,449

 

 

 

 

 

 

 

637,345

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

USD

660

 

$

702,900

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.80%, 6/01/12

 

 

300

 

 

303,698

 

7.00%, 4/15/15

 

 

3,030

 

 

3,363,300

 

12.00%, 5/15/15

 

 

1,090

 

 

1,370,613

 

6.63%, 8/15/17

 

 

193

 

 

218,701

 

5.88%, 8/02/21

 

 

641

 

 

715,338

 

Springleaf Finance (FKA AGFS Funding Co.),
6.90%, 12/15/17

 

 

155

 

 

120,125

 

 

 

 

 

 

 

6,794,675

 

Containers & Packaging — 1.3%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc:

 

 

 

 

 

 

 

7.38%, 10/15/17 (c)

 

 

210

 

 

225,750

 

7.38%, 10/15/17 (c)

 

EUR

600

 

 

843,346

 

7.38%, 10/15/17

 

 

100

 

 

140,558

 

9.13%, 10/15/20 (c)

 

USD

590

 

 

609,175

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.42%, 9/15/14 (h)

 

 

445

 

 

426,087

 

8.25%, 11/15/15

 

 

175

 

 

188,125

 

9.75%, 1/15/21

 

 

530

 

 

567,100

 

GCL Holdings SCA, 9.38%, 4/15/18 (c)

 

EUR

394

 

 

468,496

 

Graphic Packaging International, Inc., 7.88%,
10/01/18

 

USD

550

 

 

605,000

 

OI European Group BV, 6.88%, 3/31/17

 

EUR

233

 

 

322,843

 

Sealed Air Corp., 8.38%, 9/15/21 (c)

 

USD

375

 

 

429,375

 

Smurfit Kappa Acquisitions, 7.75%, 11/15/19 (c)

 

EUR

418

 

 

600,061

 

 

 

 

 

 

 

5,425,916

 

Diversified Consumer Services — 1.5%

 

 

 

 

 

 

 

Service Corp. International, 7.00%, 6/15/17

 

USD

4,425

 

 

4,956,000

 

ServiceMaster Co., 8.00%, 2/15/20 (c)

 

 

970

 

 

1,023,350

 

 

 

 

 

 

 

5,979,350

 

Diversified Financial Services — 5.3%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

460

 

 

489,900

 

8.30%, 2/12/15

 

 

930

 

 

1,027,650

 

6.25%, 12/01/17

 

 

760

 

 

785,550

 

7.50%, 9/15/20

 

 

1,000

 

 

1,101,250

 

8.00%, 11/01/31

 

 

1,705

 

 

1,903,206

 

8.00%, 11/01/31

 

 

920

 

 

998,251

 

Axcan Intermediate Holdings, Inc., 12.75%,
3/01/16

 

 

552

 

 

588,570

 

Boparan Holdings Ltd. (c):

 

 

 

 

 

 

 

9.75%, 4/30/18

 

EUR

155

 

 

203,202

 

9.88%, 4/30/18

 

GBP

210

 

 

329,078

 

DPL, Inc., 7.25%, 10/15/21 (c)

 

USD

1,165

 

 

1,328,100

 

FCE Bank Plc, 4.75%, 1/19/15

 

EUR

1,614

 

 

2,204,068

 

General Motors Financial Co., Inc., 6.75%, 6/01/18

 

USD

460

 

 

496,413

 

Lehman Brothers Holdings, Inc. (b)(g):

 

 

 

 

 

 

 

5.38%, 10/17/12

 

EUR

200

 

 

73,010

 

5.75%, 5/17/13

 

USD

915

 

 

248,194

 

4.75%, 1/16/14

 

EUR

1,130

 

 

412,507

 

1.00%, 2/05/14

 

 

2,350

 

 

876,653

 

8.80%, 3/01/15

 

USD

255

 

 

69,169

 

Leucadia National Corp., 8.13%, 9/15/15

 

 

1,148

 

 

1,277,150

 

Reynolds Group Issuer, Inc.:

 

 

 

 

 

 

 

8.75%, 10/15/16 (c)

 

 

848

 

 

903,120

 

8.75%, 10/15/16 (c)

 

EUR

394

 

 

557,734

 

8.75%, 10/15/16

 

 

726

 

 

1,027,702

 

7.13%, 4/15/19 (c)

 

USD

365

 

 

385,987

 

7.88%, 8/15/19 (c)

 

 

1,585

 

 

1,735,575

 

9.88%, 8/15/19 (c)

 

 

1,615

 

 

1,669,506

 


 

 

 

 

See Notes to Financial Statements.

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


35




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services (concluded)

 

 

 

 

 

 

 

WMG Acquisition Corp. (c):

 

 

 

 

 

 

 

9.50%, 6/15/16

 

USD

180

 

$

198,900

 

11.50%, 10/01/18

 

 

865

 

 

919,062

 

 

 

 

 

 

 

21,809,507

 

Diversified Telecommunication Services — 3.2%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%,
9/01/12

 

 

1,530

 

 

1,373,175

 

GCI, Inc., 6.75%, 6/01/21

 

 

424

 

 

429,300

 

ITC Deltacom, Inc., 10.50%, 4/01/16

 

 

420

 

 

437,850

 

Level 3 Escrow, Inc., 8.13%, 7/01/19 (c)

 

 

3,569

 

 

3,738,527

 

Level 3 Financing, Inc., 8.63%, 7/15/20 (c)

 

 

1,570

 

 

1,675,975

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

2,010

 

 

2,017,035

 

8.00%, 10/01/15

 

 

940

 

 

1,009,032

 

Qwest Corp., 7.63%, 6/15/15

 

 

850

 

 

966,950

 

Videotron Ltee, 5.00%, 7/15/22 (c)

 

 

210

 

 

210,525

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

510

 

 

546,975

 

7.88%, 11/01/17

 

 

630

 

 

710,325

 

 

 

 

 

 

 

13,115,669

 

Electric Utilities — 0.8%

 

 

 

 

 

 

 

The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14

 

EUR

2,450

 

 

3,050,333

 

Electronic Equipment, Instruments &
Components — 0.2%

 

 

 

 

 

 

 

Elster Finance BV, 6.25%, 4/15/18 (c)

 

 

165

 

 

222,907

 

Jabil Circuit, Inc., 8.25%, 3/15/18

 

USD

350

 

 

416,500

 

NXP BV/NXP Funding LLC, 9.75%, 8/01/18 (c)

 

 

300

 

 

339,375

 

 

 

 

 

 

 

978,782

 

Energy Equipment & Services — 3.1%

 

 

 

 

 

 

 

Antero Resources Finance Corp., 7.25%,
8/01/19 (c)

 

 

245

 

 

258,475

 

Atwood Oceanics, Inc., 6.50%, 2/01/20

 

 

205

 

 

215,763

 

Calfrac Holdings LP, 7.50%, 12/01/20 (c)

 

 

585

 

 

585,000

 

Compagnie Générale de Géophysique-Veritas,
7.75%, 5/15/17

 

 

365

 

 

380,056

 

Forbes Energy Services Ltd., 9.00%, 6/15/19

 

 

540

 

 

531,900

 

Frac Tech Services LLC, 7.63%, 11/15/18 (c)

 

 

2,595

 

 

2,770,162

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

665

 

 

696,588

 

MEG Energy Corp., 6.50%, 3/15/21 (c)

 

 

1,455

 

 

1,556,850

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

470

 

 

505,250

 

Peabody Energy Corp., 6.25%, 11/15/21 (c)

 

 

3,870

 

 

4,053,825

 

Transocean, Inc., 6.38%, 12/15/21

 

 

1,115

 

 

1,315,867

 

 

 

 

 

 

 

12,869,736

 

Food Products — 0.2%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

 

360

 

 

405,000

 

Post Holdings, Inc., 7.38%, 2/15/22 (c)

 

 

335

 

 

356,775

 

 

 

 

 

 

 

761,775

 

Health Care Equipment & Supplies — 2.2%

 

 

 

 

 

 

 

Biomet, Inc.:

 

 

 

 

 

 

 

10.00%, 10/15/17

 

 

285

 

 

309,581

 

10.38%, 10/15/17 (i)

 

 

2,145

 

 

2,335,369

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

3,425

 

 

3,484,937

 

7.75%, 4/15/18

 

 

155

 

 

133,300

 

Fresenius Medical Care US Finance II, Inc., 5.88%,
1/31/22 (c)

 

 

965

 

 

1,018,075

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (c)

 

 

308

 

 

341,110

 

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (c)

 

 

800

 

 

924,000

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

435

 

 

468,713

 

 

 

 

 

 

 

9,015,085

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Providers & Services — 5.6%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

USD

615

 

$

628,837

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (c)

 

EUR

694

 

 

959,289

 

Crown Newco 3 Plc, 7.00%, 2/15/18

 

GBP

547

 

 

858,257

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

USD

200

 

 

224,000

 

6.50%, 2/15/20

 

 

2,950

 

 

3,163,875

 

7.88%, 2/15/20

 

 

135

 

 

148,838

 

7.25%, 9/15/20

 

 

3,840

 

 

4,185,600

 

5.88%, 3/15/22

 

 

405

 

 

415,125

 

Health Management Associates, Inc., 7.38%,
1/15/20 (c)

 

 

1,385

 

 

1,443,862

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

1,120

 

 

1,069,600

 

INC Research LLC, 11.50%, 7/15/19 (c)

 

 

605

 

 

580,800

 

inVentiv Health, Inc., 10.00%, 8/15/18 (c)

 

 

195

 

 

177,450

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

1,460

 

 

1,626,075

 

PSS World Medical, Inc., 6.38%, 3/01/22 (c)

 

 

425

 

 

442,000

 

Symbion, Inc., 8.00%, 6/15/16

 

 

510

 

 

492,150

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

807

 

 

940,155

 

6.25%, 11/01/18 (c)

 

 

485

 

 

517,131

 

8.88%, 7/01/19

 

 

4,400

 

 

5,016,000

 

 

 

 

 

 

 

22,889,044

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (c)

 

 

3,550

 

 

4,224,500

 

Hotels, Restaurants & Leisure — 2.6%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

510

 

 

558,450

 

10.00%, 12/15/18

 

 

2,155

 

 

1,664,737

 

Caesars Operating Escrow, LLC., 8.50%, 2/15/20 (c)

 

 

1,060

 

 

1,081,200

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

 

1,770

 

 

1,867,350

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (c)

 

 

200

 

 

190,500

 

Enterprise Inns Plc, 6.50%, 12/06/18

 

GBP

477

 

 

614,676

 

Little Traverse Bay Bands of Odawa Indians, 9.00%,
8/31/20 (c)

 

USD

433

 

 

381,040

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

395

 

 

449,313

 

4.25%, 4/15/15 (f)

 

 

795

 

 

852,638

 

11.13%, 11/15/17

 

 

2,085

 

 

2,371,687

 

Travelport LLC:

 

 

 

 

 

 

 

5.15%, 9/01/14 (h)

 

 

245

 

 

125,563

 

9.88%, 9/01/14

 

 

55

 

 

31,488

 

9.00%, 3/01/16

 

 

180

 

 

95,400

 

6.58%, 12/01/16 (c)(h)(i)

 

 

599

 

 

422,358

 

Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (b)(g)

 

 

475

 

 

 

 

 

 

 

 

 

10,706,400

 

Household Durables — 1.5%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17

 

 

1,960

 

 

2,136,400

 

Jarden Corp., 7.50%, 1/15/20

 

EUR

447

 

 

601,493

 

Ryland Group, Inc., 6.63%, 5/01/20

 

USD

500

 

 

510,000

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

 

2,210

 

 

2,538,737

 

8.38%, 1/15/21

 

 

435

 

 

462,188

 

 

 

 

 

 

 

6,248,818

 

Household Products — 0.5%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (c)

 

EUR

220

 

 

269,657

 

Spectrum Brands Holdings, Inc.:

 

 

 

 

 

 

 

9.50%, 6/15/18

 

USD

530

 

 

604,200

 

9.50%, 6/15/18 (c)

 

 

865

 

 

986,100

 

 

 

 

 

 

 

1,859,957

 


 

 

 

See Notes to Financial Statements.


36


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Independent Power Producers &
Energy Traders — 2.7%

 

 

 

 

 

 

 

The AES Corp., 7.38%, 7/01/21 (c)

 

USD

965

 

$

1,100,100

 

Calpine Corp. (c):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

265

 

 

280,900

 

7.50%, 2/15/21

 

 

150

 

 

162,750

 

7.88%, 1/15/23

 

 

420

 

 

457,800

 

Energy Future Holdings Corp., 10.00%, 1/15/20

 

 

4,640

 

 

5,017,000

 

Energy Future Intermediate Holding Co. LLC:

 

 

 

 

 

 

 

10.00%, 12/01/20

 

 

1,413

 

 

1,534,871

 

11.75%, 3/01/22 (c)

 

 

1,260

 

 

1,291,500

 

Laredo Petroleum, Inc., 9.50%, 2/15/19

 

 

755

 

 

832,388

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

488

 

 

492,880

 

 

 

 

 

 

 

11,170,189

 

Industrial Conglomerates — 2.4%

 

 

 

 

 

 

 

Sequa Corp. (c):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

3,550

 

 

3,771,875

 

13.50%, 12/01/15

 

 

5,797

 

 

6,188,059

 

 

 

 

 

 

 

9,959,934

 

Insurance — 1.0%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11.00%, 5/01/15 (c)(j)

 

 

2,500

 

 

2,628,125

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (c)

 

 

543

 

 

584,404

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

630

 

 

653,640

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)

 

 

375

 

 

334,687

 

 

 

 

 

 

 

4,200,856

 

IT Services — 1.7%

 

 

 

 

 

 

 

Eagle Parent Canada, Inc., 8.63%, 5/01/19 (c)

 

 

820

 

 

848,700

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (c)

 

 

285

 

 

288,206

 

8.88%, 8/15/20 (c)

 

 

795

 

 

860,588

 

8.25%, 1/15/21 (c)

 

 

950

 

 

919,125

 

12.63%, 1/15/21

 

 

2,150

 

 

2,257,500

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

650

 

 

698,750

 

7.63%, 11/15/20

 

 

880

 

 

950,400

 

 

 

 

 

 

 

6,823,269

 

Machinery — 0.8%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (f)

 

 

493

 

 

555,241

 

8.25%, 11/01/21

 

 

180

 

 

196,875

 

SPX Corp., 6.88%, 9/01/17

 

 

260

 

 

288,600

 

UR Financing Escrow Corp. (c)(k):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

379

 

 

389,423

 

7.38%, 5/15/20

 

 

520

 

 

533,650

 

7.63%, 4/15/22

 

 

1,406

 

 

1,455,210

 

 

 

 

 

 

 

3,418,999

 

Media — 14.2%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

1,200

 

 

1,074,000

 

AMC Networks, Inc., 7.75%, 7/15/21 (c)

 

 

330

 

 

367,950

 

CCH II LLC, 13.50%, 11/30/16

 

 

4,549

 

 

5,231,387

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

160

 

 

174,800

 

7.38%, 6/01/20

 

 

390

 

 

429,000

 

6.50%, 4/30/21

 

 

724

 

 

769,250

 

Checkout Holding Corp., 10.96%, 11/15/15 (c)(e)

 

 

995

 

 

447,750

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

375

 

 

417,187

 

Clear Channel Communications, Inc., 9.00%, 3/01/21

 

 

815

 

 

749,800

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

2,201

 

 

2,410,095

 

7.63%, 3/15/20 (c)

 

 

1,545

 

 

1,545,000

 

Series B, 9.25%, 12/15/17

 

 

8,680

 

 

9,548,000

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 4.00%, 8/15/18

 

USD

1,028

 

$

1,042,802

 

Loan Close 3, 4.00%, 8/15/18

 

 

1,175

 

 

1,192,222

 

Shares Loan, 4.00%, 8/15/18

 

 

1,212

 

 

1,229,600

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

580

 

 

643,800

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13

 

 

140

 

 

150,325

 

6.75%, 6/01/21

 

 

610

 

 

677,100

 

Gray Television, Inc., 10.50%, 6/29/15

 

 

1,420

 

 

1,499,875

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (h)

 

 

510

 

 

348,075

 

9.50%, 5/15/15

 

 

460

 

 

362,250

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

2,240

 

 

2,368,800

 

11.25%, 2/04/17

 

 

530

 

 

546,562

 

11.50%, 2/04/17 (i)

 

 

1,945

 

 

2,003,350

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

1,990

 

 

2,243,725

 

The Interpublic Group of Cos., Inc., 10.00%,
7/15/17

 

 

500

 

 

572,500

 

Kabel BW Erste Beteiligungs GmbH, 7.50%,
3/15/19 (c)

 

EUR

988

 

 

1,408,454

 

Kabel Deutschland Vertrieb und Service GmbH & Co.
KG, 6.50%, 6/29/18 (c)

 

 

505

 

 

709,876

 

Lamar Media Corp., 5.88%, 2/01/22 (c)

 

USD

295

 

 

307,906

 

Live Nation Entertainment, Inc., 8.13%, 5/15/18 (c)

 

 

1,130

 

 

1,202,037

 

Musketeer GmbH, 9.50%, 3/15/21

 

EUR

518

 

 

745,342

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (c)

 

USD

825

 

 

907,500

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

91

 

 

105,788

 

7.75%, 10/15/18

 

 

3,340

 

 

3,715,750

 

Odeon & UCI Finco Plc, 9.00%, 8/01/18 (c)

 

GBP

308

 

 

483,872

 

ProQuest LLC, 9.00%, 10/15/18 (c)

 

USD

745

 

 

659,325

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

235

 

 

338,138

 

9.63%, 12/01/19

 

 

845

 

 

1,215,856

 

Unitymedia Hessen GmbH & Co. KG (FKA UPC
Germany GmbH):

 

 

 

 

 

 

 

8.13%, 12/01/17 (c)

 

USD

935

 

 

1,014,475

 

8.13%, 12/01/17

 

EUR

662

 

 

948,131

 

UPC Holding BV, 9.88%, 4/15/18 (c)

 

USD

640

 

 

710,400

 

UPCB Finance II Ltd., 6.38%, 7/01/20 (c)

 

EUR

1,218

 

 

1,614,627

 

UPCB Finance II, Ltd., 6.38%, 7/01/20

 

 

514

 

 

681,378

 

Virgin Media Secured Finance Plc, 7.00%, 1/15/18

 

GBP

476

 

 

817,850

 

Ziggo Bond Co. BV, 8.00%, 5/15/18

 

EUR

583

 

 

821,393

 

Ziggo Finance BV, 6.13%, 11/15/17 (c)

 

 

1,085

 

 

1,499,753

 

 

 

 

 

 

 

57,953,056

 

Metals & Mining — 3.1%

 

 

 

 

 

 

 

Goldcorp, Inc., 2.00%, 8/01/14 (f)

 

USD

1,575

 

 

1,996,312

 

New World Resources NV, 7.88%, 5/01/18

 

EUR

990

 

 

1,338,761

 

Newmont Mining Corp., Series A, 1.25%,
7/15/14 (f)

 

USD

2,170

 

 

2,994,600

 

Novelis, Inc., 8.75%, 12/15/20

 

 

4,920

 

 

5,485,800

 

Taseko Mines Ltd., 7.75%, 4/15/19

 

 

605

 

 

580,800

 

Vedanta Resources Plc, 8.25%, 6/07/21 (c)

 

 

415

 

 

382,838

 

 

 

 

 

 

 

12,779,111

 

Multiline Retail — 1.7%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%, 7/15/17 (h)

 

 

6,421

 

 

7,047,112

 

Oil, Gas & Consumable Fuels — 10.6%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc., 6.25%, 6/01/21

 

 

595

 

 

577,150

 

Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (c)

 

 

660

 

 

679,800

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

750

 

 

781,875

 

Bill Barrett Corp., 9.88%, 7/15/16

 

 

35

 

 

38,675

 

BreitBurn Energy Partners LP, 7.88%, 4/15/22 (c)

 

 

375

 

 

392,812

 


 

 

 

 

See Notes to Financial Statements.

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


37




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Carrizo Oil & Gas, Inc., 8.63%, 10/15/18

 

USD

190

 

$

197,600

 

Chesapeake Midstream Partners LP, 6.13%,
7/15/22 (c)

 

 

405

 

 

419,175

 

Chesapeake Oilfield Operating LLC, 6.63%,
11/15/19 (c)

 

 

80

 

 

81,600

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (c)

 

 

392

 

 

419,440

 

Concho Resources, Inc., 7.00%, 1/15/21

 

 

610

 

 

686,250

 

Consol Energy, Inc., 8.25%, 4/01/20

 

 

2,895

 

 

3,155,550

 

Continental Resources, Inc., 7.13%, 4/01/21

 

 

545

 

 

604,950

 

Copano Energy LLC, 7.13%, 4/01/21

 

 

495

 

 

524,700

 

Crosstex Energy LP, 8.88%, 2/15/18

 

 

265

 

 

287,525

 

Crown Oil Partners IV LP, 15.00%, 3/07/15

 

 

869

 

 

868,882

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

935

 

 

1,065,900

 

6.38%, 8/15/21

 

 

520

 

 

573,300

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

825

 

 

913,687

 

7.75%, 6/15/19

 

 

1,330

 

 

1,403,150

 

EV Energy Partners LP, 8.00%, 4/15/19

 

 

215

 

 

225,750

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (c)

 

 

1,115

 

 

1,215,350

 

Holly Energy Partners LP, 6.50%, 3/01/20 (c)

 

 

230

 

 

234,888

 

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (c)

 

 

480

 

 

513,600

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (c)

 

 

145

 

 

147,900

 

6.25%, 11/01/19 (c)

 

 

2,680

 

 

2,676,650

 

8.63%, 4/15/20

 

 

330

 

 

366,300

 

7.75%, 2/01/21

 

 

305

 

 

327,875

 

MarkWest Energy Partners LP, 6.75%, 11/01/20

 

 

195

 

 

213,038

 

Newfield Exploration Co., 6.88%, 2/01/20

 

 

1,390

 

 

1,501,200

 

Niska Gas Storage US LLC, 8.88%, 3/15/18

 

 

835

 

 

801,600

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

480

 

 

508,800

 

6.50%, 11/01/21

 

 

430

 

 

442,900

 

OGX Petroleo e Gas Participações SA, 8.50%,
6/01/18 (c)

 

 

6,975

 

 

7,271,437

 

PBF Holding Co. LLC, 8.25%, 2/15/20 (c)

 

 

505

 

 

505,000

 

PetroBakken Energy, Ltd., 8.63%, 2/01/20 (c)

 

 

1,285

 

 

1,365,312

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

555

 

 

616,744

 

7.88%, 6/01/15

 

 

695

 

 

734,094

 

7.25%, 8/15/18

 

 

470

 

 

537,562

 

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (c)

 

 

650

 

 

682,500

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

680

 

 

798,777

 

7.50%, 1/15/20

 

 

215

 

 

265,691

 

Plains Exploration & Production Co.:

 

 

 

 

 

 

 

6.63%, 5/01/21

 

 

1,180

 

 

1,274,400

 

6.75%, 2/01/22

 

 

750

 

 

821,250

 

Precision Drilling Corp., 6.50%, 12/15/21 (c)

 

 

440

 

 

469,700

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

515

 

 

574,225

 

5.75%, 6/01/21

 

 

1,445

 

 

1,546,150

 

5.00%, 8/15/22 (k)

 

 

644

 

 

650,440

 

Ruby Pipeline LLC, 6.00%, 4/01/22 (c)

 

 

575

 

 

573,847

 

Samson Investment Co., 9.75%, 2/15/20 (c)

 

 

940

 

 

989,350

 

SandRidge Energy, Inc., 7.50%, 3/15/21

 

 

675

 

 

681,750

 

SM Energy Co., 6.63%, 2/15/19

 

 

195

 

 

209,138

 

 

 

 

 

 

 

43,415,239

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Paper & Forest Products — 2.5%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (c)(i)

 

USD

1,816

 

$

1,325,406

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

645

 

 

709,500

 

8.00%, 4/01/20

 

 

240

 

 

263,400

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

585

 

 

664,706

 

7.13%, 11/01/18

 

 

865

 

 

921,225

 

Georgia-Pacific LLC, 8.25%, 5/01/16 (c)

 

 

2,395

 

 

2,653,246

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (c)

 

 

505

 

 

518,888

 

NewPage Corp., 11.38%, 12/31/14 (b)(g)

 

 

3,130

 

 

1,885,825

 

Sappi Papier Holding GmbH, 6.63%, 4/15/21 (c)

 

 

200

 

 

187,500

 

Verso Paper Holdings LLC, 11.50%, 7/01/14

 

 

1,139

 

 

1,161,780

 

 

 

 

 

 

 

10,291,476

 

Pharmaceuticals — 0.6%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA:

 

 

 

 

 

 

 

9.88%, 8/01/19

 

EUR

100

 

 

143,222

 

9.88%, 8/01/19 (c)

 

 

300

 

 

429,667

 

Jaguar Holding Co. II, 9.50%, 12/01/19 (c)

 

USD

620

 

 

678,125

 

Valeant Pharmaceuticals International, 6.50%,
7/15/16 (c)

 

 

1,265

 

 

1,290,300

 

 

 

 

 

 

 

2,541,314

 

Professional Services — 0.4%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20

 

 

1,370

 

 

1,481,313

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

 

2,070

 

 

2,116,575

 

The Rouse Co. LP, 6.75%, 11/09/15

 

 

770

 

 

805,612

 

 

 

 

 

 

 

2,922,187

 

Real Estate Management & Development — 2.4%

 

 

 

 

 

 

 

CB Richard Ellis Services, Inc., 6.63%, 10/15/20

 

 

500

 

 

531,250

 

Forest City Enterprises, Inc., 7.63%, 6/01/15

 

 

2,300

 

 

2,265,500

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

575

 

 

526,125

 

12.00%, 4/15/17

 

 

145

 

 

133,400

 

7.88%, 2/15/19 (c)

 

 

3,455

 

 

3,351,350

 

7.63%, 1/15/20 (c)

 

 

750

 

 

774,375

 

9.00%, 1/15/20 (c)

 

 

535

 

 

537,675

 

Shea Homes LP, 8.63%, 5/15/19 (c)

 

 

1,775

 

 

1,792,750

 

 

 

 

 

 

 

9,912,425

 

Road & Rail — 1.6%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 8.25%, 1/15/19

 

 

190

 

 

198,075

 

Florida East Coast Railway Corp., 8.13%, 2/01/17

 

 

610

 

 

616,100

 

Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

960

 

 

1,035,600

 

6.75%, 4/15/19 (c)

 

 

430

 

 

450,425

 

6.75%, 4/15/19

 

 

165

 

 

172,837

 

7.38%, 1/15/21

 

 

730

 

 

790,225

 

Hertz Holdings Netherlands BV:

 

 

 

 

 

 

 

8.50%, 7/31/15

 

EUR

277

 

 

398,571

 

8.50%, 7/31/15 (c)

 

 

1,975

 

 

2,841,795

 

 

 

 

 

 

 

6,503,628

 

Semiconductors & Semiconductor
Equipment — 0.2%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17

 

USD

850

 

 

835,125

 

Software — 0.2%

 

 

 

 

 

 

 

Sophia LP, 9.75%, 1/15/19 (c)

 

 

645

 

 

693,375

 


 

 

 

See Notes to Financial Statements.


38


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Specialty Retail — 2.4%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 8.38%, 11/15/20

 

USD

540

 

$

579,150

 

Hillman Group, Inc., 10.88%, 6/01/18

 

 

790

 

 

827,525

 

House of Fraser Funding Plc:

 

 

 

 

 

 

 

8.88%, 8/15/18 (c)

 

GBP

420

 

 

598,019

 

8.88%, 8/15/18

 

 

221

 

 

314,672

 

Limited Brands, Inc.:

 

 

 

 

 

 

 

8.50%, 6/15/19

 

USD

1,170

 

 

1,398,150

 

5.63%, 2/15/22

 

 

235

 

 

242,050

 

Phones4u Finance Plc, 9.50%, 4/01/18 (c)

 

GBP

545

 

 

760,828

 

QVC, Inc. (c):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

340

 

 

365,500

 

7.50%, 10/01/19

 

 

920

 

 

1,021,200

 

7.38%, 10/15/20

 

 

440

 

 

487,300

 

Sally Holdings LLC, 6.88%, 11/15/19 (c)

 

 

805

 

 

865,375

 

Sonic Automotive, Inc., 9.00%, 3/15/18

 

 

550

 

 

598,125

 

Toys ‘R’ US-Delaware, Inc., 7.38%, 9/01/16 (c)

 

 

220

 

 

226,050

 

United Auto Group, Inc., 7.75%, 12/15/16

 

 

1,550

 

 

1,615,891

 

 

 

 

 

 

 

9,899,835

 

Transportation Infrastructure — 0.2%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (c)

 

 

632

 

 

664,390

 

Wireless Telecommunication Services — 5.3%

 

 

 

 

 

 

 

Cricket Communications, Inc., 7.75%, 5/15/16

 

 

900

 

 

958,500

 

Digicel Group Ltd. (c):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

1,030

 

 

1,048,025

 

9.13%, 1/15/15

 

 

2,787

 

 

2,842,740

 

8.25%, 9/01/17

 

 

1,650

 

 

1,749,000

 

10.50%, 4/15/18

 

 

800

 

 

872,000

 

iPCS, Inc., 2.67%, 5/01/13 (h)

 

 

1,460

 

 

1,405,250

 

Matterhorn Mobile Holdings SA, 8.25%, 2/15/20

 

EUR

400

 

 

548,907

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

USD

1,600

 

 

1,648,000

 

NII Capital Corp., 7.63%, 4/01/21

 

 

992

 

 

1,014,320

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

3,540

 

 

2,761,200

 

Sprint Nextel Corp. (c):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

3,240

 

 

3,612,600

 

7.00%, 3/01/20

 

 

2,970

 

 

3,018,263

 

 

 

 

 

 

 

21,478,805

 

Total Corporate Bonds — 101.8%

 

 

 

 

 

416,340,716

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

 

 

 

 

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit New Term Loan B,
5.50%, 4/20/17

 

 

854

 

 

833,427

 

Auto Components — 0.2%

 

 

 

 

 

 

 

Schaeffler AG, Term Loan C2, 5.29%, 1/27/17

 

 

735

 

 

737,146

 

Building Products — 0.2%

 

 

 

 

 

 

 

Goodman Global, Inc., Term Loan (Second Lien),
9.00%, 10/30/17

 

 

748

 

 

759,414

 

Capital Markets — 0.4%

 

 

 

 

 

 

 

Nuveen Investments, Inc., Incremental Term Loan
(First Lien):

 

 

 

 

 

 

 

7.25%, 5/13/17

 

 

995

 

 

1,001,965

 

7.25%, 3/14/19

 

 

615

 

 

620,381

 

 

 

 

 

 

 

1,622,346

 

Chemicals — 0.2%

 

 

 

 

 

 

 

PQ Corp. (FKA Niagara Acquisition, Inc.), Term Loan B
(First Lien), 3.50%, 7/30/14

 

 

348

 

 

339,356

 

Styron Sarl LLC, Term Loan B, 6.00% – 6.75%, 8/02/17

 

 

692

 

 

624,186

 

 

 

 

 

 

 

963,542

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

 

Par
(000)

 

Value

 

Commercial Services & Supplies — 0.7%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

USD

707

 

$

704,788

 

Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16

 

 

875

 

 

875,936

 

Volume Services America, Inc. (FKA Centerplate),
Term Loan B, 10.50% – 10.75%, 9/16/16

 

 

1,481

 

 

1,487,427

 

 

 

 

 

 

 

3,068,151

 

Communications Equipment — 0.1%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B1, 3.24%, 10/24/14

 

 

290

 

 

283,756

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Safway Services LLC, Mezzanine Loan, 15.63%,
12/16/17

 

 

3,000

 

 

3,000,000

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

Springleaf Finance Corp. (FKA AGFS Funding Co.),
Term Loan, 5.50%, 5/10/17

 

 

7,480

 

 

6,818,843

 

Diversified Consumer Services — 0.0%

 

 

 

 

 

 

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.75%, 7/24/14

 

 

13

 

 

12,461

 

Term Loan, 2.77% – 3.03%, 7/24/14

 

 

127

 

 

125,134

 

 

 

 

 

 

 

137,595

 

Diversified Telecommunication Services — 0.5%

 

 

 

 

 

 

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Term Loan B, 5.75%, 8/31/18

 

 

1,200

 

 

1,208,256

 

Tranche A Term Loan, 2.83%, 3/13/14

 

 

750

 

 

737,625

 

 

 

 

 

 

 

1,945,881

 

Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.):

 

 

 

 

 

 

 

Extended Term Loan, 4.00%, 7/14/17

 

 

410

 

 

400,701

 

Term Loan, 3.75%, 10/10/14

 

 

155

 

 

153,990

 

 

 

 

 

 

 

554,691

 

Energy Equipment & Services — 2.2%

 

 

 

 

 

 

 

CCS Corp., Incremental Term Loan, 5.62%,
10/17/14

 

 

405

 

 

405,405

 

Dynegy Midwest Generation LLC., Coal Co. Term Loan,
9.25%, 8/04/16

 

 

2,943

 

 

2,926,418

 

Dynegy Power LLC., Gas Co. Term Loan, 9.25%,
8/04/16

 

 

5,386

 

 

5,555,832

 

 

 

 

 

 

 

8,887,655

 

Food & Staples Retailing — 0.1%

 

 

 

 

 

 

 

US Foodservice, Inc., Term Loan B, 2.74%, 7/03/14

 

 

250

 

 

241,250

 

Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan (Second Lien),
11.25%, 9/29/17

 

 

1,300

 

 

1,301,079

 

Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19

 

 

1,120

 

 

1,119,306

 

Health Care Providers & Services — 0.7%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Term Loan A, 8.50%, 3/02/15

 

 

574

 

 

562,318

 

Tranche A Additional Term Loan, 7.75%, 3/02/15

 

 

659

 

 

645,584

 

Health Management Associates, Inc., Term Loan B,
4.50%, 11/16/18

 

 

580

 

 

576,230

 

inVentiv Health, Inc., Combined Term Loan, 6.50%,
8/04/16

 

 

1,237

 

 

1,189,088

 

 

 

 

 

 

 

2,973,220

 


 

 

 

 

See Notes to Financial Statements.

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


39




 

 

 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

 

Par
(000)

 

Value

 

Hotels, Restaurants & Leisure — 1.3%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-3, 3.00% – 3.58%, 1/28/15

 

USD

3,081

 

$

2,886,683

 

Term Loan B-4, 9.50%, 10/31/16

 

 

720

 

 

740,621

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.56% – 2.79%, 6/14/13

 

 

14

 

 

13,572

 

Term Loan B, 2.56%, 6/14/14

 

 

141

 

 

137,678

 

Station Casinos, Inc., Term Loan B1, 3.24%,
6/17/16

 

 

1,550

 

 

1,397,588

 

Travelport LLC (FKA Travelport, Inc.):

 

 

 

 

 

 

 

Extended Tranche A Term Loan, 6.54%, 9/28/12

 

 

276

 

 

130,985

 

Extended Tranche B Term Loan, 14.04%, 12/01/16

 

 

857

 

 

192,775

 

 

 

 

 

 

 

5,499,902

 

Independent Power Producers &
Energy Traders — 0.1%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co. LLC
(FKA TXU), Extended Term Loan, 4.76%, 10/10/17

 

 

1,103

 

 

615,276

 

Industrial Conglomerates — 0.2%

 

 

 

 

 

 

 

Sequa Corp., Incremental Term Loan, 6.25%,
12/03/14

 

 

650

 

 

652,165

 

IT Services — 0.3%

 

 

 

 

 

 

 

First Data Corp., Extended Term Loan B, 4.24%,
3/23/18

 

 

1,160

 

 

1,040,914

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/20/13

 

 

865

 

 

875,544

 

Media — 5.1%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc.
(FKA Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.49%, 7/03/14

 

 

485

 

 

450,080

 

Tranche 1 Incremental Term Loan, 7.50%,
7/03/14

 

 

2,412

 

 

2,334,094

 

Cequel Communications LLC, Term Loan B, 4.00%,
2/11/19

 

 

865

 

 

856,151

 

Clear Channel Communication:

 

 

 

 

 

 

 

Term Loan B, 3.89%, 1/28/16

 

 

3,180

 

 

2,609,805

 

Term Loan C, 3.89%, 1/28/16

 

 

567

 

 

449,112

 

HMH Publishing Co. Ltd., Tranche A Term Loan,
6.51%, 6/12/14

 

 

1,348

 

 

833,119

 

Intelsat Jackson Holdings SA (FKA Intelsat Jackson
Holdings, Ltd.), Tranche B Term Loan, 5.25%,
4/02/18

 

 

10,669

 

 

10,651,237

 

Interactive Data Corp., Term Loan B, 4.50%,
2/12/18

 

 

75

 

 

74,831

 

Newsday LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

2,150

 

 

2,211,812

 

Univision Communications, Inc., Extended First Lien
Term Loan, 4.52%, 3/31/17

 

 

500

 

 

464,325

 

 

 

 

 

 

 

20,934,566

 

Multiline Retail — 0.3%

 

 

 

 

 

 

 

HEMA Holding BV, Mezzanine, 9.19%, 7/05/17 (i)

 

EUR

1,407

 

 

1,433,892

 

Oil, Gas & Consumable Fuels — 0.6%

 

 

 

 

 

 

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15

 

USD

2,453

 

 

2,464,830

 

Paper & Forest Products — 0.5%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

900

 

 

906,750

 

Verso Paper Finance Holdings LLC, Term Loan,
6.79% – 7.54%, 2/01/13 (i)

 

 

2,162

 

 

1,080,868

 

 

 

 

 

 

 

1,987,618

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (h)

 

Par
(000)

 

Value

 

Pharmaceuticals — 0.5%

 

 

 

 

 

 

 

Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17

 

USD

1,485

 

$

1,472,378

 

Pharmaceutical Product Development, Inc.,
Term Loan, 9.50%, 12/05/18

 

 

580

 

 

585,075

 

 

 

 

 

 

 

2,057,453

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien),
5.00%, 6/28/13

 

 

2,506

 

 

2,494,721

 

Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Letter of Credit, 4.53%, 10/10/16

 

 

164

 

 

152,237

 

Extended Term Loan, 4.77%, 10/10/16

 

 

1,084

 

 

1,006,096

 

 

 

 

 

 

 

1,158,333

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

NXP BV, Term Loan A-2, 5.50%, 3/03/17

 

 

100

 

 

99,250

 

Software — 0.2%

 

 

 

 

 

 

 

Infor Enterprise Solutions Holdings, Inc., Extended
Delayed Draw Term Loan, 6.29%, 7/28/15

 

 

675

 

 

659,813

 

Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 2.99% – 3.30%,
5/29/14

 

 

778

 

 

736,782

 

Wireless Telecommunication Services — 1.3%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/25/19

 

 

345

 

 

343,430

 

Vodafone Americas Finance 2, Inc. (i):

 

 

 

 

 

 

 

Term Loan, 6.88%, 8/11/15

 

 

3,046

 

 

3,045,701

 

Term Loan B, 6.25%, 7/11/16

 

 

1,908

 

 

1,903,043

 

 

 

 

 

 

 

5,292,174

 

Total Floating Rate Loan Interests — 20.3%

 

 

 

 

 

83,250,535

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests (l)

 

Beneficial
Interest
(000

)

 

 

 

Auto Components — 0.0%

 

 

 

 

 

 

 

Lear Corp. Escrow

 

 

790

 

 

7,900

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc., Litigation Trust Certificate

 

 

4,650

 

 

46

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc. (b)

 

 

970

 

 

10

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow (b)

 

 

1,250

 

 

12

 

Adelphia Recovery Trust (b)

 

 

1,568

 

 

157

 

 

 

 

 

 

 

169

 

Total Other Interests — 0.0%

 

 

 

 

 

8,125

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

Par
(000

)

 

 

 

Capital Trusts — 0.2%

 

 

 

 

 

 

 

Insurance — 0.2%

 

 

 

 

 

 

 

Genworth Financial, Inc., 6.15%, 11/15/66 (h)

 

 

1,270

 

 

871,538

 


 

 

 

See Notes to Financial Statements.

 

 

 

40

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 

Auto Components — 0.8%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (c)(f)

 

 

25,990

 

$

3,498,904

 

Diversified Financial Services — 1.1%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (c)

 

 

5,010

 

 

4,347,114

 

Media — 0.1%

 

 

 

 

 

 

 

TRA Global, Inc., 0.00% (b)

 

 

420,689

 

 

517,448

 

Real Estate Investment Trusts (REITs) — 0.0%

 

 

 

 

 

 

 

MPG Office Trust, Inc., Series A, 7.63% (b)

 

 

13,326

 

 

189,229

 

Thrifts & Mortgage Finance — 0.1%

 

 

 

 

 

 

 

Fannie Mae, Series O, 7.00% (b)(h)

 

 

40,000

 

 

74,000

 

Freddie Mac, Series Z, 8.38% (b)(h)

 

 

108,377

 

 

160,398

 

 

 

 

 

 

 

234,398

 

Total Preferred Stocks — 2.1%

 

 

 

 

 

8,787,093

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferreds

 

 

 

 

 

 

 

Diversified Financial Services — 0.9%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (f)

 

 

109,590

 

 

2,564,683

 

RBS Capital Funding Trust VII, 6.08%, 12/31/49 (f)

 

 

67,000

 

 

915,890

 

Total Trust Preferreds — 0.9%

 

 

 

 

 

3,480,573

 

Total Preferred Securities — 3.2%

 

 

 

 

 

13,139,204

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (m)

 

 

 

 

 

 

 

Containers & Packaging — 0.0%

 

 

 

 

 

 

 

MDP Acquisitions Plc (Expires 10/10/13)

 

 

1,100

 

 

58,653

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

52,465

 

 

1

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (Expires 4/29/14)

 

 

819

 

 

 

Media — 0.1%

 

 

 

 

 

 

 

Cumulus Media, Inc. (Expires 3/26/19)

 

 

62,894

 

 

454,271

 

New Vision Holdings LLC (Expires 9/30/14)

 

 

26,189

 

 

 

 

 

 

 

 

 

454,271

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/29/17)

 

 

491

 

 

 

HMH Holdings/EduMedia (Expires 3/09/17)

 

 

20,878

 

 

 

Total Warrants — 0.1%

 

 

 

 

 

512,925

 

Total Long-Term Investments

 

 

 

 

 

 

 

(Cost — $533,487,280) — 133.7%

 

 

 

 

 

547,150,702

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

 

Contracts

 

 

 

 

Exchange-Traded Put Options — 0.1%

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust:

 

 

 

 

 

 

 

Strike Price USD 134.00, Expires 3/17/12

 

 

1,725

 

 

162,150

 

Strike Price USD 136.00, Expires 3/17/12

 

 

300

 

 

47,400

 

Strike Price USD 136.00, Expires 4/21/12

 

 

300

 

 

95,700

 

Total Options Purchased
(Cost — $664,541) — 0.1%

 

 

 

 

 

305,250

 

Total Investments Before Options Written
(Cost — $534,151,821) — 133.8%

 

 

 

 

 

547,455,952

 


 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

Value

 

Exchange-Traded Put Options — (0.0)%

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust, Strike Price
USD 125.00, Expires 3/17/12

 

 

1,725

 

$

(25,013

)

Total Options Written
(Premiums Received — $123,355) — (0.0)%

 

 

 

 

 

(25,013

)

Total Investments, Net of Options Written — 133.8%

 

 

 

 

 

547,430,939

 

Liabilities in Excess of Other Assets — (33.8)%

 

 

 

 

 

(138,255,059

)

Net Assets — 100.0%

 

 

 

 

$

409,175,880

 


 

 

(a)

Restricted security as to resale. As of report date the Trust held 2.7% of its net assets, with a current value of $11,248,714 in this security.

 

 

(b)

Non-income producing security.

 

 

(c)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(d)

Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.

 

 

(e)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(f)

Convertible security.

 

 

(g)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(h)

Variable rate security. Rate shown is as of report date.

 

 

(i)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(j)

All or a portion of security has been pledged as collateral in connection with swaps.

 

 

(k)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Bank of America Securities, Inc.

 

$

650,440

 

$

6,440

 

Morgan Stanley & Co., Inc.

 

$

2,378,283

 

$

73,283

 


 

 

(l)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

 

(m)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

1,171,689

 

 

(1,171,689

)

 

 

$

397

 


 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

Issue

 

 

Exchange

 

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

179

 

 

S&P 500

 

 

Chicago

 

 

March 2012

 

$

12,211,380

 

$

(387,946

)

 

 

 

Index E-Mini

 

 

Mercantile

 

 

 

 

 

 

 

 

 

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

41




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund V, Inc. (HYV)


 

 

Foreign currency exchange contracts as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

GBP

110,000

 

USD

172,509

 

 

Royal Bank of
Scotland Plc

 

4/11/12

 

$

2,440

 

USD

1,461,430

 

CAD

1,500,000

 

 

Citibank NA

 

4/11/12

 

 

(53,214)

 

USD

3,457,588

 

CAD

3,531,000

 

 

Royal Bank of
Scotland Plc

 

4/11/12

 

 

(107,884)

 

USD

4,940,604

 

GBP

3,223,000

 

 

UBS Securities LLC

 

4/11/12

 

 

(185,410)

 

EUR

170,000

 

USD

220,118

 

 

Citibank NA

 

4/18/12

 

 

6,417

 

EUR

480,000

 

USD

646,239

 

 

Deutsche Bank AG

 

4/18/12

 

 

(6,610)

 

USD

27,919,892

 

EUR

21,736,000

 

 

Citibank NA

 

4/18/12

 

 

(1,044,650)

 

USD

389,040

 

EUR

296,000

 

 

Citibank NA

 

4/18/12

 

 

(5,398)

 

USD

809,101

 

EUR

610,000

 

 

Citibank NA

 

4/18/12

 

 

(3,761)

 

USD

194,527

 

EUR

147,000

 

 

Citibank NA

 

4/18/12

 

 

(1,359)

 

USD

153,982

 

EUR

119,000

 

 

Deutsche Bank AG

 

4/18/12

 

 

(4,593)

 

USD

66,299

 

EUR

50,000

 

 

Deutsche Bank AG

 

4/18/12

 

 

(329)

 

USD

1,178,909

 

EUR

905,000

 

 

Royal Bank of
Scotland Plc

 

4/18/12

 

 

(27,058)

 

USD

501,389

 

EUR

378,000

 

 

Royal Bank of
Scotland Plc

 

4/18/12

 

 

(2,319)

 

USD

627,484

 

EUR

475,000

 

 

UBS Securities LLC

 

4/18/12

 

 

(5,482)

 

Total

 

 

 

 

 

 

 

 

 

 

$

(1,439,210)

 


 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

 

Notional
Amount
(000)

 

 

Unrealized
Appreciation
(Depreciation)

 

MGM Resorts International

 

5.00%

 

Deutsche Band AG

 

6/20/15

 

$

155

 

$

(8,626)

 

MGM Resorts International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

$

130

 

 

(8,465)

 

MGM Resorts International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

$

250

 

 

(13,059)

 

MGM Resorts International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

$

130

 

 

(3,687)

 

MGM Resorts International

 

5.00%

 

Deutsche Bank AG

 

6/20/15

 

$

130

 

 

(4,649)

 

Republic of Hungary

 

1.00%

 

Deutsche Bank AG

 

12/20/15

 

$

450

 

 

23,961

 

Realogy Corp.

 

5.00%

 

Goldman Sachs International

 

9/20/16

 

$

200

 

 

(23,109)

 

iStar Financial, Inc.

 

5.00%

 

Deutsche Bank AG

 

12/20/16

 

$

350

 

 

(35,906)

 

Israel (State of)

 

1.00%

 

Deutsche Bank AG

 

3/20/17

 

$

335

 

 

(3,483)

 

Israel Government Bond

 

1.00%

 

Deutsche Bank AG

 

3/20/17

 

$

1,000

 

 

(11,089)

 

Total

 

 

 

 

 

 

 

 

 

 

$

(88,112)

 


 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

 

Notional
Amount
(000)2

 

 

Unrealized
Appreciation
(Depreciation)

 

Air Lease Corp.

 

5.00%

 

Goldman Sachs International

 

2/14/13

 

Not Rated

 

$

800

 

$

1,103

 

CIT Group, Inc.

 

5.00%

 

Deutsche Bank AG

 

9/20/15

 

BB–

 

$

4,700

 

 

313,885

 

ARAMARK Corp.

 

5.00%

 

Goldman Sachs International

 

3/20/16

 

B

 

$

750

 

 

39,744

 

ARAMARK Corp.

 

5.00%

 

Goldman Sachs International

 

6/20/16

 

B

 

$

500

 

 

23,789

 

ARAMARK Corp.

 

5.00%

 

Goldman Sachs International

 

6/20/16

 

B

 

$

500

 

 

26,932

 

ARAMARK Corp.

 

5.00%

 

Credit Suisse Securities (USA) LLC

 

9/20/16

 

B

 

$

200

 

 

16,201

 

ARAMARK Corp.

 

5.00%

 

Goldman Sachs International

 

9/20/16

 

B

 

$

200

 

 

15,461

 

ARAMARK Corp.

 

5.00%

 

Goldman Sachs International

 

9/20/16

 

B

 

$

450

 

 

20,322

 

Bausch & Lomb, Inc.

 

5.00%

 

Credit Suisse Securities (USA) LLC

 

3/20/17

 

B

 

$

160

 

 

8,011

 

ARAMARK Corp.

 

5.00%

 

Deutsche Bank AG

 

3/20/17

 

B

 

$

295

 

 

6,353

 

Crown Castle International Corp.

 

7.25%

 

Deutsche Bank AG

 

3/20/17

 

B–

 

$

690

 

 

14,966

 

Ford Motor Co.

 

5.00%

 

Deutsche Bank AG

 

3/20/17

 

BB+

 

$

2,200

 

 

132,448

 

CCO Holdings LLC

 

8.00%

 

Deutsche Bank AG

 

9/20/17

 

BB–

 

$

2,400

 

 

(134)

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

619,081

 


 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.


 

 

 

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 rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such 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 are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)


 

 

 

See Notes to Financial Statements.

 

 

 

 

42

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (concluded)

BlackRock Corporate High Yield Fund V, Inc. (HYV)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Trust’s perceived risk of 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 Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

14,848,884

 

$

11,847,986

 

$

7,202,327

 

$

33,899,197

 

Corporate Bonds

 

 

 

 

409,644,549

 

 

6,696,167

 

 

416,340,716

 

Floating Rate
Loan Interests

 

 

 

 

69,391,312

 

 

13,859,223

 

 

83,250,535

 

Other Interests

 

 

157

 

 

 

 

7,968

 

 

8,125

 

Preferred
Securities

 

 

3,904,201

 

 

8,717,556

 

 

517,447

 

 

13,139,204

 

Warrants

 

 

 

 

512,924

 

 

1

 

 

512,925

 

Total

 

$

18,753,242

 

$

500,114,327

 

$

28,283,133

 

$

547,150,702

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

313,222

 

$

329,954

 

$

643,176

 

Foreign currency
exchange
contracts

 

 

 

 

8,857

 

 

 

 

8,857

 

Equity contracts

 

$

305,250

 

 

 

 

 

 

305,250

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(112,073

)

 

(134

)

 

(112,207

)

Foreign currency
exchange
contracts

 

 

 

 

(1,448,067

)

 

 

 

(1,448,067

)

Equity contracts

 

 

(412,959

)

 

 

 

 

 

(412,959

)

Total

 

$

(107,709

)

$

(1,238,061

)

$

329,820

 

$

(1,015,950

)


 

 

1

Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options are shown at value.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2011

 

$

3,390,998

 

$

8,408,570

 

$

14,224,136

 

$

3,097,694

 

$

985,270

 

$

355,505

 

$

30,462,173

 

Accrued discounts/premiums

 

 

 

 

3,387

 

 

120,185

 

 

 

 

 

 

 

 

123,572

 

Net realized gain (loss)

 

 

8,788

 

 

(3,496,785

)

 

(359,806

)

 

 

 

 

 

 

 

(3,847,803

)

Net change in unrealized appreciation/depreciation2

 

 

2,239,989

 

 

3,519,894

 

 

(839,134

)

 

(3,089,726

)

 

(467,823

)

 

(275

)

 

1,362,925

 

Purchases

 

 

1,573,669

 

 

935,832

 

 

620,035

 

 

 

 

 

 

 

 

3,129,536

 

Sales

 

 

(11,117

)

 

(2,674,731

)

 

(991,223

)

 

 

 

 

 

 

 

(3,677,071

)

Transfers in3

 

 

 

 

 

 

3,304,905

 

 

 

 

 

 

 

 

3,304,905

 

Transfers out3

 

 

 

 

 

 

(2,219,875

)

 

 

 

 

 

(355,229

)

 

(2,575,104

)

Balance, as of February 29, 2012

 

$

7,202,327

 

$

6,696,167

 

$

13,859,223

 

$

7,968

 

$

517,447

 

$

1

 

$

28,283,133

 


 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at February 29, 2012 was $(2,179,491).

 

 

 

 

3

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

Credit
Contracts

 

Liabilities:

 

 

 

 

Balance, as of August 31, 2011

 

 

 

Accrued discounts/premiums

 

$

(43,709

)

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation4

 

 

329,820

 

Purchases

 

 

 

Issuances5

 

 

408,569

 

Sales

 

 

 

Settlements6

 

 

(364,860

)

Transfers in7

 

 

 

Transfers out7

 

 

 

Balance, as of February 29, 2012

 

$

329,820

 


 

 

4

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held at February 29, 2012 was $329,820.

 

 

5

Issuances represent upfront cash received on certain derivative financial instruments.

 

 

6

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

 

 

7

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

A reconciliation of Level 3 investments and derivative 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.

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

43




 

 

 

 

Consolidated Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 3.1%

 

 

 

 

 

 

 

Dana Holding Corp. (a)

 

 

94,250

 

$

1,508,000

 

Delphi Automotive Plc

 

 

21,191

 

 

678,109

 

Delphi Automotive Plc (180-day lock)
(Acquired 11/17/11, cost $4,028,721) (b)

 

 

355,462

 

 

11,090,417

 

 

 

 

 

 

 

13,276,526

 

Capital Markets — 0.3%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

116,200

 

 

1,119,006

 

Commercial Banks — 0.2%

 

 

 

 

 

 

 

CIT Group, Inc. (a)

 

 

26,110

 

 

1,062,938

 

Communications Equipment — 0.4%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

21,531

 

 

1,533,868

 

Diversified Financial Services — 0.6%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

305,538,344

 

 

2,797,204

 

Diversified Telecommunication
Services — 0.1%

 

 

 

 

 

 

 

Level 3 Communications, Inc. (a)

 

 

23,800

 

 

578,578

 

Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

116,910

 

 

585

 

Energy Equipment & Services — 1.2%

 

 

 

 

 

 

 

Laricina Energy Ltd. (a)

 

 

70,588

 

 

3,031,977

 

Osum Oil Sands Corp. (a)

 

 

124,000

 

 

1,566,527

 

Transocean Ltd.

 

 

8,400

 

 

448,056

 

 

 

 

 

 

 

5,046,560

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (a)

 

 

1,816

 

 

182

 

Travelport Worldwide Ltd.

 

 

118,935

 

 

59,467

 

 

 

 

 

 

 

59,649

 

Media — 1.7%

 

 

 

 

 

 

 

Belo Corp., Class A

 

 

73,341

 

 

525,855

 

Charter Communications, Inc. (a)

 

 

101,076

 

 

6,409,229

 

Clear Channel Outdoor Holdings, Inc., Class A (a)

 

 

14,553

 

 

192,536

 

 

 

 

 

 

 

7,127,620

 

Metals & Mining — 0.1%

 

 

 

 

 

 

 

African Minerals Ltd. (a)

 

 

72,301

 

 

660,981

 

Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

221,591

 

 

349,368

 

Ainsworth Lumber Co. Ltd. (a)

 

 

192,951

 

 

304,213

 

Western Forest Products, Inc. (a)

 

 

78,039

 

 

75,716

 

 

 

 

 

 

 

729,297

 

Professional Services — 0.0%

 

 

 

 

 

 

 

Pendrell Corp. (a)

 

 

5,400

 

 

13,068

 

Road & Rail — 0.2%

 

 

 

 

 

 

 

Dollar Thrifty Automotive Group, Inc. (a)

 

 

9,100

 

 

690,781

 

Semiconductors & Semiconductor
Equipment — 0.3%

 

 

 

 

 

 

 

Spansion, Inc., Class A (a)

 

 

103,218

 

 

1,321,190

 

SunPower Corp. (a)

 

 

431

 

 

3,246

 

 

 

 

 

 

 

1,324,436

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

787

 

 

16

 

HMH Holdings/EduMedia

 

 

141,287

 

 

35,322

 

 

 

 

 

 

 

35,338

 

Total Common Stocks — 8.4%

 

 

 

 

 

36,056,435

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 3/15/18

 

USD

370

 

$

389,425

 

7.13%, 3/15/21

 

 

520

 

 

557,050

 

Kratos Defense & Security Solutions, Inc.,
10.00%, 6/01/17

 

 

1,144

 

 

1,232,660

 

 

 

 

 

 

 

2,179,135

 

Airlines — 2.2%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust, Series
2011-2, Class A, 8.63%, 4/15/23

 

 

1,744

 

 

1,848,640

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (c)

 

 

900

 

 

909,000

 

6.90%, 7/02/18

 

 

793

 

 

791,454

 

Series 2010-1, Class B, 6.00%, 7/12/20

 

 

672

 

 

651,508

 

Delta Air Lines, Inc.:

 

 

 

 

 

 

 

Series 2009-1-B, Class B, 9.75%, 6/17/18

 

 

293

 

 

310,913

 

Series 2010-1-B, 6.38%, 7/02/17

 

 

900

 

 

841,500

 

United Air Lines, Inc., 12.75%, 7/15/12

 

 

3,064

 

 

3,171,333

 

US Airways Pass-Through Trust, Series 2011-1,
Class C, 10.88%, 10/22/14

 

 

1,070

 

 

1,070,000

 

 

 

 

 

 

 

9,594,348

 

Auto Components — 1.8%

 

 

 

 

 

 

 

Allison Transmission, Inc., 11.00%, 11/01/15 (c)

 

 

113

 

 

119,356

 

Baker Corp. International, Inc., 8.25%, 6/01/19 (c)

 

 

325

 

 

331,500

 

Dana Holding Corp., 6.75%, 2/15/21

 

 

700

 

 

757,750

 

Delphi Corp., 6.13%, 5/15/21 (c)

 

 

260

 

 

278,850

 

Icahn Enterprises LP, 8.00%, 1/15/18

 

 

5,060

 

 

5,363,600

 

International Automotive Components Group, SL,
9.13%, 6/01/18 (c)

 

 

70

 

 

62,300

 

Titan International, Inc., 7.88%, 10/01/17

 

 

720

 

 

765,000

 

 

 

 

 

 

 

7,678,356

 

Beverages — 0.4%

 

 

 

 

 

 

 

Cott Beverages, Inc., 8.13%, 9/01/18

 

 

413

 

 

455,333

 

Crown European Holdings SA (c):

 

 

 

 

 

 

 

7.13%, 8/15/18

 

EUR

413

 

 

589,444

 

7.13%, 8/15/18

 

 

465

 

 

663,660

 

 

 

 

 

 

 

1,708,437

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

QHP Pharma, 10.25%, 3/15/15 (c)

 

USD

349

 

 

350,942

 

Building Products — 0.7%

 

 

 

 

 

 

 

Building Materials Corp. of America (c):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

700

 

 

759,500

 

6.75%, 5/01/21

 

 

1,580

 

 

1,718,250

 

Momentive Performance Materials, Inc.,
11.50%, 12/01/16

 

 

740

 

 

621,600

 

 

 

 

 

 

 

3,099,350

 

Capital Markets — 1.1%

 

 

 

 

 

 

 

American Capital Ltd., 7.96%, 12/31/13 (d)

 

 

1,100

 

 

1,120,394

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17

 

 

1,660

 

 

1,933,900

 

3.46%, 8/31/19 (c)(e)(f)

 

 

380

 

 

359,575

 

KKR Group Finance Co., 6.38%, 9/29/20 (c)

 

 

1,020

 

 

1,085,501

 

 

 

 

 

 

 

4,499,370

 

Chemicals — 3.8%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

 

1,400

 

 

1,365,000

 

Ashland, Inc., 9.13%, 6/01/17

 

 

670

 

 

752,075

 

Basell Finance Co. BV, 8.10%, 3/15/27 (c)

 

 

770

 

 

881,650

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

2,780

 

 

3,030,200

 

Chemtura Corp., 7.88%, 9/01/18

 

 

585

 

 

628,875

 

Hexion U.S. Finance Corp., 9.00%, 11/15/20

 

 

485

 

 

475,300

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

265

 

 

299,450

 

Ineos Finance Plc, 8.38%, 2/15/19 (c)

 

 

725

 

 

770,312

 


 

 

 

See Notes to Financial Statements.


44


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Chemicals (concluded)

 

 

 

 

 

 

 

Kinove German Bondco GmbH, 10.00%, 6/15/18

 

EUR

591

 

$

809,042

 

Kraton Polymers LLC, 6.75%, 3/01/19

 

USD

195

 

 

198,900

 

Lyondell Chemical Co., 11.00%, 5/01/18

 

 

4,232

 

 

4,639,715

 

LyondellBasell Industries NV, 6.00%, 11/15/21 (c)

 

 

250

 

 

274,375

 

Nexeo Solutions LLC, 8.38%, 3/01/18 (c)

 

 

290

 

 

290,000

 

PolyOne Corp., 7.38%, 9/15/20

 

 

335

 

 

360,963

 

Solutia, Inc., 7.88%, 3/15/20

 

 

955

 

 

1,119,737

 

TPC Group LLC, 8.25%, 10/01/17

 

 

520

 

 

548,600

 

 

 

 

 

 

 

16,444,194

 

Commercial Banks — 2.0%

 

 

 

 

 

 

 

CIT Group, Inc. (c):

 

 

 

 

 

 

 

7.00%, 5/02/16

 

 

3,305

 

 

3,309,131

 

7.00%, 5/02/17

 

 

4,165

 

 

4,170,206

 

5.50%, 2/15/19

 

 

930

 

 

949,763

 

 

 

 

 

 

 

8,429,100

 

Commercial Services & Supplies — 2.0%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15

 

 

510

 

 

562,917

 

Aviation Capital Group Corp., 6.75%, 4/06/21 (c)

 

 

840

 

 

832,641

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)

 

 

159

 

 

166,264

 

Brickman Group Holdings, Inc., 9.13%, 11/01/18 (c)

 

 

43

 

 

40,850

 

Casella Waste Systems, Inc., 7.75%, 2/15/19

 

 

1,016

 

 

1,010,920

 

Clean Harbors, Inc., 7.63%, 8/15/16

 

 

590

 

 

625,400

 

Iron Mountain, Inc., 7.75%, 10/01/19

 

 

640

 

 

707,200

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

570

 

 

598,500

 

RSC Equipment Rental, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/17 (c)

 

 

935

 

 

1,084,600

 

8.25%, 2/01/21

 

 

1,348

 

 

1,428,880

 

Verisure Holding AB:

 

 

 

 

 

 

 

8.75%, 9/01/18

 

EUR

385

 

 

518,065

 

8.75%, 12/01/18

 

 

139

 

 

164,819

 

WCA Waste Corp., 7.50%, 6/15/19 (c)

 

USD

520

 

 

526,500

 

West Corp., 8.63%, 10/01/18

 

 

210

 

 

230,475

 

 

 

 

 

 

 

8,498,031

 

Communications Equipment — 0.8%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

1,160

 

 

1,160,000

 

Frontier Communications Corp., 6.25%, 1/15/13

 

 

1,390

 

 

1,435,175

 

Hughes Satellite Systems Corp., 6.50%, 6/15/19

 

 

580

 

 

614,800

 

 

 

 

 

 

 

3,209,975

 

Computers & Peripherals — 0.1%

 

 

 

 

 

 

 

SanDisk Corp., 1.50%, 8/15/17 (f)

 

 

340

 

 

407,150

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Abengoa SA, 8.50%, 3/31/16

 

EUR

200

 

 

273,175

 

Boart Longyear Management Property Ltd.,
7.00%, 4/01/21 (c)

 

USD

300

 

 

315,750

 

 

 

 

 

 

 

588,925

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

Xefin Lux SCA:

 

 

 

 

 

 

 

8.00%, 6/01/18

 

EUR

210

 

 

281,182

 

8.00%, 6/01/18 (c)

 

 

393

 

 

526,211

 

 

 

 

 

 

 

807,393

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

USD

710

 

 

756,150

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.80%, 6/01/12

 

 

300

 

 

303,698

 

7.00%, 4/15/15

 

 

3,140

 

 

3,485,400

 

12.00%, 5/15/15

 

 

1,150

 

 

1,446,060

 

6.63%, 8/15/17

 

 

185

 

 

209,635

 

5.88%, 8/02/21

 

 

907

 

 

1,012,187

 

Springleaf Finance (FKA AGFS Funding Co.),
6.90%, 12/15/17

 

 

160

 

 

124,000

 

 

 

 

 

 

 

7,337,130

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Containers & Packaging — 1.3%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc:

 

 

 

 

 

 

 

7.38%, 10/15/17 (c)

 

USD

210

 

$

225,750

 

7.38%, 10/15/17

 

EUR

100

 

 

140,558

 

7.38%, 10/15/17 (c)

 

 

574

 

 

806,801

 

9.13%, 10/15/20 (c)

 

USD

615

 

 

634,987

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.42%, 9/15/14 (g)

 

 

465

 

 

445,238

 

8.25%, 11/15/15

 

 

185

 

 

198,875

 

9.75%, 1/15/21

 

 

560

 

 

599,200

 

GCL Holdings SCA, 9.38%, 4/15/18 (c)

 

EUR

414

 

 

492,278

 

Graphic Packaging International, Inc.,
7.88%, 10/01/18

 

USD

580

 

 

638,000

 

OI European Group BV, 6.88%, 3/31/17

 

EUR

254

 

 

351,940

 

Sealed Air Corp., 8.38%, 9/15/21 (c)

 

USD

395

 

 

452,275

 

Smurfit Kappa Acquisitions (c):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

52

 

 

74,129

 

7.75%, 11/15/19

 

 

449

 

 

644,563

 

 

 

 

 

 

 

5,704,594

 

Diversified Consumer Services — 1.5%

 

 

 

 

 

 

 

Service Corp. International, 7.00%, 6/15/17

 

USD

4,775

 

 

5,348,000

 

ServiceMaster Co., 8.00%, 2/15/20 (c)

 

 

1,020

 

 

1,076,100

 

 

 

 

 

 

 

6,424,100

 

Diversified Financial Services — 5.0%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

700

 

 

745,500

 

8.30%, 2/12/15

 

 

950

 

 

1,049,750

 

6.25%, 12/01/17

 

 

820

 

 

847,567

 

7.50%, 9/15/20

 

 

1,050

 

 

1,156,312

 

8.00%, 11/01/31

 

 

1,820

 

 

2,031,575

 

8.00%, 11/01/31

 

 

950

 

 

1,030,802

 

Axcan Intermediate Holdings, Inc., 12.75%,
3/01/16

 

 

577

 

 

615,226

 

Boparan Holdings Ltd. (c):

 

 

 

 

 

 

 

9.75%, 4/30/18

 

EUR

166

 

 

217,623

 

9.88%, 4/30/18

 

GBP

225

 

 

352,583

 

DPL, Inc., 7.25%, 10/15/21 (c)

 

USD

1,230

 

 

1,402,200

 

FCE Bank Plc, 4.75%, 1/19/15

 

EUR

1,793

 

 

2,448,509

 

General Motors Financial Co., Inc., 6.75%,
6/01/18

 

USD

460

 

 

496,413

 

Leucadia National Corp., 8.13%, 9/15/15

 

 

1,232

 

 

1,370,600

 

Reynolds Group Issuer, Inc. (c):

 

 

 

 

 

 

 

8.75%, 10/15/16

 

 

941

 

 

1,002,165

 

8.75%, 10/15/16 (h)

 

EUR

385

 

 

544,994

 

8.75%, 10/15/16

 

 

756

 

 

1,070,170

 

7.13%, 4/15/19

 

USD

385

 

 

407,138

 

7.88%, 8/15/19

 

 

1,645

 

 

1,801,275

 

9.88%, 8/15/19

 

 

1,695

 

 

1,752,206

 

WMG Acquisition Corp. (c):

 

 

 

 

 

 

 

9.50%, 6/15/16

 

 

190

 

 

209,950

 

11.50%, 10/01/18

 

 

910

 

 

966,875

 

 

 

 

 

 

 

21,519,433

 

Diversified Telecommunication Services — 3.3%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%,
9/01/12

 

 

1,680

 

 

1,507,800

 

GCI, Inc., 6.75%, 6/01/21

 

 

444

 

 

449,550

 

ITC Deltacom, Inc., 10.50%, 4/01/16

 

 

440

 

 

458,700

 

Level 3 Escrow, Inc., 8.13%, 7/01/19 (c)

 

 

3,737

 

 

3,914,507

 

Level 3 Financing, Inc., 8.63%, 7/15/20 (c)

 

 

1,660

 

 

1,772,050

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

2,100

 

 

2,107,350

 

8.00%, 10/01/15

 

 

1,010

 

 

1,084,172

 


 

 

 

 

See Notes to Financial Statements.

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


45




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Telecommunication Services
(concluded)

 

 

 

 

 

 

 

Qwest Corp., 7.63%, 6/15/15

 

USD

875

 

$

995,389

 

Videotron Ltee, 5.00%, 7/15/22 (c)

 

 

230

 

 

230,575

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

703

 

 

753,968

 

7.88%, 11/01/17

 

 

627

 

 

706,943

 

 

 

 

 

 

 

13,981,004

 

Electric Utilities — 0.8%

 

 

 

 

 

 

 

The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14

 

EUR

2,600

 

 

3,237,088

 

Electronic Equipment, Instruments &
Components — 0.2%

 

 

 

 

 

 

 

Elster Finance BV, 6.25%, 4/15/18 (c)

 

 

173

 

 

233,715

 

Jabil Circuit, Inc., 8.25%, 3/15/18

 

USD

365

 

 

434,350

 

NXP BV/NXP Funding LLC, 9.75%, 8/01/18 (c)

 

 

310

 

 

350,687

 

 

 

 

 

 

 

1,018,752

 

Energy Equipment & Services — 3.2%

 

 

 

 

 

 

 

Antero Resources Finance Corp., 7.25%,
8/01/19 (c)

 

 

260

 

 

274,300

 

Atwood Oceanics, Inc., 6.50%, 2/01/20

 

 

215

 

 

226,288

 

Calfrac Holdings LP, 7.50%, 12/01/20 (c)

 

 

610

 

 

610,000

 

Compagnie Générale de Géophysique-Veritas,
7.75%, 5/15/17

 

 

395

 

 

411,294

 

Forbes Energy Services Ltd., 9.00%, 6/15/19

 

 

555

 

 

546,675

 

Frac Tech Services LLC, 7.63%, 11/15/18 (c)

 

 

2,730

 

 

2,914,275

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

700

 

 

733,250

 

MEG Energy Corp., 6.50%, 3/15/21 (c)

 

 

1,530

 

 

1,637,100

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

495

 

 

532,125

 

Peabody Energy Corp., 6.25%, 11/15/21 (c)

 

 

4,070

 

 

4,263,325

 

Transocean, Inc., 6.38%, 12/15/21

 

 

1,170

 

 

1,380,775

 

 

 

 

 

 

 

13,529,407

 

Food Products — 0.2%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

 

375

 

 

421,875

 

Post Holdings, Inc., 7.38%, 2/15/22 (c)

 

 

350

 

 

372,750

 

 

 

 

 

 

 

794,625

 

Health Care Equipment & Supplies — 2.2%

 

 

 

 

 

 

 

Biomet, Inc.:

 

 

 

 

 

 

 

10.00%, 10/15/17

 

 

300

 

 

325,875

 

10.38%, 10/15/17 (i)

 

 

2,240

 

 

2,438,800

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

3,595

 

 

3,657,912

 

7.75%, 4/15/18

 

 

160

 

 

137,600

 

Fresenius Medical Care US Finance II, Inc., 5.88%,
1/31/22 (c)

 

 

1,010

 

 

1,065,550

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (c)

 

 

324

 

 

358,830

 

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (c)

 

 

850

 

 

981,750

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

455

 

 

490,263

 

 

 

 

 

 

 

9,456,580

 

Health Care Providers & Services — 5.4%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

640

 

 

654,400

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (c)

 

EUR

694

 

 

959,289

 

Crown Newco 3 Plc, 7.00%, 2/15/18 (c)

 

GBP

575

 

 

902,189

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

USD

205

 

 

229,600

 

6.50%, 2/15/20

 

 

3,100

 

 

3,324,750

 

7.88%, 2/15/20

 

 

145

 

 

159,863

 

7.25%, 9/15/20

 

 

4,020

 

 

4,381,800

 

5.88%, 3/15/22

 

 

425

 

 

435,625

 

Health Management Associates, Inc., 7.38%,
1/15/20 (c)

 

 

1,460

 

 

1,522,050

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

1,170

 

 

1,117,350

 

INC Research LLC, 11.50%, 7/15/19 (c)

 

 

640

 

 

614,400

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Providers & Services (concluded)

 

 

 

 

 

 

 

inVentiv Health, Inc., 10.00%, 8/15/18 (c)

 

USD

200

 

$

182,000

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

1,520

 

 

1,692,900

 

PSS World Medical, Inc., 6.38%, 3/01/22 (c)

 

 

450

 

 

468,000

 

Symbion, Inc., 8.00%, 6/15/16

 

 

535

 

 

516,275

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

1,270

 

 

1,479,550

 

6.25%, 11/01/18 (c)

 

 

510

 

 

543,787

 

8.88%, 7/01/19

 

 

3,360

 

 

3,830,400

 

 

 

 

 

 

 

23,014,228

 

Health Care Technology — 1.0%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (c)

 

 

3,760

 

 

4,474,400

 

Hotels, Restaurants & Leisure — 2.6%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

535

 

 

585,825

 

10.00%, 12/15/18

 

 

2,265

 

 

1,749,712

 

Caesars Operating Escrow, LLC., 8.50%,
2/15/20 (c)

 

 

1,105

 

 

1,127,100

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

 

1,860

 

 

1,962,300

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (c)

 

 

210

 

 

200,025

 

Enterprise Inns Plc, 6.50%, 12/06/18

 

GBP

501

 

 

645,603

 

Little Traverse Bay Bands of Odawa Indians,
9.00%, 8/31/20 (c)

 

USD

441

 

 

388,080

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

415

 

 

472,063

 

4.25%, 4/15/15 (f)

 

 

830

 

 

890,175

 

11.13%, 11/15/17

 

 

2,210

 

 

2,513,875

 

Travelport LLC:

 

 

 

 

 

 

 

5.15%, 9/01/14 (g)

 

 

235

 

 

120,438

 

9.88%, 9/01/14

 

 

50

 

 

28,625

 

9.00%, 3/01/16

 

 

190

 

 

100,700

 

6.58%, 12/01/16 (c)(g)(i)

 

 

627

 

 

442,069

 

Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (a)(j)

 

 

515

 

 

 

 

 

 

 

 

 

11,226,590

 

Household Durables — 1.5%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17

 

 

2,080

 

 

2,267,200

 

Jarden Corp., 7.50%, 1/15/20

 

EUR

455

 

 

612,258

 

Ryland Group, Inc., 6.63%, 5/01/20

 

USD

525

 

 

535,500

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

 

2,355

 

 

2,705,306

 

8.38%, 1/15/21

 

 

455

 

 

483,438

 

 

 

 

 

 

 

6,603,702

 

Household Products — 0.5%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (c)

 

EUR

220

 

 

269,657

 

Spectrum Brands Holdings, Inc.:

 

 

 

 

 

 

 

9.50%, 6/15/18

 

USD

560

 

 

638,400

 

9.50%, 6/15/18 (c)

 

 

910

 

 

1,037,400

 

 

 

 

 

 

 

1,945,457

 

Independent Power Producers &
Energy Traders — 2.9%

 

 

 

 

 

 

 

AES Corp., 7.38%, 7/01/21 (c)

 

 

1,010

 

 

1,151,400

 

Calpine Corp. (c):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

275

 

 

291,500

 

7.50%, 2/15/21

 

 

160

 

 

173,600

 

7.88%, 1/15/23

 

 

435

 

 

474,150

 

Energy Future Holdings Corp., 10.00%, 1/15/20

 

 

4,870

 

 

5,265,687

 

Energy Future Intermediate Holding Co. LLC:

 

 

 

 

 

 

 

10.00%, 12/01/20

 

 

1,486

 

 

1,614,168

 

11.75%, 3/01/22 (c)

 

 

2,210

 

 

2,265,250

 

Laredo Petroleum, Inc., 9.50%, 2/15/19

 

 

790

 

 

870,975

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

513

 

 

518,130

 

 

 

 

 

 

 

12,624,860

 


 

 

 

See Notes to Financial Statements.


46


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Industrial Conglomerates — 2.5%

 

 

 

 

 

 

 

Sequa Corp. (c):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

USD

3,810

 

$

4,048,125

 

13.50%, 12/01/15

 

 

6,236

 

 

6,657,050

 

 

 

 

 

 

 

10,705,175

 

Insurance — 1.2%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11.00%, 5/01/15 (c)(k)

 

 

2,600

 

 

2,733,250

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (c)

 

 

573

 

 

616,691

 

Genworth Financial, Inc.:

 

 

 

 

 

 

 

7.63%, 9/24/21

 

 

660

 

 

684,766

 

6.15%, 11/15/66 (g)

 

 

1,335

 

 

916,144

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)

 

 

395

 

 

352,537

 

 

 

 

 

 

 

5,303,388

 

IT Services — 1.7%

 

 

 

 

 

 

 

Eagle Parent Canada, Inc., 8.63%, 5/01/19 (c)

 

 

860

 

 

890,100

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (c)

 

 

300

 

 

303,375

 

8.88%, 8/15/20 (c)

 

 

830

 

 

898,475

 

8.25%, 1/15/21 (c)

 

 

1,000

 

 

967,500

 

12.63%, 1/15/21

 

 

2,260

 

 

2,373,000

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

680

 

 

731,000

 

7.63%, 11/15/20

 

 

930

 

 

1,004,400

 

 

 

 

 

 

 

7,167,850

 

Machinery — 0.8%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (f)

 

 

511

 

 

575,514

 

8.25%, 11/01/21

 

 

188

 

 

205,625

 

SPX Corp., 6.88%, 9/01/17

 

 

275

 

 

305,250

 

UR Financing Escrow Corp. (c)(l):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

398

 

 

408,945

 

7.38%, 5/15/20

 

 

540

 

 

554,175

 

7.63%, 4/15/22

 

 

1,289

 

 

1,334,115

 

 

 

 

 

 

 

3,383,624

 

Media — 14.4%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

1,260

 

 

1,127,700

 

AMC Networks, Inc., 7.75%, 7/15/21 (c)

 

 

350

 

 

390,250

 

CCH II LLC, 13.50%, 11/30/16

 

 

5,116

 

 

5,883,844

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

160

 

 

174,800

 

7.38%, 6/01/20

 

 

410

 

 

451,000

 

6.50%, 4/30/21

 

 

755

 

 

802,187

 

Checkout Holding Corp., 10.96%, 11/15/15 (c)(e)

 

 

1,040

 

 

468,000

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

390

 

 

433,875

 

Clear Channel Communications, Inc., 9.00%,
3/01/21

 

 

845

 

 

777,400

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

2,323

 

 

2,543,685

 

7.63%, 3/15/20 (c)

 

 

1,625

 

 

1,625,000

 

Series B, 9.25%, 12/15/17

 

 

9,551

 

 

10,506,100

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 4.00%, 8/15/18

 

 

1,060

 

 

1,075,390

 

Loan Close 3, 4.00%, 8/15/18

 

 

1,212

 

 

1,229,480

 

Shares Loan, 4.00%, 8/15/18

 

 

1,250

 

 

1,268,025

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

550

 

 

610,500

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13

 

 

150

 

 

161,063

 

6.75%, 6/01/21

 

 

630

 

 

699,300

 

Gray Television, Inc., 10.50%, 6/29/15

 

 

1,425

 

 

1,505,156

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (g)

 

 

550

 

 

375,375

 

9.50%, 5/15/15

 

 

490

 

 

385,875

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

USD

2,370

 

$

2,506,275

 

11.25%, 2/04/17

 

 

560

 

 

577,500

 

11.50%, 2/04/17 (i)

 

 

2,070

 

 

2,132,100

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

2,080

 

 

2,345,200

 

The Interpublic Group of Cos., Inc., 10.00%,
7/15/17

 

 

525

 

 

601,125

 

Kabel BW Erste Beteiligungs GmbH, 7.50%,
3/15/19 (c)

 

EUR

1,037

 

 

1,478,306

 

Kabel Deutschland Vertrieb und Service GmbH &
Co. KG, 6.50%, 6/29/18 (c)

 

 

530

 

 

745,018

 

Lamar Media Corp., 5.88%, 2/01/22 (c)

 

USD

310

 

 

323,563

 

Live Nation Entertainment, Inc., 8.13%,
5/15/18 (c)

 

 

1,170

 

 

1,244,587

 

Musketeer GmbH, 9.50%, 3/15/21 (c)

 

EUR

548

 

 

788,508

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (c)

 

USD

1,015

 

 

1,116,500

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

147

 

 

170,888

 

7.75%, 10/15/18

 

 

3,425

 

 

3,810,312

 

Odeon & UCI Finco Plc, 9.00%, 8/01/18 (c)

 

GBP

324

 

 

509,008

 

ProQuest LLC, 9.00%, 10/15/18 (c)

 

USD

775

 

 

685,875

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

244

 

 

351,088

 

9.63%, 12/01/19 (c)

 

 

900

 

 

1,294,995

 

Unitymedia Hessen GmbH & Co. KG
(FKA UPC Germany GmbH):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

 

120

 

 

171,867

 

8.13%, 12/01/17 (c)

 

USD

885

 

 

960,225

 

8.13%, 12/01/17

 

EUR

701

 

 

1,003,988

 

UPC Holding BV, 9.88%, 4/15/18 (c)

 

USD

640

 

 

710,400

 

UPCB Finance II Ltd.:

 

 

 

 

 

 

 

6.38%, 7/01/20 (c)

 

EUR

1,273

 

 

1,687,537

 

6.38%, 7/01/20

 

 

514

 

 

681,378

 

Virgin Media Secured Finance Plc, 7.00%,
1/15/18

 

GBP

495

 

 

850,495

 

Ziggo Bond Co. BV, 8.00%, 5/15/18

 

EUR

610

 

 

859,433

 

Ziggo Finance BV, 6.13%, 11/15/17 (c)

 

 

1,136

 

 

1,570,248

 

 

 

 

 

 

 

61,670,424

 

Metals & Mining — 3.1%

 

 

 

 

 

 

 

Goldcorp, Inc., 2.00%, 8/01/14 (f)

 

USD

1,650

 

 

2,091,375

 

New World Resources NV, 7.88%, 5/01/18

 

EUR

1,055

 

 

1,426,660

 

Newmont Mining Corp., Series A, 1.25%,
7/15/14 (f)

 

USD

2,275

 

 

3,139,500

 

Novelis, Inc., 8.75%, 12/15/20

 

 

5,140

 

 

5,731,100

 

Taseko Mines Ltd., 7.75%, 4/15/19

 

 

650

 

 

624,000

 

Vedanta Resources Plc, 8.25%, 6/07/21 (c)

 

 

435

 

 

401,287

 

 

 

 

 

 

 

13,413,922

 

Multiline Retail — 1.7%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%, 7/15/17 (g)

 

 

6,753

 

 

7,411,485

 

Oil, Gas & Consumable Fuels — 10.7%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc., 6.25%, 6/01/21

 

 

625

 

 

606,250

 

Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (c)

 

 

660

 

 

679,800

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

800

 

 

834,000

 

Bill Barrett Corp., 9.88%, 7/15/16

 

 

35

 

 

38,675

 

BreitBurn Energy Partners LP, 7.88%, 4/15/22 (c)

 

 

400

 

 

419,000

 

Carrizo Oil & Gas, Inc., 8.63%, 10/15/18

 

 

200

 

 

208,000

 

Chesapeake Midstream Partners LP, 6.13%,
7/15/22 (c)

 

 

425

 

 

439,875

 

Chesapeake Oilfield Operating LLC, 6.63%,
11/15/19 (c)

 

 

80

 

 

81,600

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (c)

 

 

414

 

 

442,980

 

Concho Resources, Inc., 7.00%, 1/15/21

 

 

635

 

 

714,375

 

Consol Energy, Inc., 8.25%, 4/01/20

 

 

3,050

 

 

3,324,500

 

Continental Resources, Inc., 7.13%, 4/01/21

 

 

575

 

 

638,250

 


 

 

 

 

See Notes to Financial Statements.

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


47




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Copano Energy LLC, 7.13%, 4/01/21

 

USD

520

 

$

551,200

 

Crosstex Energy LP, 8.88%, 2/15/18

 

 

280

 

 

303,800

 

Crown Oil Partners IV LP, 15.00%, 3/07/15

 

 

911

 

 

910,654

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

1,000

 

 

1,140,000

 

6.38%, 8/15/21

 

 

540

 

 

595,350

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

860

 

 

952,450

 

7.75%, 6/15/19

 

 

1,390

 

 

1,466,450

 

EV Energy Partners LP, 8.00%, 4/15/19

 

 

220

 

 

231,000

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (c)

 

 

1,165

 

 

1,269,850

 

Holly Energy Partners LP, 6.50%, 3/01/20 (c)

 

 

245

 

 

250,206

 

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (c)

 

 

505

 

 

540,350

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (c)

 

 

145

 

 

147,900

 

6.25%, 11/01/19 (c)

 

 

2,805

 

 

2,801,494

 

8.63%, 4/15/20

 

 

345

 

 

382,950

 

7.75%, 2/01/21

 

 

320

 

 

344,000

 

MarkWest Energy Partners LP, 6.75%, 11/01/20

 

 

205

 

 

223,963

 

Newfield Exploration Co., 6.88%, 2/01/20

 

 

1,455

 

 

1,571,400

 

Niska Gas Storage US LLC, 8.88%, 3/15/18

 

 

890

 

 

854,400

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

510

 

 

540,600

 

6.50%, 11/01/21

 

 

450

 

 

463,500

 

OGX Petroleo e Gas Participações SA, 8.50%,
6/01/18 (c)

 

 

7,500

 

 

7,818,750

 

PBF Holding Co. LLC, 8.25%, 2/15/20 (c)

 

 

530

 

 

530,000

 

PetroBakken Energy Ltd., 8.63%, 2/01/20 (c)

 

 

1,345

 

 

1,429,062

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

595

 

 

661,194

 

7.88%, 6/01/15

 

 

680

 

 

718,250

 

7.25%, 8/15/18

 

 

495

 

 

566,156

 

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (c)

 

 

690

 

 

724,500

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

715

 

 

839,890

 

7.50%, 1/15/20

 

 

225

 

 

278,048

 

Plains Exploration & Production Co.:

 

 

 

 

 

 

 

6.63%, 5/01/21

 

 

1,245

 

 

1,344,600

 

6.75%, 2/01/22

 

 

800

 

 

876,000

 

Precision Drilling Corp., 6.50%, 12/15/21 (c)

 

 

460

 

 

491,050

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

600

 

 

669,000

 

5.75%, 6/01/21

 

 

1,520

 

 

1,626,400

 

5.00%, 8/15/22 (l)

 

 

644

 

 

650,440

 

Ruby Pipeline LLC, 6.00%, 4/01/22 (c)

 

 

605

 

 

603,787

 

Samson Investment Co., 9.75%, 2/15/20 (c)

 

 

1,030

 

 

1,084,075

 

SandRidge Energy, Inc., 7.50%, 3/15/21

 

 

710

 

 

717,100

 

SM Energy Co., 6.63%, 2/15/19

 

 

205

 

 

219,863

 

 

 

 

 

 

 

45,816,987

 

Paper & Forest Products — 2.5%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (c)(i)

 

 

1,927

 

 

1,407,001

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

680

 

 

748,000

 

8.00%, 4/01/20

 

 

240

 

 

263,400

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

625

 

 

710,156

 

7.13%, 11/01/18

 

 

885

 

 

942,525

 

Georgia-Pacific LLC, 8.25%, 5/01/16 (c)

 

 

2,570

 

 

2,847,115

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (c)

 

 

535

 

 

549,713

 

NewPage Corp., 11.38%, 12/31/14 (a)(j)

 

 

3,350

 

 

2,018,375

 

Sappi Papier Holding GmbH, 6.63%, 4/15/21 (c)

 

 

200

 

 

187,500

 

Verso Paper Holdings LLC, 11.50%, 7/01/14

 

 

1,202

 

 

1,226,040

 

 

 

 

 

 

 

10,899,825

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Pharmaceuticals — 0.6%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA:

 

 

 

 

 

 

 

9.88%, 8/01/19

 

EUR

105

 

$

150,383

 

9.88%, 8/01/19 (c)

 

 

300

 

 

429,667

 

Jaguar Holding Co. II, 9.50%, 12/01/19 (c)

 

USD

650

 

 

710,937

 

Valeant Pharmaceuticals International, 6.50%,
7/15/16 (c)

 

 

1,310

 

 

1,336,200

 

 

 

 

 

 

 

2,627,187

 

Professional Services — 0.4%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20

 

 

1,450

 

 

1,567,813

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

 

2,170

 

 

2,218,825

 

The Rouse Co. LP, 6.75%, 11/09/15

 

 

805

 

 

842,231

 

 

 

 

 

 

 

3,061,056

 

Real Estate Management & Development — 2.4%

 

 

 

 

 

 

 

CBRE Services, Inc., 6.63%, 10/15/20

 

 

520

 

 

552,500

 

Forest City Enterprises, Inc., 7.63%, 6/01/15

 

 

2,300

 

 

2,265,500

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

605

 

 

553,575

 

12.00%, 4/15/17

 

 

155

 

 

142,600

 

7.88%, 2/15/19 (c)

 

 

3,645

 

 

3,535,650

 

7.63%, 1/15/20 (c)

 

 

785

 

 

810,513

 

9.00%, 1/15/20 (c)

 

 

560

 

 

562,800

 

Shea Homes LP, 8.63%, 5/15/19 (c)

 

 

1,885

 

 

1,903,850

 

 

 

 

 

 

 

10,326,988

 

Road & Rail — 1.6%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 8.25%, 1/15/19

 

 

200

 

 

208,500

 

Florida East Coast Railway Corp., 8.13%, 2/01/17

 

 

650

 

 

656,500

 

Hertz Holdings Netherlands BV:

 

 

 

 

 

 

 

8.50%, 7/31/15

 

EUR

295

 

 

424,471

 

8.50%, 7/31/15 (c)

 

 

2,080

 

 

2,992,878

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

USD

1,005

 

 

1,084,144

 

6.75%, 4/15/19 (c)

 

 

450

 

 

471,375

 

6.75%, 4/15/19

 

 

175

 

 

183,312

 

7.38%, 1/15/21

 

 

765

 

 

828,112

 

 

 

 

 

 

 

6,849,292

 

Semiconductors & Semiconductor
Equipment — 0.2%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17

 

 

890

 

 

874,425

 

Software — 0.2%

 

 

 

 

 

 

 

Sophia LP, 9.75%, 1/15/19 (c)

 

 

666

 

 

715,950

 

Specialty Retail — 2.4%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 8.38%, 11/15/20

 

 

565

 

 

605,962

 

Hillman Group, Inc., 10.88%, 6/01/18

 

 

830

 

 

869,425

 

House of Fraser Funding Plc:

 

 

 

 

 

 

 

8.88%, 8/15/18 (c)

 

GBP

439

 

 

625,073

 

8.88%, 8/15/18

 

 

222

 

 

316,096

 

Limited Brands, Inc.:

 

 

 

 

 

 

 

8.50%, 6/15/19

 

USD

1,255

 

 

1,499,725

 

5.63%, 2/15/22

 

 

250

 

 

257,500

 

Phones4u Finance Plc, 9.50%, 4/01/18 (c)

 

GBP

570

 

 

795,728

 

QVC, Inc. (c):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

355

 

 

381,625

 

7.50%, 10/01/19

 

 

970

 

 

1,076,700

 

7.38%, 10/15/20

 

 

455

 

 

503,912

 

Sally Holdings LLC, 6.88%, 11/15/19 (c)

 

 

840

 

 

903,000

 

Sonic Automotive, Inc., 9.00%, 3/15/18

 

 

580

 

 

630,750

 

Toys ‘R’ US-Delaware, Inc., 7.38%, 9/01/16 (c)

 

 

195

 

 

200,363

 

United Auto Group, Inc., 7.75%, 12/15/16

 

 

1,670

 

 

1,740,992

 

 

 

 

 

 

 

10,406,851

 


 

 

 

See Notes to Financial Statements.


48


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Transportation Infrastructure — 0.2%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (c)

 

USD

665

 

$

699,081

 

Wireless Telecommunication Services — 5.2%

 

 

 

 

 

 

 

Cricket Communications, Inc., 7.75%, 5/15/16

 

 

830

 

 

883,950

 

Digicel Group Ltd. (c):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

1,120

 

 

1,139,600

 

9.13%, 1/15/15

 

 

2,864

 

 

2,921,280

 

8.25%, 9/01/17

 

 

1,720

 

 

1,823,200

 

10.50%, 4/15/18

 

 

800

 

 

872,000

 

iPCS, Inc., 2.67%, 5/01/13 (g)

 

 

1,585

 

 

1,525,563

 

Matterhorn Mobile Holdings SA, 8.25%, 2/15/20

 

EUR

400

 

 

548,907

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

USD

1,690

 

 

1,740,700

 

NII Capital Corp., 7.63%, 4/01/21

 

 

1,039

 

 

1,062,378

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

3,680

 

 

2,870,400

 

Sprint Nextel Corp. (c):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

3,410

 

 

3,802,150

 

7.00%, 3/01/20

 

 

3,110

 

 

3,160,537

 

 

 

 

 

 

 

22,350,665

 

Total Corporate Bonds — 101.6%

 

 

 

 

 

435,638,644

 


 

 

 

 

 

 

 

 


Floating Rate Loan Interests (g)

 

 

 

 

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit New Term Loan B,
5.50%, 4/20/17

 

 

866

 

 

845,602

 

Auto Components — 0.2%

 

 

 

 

 

 

 

Schaeffler AG, Term Loan C2, 5.29%, 1/27/17

 

 

765

 

 

767,234

 

Building Products — 0.2%

 

 

 

 

 

 

 

Goodman Global, Inc., Term Loan (Second Lien),
9.00%, 10/30/17

 

 

764

 

 

775,572

 

Capital Markets — 0.4%

 

 

 

 

 

 

 

Nuveen Investments, Inc., Incremental Term Loan,
(First Lien):

 

 

 

 

 

 

 

7.25%, 5/13/17

 

 

1,045

 

 

1,052,315

 

7.25%, 3/14/19

 

 

640

 

 

645,600

 

 

 

 

 

 

 

1,697,915

 

Chemicals — 0.2%

 

 

 

 

 

 

 

PQ Corp. (FKA Niagara Acquisition, Inc.),
Term Loan B (First Lien), 3.50%, 7/30/14

 

 

325

 

 

316,857

 

Styron Sarl LLC, Term Loan B, 6.00% – 6.75%,
8/02/17

 

 

677

 

 

610,763

 

 

 

 

 

 

 

927,620

 

Commercial Services & Supplies — 0.8%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

 

776

 

 

773,436

 

Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16

 

 

975

 

 

976,043

 

Volume Services America, Inc. (FKA Centerplate),
Term Loan B, 10.50% – 10.75%, 9/16/16

 

 

1,580

 

 

1,586,589

 

 

 

 

 

 

 

3,336,068

 

Communications Equipment — 0.1%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B1, 3.24%, 10/24/14

 

 

305

 

 

298,433

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Safway Services LLC, Mezzanine Loan, 15.63%,
12/16/17

 

 

3,250

 

 

3,250,000

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

Springleaf Finance Corp. (FKA AGFS Funding Co.),
Term Loan, 5.50%, 5/10/17

 

 

7,825

 

 

7,133,348

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

Par
(000)

 

Value

 

Diversified Consumer Services — 0.0%

 

 

 

 

 

 

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.75%, 7/24/14

 

USD

13

 

$

12,907

 

Term Loan, 2.77% – 3.03%, 7/24/14

 

 

131

 

 

129,603

 

 

 

 

 

 

 

142,510

 

Diversified Telecommunication Services — 0.5%

 

 

 

 

 

 

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Term Loan B, 5.75%, 8/31/18

 

 

1,300

 

 

1,308,944

 

Tranche A Term Loan, 2.50% – 2.83%, 3/13/14

 

 

775

 

 

762,212

 

 

 

 

 

 

 

2,071,156

 

Electronic Equipment, Instruments & Components — 0.1%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.):

 

 

 

 

 

 

 

Term Loan, 3.75%, 10/10/14

 

 

163

 

 

162,789

 

Term Loan, 4.00%, 7/14/17

 

 

435

 

 

425,134

 

 

 

 

 

 

 

587,923

 

Energy Equipment & Services — 2.2%

 

 

 

 

 

 

 

CCS Corp., Incremental Term Loan, 5.62%,
10/17/14

 

 

425

 

 

425,425

 

Dynegy Midwest Generation LLC, Coal Co. Term Loan,
9.25%, 8/04/16

 

 

3,084

 

 

3,066,606

 

Dynegy Power LLC., Gas Co. Term Loan, 9.25%,
8/04/16

 

 

5,644

 

 

5,821,979

 

 

 

 

 

 

 

9,314,010

 

Food & Staples Retailing — 0.1%

 

 

 

 

 

 

 

US Foodservice, Inc., Term Loan B, 2.74%, 7/03/14

 

 

265

 

 

255,725

 

Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan (Second Lien),
11.25%, 9/29/17

 

 

1,300

 

 

1,301,079

 

Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19

 

 

1,180

 

 

1,179,268

 

Health Care Providers & Services — 0.7%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Term Loan A, 8.50%, 3/02/15

 

 

574

 

 

562,318

 

Tranche A Additional Term Loan, 7.75%, 3/02/15

 

 

741

 

 

726,282

 

Health Management Associates, Inc., Term Loan B,
4.50%, 11/16/18

 

 

610

 

 

606,035

 

inVentiv Health, Inc., Combined Term Loan, 6.50%,
8/04/16

 

 

1,237

 

 

1,189,088

 

 

 

 

 

 

 

3,083,723

 

Hotels, Restaurants & Leisure — 1.3%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 3.24% – 3.58%, 1/28/15

 

 

3,252

 

 

3,047,233

 

Term Loan B-4, 9.50%, 10/31/16

 

 

755

 

 

776,623

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.56% – 2.79%, 6/14/13

 

 

15

 

 

14,448

 

Term Loan B, 2.56%, 6/14/14

 

 

150

 

 

146,561

 

Station Casinos, Inc., Term Loan B1, 3.24%,
6/17/16

 

 

1,625

 

 

1,465,214

 

Travelport LLC (FKA Travelport, Inc.):

 

 

 

 

 

 

 

Extended Tranche A Term Loan, 6.54%, 9/28/12

 

 

289

 

 

137,097

 

Extended Tranche B Term Loan, 14.04%,
12/01/16

 

 

897

 

 

201,771

 

 

 

 

 

 

 

5,788,947

 

Independent Power Producers & Energy Traders — 0.1%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co. LLC
(FKA TXU), Extended Term Loan, 4.76%, 10/10/17

 

 

1,156

 

 

645,008

 

Industrial Conglomerates — 0.2%

 

 

 

 

 

 

 

Sequa Corp., Incremental Term Loan, 6.25%,
12/03/14

 

 

680

 

 

682,264

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

49




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

Par
(000)

 

Value

 

IT Services — 0.2%

 

 

 

 

 

 

 

First Data Corp., Extended Term Loan B, 4.24%,
3/23/18

 

USD

1,220

 

$

1,094,755

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/20/13

 

 

910

 

 

921,093

 

Media — 5.2%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc.
(FKA Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.49%, 7/03/14

 

 

500

 

 

464,000

 

Tranche 1 Incremental Term Loan, 7.50%,
7/03/14

 

 

2,654

 

 

2,567,503

 

Cequel Communications LLC, Term Loan B, 4.00%,
2/11/19

 

 

865

 

 

856,151

 

Clear Channel Communications:

 

 

 

 

 

 

 

Term Loan B, 3.89%, 1/28/16

 

 

3,325

 

 

2,728,805

 

Term Loan C, 3.89%, 1/28/16

 

 

608

 

 

481,504

 

HMH Publishing Co. Ltd., Tranche A Term Loan,
6.51%, 6/12/14

 

 

1,420

 

 

877,796

 

Intelsat Jackson Holdings SA (FKA Intelsat Jackson
Holdings, Ltd), Tranche B Term Loan, 5.25%,
4/02/18

 

 

11,215

 

 

11,196,184

 

Interactive Data Corp., Term Loan B, 4.50%,
2/12/18

 

 

80

 

 

79,820

 

Newsday LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

2,450

 

 

2,520,438

 

Univision Communications, Inc., Extended First Lien
Term Loan, 4.52%, 3/31/17

 

 

520

 

 

482,898

 

 

 

 

 

 

 

22,255,099

 

Multiline Retail — 0.4%

 

 

 

 

 

 

 

HEMA Holding BV, Mezzanine, 9.19%, 7/05/17 (i)

 

EUR

1,688

 

 

1,720,670

 

Oil, Gas & Consumable Fuels — 0.6%

 

 

 

 

 

 

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15

 

USD

2,572

 

 

2,584,634

 

Paper & Forest Products — 0.5%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

950

 

 

957,125

 

Verso Paper Finance Holdings LLC, Term Loan,
6.79% – 7.54%, 2/01/13 (i)

 

 

2,236

 

 

1,117,797

 

 

 

 

 

 

 

2,074,922

 

Pharmaceuticals — 0.5%

 

 

 

 

 

 

 

Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17

 

 

1,485

 

 

1,472,377

 

Pharmaceutical Products Development, Inc.,
Term Loan B, 9.50%, 12/05/18

 

 

610

 

 

615,338

 

 

 

 

 

 

 

2,087,715

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien),
5.00%, 6/28/13

 

 

2,627

 

 

2,614,694

 

Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Letter of Credit, 4.53%, 10/10/16

 

 

166

 

 

154,404

 

Extended Term Loan, 4.77%, 10/10/16

 

 

1,173

 

 

1,088,344

 

 

 

 

 

 

 

1,242,748

 

Semiconductors &
Semiconductor Equipment — 0.0%

 

 

 

 

 

 

 

NXP BV, Term Loan A-2, 5.50%, 3/03/17

 

 

105

 

 

104,213

 

Software — 0.2%

 

 

 

 

 

 

 

Infor Enterprise Solutions Holdings, Inc.:

 

 

 

 

 

 

 

Extended Delayed Draw Term Loan, 6.29%,
7/28/15

 

 

245

 

 

239,042

 

Extended Initial Term Loan, 6.29%, 7/28/15

 

 

460

 

 

450,095

 

 

 

 

 

 

 

689,137

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 


Par
(000)

 

Value

 

Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 2.99% – 3.30%,
5/29/14

 

USD

816

 

$

772,527

 

Wireless Telecommunication Services — 1.0%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/25/19

 

 

325

 

 

323,521

 

Vodafone Americas Finance 2, Inc., Term Loan B,
6.25%, 7/11/16 (i)

 

 

4,022

 

 

4,011,821

 

 

 

 

 

 

 

4,335,342

 

Total Floating Rate Loan Interests — 20.2%

 

 

 

 

 

86,580,954

 


 

 

 

 

 

 

 

 

 

Other Interests (m)

 

Beneficial
Interest
(000)

 

 

 

 

Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc., Litigation Trust Certificate

 

 

4,870

 

 

49

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc. (a)

 

 

950

 

 

9

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow (a)

 

 

1,300

 

 

13

 

Adelphia Recovery Trust (a)

 

 

1,630

 

 

163

 

 

 

 

 

 

 

176

 

Total Other Interests — 0.0%

 

 

 

 

 

234

 


 

 

 

 

 

 

 

 


Preferred Securities

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Auto Components — 0.4%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (c)(f)

 

 

12,760

 

 

1,717,815

 

Diversified Financial Services — 1.0%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (c)

 

 

5,245

 

 

4,551,021

 

Thrifts & Mortgage Finance — 0.1%

 

 

 

 

 

 

 

Fannie Mae, Series O, 7.00% (a)(g)

 

 

40,000

 

 

74,000

 

Freddie Mac, Series Z,8.38% (a)(g)

 

 

110,157

 

 

163,032

 

 

 

 

 

 

 

237,032

 

Total Preferred Stocks — 1.5%

 

 

 

 

 

6,505,868

 


 

 

 

 

 

 

 

 


Trust Preferreds

 

 

 

 

 

 

 

Diversified Financial Services — 0.9%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (g)

 

 

114,020

 

 

2,668,342

 

RBS Capital Funding Trust VII, 6.08%, 12/31/49 (g)

 

 

69,000

 

 

943,230

 

Total Trust Preferreds — 0.9%

 

 

 

 

 

3,611,572

 

Total Preferred Securities — 2.4%

 

 

 

 

 

10,117,440

 


 

 

 

 

 

 

 

 


Warrants (n)

 

 

 

 

 

 

 

Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (Expires 1/16/14)

 

 

54,577

 

 

1

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (Expires 4/29/14)

 

 

802

 

 

 

Media — 0.1%

 

 

 

 

 

 

 

Cumulus Media, Inc. (Expires 3/26/19)

 

 

67,691

 

 

488,919

 

New Vision Holdings LLC, (Expires 9/30/14)

 

 

26,189

 

 

 

 

 

 

 

 

 

488,919

 


 

 

 

See Notes to Financial Statements.

 

 

 

50

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Warrants (n)

 

Shares

 

Value

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/29/17)

 

 

525

 

 

 

HMH Holdings/EduMedia (Expires 3/09/17)

 

 

22,578

 

 

 

Total Warrants — 0.1%

 

 

 

 

$

488,920

 

Total Long-Term Investments
(Cost — $555,481,120) — 132.7%

 

 

 

 

 

568,882,627

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

 

Contracts

 

 

 

 

Exchange-Traded Put Options — 0.1%

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust:

 

 

 

 

 

 

 

Strike Price USD 134.00, Expires 3/17/12

 

 

1,790

 

 

168,260

 

Strike Price USD 136.00, Expires 3/17/12

 

 

310

 

 

48,980

 

Strike Price USD 136.00, Expires 4/21/12

 

 

310

 

 

98,890

 

Total Options Purchased
(Cost — $688,726) — 0.1%

 

 

 

 

 

316,130

 

Total Investments Before Options Written
(Cost — $556,169,846) — 132.8%

 

 

 

 

 

569,198,757

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

 

 

 

 

 

 

Exchange-Traded Put Options — (0.0)%

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust, Strike Price USD 125.00,
Expires 3/17/12

 

 

1,790

 

 

(25,955

)

Total Options Written
(Premiums Received — $128,039) — (0.0)%

 

 

 

 

 

(25,955

)

Total Investments, Net of Options Written — 132.8%

 

 

 

 

 

569,172,802

 

Liabilities in Excess of Other Assets — (32.8)%

 

 

 

 

 

(140,499,627

)

Net Assets — 100.0%

 

 

 

 

$

428,673,175

 


 

 


(a)


Non-income producing security.

 

 

(b)

Restricted security as to resale. As of report date the Trust held 2.6% of its net assets, with a current value of $11,090,417 in this security.

 

 

(c)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(d)

Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.

 

 

(e)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(f)

Convertible security.

 

 

(g)

Variable rate security. Rate shown is as of report date.

 

 

(h)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(i)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(j)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(k)

All or a portion of security has been pledged as collateral in connection with swaps.

 

 

(l)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Bank of America Securities, Inc.

 

$

650,440

 

$

6,440

 

Morgan Stanley & Co., Inc.

 

$

2,297,235

 

$

70,235

 


 

 

(m)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

 

(n)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

941,235

 

 

(941,235

)

 

 

$

445

 


 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

191

 

S&P 500

 

Chicago

 

March 2012

 

$

13,030,020

 

$

(419,408

)

 

 

Index E-Mini

 

Mercantile

 

 

 

 

 

 

 

 

 

 


 

 

Foreign currency exchange contracts as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

GBP

 

118,000

 

USD

 

185,055

 

Royal Bank of
Scotland Plc

 

4/11/12

 

$

2,618

 

USD

 

1,510,144

 

CAD

 

1,550,000

 

Citibank NA

 

4/11/12

 

 

(54,988

)

USD

 

3,402,753

 

CAD

 

3,475,000

 

Royal Bank of
Scotland Plc

 

4/11/12

 

 

(106,172

)

USD

 

5,133,752

 

GBP

 

3,349,000

 

UBS Securities LLC

 

4/11/12

 

 

(192,658

)

EUR

 

122,000

 

USD

 

157,967

 

Citibank NA

 

4/18/12

 

 

4,605

 

EUR

 

460,000

 

USD

 

619,312

 

Deutsche Bank AG

 

4/18/12

 

 

(6,334

)

USD

 

29,691,218

 

EUR

 

23,115,000

 

Citibank NA

 

4/18/12

 

 

(1,110,925

)

USD

 

2,075,808

 

EUR

 

1,565,000

 

Citibank NA

 

4/18/12

 

 

(9,649

)

USD

 

389,040

 

EUR

 

296,000

 

Citibank NA

 

4/18/12

 

 

(5,398

)

USD

 

194,527

 

EUR

 

147,000

 

Citibank NA

 

4/18/12

 

 

(1,359

)

USD

 

84,108

 

EUR

 

65,000

 

Deutsche Bank AG

 

4/18/12

 

 

(2,509

)

USD

 

129,945

 

EUR

 

98,000

 

Deutsche Bank AG

 

4/18/12

 

 

(646

)

USD

 

627,400

 

EUR

 

473,000

 

Royal Bank of
Scotland Plc

 

4/18/12

 

 

(2,901

)

USD

 

774,117

 

EUR

 

586,000

 

UBS Securities LLC

 

4/18/12

 

 

(6,764

)

Total

 

 

 

 

 

 

 

 

 

$

(1,493,080

)


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

51




 

 

 

 

Consolidated Schedule of Investments (continued)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

MGM Resorts
International

 

5.00%

 

Deutsche
Bank AG

 

6/20/15

 

$

160

 

$

(8,905

)

MGM Resorts
International

 

5.00%

 

Deutsche
Bank AG

 

6/20/15

 

$

135

 

 

(8,790

)

MGM Resorts
International

 

5.00%

 

Deutsche
Bank AG

 

6/20/15

 

$

260

 

 

(13,581

)

MGM Resorts
International

 

5.00%

 

Deutsche
Bank AG

 

6/20/15

 

$

140

 

 

(3,971

)

MGM Resorts
International

 

5.00%

 

Deutsche
Bank AG

 

6/20/15

 

$

135

 

 

(4,827

)

Republic of
Hungary

 

1.00%

 

Deutsche
Bank AG

 

12/20/15

 

$

470

 

 

25,026

 

Realogy Corp.

 

5.00%

 

Goldman Sachs
International

 

9/20/16

 

$

225

 

 

(25,998

)

iStar Financial, Inc.

 

5.00%

 

Deutsche
Bank AG

 

12/20/16

 

$

375

 

 

(38,471

)

Israel (State of)

 

1.00%

 

Deutsche
Bank AG

 

3/20/17

 

$

350

 

 

(3,639

)

Israel
Government Bond

 

1.00%

 

Deutsche
Bank AG

 

3/20/17

 

$

1,050

 

 

(11,643

)

Total

 

 

 

 

 

 

 

 

 

 

$

(94,799

)


 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Air Lease Corp.

 

5.00%

 

Goldman
Sachs
International

 

2/14/13

 

Not Rated

 

$

800

 

$

1,104

 

CIT Group, Inc.

 

5.00%

 

Deutsche
Bank AG

 

9/20/15

 

BB–

 

$

5,000

 

 

333,920

 

ARAMARK Corp.

 

5.00%

 

Goldman
Sachs
International

 

3/20/16

 

B

 

$

750

 

 

39,744

 

ARAMARK Corp.

 

5.00%

 

Goldman
Sachs
International

 

6/20/16

 

B

 

$

475

 

 

22,600

 

ARAMARK Corp.

 

5.00%

 

Goldman
Sachs
International

 

6/20/16

 

B

 

$

475

 

 

25,585

 

ARAMARK Corp.

 

5.00%

 

Credit Suisse
Securities
(USA) LLC

 

9/20/16

 

B

 

$

200

 

 

16,201

 

ARAMARK Corp.

 

5.00%

 

Goldman
Sachs
International

 

9/20/16

 

B

 

$

450

 

 

20,322

 

ARAMARK Corp.

 

5.00%

 

Goldman
Sachs
International

 

9/20/16

 

B

 

$

200

 

 

15,461

 

Credit default swaps on single-name issues — sold protection outstanding as of February 29, 2012 were as follows (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Bausch &
Lomb Inc.

 

5.00%

 

Credit Suisse
Securities
(USA) LLC

 

3/20/17

 

B

 

$

165

 

$

8,261

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ARAMARK Corp.

 

5.00%

 

Deutsche
Bank AG

 

3/20/17

 

B

 

$

305

 

 

6,568

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Crown Castle
International
Corp.

 

7.25%

 

Deutsche
Bank AG

 

3/20/17

 

B–

 

$

720

 

 

15,616

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ford Motor Co.

 

5.00%

 

Deutsche
Bank AG

 

3/20/17

 

BB+

 

$

2,200

 

 

132,448

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CCO
Holdings LLC

 

8.00%

 

Deutsche
Bank AG

 

9/20/17

 

BB–

 

$

2,400

 

 

(134

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

637,696

 


 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.

 

 

 

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 rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such 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 are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Trust’s perceived risk of 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 Note 1 of the Notes to Financial Statements.


 

 

 

See Notes to Financial Statements.

 

 

 

52

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Consolidated Schedule of Investments (concluded)

BlackRock Corporate High Yield Fund VI, Inc. (HYT)

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

16,814,523

 

$

11,751,399

 

$

7,490,513

 

$

36,056,435

 

Corporate Bonds

 

 

 

 

430,767,015

 

 

4,871,629

 

 

435,638,644

 

Floating Rate Loan Interests

 

 

 

 

73,111,438

 

 

13,469,516

 

 

86,580,954

 

Other Interests

 

 

163

 

 

 

 

71

 

 

234

 

Preferred Securities

 

 

3,848,604

 

 

6,268,836

 

 

 

 

10,117,440

 

Warrants

 

 

 

 

488,919

 

 

1

 

 

488,920

 

Total

 

$

20,663,290

 

$

522,387,607

 

$

25,831,730

 

$

568,882,627

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

312,216

 

$

350,640

 

$

662,856

 

Foreign currency exchange contracts

 

 

 

 

7,223

 

 

 

 

7,223

 

Equity contracts

 

$

316,130

 

 

 

 

 

 

316,130

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(119,825

)

 

(134

)

 

(119,959

)

Foreign currency exchange contracts

 

 

 

 

(1,500,303

)

 

 

 

(1,500,303

)

Equity contracts

 

 

(445,363

)

 

 

 

 

 

(445,363

)

Total

 

$

(129,233

)

$

(1,300,689

)

$

350,506

 

$

(1,079,416

)


 

 

 

 

1

Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2011

 

$

3,689,799

 

$

6,541,570

 

$

14,112,734

 

$

3,081,895

 

$

503,497

 

$

382,599

 

$

28,312,094

 

Accrued discounts/premiums

 

 

 

 

3,505

 

 

118,663

 

 

 

 

 

 

 

 

122,168

 

Net realized gain (loss)

 

 

9,199

 

 

(3,657,646

)

 

(353,729

)

 

 

 

592,350

 

 

 

 

(3,409,826

)

Net change in unrealized appreciation/depreciation2

 

 

2,173,916

 

 

3,685,657

 

 

(880,297

)

 

(3,081,824

)

 

(503,497

)

 

(275

)

 

1,393,680

 

Purchases

 

 

1,629,236

 

 

979,696

 

 

602,350

 

 

 

 

 

 

 

 

3,211,282

 

Sales

 

 

(11,637

)

 

(2,681,153

)

 

(1,025,465

)

 

 

 

(592,350

)

 

 

 

(4,310,605

)

Transfers in3

 

 

 

 

 

 

3,424,885

 

 

 

 

 

 

 

 

3,424,885

 

Transfers out3

 

 

 

 

 

 

(2,529,625

)

 

 

 

 

 

(382,323

)

 

(2,911,948

)

Balance, as of February 29, 2012

 

$

7,490,513

 

$

4,871,629

 

$

13,469,516

 

$

71

 

 

 

$

1

 

$

25,831,730

 


 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at February 29, 2012 was $(1,811,285).

 

 

 

 

3

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

Credit
Contracts

 

Liabilities:

 

 

 

 

Balance, as of August 31, 2011

 

 

 

Accrued discounts/premiums

 

$

(46,404

)

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation4

 

 

350,506

 

Purchases

 

 

 

Issuances5

 

 

432,194

 

Sales

 

 

 

Settlements6

 

 

(385,790

)

Transfers in7

 

 

 

Transfers out7

 

 

 

Balance, as of February 29, 2012

 

$

350,506

 


 

 

 

 

4

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held at February 29, 2012 was $350,506.

 

 

 

 

5

Issuances represent upfront cash received on certain derivative financial instruments.

 

 

 

 

6

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

 

 

 

 

7

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

A reconciliation of Level 3 investments and derivative 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.

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

53




 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock High Income Shares (HIS)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 0.5%

 

 

 

 

 

 

 

Delphi Automotive Plc

 

 

1,419

 

$

45,421

 

Delphi Automotive Plc (180-day lock)
(Acquired 11/17/11, cost $108,667) (b)

 

 

17,779

 

 

554,692

 

 

 

 

 

 

 

600,113

 

Diversified Financial Services — 0.6%

 

 

 

 

 

 

 

Kcad Holdings I Ltd.

 

 

84,871,761

 

 

777,001

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Travelport Worldwide Ltd.

 

 

35,081

 

 

17,540

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (a)

 

 

251

 

 

5

 

HMH Holdings/EduMedia

 

 

39,515

 

 

9,879

 

 

 

 

 

 

 

9,884

 

Total Common Stocks — 1.1%

 

 

 

 

 

1,404,538

 

 

 

 

 

 

 

 

 

Corporate Bonds

 


Par
(000)

 

 

 

 

Aerospace & Defense — 0.5%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 3/15/18

 

USD

100

 

 

105,250

 

7.13%, 3/15/21

 

 

140

 

 

149,975

 

Kratos Defense & Security Solutions, Inc.,
10.00%, 6/01/17

 

 

358

 

 

385,745

 

 

 

 

 

 

 

640,970

 

Air Freight & Logistics — 0.5%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

295

 

 

307,956

 

Series 2, 12.38%, 8/16/15

 

 

299

 

 

311,301

 

 

 

 

 

 

 

619,257

 

Airlines — 1.9%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust, Series 2011-2,
Class A, 8.63%, 10/15/21

 

 

519

 

 

550,140

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (c)

 

 

270

 

 

272,700

 

Series 2010-1, Class B, 6.00%, 1/12/19

 

 

192

 

 

186,145

 

Delta Air Lines, Inc., Series 2009-1-B, Class B,
9.75%, 2/17/16

 

 

97

 

 

102,660

 

United Air Lines, Inc., 12.75%, 7/15/12

 

 

835

 

 

863,985

 

US Airways Pass-Through Trust, Series 2011-1,
Class C, 10.88%, 10/22/14

 

 

310

 

 

310,000

 

 

 

 

 

 

 

2,285,630

 

Auto Components — 2.1%

 

 

 

 

 

 

 

Allison Transmission, Inc., 11.00%, 11/01/15 (c)

 

 

32

 

 

33,800

 

Baker Corp. International, Inc., 8.25%, 6/01/19 (c)

 

 

95

 

 

96,900

 

Dana Holding Corp., 6.75%, 2/15/21

 

 

200

 

 

216,500

 

Delphi Corp., 6.13%, 5/15/21 (c)

 

 

80

 

 

85,800

 

Icahn Enterprises LP, 8.00%, 1/15/18

 

 

1,510

 

 

1,600,600

 

International Automotive Components Group, SL,
9.13%, 6/01/18 (c)

 

 

20

 

 

17,800

 

Stanadyne Corp., Series 1, 10.00%, 8/15/14

 

 

335

 

 

306,525

 

Titan International, Inc., 7.88%, 10/01/17

 

 

190

 

 

201,875

 

 

 

 

 

 

 

2,559,800

 

Beverages — 0.4%

 

 

 

 

 

 

 

Cott Beverages, Inc., 8.13%, 9/01/18

 

 

125

 

 

137,812

 

Crown European Holdings SA (c):

 

 

 

 

 

 

 

7.13%, 8/15/18

 

EUR

167

 

 

238,347

 

7.13%, 8/15/18

 

 

100

 

 

142,723

 

 

 

 

 

 

 

518,882

 

 

 

 

 

 

 

 

 

 

 

 

Par

 

 

 

 

Corporate Bonds

 

 

(000)

 

 

Value

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

QHP Pharma, 10.25%, 3/15/15 (c)

 

USD

103

 

$

103,403

 

Building Products — 0.7%

 

 

 

 

 

 

 

Building Materials Corp. of America (c):

 

 

 

 

 

 

 

7.00%, 2/15/20

 

 

210

 

 

227,850

 

6.75%, 5/01/21

 

 

450

 

 

489,375

 

Momentive Performance Materials, Inc., 11.50%,
12/01/16

 

 

220

 

 

184,800

 

 

 

 

 

 

 

902,025

 

Capital Markets — 1.2%

 

 

 

 

 

 

 

American Capital Ltd., 8.96%, 12/31/13 (d)

 

 

320

 

 

325,933

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17

 

 

485

 

 

565,025

 

Series A, 0.74%, 8/31/19 (e)(f)

 

 

295

 

 

279,144

 

KKR Group Finance Co., 6.38%, 9/29/20 (c)

 

 

300

 

 

319,265

 

 

 

 

 

 

 

1,489,367

 

Chemicals — 3.6%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

 

400

 

 

390,000

 

Ashland, Inc., 9.13%, 6/01/17

 

 

195

 

 

218,887

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

810

 

 

882,900

 

Chemtura Corp., 7.88%, 9/01/18

 

 

175

 

 

188,125

 

Hexion U.S. Finance Corp., 9.00%, 11/15/20

 

 

145

 

 

142,100

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

80

 

 

90,400

 

Kinove German Bondco GmbH, 10.00%, 6/15/18

 

EUR

164

 

 

224,506

 

Kraton Polymers LLC, 6.75%, 3/01/19

 

USD

55

 

 

56,100

 

Lyondell Chemical Co., 11.00%, 5/01/18

 

 

1,272

 

 

1,394,065

 

LyondellBasell Industries NV, 6.00%, 11/15/21 (c)

 

 

75

 

 

82,313

 

Nexeo Solutions LLC, 8.38%, 3/01/18 (c)

 

 

85

 

 

85,000

 

PolyOne Corp., 7.38%, 9/15/20

 

 

100

 

 

107,750

 

Solutia, Inc., 7.88%, 3/15/20

 

 

280

 

 

328,300

 

TPC Group LLC, 8.25%, 10/01/17

 

 

155

 

 

163,525

 

 

 

 

 

 

 

4,353,971

 

Commercial Banks — 2.1%

 

 

 

 

 

 

 

CIT Group, Inc. (c):

 

 

 

 

 

 

 

7.00%, 5/02/16

 

 

1,128

 

 

1,129,410

 

7.00%, 5/02/17

 

 

1,200

 

 

1,201,500

 

5.50%, 2/15/19

 

 

270

 

 

275,737

 

 

 

 

 

 

 

2,606,647

 

Commercial Services & Supplies — 2.0%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15

 

 

155

 

 

171,083

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

6

 

 

6,158

 

Aviation Capital Group Corp., 6.75%, 4/06/21 (c)

 

 

230

 

 

227,985

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)

 

 

181

 

 

188,936

 

Brickman Group Holdings, Inc., 9.13%,
11/01/18 (c)

 

 

9

 

 

8,550

 

Casella Waste Systems, Inc., 7.75%, 2/15/19

 

 

304

 

 

302,480

 

Clean Harbors, Inc., 7.63%, 8/15/16

 

 

160

 

 

169,600

 

Iron Mountain, Inc., 7.75%, 10/01/19

 

 

200

 

 

221,000

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

165

 

 

173,250

 

RSC Equipment Rental, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/17 (c)

 

 

275

 

 

319,000

 

8.25%, 2/01/21

 

 

392

 

 

415,520

 

WCA Waste Corp., 7.50%, 6/15/19 (c)

 

 

150

 

 

151,875

 

West Corp., 8.63%, 10/01/18

 

 

65

 

 

71,337

 

 

 

 

 

 

 

2,426,774

 

Communications Equipment — 0.7%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

310

 

 

310,000

 

Frontier Communications Corp., 6.25%, 1/15/13

 

 

400

 

 

413,000

 

Hughes Satellite Systems Corp., 6.50%, 6/15/19

 

 

170

 

 

180,200

 

 

 

 

 

 

 

903,200

 


 

 

 

See Notes to Financial Statements.

 

 

 

54

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Computers & Peripherals — 0.1%

 

 

 

 

 

 

 

SanDisk Corp., 1.50%, 8/15/17 (f)

 

USD

100

 

$

119,750

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Abengoa SA, 8.50%, 3/31/16

 

EUR

50

 

 

68,294

 

Boart Longyear Management Property Ltd.,
7.00%, 4/01/21 (c)

 

USD

90

 

 

94,725

 

 

 

 

 

 

 

163,019

 

Construction Materials — 0.1%

 

 

 

 

 

 

 

Xefin Lux SCA, 8.00%, 6/01/18 (c)

 

EUR

113

 

 

151,303

 

Consumer Finance — 1.8%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

USD

220

 

 

234,300

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.80%, 6/01/12

 

 

300

 

 

303,698

 

7.00%, 4/15/15

 

 

1,080

 

 

1,198,800

 

12.00%, 5/15/15

 

 

330

 

 

414,956

 

 

 

 

 

 

 

2,151,754

 

Containers & Packaging — 1.5%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc (c):

 

 

 

 

 

 

 

7.38%, 10/15/17

 

 

200

 

 

215,000

 

7.38%, 10/15/17

 

EUR

285

 

 

400,589

 

9.13%, 10/15/20

 

USD

200

 

 

206,500

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.42%, 9/15/14 (g)

 

 

135

 

 

129,263

 

8.25%, 11/15/15

 

 

55

 

 

59,125

 

9.75%, 1/15/21

 

 

160

 

 

171,200

 

GCL Holdings SCA, 9.38%, 4/15/18 (c)

 

EUR

120

 

 

142,689

 

Graphic Packaging International, Inc., 7.88%,

 

 

 

 

 

 

 

10/01/18

 

USD

175

 

 

192,500

 

OI European Group BV, 6.88%, 3/31/17

 

EUR

100

 

 

138,559

 

Sealed Air Corp., 8.38%, 9/15/21 (c)

 

USD

115

 

 

131,675

 

 

 

 

 

 

 

1,787,100

 

Diversified Consumer Services — 0.3%

 

 

 

 

 

 

 

ServiceMaster Co., 8.00%, 2/15/20 (c)

 

 

290

 

 

305,950

 

Diversified Financial Services — 4.8%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

 

90

 

 

95,850

 

8.30%, 2/12/15

 

 

230

 

 

254,150

 

6.25%, 12/01/17

 

 

230

 

 

237,732

 

7.50%, 9/15/20

 

 

290

 

 

319,362

 

8.00%, 11/01/31

 

 

500

 

 

558,125

 

8.00%, 11/01/31

 

 

270

 

 

292,965

 

Axcan Intermediate Holdings, Inc., 12.75%,
3/01/16

 

 

170

 

 

181,263

 

Boparan Holdings Ltd. (c):

 

 

 

 

 

 

 

9.75%, 4/30/18

 

EUR

100

 

 

131,098

 

9.88%, 4/30/18

 

GBP

100

 

 

156,704

 

DPL, Inc., 7.25%, 10/15/21 (c)

 

USD

360

 

 

410,400

 

FCE Bank Plc, 4.75%, 1/19/15

 

EUR

360

 

 

491,614

 

General Motors Financial Co., Inc., 6.75%,
6/01/18

 

USD

140

 

 

151,082

 

Leucadia National Corp., 8.13%, 9/15/15

 

 

378

 

 

420,525

 

Reynolds Group Issuer, Inc. (c):

 

 

 

 

 

 

 

7.00%, 10/15/16 (h)

 

 

348

 

 

370,620

 

8.75%, 10/15/16

 

EUR

227

 

 

321,334

 

7.13%, 4/15/19

 

USD

115

 

 

121,613

 

7.88%, 8/15/19

 

 

490

 

 

536,550

 

9.88%, 8/15/19

 

 

475

 

 

491,031

 

WMG Acquisition Corp. (c):

 

 

 

 

 

 

 

9.50%, 6/15/16

 

 

55

 

 

60,775

 

11.50%, 10/01/18

 

 

265

 

 

281,562

 

 

 

 

 

 

 

5,884,355

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Telecommunication Services — 3.4%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%,
9/01/12

 

USD

480

 

$

430,800

 

GCI, Inc., 6.75%, 6/01/21

 

 

128

 

 

129,600

 

ITC Deltacom, Inc., 10.50%, 4/01/16

 

 

140

 

 

145,950

 

Level 3 Communications, Inc., 6.50%, 10/01/16 (f)

 

 

90

 

 

139,050

 

Level 3 Financing, Inc. (c):

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

1,213

 

 

1,270,617

 

8.63%, 7/15/20

 

 

480

 

 

512,400

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

600

 

 

602,100

 

8.00%, 10/01/15

 

 

550

 

 

590,391

 

Videotron Ltee, 5.00%, 7/15/22 (c)(i)

 

 

80

 

 

80,200

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

112

 

 

120,120

 

7.88%, 11/01/17

 

 

163

 

 

183,783

 

 

 

 

 

 

 

4,205,011

 

Electric Utilities — 0.6%

 

 

 

 

 

 

 

The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14

 

EUR

550

 

 

684,769

 

Electronic Equipment, Instruments & Components — 0.2%

 

 

 

 

 

 

 

Elster Finance BV, 6.25%, 4/15/18 (c)

 

 

104

 

 

140,499

 

Jabil Circuit, Inc., 8.25%, 3/15/18

 

USD

105

 

 

124,950

 

 

 

 

 

 

 

265,449

 

Energy Equipment & Services — 3.3%

 

 

 

 

 

 

 

Antero Resources Finance Corp., 7.25%,
8/01/19 (c)

 

 

75

 

 

79,125

 

Atwood Oceanics, Inc., 6.50%, 2/01/20

 

 

65

 

 

68,413

 

Calfrac Holdings LP, 7.50%, 12/01/20 (c)

 

 

185

 

 

185,000

 

Compagnie Générale de Géophysique-Veritas,
7.75%, 5/15/17

 

 

170

 

 

177,013

 

Forbes Energy Services Ltd., 9.00%, 6/15/19

 

 

165

 

 

162,525

 

Frac Tech Services LLC, 7.63%, 11/15/18 (c)

 

 

795

 

 

848,662

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

205

 

 

214,737

 

MEG Energy Corp., 6.50%, 3/15/21 (c)

 

 

445

 

 

476,150

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

140

 

 

150,500

 

Peabody Energy Corp., 6.25%, 11/15/21 (c)

 

 

1,200

 

 

1,257,000

 

Transocean, Inc., 6.38%, 12/15/21

 

 

345

 

 

407,152

 

 

 

 

 

 

 

4,026,277

 

Food Products — 0.1%

 

 

 

 

 

 

 

Post Holdings, Inc., 7.38%, 2/15/22 (c)

 

 

100

 

 

106,500

 

Health Care Equipment & Supplies — 2.2%

 

 

 

 

 

 

 

Biomet, Inc.:

 

 

 

 

 

 

 

10.00%, 10/15/17

 

 

90

 

 

97,762

 

10.38%, 10/15/17 (j)

 

 

645

 

 

702,244

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

1,070

 

 

1,088,725

 

7.75%, 4/15/18

 

 

50

 

 

43,000

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (c)

 

 

48

 

 

53,160

 

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (c)

 

 

505

 

 

583,275

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

130

 

 

140,075

 

 

 

 

 

 

 

2,708,241

 

Health Care Providers & Services — 5.7%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

190

 

 

194,275

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (c)

 

EUR

200

 

 

276,452

 

Crown Newco 3 Plc, 7.00%, 2/15/18 (c)

 

GBP

200

 

 

313,805

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

USD

60

 

 

67,200

 

6.50%, 2/15/20

 

 

915

 

 

981,337

 

7.88%, 2/15/20

 

 

40

 

 

44,100

 

7.25%, 9/15/20

 

 

1,400

 

 

1,526,000

 

Health Management Associates, Inc., 7.38%,
1/15/20 (c)

 

 

435

 

 

453,488

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

55




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Providers & Services (concluded)

 

 

 

 

 

 

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

USD

340

 

$

324,700

 

INC Research LLC, 11.50%, 7/15/19 (c)

 

 

185

 

 

177,600

 

inVentiv Health, Inc., 10.00%, 8/15/18 (c)

 

 

55

 

 

50,050

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

450

 

 

501,187

 

Symbion, Inc., 8.00%, 6/15/16

 

 

155

 

 

149,575

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

312

 

 

363,480

 

6.25%, 11/01/18 (c)

 

 

150

 

 

159,938

 

8.88%, 7/01/19

 

 

1,175

 

 

1,339,500

 

 

 

 

 

 

 

6,922,687

 

Health Care Technology — 1.1%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (c)

 

 

1,125

 

 

1,338,750

 

Hotels, Restaurants & Leisure — 2.4%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

140

 

 

153,300

 

10.00%, 12/15/18

 

 

660

 

 

509,850

 

Caesars Operating Escrow, LLC., 8.50%, 2/15/20 (c)

 

 

320

 

 

326,400

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

 

550

 

 

580,250

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (c)

 

 

60

 

 

57,150

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

125

 

 

142,187

 

11.13%, 11/15/17

 

 

790

 

 

898,625

 

Travelport LLC:

 

 

 

 

 

 

 

5.15%, 9/01/14 (g)

 

 

85

 

 

43,563

 

9.88%, 9/01/14

 

 

20

 

 

11,450

 

9.00%, 3/01/16

 

 

60

 

 

31,800

 

6.58%, 12/01/16 (c)(g)(j)

 

 

185

 

 

130,393

 

Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (a)(k)

 

 

215

 

 

 

 

 

 

 

 

 

2,884,968

 

Household Durables — 1.9%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17

 

 

720

 

 

784,800

 

Jarden Corp., 7.50%, 1/15/20

 

EUR

140

 

 

188,387

 

Ryland Group, Inc., 6.63%, 5/01/20

 

USD

160

 

 

163,200

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

 

890

 

 

1,022,388

 

8.38%, 1/15/21

 

 

140

 

 

148,750

 

 

 

 

 

 

 

2,307,525

 

Household Products — 0.5%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (c)

 

EUR

100

 

 

122,572

 

Spectrum Brands Holdings, Inc.:

 

 

 

 

 

 

 

9.50%, 6/15/18

 

USD

160

 

 

182,400

 

9.50%, 6/15/18 (c)

 

 

270

 

 

307,800

 

 

 

 

 

 

 

612,772

 

Independent Power Producers &
Energy Traders — 2.9%

 

 

 

 

 

 

 

AES Corp., 7.38%, 7/01/21 (c)

 

 

295

 

 

336,300

 

Calpine Corp. (c):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

80

 

 

84,800

 

7.50%, 2/15/21

 

 

45

 

 

48,825

 

7.88%, 1/15/23

 

 

130

 

 

141,700

 

Energy Future Holdings Corp., 10.00%, 1/15/20

 

 

1,365

 

 

1,475,906

 

Energy Future Intermediate Holding Co. LLC:

 

 

 

 

 

 

 

10.00%, 12/01/20

 

 

431

 

 

468,174

 

11.75%, 3/01/22 (c)

 

 

635

 

 

650,875

 

Laredo Petroleum, Inc., 9.50%, 2/15/19

 

 

230

 

 

253,575

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

148

 

 

149,480

 

 

 

 

 

 

 

3,609,635

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Industrial Conglomerates — 2.5%

 

 

 

 

 

 

 

Sequa Corp. (c):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

USD

1,060

 

$

1,126,250

 

13.50%, 12/01/15

 

 

1,770

 

 

1,888,985

 

 

 

 

 

 

 

3,015,235

 

Insurance — 1.1%

 

 

 

 

 

 

 

Alliant Holdings I, Inc., 11.00%, 5/01/15 (c)

 

 

800

 

 

841,000

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (c)

 

 

168

 

 

180,810

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

190

 

 

197,130

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)

 

 

120

 

 

107,100

 

 

 

 

 

 

 

1,326,040

 

IT Services — 1.5%

 

 

 

 

 

 

 

Eagle Parent Canada, Inc., 8.63%, 5/01/19 (c)

 

 

230

 

 

238,050

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (c)

 

 

90

 

 

91,013

 

8.25%, 1/15/21 (c)

 

 

305

 

 

295,087

 

12.63%, 1/15/21

 

 

688

 

 

722,400

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

200

 

 

215,000

 

7.63%, 11/15/20

 

 

280

 

 

302,400

 

 

 

 

 

 

 

1,863,950

 

Machinery — 1.0%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (f)

 

 

270

 

 

304,087

 

8.25%, 11/01/21

 

 

63

 

 

68,906

 

SPX Corp., 6.88%, 9/01/17

 

 

80

 

 

88,800

 

UR Financing Escrow Corp. (c)(i):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

114

 

 

117,135

 

7.38%, 5/15/20

 

 

155

 

 

159,069

 

7.63%, 4/15/22

 

 

422

 

 

436,770

 

 

 

 

 

 

 

1,174,767

 

Media — 14.8%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

365

 

 

326,675

 

AMC Networks, Inc., 7.75%, 7/15/21 (c)

 

 

100

 

 

111,500

 

CCH II LLC, 13.50%, 11/30/16

 

 

1,637

 

 

1,882,714

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

50

 

 

54,625

 

7.38%, 6/01/20

 

 

120

 

 

132,000

 

6.50%, 4/30/21

 

 

223

 

 

236,938

 

Checkout Holding Corp., 10.96%, 11/15/15 (c)(e)

 

 

310

 

 

139,500

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

120

 

 

133,500

 

Clear Channel Communications, Inc., 9.00%,
3/01/21

 

 

250

 

 

230,000

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

686

 

 

751,170

 

7.63%, 3/15/20 (c)(i)

 

 

465

 

 

465,000

 

Series B, 9.25%, 12/15/17

 

 

2,656

 

 

2,921,600

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 4.00%, 8/15/18

 

 

321

 

 

325,876

 

Loan Close 3, 4.00%, 8/15/18

 

 

367

 

 

372,570

 

Shares Loan, 4.00%, 8/15/18

 

 

379

 

 

384,250

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

180

 

 

199,800

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13

 

 

192

 

 

206,160

 

6.75%, 6/01/21

 

 

180

 

 

199,800

 

Gray Television, Inc., 10.50%, 6/29/15

 

 

445

 

 

470,031

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (g)

 

 

160

 

 

109,200

 

9.50%, 5/15/15

 

 

140

 

 

110,250

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

680

 

 

719,100

 

11.25%, 2/04/17

 

 

160

 

 

165,000

 

11.50%, 2/04/17 (j)

 

 

605

 

 

623,150

 


 

 

 

See Notes to Financial Statements.

 

 

 

56

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Interactive Data Corp., 10.25%, 8/01/18

 

USD

615

 

$

693,412

 

The Interpublic Group of Cos., Inc., 10.00%,
7/15/17

 

 

155

 

 

177,475

 

Kabel BW Erste Beteiligungs GmbH, 7.50%,
3/15/19 (c)

 

EUR

304

 

 

433,370

 

Kabel Deutschland Vertrieb und Service GmbH &
Co. KG, 6.50%, 6/29/18 (c)

 

 

155

 

 

217,883

 

Lamar Media Corp., 5.88%, 2/01/22 (c)

 

USD

90

 

 

93,938

 

Live Nation Entertainment, Inc., 8.13%, 5/15/18 (c)

 

 

335

 

 

356,356

 

Musketeer GmbH, 9.50%, 3/15/21 (c)

 

EUR

190

 

 

273,388

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (c)

 

USD

290

 

 

319,000

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

72

 

 

83,700

 

7.75%, 10/15/18

 

 

970

 

 

1,079,125

 

Odeon & UCI Finco Plc, 9.00%, 8/01/18 (c)

 

GBP

100

 

 

157,101

 

ProQuest LLC, 9.00%, 10/15/18 (c)

 

USD

230

 

 

203,550

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(c)(f)(k)

 

 

1,427

 

 

714

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

100

 

 

143,888

 

9.63%, 12/01/19 (c)

 

 

245

 

 

352,526

 

Unitymedia Hessen GmbH & Co. KG

 

 

 

 

 

 

 

(FKA UPC Germany GmbH):

 

 

 

 

 

 

 

8.13%, 12/01/17 (c)

 

USD

425

 

 

461,125

 

8.13%, 12/01/17

 

EUR

175

 

 

250,639

 

UPC Holding BV, 9.88%, 4/15/18 (c)

 

USD

200

 

 

222,000

 

UPCB Finance II Ltd., 6.38%, 7/01/20 (c)

 

EUR

371

 

 

491,812

 

Virgin Media Secured Finance Plc, 7.00%,
1/15/18 (i)

 

GBP

100

 

 

171,817

 

Ziggo Bond Co. BV, 8.00%, 5/15/18 (c)

 

EUR

175

 

 

246,559

 

Ziggo Finance BV, 6.13%, 11/15/17 (c)

 

 

317

 

 

438,177

 

 

 

 

 

 

 

18,137,964

 

Metals & Mining — 2.9%

 

 

 

 

 

 

 

Goldcorp, Inc., 2.00%, 8/01/14 (f)

 

USD

460

 

 

583,050

 

Newmont Mining Corp., Series A, 1.25%,
7/15/14 (f)

 

 

670

 

 

924,600

 

Novelis, Inc., 8.75%, 12/15/20

 

 

1,525

 

 

1,700,375

 

Taseko Mines Ltd., 7.75%, 4/15/19

 

 

190

 

 

182,400

 

Vedanta Resources Plc, 8.25%, 6/07/21 (c)

 

 

200

 

 

184,500

 

 

 

 

 

 

 

3,574,925

 

Multiline Retail — 1.8%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%, 7/15/17 (g)

 

 

2,020

 

 

2,216,970

 

Oil, Gas & Consumable Fuels — 10.2%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc., 6.25%, 6/01/21

 

 

180

 

 

174,600

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

275

 

 

286,687

 

Bill Barrett Corp., 9.88%, 7/15/16

 

 

10

 

 

11,050

 

BreitBurn Energy Partners LP, 7.88%, 4/15/22 (c)

 

 

115

 

 

120,463

 

Carrizo Oil & Gas, Inc., 8.63%, 10/15/18

 

 

60

 

 

62,400

 

Chesapeake Midstream Partners LP, 6.13%,
7/15/22 (c)

 

 

120

 

 

124,200

 

Chesapeake Oilfield Operating LLC, 6.63%,
11/15/19 (c)

 

 

25

 

 

25,500

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (c)

 

 

122

 

 

130,540

 

Concho Resources, Inc., 7.00%, 1/15/21

 

 

190

 

 

213,750

 

Consol Energy, Inc., 8.25%, 4/01/20

 

 

905

 

 

986,450

 

Continental Resources, Inc., 7.13%, 4/01/21

 

 

170

 

 

188,700

 

Copano Energy LLC, 7.13%, 4/01/21

 

 

150

 

 

159,000

 

Crosstex Energy LP, 8.88%, 2/15/18

 

 

85

 

 

92,225

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

318

 

 

362,520

 

6.38%, 8/15/21

 

 

160

 

 

176,400

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

USD

250

 

$

276,875

 

7.75%, 6/15/19

 

 

405

 

 

427,275

 

EV Energy Partners LP, 8.00%, 4/15/19

 

 

70

 

 

73,500

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (c)

 

 

350

 

 

381,500

 

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (c)

 

 

150

 

 

160,500

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (c)

 

 

45

 

 

45,900

 

6.25%, 11/01/19 (c)

 

 

720

 

 

719,100

 

8.63%, 4/15/20

 

 

100

 

 

111,000

 

7.75%, 2/01/21

 

 

95

 

 

102,125

 

MarkWest Energy Partners LP, 6.75%, 11/01/20

 

 

60

 

 

65,550

 

Newfield Exploration Co., 6.88%, 2/01/20

 

 

425

 

 

459,000

 

Niska Gas Storage US LLC, 8.88%, 3/15/18

 

 

265

 

 

254,400

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

150

 

 

159,000

 

6.50%, 11/01/21

 

 

135

 

 

139,050

 

OGX Petroleo e Gas Participações SA, 8.50%,
6/01/18 (c)

 

 

2,110

 

 

2,199,675

 

PBF Holding Co. LLC, 8.25%, 2/15/20 (c)

 

 

155

 

 

155,000

 

PetroBakken Energy Ltd., 8.63%, 2/01/20 (c)

 

 

390

 

 

414,375

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

180

 

 

200,025

 

7.88%, 6/01/15

 

 

210

 

 

221,812

 

7.25%, 8/15/18

 

 

145

 

 

165,844

 

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (c)

 

 

265

 

 

278,250

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

210

 

 

246,681

 

7.50%, 1/15/20

 

 

65

 

 

80,325

 

Plains Exploration & Production Co.:

 

 

 

 

 

 

 

6.63%, 5/01/21

 

 

360

 

 

388,800

 

6.75%, 2/01/22

 

 

230

 

 

251,850

 

Precision Drilling Corp., 6.50%, 12/15/21 (c)

 

 

135

 

 

144,113

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

170

 

 

189,550

 

5.75%, 6/01/21

 

 

445

 

 

476,150

 

Samson Investment Co., 9.75%, 2/15/20 (c)

 

 

290

 

 

305,225

 

SandRidge Energy, Inc., 7.50%, 3/15/21

 

 

210

 

 

212,100

 

SM Energy Co., 6.63%, 2/15/19

 

 

60

 

 

64,350

 

 

 

 

 

 

 

12,483,385

 

Paper & Forest Products — 2.3%

 

 

 

 

 

 

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

200

 

 

220,000

 

8.00%, 4/01/20

 

 

70

 

 

76,825

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

185

 

 

210,206

 

7.13%, 11/01/18

 

 

270

 

 

287,550

 

Georgia-Pacific LLC, 8.25%, 5/01/16 (c)

 

 

755

 

 

836,409

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (c)

 

 

155

 

 

159,263

 

NewPage Corp., 11.38%, 12/31/14 (a)(k)

 

 

995

 

 

599,487

 

Sappi Papier Holding GmbH, 6.63%, 4/15/21 (c)

 

 

65

 

 

60,938

 

Verso Paper Holdings LLC, 11.50%, 7/01/14

 

 

365

 

 

372,300

 

 

 

 

 

 

 

2,822,978

 

Pharmaceuticals — 0.7%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA, 9.88%, 8/01/19 (c)

 

EUR

100

 

 

143,222

 

Jaguar Holding Co. II, 9.50%, 12/01/19 (c)

 

USD

190

 

 

207,813

 

Valeant Pharmaceuticals International, 6.50%,
7/15/16 (c)

 

 

550

 

 

561,000

 

 

 

 

 

 

 

912,035

 

Professional Services — 0.6%

 

 

 

 

 

 

 

FTI Consulting, Inc.:

 

 

 

 

 

 

 

7.75%, 10/01/16

 

 

275

 

 

286,344

 

6.75%, 10/01/20

 

 

425

 

 

459,531

 

 

 

 

 

 

 

745,875

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

57




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

USD

635

 

$

649,287

 

The Rouse Co. LP, 6.75%, 11/09/15

 

 

240

 

 

251,100

 

 

 

 

 

 

 

900,387

 

Real Estate Management & Development — 1.9%

 

 

 

 

 

 

 

CBRE Services, Inc., 6.63%, 10/15/20

 

 

160

 

 

170,000

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

175

 

 

160,125

 

12.00%, 4/15/17

 

 

45

 

 

41,400

 

7.88%, 2/15/19 (c)

 

 

1,045

 

 

1,013,650

 

7.63%, 1/15/20 (c)

 

 

220

 

 

227,150

 

9.00%, 1/15/20 (c)

 

 

160

 

 

160,800

 

Shea Homes LP, 8.63%, 5/15/19 (c)

 

 

565

 

 

570,650

 

 

 

 

 

 

 

2,343,775

 

Road & Rail — 1.2%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 8.25%, 1/15/19

 

 

55

 

 

57,337

 

Florida East Coast Railway Corp., 8.13%, 2/01/17

 

 

200

 

 

202,000

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

420

 

 

453,075

 

6.75%, 4/15/19 (c)(i)

 

 

130

 

 

136,175

 

6.75%, 4/15/19

 

 

50

 

 

52,375

 

7.38%, 1/15/21

 

 

540

 

 

584,550

 

 

 

 

 

 

 

1,485,512

 

Semiconductors & Semiconductor
Equipment — 0.2%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17

 

 

260

 

 

255,450

 

Software — 0.2%

 

 

 

 

 

 

 

Sophia LP, 9.75%, 1/15/19 (c)

 

 

198

 

 

212,850

 

Specialty Retail — 2.2%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 8.38%, 11/15/20

 

 

165

 

 

176,963

 

Hillman Group, Inc., 10.88%, 6/01/18

 

 

250

 

 

261,875

 

House of Fraser Funding Plc, 8.88%, 8/15/18 (c)

 

GBP

129

 

 

183,677

 

Limited Brands, Inc.:

 

 

 

 

 

 

 

8.50%, 6/15/19

 

USD

70

 

 

83,650

 

5.63%, 2/15/22

 

 

70

 

 

72,100

 

Phones4u Finance Plc, 9.50%, 4/01/18 (c)

 

GBP

130

 

 

181,482

 

QVC, Inc. (c):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

105

 

 

112,875

 

7.50%, 10/01/19

 

 

285

 

 

316,350

 

7.38%, 10/15/20

 

 

130

 

 

143,975

 

Sally Holdings LLC, 6.88%, 11/15/19 (c)

 

 

245

 

 

263,375

 

Sonic Automotive, Inc., 9.00%, 3/15/18

 

 

175

 

 

190,312

 

Toys ‘R’ US-Delaware, Inc., 7.38%, 9/01/16 (c)

 

 

70

 

 

71,925

 

United Auto Group, Inc., 7.75%, 12/15/16

 

 

655

 

 

682,844

 

 

 

 

 

 

 

2,741,403

 

Transportation Infrastructure — 0.2%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18 (c)

 

 

198

 

 

208,147

 

Wireless Telecommunication Services — 5.0%

 

 

 

 

 

 

 

Cricket Communications, Inc., 7.75%, 5/15/16

 

 

250

 

 

266,250

 

Digicel Group Ltd. (c):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

370

 

 

376,475

 

9.13%, 1/15/15

 

 

1,220

 

 

1,244,400

 

8.25%, 9/01/17

 

 

565

 

 

598,900

 

10.50%, 4/15/18

 

 

200

 

 

218,000

 

iPCS, Inc., 2.67%, 5/01/13 (g)

 

 

410

 

 

394,625

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

 

490

 

 

504,700

 

NII Capital Corp., 7.63%, 4/01/21

 

 

302

 

 

308,795

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

1,010

 

 

787,800

 

Sprint Nextel Corp., 9.00%, 11/15/18 (c)

 

 

1,230

 

 

1,371,450

 

 

 

 

 

 

 

6,071,395

 

Total Corporate Bonds — 99.8%

 

 

 

 

 

122,138,784

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

Par
(000)

 

Value

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit New Term Loan B,
5.50%, 4/20/17

 

USD

274

 

$

267,181

 

Auto Components — 0.2%

 

 

 

 

 

 

 

Schaeffler AG, Term Loan C2, 5.29%, 1/27/17

 

 

225

 

 

225,657

 

Building Products — 0.2%

 

 

 

 

 

 

 

Goodman Global, Inc., Term Loan (Second Lien),
9.00%, 10/30/17

 

 

191

 

 

193,893

 

Capital Markets — 0.4%

 

 

 

 

 

 

 

Nuveen Investments, Inc., Incremental Term Loan,
(First Lien):

 

 

 

 

 

 

 

7.25%, 3/14/19

 

 

185

 

 

186,619

 

7.25%, 5/13/17

 

 

295

 

 

297,065

 

 

 

 

 

 

 

483,684

 

Chemicals — 0.1%

 

 

 

 

 

 

 

Styron Sarl LLC, Term Loan B, 6.00% – 6.75%,
8/02/17

 

 

208

 

 

187,256

 

Commercial Services & Supplies — 0.8%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

 

220

 

 

219,674

 

Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16

 

 

325

 

 

325,348

 

Volume Services America, Inc. (FKA Centerplate),
Term Loan B, 10.50% – 10.75%, 9/16/16

 

 

444

 

 

446,228

 

 

 

 

 

 

 

991,250

 

Communications Equipment — 0.1%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B1, 3.24%, 10/24/14

 

 

90

 

 

88,062

 

Consumer Finance — 1.7%

 

 

 

 

 

 

 

Springleaf Finance Corp. (FKA AGFS Funding Co.),
Term Loan, 5.50%, 5/10/17

 

 

2,245

 

 

2,046,564

 

Diversified Consumer Services — 0.0%

 

 

 

 

 

 

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.75%, 7/24/14

 

 

4

 

 

4,005

 

Term Loan, 2.77% – 3.03%, 7/24/14

 

 

41

 

 

40,222

 

 

 

 

 

 

 

44,227

 

Diversified Telecommunication Services — 0.8%

 

 

 

 

 

 

 

Hawaiian Telcom Communications, Inc.:

 

 

 

 

 

 

 

Exit Term Loan, 9.00%, 2/25/17

 

 

405

 

 

403,987

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Term Loan B, 5.75%, 8/31/18

 

 

400

 

 

402,752

 

Tranche A Term Loan, 2.50% – 2.83%,
3/13/14

 

 

225

 

 

221,288

 

 

 

 

 

 

 

1,028,027

 

Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.):

 

 

 

 

 

 

 

Term Loan, 3.75%, 10/10/14

 

 

49

 

 

48,397

 

Term Loan, 4.00%, 7/14/17

 

 

125

 

 

122,165

 

 

 

 

 

 

 

170,562

 

Energy Equipment & Services — 2.2%

 

 

 

 

 

 

 

CCS Corp., Incremental Term Loan, 5.62%,
10/17/14

 

 

120

 

 

120,120

 

Dynegy Midwest Generation LLC., Coal Co.
Term Loan, 9.25%, 8/04/16

 

 

899

 

 

893,697

 

Dynegy Power LLC., Gas Co. Term Loan, 9.25%,
8/04/16

 

 

1,645

 

 

1,696,691

 

 

 

 

 

 

 

2,710,508

 

Food & Staples Retailing — 0.1%

 

 

 

 

 

 

 

US Foodservice, Inc., Term Loan B, 2.74%,
7/03/14

 

 

75

 

 

72,375

 

Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Term Loan (Second Lien),
11.25%, 9/29/17

 

 

400

 

 

400,332

 


 

 

 

See Notes to Financial Statements.

 

 

 

58

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

Par
(000)

 

Value

 

Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

Hupah Finance, Inc., Term Loan B, 6.25%,
1/21/19

 

USD

350

 

$

349,783

 

Health Care Providers & Services — 0.8%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Term Loan A, 8.50%, 3/02/15

 

 

184

 

 

180,745

 

Tranche A Additional Term Loan, 7.75%,
3/02/15

 

 

247

 

 

242,094

 

Health Management Associates, Inc., Term Loan B,
4.50%, 11/16/18

 

 

180

 

 

178,830

 

inVentiv Health, Inc., Combined Term Loan, 6.50%,
8/04/16

 

 

353

 

 

339,739

 

 

 

 

 

 

 

941,408

 

Hotels, Restaurants & Leisure — 1.3%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-1, 9.50%, 1/28/15

 

 

313

 

 

293,027

 

Term Loan B-3, 3.00% – 3.58%, 1/28/15

 

 

452

 

 

423,765

 

Term Loan B-3, 3.58%, 1/28/15

 

 

119

 

 

111,788

 

Term Loan B-4, 9.50%, 10/31/16

 

 

220

 

 

226,301

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.56% – 2.79%, 6/14/13

 

 

4

 

 

3,940

 

Term Loan B, 2.56%, 6/14/14

 

 

41

 

 

39,971

 

Station Casinos, Inc., Term Loan B1, 3.24%,
6/17/16

 

 

450

 

 

405,752

 

Travelport LLC (FKA Travelport, Inc.):

 

 

 

 

 

 

 

Extended Tranche A Term Loan, 6.54%, 9/28/12

 

 

85

 

 

40,439

 

Extended Tranche B Term Loan, 14.04%,
12/01/16

 

 

265

 

 

59,515

 

 

 

 

 

 

 

1,604,498

 

Independent Power Producers &
Energy Traders — 0.1%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co. LLC
(FKA TXU), Extended Term Loan, 4.76%, 10/10/17

 

 

341

 

 

190,048

 

Industrial Conglomerates — 0.2%

 

 

 

 

 

 

 

Sequa Corp., Incremental Term Loan, 6.25%,
12/03/14

 

 

205

 

 

205,683

 

IT Services — 0.3%

 

 

 

 

 

 

 

First Data Corp., Extended Term Loan B, 4.24%,
3/23/18

 

 

355

 

 

318,556

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/20/13

 

 

265

 

 

268,230

 

Media — 5.3%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc.
(FKA Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 1.49%, 7/03/14

 

 

140

 

 

129,920

 

Tranche 1 Incremental Term Loan, 7.50%,
7/03/14

 

 

724

 

 

700,228

 

Cequel Communications LLC, Term Loan B, 4.00%,
2/11/19

 

 

265

 

 

262,289

 

Clear Channel Communications:

 

 

 

 

 

 

 

Term Loan B, 3.89%, 1/28/16

 

 

965

 

 

791,969

 

Term Loan C, 3.89%, 1/28/16

 

 

177

 

 

140,218

 

HMH Publishing Co. Ltd., Tranche A Term Loan,
6.51%, 6/12/14

 

 

421

 

 

260,190

 

Intelsat Jackson Holdings SA (FKA Intelsat Jackson
Holdings Ltd.), Tranche B Term Loan, 5.25%,
4/02/18

 

 

3,275

 

 

3,269,682

 

Interactive Data Corp., Term Loan B, 4.50%, 2/12/18

 

 

25

 

 

24,944

 

Newsday LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

750

 

 

771,562

 

Univision Communications, Inc., Extended First Lien
Term Loan, 4.52%, 3/31/17

 

 

150

 

 

139,297

 

 

 

 

 

 

 

6,490,299

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels — 0.6%

 

 

 

 

 

 

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15

 

USD

765

 

$

769,196

 

Paper & Forest Products — 0.5%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

300

 

 

302,250

 

Verso Paper Finance Holdings LLC, Term Loan,
6.79% – 7.54%, 2/01/13 (j)

 

 

534

 

 

267,021

 

 

 

 

 

 

 

569,271

 

Pharmaceuticals — 0.1%

 

 

 

 

 

 

 

Pharmaceutical Products Development, Inc.,
Term Loan B, 6.25%, 12/05/18

 

 

180

 

 

181,575

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien),
5.00%, 6/28/13

 

 

753

 

 

749,944

 

Real Estate Management & Development — 0.2%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Letter of Credit, 4.53%, 10/10/16

 

 

35

 

 

32,294

 

Extended Term Loan, 4.77%, 10/10/16

 

 

245

 

 

227,626

 

 

 

 

 

 

 

259,920

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

NXP BV, Term Loan A-2, 5.50%, 3/03/17

 

 

30

 

 

29,775

 

Software — 0.2%

 

 

 

 

 

 

 

Infor Enterprise Solutions Holdings, Inc.:

 

 

 

 

 

 

 

Extended Delayed Draw Term Loan, 6.29%,
7/28/15

 

 

69

 

 

67,813

 

Extended Initial Term Loan, 6.29%, 7/28/15

 

 

131

 

 

127,687

 

 

 

 

 

 

 

195,500

 

Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 2.99% – 3.30%,
5/29/14

 

 

233

 

 

220,740

 

Wireless Telecommunication Services — 1.3%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/25/19

 

 

100

 

 

99,545

 

Vodafone Americas Finance 2, Inc. (j):

 

 

 

 

 

 

 

Term Loan, 6.88%, 8/11/15

 

 

831

 

 

830,646

 

Term Loan B, 6.25%, 7/11/16

 

 

619

 

 

617,203

 

 

 

 

 

 

 

1,547,394

 

Total Floating Rate Loan Interests — 19.4%

 

 

 

 

 

23,801,398

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts

 

 

 

 

 

 

 

Insurance — 0.2%

 

 

 

 

 

 

 

Genworth Financial, Inc., 6.15%, 11/15/66 (g)

 

 

390

 

 

267,637

 

Oil, Gas & Consumable Fuels — 0.2%

 

 

 

 

 

 

 

Range Resources Corp., 5.00%, 8/15/22 (i)

 

 

193

 

 

194,930

 

Total Capital Trusts — 0.4%

 

 

 

 

 

462,567

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Auto Components — 0.2%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (c)(f)

 

 

2,200

 

 

296,175

 

Diversified Financial Services — 1.1%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (c)

 

 

1,503

 

 

1,304,134

 

Media — 0.2%

 

 

 

 

 

 

 

Emmis Communications Corp., Series A, 6.25%

 

 

10,300

 

 

190,653

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

59




 

 

 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 

Real Estate Investment Trusts (REITs) — 0.0%

 

 

 

 

 

 

 

MPG Office Trust, Inc., Series A, 7.63% (a)

 

 

4,171

 

$

59,228

 

Thrifts & Mortgage Finance — 0.1%

 

 

 

 

 

 

 

Fannie Mae, Series O, 7.00% (a)(g)

 

 

10,000

 

 

18,500

 

Freddie Mac, Series Z, 8.38% (a)(g)

 

 

31,930

 

 

47,257

 

 

 

 

 

 

 

65,757

 

Total Preferred Stocks — 1.6%

 

 

 

 

 

1,915,947

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferreds

 

Par
(000)

 

 

 

 

Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (g)

 

USD

33,110

 

 

774,855

 

RBS Capital Funding Trust VII, 6.08%, 12/31/49 (g)

 

 

20,000

 

 

273,400

 

Total Trust Preferreds — 0.8%

 

 

 

 

 

1,048,255

 

Total Preferred Securities — 2.8%

 

 

 

 

 

3,426,769

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (l)

 

Shares

 

 

 

 

Media — 0.1%

 

 

 

 

 

 

 

Cumulus Media, Inc. (Expires 3/26/19)

 

 

18,441

 

 

133,202

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/29/17)

 

 

167

 

 

 

HMH Holdings/EduMedia (Expires 3/09/17)

 

 

3,476

 

 

 

Total Warrants — 0.1%

 

 

 

 

 

133,202

 

Total Long-Term Investments
(Cost — $148,491,381) — 123.2%

 

 

 

 

 

150,904,691

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.11% (m)(n)

 

 

840,816

 

 

840,816

 

Total Short-Term Securities
(Cost — $840,816) — 0.7%

 

 

 

 

 

840,816

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Exchange-Traded Put Options — 0.1%

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust:

 

 

 

 

 

 

 

Strike Price USD 134.00, Expires 3/17/12

 

 

500

 

 

47,000

 

Strike Price USD 136.00, Expires 3/17/12

 

 

85

 

 

13,430

 

Strike Price USD 136.00, Expires 4/21/12

 

 

85

 

 

27,115

 

Total Options Purchased
(Cost — $188,743) — 0.1%

 

 

 

 

 

87,545

 

Total Investments Before Options Written
(Cost — $149,520,940) — 124.0%

 

 

 

 

 

151,833,052

 


 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

Value

 

Exchange-Traded Put Options — (0.0)%

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust, Strike Price USD 125.00,
Expires 3/17/12

 

 

500

 

$

(7,250

)

Total Options Written
(Premiums Received — $36,987) — (0.0)%

 

 

 

 

 

(7,250

)

Total Investments, Net of Options Written — 124.0%

 

 

 

 

 

151,825,802

 

Liabilities in Excess of Other Assets — (24.0)%

 

 

 

 

 

(29,418,785

)

Net Assets — 100.0%

 

 

 

 

$

122,407,017

 


 

 


(a)


Non-income producing security.

 

 

(b)

Restricted security as to resale. As of report date the Trust held 0.5% of its net assets, with a current value of $554,962 in this security.

 

 

(c)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(d)

Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.

 

 

(e)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(f)

Convertible security.

 

 

(g)

Variable rate security. Rate shown is as of report date.

 

 

(h)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(i)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Bank of America Securities, Inc.

 

$

446,947

 

$

3,385

 

Barclays Capital, Inc.

 

$

136,175

 

$

975

 

Goldman Sachs & Co., Inc.

 

$

465,000

 

 

 

Morgan Stanley Co., Inc.

 

$

712,974

 

$

21,974

 


 

 

(j)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(k)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(l)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(m)

Represents the current yield as of report date.

 

 

(n)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

822,452

 

 

18,364

 

 

840,816

 

$

298

 


 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

Issue

 

 

Exchange

 

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

38

 

 

S&P 500 Index E-Mini

 

 

Chicago Mercantile

 

 

March 2012

 

$

2,592,360

 

$

(67,084

)


 

 

 

See Notes to Financial Statements.

 

 

 

60

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

Schedule of Investments (concluded)

BlackRock High Income Shares (HIS)


 

 

Foreign currency exchange contracts as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Depreciation

 

USD

1,163,487

 

GBP

759,000

 

UBS AG

 

4/11/12

 

$

(43,653

)

USD

6,199,639

 

EUR

4,826,500

 

Citibank NA

 

4/18/12

 

 

(231,869

)

USD

358,232

 

EUR

275,000

 

Royal Bank of
Scotland Plc

 

4/18/12

 

 

(8,217

)

Total

 

 

 

 

 

 

 

 

 

$

(283,739

)


 

 

 

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 rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such 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 are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Trust’s perceived risk of 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 Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

45,421

 

$

554,692

 

$

804,425

 

$

1,404,538

 

Corporate Bonds

 

 

 

 

120,436,117

 

 

1,702,667

 

 

122,138,784

 

Floating Rate
Loan Interests

 

 

 

 

20,534,349

 

 

3,267,049

 

 

23,801,398

 

Preferred Securities

 

 

1,363,893

 

 

2,062,876

 

 

 

 

3,426,769

 

Warrants

 

 

 

 

133,202

 

 

 

 

133,202

 

Short-Term Securities

 

 

840,816

 

 

 

 

 

 

840,816

 

Total

 

$

2,250,130

 

$

143,721,236

 

$

5,774,141

 

$

151,745,507

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity contracts

 

$

87,545

 

 

 

 

 

$

87,545

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity contracts

 

 

(74,334

)

 

 

 

 

 

(74,334

)

Foreign exchange
contracts

 

 

 

$

(283,739

)

 

 

 

(283,739

)

Total

 

$

13,211

 

$

(283,739

)

 

 

$

(270,528

)


 

 

 

 

1

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets/Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2011

 

$

1,023,120

 

$

1,804,070

 

$

3,539,166

 

$

476

 

$

137,173

 

$

104,162

 

$

6,608,167

 

Accrued discounts/premiums

 

 

 

 

 

 

29,563

 

 

 

 

 

 

 

 

29,563

 

Net realized gain (loss)

 

 

 

 

36,517

 

 

17,850

 

 

910

 

 

161,380

 

 

 

 

216,657

 

Net change in unrealized appreciation/depreciation2

 

 

(247,041

)

 

(51,342

)

 

(299,314

)

 

(476

)

 

(137,173

)

 

(2

)

 

(735,348

)

Purchases

 

 

28,345

 

 

20,922

 

 

184,164

 

 

 

 

 

 

 

 

233,431

 

Sales

 

 

 

 

(107,500

)

 

(215,110

)

 

(910

)

 

(161,380

)

 

 

 

(484,900

)

Transfers in3

 

 

1

 

 

 

 

785,105

 

 

 

 

 

 

 

 

785,106

 

Transfers out3

 

 

 

 

 

 

(774,375

)

 

 

 

 

 

(104,160

)

 

(878,535

)

Balance, as of February 29, 2012

 

$

804,425

 

$

1,702,667

 

$

3,267,049

 

 

 

 

 

 

 

$

5,774,141

 


 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on securities still held at February 29, 2012 was $(564,632).

 

 

 

 

3

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

A reconciliation of Level 3 investments 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.

See Notes to Financial Statements.

 

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


61




 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Auto Components — 2.6%

 

 

 

 

 

 

 

Delphi Automative Plc (a)

 

 

2,826

 

$

90,429

 

Delphi Automative Plc (180-day lock)
(Acquired 11/17/11, cost $332,803) (a)(b)

 

 

35,107

 

 

1,095,341

 

 

 

 

 

 

 

1,185,770

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

4,900

 

 

47,187

 

Commercial Banks — 0.2%

 

 

 

 

 

 

 

CIT Group, Inc. (a)

 

 

2,780

 

 

113,173

 

Diversified Telecommunication Services — 0.2%

 

 

 

 

 

 

 

Level 3 Communications, Inc. (a)

 

 

3,000

 

 

72,930

 

Energy Equipment & Services — 0.1%

 

 

 

 

 

 

 

Transocean Ltd.

 

 

900

 

 

48,006

 

Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Travelport Worldwide Ltd.

 

 

12,460

 

 

6,230

 

Media — 0.8%

 

 

 

 

 

 

 

Charter Communications, Inc. (a)

 

 

5,800

 

 

367,778

 

Paper & Forest Products — 0.0%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

2,234

 

 

3,522

 

Ainsworth Lumber Co. Ltd. (a)(c)

 

 

2,507

 

 

3,953

 

 

 

 

 

 

 

7,475

 

Road & Rail — 0.2%

 

 

 

 

 

 

 

Dollar Thrifty Automotive Group, Inc. (a)

 

 

1,000

 

 

75,910

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.

 

 

91

 

 

2

 

HMH Holdings/EduMedia

 

 

13,576

 

 

3,394

 

 

 

 

 

 

 

3,396

 

Total Common Stocks — 4.2%

 

 

 

 

 

1,927,855

 


 

 

 

 

 

 

 

 

Corporate Bonds

 


Par
(000
)

 

 

 

 

Aerospace & Defense — 0.8%

 

 

 

 

 

 

 

Huntington Ingalls Industries, Inc., 6.88%, 3/15/18

 

USD

160

 

 

168,400

 

Kratos Defense & Security Solutions, Inc.,
10.00%, 6/01/17

 

 

200

 

 

215,500

 

 

 

 

 

 

 

383,900

 

Air Freight & Logistics — 0.5%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 9/02/15

 

 

106

 

 

109,984

 

Series 2, 12.38%, 8/16/15

 

 

107

 

 

111,179

 

 

 

 

 

 

 

221,163

 

Airlines — 1.6%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust, Series 2011-2,
Class A, 8.63%, 10/15/21

 

 

197

 

 

208,820

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (c)

 

 

90

 

 

90,900

 

Series 2010-1, Class B, 6.00%, 1/12/19

 

 

96

 

 

93,073

 

United Air Lines, Inc., 12.75%, 7/15/12

 

 

246

 

 

254,113

 

US Airways Pass-Through Trust, 10.88%, 10/22/14

 

 

110

 

 

110,000

 

 

 

 

 

 

 

756,906

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Auto Components — 2.2%

 

 

 

 

 

 

 

B-Corp Merger Sub, Inc., 8.25%, 6/01/19 (c)

 

USD

35

 

$

35,700

 

Dana Holding Corp., 6.75%, 2/15/21

 

 

180

 

 

194,850

 

Delphi Corp., 6.13%, 5/15/21 (c)

 

 

30

 

 

32,175

 

Icahn Enterprises LP, 8.00%, 1/15/18

 

 

650

 

 

689,000

 

Stanadyne Corp., Series 1, 10.00%, 8/15/14

 

 

90

 

 

82,350

 

 

 

 

 

 

 

1,034,075

 

Beverages — 0.4%

 

 

 

 

 

 

 

Cott Beverages, Inc., 8.13%, 9/01/18

 

 

43

 

 

47,407

 

Crown European Holdings SA, 7.13%, 8/15/18

 

EUR

92

 

 

131,305

 

 

 

 

 

 

 

178,712

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

QHP Royalty Sub LLC, 10.25%, 3/15/15 (c)

 

USD

40

 

 

40,734

 

Building Products — 0.6%

 

 

 

 

 

 

 

Building Materials Corp. of America, 6.75%,
5/01/21 (c)

 

 

200

 

 

217,500

 

Momentive Performance Materials, Inc.,
11.50%, 12/01/16

 

 

80

 

 

67,200

 

 

 

 

 

 

 

284,700

 

Capital Markets — 1.1%

 

 

 

 

 

 

 

American Capital Ltd., 7.96%, 12/31/13 (e)

 

 

130

 

 

132,410

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17

 

 

180

 

 

209,700

 

Series A, 2.51%, 8/31/19 (f)(g)

 

 

71

 

 

67,184

 

KKR Group Finance Co., 6.38%, 9/29/20 (c)

 

 

110

 

 

117,064

 

 

 

 

 

 

 

526,358

 

Chemicals — 4.2%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

 

140

 

 

136,500

 

Ashland, Inc., 9.13%, 6/01/17

 

 

70

 

 

78,575

 

Basell Finance Co. BV, 8.10%, 3/15/27 (c)

 

 

85

 

 

97,325

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

300

 

 

327,000

 

Chemtura Corp., 7.88%, 9/01/18

 

 

65

 

 

69,875

 

Hexion U.S. Finance Corp., 9.00%, 11/15/20

 

 

50

 

 

49,000

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

25

 

 

28,250

 

Ineos Finance Plc, 8.38%, 2/15/19 (c)

 

 

100

 

 

106,250

 

Kinove German Bondco GmbH, 9.63%, 6/15/18 (c)

 

 

200

 

 

204,500

 

Kraton Polymers LLC, 6.75%, 3/01/19

 

 

20

 

 

20,400

 

Lyondell Chemical Co., 11.00%, 5/01/18

 

 

492

 

 

539,552

 

LyondellBasell Industries NV, 6.00%, 11/15/21 (c)

 

 

25

 

 

27,438

 

Nexeo Solutions LLC, 8.38%, 3/01/18 (c)

 

 

30

 

 

30,000

 

PolyOne Corp., 7.38%, 9/15/20

 

 

35

 

 

37,713

 

Solutia, Inc., 7.88%, 3/15/20

 

 

105

 

 

123,112

 

TPC Group LLC, 8.25%, 10/01/17 (c)

 

 

55

 

 

58,025

 

 

 

 

 

 

 

1,933,515

 

Commercial Banks — 2.1%

 

 

 

 

 

 

 

CIT Group, Inc. (c):

 

 

 

 

 

 

 

7.00%, 5/02/16

 

 

435

 

 

435,544

 

7.00%, 5/02/17

 

 

450

 

 

450,562

 

5.50%, 2/15/19

 

 

100

 

 

102,125

 

 

 

 

 

 

 

988,231

 

Commercial Services & Supplies — 2.0%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15

 

 

55

 

 

60,707

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

4

 

 

4,105

 

Aviation Capital Group Corp., 6.75%, 4/06/21 (c)

 

 

92

 

 

91,194

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16

 

 

181

 

 

188,936

 

Brickman Group Holdings, Inc., 9.13%, 11/01/18 (c)

 

 

7

 

 

6,650

 

Iron Mountain, Inc., 7.75%, 10/01/19

 

 

60

 

 

66,300

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

60

 

 

63,000

 


See Notes to Financial Statements.

 

 

 


62


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Commercial Services & Supplies (concluded)

 

 

 

 

 

 

 

RSC Equipment Rental, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/17 (c)

 

USD

100

 

$

116,000

 

8.25%, 2/01/21

 

 

148

 

 

156,880

 

Verisure Holding AB, 8.75%, 9/01/18

 

EUR

100

 

 

134,562

 

West Corp., 8.63%, 10/01/18

 

USD

25

 

 

27,438

 

 

 

 

 

 

 

915,772

 

Communications Equipment — 0.4%

 

 

 

 

 

 

 

Avaya, Inc., 9.75%, 11/01/15

 

 

40

 

 

40,000

 

Frontier Communications Corp., 6.25%, 1/15/13

 

 

150

 

 

154,875

 

 

 

 

 

 

 

194,875

 

Computers & Peripherals — 0.1%

 

 

 

 

 

 

 

SanDisk Corp., 1.50%, 8/15/17 (g)

 

 

40

 

 

47,900

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Boart Longyear Management Ltd., 7.00%,
4/01/21 (c)

 

 

35

 

 

36,838

 

Construction Materials — 0.3%

 

 

 

 

 

 

 

Xefin Lux SCA, 8.00%, 6/01/18

 

EUR

100

 

 

133,896

 

Consumer Finance — 2.3%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

USD

80

 

 

85,200

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.00%, 4/15/15

 

 

500

 

 

555,000

 

12.00%, 5/15/15

 

 

120

 

 

150,893

 

6.63%, 8/15/17

 

 

230

 

 

260,628

 

 

 

 

 

 

 

1,051,721

 

Containers & Packaging — 1.2%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc, 9.13%, 10/15/20 (c)

 

 

200

 

 

206,500

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

4.35%, 9/15/14 (d)

 

 

50

 

 

47,875

 

8.25%, 11/15/15

 

 

20

 

 

21,500

 

9.75%, 1/15/21

 

 

60

 

 

64,200

 

Graphic Packaging International, Inc.,
7.88%, 10/01/18

 

 

60

 

 

66,000

 

Sealed Air Corp., 8.38%, 9/15/21 (c)

 

 

40

 

 

45,800

 

Smurfit Kappa Acquisitions, 7.75%, 11/15/19

 

EUR

64

 

 

91,875

 

 

 

 

 

 

 

543,750

 

Diversified Consumer Services — 0.2%

 

 

 

 

 

 

 

ServiceMaster Co., 8.00%, 2/15/20 (c)

 

USD

110

 

 

116,050

 

Diversified Financial Services — 5.1%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15

 

 

150

 

 

165,750

 

6.25%, 12/01/17

 

 

100

 

 

103,362

 

8.00%, 3/15/20

 

 

300

 

 

339,750

 

7.50%, 9/15/20

 

 

120

 

 

132,150

 

8.00%, 11/01/31

 

 

330

 

 

368,362

 

8.00%, 11/01/31

 

 

100

 

 

108,506

 

Axcan Intermediate Holdings, Inc., 12.75%,
3/01/16

 

 

145

 

 

154,606

 

DPL, Inc., 7.25%, 10/15/21

 

 

130

 

 

148,200

 

Leucadia National Corp.:

 

 

 

 

 

 

 

8.13%, 9/15/15

 

 

140

 

 

155,750

 

Reynolds Group Issuer, Inc. (c):

 

 

 

 

 

 

 

8.75%, 10/15/16

 

 

250

 

 

266,250

 

7.88%, 8/15/19

 

 

100

 

 

109,500

 

9.88%, 8/15/19

 

 

100

 

 

103,375

 

6.88%, 2/15/21

 

 

65

 

 

68,900

 

WMG Acquisition Corp. (c):

 

 

 

 

 

 

 

9.50%, 6/15/16

 

 

20

 

 

22,100

 

11.50%, 10/01/18

 

 

95

 

 

100,938

 

 

 

 

 

 

 

2,347,499

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 

Diversified Telecommunication Services — 3.4%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc.,
11.38%, 9/01/12

 

USD

195

 

$

175,012

 

Level 3 Financing, Inc. (c):

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

500

 

 

523,750

 

8.63%, 7/15/20

 

 

170

 

 

181,475

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

300

 

 

301,050

 

8.00%, 10/01/15

 

 

200

 

 

214,688

 

Videotron Ltee, 5.00%, 7/15/22 (c)

 

 

20

 

 

20,050

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

25

 

 

26,813

 

7.88%, 11/01/17

 

 

100

 

 

112,750

 

 

 

 

 

 

 

1,555,588

 

Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

Jabil Circuit, Inc., 8.25%, 3/15/18

 

 

40

 

 

47,600

 

Energy Equipment & Services — 3.2%

 

 

 

 

 

 

 

Antero Resources Finance Corp., 7.25%,
8/01/19 (c)

 

 

25

 

 

26,375

 

Atwood Oceanics, Inc., 6.50%, 2/01/20

 

 

25

 

 

26,313

 

Calfrac Holdings LP, 7.50%, 12/01/20 (c)

 

 

65

 

 

65,000

 

Compagnie Générale de Géophysique-Veritas,
7.75%, 5/15/17

 

 

65

 

 

67,681

 

Forbes Energy Services Ltd., 9.00%, 6/15/19

 

 

60

 

 

59,100

 

Frac Tech Services LLC, 7.63%, 11/15/18 (c)

 

 

295

 

 

314,912

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

75

 

 

78,562

 

MEG Energy Corp., 6.50%, 3/15/21 (c)

 

 

165

 

 

176,550

 

Oil States International, Inc., 6.50%, 6/01/19 (c)

 

 

50

 

 

53,750

 

Peabody Energy Corp., 6.25%, 11/15/21 (c)

 

 

440

 

 

460,900

 

Transocean, Inc., 6.38%, 12/15/21

 

 

125

 

 

147,519

 

 

 

 

 

 

 

1,476,662

 

Food Products — 0.2%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

 

40

 

 

45,000

 

Post Holdings, Inc., 7.38%, 2/15/22 (c)

 

 

40

 

 

42,600

 

Smithfield Foods, Inc., 10.00%, 7/15/14

 

 

6

 

 

7,035

 

 

 

 

 

 

 

94,635

 

Health Care Equipment & Supplies — 2.2%

 

 

 

 

 

 

 

Biomet, Inc.:

 

 

 

 

 

 

 

10.00%, 10/15/17

 

 

35

 

 

38,019

 

10.38%, 10/15/17 (h)

 

 

250

 

 

272,188

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

385

 

 

391,737

 

7.75%, 4/15/18 (c)

 

 

20

 

 

17,200

 

Fresenius Medical Care US Finance II, Inc., 5.88%,
1/31/22 (c)

 

 

110

 

 

116,050

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (c)

 

 

54

 

 

59,805

 

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (c)

 

 

80

 

 

92,400

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

50

 

 

53,875

 

 

 

 

 

 

 

1,041,274

 

Health Care Providers & Services — 5.5%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

65

 

 

66,463

 

Crown Newco 3 Plc, 7.00%, 2/15/18

 

GBP

100

 

 

156,704

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

USD

25

 

 

28,000

 

6.50%, 2/15/20

 

 

335

 

 

359,287

 

7.88%, 2/15/20

 

 

115

 

 

126,787

 

7.25%, 9/15/20

 

 

410

 

 

446,900

 

5.88%, 3/15/22

 

 

45

 

 

46,125

 


See Notes to Financial Statements.

 

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


63




 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Health Care Providers & Services (concluded)

 

 

 

 

 

 

 

Health Management Associates, Inc., 7.38%,
1/15/20 (c)

 

USD

160

 

$

166,800

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

125

 

 

119,375

 

INC Research LLC, 11.50%, 7/15/19 (c)

 

 

70

 

 

67,200

 

inVentiv Health, Inc., 10.00%, 8/15/18 (c)

 

 

20

 

 

18,200

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

160

 

 

178,200

 

PSS World Medical, Inc., 6.38%, 3/01/22 (c)

 

 

50

 

 

52,000

 

Symbion, Inc., 8.00%, 6/15/16

 

 

55

 

 

53,075

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

279

 

 

325,035

 

6.25%, 11/01/18 (c)

 

 

55

 

 

58,644

 

8.88%, 7/01/19

 

 

245

 

 

279,300

 

 

 

 

 

 

 

2,548,095

 

Health Care Technology — 1.1%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (c)

 

 

410

 

 

487,900

 

Hotels, Restaurants & Leisure — 3.2%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

11.25%, 6/01/17

 

 

25

 

 

27,375

 

10.00%, 12/15/18

 

 

235

 

 

181,537

 

Caesars Operating Escrow LLC 8.50%, 2/15/20 (c)

 

 

125

 

 

127,500

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

 

200

 

 

211,000

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (c)

 

 

25

 

 

23,813

 

MGM Resorts International:

 

 

 

 

 

 

 

13.00%, 11/15/13

 

 

25

 

 

29,188

 

10.38%, 5/15/14

 

 

465

 

 

528,937

 

4.25%, 4/15/15 (g)

 

 

95

 

 

101,888

 

11.13%, 11/15/17

 

 

185

 

 

210,437

 

Travelport LLC:

 

 

 

 

 

 

 

5.11%, 9/01/14 (d)

 

 

20

 

 

10,250

 

9.88%, 9/01/14

 

 

5

 

 

2,863

 

6.58%, 12/01/16 (c)(h)

 

 

66

 

 

46,311

 

Tropicana Entertainment LLC, Series WI, 9.63%,

 

 

 

 

 

 

 

12/15/14 (a)(d)(i)

 

 

25

 

 

 

 

 

 

 

 

 

1,501,099

 

Household Durables — 1.5%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17

 

 

190

 

 

207,100

 

Jarden Corp., 8.00%, 5/01/16

 

 

40

 

 

43,750

 

Ryland Group, Inc., 6.63%, 5/01/20

 

 

60

 

 

61,200

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

 

300

 

 

344,625

 

8.38%, 1/15/21

 

 

50

 

 

53,125

 

 

 

 

 

 

 

709,800

 

Household Products — 0.4%

 

 

 

 

 

 

 

Spectrum Brands Holdings, Inc.:

 

 

 

 

 

 

 

9.50%, 6/15/18

 

 

60

 

 

68,400

 

9.50%, 6/15/18 (c)

 

 

100

 

 

114,000

 

 

 

 

 

 

 

182,400

 

Independent Power Producers &
Energy Traders — 3.0%

 

 

 

 

 

 

 

The AES Corp., 7.38%, 7/01/21 (c)

 

 

110

 

 

125,400

 

Calpine Corp. (c):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

30

 

 

31,800

 

7.50%, 2/15/21

 

 

15

 

 

16,275

 

7.88%, 1/15/23

 

 

45

 

 

49,050

 

Energy Future Holdings Corp., 10.00%, 1/15/20

 

 

540

 

 

583,875

 

Energy Future Intermediate Holding Co. LLC:

 

 

 

 

 

 

 

10.00%, 12/01/20

 

 

158

 

 

171,627

 

11.75%, 3/01/22

 

 

240

 

 

246,000

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Independent Power Producers &
Energy Traders (concluded)

 

 

 

 

 

 

 

Laredo Petroleum, Inc., 9.50%, 2/15/19

 

USD

90

 

$

99,225

 

QEP Resources, Inc., 5.38%, 10/01/22

 

 

56

 

 

56,560

 

 

 

 

 

 

 

1,379,812

 

Industrial Conglomerates — 2.2%

 

 

 

 

 

 

 

Sequa Corp. (c):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

350

 

 

371,875

 

13.50%, 12/01/15

 

 

586

 

 

625,317

 

 

 

 

 

 

 

997,192

 

Insurance — 0.4%

 

 

 

 

 

 

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (c)

 

 

61

 

 

65,651

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

70

 

 

72,627

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)

 

 

40

 

 

35,700

 

 

 

 

 

 

 

173,978

 

IT Services — 1.8%

 

 

 

 

 

 

 

Epicor Software Corp., 8.63%, 5/01/19 (c)

 

 

87

 

 

90,045

 

First Data Corp. (c):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

35

 

 

35,394

 

8.88%, 8/15/20

 

 

90

 

 

97,425

 

8.25%, 1/15/21

 

 

105

 

 

101,587

 

12.63%, 1/15/21

 

 

236

 

 

247,800

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

130

 

 

139,750

 

7.63%, 11/15/20

 

 

100

 

 

108,000

 

 

 

 

 

 

 

820,001

 

Machinery — 1.2%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (g)

 

 

128

 

 

144,160

 

8.25%, 11/01/21

 

 

45

 

 

49,219

 

SPX Corp., 6.88%, 9/01/17

 

 

30

 

 

33,300

 

UR Financing Escrow Corp. (c)(j):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

43

 

 

44,182

 

7.38%, 5/15/20

 

 

60

 

 

61,575

 

7.63%, 4/15/22

 

 

216

 

 

223,560

 

 

 

 

 

 

 

555,996

 

Media — 14.8%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

130

 

 

116,350

 

AMC Networks, Inc., 7.75%, 7/15/21 (c)

 

 

40

 

 

44,600

 

CCH II LLC, 13.50%, 11/30/16

 

 

179

 

 

205,277

 

CCO Holdings LLC:

 

 

 

 

 

 

 

7.38%,6/01/20

 

 

40

 

 

44,000

 

6.50%, 4/30/21

 

 

378

 

 

401,625

 

Checkout Holding Corp., 10.68%, 11/15/15 (c)(f)

 

 

110

 

 

49,500

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

35

 

 

38,938

 

Clear Channel Communications, Inc., 9.00%, 3/01/21

 

 

95

 

 

87,400

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

246

 

 

269,370

 

7.63%, 3/15/20 (c)

 

 

175

 

 

175,000

 

Series B, 9.25%, 12/15/17

 

 

966

 

 

1,062,600

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

Loan Close 2, 12.00%, 8/15/18

 

 

128

 

 

130,350

 

Loan Close 3, 12.00%, 8/15/18

 

 

147

 

 

149,028

 

Shares Loan, 12.00%, 8/15/18

 

 

151

 

 

153,701

 

CSC Holdings LLC, 8.50%, 4/15/14

 

 

80

 

 

88,800

 

DISH DBS Corp.:

 

 

 

 

 

 

 

7.00%, 10/01/13

 

 

40

 

 

42,950

 

6.75%, 6/01/21

 

 

130

 

 

144,300

 

Gray Television, Inc., 10.50%, 6/29/15

 

 

250

 

 

264,062

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (d)

 

 

50

 

 

34,125

 

9.50%, 5/15/15

 

 

45

 

 

35,438

 


See Notes to Financial Statements.

 

 

 


64


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Intelsat Jackson Holdings SA, 11.25%, 6/15/16

 

USD

240

 

$

253,800

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 2/04/17

 

 

160

 

 

165,000

 

11.50%, 2/04/17 (h)

 

 

163

 

 

167,890

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

220

 

 

248,050

 

The Interpublic Group of Cos., Inc., 10.00%,
7/15/17

 

 

55

 

 

62,975

 

Kabel BW Holdings GmbH, 7.50%, 3/15/19

 

EUR

112

 

 

159,663

 

Kabel Deutschland GmbH, 6.50%, 6/29/18

 

 

100

 

 

141,224

 

Lamar Media Corp., 5.88%, 2/01/22 (c)

 

USD

35

 

 

36,531

 

Live Nation Entertainment, Inc., 8.13%, 5/15/18 (c)

 

 

125

 

 

132,969

 

Musketeer GmbH, 9.50%, 3/15/21

 

EUR

100

 

 

143,888

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (c)

 

USD

105

 

 

115,500

 

The New York Times Co., 6.63%, 12/15/16

 

 

225

 

 

234,562

 

Nielsen Finance LLC, 7.75%, 10/15/18

 

 

600

 

 

667,500

 

ProQuest LLC, 9.00%, 10/15/18 (c)

 

 

85

 

 

75,225

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(c)(g)(i)

 

 

414

 

 

207

 

Unitymedia Hessen GmbH & Co. KG (FKA UPC
Germany GmbH), 8.13%, 12/01/17 (c)

 

 

400

 

 

434,000

 

Ziggo Bond Co. BV, 8.00%, 5/15/18

 

EUR

65

 

 

91,579

 

Ziggo Finance BV, 6.13%, 11/15/17

 

 

120

 

 

165,871

 

 

 

 

 

 

 

6,833,848

 

Metals & Mining — 2.3%

 

 

 

 

 

 

 

Goldcorp, Inc., 2.00%, 8/01/14 (g)

 

USD

85

 

 

107,738

 

New World Resources NV, 7.88%, 5/01/18

 

EUR

110

 

 

148,751

 

Newmont Mining Corp., Series A, 1.25%,
7/15/14 (g)

 

USD

90

 

 

124,200

 

Novelis, Inc., 8.75%, 12/15/20

 

 

545

 

 

607,675

 

Taseko Mines Ltd., 7.75%, 4/15/19

 

 

70

 

 

67,200

 

 

 

 

 

 

 

1,055,564

 

Multiline Retail — 2.2%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%, 7/15/17 (d)

 

 

929

 

 

1,019,587

 

Oil, Gas & Consumable Fuels — 10.5%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc., 6.25%, 6/01/21

 

 

65

 

 

63,050

 

Aurora USA Oil & Gas, Inc., 9.88%, 2/15/17 (c)

 

 

80

 

 

82,400

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

80

 

 

83,400

 

Bill Barrett Corp., 9.88%, 7/15/16

 

 

5

 

 

5,525

 

BreitBurn Energy Partners LP, 7.88%, 4/15/22 (c)

 

 

40

 

 

41,900

 

Carrizo Oil & Gas, Inc., 8.63%, 10/15/18

 

 

20

 

 

20,800

 

Chesapeake Midstream Partners LP, 6.13%,
7/15/22 (c)

 

 

45

 

 

46,575

 

Chesapeake Oilfield Operating LLC, 6.63%,
11/15/19 (c)

 

 

10

 

 

10,200

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (c)

 

 

45

 

 

48,150

 

Concho Resources, Inc., 7.00%, 1/15/21

 

 

70

 

 

78,750

 

Consol Energy, Inc., 8.25%, 4/01/20

 

 

330

 

 

359,700

 

Continental Resources, Inc., 7.13%, 4/01/21

 

 

60

 

 

66,600

 

Copano Energy LLC, 7.13%, 4/01/21

 

 

55

 

 

58,300

 

Crosstex Energy LP, 8.88%, 2/15/18

 

 

30

 

 

32,550

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

109

 

 

124,260

 

6.38%, 8/15/21

 

 

60

 

 

66,150

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

90

 

 

99,675

 

7.75%, 6/15/19

 

 

150

 

 

158,250

 

EV Energy Partners LP, 8.00%, 4/15/19 (c)

 

 

25

 

 

26,250

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (c)

 

 

125

 

 

136,250

 

Holly Energy Partners LP, 6.50%, 3/01/20 (c)

 

 

25

 

 

25,531

 

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (c)

 

 

55

 

 

58,850

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (c)

 

USD

15

 

$

15,300

 

6.25%, 11/01/19 (c)(j)

 

 

345

 

 

344,569

 

8.63%, 4/15/20

 

 

40

 

 

44,400

 

7.75%, 2/01/21

 

 

75

 

 

80,625

 

MarkWest Energy Partners LP, 6.75%, 11/01/20

 

 

25

 

 

27,313

 

Newfield Exploration Co., 6.88%, 2/01/20

 

 

160

 

 

172,800

 

Niska Gas Storage US LLC, 8.88%, 3/15/18

 

 

95

 

 

91,200

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

55

 

 

58,300

 

6.50%, 11/01/21

 

 

50

 

 

51,500

 

OGX Petroleo e Gas Participações SA, 8.50%,
6/01/18 (c)

 

 

900

 

 

938,250

 

PBF Holding Co. LLC, 8.25%, 2/15/20 (c)

 

 

55

 

 

55,000

 

PetroBakken Energy Ltd., 8.63%, 2/01/20 (c)

 

 

145

 

 

154,062

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

65

 

 

72,231

 

7.88%, 6/01/15

 

 

15

 

 

15,844

 

7.25%, 8/15/18

 

 

55

 

 

62,906

 

Petroleum Geo-Services ASA, 7.38%, 12/15/18 (c)

 

 

95

 

 

99,750

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

75

 

 

88,100

 

7.50%, 1/15/20

 

 

25

 

 

30,894

 

Plains Exploration & Production Co.:

 

 

 

 

 

 

 

6.63%, 5/01/21

 

 

130

 

 

140,400

 

6.75%, 2/01/22

 

 

90

 

 

98,550

 

Precision Drilling Corp., 6.50%, 12/15/21 (c)

 

 

45

 

 

48,038

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

20

 

 

22,300

 

5.75%, 6/01/21

 

 

160

 

 

171,200

 

Ruby Pipeline LLC, 6.00%, 4/01/22 (c)

 

 

65

 

 

64,870

 

Samson Investment Co., 9.75%, 2/15/20 (c)

 

 

105

 

 

110,513

 

SandRidge Energy, Inc., 7.50%, 3/15/21 (c)

 

 

80

 

 

80,800

 

SM Energy Co., 6.63%, 2/15/19 (c)

 

 

20

 

 

21,450

 

 

 

 

 

 

 

4,854,281

 

Paper & Forest Products — 2.3%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (c)(h)

 

 

22

 

 

15,917

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

80

 

 

88,000

 

8.00%, 4/01/20

 

 

30

 

 

32,925

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

70

 

 

79,537

 

7.13%, 11/01/18

 

 

95

 

 

101,175

 

Georgia-Pacific LLC, 8.25%, 5/01/16 (c)

 

 

285

 

 

315,731

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (c)

 

 

55

 

 

56,513

 

NewPage Corp., 11.38%, 12/31/14 (a)(i)

 

 

365

 

 

219,912

 

Sappi Papier Holding GmbH, 6.63%, 4/15/21 (c)

 

 

25

 

 

23,438

 

Verso Paper Holdings LLC, 11.50%, 7/01/14

 

 

135

 

 

137,700

 

 

 

 

 

 

 

1,070,848

 

Pharmaceuticals — 0.7%

 

 

 

 

 

 

 

Jaguar Holding Co. II, 9.50%, 12/01/19 (c)

 

 

70

 

 

76,562

 

Valeant Pharmaceuticals International, 6.50%,
7/15/16 (c)

 

 

225

 

 

229,500

 

 

 

 

 

 

 

306,062

 

Professional Services — 0.6%

 

 

 

 

 

 

 

FTI Consulting, Inc.:

 

 

 

 

 

 

 

7.75%, 10/01/16

 

 

100

 

 

104,125

 

6.75%, 10/01/20

 

 

150

 

 

162,188

 

 

 

 

 

 

 

266,313

 


See Notes to Financial Statements.

 

 

 

 

 


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012


65




 

 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

USD

250

 

$

255,625

 

The Rouse Co. LP, 6.75%, 11/09/15

 

 

85

 

 

88,931

 

 

 

 

 

 

 

344,556

 

Real Estate Management & Development — 2.0%

 

 

 

 

 

 

 

CB Richard Ellis Services, Inc., 6.63%, 10/15/20

 

 

55

 

 

58,437

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17 (k)

 

 

60

 

 

54,900

 

12.00%, 4/15/17 (k)

 

 

15

 

 

13,800

 

7.88%, 2/15/19 (c)

 

 

400

 

 

388,000

 

7.63%, 1/15/20 (c)

 

 

120

 

 

123,900

 

9.00%, 1/15/20 (c)

 

 

60

 

 

60,300

 

Shea Homes LP, 8.63%, 5/15/19 (c)

 

 

205

 

 

207,050

 

 

 

 

 

 

 

906,387

 

Road & Rail — 1.3%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 8.25%, 1/15/19

 

 

25

 

 

26,063

 

Florida East Coast Railway Corp., 8.13%, 2/01/17 (c)

 

 

80

 

 

80,800

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

150

 

 

161,812

 

6.75%, 4/15/19

 

 

60

 

 

62,850

 

6.75%, 4/15/19 (c)

 

 

50

 

 

52,375

 

7.38%, 1/15/21

 

 

195

 

 

211,087

 

 

 

 

 

 

 

594,987

 

Semiconductors & Semiconductor
Equipment — 0.1%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17

 

 

50

 

 

49,125

 

Software — 0.2%

 

 

 

 

 

 

 

Sophia LP, 9.75%, 1/15/19 (c)

 

 

78

 

 

83,850

 

Specialty Retail — 2.5%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc.:

 

 

 

 

 

 

 

7.63%, 3/15/17

 

 

60

 

 

61,800

 

8.38%, 11/15/20

 

 

60

 

 

64,350

 

House of Fraser Funding Plc, 8.88%, 8/15/18

 

GBP

100

 

 

142,386

 

Limited Brands, Inc.:

 

 

 

 

 

 

 

8.50%, 6/15/19

 

USD

140

 

 

167,300

 

5.63%, 2/15/22

 

 

25

 

 

25,750

 

Phones4u Finance Plc, 9.50%, 4/01/18

 

GBP

100

 

 

139,601

 

QVC, Inc. (c):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

40

 

 

43,000

 

7.50%, 10/01/19

 

 

100

 

 

111,000

 

7.38%, 10/15/20

 

 

55

 

 

60,913

 

Sally Holdings LLC, 6.88%, 11/15/19 (c)

 

 

90

 

 

96,750

 

Sonic Automotive, Inc., 9.00%, 3/15/18

 

 

65

 

 

70,687

 

Toys ‘R’ US-Delaware, Inc., 7.38%, 9/01/16 (c)

 

 

25

 

 

25,688

 

United Auto Group, Inc., 7.75%, 12/15/16

 

 

165

 

 

172,014

 

 

 

 

 

 

 

1,181,239

 

Transportation Infrastructure — 0.3%

 

 

 

 

 

 

 

Aguila 3 SA, 7.88%, 1/31/18

 

 

150

 

 

157,688

 

Wireless Telecommunication Services — 5.3%

 

 

 

 

 

 

 

Cricket Communications, Inc., 7.75%, 5/15/16

 

 

250

 

 

266,250

 

Digicel Group Ltd. (c):

 

 

 

 

 

 

 

9.13%, 1/15/15

 

 

294

 

 

299,880

 

8.25%, 9/01/17

 

 

330

 

 

349,800

 

iPCS, Inc., 2.67%, 5/01/13 (d)

 

 

140

 

 

134,750

 

Matterhorn Mobile Holdings SA, 8.25%, 2/15/20

 

EUR

100

 

 

137,227

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

USD

150

 

 

154,500

 

NII Capital Corp., 7.63%, 4/01/21

 

 

60

 

 

61,350

 

Sprint Capital Corp., 6.88%, 11/15/28 (j)

 

 

330

 

 

257,400

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

Sprint Nextel Corp. (c):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

USD

400

 

$

446,000

 

7.00%, 3/01/20

 

 

330

 

 

335,362

 

 

 

 

 

 

 

2,442,519

 

Total Corporate Bonds — 100.5%

 

 

 

 

 

46,475,481

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (d)

 

 

 

 

 

 

 

Airlines — 0.3%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit New Term Loan B,
5.50%, 4/20/17

 

 

122

 

 

118,932

 

Auto Components — 0.2%

 

 

 

 

 

 

 

Schaeffler AG, Term Loan C2, 5.25%, 1/27/17

 

 

90

 

 

90,263

 

Building Products — 0.0%

 

 

 

 

 

 

 

Goodman Global, Inc., Term Loan (Second Lien),
9.00%, 10/30/17

 

 

16

 

 

16,158

 

Capital Markets — 0.4%

 

 

 

 

 

 

 

Nuveen Investments, Inc., Incremental Term Loan
(First Lien):

 

 

 

 

 

 

 

7.25%, 5/13/17

 

 

110

 

 

110,770

 

7.25%, 3/14/19

 

 

70

 

 

70,613

 

 

 

 

 

 

 

181,383

 

Commercial Services & Supplies — 0.8%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

 

110

 

 

109,837

 

Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16

 

 

100

 

 

100,107

 

Volume Services America, Inc. (FKA Centerplate),
Term Loan B, 10.50 – 10.75%, 9/16/16

 

 

163

 

 

163,617

 

 

 

 

 

 

 

373,561

 

Communications Equipment — 0.1%

 

 

 

 

 

 

 

Avaya, Inc., Term Loan B1, 3.24%, 10/24/14

 

 

30

 

 

29,354

 

Construction & Engineering — 0.5%

 

 

 

 

 

 

 

Safway Services LLC, Mezzanine Loan,
15.63%, 12/16/17

 

 

250

 

 

250,000

 

Consumer Finance — 1.6%

 

 

 

 

 

 

 

Springleaf Financial Funding Co. (FKA AGFS
Funding Co.), Term Loan, 5.50%, 5/10/17

 

 

840

 

 

765,752

 

Diversified Consumer Services — 0.0%

 

 

 

 

 

 

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.75%, 7/24/14

 

 

1

 

 

1,335

 

Term Loan, 2.77% – 3.03%, 7/24/14

 

 

14

 

 

13,407

 

 

 

 

 

 

 

14,742

 

Diversified Telecommunication Services — 0.5%

 

 

 

 

 

 

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Term Loan B, 5.75%, 8/31/18

 

 

150

 

 

151,032

 

Tranche A Term Loan, 2.50% – 2.83%, 3/13/14

 

 

75

 

 

73,762

 

 

 

 

 

 

 

224,794

 

Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

CDW LLC (FKA CDW Corp.), Term Loan, 4.00%,
7/14/17

 

 

50

 

 

48,866

 

Energy Equipment & Services — 2.2%

 

 

 

 

 

 

 

CCS Corp., Incremental Term Loan, 5.56%, 10/17/14

 

 

45

 

 

45,045

 

Dynegy Midwest Generation LLC, Coal Co. Term Loan,
9.25%, 8/04/16

 

 

335

 

 

332,946

 

Dynegy Power LLC, Gas Co. Term Loan,
9.25%, 8/04/16

 

 

613

 

 

632,100

 

 

 

 

 

 

 

1,010,091

 


 

 

 

See Notes to Financial Statements.

 

 

 

66

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (d)

 

Par
(000)

 

Value

 

Food & Staples Retailing — 0.1%

 

 

 

 

 

 

 

US Foodservice, Inc., Term Loan B, 2.74%, 7/03/14

 

USD

30

 

$

28,950

 

Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Inc., Term Loan (Second Lien),
11.25%, 9/29/17

 

 

135

 

 

135,112

 

Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19

 

 

130

 

 

129,919

 

Health Care Providers & Services — 0.8%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Term Loan, 8.50%, 3/02/15

 

 

70

 

 

68,282

 

Tranche A Additional Term Loan, 7.75%, 3/02/15

 

 

82

 

 

80,698

 

Health Management Associates, Inc., Term Loan B,
4.50%, 11/16/18

 

 

65

 

 

64,577

 

inVentiv Health, Inc., Combined Term Loan,
6.50%, 8/04/16

 

 

177

 

 

169,870

 

 

 

 

 

 

 

383,427

 

Hotels, Restaurants & Leisure — 1.4%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-3, 3.25%, 1/28/15

 

 

166

 

 

155,694

 

Term Loan B-3, 9.50%, 1/28/15

 

 

128

 

 

119,539

 

Term Loan B-3, 9.50%, 1/28/15

 

 

54

 

 

50,446

 

Term Loan B-4, 9.50%, 10/31/16

 

 

85

 

 

87,434

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.56 – 2.79%, 6/14/13

 

 

2

 

 

1,751

 

Term Loan B, 2.56%, 6/14/14

 

 

18

 

 

17,765

 

Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16

 

 

175

 

 

157,792

 

Travelport LLC (FKA Travelport, Inc.):

 

 

 

 

 

 

 

Extended Tranche A Term Loan, 6.54%, 9/28/12

 

 

30

 

 

14,363

 

Extended Tranche B Term Loan,
14.04%, 12/01/16

 

 

94

 

 

21,138

 

 

 

 

 

 

 

625,922

 

Independent Power Producers &
Energy Traders — 0.1%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co. LLC (FKA TXU),
Extended Term Loan, 4.76%, 10/10/17

 

 

126

 

 

70,205

 

Industrial Conglomerates — 0.2%

 

 

 

 

 

 

 

Sequa Corp., Incremental Term Loan,
6.25%, 12/03/14

 

 

75

 

 

75,250

 

IT Services — 0.3%

 

 

 

 

 

 

 

First Data Corp., Extended Term Loan B,
4.24%, 3/23/18

 

 

130

 

 

116,654

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/20/13

 

 

100

 

 

101,219

 

Media — 5.4%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (FKA Thomson
Learning), Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

 

 

301

 

 

289,089

 

Cequel Communications LLC, Term Loan B,
4.00%, 2/11/19

 

 

100

 

 

98,977

 

Clear Channel Communication:

 

 

 

 

 

 

 

Term Loan B, 3.89%, 1/28/16

 

 

365

 

 

299,553

 

Term Loan C, 3.89%, 1/28/16

 

 

63

 

 

49,612

 

HMH Publishing Co. Ltd., Tranche A, Term Loan,
6.51%, 6/12/14

 

 

145

 

 

89,354

 

Intelsat Jackson Holdings SA (FKA Intelsat Jackson
Holdings, Ltd.), Tranche B Term Loan, 5.25%,
4/02/18

 

 

1,241

 

 

1,238,516

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (d)

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Interactive Data Corp., Term Loan B,
4.50%, 2/12/18

 

USD

10

 

$

9,978

 

Newsday LLC, Fixed Rate Term Loan,
10.50%, 8/01/13

 

 

375

 

 

385,781

 

Univision Communications, Inc., Extended First Lien
Term Loan, 4.52%, 3/31/17

 

 

55

 

 

51,076

 

 

 

 

 

 

 

2,511,936

 

Oil, Gas & Consumable Fuels — 0.6%

 

 

 

 

 

 

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15

 

 

276

 

 

277,727

 

Paper & Forest Products — 0.5%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

100

 

 

100,750

 

Verso Paper Finance Holdings LLC, Term Loan,
6.79% – 7.54%, 2/01/13 (h)

 

 

227

 

 

113,626

 

 

 

 

 

 

 

214,376

 

Pharmaceuticals — 0.1%

 

 

 

 

 

 

 

Pharmaceutical Product Development, Inc., Term
Loan B, 6.25%, 12/05/18

 

 

65

 

 

65,569

 

Real Estate Investment Trusts (REITs) — 0.6%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien),
5.00%, 6/28/13

 

 

281

 

 

279,938

 

Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Letter of Credit Loan, 4.53%,
10/10/16

 

 

17

 

 

16,147

 

Extended Term Loan, 4.77%, 10/10/16

 

 

123

 

 

113,813

 

 

 

 

 

 

 

129,960

 

Semiconductors & Semiconductor
Equipment — 0.0%

 

 

 

 

 

 

 

NXP BV, Incremental Term Loan A-2, 5.50%,
3/03/17

 

 

10

 

 

9,925

 

Software — 0.2%

 

 

 

 

 

 

 

Infor Enterprise Solutions Holdings, Inc.:

 

 

 

 

 

 

 

Extended Delayed Draw Term Loan,
6.29%, 7/28/15

 

 

26

 

 

25,430

 

Extended Initial Term Loan, 6.29%, 7/28/15

 

 

49

 

 

47,883

 

 

 

 

 

 

 

73,313

 

Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 2.99 – 3.30%,
5/29/14

 

 

87

 

 

82,675

 

Wireless Telecommunication Services — 1.2%

 

 

 

 

 

 

 

Crown Castle International Corp., Term B,
4.00%, 1/25/19

 

 

40

 

 

39,818

 

Vodafone Americas Finance 2, Inc.:

 

 

 

 

 

 

 

Initial Loan, 6.88%, 8/11/15

 

 

277

 

 

276,882

 

Term Loan B, 6.25%, 7/11/16 (h)

 

 

258

 

 

257,168

 

 

 

 

 

 

 

573,868

 

Total Floating Rate Loan Interests — 19.5%

 

 

 

 

 

9,009,841

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts

 

 

 

 

 

 

 

Insurance — 0.2%

 

 

 

 

 

 

 

Genworth Financial, Inc., 6.15%, 11/15/66 (h)

 

 

145

 

 

99,506

 

Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

Range Resources Corp., 5.00%, 8/15/22

 

 

74

 

 

74,740

 

Total Capital Trusts — 0.4%

 

 

 

 

 

174,246

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

67




 

 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 

Auto Components — 0.5%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (c)

 

 

1,800

 

$

242,325

 

Diversified Financial Services — 1.0%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (c)

 

 

500

 

 

433,844

 

Total Preferred Stocks — 1.5%

 

 

 

 

 

676,169

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferreds

 

Par
(000)

 

 

 

 

Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40

 

USD

11,760

 

 

275,222

 

RBS Capital Funding Trust VII, 6.08%, 12/31/49

 

 

8,000

 

 

109,360

 

Total Trust Preferreds — 0.8%

 

 

 

 

 

384,582

 

Total Preferred Securities — 2.7%

 

 

 

 

 

1,234,997

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (l)

 

 

Shares

 

 

 

 

Diversified Telecommunication Services — 0.0%

 

 

 

 

 

 

 

NEON Communications, Inc. (Expires 12/02/12)

 

 

53,622

 

 

1

 

Media — 0.1%

 

 

 

 

 

 

 

Cumulus Media, Inc. (Expires 3/26/19)

 

 

6,182

 

 

44,657

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/29/17)

 

 

61

 

 

 

HMH Holdings/EduMedia (Expires 3/09/17)

 

 

1,184

 

 

 

Total Warrants — 0.1%

 

 

 

 

 

44,658

 

Total Long-Term Investments
(Cost — $56,179,302) — 127.0%

 

 

 

 

 

58,692,832

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.11% (m)(n)

 

 

980,802

 

 

980,802

 

Total Short-Term Securities
(Cost — $980,802) — 2.1%

 

 

 

 

 

980,802

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

 

Contracts

 

 

 

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price
USD 942.86, Expires 12/14/19,
Broker Goldman Sachs Bank USA

 

 

3

 

 

 

Total Options Purchased
(Cost — $2,933) — 0.0%

 

 

 

 

 

 

Total Investments (Cost — $57,163,037) — 129.1%

 

 

 

 

 

59,673,634

 

Liabilities in Excess of Other Assets — (29.1)%

 

 

 

 

 

(13,434,085

)

Net Assets — 100.0%

 

 

 

 

$

46,239,549

 


 

 


(a)


Non-income producing security.

 

 

(b)

Restricted security as to resale. As of report date the Trust held 2.6% of its net assets with a current value of $1,095,341 in this security.

 

 

(c)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(d)

Variable rate security. Rate shown is as of report date.

 

 

(e)

Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.

 

 

(f)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(g)

Convertible security.

 

 

(h)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(i)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(j)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

Bank of America NA

 

$

257,400

 

$

2,075

 

JPMorgan Chase Bank

 

$

344,569

 

$

(331

)

Morgan Stanley Co., Inc.

 

$

329,317

 

$

10,318

 


 

 

(k)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(l)

Warrants entitle the Trust to purchase a predetermined number of price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(m)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

BlackRock Liquidity

 

 

 

 

 

 

 

 

 

 

 

 

 

   Funds, TempFund

 

 

 

 

 

 

 

 

 

 

 

 

 

   Institutional Class

 

 

421,345

 

 

559,457

 

 

980,802

 

$

215

 


 

 

(n)

Represents the current yield as of report date.

 

 

Foreign currency exchange contracts as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

EUR

 

216,000

 

USD

 

288,187

 

UBS AG

 

3/05/12

 

$

(410

)

USD

 

1,211,203

 

EUR

 

915,000

 

Citibank NA

 

4/11/12

 

 

(8,050

)

USD

 

288,230

 

EUR

 

216,000

 

UBS AG

 

4/11/12

 

 

407

 

USD

 

437,178

 

GBP

 

279,000

 

Citibank NA

 

4/11/12

 

 

(6,557

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(14,610

)


 

 

 

See Notes to Financial Statements.

 

 

 

68

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

MGM Resorts

 

5.00%

 

Deutsche

 

6/20/15

 

$

20

 

$

(1,113

)

International

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

MGM Resorts

 

5.00%

 

Deutsche

 

6/20/15

 

$

15

 

 

(977

)

International

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

MGM Resorts

 

5.00%

 

Deutsche

 

6/20/15

 

$

30

 

 

(1,568

)

International

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

MGM Resorts

 

5.00%

 

Deutsche

 

6/20/15

 

$

15

 

 

(425

)

International

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

MGM Resorts

 

5.00%

 

Deutsche

 

6/20/15

 

$

15

 

 

(536

)

International

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

Hovnanian

 

5.00%

 

JPMorgan

 

12/20/15

 

$

125

 

 

16,817

 

Enterprises, Inc.

 

 

 

Chase & Co.

 

 

 

 

 

 

 

 

 

The New York

 

1.00%

 

Barclays

 

12/20/16

 

$

225

 

 

48

 

Times Co.

 

 

 

Capital, Inc.

 

 

 

 

 

 

 

 

 

Republic of

 

1.00%

 

Deutsche

 

12/20/15

 

$

50

 

 

2,662

 

Hungary

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

Israel (State of)

 

1.00%

 

Deutsche

 

3/20/17

 

$

35

 

 

(364

)

 

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

Israel

 

1.00%

 

Deutsche

 

3/20/17

 

$

100

 

 

(1,109

)

Government Bond

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

$

13,435

 


 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Air Lease Corp.

 

5.00%

 

Goldman

 

2/14/13

 

Not Rated

 

$

100

 

$

138

 

 

 

 

 

Sachs & Co.

 

 

 

 

 

 

 

 

 

 

 

CIT Group, Inc.

 

5.00%

 

Deutsche

 

9/20/15

 

BB–

 

$

500

 

 

33,393

 

 

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

 

ARAMARK Corp.

 

5.00%

 

Credit Suisse

 

9/20/16

 

B

 

$

50

 

 

4,050

 

 

 

 

 

Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(USA) LLC

 

 

 

 

 

 

 

 

 

 

 

ARAMARK Corp.

 

5.00%

 

Goldman

 

9/20/16

 

B

 

$

50

 

 

3,865

 

 

 

 

 

Sachs & Co.

 

 

 

 

 

 

 

 

 

 

 

ARAMARK Corp.

 

5.00%

 

Deutsche

 

3/20/17

 

B

 

$

35

 

 

754

 

 

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

 

Bausch &

 

5.00%

 

Credit Suisse

 

3/20/17

 

B

 

$

20

 

 

1,001

 

Lomb, Inc.

 

 

 

Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(USA) LLC

 

 

 

 

 

 

 

 

 

 

 

Bausch &

 

5.00%

 

Goldman

 

3/20/17

 

B

 

$

35

 

 

134

 

Lomb, Inc.

 

 

 

Sachs & Co.

 

 

 

 

 

 

 

 

 

 

 

Bausch &

 

5.00%

 

Goldman

 

3/20/17

 

B

 

$

15

 

 

684

 

Lomb, Inc.

 

 

 

Sachs & Co.

 

 

 

 

 

 

 

 

 

 

 

Crown Castle

 

7.25%

 

Deutsche

 

3/20/17

 

B–

 

$

80

 

 

1,735

 

International

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

 

Corp.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CCO

 

8.00%

 

Deutsche

 

9/20/17

 

BB–

 

$

280

 

 

(15

)

Holdings LLC

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

45,739

 


 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.


 

 

Credit default swaps on traded indexes — sold protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Credit
Rating3

 

Notional
Amount
(000)4

 

Unrealized
Appreciation

 

Dow Jones CDX

 

5.00%

 

Credit Suisse

 

12/20/16

 

B+

 

$

1,940

 

$

126,645

 

North America

 

 

 

Securities

 

 

 

 

 

 

 

 

 

 

 

High Yield

 

 

 

(USA) LLC

 

 

 

 

 

 

 

 

 

 

 

Series 17

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

3

Using S&P’s rating of the underlying securities.

 

 

4

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.


 

 

 

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 rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such 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 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

 

 

 

 

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)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Trust’s perceived risk of 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 inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

822,888

 

$

1,095,341

 

$

9,626

 

$

1,927,855

 

Corporate Bonds

 

 

 

 

45,821,032

 

 

654,449

 

 

46,475,481

 

Floating Rate Loan Interests

 

 

 

 

7,560,603

 

 

1,449,238

 

 

9,009,841

 

Preferred Securities

 

 

384,582

 

 

850,415

 

 

 

 

1,234,997

 

Warrants

 

 

 

 

44,657

 

 

1

 

 

44,658

 

Short-Term Securities

 

 

980,802

 

 

 

 

 

 

980,802

 

Total

 

$

2,188,272

 

$

55,372,048

 

$

2,113,314

 

$

59,673,634

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

69




 

 

 

 

Schedule of Investments (concluded)

BlackRock High Yield Trust (BHY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

156,660

 

$

35,266

 

$

191,926

 

Foreign currency exchange contracts

 

 

 

 

407

 

 

 

 

407

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(6,092

)

 

(15

)

 

(6,107

)

Foreign currency exchange contracts

 

 

 

 

(15,017

)

 

 

 

(15,017

)

Total

 

 

 

$

135,958

 

$

35,251

 

$

171,209

 


 

 

 

 

1

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2011

 

$

27,152

 

$

688,980

 

$

1,642,711

 

$

477

 

$

45,985

 

$

34,922

 

$

2,440,227

 

Accrued discounts/premiums

 

 

 

 

 

 

10,336

 

 

 

 

 

 

 

 

10,336

 

Net realized gain (loss)

 

 

 

 

8,873

 

 

6,344

 

 

910

 

 

54,100

 

 

 

 

70,227

 

Net change in unrealized appreciation/depreciation2

 

 

(23,756

)

 

(15,023

)

 

(119,058

)

 

(477

)

 

(45,985

)

 

 

 

(204,299

)

Purchases

 

 

6,230

 

 

8,369

 

 

67,215

 

 

 

 

 

 

 

 

81,814

 

Sales

 

 

 

 

(36,750

)

 

(77,190

)

 

(910

)

 

(54,100

)

 

 

 

(168,950

)

Transfers in3

 

 

 

 

 

 

306,067

 

 

 

 

 

 

 

 

306,067

 

Transfers out3

 

 

 

 

 

 

(387,187

)

 

 

 

 

 

(34,921

)

 

(422,108

)

Balance, as of February 29, 2012

 

$

9,626

 

$

654,449

 

$

1,449,238

 

 

 

 

 

$

1

 

$

2,113,314

 


 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on securities still held at February 29, 2012 was $(150,114).

 

 

 

 

3

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

The following is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

Credit
Contracts

 

Assets/Liabilities:

 

 

 

 

Balance, as of August 31, 2011

 

 

 

Accrued discounts/premiums

 

$

(10,677

)

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation4

 

 

35,250

 

Purchases

 

 

 

Issuances5

 

 

44,181

 

Sales

 

 

 

Settlements6

 

 

(33,503

)

Transfers in7

 

 

 

Transfers out7

 

 

 

Balance, as of February 29, 2012

 

$

35,251

 


 

 

 

 

4

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held at February 29, 2012 was $35,250.

 

 

 

 

5

Issuances represent upfront cash received on certain derivative financial instruments.

 

 

 

 

6

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

 

 

 

 

7

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

A reconciliation of Level 3 investments and derivative 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.

 

 

 

See Notes to Financial Statements.

 

 

 

70

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Income Opportunity Trust, Inc. (BNA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities — 5.6%

 

 

 

 

 

 

 

321 Henderson Receivables I LLC, Series 2010-3A,
Class A, 3.82%, 12/15/48 (a)

 

USD

804

 

$

809,872

 

AH Mortgage Advance Trust, Series SART-3,
Class 1A1, 2.98%, 3/13/43 (a)

 

 

630

 

 

624,706

 

AmeriCredit Automobile Receivables Trust,
Series 2011-5, Class C, 3.44%, 10/08/17

 

 

400

 

 

409,022

 

CarMax Auto Owner Trust:

 

 

 

 

 

 

 

Series 2012-1, Class B, 1.76%, 8/15/17

 

 

210

 

 

209,783

 

Series 2012-1, Class C, 2.20%, 10/16/17

 

 

125

 

 

124,845

 

Series 2012-1, Class D, 3.09%, 8/15/18

 

 

160

 

 

159,809

 

CenterPoint Energy Transition Bond Co. LLC,
Series 2012-1, Class A3, 3.03%, 10/15/25

 

 

1,105

 

 

1,118,781

 

Credit Acceptance Auto Loan Trust, Series 2010-1,
Class B, 3.63%, 10/15/18 (a)

 

 

1,970

 

 

1,974,447

 

DT Auto Owner Trust (a):

 

 

 

 

 

 

 

Series 2011-2A, Class C, 3.05%, 2/16/16

 

 

1,500

 

 

1,498,858

 

Series 2011-3A, Class C, 4.03%, 2/15/17

 

 

260

 

 

262,884

 

Ford Credit Floorplan Master Owner Trust:

 

 

 

 

 

 

 

Series 2012-1, Class B, 1.15%, 1/15/16 (b)

 

 

180

 

 

180,002

 

Series 2012-1, Class C, 1.75%, 1/15/16 (b)

 

 

480

 

 

480,004

 

Series 2012-1, Class D, 2.35%, 1/15/16 (b)

 

 

450

 

 

450,003

 

Series 2012-2, Class B, 2.32%, 1/15/19

 

 

245

 

 

245,023

 

Series 2012-2, Class C, 2.86%, 1/15/19

 

 

105

 

 

104,921

 

Series 2012-2, Class D, 3.51%, 1/15/19

 

 

200

 

 

199,843

 

Globaldrive BV, Series 2008-2, Class A,
4.00%, 10/20/16

 

EUR

264

 

 

354,417

 

Home Equity Asset Trust, Series 2007-2, Class 2A1,
0.35%, 7/25/37 (b)

 

USD

130

 

 

127,042

 

Nelnet Student Loan Trust (b):

 

 

 

 

 

 

 

Series 2006-1, Class A5, 0.60%, 8/23/27

 

 

525

 

 

488,049

 

Series 2008-3, Class A4, 2.14%, 11/25/24

 

 

620

 

 

639,191

 

PFS Financing Corp., Series 2012-AA, Class A,
1.46%, 2/15/16 (a)(b)

 

 

480

 

 

480,000

 

Santander Consumer Acquired Receivables Trust (a):

 

 

 

 

 

 

 

Series 2011-S1A, Class B, 1.66%, 8/15/16

 

 

596

 

 

596,319

 

Series 2011-S1A, Class C, 2.01%, 8/15/16

 

 

444

 

 

439,288

 

Series 2011-S1A, Class D, 3.15%, 8/15/16

 

 

452

 

 

451,249

 

Series 2011-WO, Class C, 3.19%, 10/15/15

 

 

575

 

 

574,248

 

Santander Drive Auto Receivables Trust:

 

 

 

 

 

 

 

Series 2010-2, Class B, 2.24%, 12/15/14

 

 

870

 

 

873,712

 

Series 2010-2, Class C, 3.89%, 7/17/17

 

 

1,020

 

 

1,031,313

 

Series 2010-B, Class B, 2.10%, 9/15/14 (a)

 

 

700

 

 

704,040

 

Series 2010-B, Class C, 3.02%, 10/17/16 (a)

 

 

735

 

 

730,438

 

Series 2011-1, Class D, 4.01%, 2/15/17

 

 

940

 

 

944,687

 

Series 2011-S1A, Class B, 1.48%, 5/15/17 (a)

 

 

357

 

 

354,894

 

Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)

 

 

388

 

 

384,887

 

Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)

 

 

919

 

 

919,399

 

Series 2012-1, Class B, 2.72%, 5/16/16

 

 

240

 

 

240,290

 

Series 2012-1, Class C, 3.78%, 11/15/17

 

 

325

 

 

325,521

 

SLM Student Loan Trust:

 

 

 

 

 

 

 

Series 2004-B, Class A2, 0.75%, 6/15/21 (b)

 

 

217

 

 

208,113

 

Series 2008-5, Class A3, 1.86%, 1/25/18 (b)

 

 

525

 

 

533,232

 

Series 2008-5, Class A4, 2.26%, 7/25/23 (b)

 

 

630

 

 

645,212

 

Series 2012-A, Class A1, 1.66%,
8/15/25 (a)(b)

 

 

380

 

 

380,085

 

Series 2012-A, Class A2, 3.83%, 1/17/45 (a)

 

 

345

 

 

345,338

 

Small Business Administration Participation
Certificates, Series 1996-20K, Class 1,
6.95%, 11/01/16

 

 

222

 

 

240,337

 

 

 

 

 

 

 

21,864,104

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Interest Only Asset-Backed Securities — 0.2%

 

 

 

 

 

 

 

Sterling Bank Trust, Series 2004-2, Class Note,
2.08%, 3/30/30 (a)

 

USD

4,458

 

$

345,527

 

Sterling Coofs Trust, Series 1, 2.36%, 4/15/29

 

 

6,359

 

 

492,822

 

 

 

 

 

 

 

838,349

 

Total Asset-Backed Securities — 5.8%

 

 

 

 

 

22,702,453

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks (c) — 0.0%

 

Shares

 

 

 

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.

 

 

152

 

 

3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 

Aerospace & Defense — 0.6%

 

 

 

 

 

 

 

United Technologies Corp.:

 

 

 

 

 

 

 

4.88%, 5/01/15

 

USD

1,250

 

 

1,403,397

 

6.13%, 7/15/38

 

 

750

 

 

995,951

 

 

 

 

 

 

 

2,399,348

 

Airlines — 0.4%

 

 

 

 

 

 

 

Continental Airlines, Inc., Series 2010-1, Class B,
6.00%, 1/12/19

 

 

672

 

 

651,509

 

United Air Lines, Inc., 12.75%, 7/15/12

 

 

786

 

 

813,162

 

 

 

 

 

 

 

1,464,671

 

Auto Components — 0.3%

 

 

 

 

 

 

 

BorgWarner, Inc., 4.63%, 9/15/20

 

 

265

 

 

284,247

 

Icahn Enterprises LP, 8.00%, 1/15/18

 

 

1,000

 

 

1,060,000

 

 

 

 

 

 

 

1,344,247

 

Capital Markets — 5.6%

 

 

 

 

 

 

 

CDP Financial, Inc., 5.60%, 11/25/39 (a)

 

 

2,955

 

 

3,574,028

 

Credit Suisse AG:

 

 

 

 

 

 

 

2.60%, 5/27/16 (a)

 

 

570

 

 

583,207

 

5.40%, 1/14/20 (d)

 

 

1,785

 

 

1,793,150

 

E*Trade Financial Corp., 12.50%, 11/30/17

 

 

1,440

 

 

1,677,600

 

The Goldman Sachs Group, Inc.:

 

 

 

 

 

 

 

5.38%, 3/15/20

 

 

1,215

 

 

1,245,046

 

5.25%, 7/27/21

 

 

3,175

 

 

3,180,188

 

5.75%, 1/24/22

 

 

3,455

 

 

3,606,467

 

Lehman Brothers Holdings, Inc., 6.50%,
7/19/17 (c)(e)

 

 

225

 

 

22

 

Morgan Stanley:

 

 

 

 

 

 

 

3.01%, 5/14/13 (b)

 

 

1,880

 

 

1,882,668

 

4.20%, 11/20/14

 

 

680

 

 

682,540

 

4.00%, 7/24/15

 

 

400

 

 

400,363

 

6.25%, 8/28/17

 

 

1,925

 

 

2,017,960

 

5.63%, 9/23/19

 

 

760

 

 

759,881

 

5.50%, 7/28/21

 

 

370

 

 

366,583

 

 

 

 

 

 

 

21,769,703

 

Chemicals — 1.0%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

 

280

 

 

273,000

 

CF Industries, Inc., 7.13%, 5/01/20

 

 

1,470

 

 

1,800,750

 

The Dow Chemical Co., 4.13%, 11/15/21

 

 

350

 

 

372,474

 

Ineos Finance Plc, 8.38%, 2/15/19 (a)

 

 

265

 

 

281,562

 

Lyondell Chemical Co., 11.00%, 5/01/18

 

 

680

 

 

745,450

 

LyondellBasell Industries NV, 6.00%, 11/15/21 (a)

 

 

240

 

 

263,400

 

 

 

 

 

 

 

3,736,636

 

 

 

 

 

 

 

 

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

71




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Commercial Banks — 5.5%

 

 

 

 

 

 

 

CIT Group, Inc. (a):

 

 

 

 

 

 

 

7.00%, 5/02/16

 

USD

110

 

$

110,138

 

7.00%, 5/02/17

 

 

1,035

 

 

1,036,294

 

DEPFA ACS Bank, 5.13%, 3/16/37 (a)

 

 

4,150

 

 

2,900,248

 

Discover Bank, 8.70%, 11/18/19

 

 

250

 

 

300,923

 

DnB NOR Boligkreditt (a):

 

 

 

 

 

 

 

2.10%, 10/14/15

 

 

4,005

 

 

4,047,553

 

2.90%, 3/29/16

 

 

2,595

 

 

2,689,754

 

Eksportfinans ASA, 5.50%, 6/26/17

 

 

1,000

 

 

959,878

 

HSBC Bank Brasil SA — Banco Multiplo, 4.00%,
5/11/16 (a)

 

 

1,400

 

 

1,393,000

 

HSBC Bank Plc, 3.10%, 5/24/16 (a)

 

 

695

 

 

710,919

 

HSBC Holdings Plc, 6.10%, 1/14/42

 

 

305

 

 

363,539

 

Sparebanken 1 Boligkreditt (a):

 

 

 

 

 

 

 

1.25%, 10/25/13

 

 

1,575

 

 

1,576,652

 

2.63%, 5/27/16

 

 

1,675

 

 

1,714,687

 

Wachovia Corp., 5.25%, 8/01/14

 

 

3,420

 

 

3,692,208

 

 

 

 

 

 

 

21,495,793

 

Commercial Services & Supplies — 0.4%

 

 

 

 

 

 

 

ARAMARK Corp., 8.50%, 2/01/15

 

 

18

 

 

18,473

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)

 

 

136

 

 

141,702

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

1,320

 

 

1,386,000

 

West Corp., 8.63%, 10/01/18

 

 

135

 

 

148,162

 

 

 

 

 

 

 

1,694,337

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Abengoa SA, 8.50%, 3/31/16

 

EUR

150

 

 

204,881

 

Construction Materials — 0.0%

 

 

 

 

 

 

 

Lafarge SA, 7.13%, 7/15/36

 

USD

135

 

 

124,670

 

Consumer Finance — 0.7%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.80%, 6/01/12

 

 

380

 

 

384,684

 

6.63%, 8/15/17

 

 

280

 

 

317,286

 

5.88%, 8/02/21

 

 

270

 

 

301,312

 

SLM Corp.:

 

 

 

 

 

 

 

6.25%, 1/25/16

 

 

651

 

 

680,295

 

Series A, 0.86%, 1/27/14 (b)

 

 

600

 

 

570,969

 

Toll Brothers Finance Corp., 5.88%, 2/15/22

 

 

345

 

 

357,846

 

 

 

 

 

 

 

2,612,392

 

Containers & Packaging — 0.2%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc, 7.38%,
10/15/17 (a)

 

EUR

425

 

 

597,370

 

Diversified Financial Services — 6.5%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15

 

USD

860

 

 

950,300

 

6.25%, 12/01/17

 

 

160

 

 

165,379

 

8.00%, 3/15/20

 

 

560

 

 

634,200

 

Capital One Financial Corp., 4.75%, 7/15/21

 

 

975

 

 

1,027,923

 

Citigroup, Inc.:

 

 

 

 

 

 

 

5.00%, 9/15/14

 

 

285

 

 

296,700

 

4.59%, 12/15/15

 

 

7,245

 

 

7,673,737

 

General Electric Capital Corp. (d):

 

 

 

 

 

 

 

2.13%, 12/21/12

 

 

525

 

 

533,142

 

6.75%, 3/15/32

 

 

3,000

 

 

3,645,615

 

JPMorgan Chase & Co.:

 

 

 

 

 

 

 

6.30%, 4/23/19

 

 

1,375

 

 

1,616,392

 

4.50%, 1/24/22

 

 

2,250

 

 

2,390,726

 

Series BKNT, 6.00%, 10/01/17

 

 

2,045

 

 

2,294,578

 

Reynolds Group Issuer, Inc. (a):

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

550

 

 

778,563

 

7.88%, 8/15/19

 

USD

660

 

 

722,700

 

6.88%, 2/15/21

 

 

1,730

 

 

1,833,800

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services (concluded)

 

 

 

 

 

 

 

WMG Acquisition Corp. (a):

 

 

 

 

 

 

 

9.50%, 6/15/16

 

USD

160

 

$

176,800

 

11.50%, 10/01/18

 

 

780

 

 

828,750

 

 

 

 

 

 

 

25,569,305

 

Diversified Telecommunication Services — 3.3%

 

 

 

 

 

 

 

Level 3 Financing, Inc. (a):

 

 

 

 

 

 

 

8.13%, 7/01/19

 

 

671

 

 

702,872

 

8.63%, 7/15/20

 

 

740

 

 

789,950

 

Telecom Italia Capital SA, 4.95%, 9/30/14

 

 

4,375

 

 

4,413,281

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

3.50%, 11/01/21

 

 

500

 

 

523,076

 

6.40%, 2/15/38

 

 

3,396

 

 

4,255,005

 

8.95%, 3/01/39

 

 

1,125

 

 

1,783,586

 

Windstream Corp., 7.88%, 11/01/17

 

 

200

 

 

225,500

 

 

 

 

 

 

 

12,693,270

 

Electric Utilities — 5.2%

 

 

 

 

 

 

 

Alabama Power Co.:

 

 

 

 

 

 

 

3.95%, 6/01/21

 

 

460

 

 

499,779

 

6.00%, 3/01/39

 

 

550

 

 

710,849

 

The Cleveland Electric Illuminating Co.:

 

 

 

 

 

 

 

8.88%, 11/15/18

 

 

121

 

 

161,070

 

5.95%, 12/15/36

 

 

217

 

 

238,477

 

Constellation Energy Group, Inc., 7.60%, 4/01/32

 

 

200

 

 

267,491

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

325

 

 

412,645

 

6.00%, 1/15/38

 

 

850

 

 

1,117,062

 

4.25%, 12/15/41

 

 

375

 

 

395,793

 

E.ON International Finance BV, 6.65%,
4/30/38 (a)

 

 

1,575

 

 

2,062,535

 

EDF SA, 5.60%, 1/27/40 (a)

 

 

1,400

 

 

1,490,042

 

Florida Power Corp.:

 

 

 

 

 

 

 

6.35%, 9/15/37

 

 

1,450

 

 

1,954,322

 

6.40%, 6/15/38

 

 

340

 

 

462,884

 

Georgia Power Co., 3.00%, 4/15/16

 

 

800

 

 

851,782

 

Jersey Central Power & Light Co., 7.35%, 2/01/19

 

 

245

 

 

310,546

 

Ohio Power Co., Series D, 6.60%, 3/01/33

 

 

1,500

 

 

1,893,546

 

PacifiCorp., 6.25%, 10/15/37

 

 

650

 

 

862,513

 

Public Service Co. of Colorado, 6.25%, 9/01/37

 

 

1,350

 

 

1,816,256

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.63%, 2/01/36

 

 

675

 

 

844,966

 

Series 08-A, 5.95%, 2/01/38

 

 

1,100

 

 

1,447,840

 

The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14

 

EUR

1,350

 

 

1,680,796

 

The Toledo Edison Co., 6.15%, 5/15/37

 

USD

350

 

 

413,908

 

Trans-Allegheny Interstate Line Co., 4.00%,
1/15/15 (a)

 

 

250

 

 

264,907

 

 

 

 

 

 

 

20,160,009

 

Energy Equipment & Services — 2.9%

 

 

 

 

 

 

 

Calfrac Holdings LP, 7.50%, 12/01/20 (a)

 

 

565

 

 

565,000

 

Ensco Plc:

 

 

 

 

 

 

 

3.25%, 3/15/16

 

 

160

 

 

166,976

 

4.70%, 3/15/21

 

 

1,745

 

 

1,910,543

 

Frac Tech Services LLC, 7.63%, 11/15/18 (a)

 

 

1,110

 

 

1,184,925

 

MEG Energy Corp., 6.50%, 3/15/21 (a)

 

 

560

 

 

599,200

 

Noble Holding International Ltd., 5.25%, 3/15/42

 

 

350

 

 

370,145

 

Peabody Energy Corp., 6.25%, 11/15/21 (a)

 

 

3,855

 

 

4,038,113

 

Pride International, Inc., 6.88%, 8/15/20

 

 

235

 

 

286,263

 

Transocean, Inc.:

 

 

 

 

 

 

 

5.05%, 12/15/16

 

 

850

 

 

929,948

 

6.50%, 11/15/20

 

 

350

 

 

408,186

 

6.38%, 12/15/21

 

 

845

 

 

997,227

 

 

 

 

 

 

 

11,456,526

 


 

 

 

See Notes to Financial Statements.

 

 

 

72

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Food & Staples Retailing — 1.0%

 

 

 

 

 

 

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37

 

USD

1,975

 

$

2,687,752

 

6.20%, 4/15/38 (d)

 

 

850

 

 

1,120,925

 

 

 

 

 

 

 

3,808,677

 

Food Products — 1.0%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

 

335

 

 

376,875

 

Kraft Foods, Inc., 5.38%, 2/10/20

 

 

3,000

 

 

3,497,868

 

 

 

 

 

 

 

3,874,743

 

Health Care Equipment & Supplies — 0.7%

 

 

 

 

 

 

 

Boston Scientific Corp., 6.25%, 11/15/15

 

 

1,260

 

 

1,400,964

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

850

 

 

864,875

 

7.75%, 4/15/18

 

 

40

 

 

34,400

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

385

 

 

414,837

 

 

 

 

 

 

 

2,715,076

 

Health Care Providers & Services — 2.4%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

535

 

 

547,037

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)

 

EUR

494

 

 

682,837

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

USD

17

 

 

19,040

 

6.50%, 2/15/20

 

 

2,015

 

 

2,161,087

 

7.88%, 2/15/20

 

 

135

 

 

148,838

 

7.25%, 9/15/20

 

 

50

 

 

54,500

 

Health Management Associates, Inc., 7.38%,
1/15/20 (a)

 

 

850

 

 

886,125

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

1,000

 

 

955,000

 

INC Research LLC, 11.50%, 7/15/19 (a)

 

 

545

 

 

523,200

 

inVentiv Health, Inc., 10.00%, 8/15/18 (a)

 

 

155

 

 

141,050

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

805

 

 

896,569

 

Symbion, Inc., 8.00%, 6/15/16

 

 

455

 

 

439,075

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

370

 

 

431,050

 

8.88%, 7/01/19

 

 

1,150

 

 

1,311,000

 

UnitedHealth Group, Inc., 3.38%, 11/15/21

 

 

160

 

 

168,580

 

 

 

 

 

 

 

9,364,988

 

Health Care Technology — 0.8%

 

 

 

 

 

 

 

Amgen, Inc.:

 

 

 

 

 

 

 

3.88%, 11/15/21

 

 

1,500

 

 

1,558,739

 

6.40%, 2/01/39

 

 

750

 

 

896,546

 

5.15%, 11/15/41

 

 

750

 

 

784,909

 

 

 

 

 

 

 

3,240,194

 

Hotels, Restaurants & Leisure — 0.6%

 

 

 

 

 

 

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (a)

 

 

180

 

 

171,450

 

MGM Resorts International, 11.13%, 11/15/17

 

 

265

 

 

301,438

 

Punch Taverns Finance B Ltd., Series A7,
4.77%, 6/30/33

 

GBP

1,721

 

 

1,964,615

 

 

 

 

 

 

 

2,437,503

 

Household Durables — 0.3%

 

 

 

 

 

 

 

Standard Pacific Corp., 10.75%, 9/15/16

 

USD

1,000

 

 

1,148,750

 

Household Products — 0.1%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (a)

 

EUR

190

 

 

232,886

 

Independent Power Producers &
Energy Traders — 0.5%

 

 

 

 

 

 

 

Energy Future Intermediate Holding Co. LLC,
10.00%, 12/01/20

 

USD

1,955

 

 

2,123,619

 

Industrial Conglomerates — 0.5%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

760

 

 

807,500

 

13.50%, 12/01/15

 

 

927

 

 

990,086

 

 

 

 

 

 

 

1,797,586

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Insurance — 2.7%

 

 

 

 

 

 

 

Allianz Finance II BV, 5.75%, 7/08/41 (b)

 

EUR

500

 

$

633,705

 

American International Group, Inc.,
5.45%, 5/18/17

 

USD

800

 

 

850,281

 

AXA SA, 5.25%, 4/16/40 (b)

 

EUR

250

 

 

279,985

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (a)

 

USD

408

 

 

439,110

 

Fairfax Financial Holdings Ltd., 5.80%,
5/15/21 (a)

 

 

820

 

 

804,094

 

Hartford Financial Services Group, Inc.,
6.00%, 1/15/19

 

 

345

 

 

368,167

 

Lincoln National Corp., 6.25%, 2/15/20

 

 

630

 

 

722,091

 

Manulife Financial Corp., 3.40%, 9/17/15

 

 

1,625

 

 

1,691,495

 

Metropolitan Life Global Funding I,
5.13%, 6/10/14 (a)

 

 

775

 

 

836,546

 

MPL 2 Acquisition Canco, Inc., 9.88%,
8/15/18 (a)

 

 

340

 

 

303,450

 

Muenchener Rueckversicherungs AG, 6.00%,
5/26/41 (b)

 

EUR

200

 

 

270,465

 

Prudential Financial, Inc.:

 

 

 

 

 

 

 

4.75%, 9/17/15

 

USD

1,220

 

 

1,329,100

 

7.38%, 6/15/19

 

 

300

 

 

371,333

 

5.38%, 6/21/20

 

 

250

 

 

282,002

 

4.50%, 11/15/20

 

 

400

 

 

425,822

 

5.70%, 12/14/36

 

 

950

 

 

1,025,097

 

 

 

 

 

 

 

10,632,743

 

IT Services — 0.8%

 

 

 

 

 

 

 

First Data Corp. (a):

 

 

 

 

 

 

 

7.38%, 6/15/19

 

 

205

 

 

207,306

 

8.88%, 8/15/20

 

 

1,000

 

 

1,082,500

 

8.25%, 1/15/21

 

 

80

 

 

77,400

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

490

 

 

526,750

 

7.63%, 11/15/20

 

 

1,100

 

 

1,188,000

 

 

 

 

 

 

 

3,081,956

 

Machinery — 0.4%

 

 

 

 

 

 

 

Joy Global, Inc., 5.13%, 10/15/21

 

 

225

 

 

247,152

 

Navistar International Corp., 8.25%, 11/01/21

 

 

13

 

 

14,219

 

UR Financing Escrow Corp. (a)(f):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

194

 

 

199,335

 

7.38%, 5/15/20

 

 

495

 

 

507,994

 

7.63%, 4/15/22

 

 

455

 

 

470,925

 

 

 

 

 

 

 

1,439,625

 

Marine — 0.3%

 

 

 

 

 

 

 

Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)

 

 

1,100

 

 

1,182,500

 

Media — 7.5%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

1,505

 

 

1,346,975

 

AMC Networks, Inc., 7.75%, 7/15/21 (a)

 

 

320

 

 

356,800

 

CBS Corp.:

 

 

 

 

 

 

 

4.63%, 5/15/18

 

 

810

 

 

874,123

 

8.88%, 5/15/19

 

 

320

 

 

426,677

 

5.75%, 4/15/20

 

 

250

 

 

287,945

 

CCH II LLC, 13.50%, 11/30/16

 

 

2,265

 

 

2,604,291

 

Clear Channel Communications, Inc.,
9.00%, 3/01/21

 

 

685

 

 

630,200

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

278

 

 

304,410

 

Series B, 9.25%, 12/15/17

 

 

2,492

 

 

2,741,200

 

Comcast Cable Communications Holdings, Inc.,
9.46%, 11/15/22

 

 

2,000

 

 

2,957,728

 

Cox Communications, Inc. (a):

 

 

 

 

 

 

 

6.95%, 6/01/38

 

 

1,000

 

 

1,187,155

 

8.38%, 3/01/39

 

 

900

 

 

1,272,818

 

DIRECTV Holdings LLC, 6.38%, 3/01/41

 

 

260

 

 

312,960

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

73




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

Gray Television, Inc., 10.50%, 6/29/15

 

USD

975

 

$

1,029,844

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 6/15/16

 

 

410

 

 

433,575

 

11.25%, 2/04/17

 

 

520

 

 

536,250

 

11.50%, 2/04/17 (g)

 

 

420

 

 

432,600

 

NBC Universal Media LLC:

 

 

 

 

 

 

 

5.15%, 4/30/20

 

 

1,974

 

 

2,282,406

 

4.38%, 4/01/21

 

 

1,015

 

 

1,111,845

 

The New York Times Co., 6.63%, 12/15/16

 

 

1,800

 

 

1,876,500

 

News America, Inc., 4.50%, 2/15/21

 

 

40

 

 

43,122

 

Time Warner Cable, Inc.:

 

 

 

 

 

 

 

7.30%, 7/01/38

 

 

970

 

 

1,246,531

 

5.88%, 11/15/40

 

 

460

 

 

522,324

 

5.50%, 9/01/41

 

 

920

 

 

1,012,976

 

Time Warner, Inc.:

 

 

 

 

 

 

 

4.70%, 1/15/21

 

 

1,000

 

 

1,115,148

 

6.10%, 7/15/40

 

 

615

 

 

729,321

 

Virgin Media Secured Finance Plc:

 

 

 

 

 

 

 

6.50%, 1/15/18

 

 

330

 

 

359,700

 

7.00%, 1/15/18

 

GBP

792

 

 

1,360,792

 

 

 

 

 

 

 

29,396,216

 

Metals & Mining — 3.5%

 

 

 

 

 

 

 

Alcoa, Inc., 5.40%, 4/15/21

 

USD

1,450

 

 

1,509,501

 

AngloGold Ashanti Holdings Plc, 5.38%, 4/15/20

 

 

245

 

 

252,252

 

Barrick Gold Corp., 2.90%, 5/30/16

 

 

1,685

 

 

1,776,120

 

Barrick North America Finance LLC, 4.40%, 5/30/21

 

 

15

 

 

16,508

 

Cliffs Natural Resources, Inc., 4.80%, 10/01/20

 

 

240

 

 

253,865

 

Falconbridge Ltd., 6.20%, 6/15/35

 

 

1,550

 

 

1,624,006

 

Freeport-McMoRan Copper & Gold, Inc.,
3.55%, 3/01/22

 

 

540

 

 

537,419

 

Newcrest Finance Pty Ltd., 4.45%, 11/15/21 (a)

 

 

475

 

 

487,131

 

Novelis, Inc., 8.75%, 12/15/20

 

 

4,105

 

 

4,577,075

 

Teck Resources Ltd., 5.38%, 10/01/15

 

 

2,350

 

 

2,621,228

 

 

 

 

 

 

 

13,655,105

 

Multi-Utilities — 0.4%

 

 

 

 

 

 

 

Dominion Resources, Inc., 6.00%, 11/30/17

 

 

1,135

 

 

1,371,289

 

Multiline Retail — 0.8%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%, 7/15/17 (b)

 

 

1,500

 

 

1,646,265

 

Macy’s Retail Holdings, Inc.:

 

 

 

 

 

 

 

5.90%, 12/01/16

 

 

800

 

 

920,615

 

7.45%, 7/15/17

 

 

581

 

 

713,135

 

 

 

 

 

 

 

3,280,015

 

Oil, Gas & Consumable Fuels — 9.0%

 

 

 

 

 

 

 

Anadarko Petroleum Corp.:

 

 

 

 

 

 

 

5.95%, 9/15/16

 

 

1,916

 

 

2,218,197

 

6.38%, 9/15/17

 

 

1,825

 

 

2,190,588

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

160

 

 

166,800

 

BP Capital Markets Plc, 3.13%, 10/01/15

 

 

330

 

 

353,344

 

Burlington Resources Finance Co.,
7.40%, 12/01/31

 

 

950

 

 

1,293,729

 

Cenovus Energy, Inc., 6.75%, 11/15/39

 

 

750

 

 

1,022,706

 

Chesapeake Midstream Partners LP, 6.13%,
7/15/22 (a)

 

 

400

 

 

414,000

 

ConocoPhillips Canada Funding Co.,
5.95%, 10/15/36

 

 

150

 

 

187,826

 

Consol Energy, Inc.:

 

 

 

 

 

 

 

8.00%, 4/01/17

 

 

514

 

 

558,975

 

8.25%, 4/01/20

 

 

191

 

 

208,190

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

915

 

 

1,043,100

 

6.38%, 8/15/21

 

 

450

 

 

496,125

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Devon Energy Corp., 7.95%, 4/15/32

 

USD

650

 

$

946,724

 

El Paso Pipeline Partners Operating Co. LLC,
6.50%, 4/01/20

 

 

240

 

 

267,419

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

70

 

 

79,135

 

6.63%, 8/15/37

 

 

775

 

 

907,616

 

Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17

 

 

540

 

 

598,050

 

Enterprise Products Operating LLC:

 

 

 

 

 

 

 

6.13%, 10/15/39

 

 

700

 

 

835,938

 

Series L, 6.30%, 9/15/17

 

 

600

 

 

709,377

 

KeySpan Gas East Corp., 5.82%, 4/01/41 (a)

 

 

505

 

 

611,284

 

Kinder Morgan Energy Partners LP:

 

 

 

 

 

 

 

5.95%, 2/15/18

 

 

1,300

 

 

1,547,482

 

6.55%, 9/15/40

 

 

110

 

 

126,146

 

6.38%, 3/01/41

 

 

160

 

 

181,901

 

Linn Energy LLC, 6.25%, 11/01/19 (a)(f)

 

 

590

 

 

589,263

 

Marathon Petroleum Corp., 6.50%, 3/01/41

 

 

1,052

 

 

1,188,949

 

MidAmerican Energy Co., 5.80%, 10/15/36

 

 

800

 

 

969,791

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

950

 

 

1,151,058

 

6.50%, 9/15/37

 

 

2,115

 

 

2,740,831

 

Nexen, Inc.:

 

 

 

 

 

 

 

6.40%, 5/15/37

 

 

400

 

 

458,800

 

7.50%, 7/30/39

 

 

670

 

 

860,552

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

3.88%, 1/27/16

 

 

1,335

 

 

1,392,338

 

5.75%, 1/20/20

 

 

1,760

 

 

1,936,000

 

Premier Oil Plc, 5.11%, 6/09/18 (a)

 

 

1,900

 

 

1,961,750

 

Range Resources Corp., 5.75%, 6/01/21

 

 

941

 

 

1,006,870

 

Rockies Express Pipeline LLC, 3.90%, 4/15/15 (a)

 

 

804

 

 

771,840

 

Suncor Energy, Inc., 6.10%, 6/01/18

 

 

1,750

 

 

2,134,934

 

Western Gas Partners LP, 5.38%, 6/01/21

 

 

715

 

 

762,926

 

Woodside Finance Ltd., 4.60%, 5/10/21 (a)

 

 

205

 

 

214,411

 

 

 

 

 

 

 

35,104,965

 

Paper & Forest Products — 0.7%

 

 

 

 

 

 

 

Clearwater Paper Corp., 7.13%, 11/01/18

 

 

1,000

 

 

1,065,000

 

International Paper Co.:

 

 

 

 

 

 

 

7.50%, 8/15/21

 

 

75

 

 

96,316

 

4.75%, 2/15/22

 

 

420

 

 

457,552

 

6.00%, 11/15/41

 

 

435

 

 

502,718

 

NewPage Corp., 11.38%, 12/31/14 (c)(d)(e)

 

 

1,240

 

 

747,100

 

 

 

 

 

 

 

2,868,686

 

Pharmaceuticals — 0.6%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)

 

EUR

200

 

 

286,445

 

Jaguar Holding Co. II, 9.50%, 12/01/19 (a)

 

USD

620

 

 

678,125

 

Teva Pharmaceutical Finance Co. BV, Series 2,
3.65%, 11/10/21

 

 

205

 

 

213,889

 

Teva Pharmaceutical Finance IV BV,
3.65%, 11/10/21

 

 

1,000

 

 

1,043,362

 

 

 

 

 

 

 

2,221,821

 

Professional Services — 0.0%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

125

 

 

130,156

 

Real Estate Investment Trusts (REITs) — 0.5%

 

 

 

 

 

 

 

ERP Operating LP, 4.63%, 12/15/21

 

 

505

 

 

541,080

 

Ventas Realty LP, 4.75%, 6/01/21

 

 

275

 

 

283,341

 

Vornado Realty LP, 5.00%, 1/15/22

 

 

1,190

 

 

1,254,554

 

 

 

 

 

 

 

2,078,975

 

Real Estate Management & Development — 0.3%

 

 

 

 

 

 

 

Realogy Corp. (a)(d):

 

 

 

 

 

 

 

7.88%, 2/15/19

 

 

429

 

 

416,130

 

7.63%, 1/15/20

 

 

520

 

 

536,900

 

WEA Finance LLC, 4.63%, 5/10/21 (a)

 

 

305

 

 

321,743

 

 

 

 

 

 

 

1,274,773

 


 

 

 

See Notes to Financial Statements.

 

 

 

74

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Road & Rail — 0.8%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 8.25%, 1/15/19

 

USD

165

 

$

172,013

 

Burlington Northern Santa Fe LLC, 5.75%, 5/01/40

 

 

940

 

 

1,139,842

 

The Hertz Corp., 7.38%, 1/15/21

 

 

1,645

 

 

1,780,712

 

 

 

 

 

 

 

3,092,567

 

Semiconductors & Semiconductor
Equipment — 0.1%

 

 

 

 

 

 

 

Spansion LLC, 7.88%, 11/15/17

 

 

390

 

 

383,175

 

Software — 0.2%

 

 

 

 

 

 

 

Oracle Corp., 5.38%, 7/15/40

 

 

800

 

 

972,806

 

Specialty Retail — 0.3%

 

 

 

 

 

 

 

Home Depot, Inc., 5.88%, 12/16/36

 

 

830

 

 

1,038,021

 

QVC, Inc. (a):

 

 

 

 

 

 

 

7.50%, 10/01/19

 

 

35

 

 

38,850

 

7.38%, 10/15/20

 

 

35

 

 

38,763

 

 

 

 

 

 

 

1,115,634

 

Thrifts & Mortgage Finance — 0.7%

 

 

 

 

 

 

 

Northern Rock Plc, 5.63%, 6/22/17 (a)

 

 

290

 

 

308,892

 

Radian Group, Inc.:

 

 

 

 

 

 

 

5.63%, 2/15/13

 

 

1,400

 

 

1,211,000

 

5.38%, 6/15/15

 

 

1,400

 

 

1,029,000

 

 

 

 

 

 

 

2,548,892

 

Wireless Telecommunication Services — 2.7%

 

 

 

 

 

 

 

America Movil SAB de CV, 2.38%, 9/08/16

 

 

800

 

 

816,866

 

Cricket Communications, Inc., 7.75%, 5/15/16

 

 

850

 

 

905,250

 

Crown Castle Towers LLC, 6.11%, 1/15/40 (a)

 

 

1,595

 

 

1,795,898

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

1,800

 

 

1,831,500

 

8.25%, 9/01/17

 

 

150

 

 

159,000

 

MetroPCS Wireless, Inc., 6.63%, 11/15/20

 

 

950

 

 

978,500

 

Rogers Communications, Inc., 7.50%, 8/15/38

 

 

1,175

 

 

1,596,397

 

SBA Tower Trust, 5.10%, 4/15/17 (a)

 

 

360

 

 

385,920

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

6.88%, 11/15/28

 

 

510

 

 

397,800

 

8.75%, 3/15/32

 

 

350

 

 

311,500

 

Sprint Nextel Corp. (a):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

530

 

 

590,950

 

7.00%, 3/01/20 (f)

 

 

770

 

 

782,513

 

 

 

 

 

 

 

10,552,094

 

Total Corporate Bonds — 72.9%

 

 

 

 

 

284,451,173

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

 

 

 

 

 

 

Hellenic Republic Government Bond,
4.60%, 9/20/40

 

EUR

160

 

 

42,634

 

Hydro-Quebec:

 

 

 

 

 

 

 

9.40%, 2/01/21

 

USD

390

 

 

584,676

 

8.40%, 1/15/22

 

 

730

 

 

1,046,735

 

8.05%, 7/07/24

 

 

1,900

 

 

2,801,945

 

Italy Buoni Poliennali Del Tesoro, 5.00%, 3/01/22

 

EUR

1,650

 

 

2,164,880

 

Italy Government International Bond,
5.38%, 6/15/33

 

USD

470

 

 

443,964

 

Kreditanstalt fuer Wiederaufbau, 1.38%, 7/15/13

 

 

655

 

 

662,307

 

Mexico Government International Bond:

 

 

 

 

 

 

 

5.63%, 1/15/17

 

 

370

 

 

426,425

 

5.13%, 1/15/20

 

 

145

 

 

165,663

 

 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

Par
(000)

 

Value

 

Poland Government International Bond,
5.13%, 4/21/21

 

USD

705

 

$

756,112

 

Russian Foreign Bond Eurobond, 7.50%,
3/31/30 (h)

 

 

1,394

 

 

1,662,882

 

Turkey Government International Bond,
6.25%, 9/26/22

 

 

1,500

 

 

1,608,750

 

Total Foreign Agency Obligations — 3.2%

 

 

 

 

 

12,366,973

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

Collateralized Mortgage Obligations — 2.7%

 

 

 

 

 

 

 

Banc of America Funding Corp., Series 2007-2,
Class 1A2, 6.00%, 3/25/37

 

 

1,100

 

 

863,258

 

Collateralized Mortgage Obligation Trust:

 

 

 

 

 

 

 

Series 40, Class R, 580.50%, 4/01/18

 

 

(i)

 

49

 

Series 42, Class R, 6,000.00%, 10/01/14

 

 

(i)

 

29

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

Series 2005-64CB, Class 1A15,
5.50%, 12/25/35

 

 

1,629

 

 

1,221,579

 

Series 2006-0A21, Class A1, 0.44%,
3/20/47 (b)

 

 

882

 

 

405,576

 

Series 2006-41CB, Class 1A4,
5.75%, 1/25/37

 

 

748

 

 

506,865

 

Countrywide Home Loan Mortgage
Pass-Through Trust:

 

 

 

 

 

 

 

Series 2006-0A5, Class 2A1, 0.44%,
4/25/46 (b)

 

 

350

 

 

185,117

 

Series 2007-10, Class A22, 6.00%, 7/25/37

 

 

675

 

 

520,090

 

Credit Suisse Mortgage Capital Certificates,
Series 2011-2R, Class 2A1, 2.70%,
7/27/36 (a)(b)

 

 

1,395

 

 

1,326,735

 

Deutsche ALT-A Securities, Inc. Alternate Loan Trust,
Series 2006-0A1, Class A1, 0.44%, 2/25/47 (b)

 

 

267

 

 

157,197

 

GMAC Mortgage Corp. Loan Trust, Series 2005-AR3,
Class 5A1, 5.10%, 6/19/35 (b)

 

 

1,227

 

 

1,153,747

 

Homebanc Mortgage Trust, Series 2006-2, Class A1,
0.42%, 12/25/36 (b)

 

 

648

 

 

408,548

 

IndyMac IMJA Mortgage Loan Trust, Series 2007-A1,
Class A4, 6.00%, 8/25/37

 

 

967

 

 

810,519

 

JPMorgan Mortgage Trust, Series 2007-S1,
Class 2A22, 5.75%, 3/25/37

 

 

452

 

 

361,764

 

Merrill Lynch Mortgage Investors, Inc.,
Series 2006-A3, Class 3A1, 2.84%,
5/25/36 (b)

 

 

731

 

 

479,823

 

Residential Funding Securities LLC,
Series 2003-RM2, Class AI5, 8.50%, 5/25/33

 

 

1,860

 

 

1,989,757

 

WaMu Mortgage Pass-Through Certificates,
Series 2007-0A4, Class 1A, 0.95%, 5/25/47 (b)

 

 

385

 

 

238,362

 

Wells Fargo Mortgage-Backed Securities Trust,
Series 2007-10, Class 1A21, 6.00%, 7/25/37

 

 

58

 

 

52,197

 

 

 

 

 

 

 

10,681,212

 

Commercial Mortgage-Backed Securities — 11.9%

 

 

 

 

 

 

 

Banc of America Merrill Lynch Commercial
Mortgage, Inc.:

 

 

 

 

 

 

 

Series 2007-1, Class A4, 5.45%, 1/15/49

 

 

500

 

 

563,501

 

Series 2007-2, Class A4, 5.43%, 4/10/49 (b)

 

 

750

 

 

832,763

 

Bear Stearns Commercial Mortgage Securities,
Series 2005-PWR9, Class A4A, 4.87%, 9/11/42

 

 

800

 

 

879,736

 

Citigroup Commercial Mortgage Trust,
Series 2008-C7, Class A4, 6.07%, 12/10/49 (b)

 

 

1,200

 

 

1,394,770

 

Citigroup/Deutsche Bank Commercial Mortgage
Trust, Series 2006-CD3, Class AM,
5.65%, 10/15/48

 

 

1,100

 

 

1,098,253

 

Commercial Mortgage Loan Trust, Series 2008-LS1,
Class A4B, 6.01%, 12/10/49 (b)

 

 

1,515

 

 

1,724,244

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

75




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

Commercial Mortgage-Backed Securities
(concluded)

 

 

 

 

 

 

 

Commercial Mortgage Pass-Through Certificates,
Series 2006-C7, Class AM, 5.78%, 6/10/46 (b)

 

USD

1,750

 

$

1,812,759

 

Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-C3, Class AJ, 4.77%, 7/15/37

 

 

705

 

 

620,444

 

Credit Suisse Mortgage Capital Certificates:

 

 

 

 

 

 

 

Series 2006-C3, Class AM, 5.82%, 6/15/38 (b)

 

 

1,000

 

 

1,056,006

 

Series 2006-C5, Class AM, 5.34%, 12/15/39

 

 

1,750

 

 

1,751,489

 

Series 2010-RR2, Class 2A, 5.79%,
9/15/39 (a)(b)

 

 

1,010

 

 

1,110,067

 

DBRR Trust, Series 2011-C32, Class A3A, 5.74%,
6/17/49 (a)(b)

 

 

365

 

 

396,307

 

Extended Stay America Trust, Series 2010-ESHA (a):

 

 

 

 

 

 

 

Class A, 2.95%, 11/05/27

 

 

489

 

 

493,750

 

Class D, 5.50%, 11/05/27

 

 

210

 

 

213,275

 

First Union-Lehman Brothers-Bank of America,
Series 1998-C2, Class D, 6.78%, 11/18/35

 

 

2,068

 

 

2,118,803

 

GMAC Commercial Mortgage Securities, Inc.:

 

 

 

 

 

 

 

Series 2002-C3, Class A2, 4.93%, 7/10/39

 

 

2,253

 

 

2,288,682

 

Series 2004-C3, Class A4, 4.55%, 12/10/41

 

 

651

 

 

656,463

 

Greenwich Capital Commercial Funding Corp.:

 

 

 

 

 

 

 

Series 2006-GG7, Class A4, 5.88%,
7/10/38 (b)

 

 

1,169

 

 

1,332,267

 

Series 2007-GG9, Class A4, 5.44%, 3/10/39

 

 

2,165

 

 

2,403,585

 

GS Mortgage Securities Corp. II, Series 2007-GG10,
Class A4, 5.79%, 8/10/45 (b)

 

 

430

 

 

480,736

 

JPMorgan Chase Commercial Mortgage Securities Corp.:

 

 

 

 

 

 

 

Series 2004-CBX, Class A4, 4.53%, 1/12/37

 

 

567

 

 

566,984

 

Series 2004-LN2, Class A2, 5.12%, 7/15/41

 

 

820

 

 

877,614

 

Series 2006-CB14, Class AM, 5.45%, 12/12/44 (b)

 

 

330

 

 

342,646

 

Series 2006-CB16, Class AJ, 5.62%, 5/12/45

 

 

720

 

 

591,853

 

LB-UBS Commercial Mortgage Trust (b):

 

 

 

 

 

 

 

Series 2004-C4, Class A3, 5.17%, 6/15/29

 

 

1,628

 

 

1,670,322

 

Series 2004-C8, Class C, 4.93%, 12/15/39

 

 

1,385

 

 

1,345,115

 

LB-UBS Commercial Mortgage Trust (b)(concluded):

 

 

 

 

 

 

 

Series 2007-C6, Class A4, 5.86%, 7/15/40

 

 

825

 

 

934,358

 

Series 2007-C7, Class A3, 5.87%, 9/15/45

 

 

1,460

 

 

1,658,566

 

Merrill Lynch Mortgage Trust (b):

 

 

 

 

 

 

 

Series 2004-BPC1, Class A3, 4.47%, 10/12/41

 

 

417

 

 

420,938

 

Series 2004-KEY2, Class A4, 4.86%, 8/12/39

 

 

1,000

 

 

1,077,270

 

Morgan Stanley, Series 2007-XLC1, Class A2,
0.56%, 7/17/17

 

 

625

 

 

580,951

 

Morgan Stanley Capital I, Series 2007-HQ11,
Class A4, 5.45%, 2/12/44 (b)

 

 

4,000

 

 

4,507,196

 

Morgan Stanley Reremic Trust, Series 2011-IO,
Class A, 2.50%, 3/23/51 (a)

 

 

1,092

 

 

1,095,604

 

Titan Europe Plc, Series 2006-4FSX, Class A1,
9.14%, 9/03/14 (b)

 

GBP

255

 

 

389,708

 

Wachovia Bank Commercial Mortgage Trust:

 

 

 

 

 

 

 

Series 2006-C28, Class A2, 5.50%,
10/15/48

 

USD

4,592

 

 

4,626,234

 

Series 2007-C33, Class A4, 5.90%,
2/15/51 (b)

 

 

2,285

 

 

2,518,993

 

 

 

 

 

 

 

46,432,252

 

Interest Only Collateralized Mortgage
Obligations — 0.0%

 

 

 

 

 

 

 

GSMPS Mortgage Loan Trust, Series 1998-5,
Class IO, 0.15%, 6/19/27 (a)(b)

 

 

2,236

 

 

49,905

 

Salomon Brothers Mortgage Securities VII, Inc.,
Series 2000-1, Class IO, 0.65%, 3/25/22 (b)

 

 

339

 

 

7,085

 

 

 

 

 

 

 

56,990

 


 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

Interest Only Commercial Mortgage-Backed
Securities — 0.0%

 

 

 

 

 

 

 

Morgan Stanley Capital I, Series 1997-HF1, Class X,
2.19%, 7/15/29 (a)(b)

 

USD

1

 

$

 

Total Non-Agency Mortgage-Backed
Securities — 14.6%

 

 

 

 

 

57,170,454

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

 

 

 

 

 

Capital Trusts

 

 

 

 

 

 

 

Capital Markets — 0.0%

 

 

 

 

 

 

 

State Street Capital Trust IV, 1.55%, 6/15/37 (b)

 

 

70

 

 

49,417

 

Commercial Banks — 0.3%

 

 

 

 

 

 

 

Barclays Bank Plc, 5.93% (a)(b)(j)

 

 

250

 

 

215,625

 

Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b)

 

 

505

 

 

501,212

 

JPMorgan Chase Capital XXV, Series Y,
6.80%, 10/01/37

 

 

205

 

 

207,050

 

 

 

 

 

 

 

923,887

 

Consumer Finance — 0.2%

 

 

 

 

 

 

 

Capital One Capital V, 10.25%, 8/15/39

 

 

200

 

 

208,500

 

Capital One Capital VI, 8.88%, 5/15/40

 

 

690

 

 

713,074

 

 

 

 

 

 

 

921,574

 

Insurance — 1.2%

 

 

 

 

 

 

 

The Allstate Corp., 6.50%, 5/15/67 (b)

 

 

2,150

 

 

2,107,000

 

American International Group, Inc., 8.18%,
5/15/68 (b)

 

 

195

 

 

206,456

 

Lincoln National Corp., 6.05%, 4/20/67 (b)

 

 

750

 

 

688,125

 

MetLife Capital Trust IV, 7.88%, 12/15/67 (a)

 

 

125

 

 

137,500

 

Swiss Re Capital I LP, 6.85% (a)(b)(j)

 

 

1,060

 

 

956,422

 

XL Group Plc, Series E, 6.50% (b)(j)

 

 

810

 

 

686,475

 

 

 

 

 

 

 

4,781,978

 

Total Capital Trusts — 1.7%

 

 

 

 

 

6,676,856

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 

Thrifts & Mortgage Finance — 0.1%

 

 

 

 

 

 

 

Fannie Mae (b)(c):

 

 

 

 

 

 

 

Series O, 7.00%

 

 

40,000

 

 

74,000

 

Series S, 8.25%

 

 

10,000

 

 

15,000

 

Freddie Mac, Series Z, 8.38% (b)(c)

 

 

94,539

 

 

139,918

 

Total Preferred Stocks — 0.1%

 

 

 

 

 

228,918

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust Preferreds — 0.1%

 

Par
(000)

 

 

 

 

Commercial Banks — 0.1%

 

 

 

 

 

 

 

Citigroup Capital XIII, 7.88%, 10/30/40

 

USD

14,810

 

 

398,181

 

Total Preferred Securities — 1.9%

 

 

 

 

 

7,303,955

 


 

 

 

See Notes to Financial Statements.

 

 

 

76

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

Value

 

East Bay Municipal Utility District, RB, Build America
Bonds, 5.87%, 6/01/40

 

USD

950

 

$

1,202,310

 

Indianapolis Local Public Improvement Bond Bank,
RB, Build America Bonds, 6.12%, 1/15/40

 

 

1,260

 

 

1,572,190

 

Metropolitan Transportation Authority, RB, Build
America Bonds, 7.34%, 11/15/39

 

 

670

 

 

963,628

 

New York City Municipal Water Finance Authority, RB:
Build America Bonds, 5.72%, 6/15/42

 

 

690

 

 

877,659

 

Second General Resolution, Series EE,
5.38%, 6/15/43

 

 

385

 

 

436,725

 

Second General Resolution, Series EE,
5.50%, 6/15/43

 

 

465

 

 

535,610

 

New York State Dormitory Authority, RB, Build
America Bonds:

 

 

 

 

 

 

 

5.63%, 3/15/39

 

 

550

 

 

656,178

 

5.60%, 3/15/40

 

 

950

 

 

1,155,400

 

Port Authority of New York & New Jersey, RB,
Consolidated, 159th Series, 6.04%, 12/01/29

 

 

395

 

 

490,385

 

University of California, RB, Build America Bonds,
5.95%, 5/15/45

 

 

440

 

 

523,274

 

Total Taxable Municipal Bonds — 2.2%

 

 

 

 

 

8,413,359

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

 

 

 

 

 

 

Agency Obligations — 3.9%

 

 

 

 

 

 

 

Fannie Mae (d):

 

 

 

 

 

 

 

6.04%, 10/09/19 (k)

 

 

7,305

 

 

5,683,706

 

5.63%, 7/15/37

 

 

825

 

 

1,134,690

 

Federal Home Loan Bank (d):

 

 

 

 

 

 

 

5.25%, 12/09/22

 

 

700

 

 

879,978

 

5.37%, 9/09/24

 

 

1,100

 

 

1,360,585

 

Federal Housing Administration, Merrill Projects,
Series 42, 7.43%, 9/01/22

 

 

38

 

 

36,884

 

Resolution Funding Corp., 8.43%, 4/15/30 (k)

 

 

6,055

 

 

3,337,032

 

Tennessee Valley Authority, 5.25%, 9/15/39 (d)

 

 

2,405

 

 

3,010,456

 

 

 

 

 

 

 

15,443,331

 

Collateralized Mortgage Obligations — 0.6%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1991-46, Class S, 2,461.75%, 5/25/21 (b)

 

 

(i)

 

2,537

 

Series 1991-87, Class S, 26.02%, 8/25/21 (b)

 

 

21

 

 

33,475

 

Series 2005-5, Class PK, 5.00%, 12/25/34

 

 

752

 

 

822,004

 

Series G-7, Class S, 1,116.37%, 3/25/21 (b)

 

 

(i)

 

1,903

 

Series G-12, Class S, 1,146.44%, 5/25/21 (b)

 

 

(i)

 

4,382

 

Series G-17, Class S, 1,055.17%, 6/25/21 (b)

 

 

(i)

 

2,305

 

Series G-33, Class PV, 1,078.42%, 10/25/21

 

 

(i)

 

2,351

 

Series G-49, Class S, 1,008.80%, 12/25/21 (b)

 

 

(i)

 

790

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 19, Class R, 16,195.38%, 3/15/20 (b)

 

 

(i)

 

493

 

Series 75, Class R, 9.50%, 1/15/21

 

 

(i)

 

1

 

Series 75, Class RS, 27.16%, 1/15/21 (b)

 

 

(i)

 

1

 

Series 173, Class R, 9.00%, 11/15/21

 

 

5

 

 

5

 

Series 173, Class RS, 9.20%, 11/15/21 (b)

 

 

(i)

 

6

 

Series 192, Class U, 1,009.03%, 2/15/22 (b)

 

 

(i)

 

 

Series 1057, Class J, 1,008.00%, 3/15/21

 

 

(i)

 

1,082

 

Series K013, Class A2, 3.97%, 1/25/21 (b)

 

 

930

 

 

1,024,236

 

Series K706, Class X1, 1.60%, 10/25/18 (b)

 

 

2,620

 

 

227,971

 

FREMF Mortgage Trust (a)(b):

 

 

 

 

 

 

 

Series 2012-K706, Class B, 4.02%, 11/25/44

 

 

145

 

 

141,595

 

Series 2012-K706, Class C, 4.02%, 11/25/44

 

 

170

 

 

149,774

 

 

 

 

 

 

 

2,414,911

 


 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

Par
(000)

 

Value

 

Interest Only Collateralized Mortgage
Obligations — 0.1%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 7, Class 2, 8.50%, 4/25/17

 

USD

2

 

$

292

 

Series 89, Class 2, 8.00%, 10/01/18

 

 

3

 

 

416

 

Series 94, Class 2, 9.50%, 8/01/21

 

 

1

 

 

253

 

Series 1990-123, Class M,
1,009.50%, 10/25/20

 

 

(i)

 

256

 

Series 1990-136, Class S, 19.83%,
11/25/20 (b)

 

 

5

 

 

7,540

 

Series 1991-99, Class L, 930.00%, 8/25/21

 

 

(i)

 

1,082

 

Series 1991-139, Class PT,
648.35%, 10/25/21

 

 

(i)

 

1,865

 

Series 1997-50, Class SI, 1.20%, 4/25/23 (b)

 

 

159

 

 

5,812

 

Series G-10, Class S, 1,080.00%, 5/25/21 (b)

 

 

(i)

 

6,238

 

Series G92-5, Class H, 9.00%, 1/25/22

 

 

29

 

 

4,868

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 176, Class M, 1,010.00%, 7/15/21

 

 

(i)

 

345

 

Series 200, Class R, 196,031.73%,
12/15/22 (b)

 

 

(i)

 

6

 

Series 1043, Class H, 43.88%, 2/15/21 (b)

 

 

4

 

 

8,049

 

Series 1054, Class I, 859.64%, 3/15/21 (b)

 

 

(i)

 

635

 

Series 1056, Class KD, 1,084.50%, 3/15/21

 

 

(i)

 

737

 

Series 1148, Class E, 1,167.37%,
10/15/21 (b)

 

 

(i)

 

1,618

 

Series 1254, Class Z, 8.50%, 4/15/22

 

 

56

 

 

12,298

 

Series 2611, Class QI, 5.50%, 9/15/32

 

 

1,798

 

 

213,585

 

 

 

 

 

 

 

265,895

 

Mortgage-Backed Securities — 2.9%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

3.50%, 3/15/42 (l)

 

 

900

 

 

930,094

 

4.00%, 3/15/27 (l)

 

 

4,000

 

 

4,235,000

 

5.00%, 3/15/42 (l)

 

 

5,100

 

 

5,506,406

 

5.50%, 12/01/13 – 3/15/27 (l)

 

 

234

 

 

251,908

 

6.00%, 3/01/16 – 7/01/17

 

 

201

 

 

216,937

 

Freddie Mac Mortgage-Backed Securities, 4.50%,
3/15/42 (l)

 

 

100

 

 

106,203

 

Ginnie Mae Mortgage-Backed Securities, 8.00%,
4/15/24 – 6/15/25

 

 

19

 

 

20,256

 

 

 

 

 

 

 

11,266,804

 

Principal Only Collateralized Mortgage
Obligations — 0.0%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 203, Class 1, 2/01/23

 

 

9

 

 

7,834

 

Series 228, Class 1, 6/01/23

 

 

6

 

 

5,530

 

Series 1993-51, Class E, 2/25/23

 

 

28

 

 

25,880

 

Series 1993-70, Class A, 5/25/23

 

 

5

 

 

4,217

 

Freddie Mac Mortgage-Backed Securities,
Series 1739, Class B, 2/15/24

 

 

9

 

 

9,444

 

 

 

 

 

 

 

52,905

 

Total US Government Sponsored
Agency Securities — 7.5%

 

 

 

 

 

29,443,846

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

US Treasury Obligations

 

 

 

 

 

 

 

US Treasury Bonds:

 

 

 

 

 

 

 

8.13%, 8/15/21 (d)

 

 

1,550

 

 

2,407,465

 

8.00%, 11/15/21 (d)

 

 

7,065

 

 

10,955,166

 

6.25%, 8/15/23 (d)

 

 

4,990

 

 

7,081,903

 

3.50%, 2/15/39 (d)

 

 

2,865

 

 

3,117,925

 

4.25%, 5/15/39 (d)

 

 

2,770

 

 

3,413,593

 

4.38%, 5/15/40 (d)

 

 

8,225

 

 

10,344,220

 

4.75%, 2/15/41 (d)

 

 

1,621

 

 

2,162,009

 

4.38%, 5/15/41 (d)

 

 

805

 

 

1,013,797

 

3.13%, 11/15/41 (d)

 

 

30,800

 

 

31,055,055

 

3.13%, 2/15/42 (d)

 

 

5,810

 

 

5,853,575

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

77




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

US Treasury Obligations

 

Par
(000)

 

Value

 

US Treasury Inflation Indexed Bonds, 2.13%,
2/15/41 (d)

 

USD

3,834

 

$

5,299,375

 

US Treasury Notes:

 

 

 

 

 

 

 

0.25%, 1/31/14 (d)

 

 

1,425

 

 

1,423,720

 

0.25%, 2/15/15 (d)

 

 

8,110

 

 

8,069,450

 

2.50%, 4/30/15 (d)

 

 

1,035

 

 

1,100,496

 

0.88%, 1/31/17 (d)

 

 

7,600

 

 

7,607,129

 

2.25%, 7/31/18 (d)

 

 

2,495

 

 

2,649,573

 

2.63%, 8/15/20 (d)

 

 

1,105

 

 

1,186,580

 

2.00%, 2/15/22 (d)

 

 

27,400

 

 

27,455,649

 

Total US Treasury Obligations — 33.9%

 

 

 

 

 

132,196,680

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants (m)

 

Shares

 

 

 

 

Media — 0.0%

 

 

 

 

 

 

 

Cumulus Media, Inc. (Expires 3/26/19)

 

 

14,710

 

 

106,253

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/29/17)

 

 

101

 

 

 

Total Warrants — 0.0%

 

 

 

 

 

106,253

 

Total Long-Term Investments
(Cost — $526,858,798) — 142.0%

 

 

 

 

 

554,155,149

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.11% (n)(o)

 

 

1,301,628

 

 

1,301,628

 

Total Short-Term Securities
(Cost — $1,301,628) — 0.3%

 

 

 

 

 

1,301,628

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Exchange-Traded Put Options — 0.0%

 

 

 

 

 

 

 

Eurodollar 1-Year Mid-Curve Options, Strike Price
USD 99.00, Expires 3/16/12

 

 

221

 

 

1,381

 

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Interest Rate Call
Swaptions — 0.0%

 

 

 

 

 

 

 

Receive a fixed rate of 2.65% and pay a floating rate
based on 3-month LIBOR, Expires 5/01/12,
Broker Bank of America NA

 

USD

3,600

 

 

68,975

 

Over-the-Counter Put Options — 0.0%

 

 

 

 

 

 

 

EUR Put Option, Strike Price USD 1.30, Expires
3/21/12, Broker Citibank NA

 

 

8,810

 

 

26,926

 

Over-the-Counter Interest Rate Put
Swaptions — 0.0%

 

 

 

 

 

 

 

Pay a fixed rate of 0.65% and receive a floating rate
based on 3-month LIBOR, Expires 7/05/12,
Broker Morgan Stanley & Co., Inc.

 

 

60,300

 

 

29,041

 


 

 

 

 

 

 

 

 

Options Purchased

 

 

Notional
Amount
(000)

 

 

Value

 

Over-the-Counter Interest Rate Put
Swaptions (concluded)

 

 

 

 

 

 

 

Pay a fixed rate of 3.50% and receive a floating
rate based on a 6-month EURIBOR, Expires
11/08/12, Broker Citibank NA

 

EUR

4,000

 

$

42,282

 

 

 

 

 

 

 

71,323

 

Total Options Purchased
(Cost — $693,661) — 0.0%

 

 

 

 

 

168,605

 

Total Investments Before TBA Sale
Commitments and Options Written
(Cost — $528,854,087) — 142.3%

 

 

 

 

 

555,625,382

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TBA Sale Commitments (l)

 

Par
(000)

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

3.50%, 3/15/42

 

USD

900

 

 

(930,094

)

4.00%, 3/15/27

 

 

4,000

 

 

(4,235,000

)

5.00%, 3/15/42

 

 

5,100

 

 

(5,506,406

)

5.50%, 3/15/27

 

 

100

 

 

(108,781

)

Freddie Mac Mortgage-Backed Securities, 4.50%,
3/14/42

 

 

100

 

 

(106,203

)

Total TBA Sale Commitments
(Proceeds — $10,884,848) — (2.8)%

 

 

 

 

 

(10,886,484

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional

 

 

 

 

 

 

 

Amount

 

 

 

 

Options Written

 

 

(000

)

 

 

 

Over-the-Counter Interest Rate Call
Swaptions — (0.3)%

 

 

 

 

 

 

 

Pay a fixed rate of 2.45% and receive a floating rate
based on 3-month LIBOR, Expires 02/22/13
Broker Citibank NA

 

 

25,000

 

 

(963,423

)

Pay a fixed rate of 2.60% and receive a floating rate
based on 3-month LIBOR, Expires 12/16/13,
Broker JPMorgan Chase & Co.

 

 

1,500

 

 

(68,340

)

Pay a fixed rate of 2.09% and receive a floating rate
based on 3-month LIBOR, Expires 01/03/14,
Broker Deutsche Bank AG

 

 

4,200

 

 

(107,326

)

Pay a fixed rate of 1.97% and receive a floating rate
based on 3-month LIBOR, Expires 01/27/14,
Broker Citibank NA

 

 

2,400

 

 

(51,669

)

 

 

 

 

 

 

(1,190,758

)

Over-the-Counter Put Options — (0.0)%

 

 

 

 

 

 

 

EUR Put Option, Strike Price USD 1.25, Expires
3/21/12, Broker Citibank NA

 

 

8,810

 

 

(1,162

)

Over-the-Counter Interest Rate Put
Swaptions — (0.7)%

 

 

 

 

 

 

 

Receive a fixed rate of 1.50% and pay a floating
rate based on 3-month LIBOR, Expires
05/21/12, Broker JPMorgan Chase & Co.

 

 

125,400

 

 

(281,260

)

Receive a fixed rate of 1.55% and pay a floating
rate based on 3-month LIBOR, Expires 07/30/12,
Broker Citibank NA

 

 

200,000

 

 

(925,440

)

Receive a fixed rate of 1.70% and pay a floating
rate based on 3-month LIBOR, Expires 08/10/12,
Broker Bank of America NA

 

 

3,900

 

 

(14,293

)


 

 

 

See Notes to Financial Statements.

 

 

 

78

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

 

Notional
Amount
(000)

 

 

Value

 

Over-the-Counter Interest Rate Put
Swaptions (concluded)

 

 

 

 

 

 

 

Receive a fixed rate of 1.75% and pay a floating
rate based on 3-month LIBOR, Expires 08/23/12,
Broker RBC Capital Markets

 

USD

142,500

 

$

(531,682

)

Receive a fixed rate of 2.90% and pay a floating
rate based on 3-month LIBOR, Expires 01/09/13,
Broker Citibank NA

 

 

6,000

 

 

(89,089

)

Receive a fixed rate of 2.45% and pay a floating
rate based on 3-month LIBOR, Expires 02/22/13,
Broker Citibank NA

 

 

25,000

 

 

(766,157

)

Receive a fixed rate of 2.60% and pay a floating
rate based on 3-month LIBOR, Expires 12/16/13,
Broker JPMorgan Chase & Co.

 

 

1,500

 

 

(69,139

)

Receive a fixed rate of 2.09% and pay a floating
rate based on 3-month LIBOR, Expires 01/03/14,
Broker Deutsche Bank AG

 

 

4,200

 

 

(79,290

)

Receive a fixed rate of 1.97% and pay a floating
rate based on 3-month LIBOR, Expires 01/27/14,
Broker Citibank NA

 

 

2,400

 

 

(53,147

)

 

 

 

 

 

 

(2,809,497

)

Total Options Written
(Premiums Received — $4,237,733) — (1.0)%

 

 

 

 

 

(4,001,417

)

Total Investments, Net of TBA Sale
Commitments and Options Written — 138.5%

 

 

 

 

 

540,737,481

 

Liabilities in Excess of Other Assets — (38.5)%

 

 

 

 

 

(150,305,611

)

Net Assets — 100.0%

 

 

 

 

$

390,431,870

 


 

 

(a)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(b)

Variable rate security. Rate shown is as of report date.

 

 

(c)

Non-income producing security.

 

 

(d)

All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.

 

 

(e)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(f)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

JPMorgan Chase & Co.

 

$

589,263

 

$

(673

)

Bank of America NA

 

$

782,513

 

$

9,350

 

Morgan Stanley & Co., Inc.

 

$

1,178,254

 

$

34,254

 


 

 

(g)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(h)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(i)

Amount is less than $500.

 

 

(j)

Security is perpetual in nature and has no stated maturity date.

 

 

(k)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(l)

Represents or includes a to-be-announced (“TBA”) transaction. Unsettled TBA transactions as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

BNP Paribas SA

 

$

310,031

 

$

(141

)

Credit Suisse Securities (USA) LLC

 

$

5,506,406

 

$

6,375

 

Deutsche Bank AG

 

 

 

$

(227

)

Goldman Sachs & Co.

 

$

4,235,000

 

$

535

 

JPMorgan & Co.

 

$

(5,816,438

)

$

(1,477

)

RBS Greenwich Capital

 

$

(4,235,000

)

$

(625

)


 

 

(m)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(n)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

3,706,293

 

 

(2,404,665

)

 

1,301,628

 

$

2,775

 


 

 

(o)

Represents the current yield as of report date.

 

 

Reverse repurchase agreements outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

 

Interest
Rate

 

 

Trade
Date

 

 

Maturity
Date

 

Net Closing
Amount

 

Face
Amount

 

Credit Suisse
Securities
(USA) LLC

 

 

0.10

%

 

11/29/11

 

 

Open

 

$

3,055,691

 

$

3,054,350

 

Deutsche Bank AG

 

 

0.05

%

 

12/05/11

 

 

Open

 

 

928,836

 

 

928,725

 

Barclays Capital, Inc.

 

 

0.08

%

 

1/11/12

 

 

Open

 

 

3,466,348

 

 

3,465,963

 

Barclays Capital, Inc.

 

 

0.10

%

 

1/11/12

 

 

Open

 

 

5,369,921

 

 

5,369,175

 

Deutsche Bank AG

 

 

0.09

%

 

1/11/12

 

 

Open

 

 

1,110,176

 

 

1,110,037

 

Deutsche Bank AG

 

 

0.10

%

 

1/11/12

 

 

Open

 

 

1,402,695

 

 

1,402,500

 

Deutsche Bank AG

 

 

(0.50

)%

 

1/17/12

 

 

Open

 

 

340,846

 

 

341,055

 

BNP Paribas
Securities Corp.

 

 

0.14

%

 

1/24/12

 

 

Open

 

 

1,190,809

 

 

1,190,637

 

BofA Merrill Lynch

 

 

0.11

%

 

1/25/12

 

 

Open

 

 

10,996,116

 

 

10,994,906

 

BofA Merrill Lynch

 

 

0.12

%

 

1/25/12

 

 

Open

 

 

10,288,315

 

 

10,287,081

 

Deutsche Bank AG

 

 

(12.00

)%

 

1/25/12

 

 

Open

 

 

747,323

 

 

756,400

 

BNP Paribas
Securities Corp.

 

 

0.11

%

 

1/30/12

 

 

Open

 

 

994,197

 

 

994,087

 

UBS Securities LLC

 

 

(1.25

)%

 

2/02/12

 

 

Open

 

 

440,271

 

 

440,700

 

BofA Merrill Lynch

 

 

0.12

%

 

2/07/12

 

 

Open

 

 

10,333,448

 

 

10,332,656

 

BNP Paribas
Securities Corp.

 

 

0.12

%

 

2/07/12

 

 

Open

 

 

2,657,379

 

 

2,657,175

 

BofA Merrill Lynch

 

 

0.16

%

 

2/10/12

 

 

Open

 

 

1,425,127

 

 

1,425,000

 

BNP Paribas
Securities Corp.

 

 

0.20

%

 

2/10/12

 

 

Open

 

 

5,282,987

 

 

5,282,400

 

Deutsche Bank AG

 

 

0.25

%

 

2/13/12

 

 

3/12/12

 

 

1,924,454

 

 

1,924,080

 

BofA Merrill Lynch

 

 

0.17

%

 

2/16/12

 

 

Open

 

 

889,059

 

 

889,000

 

BofA Merrill Lynch

 

 

0.11

%

 

2/16/12

 

 

Open

 

 

2,421,979

 

 

2,421,875

 

BNP Paribas
Securities Corp.

 

 

0.15

%

 

2/16/12

 

 

Open

 

 

1,021,403

 

 

1,021,344

 

BNP Paribas
Securities Corp.

 

 

0.16

%

 

2/16/12

 

 

Open

 

 

2,160,117

 

 

2,159,983

 

UBS Securities LLC

 

 

0.35

%

 

2/28/12

 

 

Open

 

 

1,988,539

 

 

1,988,500

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

79




 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

Reverse repurchase agreements outstanding as of February 29, 2012 were as follows (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net Closing
Amount

 

Face
Amount

 

BNP Paribas
Securities Corp.

 

 

 

0.32

%

 

 

2/28/12

 

Open

 

$

1,612,029

 

$

1,612,000

 

BofA Merrill Lynch

 

 

 

0.12

%

 

 

2/29/12

 

3/01/12

 

 

8,079,614

 

 

8,079,588

 

BNP Paribas
Securities Corp.

 

 

 

0.18

%

 

 

2/29/12

 

3/01/12

 

 

15,578,003

 

 

15,577,925

 

BNP Paribas
Securities Corp.

 

 

 

0.19

%

 

 

2/29/12

 

3/01/12

 

 

31,570,167

 

 

31,570,000

 

BNP Paribas
Securities Corp.

 

 

 

0.09

%

 

 

2/29/12

 

3/01/12

 

 

7,628,519

 

 

7,628,500

 

BNP Paribas
Securities Corp.

 

 

 

0.32

%

 

 

2/29/12

 

Open

 

 

3,502,031

 

 

3,502,000

 

Credit Suisse
Securities
(USA) LLC

 

 

 

(0.06

)%

 

 

2/29/12

 

3/01/12

 

 

27,571,204

 

 

27,571,250

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

$

165,977,603

 

$

165,978,892

 


 

 

Financial futures contracts purchased as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

 

Notional
Value

 

 

Unrealized
Appreciation

 

228

 

30-Year US
Treasury Bond

 

Chicago Board
of Trade

 

June 2012

 

$

32,297,625

 

$

105,637

 


 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation
(Depreciation)

 

10

 

Euro-Bund

 

Eurex

 

March 2012

 

EUR

1,398,900

 

$

(1,613

)

313

 

Euro-Schatz

 

Eurex

 

March 2012

 

EUR

34,561,460

 

 

(23,165

)

82

 

2-Year US
Treasury Note

 

Chicago Board
of Trade

 

June 2012

 

USD

18,059,219

 

 

4,969

 

98

 

5-Year US
Treasury Note

 

Chicago Board
of Trade

 

June 2012

 

USD

12,070,844

 

 

8,115

 

186

 

10-Year US
Treasury Note

 

Chicago Board
of Trade

 

June 2012

 

USD

24,357,281

 

 

71,480

 

44

 

90-Day
Euro-Dollar

 

Chicago
Mercantile

 

March 2015

 

USD

10,853,700

 

 

(1,507

)

44

 

90-Day
Euro-Dollar

 

Chicago
Mercantile

 

June 2015

 

USD

10,835,000

 

 

(1,856

)

44

 

90-Day
Euro-Dollar

 

Chicago
Mercantile

 

September
2015

 

USD

10,817,400

 

 

(3,007

)

44

 

90-Day
Euro-Dollar

 

Chicago
Mercantile

 

December
2015

 

USD

10,799,250

 

 

(4,094

)

Total

 

 

 

 

 

 

 

 

 

 

$

49,322

 


 

 

Foreign currency exchange contracts purchased as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

2,284,594

 

EUR

1,699,000

 

Deutsche
Bank AG

 

3/01/12

 

$

21,018

 

GBP

824,000

 

USD

1,308,504

 

UBS AG

 

3/02/12

 

 

2,398

 

EUR

863,000

 

USD

1,142,931

 

UBS AG

 

3/05/12

 

 

6,857

 

GBP

693,000

 

USD

1,103,178

 

Deutsche
Bank AG

 

3/05/12

 

 

(684)

 

Foreign currency exchange contracts purchased as of February 29, 2012 were as follows (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

1,137,468

 

EUR

863,000

 

Citibank NA

 

3/05/12

 

$

(12,320

)

EUR

4,400,000

 

CHF

5,302,792

 

UBS AG

 

3/06/12

 

 

584

 

EUR

1,705,000

 

USD

2,227,668

 

Citibank NA

 

3/07/12

 

 

43,947

 

EUR

1,475,000

 

USD

1,926,672

 

Royal Bank
of Scotland Plc

 

3/07/12

 

 

38,508

 

USD

1,131,750

 

EUR

863,000

 

Citibank NA

 

3/07/12

 

 

(18,046

)

AUD

1,230,000

 

USD

1,319,396

 

UBS AG

 

3/13/12

 

 

(1,927

)

NZD

1,720,000

 

USD

1,429,019

 

Royal Bank
of Scotland Plc

 

3/13/12

 

 

5,153

 

USD

1,325,067

 

AUD

1,230,000

 

HSBC Bank USA

 

3/13/12

 

 

7,597

 

USD

1,435,529

 

NZD

1,720,000

 

Morgan Stanley
& Co., Inc.

 

3/13/12

 

 

1,357

 

USD

1,623,017

 

EUR

1,225,000

 

Citibank NA

 

3/14/12

 

 

(9,126

)

JPY

78,276,510

 

USD

975,000

 

Citibank NA

 

3/16/12

 

 

(11,960

)

JPY

74,259,462

 

USD

925,000

 

Deutsche
Bank AG

 

3/16/12

 

 

(11,382

)

USD

1,950,000

 

JPY

152,438,520

 

BNP Paribas SA

 

3/16/12

 

 

74,541

 

USD

1,102,885

 

GBP

693,000

 

Deutsche

 

4/11/12

 

 

704

 

 

 

 

 

 

 

Bank AG

 

 

 

 

 

 

USD

1,030,889

 

GBP

672,500

 

UBS AG

 

4/11/12

 

 

(38,687

)

USD

1,308,135

 

GBP

824,000

 

UBS AG

 

4/11/12

 

 

(2,394

)

PHP

53,125,804

 

USD

1,250,000

 

Royal Bank
of Scotland Plc

 

4/17/12

 

 

(11,716

)

SGD

1,551,750

 

USD

1,250,000

 

HSBC Bank USA

 

4/17/12

 

 

(9,206

)

USD

1,250,000

 

PHP

53,387,500

 

Morgan Stanley
& Co., Inc.

 

4/17/12

 

 

5,616

 

USD

1,250,000

 

SGD

1,577,488

 

Standard
Chartered Bank

 

4/17/12

 

 

(11,374

)

EUR

1,699,000

 

USD

2,285,031

 

Deutsche
Bank AG

 

4/18/12

 

 

(21,010

)

USD

6,231,110

 

EUR

4,851,000

 

Citibank NA

 

4/18/12

 

 

(233,143

)

USD

2,068,312

 

EUR

1,581,000

 

Citibank NA

 

4/18/12

 

 

(38,467

)

USD

367,592

 

EUR

280,000

 

Citibank NA

 

4/18/12

 

 

(5,525

)

USD

189,234

 

EUR

143,000

 

Citibank NA

 

4/18/12

 

 

(1,322

)

USD

2,991,625

 

EUR

2,275,000

 

Deutsche
Bank AG

 

4/18/12

 

 

(39,951

)

Total

 

 

 

 

 

 

 

 

 

$

(269,960

)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

 

Pay
Fixed
Rate

 

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

Radian Group, Inc.

 

 

 

5.00

%

 

 

Citibank NA

 

3/20/13

 

$

1,400

 

$

188,478

 

Radian Group, Inc.

 

 

 

5.00

%

 

 

Citibank NA

 

6/20/15

 

$

1,400

 

 

303,681

 

The New York
Times Co.

 

 

 

1.00

%

 

 

Barclays
Capital, Inc.

 

12/20/16

 

$

1,800

 

 

385

 

Sara Lee Corp.

 

 

 

1.00

%

 

 

JPMorgan
Chase & Co.

 

3/20/17

 

$

415

 

 

(644

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

491,900

 


See Notes to Financial Statements.

 

 

 


80


SEMI-ANNUAL REPORT


FEBRUARY 29, 2012




 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Aviva USA Corp.

 

 

 

1.00

%

 

 

Deutsche
Bank AG

 

 

5/25/12

 

Not Rated

 

$

1,150

 

$

(619

)

Assured
Guaranty Corp.

 

 

 

5.00

%

 

 

Citibank NA

 

 

12/20/14

 

AA–

 

$

3

 

 

336

 

Assured
Guaranty Corp.

 

 

 

5.00

%

 

 

Citibank NA

 

 

3/20/15

 

AA–

 

$

10

 

 

1,330

 

MetLife, Inc.

 

 

 

1.00

%

 

 

Credit Suisse
Securities
(USA) LLC

 

 

9/20/16

 

A–

 

$

545

 

 

21,042

 

MetLife, Inc.

 

 

 

1.00

%

 

 

Deutsche
Bank AG

 

 

9/20/16

 

A–

 

$

730

 

 

22,969

 

MetLife, Inc.

 

 

 

1.00

%

 

 

Goldman
Sachs & Co.

 

 

9/20/16

 

A–

 

$

500

 

 

14,705

 

MetLife, Inc.

 

 

 

1.00

%

 

 

Morgan Stanley
& Co., Inc.

 

 

9/20/16

 

A–

 

$

910

 

 

27,286

 

MetLife, Inc.

 

 

 

1.00

%

 

 

Morgan Stanley
& Co., Inc.

 

 

9/20/16

 

A–

 

$

275

 

 

6,017

 

Assured
Guaranty Corp.

 

 

 

5.00

%

 

 

Citibank NA

 

 

12/20/16

 

AA–

 

$

146

 

 

25,075

 

MetLife, Inc.

 

 

 

1.00

%

 

 

Citibank NA

 

 

12/20/16

 

A–

 

$

298

 

 

6,143

 

MetLife, Inc.

 

 

 

1.00

%

 

 

Citibank NA

 

 

12/20/16

 

A–

 

$

290

 

 

7,721

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

132,005

 


 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.


 

 

Credit default swaps on traded indexes — buy protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

Dow Jones
CDX Emerging
Markets
Series 14

 

5.00

%

 

Morgan Stanley
& Co., Inc.

 

12/20/15

 

$

990

 

$

(202

)

Dow Jones
CDX North
America
Investment Grade
Index Series 16

 

1.00

%

 

Credit Suisse
Securities
(USA) LLC

 

6/20/16

 

$

385

 

 

(5,449

)

Dow Jones
CDX North
America
Investment Grade
Index Series 16

 

1.00

%

 

JPMorgan
Chase & Co.

 

6/20/16

 

$

22

 

 

(262

)

Dow Jones
CDX North
America
Investment Grade
Index Series 16

 

1.00

%

 

Morgan Stanley
& Co., Inc.

 

6/20/16

 

$

1,488

 

 

(29,000

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(34,913

)


 

 

Credit default swaps on traded indexes — sold protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Index

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Credit
Rating3

 

 

Notional
Amount
(000)4

 

 

Unrealized
Appreciation

 

Markit CMBX
North America
AAA Index
Series 3

 

 

 

0.08

%

 

Morgan Stanley
& Co., Inc.

 

12/13/49

 

AA

 

$

530

 

$

29,222

 

Markit CMBX
North America
AAA Index
Series 4

 

 

 

0.35

%

 

Morgan Stanley
& Co., Inc.

 

2/17/51

 

A–

 

$

530

 

 

29,114

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

58,336

 


 

 

 

 

3

Using S&P’s rating of the underlying securities.

 

4

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.


 

 

Interest rate swaps outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration
Date

 

 

Notional
Amount
(000)

 

 

Unrealized
Appreciation
(Depreciation)

 

1.24

%5

 

6-month EURIBOR

 

Citibank NA

 

12/13/13

 

EUR

40,115

 

$

205,417

 

3.27

%6

 

3-month LIBOR

 

Deutsche
Bank AG

 

5/16/21

 

USD

910

 

 

(102,530

)

2.45

%5

 

3-month LIBOR

 

Deutsche
Bank AG

 

10/27/21

 

USD

1,900

 

 

72,786

 

3.02

%5

 

3-month LIBOR

 

Goldman
Sachs & Co.

 

1/17/22

 

USD

1,000

 

 

(2,991

)

1.97

%6

 

3-month LIBOR

 

Deutsche
Bank AG

 

2/02/22

 

USD

2,200

 

 

17,832

 

2.01

%6

 

3-month LIBOR

 

Credit Suisse
Securities
(USA) LLC

 

2/08/22

 

USD

600

 

 

2,810

 

2.14

%6

 

3-month LIBOR

 

JPMorgan
Chase & Co.

 

2/24/22

 

USD

25,000

 

 

(188,488

)

2.58

%6

 

6-month EURIBOR

 

Deutsche
Bank AG

 

11/11/41

 

EUR

350

 

 

(5,803

)

2.68

%6

 

6-month EURIBOR

 

Deutsche
Bank AG

 

11/18/41

 

EUR

750

 

 

(33,737

)

2.70

%6

 

3-month LIBOR

 

Deutsche
Bank AG

 

1/11/42

 

USD

1,000

 

 

16,294

 

2.85

%6

 

3-month LIBOR

 

Bank of
America NA

 

2/09/42

 

USD

1,100

 

 

(16,737

)

2.86

%6

 

3-month LIBOR

 

JPMorgan
Chase & Co.

 

2/24/42

 

USD

10,000

 

 

(164,984

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(200,131

)


 

 

 

 

5

Trust pays a floating interest rate and receives fixed rate.

 

 

 

 

6

Trust pays a fixed interest rate and receives floating rate.


See Notes to Financial Statements.

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

81




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

Total return swaps outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reference Entity

 

Trust Pays/
Receives the
Total Return
of the
Reference
Entity

 

Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

Change in Return of the Consumer Price Index for All Urban Consumers

 

Pays

 

2.18

%1

Bank of

 

10/06/21

 

$

1,885

 

$

(77,489

)

 

 

 

 

 

America NA

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Net payment made at termination.


 

 

 

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 rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such 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 are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)

 

 

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Trust’s perceived risk of 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 Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

17,058,946

 

$

5,643,507

 

$

22,702,453

 

Common Stocks

 

 

 

 

 

 

3

 

 

3

 

Corporate Bonds

 

 

 

 

282,489,423

 

 

1,961,750

 

 

284,451,173

 

Foreign Agency Obligations

 

 

 

 

12,366,973

 

 

 

 

12,366,973

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

56,193,118

 

 

977,336

 

 

57,170,454

 

Preferred Securities

 

$

627,099

 

 

6,676,856

 

 

 

 

7,303,955

 

Taxable Municipal Bonds

 

 

 

 

8,413,359

 

 

 

 

8,413,359

 

US Government Sponsored Agency Securities

 

 

 

 

29,406,450

 

 

37,396

 

 

29,443,846

 

US Treasury Obligations

 

 

 

 

132,196,680

 

 

 

 

132,196,680

 

Warrants

 

 

 

 

106,253

 

 

 

 

106,253

 

Short-Term Securities

 

 

1,301,628

 

 

 

 

 

 

1,301,628

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

TBA Sale Commitments

 

 

 

 

(10,886,484

)

 

 

 

(10,886,484

)

Total

 

$

1,928,727

 

$

534,021,574

 

$

8,619,992

 

$

544,570,293

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

683,504

 

 

 

$

683,504

 

Foreign currency exchange contracts

 

 

 

 

235,206

 

 

 

 

235,206

 

Interest rate contracts

 

$

191,582

 

 

455,437

 

 

 

 

647,019

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(35,557

)

$

(619

)

 

(36,176

)

Foreign currency exchange contracts

 

 

 

 

(479,402

)

 

 

 

(479,402

)

Interest rate contracts

 

 

(35,242

)

 

(4,515,525

)

 

 

 

(4,550,767

)

Other contracts

 

 

 

 

(77,489

)

 

 

 

(77,489

)

Total

 

$

156,340

 

$

(3,733,826

)

$

(619

)

$

(3,578,105

)


 

 

 

 

2

Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options are shown at value.


 

 

 

See Notes to Financial Statements.

 

 

 

82

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock Income Opportunity Trust, Inc. (BNA)

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Non-Agency
Mortgage-Backed
Securities

 

Other
Interests

 

Preferred
Securities

 

US Government
Sponsored Agency
Securities

 

Warrants

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2011

 

$

6,157,600

 

 

 

$

2,004,500

 

$

1,957,342

 

$

190

 

$

109,421

 

$

80,827

 

$

83,088

 

$

10,392,968

 

Accrued discounts/premiums

 

 

(177,723

)

 

 

 

200

 

 

347

 

 

 

 

 

 

(85

)

 

 

 

(177,261

)

Net realized gain (loss)

 

 

93

 

 

 

 

18,672

 

 

62,551

 

 

 

 

 

 

(1,460

)

 

 

 

79,856

 

Net change in unrealized appreciation/depreciation1

 

 

127,598

 

$

(1,782

)

 

(6,622

)

 

8,724

 

 

(190

)

 

(109,421

)

 

249

 

 

(1

)

 

18,555

 

Purchases

 

 

1,369,968

 

 

 

 

 

 

974,152

 

 

 

 

 

 

 

 

 

 

2,344,120

 

Sales

 

 

(514,765

)

 

 

 

(55,000

)

 

(1,673,110

)

 

 

 

 

 

(42,135

)

 

 

 

(2,285,010

)

Transfers in2

 

 

 

 

1,785

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,785

 

Transfers out2

 

 

(1,319,264

)

 

 

 

 

 

(352,670

)

 

 

 

 

 

 

 

(83,087

)

 

(1,755,021

)

Balance, as of February 29, 2012

 

$

5,643,507

 

$

3

 

$

1,961,750

 

$

977,336

 

 

 

 

 

$

37,396

 

 

 

$

8,619,992

 


 

 

 

 

1

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at February 29, 2012 was $139,625.

 

 

 

 

2

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the event.

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

Credit
Contracts

 

Liabilities:

 

 

 

 

Balance, as of August 31, 2011

 

$

(941

)

Accrued discounts/premiums

 

 

(3,710

)

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation3

 

 

322

 

Purchases

 

 

 

Issuances4

 

 

 

Sales

 

 

 

Settlements5

 

 

3,710

 

Transfers in6

 

 

 

Transfers out6

 

 

 

Balance, as of February 29, 2012

 

$

(619

)


 

 

 

 

3

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held at February 29, 2012 was $322.

 

 

 

 

4

Issuances represent upfront cash received on certain derivative financial instruments.

 

 

 

 

5

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

 

 

 

 

6

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

A reconciliation of Level 3 investments and derivative 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.

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

83




 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 

Asset-Backed Securities — 1.9%

 

 

 

 

 

 

 

First Franklin Mortgage Loan Asset-Backed Certificates,
Series 2005-FF2, Class M2, 0.68%, 3/25/35 (a)

 

$

5,890

 

$

5,506,437

 

Freddie Mac Mortgage-Backed Securities, Series T-11,
Class A9, 2.64%, 1/25/28 (a)

 

 

2,149

 

 

2,036,831

 

Securitized Asset-Backed Receivables LLC Trust,
Series 2005-OP2, Class M1, 0.67%, 10/25/35 (a)

 

 

1,875

 

 

1,117,823

 

Small Business Administration Participation
Certificates, Class 1:

 

 

 

 

 

 

 

Series 1996-20E, 7.60%, 5/01/16

 

 

136

 

 

146,617

 

Series 1996-20G, 7.70%, 7/01/16

 

 

173

 

 

187,225

 

Series 1996-20H, 7.25%, 8/01/16

 

 

211

 

 

227,952

 

Series 1996-20K, 6.95%, 11/01/16

 

 

421

 

 

455,060

 

Series 1997-20C, 7.15%, 3/01/17

 

 

161

 

 

175,684

 

 

 

 

 

 

 

9,853,629

 

Interest Only Asset-Backed Securities — 0.2%

 

 

 

 

 

 

 

Small Business Administration, Series 1, 2.00%,
4/01/15

 

 

1,522

 

 

13,314

 

Sterling Bank Trust, Series 2004-2, Class Note,
2.08%, 3/30/30 (b)

 

 

4,561

 

 

353,497

 

Sterling Coofs Trust, Series 1, 2.36%, 4/15/29

 

 

7,913

 

 

613,290

 

 

 

 

 

 

 

980,101

 

Total Asset-Backed Securities — 2.1%

 

 

 

 

 

10,833,730

 

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 

Collateralized Mortgage Obligations — 1.5%

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust, Series 40,
Class R, 0.58%, 4/01/18

 

 

104

 

 

104

 

Countrywide Alternative Loan Trust, Series 2005-28CB,
Class 1A5, 5.50%, 8/25/35

 

 

398

 

 

395,261

 

Deutsche ALT-A Securities, Inc. Alternate Loan Trust,
Series 2006-AR5, Class 22A, 5.50%, 10/25/21

 

 

948

 

 

921,104

 

Homebanc Mortgage Trust, Series 2005-4, Class A1,
0.51%, 10/25/35 (a)

 

 

3,026

 

 

2,036,599

 

JPMorgan Mortgage Trust, Series 2006-A7, Class 2A2,
2.73%, 1/25/37 (a)

 

 

377

 

 

256,518

 

Kidder Peabody Acceptance Corp., Series 1993-1,
Class A6, 16.17%, 8/25/23 (a)

 

 

51

 

 

58,521

 

Residential Funding Securities LLC, Series 2003-RM2,
Class AI5, 8.50%, 5/25/33

 

 

2,604

 

 

2,785,660

 

Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-11, Class A, 2.69%, 8/25/34 (a)

 

 

1,391

 

 

1,290,496

 

 

 

 

 

 

 

7,744,263

 

Commercial Mortgage-Backed Securities — 0.7%

 

 

 

 

 

 

 

Credit Suisse Mortgage Capital Certificates,
Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)

 

 

2,420

 

 

2,634,814

 

First Union-Lehman Brothers Commercial Mortgage,
Series 1997-C2, Class D, 7.12%, 11/18/29

 

 

726

 

 

731,710

 

 

 

 

 

 

 

3,366,524

 

Interest Only Collateralized Mortgage
Obligations — 1.0%

 

 

 

 

 

 

 

Bank of America Mortgage Securities Inc.,
Series 2003-3, Class 1A, 0.28%, 5/25/33

 

 

70,927

 

 

456,130

 

CitiMortgage Alternative Loan Trust, Series 2007-A5,
Class 1A7, 6.00%, 5/25/37 (b)

 

 

949

 

 

190,958

 

Collateralized Mortgage Obligation Trust, Series 42,
Class R, 6.00%, 10/01/14

 

 

1

 

 

64

 

First Boston Mortgage Securities Corp., Series C,
10.97%, 4/25/17

 

 

20

 

 

3,325

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 

Interest Only Collateralized Mortgage
Obligations (concluded)

 

 

 

 

 

 

 

GSMPS Mortgage Loan Trust, Series 1998-5, 0.15%,
6/19/27 (a)(b)

 

$

4,445

 

$

99,206

 

IndyMac INDX Mortgage Loan Trust, Series 2006-AR33,
Class 4AX, 0.17%, 1/25/37

 

 

98,790

 

 

493,949

 

MASTR Adjustable Rate Mortgages Trust, Series 2004-3,
Class 3AX, 0.48%, 4/25/34 (a)

 

 

11,705

 

 

129,812

 

Morgan Stanley Mortgage Loan Trust, Series 2004-3,
Class 1AX, 5.00%, 5/25/19

 

 

574

 

 

56,215

 

Sequoia Mortgage Trust, Series 2005-2, Class XA,
1.07%, 3/20/35 (a)

 

 

38,308

 

 

622,507

 

Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-7, Class 3AS, 2.51%, 8/25/36 (a)

 

 

26,489

 

 

2,744,010

 

Vendee Mortgage Trust, Series 1999-2, Class 1, 0.04%,
5/15/29 (a)

 

 

53,927

 

 

93,574

 

 

 

 

 

 

 

4,889,750

 

Interest Only Commercial Mortgage-Backed
Securities — 0.0%

 

 

 

 

 

 

 

CS First Boston Mortgage Securities Corp.,
Series 1997-C1, Class AX, 1.24%, 6/20/29 (a)

 

 

2,689

 

 

66,280

 

Morgan Stanley Capital I, Series 1997-HF1, Class X,
2.19%, 7/15/29 (a)(b)

 

 

3

 

 

 

 

 

 

 

 

 

66,280

 

Principal Only Collateralized Mortgage
Obligations — 0.6%

 

 

 

 

 

 

 

Countrywide Home Loan Mortgage Pass-Through Trust:

 

 

 

 

 

 

 

Series 2003-26, 8/25/33

 

 

1,540

 

 

1,200,127

 

Series 2003-J4, 6/25/33

 

 

295

 

 

227,282

 

Series 2003-J5, 7/25/33

 

 

425

 

 

323,569

 

Series 2003-J8, 9/25/23

 

 

323

 

 

268,404

 

Drexel Burnham Lambert CMO Trust, Class 1:

 

 

 

 

 

 

 

Series K, 9/23/17

 

 

9

 

 

8,263

 

Series V, 9/01/18

 

 

28

 

 

27,688

 

MASTR Asset Securitization Trust, Series 2004-3,
Class 4A15, 3/25/34

 

 

59

 

 

59,914

 

Residential Asset Securitization Trust, Series 2005-A15,
Class 1A8, 2/25/36

 

 

812

 

 

601,257

 

Structured Mortgage Asset Residential Trust,
Series 1993-3C, Class CX, 4/25/24

 

 

7

 

 

4,935

 

Washington Mutual Alternative Mortgage Pass-Through
Certificates, Series 2005-9, Class CP, 11/25/35

 

 

525

 

 

399,274

 

 

 

 

 

 

 

3,120,713

 

Total Non-Agency Mortgage-Backed Securities — 3.8%

 

 

 

 

 

19,187,530

 

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

 

 

 

 

 

 

Agency Obligations — 2.3%

 

 

 

 

 

 

 

Federal Housing Administration:

 

 

 

 

 

 

 

General Motors Acceptance Corp. Projects,
Series 56, 7.43%, 1/11/22

 

 

209

 

 

202,760

 

Merrill Projects, Series 54, 7.43%, 5/15/23

 

 

2

 

 

1,868

 

Reilly Projects, Series 41, 8.28%, 3/01/20

 

 

220

 

 

216,223

 

USGI Projects, Series 87, 7.43%, 12/01/22

 

 

64

 

 

62,384

 

USGI Projects, Series 99, 7.43%, 6/01/21

 

 

4,285

 

 

4,156,080

 

USGI Projects, Series 99, 7.43%, 10/01/23

 

 

118

 

 

114,530

 

USGI Projects, Series 99, 7.43%, 10/01/23

 

 

40

 

 

38,764

 

Resolution Funding Corp., 9.89%, 4/15/30 (c)

 

 

13,000

 

 

7,164,560

 

 

 

 

 

 

 

11,957,169

 


 

 

 

See Notes to Financial Statements.

 

 

 

84

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

Par
(000)

 

Value

 

Collateralized Mortgage Obligations — 14.1%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 7, Class 2, 8.50%, 4/01/17

 

$

4

 

$

626

 

Series 89, Class 2, 8.00%, 10/01/18

 

 

6

 

 

893

 

Series 94, Class 2, 9.50%, 8/01/21

 

 

3

 

 

543

 

Series 1991-46, Class S, 1.40%, 5/25/21 (a)

 

 

90

 

 

5,445

 

Series 1991-87, Class S, 26.02%, 8/25/21 (a)

 

 

45

 

 

73,142

 

Series 1993-199, Class SB, 7.25%, 10/25/23 (a)

 

 

648

 

 

75,652

 

Series 1993-247, Class SN, 10.00%, 12/25/23

 

 

370

 

 

444,292

 

Series 1997-90, Class M, 6.00%, 1/25/28

 

 

5,319

 

 

939,915

 

Series 2003-32, Class VT, 6.00%, 9/25/15

 

 

1,869

 

 

1,879,408

 

Series 2003-135, Class PB, 6.00%, 1/25/34

 

 

12,264

 

 

14,320,925

 

Series 2004-29, Class HC, 7.50%, 7/25/30

 

 

217

 

 

218,353

 

Series 2004-31, Class ZG, 7.50%, 5/25/34

 

 

3,292

 

 

4,175,113

 

Series 2005-43, Class IC, 6.00%, 3/25/34

 

 

11

 

 

414

 

Series 2005-73, Class DS, 16.92%, 8/25/35

 

 

2,817

 

 

3,754,142

 

Series 2010-75, Class PI, 4.50%, 12/25/36

 

 

18,189

 

 

778,921

 

Series G-7, Class S, 16.87%, 3/25/21 (a)

 

 

(d)

 

4,044

 

Series G-12, Class S, 0.61%, 5/25/21

 

 

360

 

 

9,407

 

Series G-17, Class S, 0.58%, 6/25/21 (a)

 

 

233

 

 

4,950

 

Series G-33, Class PV, 1.08%, 10/25/21

 

 

258

 

 

5,048

 

Series G-49, Class S, 5.55%, 12/25/21 (a)

 

 

(d)

 

1,696

 

Series G-50, Class G, 1.16%, 12/25/21

 

 

14

 

 

26

 

Series G92-5, Class H, 9.00%, 1/25/22 (a)

 

 

74

 

 

12,517

 

Series G92-12, Class C, 1.00%, 2/25/22 (a)

 

 

221

 

 

4,225

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 19, Class F, 8.50%, 3/15/20

 

 

74

 

 

80,798

 

Series 19, Class R, 9.76%, 3/15/20 (a)

 

 

7

 

 

1,184

 

Series 40, Class K, 6.50%, 8/17/24

 

 

330

 

 

387,803

 

Series 75, Class R, 9.50%, 1/15/21

 

 

(d)

 

2

 

Series 75, Class RS, 27.16%, 1/15/21

 

 

(d)

 

2

 

Series 173, Class R, 9.00%, 11/15/21 (a)(b)

 

 

12

 

 

12

 

Series 173, Class RS, 9.20%, 11/15/21

 

 

(d)

 

12

 

Series 192, Class U, 28.43%, 2/15/22

 

 

2

 

 

61

 

Series 1043, Class H, 0.02%, 2/15/21

 

 

8,061

 

 

17,282

 

Series 1054, Class I, 0.44%, 3/15/21 (a)

 

 

65

 

 

1,364

 

Series 1057, Class J, 1.01%, 3/15/21

 

 

90

 

 

2,322

 

Series 1160, Class F, 39.10%, 10/15/21

 

 

17

 

 

32,905

 

Series 1691, Class B, 0.01%, 3/15/24 (a)

 

 

855

 

 

769,398

 

Series 1739, Class B, 0.01%, 2/15/24 (a)

 

 

21

 

 

21,163

 

Series 1961, Class H, 6.50%, 5/15/12

 

 

(d)

 

9

 

Series 2218, Class Z, 8.50%, 3/15/30

 

 

5,055

 

 

5,925,506

 

Series 2542, Class UC, 6.00%, 12/15/22

 

 

7,131

 

 

7,818,545

 

Series 2545, Class NI, 5.50%, 3/15/22

 

 

13

 

 

4

 

Series 2611, Class QI, 5.50%, 9/15/32

 

 

3,282

 

 

389,822

 

Series 2758, Class KV, 5.50%, 5/15/23

 

 

9,171

 

 

10,461,494

 

Series 2861, Class AX, 10.43%, 9/15/34

 

 

188

 

 

204,883

 

Series 2927, Class BZ, 5.50%, 2/15/35 (a)

 

 

3,047

 

 

3,693,804

 

Series 3744, Class PI, 4.00%, 6/15/39

 

 

20,506

 

 

3,271,719

 

Series 3745, Class IN, 4.00%, 1/15/35 (a)

 

 

45,716

 

 

5,432,246

 

Series T-8, Class A10, 0.01%, 11/15/28

 

 

134

 

 

124,989

 

Ginnie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1996-5, Class Z, 7.00%, 5/16/26

 

 

506

 

 

550,825

 

Series 2001-33, Class PB, 6.50%, 7/20/31

 

 

854

 

 

878,590

 

Series 2004-89, Class PE, 6.00%, 10/20/34

 

 

3,392

 

 

3,696,683

 

Series 2010-101, Class YT, 2.00%, 8/16/13

 

 

55,905

 

 

1,291,449

 

 

 

 

 

 

 

71,764,573

 

Federal Deposit Insurance Corporation
Guaranteed — 0.8%

 

 

 

 

 

 

 

Citigroup Funding, Inc., 1.88%, 10/22/12

 

 

3,800

 

 

3,841,439

 

 

 

 

 

 

 

 

 

US Government Sponsored Agency Securities

 

Par
(000)

 

Value

 

Interest Only Collateralized Mortgage
Obligations — 2.4%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.50%, 4/01/41

 

$

2,833

 

$

3,020,987

 

Series 1991-99, Class L, 0.93%, 8/25/21 (a)

 

 

101

 

 

2,323

 

Series 1990-123, Class M, 1.01%, 10/25/20 (a)

 

 

21

 

 

549

 

Series 1990-136, Class S, 0.02%, 11/25/20 (a)

 

 

11,080

 

 

16,188

 

Series 1991-139, Class PT, 0.65%, 10/25/21

 

 

222

 

 

4,004

 

Series 1999-W4, 6.50%, 12/25/28

 

 

318

 

 

65,263

 

Series 2010-74, Class DI, 5.00%, 12/25/39

 

 

53,610

 

 

5,670,295

 

Series 2010-126, Class UI, 5.50%, 10/25/40

 

 

20,130

 

 

3,346,901

 

Series G-10, Class S, 0.58%, 5/25/21

 

 

498

 

 

13,393

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 176, Class M, 1.01%, 7/15/21

 

 

29

 

 

738

 

Series 200, Class R, 98.52%, 12/15/22 (a)

 

 

1

 

 

13

 

Series 1056, Class KD, 1.08%, 3/15/21

 

 

56

 

 

1,582

 

Series 1148, Class E, 0.59%, 10/15/21 (a)

 

 

157

 

 

3,474

 

Series 2559, 0.50%, 8/15/30 (a)

 

 

184

 

 

2,048

 

Series 2949, 5.50%, 3/15/35

 

 

551

 

 

16,246

 

 

 

 

 

 

 

12,164,004

 

Mortgage-Backed Securities — 114.2%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

3.50%, 3/12/42 (a)(f)

 

 

7,000

 

 

7,234,063

 

4.00%, 1/01/41 – 3/12/42 (f)

 

 

28,946

 

 

30,492,471

 

4.50%, 9/01/25 – 5/01/41 (a)(e)(f)(g)

 

 

184,804

 

 

199,113,616

 

5.00%, 1/01/23 – 3/12/42 (e)(f)

 

 

114,254

 

 

123,974,012

 

5.50%, 3/15/27 – 3/12/42 (f)(g)

 

 

131,633

 

 

143,767,947

 

5.97%, 8/01/16

 

 

3,036

 

 

3,477,631

 

6.00%, 3/12/42 (a)(f)

 

 

21,800

 

 

23,980,000

 

6.50%, 12/01/37 – 10/01/39

 

 

42,365

 

 

47,806,950

 

7.50%, 2/01/22

 

 

(d)

 

117

 

9.50%, 1/01/19

 

 

3

 

 

2,731

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

2.48%, 1/01/35 (a)

 

 

201

 

 

202,955

 

2.55%, 10/01/34 (a)

 

 

301

 

 

315,637

 

2.73%, 11/01/17

 

 

14

 

 

14,556

 

5.00%, 4/01/22 (g)

 

 

926

 

 

997,618

 

9.00%, 9/01/20 (g)

 

 

48

 

 

54,117

 

Ginnie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

7.50%, 1/15/23 – 2/15/23

 

 

214

 

 

232,876

 

8.00%, 10/15/22 – 1/15/27

 

 

70

 

 

79,833

 

9.00%, 4/15/20

 

 

8

 

 

8,242

 

 

 

 

 

 

 

581,755,372

 

Principal Only Collateralized Mortgage
Obligations — 0.2%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 203, Class 1, 2/01/23

 

 

18

 

 

16,818

 

Series 228, Class 1, 6/01/23

 

 

13

 

 

11,873

 

Series 1991-7, Class J, 2/25/21

 

 

18

 

 

16,789

 

Series 1993-51, Class E, 2/25/23

 

 

61

 

 

55,564

 

Series 1993-70, Class A, 5/25/23

 

 

10

 

 

9,055

 

Series 1996-68, Class SC, 1/25/24

 

 

304

 

 

11,486

 

Series 1997-50, Class SI, 4/25/23

 

 

318

 

 

11,623

 

Series 1999-W4, Class PO, 2/25/29

 

 

160

 

 

147,625

 

Series 2002-13, Class PR, 3/25/32

 

 

344

 

 

320,256

 

Series G92-60, Class SB, 10/25/22

 

 

226

 

 

9,992

 

Series G93-2, Class KB, 1/25/23

 

 

153

 

 

139,338

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1418, Class M, 11/15/22

 

 

64

 

 

59,304

 

Series 1571, Class G, 8/15/23

 

 

395

 

 

374,563

 

 

 

 

 

 

 

1,184,286

 

Total US Government Sponsored
Agency Securities — 134.0%

 

 

 

 

 

682,666,843

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

85




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

US Treasury Obligations

 

Par
(000)

 

Value

 

US Treasury Bonds:

 

 

 

 

 

 

 

6.25%, 8/15/23 (e)

 

$

3,320

 

$

4,711,807

 

4.38%, 5/15/40 (e)

 

 

36,985

 

 

46,514,407

 

4.38%, 5/15/41

 

 

1,220

 

 

1,536,437

 

3.13%, 11/15/41 (e)

 

 

21,985

 

 

22,167,057

 

3.13%, 2/15/42 (e)

 

 

3,300

 

 

3,324,750

 

US Treasury Notes:

 

 

 

 

 

 

 

0.88%, 2/28/17 (e)

 

 

10,010

 

 

10,010,000

 

2.25%, 7/31/18 (e)

 

 

3,375

 

 

3,584,091

 

2.63%, 8/15/20 (g)

 

 

1,455

 

 

1,562,420

 

2.00%, 11/15/21 (e)

 

 

19,815

 

 

19,914,075

 

2.00%, 2/15/22 (e)

 

 

5,700

 

 

5,711,577

 

4.50%, 8/15/39

 

 

330

 

 

422,710

 

Total US Treasury Obligations — 23.5%

 

 

 

 

 

119,459,331

 

Total Long-Term Investments
(Cost — $806,654,230) — 163.4%

 

 

 

 

 

832,147,434

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

Borrowed Bond Agreements — 3.6%

 

 

 

 

 

 

 

Barclays Capital, Inc., 0.11%, Open

 

 

6,508

 

 

6,508,450

 

BNP Paribas SA:

 

 

 

 

 

 

 

0.03%, Open

 

 

7,316

 

 

7,315,594

 

0.11%, Open

 

 

937

 

 

937,250

 

Credit Suisse Securities (USA) LLC, 0.04%, Open

 

 

3,774

 

 

3,774,412

 

 

 

 

 

 

 

18,535,706

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

Money Market Fund — 0.4%

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.11% (h)(i)

 

 

2,011,437

 

 

2,011,437

 

Total Short-Term Securities
(Cost — $20,547,143) — 4.0%

 

 

 

 

 

20,547,143

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Exchange-Traded Put Options — 0.0%

 

 

 

 

 

 

 

Eurodollar 1-Year Mid-Curve Options, Strike Price
USD 99.00, Expires 3/16/12

 

 

300

 

 

1,875

 

 

 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Interest Rate Call
Swaptions — 0.4%

 

 

 

 

 

 

 

Receive a fixed rate of 5.47% and pay a floating rate
based on 3-month LIBOR, Expires 5/19/12,
Broker Bank of America NA

 

$

6,200

 

 

1,913,717

 

Over-the-Counter Interest Rate Put
Swaptions — 0.0%

 

 

 

 

 

 

 

Pay a fixed rate of 5.47% and receive a floating rate
based on 3-month LIBOR, Expires 5/19/12,
Broker Bank of America NA

 

 

6,200

 

 

1

 

Total Options Purchased
(Cost — $581,573) — 0.4%

 

 

 

 

 

1,915,593

 

Total Investments Before Borrowed Bonds,
TBA Sale Commitments and Options Written
(Cost — $827,782,946) — 167.8%

 

 

 

 

 

854,610,170

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

Par
(000)

 

Value

 

US Treasury Notes:

 

 

 

 

 

 

 

1.25%, 2/15/14

 

$

920

 

$

(936,854

)

2.13%, 2/29/16

 

 

6,845

 

 

(7,242,866

)

1.00%, 10/31/16

 

 

3,765

 

 

(3,799,118

)

0.88%, 12/31/16

 

 

6,460

 

 

(6,470,601

)

Total Borrowed Bonds
(Proceeds — $17,950,636) — (3.6)%

 

 

 

 

 

(18,449,439

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TBA Sale Commitments (f)

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.50%, 9/01/25 – 5/01/41

 

 

13,800

 

 

(14,764,922

)

5.50%, 3/15/27 – 3/12/42

 

 

1,000

 

 

(1,077,813

)

Total TBA Sale Commitments
(Proceeds — $15,827,469) — (3.1)%

 

 

 

 

 

(15,842,735

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

 

 

 

Over-the-Counter Interest Rate Call
Swaptions — (0.4)%

 

 

 

 

 

 

 

Pay a fixed rate of 5.33% and receive a floating rate
based on 3-month LIBOR, Expires 7/17/13,
Broker JPMorgan Chase Bank NA

 

 

11,100

 

 

(1,921,819

)

Over-the-Counter Interest Rate Put
Swaptions — (0.0)%

 

 

 

 

 

 

 

Receive a fixed rate of 5.33% and pay a floating rate
based on 3-month LIBOR, Expires 7/17/13,
Broker JPMorgan Chase Bank NA

 

 

11,100

 

 

(7,528

)

Total Options Written
(Premiums Received — $706,515) — (0.4)%

 

 

 

 

 

(1,929,347

)

Total Investments, Net of TBA Sale Commitments,
Options Written and Borrowed Bonds — 160.7%

 

 

 

 

 

818,388,649

 

Liabilities in Excess of Other Assets — (60.7)%

 

 

 

 

 

(308,976,810

)

Net Assets — 100.0%

 

 

 

 

$

509,411,839

 


 

 


(a)


Variable rate security. Rate shown is as of report date.

 

 

(b)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(c)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(d)

Amount is less than $500.

 

 

(e)

All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.

 

 

(f)

Represents or includes a to-be-announced (“TBA”) transaction. Unsettled TBA transactions as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

BNP Paribas Securities Corp.

 

$

1,550,156

 

$

(703

)

Credit Suisse Securities (USA) LLC

 

$

89,523,232

 

$

229,888

 

Goldman Sachs & Co.

 

$

51,393,125

 

$

59,500

 

Greenwich Financial Services

 

$

4,786,375

 

$

12,375

 

JPMorgan Chase Securities, Inc.

 

$

29,443,860

 

$

(32,456

)

UBS AG

 

$

(15,842,735

)

$

(15,266

)


 

 

(g)

All or a portion of security has been pledged as collateral in connection with swaps.


 

 

 

See Notes to Financial Statements.

 

 

 

86

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)


 

 

(h)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

BlackRock Liquidity Funds, TempFund, Institutional Class

 

 

3,958,025

 

 

(1,946,588

)

 

2,011,437

 

$

3,309

 


 

 

(i)

Represents the current yield as of report date.

 

 

Reverse repurchase agreements outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net
Closing
Amount

 

Face
Amount

 

Credit Suisse
Securities (USA) LLC

 

 

0.13

%

11/29/11

 

Open

 

$

10,313,462

 

$

10,310,000

 

BNP Paribas
Securities Corp.

 

 

0.10

%

12/12/11

 

Open

 

 

3,595,174

 

 

3,594,375

 

Barclays Capital, Inc.

 

 

0.12

%

1/25/12

 

Open

 

 

4,764,772

 

 

4,764,200

 

Deutsche Bank AG

 

 

0.25

%

2/13/12

 

3/12/12

 

 

58,639,041

 

 

58,632,119

 

Merrill Lynch &
Co., Inc.

 

 

0.14

%

2/16/12

 

Open

 

 

36,885,421

 

 

36,883,413

 

BNP Paribas
Securities Corp.

 

 

0.09

%

2/29/12

 

3/01/12

 

 

7,131,662

 

 

7,131,644

 

BNP Paribas
Securities Corp.

 

 

0.15

%

2/29/12

 

3/01/12

 

 

3,017,538

 

 

3,017,525

 

BNP Paribas
Securities Corp.

 

 

0.18

%

2/29/12

 

3/01/12

 

 

2,065,535

 

 

2,065,525

 

BNP Paribas
Securities Corp.

 

 

0.19

%

2/29/12

 

3/01/12

 

 

22,534,744

 

 

22,534,625

 

Credit Suisse
Securities (USA) LLC

 

 

(0.06

)%

2/29/12

 

3/01/12

 

 

5,735,615

 

 

5,735,625

 

Credit Suisse
Securities (USA) LLC

 

 

0.22

%

2/29/12

 

3/01/12

 

 

9,022,555

 

 

9,022,500

 

Total

 

 

 

 

 

 

 

 

$

163,705,519

 

$

163,691,551

 


 

 

Financial futures contracts purchased as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation
(Depreciation)

 

143

 

90-Day
Euro Dollar

 

Chicago
Mercantile

 

March 2012

 

$

35,585,550

 

$

193,444

 

155

 

90-Day
Euro Dollar

 

Chicago
Mercantile

 

June 2012

 

$

38,575,625

 

 

202,748

 

43

 

Ultra Long US
Treasury Bond

 

Chicago
Board of Trade

 

June 2012

 

$

6,761,750

 

 

(71,664

)

169

 

90-Day
Euro Dollar

 

Chicago
Mercantile

 

September
2012

 

$

42,042,975

 

 

388,660

 

98

 

90-Day
Euro Dollar

 

Chicago
Mercantile

 

December
2012

 

$

24,368,925

 

 

138,779

 

70

 

90-Day
Euro Dollar

 

Chicago
Mercantile

 

March 2013

 

$

17,401,125

 

 

285,170

 

96

 

90-Day
Euro Dollar

 

Chicago
Mercantile

 

June 2013

 

$

23,854,800

 

 

246,645

 

90

 

90-Day
Euro Dollar

 

Chicago
Mercantile

 

September
2013

 

$

22,353,750

 

 

410,415

 

57

 

90-Day
Euro Dollar

 

Chicago
Mercantile

 

December
2013

 

$

14,148,113

 

 

325,018

 

26

 

90-Day
Euro Dollar

 

Chicago
Mercantile

 

March 2014

 

$

6,449,300

 

 

159,779

 

Total

 

 

 

 

 

 

 

 

 

 

$

2,278,994

 


 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation
(Depreciation)

 

65

 

2-Year US
Treasury Note

 

Chicago
Board of Trade

 

March 2012

 

$

14,327,422

 

$

908

 

65

 

5-Year US
Treasury Note

 

Chicago
Board of Trade

 

March 2012

 

$

8,014,297

 

 

(123

)

107

 

2-Year US
Treasury Note

 

Chicago
Board of Trade

 

June 2012

 

$

23,565,078

 

 

646

 

638

 

5-Year US
Treasury Note

 

Chicago
Board of Trade

 

June 2012

 

$

78,583,656

 

 

10,468

 

1,595

 

10-Year US
Treasury Note

 

Chicago
Board of Trade

 

June 2012

 

$

208,870,234

 

 

417,644

 

19

 

30-Year US
Treasury Bond

 

Chicago
Board of Trade

 

June 2012

 

$

2,691,469

 

 

1,541

 

Total

 

 

 

 

 

 

 

 

 

 

$

431,084

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

87




 

 

 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)


 

 

Interest rate swaps outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

0.83%1

 

3-month LIBOR

 

Deutsche
Bank AG

 

7/27/12

 

$

34,800

 

$

(46,198

)

4.88%2

 

3-month LIBOR

 

UBS AG

 

3/21/15

 

$

25,000

 

 

3,169,816

 

4.87%2

 

3-month LIBOR

 

Goldman Sachs
& Co.

 

1/25/16

 

$

5,500

 

 

846,219

 

2.81%2

 

3-month LIBOR

 

Citibank NA

 

2/06/16

 

$

20,000

 

 

1,502,661

 

5.72%2

 

3-month LIBOR

 

JPMorgan
Chase & Co.

 

7/14/16

 

$

5,400

 

 

1,100,858

 

5.51%2

 

3-month LIBOR

 

Bank of
America NA

 

8/03/17

 

$

95,147

 

 

21,513,217

 

5.88%1

 

3-month LIBOR

 

Deutsche
Bank AG

 

6/25/18

 

$

31,930

 

 

(8,206,426

)

4.55%1

 

3-month LIBOR

 

Citibank NA

 

9/26/18

 

$

41,600

 

 

(8,018,615

)

4.31%1

 

3-month LIBOR

 

Deutsche
Bank AG

 

10/01/18

 

$

66,000

 

 

(11,751,455

)

3.09%1

 

3-month LIBOR

 

Deutsche
Bank AG

 

3/09/19

 

$

25,700

 

 

(2,595,134

)

3.17%2

 

3-month LIBOR

 

Bank of
America NA

 

3/18/19

 

$

4,700

 

 

497,639

 

2.88%2

 

3-month LIBOR

 

Deutsche
Bank AG

 

4/01/19

 

$

39,700

 

 

3,424,487

 

3.23%1

 

3-month LIBOR

 

Deutsche
Bank AG

 

5/19/19

 

$

2,800

 

 

(308,662

)

3.90%1

 

3-month LIBOR

 

Barclays
Bank Plc

 

6/05/19

 

$

20,000

 

 

(3,144,251

)

3.55%1

 

3-month LIBOR

 

Deutsche
Bank AG

 

8/18/19

 

$

15,000

 

 

(2,123,592

)

5.49%1

 

3-month LIBOR

 

JPMorgan
Chase & Co.

 

10/28/19

 

$

1,400

 

 

(344,322

)

3.67%2

 

3-month LIBOR

 

Deutsche
Bank AG

 

12/21/19

 

$

2,000

 

 

286,138

 

5.67%1

 

3-month LIBOR

 

Citigroup Global
Markets, Inc.

 

1/06/20

 

$

12,400

 

 

(3,124,695

)

3.88%2

 

3-month LIBOR

 

Morgan Stanley
& Co., Inc.

 

1/07/20

 

$

7,600

 

 

1,209,220

 

3.71%1

 

3-month LIBOR

 

Deutsche
Bank AG

 

2/11/20

 

$

6,200

 

 

(907,074

)

3.73%2

 

3-month LIBOR

 

Morgan Stanley
& Co., Inc.

 

5/05/20

 

$

28,000

 

 

4,160,854

 

3.43%2

 

3-month LIBOR

 

JPMorgan
Chase & Co.

 

3/28/21

 

$

7,000

 

 

1,179,276

 

5.41%2

 

3-month LIBOR

 

JPMorgan
Chase & Co.

 

8/15/22

 

$

9,565

 

 

3,028,274

 

Total

 

 

 

 

 

 

 

 

 

 

$

1,348,235

 


 

 

 

 

1

Trust pays a fixed interest rate and receives floating rate.

 

 

 

 

2

Trust pays a floating rate and receives fixed rate.


 

 

 

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 rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such 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 are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

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)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Trust’s perceived risk of 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 Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

9,853,629

 

$

980,101

 

$

10,833,730

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

15,197,084

 

 

3,990,446

 

 

19,187,530

 

US Government Sponsored Agency Securities

 

 

 

 

677,873,009

 

 

4,793,834

 

 

682,666,843

 

US Treasury Obligations

 

 

 

 

119,459,331

 

 

 

 

119,459,331

 

Short-Term Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bond Agreements

 

 

 

 

18,535,706

 

 

 

 

18,535,706

 

Money Market Funds

 

$

2,011,437

 

 

 

 

 

 

2,011,437

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

 

 

 

(18,449,439

)

 

 

 

(18,449,439

)

TBA Sale Commitments

 

 

 

 

(15,842,735

)

 

 

 

(15,842,735

)

Total

 

$

2,011,437

 

$

806,626,585

 

$

9,764,381

 

$

818,402,403

 


 

 

 

See Notes to Financial Statements.

 

 

 

88

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock Income Trust, Inc. (BKT)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

2,783,740

 

$

43,832,377

 

 

 

$

46,616,117

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

(71,787

)

 

(42,499,771

)

 

 

 

(42,571,558

)

Total

 

$

2,711,953

 

$

1,332,606

 

 

 

$

4,044,559

 


 

 

 

 

1

Derivative financial instruments are swaps, financial futures contracts and options. Swaps and financial futures contracts are shown at the unrealized appreciation/depreciation on the instrument and options are shown at value.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

Non-Agency
Mortgage-Backed
Securities

 

US Government
Sponsored
Agency Securities

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2011

 

$

1,038,628

 

$

4,432,527

 

$

5,096,285

 

$

10,567,440

 

Accrued discounts/premiums

 

 

(174,660

)

 

44,578

 

 

(6,945

)

 

(137,027

)

Realized gain (loss)

 

 

 

 

18

 

 

(5,921

)

 

(5,903

)

Change in unrealized appreciation/depreciation2

 

 

116,133

 

 

(359,799

)

 

(132,173

)

 

(375,839

)

Purchases

 

 

 

 

 

 

 

 

 

Sales

 

 

 

 

(126,878

)

 

(157,412

)

 

(284,290

)

Transfers in3

 

 

 

 

 

 

 

 

 

Transfers out3

 

 

 

 

 

 

 

 

 

Balance, as of February 29, 2012

 

$

980,101

 

$

3,990,446

 

$

4,793,834

 

$

9,764,381

 


 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at February 29, 2012 was $(342,222).

 

3

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets.

 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

89




 

 

 

 

Schedule of Investments February 29, 2012 (Unaudited)

BlackRock Strategic Bond Trust (BHD)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

 

Shares

 

Value

 

Auto Components — 2.0%

 

 

 

 

 

 

 

Delphi Automotive Plc

 

 

4,902

 

$

156,861

 

Delphi Automotive Plc (180-day lock)
(Acquired 11/17/11, cost $364,196) (a)

 

 

60,671

 

 

1,892,938

 

 

 

 

 

 

 

2,049,799

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Recovery Trust

 

 

396,568

 

 

5,949

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc. (b)

 

 

56

 

 

2

 

Total Common Stocks — 2.0%

 

 

 

 

 

2,055,750

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 

Airlines — 0.7%

 

 

 

 

 

 

 

Continental Airlines, Inc., Series 2010-1-A, 4.75%,
1/12/21

 

USD

427

 

 

445,819

 

Delta Air Lines, Inc., Series 2009-1-B, Class B,
9.75%, 12/17/16

 

 

39

 

 

41,064

 

US Airways Pass-Through Trust, Series 2011-1,
Class C, 10.88%, 10/22/14

 

 

250

 

 

250,000

 

 

 

 

 

 

 

736,883

 

Auto Components — 1.0%

 

 

 

 

 

 

 

Baker Corp. International, Inc., 8.25%, 6/01/19 (c)

 

 

75

 

 

76,500

 

Dana Holding Corp., 6.75%, 2/15/21

 

 

180

 

 

194,850

 

Icahn Enterprises LP, 8.00%, 1/15/18

 

 

670

 

 

710,200

 

 

 

 

 

 

 

981,550

 

Beverages — 0.3%

 

 

 

 

 

 

 

Crown European Holdings SA (c):

 

 

 

 

 

 

 

7.13%, 8/15/18

 

EUR

142

 

 

202,666

 

7.13%, 8/15/18

 

 

50

 

 

71,361

 

 

 

 

 

 

 

274,027

 

Biotechnology — 0.1%

 

 

 

 

 

 

 

QHP Pharma, 10.25%, 3/15/15 (c)

 

USD

84

 

 

84,602

 

Building Products — 0.4%

 

 

 

 

 

 

 

Building Materials Corp. of America, 7.00%,
2/15/20 (c)

 

 

210

 

 

227,850

 

Momentive Performance Materials, Inc., 11.50%,
12/01/16

 

 

175

 

 

147,000

 

 

 

 

 

 

 

374,850

 

Capital Markets — 3.3%

 

 

 

 

 

 

 

Credit Suisse AG, 5.40%, 1/14/20

 

 

480

 

 

482,192

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17

 

 

390

 

 

454,350

 

Series A, 0.0%, 8/31/19 (d)(e)

 

 

100

 

 

94,625

 

The Goldman Sachs Group, Inc.:

 

 

 

 

 

 

 

5.38%, 3/15/20

 

 

225

 

 

230,564

 

6.00%, 6/15/20

 

 

250

 

 

265,762

 

5.75%, 1/24/22

 

 

525

 

 

548,016

 

KKR Group Finance Co., 6.38%, 9/29/20 (c)

 

 

170

 

 

180,917

 

Merrill Lynch & Co., Inc., 6.05%, 5/16/16

 

 

325

 

 

335,576

 

Morgan Stanley, 5.50%, 7/28/21

 

 

725

 

 

718,305

 

 

 

 

 

 

 

3,310,307

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Chemicals — 3.2%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

USD

180

 

$

175,500

 

Ashland, Inc., 9.13%, 6/01/17

 

 

120

 

 

134,700

 

Celanese US Holdings LLC, 5.88%, 6/15/21

 

 

650

 

 

708,500

 

Chemtura Corp., 7.88%, 9/01/18

 

 

140

 

 

150,500

 

Ecolab, Inc., 4.35%, 12/08/21

 

 

125

 

 

137,325

 

Hexion U.S. Finance Corp., 9.00%, 11/15/20

 

 

115

 

 

112,700

 

Huntsman International LLC, 8.63%, 3/15/21

 

 

65

 

 

73,450

 

Ineos Finance Plc, 8.38%, 2/15/19 (c)

 

 

100

 

 

106,250

 

Kinove German Bondco GmbH, 10.00%, 6/15/18

 

EUR

109

 

 

149,214

 

Kraton Polymers LLC, 6.75%, 3/01/19

 

USD

45

 

 

45,900

 

Lyondell Chemical Co., 11.00%, 5/01/18

 

 

769

 

 

843,342

 

LyondellBasell Industries NV, 6.00%, 11/15/21 (c)

 

 

65

 

 

71,338

 

Nexeo Solutions LLC, 8.38%, 3/01/18 (c)

 

 

65

 

 

65,000

 

PolyOne Corp., 7.38%, 9/15/20

 

 

80

 

 

86,200

 

Solutia, Inc., 7.88%, 3/15/20

 

 

225

 

 

263,812

 

TPC Group LLC, 8.25%, 10/01/17

 

 

125

 

 

131,875

 

 

 

 

 

 

 

3,255,606

 

Commercial Banks — 4.6%

 

 

 

 

 

 

 

Amsouth Bank, Series AI, 4.85%, 4/01/13

 

 

650

 

 

652,437

 

Barclays Bank Plc, 5.14%, 10/14/20

 

 

450

 

 

432,807

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/02/16 (c)

 

 

599

 

 

599,749

 

7.00%, 5/02/17 (c)

 

 

1,555

 

 

1,556,944

 

5.50%, 2/15/19 (c)

 

 

220

 

 

224,675

 

HSBC Bank USA NA, 4.88%, 8/24/20

 

 

550

 

 

553,710

 

Lloyds TSB Bank Plc, 5.80%, 1/13/20 (c)

 

 

100

 

 

103,646

 

Standard Chartered Plc, 5.50%, 11/18/14 (c)

 

 

450

 

 

483,840

 

 

 

 

 

 

 

4,607,808

 

Commercial Services & Supplies — 1.5%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15

 

 

195

 

 

215,233

 

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)

 

 

204

 

 

213,498

 

Brickman Group Holdings, Inc., 9.13%, 11/01/18 (c)

 

 

11

 

 

10,450

 

Mobile Mini, Inc., 7.88%, 12/01/20

 

 

135

 

 

141,750

 

RSC Equipment Rental, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/17 (c)

 

 

240

 

 

278,400

 

8.25%, 2/01/21

 

 

310

 

 

328,600

 

Verisure Holding AB:

 

 

 

 

 

 

 

8.75%, 9/01/18

 

EUR

100

 

 

134,562

 

8.75%, 12/01/18

 

 

100

 

 

118,575

 

West Corp., 8.63%, 10/01/18

 

USD

50

 

 

54,875

 

 

 

 

 

 

 

1,495,943

 

Construction & Engineering — 0.1%

 

 

 

 

 

 

 

Boart Longyear Management Property Ltd., 7.00%,
4/01/21 (c)

 

 

75

 

 

78,938

 

Construction Materials — 0.1%

 

 

 

 

 

 

 

Xefin Lux SCA, 8.00%, 6/01/18 (c)

 

EUR

100

 

 

133,896

 

Consumer Finance — 1.0%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17

 

USD

185

 

 

197,025

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.80%, 6/01/12

 

 

250

 

 

253,082

 

5.88%, 8/02/21

 

 

447

 

 

498,839

 

Toll Brothers Finance Corp., 5.88%, 2/15/22

 

 

85

 

 

88,165

 

 

 

 

 

 

 

1,037,111

 

Containers & Packaging — 1.0%

 

 

 

 

 

 

 

Ardagh Packaging Finance Plc, 7.38%,
10/15/17 (c)

 

EUR

260

 

 

365,450

 

Berry Plastics Corp., 8.25%, 11/15/15

 

USD

45

 

 

48,375

 

GCL Holdings SCA, 9.38%, 4/15/18 (c)

 

EUR

100

 

 

118,907

 

Graphic Packaging International, Inc., 7.88%,
10/01/18

 

USD

135

 

 

148,500

 

Sealed Air Corp., 8.38%, 9/15/21 (c)

 

 

95

 

 

108,775

 

Smurfit Kappa Acquisitions, 7.75%, 11/15/19 (c)

 

EUR

130

 

 

186,622

 

 

 

 

 

 

 

976,629

 


 

 

 

See Notes to Financial Statements.

 

 

 

90

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Diversified Financial Services — 6.6%

 

 

 

 

 

 

 

Ally Financial, Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15

 

USD

400

 

$

442,000

 

6.25%, 12/01/17

 

 

30

 

 

31,009

 

8.00%, 3/15/20

 

 

60

 

 

67,950

 

7.50%, 9/15/20

 

 

550

 

 

605,687

 

8.00%, 11/01/31

 

 

1,060

 

 

1,170,747

 

Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16

 

 

137

 

 

146,076

 

Bank of America Corp.:

 

 

 

 

 

 

 

4.50%, 4/01/15

 

 

375

 

 

380,685

 

6.50%, 8/01/16

 

 

410

 

 

443,183

 

5.63%, 10/14/16

 

 

100

 

 

104,398

 

5.75%, 12/01/17

 

 

240

 

 

251,238

 

Boparan Holdings Ltd., 9.75%, 4/30/18 (c)

 

EUR

100

 

 

131,098

 

Citigroup, Inc., 8.13%, 7/15/39

 

USD

55

 

 

71,856

 

DPL, Inc., 7.25%, 10/15/21 (c)

 

 

290

 

 

330,600

 

FCE Bank Plc, 4.75%, 1/19/15

 

EUR

308

 

 

420,603

 

Itau Unibanco Holding SA, 5.75%, 1/22/21 (c)

 

USD

225

 

 

233,438

 

JPMorgan Chase & Co.:

 

 

 

 

 

 

 

5.50%, 10/15/40

 

 

175

 

 

189,015

 

5.60%, 7/15/41

 

 

175

 

 

194,481

 

Macquarie Bank, Ltd., 5.00%, 2/22/17 (c)

 

 

200

 

 

202,140

 

Reynolds Group Issuer, Inc. (c):

 

 

 

 

 

 

 

8.75%, 10/15/16

 

 

306

 

 

325,890

 

8.75%, 10/15/16

 

EUR

150

 

 

212,335

 

7.88%, 8/15/19

 

USD

180

 

 

197,100

 

6.88%, 2/15/21

 

 

140

 

 

148,400

 

WMG Acquisition Corp. (c):

 

 

 

 

 

 

 

9.50%, 6/15/16

 

 

45

 

 

49,725

 

11.50%, 10/01/18

 

 

210

 

 

223,125

 

 

 

 

 

 

 

6,572,779

 

Diversified Telecommunication Services — 2.8%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%, 9/01/12

 

 

155

 

 

139,112

 

Level 3 Financing, Inc., 8.13%, 7/01/19 (c)

 

 

1,310

 

 

1,372,225

 

Qwest Communications International, Inc., 7.50%,
2/15/14

 

 

600

 

 

602,100

 

Qwest Corp., 8.38%, 5/01/16

 

 

270

 

 

316,200

 

Telefonica Emisiones SAU, 5.46%, 2/16/21

 

 

250

 

 

251,485

 

Videotron Ltee, 5.00%, 7/15/22 (c)

 

 

50

 

 

50,125

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

45

 

 

48,263

 

7.88%, 11/01/17

 

 

65

 

 

73,288

 

 

 

 

 

 

 

2,852,798

 

Electric Utilities — 2.1%

 

 

 

 

 

 

 

Progress Energy, Inc., 7.75%, 3/01/31

 

 

1,000

 

 

1,390,988

 

The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14

 

EUR

600

 

 

747,020

 

 

 

 

 

 

 

2,138,008

 

Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

Jabil Circuit, Inc., 8.25%, 3/15/18

 

USD

45

 

 

53,550

 

Energy Equipment & Services — 4.2%

 

 

 

 

 

 

 

Antero Resources Finance Corp., 7.25%, 8/01/19 (c)

 

 

60

 

 

63,300

 

Calfrac Holdings LP, 7.50%, 12/01/20 (c)

 

 

145

 

 

145,000

 

Compagnie Générale de Géophysique-Veritas, 7.75%,
5/15/17

 

 

55

 

 

57,269

 

Energy Transfer Partners LP, 5.20%, 2/01/22

 

 

600

 

 

645,874

 

Ensco Plc, 4.70%, 3/15/21

 

 

425

 

 

465,318

 

Forbes Energy Services Ltd., 9.00%, 6/15/19

 

 

130

 

 

128,050

 

Frac Tech Services LLC, 7.63%, 11/15/18 (c)

 

 

640

 

 

683,200

 

Key Energy Services, Inc., 6.75%, 3/01/21

 

 

160

 

 

167,600

 

MEG Energy Corp., 6.50%, 3/15/21 (c)

 

 

330

 

 

353,100

 

Oil States International, Inc., 6.50%, 6/01/19

 

 

115

 

 

123,625

 

Peabody Energy Corp., 6.25%, 11/15/21 (c)

 

 

970

 

 

1,016,075

 

Transocean, Inc., 6.38%, 12/15/21

 

 

310

 

 

365,846

 

 

 

 

 

 

 

4,214,257

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Food Products — 1.1%

 

 

 

 

 

 

 

Darling International, Inc., 8.50%, 12/15/18

 

USD

90

 

$

101,250

 

Kraft Foods, Inc.:

 

 

 

 

 

 

 

6.50%, 8/11/17

 

 

600

 

 

728,179

 

6.13%, 8/23/18

 

 

250

 

 

301,397

 

 

 

 

 

 

 

1,130,826

 

Gas Utilities — 0.2%

 

 

 

 

 

 

 

El Paso Natural Gas Co., 8.63%, 1/15/22

 

 

145

 

 

179,408

 

Health Care Equipment & Supplies — 1.5%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

830

 

 

844,525

 

7.75%, 4/15/18

 

 

40

 

 

34,400

 

Fresenius Medical Care US Finance, Inc., 6.50%,
9/15/18 (c)

 

 

38

 

 

42,085

 

Fresenius US Finance II, Inc., 9.00%, 7/15/15 (c)

 

 

410

 

 

473,550

 

Teleflex, Inc., 6.88%, 6/01/19

 

 

105

 

 

113,137

 

 

 

 

 

 

 

1,507,697

 

Health Care Providers & Services — 5.9%

 

 

 

 

 

 

 

Aviv Healthcare Properties LP, 7.75%, 2/15/19

 

 

150

 

 

153,375

 

ConvaTec Healthcare E SA, 7.38%, 12/15/17 (c)

 

EUR

200

 

 

276,452

 

Crown Newco 3 Plc, 7.00%, 2/15/18 (c)

 

GBP

200

 

 

313,805

 

HCA, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/19

 

USD

40

 

 

44,800

 

6.50%, 2/15/20

 

 

730

 

 

782,925

 

7.88%, 2/15/20

 

 

35

 

 

38,588

 

7.25%, 9/15/20

 

 

805

 

 

877,450

 

Health Management Associates, Inc., 7.38%,
1/15/20 (c)

 

 

220

 

 

229,350

 

IASIS Healthcare LLC, 8.38%, 5/15/19

 

 

270

 

 

257,850

 

INC Research LLC, 11.50%, 7/15/19 (c)

 

 

145

 

 

139,200

 

inVentiv Health, Inc., 10.00%, 8/15/18 (c)

 

 

50

 

 

45,500

 

Omnicare, Inc., 7.75%, 6/01/20

 

 

260

 

 

289,575

 

Symbion, Inc., 8.00%, 6/15/16

 

 

125

 

 

120,625

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/18

 

 

665

 

 

774,725

 

6.25%, 11/01/18 (c)

 

 

120

 

 

127,950

 

8.88%, 7/01/19

 

 

195

 

 

222,300

 

WellPoint, Inc., 5.95%, 12/15/34

 

 

1,000

 

 

1,195,272

 

 

 

 

 

 

 

5,889,742

 

Health Care Technology — 0.8%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (c)

 

 

660

 

 

785,400

 

Hotels, Restaurants & Leisure — 1.4%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc., 11.25%,
6/01/17

 

 

140

 

 

153,300

 

Diamond Resorts Corp., 12.00%, 8/15/18

 

 

310

 

 

327,050

 

El Dorado Resorts LLC, 8.63%, 6/15/19 (c)

 

 

50

 

 

47,625

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

750

 

 

853,125

 

11.13%, 11/15/17

 

 

65

 

 

73,938

 

Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (b)(f)

 

 

50

 

 

 

 

 

 

 

 

 

1,455,038

 

Household Durables — 1.2%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17

 

 

280

 

 

305,200

 

Ryland Group, Inc., 6.63%, 5/01/20

 

 

130

 

 

132,600

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

10.75%, 9/15/16

 

 

565

 

 

649,044

 

8.38%, 1/15/21

 

 

105

 

 

111,562

 

 

 

 

 

 

 

1,198,406

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

91




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Household Products — 0.1%

 

 

 

 

 

 

 

Ontex IV SA, 7.50%, 4/15/18 (c)

 

EUR

100

 

$

122,572

 

Independent Power Producers &
Energy Traders — 2.1%

 

 

 

 

 

 

 

AES Corp., 7.38%, 7/01/21 (c)

 

USD

230

 

 

262,200

 

Calpine Corp. (c):

 

 

 

 

 

 

 

7.25%, 10/15/17

 

 

80

 

 

84,800

 

7.50%, 2/15/21

 

 

35

 

 

37,975

 

7.88%, 1/15/23

 

 

100

 

 

109,000

 

Energy Future Holdings Corp., 10.00%, 1/15/20

 

 

1,220

 

 

1,319,125

 

Energy Future Intermediate Holding Co. LLC,
10.00%, 12/01/20

 

 

203

 

 

220,509

 

QEP Resources, Inc., 5.38%, 10/01/22 (g)

 

 

75

 

 

75,750

 

 

 

 

 

 

 

2,109,359

 

Industrial Conglomerates — 1.4%

 

 

 

 

 

 

 

Sequa Corp. (c):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

460

 

 

488,750

 

13.50%, 12/01/15

 

 

854

 

 

911,921

 

 

 

 

 

 

 

1,400,671

 

Insurance — 3.1%

 

 

 

 

 

 

 

American International Group, Inc., 6.40%,
12/15/20

 

 

1,130

 

 

1,260,141

 

CNO Financial Group, Inc., 9.00%, 1/15/18 (c)

 

 

130

 

 

139,913

 

Genworth Financial, Inc., 7.63%, 9/24/21

 

 

150

 

 

155,629

 

Lincoln National Corp., 8.75%, 7/01/19

 

 

575

 

 

733,093

 

Metropolitan Life Global Funding I, 5.13%,
6/10/14 (c)

 

 

250

 

 

269,853

 

MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)

 

 

90

 

 

80,325

 

Prudential Financial, Inc., 5.38%, 6/21/20

 

 

400

 

 

451,203

 

 

 

 

 

 

 

3,090,157

 

IT Services — 1.5%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

7.38%, 6/15/19 (c)

 

 

130

 

 

131,463

 

8.88%, 8/15/20 (c)

 

 

195

 

 

211,087

 

8.25%, 1/15/21 (c)

 

 

155

 

 

149,962

 

12.63%, 1/15/21

 

 

445

 

 

467,250

 

SunGard Data Systems, Inc.:

 

 

 

 

 

 

 

7.38%, 11/15/18

 

 

280

 

 

301,000

 

7.63%, 11/15/20

 

 

220

 

 

237,600

 

 

 

 

 

 

 

1,498,362

 

Machinery — 0.7%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (e)

 

 

210

 

 

236,512

 

8.25%, 11/01/21

 

 

54

 

 

59,063

 

SPX Corp., 6.88%, 9/01/17

 

 

65

 

 

72,150

 

UR Financing Escrow Corp. (c)(g):

 

 

 

 

 

 

 

5.75%, 7/15/18

 

 

50

 

 

51,375

 

7.38%, 5/15/20

 

 

125

 

 

128,281

 

7.63%, 4/15/22

 

 

115

 

 

119,025

 

 

 

 

 

 

 

666,406

 

Media — 15.3%

 

 

 

 

 

 

 

Affinion Group, Inc., 7.88%, 12/15/18

 

 

290

 

 

259,550

 

AMC Networks, Inc., 7.75%, 7/15/21 (c)

 

 

80

 

 

89,200

 

CCH II LLC, 13.50%, 11/30/16

 

 

289

 

 

332,843

 

CCO Holdings LLC, 6.50%, 4/30/21

 

 

750

 

 

796,875

 

Checkout Holding Corp., 10.68%, 11/15/15 (c)(d)

 

 

245

 

 

110,250

 

Cinemark USA, Inc., 8.63%, 6/15/19

 

 

60

 

 

66,750

 

Clear Channel Communications, Inc., 9.00%,
3/01/21

 

 

210

 

 

193,200

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

374

 

 

409,530

 

Series B, 9.25%, 12/15/17

 

 

1,899

 

 

2,088,900

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Media (concluded)

 

 

 

 

 

 

 

DIRECTV Holdings LLC, 6.00%, 8/15/40

 

USD

175

 

$

200,760

 

DISH DBS Corp., 7.00%, 10/01/13

 

 

201

 

 

215,824

 

Gray Television, Inc., 10.50%, 6/29/15

 

 

270

 

 

285,187

 

Intelsat Luxembourg SA:

 

 

 

 

 

 

 

11.25%, 2/04/17

 

 

380

 

 

391,875

 

11.50%, 2/04/17 (h)

 

 

100

 

 

103,000

 

Interactive Data Corp., 10.25%, 8/01/18

 

 

340

 

 

383,350

 

The Interpublic Group of Cos., Inc., 10.00%,
7/15/17

 

 

45

 

 

51,525

 

Kabel BW Erste Beteiligungs GmbH, 7.50%,
3/15/19 (c)

 

EUR

237

 

 

337,858

 

Kabel Deutschland Vertrieb und Service
GmbH & Co. KG, 6.50%, 6/29/18 (c)

 

 

125

 

 

175,712

 

Live Nation Entertainment, Inc., 8.13%,
5/15/18 (c)

 

USD

150

 

 

159,562

 

Musketeer GmbH, 9.50%, 3/15/21 (c)

 

EUR

150

 

 

215,833

 

NAI Entertainment Holdings LLC, 8.25%,
12/15/17 (c)

 

USD

270

 

 

297,000

 

NBC Universal Media LLC, 6.40%, 4/30/40

 

 

530

 

 

671,588

 

The New York Times Co., 6.63%, 12/15/16

 

 

500

 

 

521,250

 

News America, Inc., 6.20%, 12/15/34

 

 

1,500

 

 

1,740,270

 

Nielsen Finance LLC, 7.75%, 10/15/18

 

 

765

 

 

851,062

 

Odeon & UCI Finco Plc, 9.00%, 8/01/18 (c)

 

GBP

100

 

 

157,101

 

ProQuest LLC, 9.00%, 10/15/18 (c)

 

USD

130

 

 

115,050

 

TCI Communications, Inc., 7.88%, 2/15/26

 

 

1,000

 

 

1,318,770

 

Time Warner Cable, Inc., 5.88%, 11/15/40

 

 

410

 

 

465,550

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

50

 

 

71,944

 

9.63%, 12/01/19 (c)

 

 

190

 

 

273,388

 

Unitymedia Hessen GmbH & Co. KG
(FKA UPC Germany GmbH):

 

 

 

 

 

 

 

8.13%, 12/01/17 (c)

 

USD

200

 

 

217,000

 

8.13%, 12/01/17

 

EUR

210

 

 

300,767

 

UPC Holding BV, 9.88%, 4/15/18 (c)

 

USD

100

 

 

111,000

 

UPCB Finance II Ltd., 6.38%, 7/01/20 (c)

 

EUR

292

 

 

387,086

 

Virgin Media Secured Finance Plc:

 

 

 

 

 

 

 

6.50%, 1/15/18

 

USD

200

 

 

218,000

 

7.00%, 1/15/18

 

GBP

50

 

 

85,909

 

Ziggo Bond Co. BV, 8.00%, 5/15/18 (c)

 

EUR

165

 

 

232,470

 

Ziggo Finance BV, 6.13%, 11/15/17 (c)

 

 

295

 

 

407,767

 

 

 

 

 

 

 

15,310,556

 

Metals & Mining — 3.2%

 

 

 

 

 

 

 

Barrick Gold Corp., 2.90%, 5/30/16

 

USD

225

 

 

237,167

 

Barrick North America Finance LLC, 5.70%,
5/30/41

 

 

250

 

 

295,663

 

Goldcorp, Inc., 2.00%, 8/01/14 (e)

 

 

220

 

 

278,850

 

New World Resources NV:

 

 

 

 

 

 

 

7.88%, 5/01/18

 

EUR

65

 

 

87,899

 

7.88%, 5/01/18 (c)

 

 

76

 

 

102,774

 

Newmont Mining Corp.:

 

 

 

 

 

 

 

5.13%, 10/01/19

 

USD

225

 

 

255,097

 

Series A, 1.25%, 7/15/14 (e)

 

 

200

 

 

276,000

 

Novelis, Inc., 8.75%, 12/15/20

 

 

1,195

 

 

1,332,425

 

Taseko Mines Ltd., 7.75%, 4/15/19

 

 

150

 

 

144,000

 

Vedanta Resources Plc, 8.25%, 6/07/21 (c)

 

 

200

 

 

184,500

 

 

 

 

 

 

 

3,194,375

 

Multiline Retail — 1.2%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%, 7/15/17 (i)

 

 

1,135

 

 

1,245,674

 

Oil, Gas & Consumable Fuels — 11.8%

 

 

 

 

 

 

 

Alpha Natural Resources, Inc., 6.25%, 6/01/21

 

 

145

 

 

140,650

 

Anadarko Petroleum Corp.:

 

 

 

 

 

 

 

5.95%, 9/15/16

 

 

365

 

 

422,569

 

6.38%, 9/15/17

 

 

75

 

 

90,024

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

100

 

 

104,250

 


 

 

 

See Notes to Financial Statements.

 

 

 

92

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Bill Barrett Corp., 9.88%, 7/15/16

 

USD

10

 

$

11,050

 

Carrizo Oil & Gas, Inc., 8.63%, 10/15/18

 

 

50

 

 

52,000

 

Chesapeake Midstream Partners LP, 6.13%,
7/15/22 (c)

 

 

100

 

 

103,500

 

Chesapeake Oilfield Operating LLC, 6.63%,
11/15/19 (c)

 

 

60

 

 

61,200

 

Coffeyville Resources LLC, 9.00%, 4/01/15 (c)

 

 

99

 

 

105,930

 

Concho Resources, Inc., 7.00%, 1/15/21

 

 

150

 

 

168,750

 

Consol Energy, Inc., 8.25%, 4/01/20

 

 

710

 

 

773,900

 

Continental Resources, Inc., 7.13%, 4/01/21

 

 

135

 

 

149,850

 

Copano Energy LLC, 7.13%, 4/01/21

 

 

120

 

 

127,200

 

Crosstex Energy LP, 8.88%, 2/15/18

 

 

65

 

 

70,525

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

8.25%, 2/15/20

 

 

239

 

 

272,460

 

6.38%, 8/15/21

 

 

125

 

 

137,813

 

El Paso Pipeline Partners Operating Co. LLC,
5.00%, 10/01/21

 

 

500

 

 

522,139

 

Energy XXI Gulf Coast, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

145

 

 

160,587

 

7.75%, 6/15/19

 

 

320

 

 

337,600

 

Enterprise Products Operating LLC, 3.70%,
6/01/15

 

 

500

 

 

532,678

 

EV Energy Partners LP, 8.00%, 4/15/19

 

 

55

 

 

57,750

 

Hilcorp Energy I LP, 7.63%, 4/15/21 (c)

 

 

195

 

 

212,550

 

Kodiak Oil & Gas Corp., 8.13%, 12/01/19 (c)

 

 

120

 

 

128,400

 

Linn Energy LLC:

 

 

 

 

 

 

 

6.50%, 5/15/19 (c)

 

 

35

 

 

35,700

 

6.25%, 11/01/19 (c)(g)

 

 

305

 

 

304,619

 

7.75%, 2/01/21

 

 

170

 

 

182,750

 

MarkWest Energy Partners LP, 6.75%, 11/01/20

 

 

50

 

 

54,625

 

Nexen, Inc., 6.40%, 5/15/37

 

 

150

 

 

172,050

 

Niska Gas Storage US LLC, 8.88%, 3/15/18

 

 

215

 

 

206,400

 

Oasis Petroleum, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/19

 

 

115

 

 

121,900

 

6.50%, 11/01/21

 

 

110

 

 

113,300

 

OGX Petroleo e Gas Participações SA, 8.50%,
6/01/18 (c)

 

 

1,705

 

 

1,777,462

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

3.88%, 1/27/16

 

 

1,100

 

 

1,147,245

 

5.88%, 3/01/18

 

 

200

 

 

222,324

 

7.88%, 3/15/19

 

 

100

 

 

123,000

 

6.88%, 1/20/40

 

 

25

 

 

29,461

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

7.25%, 8/15/18

 

 

115

 

 

131,531

 

6.25%, 6/01/19

 

 

315

 

 

355,950

 

Petroleum Geo-Services ASA, 7.38%,
12/15/18 (c)

 

 

210

 

 

220,500

 

Pioneer Natural Resources Co.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

35

 

 

41,114

 

7.50%, 1/15/20

 

 

55

 

 

67,967

 

Plains Exploration & Production Co.:

 

 

 

 

 

 

 

6.63%, 5/01/21

 

 

290

 

 

313,200

 

6.75%, 2/01/22

 

 

195

 

 

213,525

 

Precision Drilling Corp., 6.50%, 12/15/21 (c)

 

 

105

 

 

112,088

 

Range Resources Corp.:

 

 

 

 

 

 

 

8.00%, 5/15/19

 

 

45

 

 

50,175

 

5.75%, 6/01/21

 

 

350

 

 

374,500

 

SandRidge Energy, Inc., 7.50%, 3/15/21

 

 

165

 

 

166,650

 

SM Energy Co., 6.63%, 2/15/19

 

 

45

 

 

48,263

 

Western Gas Partners LP, 5.38%, 6/01/21

 

 

325

 

 

346,785

 

The Williams Cos., Inc., 8.75%, 3/15/32

 

 

124

 

 

165,523

 

 

 

 

 

 

 

11,841,982

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Paper & Forest Products — 2.2%

 

 

 

 

 

 

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

USD

105

 

$

115,500

 

8.00%, 4/01/20

 

 

65

 

 

71,337

 

Clearwater Paper Corp.:

 

 

 

 

 

 

 

10.63%, 6/15/16

 

 

160

 

 

181,800

 

7.13%, 11/01/18

 

 

215

 

 

228,975

 

Georgia-Pacific LLC, 8.25%, 5/01/16 (c)

 

 

355

 

 

393,279

 

International Paper Co.:

 

 

 

 

 

 

 

7.95%, 6/15/18

 

 

220

 

 

275,788

 

7.30%, 11/15/39

 

 

5

 

 

6,433

 

Longview Fibre Paper & Packaging, Inc., 8.00%,
6/01/16 (c)

 

 

120

 

 

123,300

 

NewPage Corp., 11.38%, 12/31/14 (b)(f)

 

 

845

 

 

509,112

 

Sappi Papier Holding GmbH, 6.63%, 4/15/21 (c)

 

 

50

 

 

46,875

 

Verso Paper Holdings LLC, 11.50%, 7/01/14

 

 

297

 

 

302,940

 

 

 

 

 

 

 

2,255,339

 

Pharmaceuticals — 1.5%

 

 

 

 

 

 

 

Capsugel Finance Co. SCA, 9.88%, 8/01/19 (c)

 

EUR

100

 

 

143,222

 

Jaguar Holding Co. II, 9.50%, 12/01/19 (c)

 

USD

150

 

 

164,063

 

Valeant Pharmaceuticals International, 6.50%,
7/15/16 (c)

 

 

470

 

 

479,400

 

Wyeth, 6.50%, 2/01/34

 

 

500

 

 

673,938

 

 

 

 

 

 

 

1,460,623

 

Professional Services — 0.3%

 

 

 

 

 

 

 

FTI Consulting, Inc., 6.75%, 10/01/20

 

 

265

 

 

286,531

 

Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

Felcor Lodging LP, 6.75%, 6/01/19

 

 

345

 

 

352,763

 

HCP, Inc., 5.38%, 2/01/21

 

 

225

 

 

246,625

 

The Rouse Co. LP, 6.75%, 11/09/15

 

 

145

 

 

151,706

 

 

 

 

 

 

 

751,094

 

Real Estate Management & Development — 1.6%

 

 

 

 

 

 

 

CBRE Services, Inc., 6.63%, 10/15/20

 

 

90

 

 

95,625

 

Realogy Corp.:

 

 

 

 

 

 

 

11.50%, 4/15/17

 

 

110

 

 

100,650

 

12.00%, 4/15/17

 

 

35

 

 

32,200

 

7.88%, 2/15/19 (c)

 

 

810

 

 

785,700

 

7.63%, 1/15/20 (c)

 

 

130

 

 

134,225

 

Shea Homes LP, 8.63%, 5/15/19 (c)

 

 

445

 

 

449,450

 

 

 

 

 

 

 

1,597,850

 

Road & Rail — 1.6%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 8.25%, 1/15/19

 

 

45

 

 

46,913

 

Canadian National Railway Co., 6.90%, 7/15/28

 

 

500

 

 

666,938

 

The Hertz Corp.:

 

 

 

 

 

 

 

7.50%, 10/15/18

 

 

335

 

 

361,381

 

6.75%, 4/15/19

 

 

40

 

 

41,900

 

7.38%, 1/15/21

 

 

430

 

 

465,475

 

 

 

 

 

 

 

1,582,607

 

Software — 0.3%

 

 

 

 

 

 

 

Oracle Corp., 5.38%, 7/15/40

 

 

210

 

 

255,362

 

Specialty Retail — 1.4%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 8.38%, 11/15/20

 

 

130

 

 

139,425

 

House of Fraser Funding Plc:

 

 

 

 

 

 

 

8.88%, 8/15/18 (c)

 

GBP

100

 

 

142,386

 

8.88%, 8/15/18

 

 

125

 

 

177,982

 

Limited Brands, Inc., 8.50%, 6/15/19

 

USD

320

 

 

382,400

 

Phones4u Finance Plc, 9.50%, 4/01/18 (c)

 

GBP

100

 

 

139,601

 

QVC, Inc. (c):

 

 

 

 

 

 

 

7.13%, 4/15/17

 

USD

80

 

 

86,000

 

7.50%, 10/01/19

 

 

135

 

 

149,850

 

7.38%, 10/15/20

 

 

95

 

 

105,213

 

Sonic Automotive, Inc., 9.00%, 3/15/18

 

 

115

 

 

125,062

 

 

 

 

 

 

 

1,447,919

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

93




 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 

Tobacco — 0.1%

 

 

 

 

 

 

 

Altria Group, Inc., 9.95%, 11/10/38

 

USD

50

 

$

78,158

 

Wireless Telecommunication Services — 5.5%

 

 

 

 

 

 

 

America Movil SAB de CV:

 

 

 

 

 

 

 

2.38%, 9/08/16

 

 

200

 

 

204,217

 

5.00%, 3/30/20

 

 

400

 

 

454,280

 

American Tower Corp., 4.50%, 1/15/18

 

 

375

 

 

387,963

 

Cricket Communications, Inc., 7.75%, 5/15/16

 

 

480

 

 

511,200

 

Crown Castle Towers LLC, 6.11%, 1/15/40 (c)

 

 

375

 

 

422,233

 

Digicel Group Ltd. (c):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

170

 

 

172,975

 

9.13%, 1/15/15

 

 

439

 

 

447,780

 

8.25%, 9/01/17

 

 

365

 

 

386,900

 

iPCS, Inc., 2.67%, 5/01/13 (i)

 

 

20

 

 

19,250

 

SBA Tower Trust, 4.25%, 4/15/40 (c)

 

 

325

 

 

334,425

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

830

 

 

647,400

 

Sprint Nextel Corp. (c):

 

 

 

 

 

 

 

9.00%, 11/15/18

 

 

880

 

 

981,200

 

7.00%, 3/01/20 (g)

 

 

560

 

 

569,100

 

 

 

 

 

 

 

5,538,923

 

Total Corporate Bonds — 100.8%

 

 

 

 

 

101,060,579

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests (i)

 

 

 

 

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

Delta Air Lines, Inc., Credit New Term Loan B, 5.50%,
4/20/17

 

 

214

 

 

208,494

 

Auto Components — 0.2%

 

 

 

 

 

 

 

Schaeffler AG, Term Loan C2, 6.25%, 1/27/17

 

 

180

 

 

180,526

 

Building Products — 0.2%

 

 

 

 

 

 

 

Goodman Global, Inc., Term Loan (Second Lien),
9.00%, 10/30/17

 

 

191

 

 

193,893

 

Commercial Services & Supplies — 0.7%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B,
5.25%, 6/10/16

 

 

152

 

 

151,026

 

Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16

 

 

225

 

 

225,241

 

Volume Services America, Inc., (FKA Centerplate),
Term Loan B, 10.50% – 10.75%, 9/16/16

 

 

356

 

 

356,982

 

 

 

 

 

 

 

733,249

 

Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Safway Services LLC, Mezzanine Loan, 15.63%,
12/16/17

 

 

750

 

 

750,000

 

Consumer Finance — 1.6%

 

 

 

 

 

 

 

Springleaf Finance Corp. (FKA AGFS Funding Co.),
Term Loan, 5.50%, 5/10/17

 

 

1,750

 

 

1,595,317

 

Diversified Consumer Services — 0.5%

 

 

 

 

 

 

 

Laureate Education, Inc., Extended Term Loan,
5.25%, 8/15/18

 

 

490

 

 

467,735

 

ServiceMaster Co.:

 

 

 

 

 

 

 

Delayed Draw Term Loan, 2.75%, 7/24/14

 

 

3

 

 

3,115

 

Term Loan, 2.77% – 3.03%, 7/24/14

 

 

32

 

 

31,284

 

 

 

 

 

 

 

502,134

 

Diversified Telecommunication Services — 0.5%

 

 

 

 

 

 

 

Level 3 Financing, Inc.:

 

 

 

 

 

 

 

Term Loan B, 5.75%, 8/31/18

 

 

350

 

 

352,408

 

Tranche A Term Loan, 2.50% – 2.83%, 3/13/14

 

 

200

 

 

196,700

 

 

 

 

 

 

 

549,108

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (i)

 

Par
(000)

 

Value

 

Energy Equipment & Services — 2.0%

 

 

 

 

 

 

 

Dynegy Midwest Generation LLC, Coal Co. Term
Loan, 9.25%, 8/04/16

 

USD

705

 

$

700,939

 

Dynegy Power LLC, Gas Co. Term Loan, 9.25%,
8/04/16

 

 

1,290

 

 

1,330,738

 

 

 

 

 

 

 

2,031,677

 

Food Products — 0.3%

 

 

 

 

 

 

 

Advance Pierre Foods, Inc., Term Loan (Second Lien),
11.25%, 9/29/17

 

 

300

 

 

300,249

 

Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19

 

 

280

 

 

279,826

 

Health Care Providers & Services — 0.7%

 

 

 

 

 

 

 

Harden Healthcare LLC:

 

 

 

 

 

 

 

Term Loan A, 8.50%, 3/02/15

 

 

164

 

 

160,662

 

Tranche A Additional Term Loan, 7.75%, 3/02/15

 

 

165

 

 

161,396

 

Health Management Associates, Inc., Term Loan B,
4.50%, 11/16/18

 

 

145

 

 

144,058

 

inVentiv Health, Inc., Combined Term Loan, 6.50%,
8/04/16

 

 

265

 

 

254,804

 

 

 

 

 

 

 

720,920

 

Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

Caesars Entertainment Operating Co., Inc.:

 

 

 

 

 

 

 

Term Loan B-1,3.24%, 1/28/15

 

 

292

 

 

273,775

 

Term Loan B-2, 3.25%, 1/28/15

 

 

109

 

 

102,445

 

Term Loan B-3, 3.00% – 3.58%, 1/28/15

 

 

350

 

 

328,245

 

Term Loan B-4, 9.50%, 10/31/16

 

 

80

 

 

82,291

 

OSI Restaurant Partners LLC:

 

 

 

 

 

 

 

Revolver, 2.56% 2.79%, 6/14/13

 

 

4

 

 

3,503

 

Term Loan B, 2.56%, 6/14/14

 

 

36

 

 

35,530

 

Station Casinos, Inc., Term Loan B1, 3.24%,
6/17/16

 

 

375

 

 

338,126

 

 

 

 

 

 

 

1,163,915

 

Independent Power Producers &
Energy Traders — 0.1%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co. LLC (FKA TXU),
Extended Term Loan, 4.76%, 10/10/17

 

 

136

 

 

76,091

 

Industrial Conglomerates — 0.2%

 

 

 

 

 

 

 

Sequa Corp., Incremental Term Loan, 6.25%,
12/03/14

 

 

160

 

 

160,533

 

IT Services — 0.3%

 

 

 

 

 

 

 

First Data Corp., Extended Term Loan B, 4.24%,
3/23/18

 

 

285

 

 

255,742

 

Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

Eastman Kodak Co., DIP Term Loan B, 8.50%,
7/20/13

 

 

215

 

 

217,621

 

Media — 4.1%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc.
(FKA Thomson Learning):

 

 

 

 

 

 

 

Term Loan, 2.49%, 7/03/14

 

 

40

 

 

37,120

 

Tranche 1 Incremental Term Loan, 7.50%,
7/03/14

 

 

482

 

 

466,819

 

Clear Channel Communications:

 

 

 

 

 

 

 

Term Loan B, 3.89%, 1/28/16

 

 

550

 

 

451,396

 

Term Loan C, 3.89%, 1/28/16

 

 

55

 

 

43,588

 

Intelsat Jackson Holdings SA (FKA Intelsat
Jackson Holdings, Ltd.), Tranche B Term Loan,
5.25%, 4/02/18

 

 

2,481

 

 

2,477,032

 

Interactive Data Corp., Term Loan B, 4.50%,
2/12/18

 

 

20

 

 

19,955

 

Newsday LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

550

 

 

565,812

 

 

 

 

 

 

 

4,061,722

 


 

 

 

See Notes to Financial Statements.

 

 

 

94

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (i)

 

Par
(000)

 

Value

 

Oil, Gas & Consumable Fuels — 0.6%

 

 

 

 

 

 

 

Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15

 

USD

612

 

$

614,676

 

Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

NewPage Corp., DIP Term Loan, 8.00%, 3/07/13

 

 

250

 

 

251,875

 

Pharmaceuticals — 0.1%

 

 

 

 

 

 

 

Pharmaceutical Products Development, Inc., Term
Loan B, 6.25%, 12/05/18

 

 

145

 

 

146,269

 

Real Estate Investment Trusts (REITs) — 0.4%

 

 

 

 

 

 

 

iStar Financial, Inc., Term Loan (Second Lien),
5.00%, 6/28/13

 

 

454

 

 

451,562

 

Real Estate Management & Development — 0.4%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Extended Letter of Credit, 4.53%, 10/10/16

 

 

60

 

 

56,045

 

Extended Term Loan, 4.77%, 10/10/16

 

 

426

 

 

395,042

 

 

 

 

 

 

 

451,087

 

Software — 0.2%

 

 

 

 

 

 

 

Infor Enterprise Solutions Holdings, Inc., Extended
Initial Term Loan, 6.29%, 7/28/15

 

EUR

155

 

 

194,632

 

Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 2.99% – 3.30%,
5/29/14

 

USD

197

 

 

186,418

 

Wireless Telecommunication Services — 1.3%

 

 

 

 

 

 

 

Crown Castle International Corp., Term Loan B,
4.00%, 1/31/19

 

 

75

 

 

74,659

 

Vodafone Americas Finance 2, Inc. (h):

 

 

 

 

 

 

 

Term Loan, 6.88%, 8/11/15

 

 

831

 

 

830,645

 

Term Loan B, 6.25%, 7/11/16

 

 

413

 

 

411,469

 

 

 

 

 

 

 

1,316,773

 

Total Floating Rate Loan Interests — 17.5%

 

 

 

 

 

17,594,309

 

 

 

 

 

 

 

 

 


Foreign Agency Obligations — 0.2%

 

 

 

 

 

 

 

Qatar Government International Bond, 4.00%,
1/20/15 (c)

 

 

200

 

 

211,000

 

 

 

 

 

 

 

 

 

Other Interests (j) — 0.0%

 


Beneficial
Interest
(000)

 

 

 

 

Media — 0.0%

 

 

 

 

 

 

 

Adelphia Communications Corp., Class A

 

 

400

 

 

2,480

 

 

 

 

 

 

 

 

 


Preferred Securities

 

 

 

 

 

 

 

Capital Trusts

 


Par
(000)

 

 

 

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

State Street Capital Trust IV, 1.55%, 6/15/37 (i)

 

 

200

 

 

141,191

 

Insurance — 0.2%

 

 

 

 

 

 

 

Genworth Financial, Inc., 6.15%, 11/15/66 (i)

 

 

305

 

 

209,306

 

Total Capital Trusts — 0.3%

 

 

 

 

 

350,497

 


 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 

Diversified Financial Services — 0.9%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (c)

 

 

1,000

 

$

867,688

 

Real Estate Investment Trusts (REITs) — 0.0%

 

 

 

 

 

 

 

MPG Office Trust, Inc., Series A, 7.63% (b)

 

 

3,277

 

 

46,533

 

Total Preferred Stocks — 0.9%

 

 

 

 

 

914,221

 

 

 

 

 

 

 

 

 


Trust Preferreds — 0.2%

 

 

 

 

 

 

 

Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (i)

 

 

6,840

 

 

159,986

 

Total Preferred Securities — 1.4%

 

 

 

 

 

1,424,704

 

 

 

 

 

 

 

 

 

Taxable Municipal Bonds — 0.4%

 

 


Par
(000)

 

 

 

 

Metropolitan Transportation Authority, RB, Build
America Bonds, Series TR, 6.81%, 11/15/40

 

USD

300

 

 

391,896

 

 

 

 

 

 

 

 

 


US Government Sponsored Agency Securities — 0.2%

 

 

 

 

 

 

 

Collateralized Mortgage Obligations — 0.2%

 

 

 

 

 

 

 

Ginnie Mae Mortgage-Backed Securities,
Series 2006-68, Class B, 5.16%, 6/16/31 (i)

 

 

247

 

 

251,184

 

 

 

 

 

 

 

 

 


US Treasury Obligations

 

 

 

 

 

 

 

US Treasury Notes:

 

 

 

 

 

 

 

2.00%, 11/15/21

 

 

465

 

 

467,325

 

2.00%, 2/15/22

 

 

95

 

 

95,193

 

Total US Treasury Obligations — 0.6%

 

 

 

 

 

562,518

 

 

 

 

 

 

 

 

 


Warrants (k)

 

 

Shares

 

 

 

 

Media — 0.1%

 

 

 

 

 

 

 

Cumulus Media, Inc. (Expires 3/26/19)

 

 

10,660

 

 

76,995

 

Software — 0.0%

 

 

 

 

 

 

 

Bankruptcy Management Solutions, Inc.
(Expires 9/28/17)

 

 

56

 

 

 

Total Warrants — 0.1%

 

 

 

 

 

76,995

 

Total Long-Term Investments
(Cost — $116,637,968) — 123.2%

 

 

 

 

 

123,631,415

 

 

 

 

 

 

 

 

 


Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.11% (l)(m)

 

 

308,844

 

 

308,844

 

Total Short-Term Securities
(Cost — $308,844) — 0.3%

 

 

 

 

 

308,844

 


 

 

 

 

See Notes to Financial Statements.

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

95




 

 

Schedule of Investments (continued)


BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

Value

 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price
USD 942.86, Expires 12/14/19,
Broker Goldman Sachs & Co.

 

 

6

 

 

 

 

 

 


Notional
Amount
(000)

 

 

 

 

Over-the-Counter Interest Rate Call
Swaptions — 0.0%

 

 

 

 

 

 

 

Receive a fixed rate of 2.40% and pay a floating
rate based on 3-month LIBOR, expires 5/11/12,
Broker Citibank NA

 

USD

1,200

 

$

9,032

 

Over-the-Counter Interest Rate Put

 

 

 

 

 

 

 

Swaptions — 0.1%

 

 

 

 

 

 

 

Pay a fixed rate of 4.50% and receive a floating
rate based on 6-month EURIBOR, Expires 9/16/13,
Broker Credit Suisse Securities (USA) LLC

 

EUR

600

 

 

5,511

 

Pay a fixed rate of 4.50% and receive a floating
rate based on 3-month LIBOR, Expires 2/07/17,
Broker Deutsche Bank AG

 

USD

1,000

 

 

38,856

 

 

 

 

 

 

 

44,367

 

Total Options Purchased
(Cost — $89,464) — 0.1%

 

 

 

 

 

53,399

 

Total Investments Before Options Written
(Cost — $117,036,276) — 123.6%

 

 

 

 

 

123,993,658

 

 

 

 

 

 

 

 

 


Options Written

 

 

 

 

 

 

 

Over-the-Counter Interest Rate Put
Swaptions — (0.0)%

 

 

 

 

 

 

 

Receive a fixed rate of 1.75% and pay a floating
rate based on 3-month LIBOR, Expires 8/23/12,
Broker Deutsche Bank AG

 

 

2,400

 

 

(8,955

)

Receive a fixed rate of 6.00% and pay a floating
rate based on 3-month LIBOR, Expires 2/02/17,
Broker Deutsche Bank AG

 

 

2,000

 

 

(39,290

)

Total Options Written
(Premiums Received — $50,160) — (0.0)%

 

 

 

 

 

(48,245

)

Total Investments, Net of Options Written 123.6%

 

 

 

 

 

123,945,413

 

Liabilities in Excess of Other Assets — (23.6)%

 

 

 

 

 

(23,667,372

)

Net Assets — 100.0%

 

 

 

 

$

100,278,041

 

 

 

 

 

 

 

 

 


 

 

(a)

Restricted security as to resale. As of report date the Trust held 1.9% of its net assets, with a current value of $1,892,938 in this security.

 

 

(b)

Non-income producing security.

 

 

(c)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(d)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(e)

Convertible security.

 

 

(f)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(g)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

Counterparty

 

Value

 


Unrealized
Appreciation
(Depreciation)

 

JPMorgan Chase & Co.

 

$

304,619

 

$

(315

)

Wells Fargo Securities

 

$

75,750

 

$

750

 

Bank of America NA

 

$

569,100

 

$

2,163

 

Morgan Stanley & Co.

 

$

298,681

 

$

8,681

 


 

 

(h)

Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.

 

 

(i)

Variable rate security. Rate shown is as of report date.

 

 

(j)

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

 

(k)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

 

 

(l)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held at
August 31,
2011

 

Net
Activity

 

Shares Held at
February 29,
2012

 

Income

 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

891,719

 

 

(582,875

)

 

308,844

 

$

569

 


 

 

(m)

Represents the current yield as of report date.

 

 

Financial futures contracts purchased as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration  

 

Notional
Value

 

Unrealized
Depreciation

 

    57

 

 

2-Year US
Treasury Note

 

 

Chicago
Board of Trade

 

 

June 2012

 

$

12,553,359

 

$

(714

)

    42

 

 

5-Year US
Treasury Note

 

 

Chicago
Board of Trade

 

 

June 2012

 

$

5,173,219

 

 

(1,604

)

    10

 

 

Ultra Long US
Treasury Bond

 

 

Chicago
Board of Trade

 

 

June 2012

 

$

1,572,500

 

 

(16,666

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(18,984

)

 

 

Financial futures contracts sold as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Appreciation

 

    34

 

 

10-Year US
Treasury Note

 

 

Chicago
Board of Trade

 

 

June 2012

 

$

4,452,406

 

$

13,067

 

    10

 

 

30-Year US
Treasury Bond

 

 

Chicago
Board of Trade

 

 

June 2012

 

$

1,416,563

 

 

811

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

13,878

 


Foreign currency exchange contracts as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency Sold

 

 

Counterparty

 

 

Settlement
Date

 

 

Unrealized
Appreciation
(Depreciation)

 

GBP

100,000

 

USD

158,417

 

 

Citibank NA

 

 

4/11/12

 

$

628

 

USD

103,301

 

GBP

65,000

 

 

Citibank NA

 

 

4/11/12

 

 

(78

)

USD

156,943

 

GBP

100,000

 

 

Royal Bank of Scotland Plc

 

 

4/11/12

 

 

(2,102

)

USD

945,046

 

GBP

616,500

 

 

UBS Securities LLC

 

 

4/11/12

 

 

(35,466

)

EUR

150,000

 

USD

201,950

 

 

Deutsche Bank AG

 

 

4/18/12

 

 

(2,066

)

USD

5,288,287

 

EUR

4,117,000

 

 

Citibank NA

 

 

4/18/12

 

 

(197,866

)

USD

158,498

 

EUR

120,000

 

 

Citibank NA

 

 

4/18/12

 

 

(1,409

)

USD

64,505

 

EUR

49,000

 

 

Deutsche Bank AG

 

 

4/18/12

 

 

(790

)

USD

377,772

 

EUR

290,000

 

 

Royal Bank of Scotland Plc

 

 

4/18/12

 

 

(8,671

)

USD

159,843

 

EUR

121,000

 

 

UBS Securities LLC

 

 

4/18/12

 

 

(1,397

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(249,217

)


 

 

 

 

See Notes to Financial Statements.

 

96

SEMI-ANNUAL REPORT

 

FEBRUARY 29, 2012




 

 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 

Republic of Hungary

 

 

1.00

%

 

Deutsche
Bank AG

 

 

12/20/15

 

$

110

 

$

5,857

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

K. Hovnanian Enterprises, Inc.

 

 

5.00

%

 

JPMorgan
Chase & Co.

 

 

12/20/15

 

$

250

 

 

33,633

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The New York Times Co.

 

 

1.00

%

 

Barclays
Capital, Inc.

 

 

12/20/16

 

$

500

 

 

107

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

39,597

 


 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration
Date

 

Issuer
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 

Aviva USA Corp.

 

 

1.00

%

 

Deutsche
Bank AG

 

 

5/25/12

 

 

Not Rated

 

$

375

 

$

(202

)

Assured Guaranty Corp.

 

 

5.00

%

 

Citibank NA

 

 

3/20/15

 

 

AA–

 

$

33

 

 

4,397

 

MetLife, Inc.

 

 

5.00

%

 

Deutsche
Bank AG

 

 

6/20/15

 

 

A–

 

$

150

 

 

8,269

 

MetLife, Inc.

 

 

1.00

%

 

UBS
Securities LLC

 

 

9/20/15

 

 

A–

 

$

175

 

 

3,984

 

ARAMARK Corp.

 

 

5.00

%

 

Goldman
Sachs & Co.

 

 

6/20/16

 

 

B

 

$

150

 

 

7,136

 

ARAMARK Corp.

 

 

5.00

%

 

Goldman
Sachs & Co.

 

 

6/20/16

 

 

B

 

$

150

 

 

8,079

 

ARAMARK Corp.

 

 

5.00

%

 

JPMorgan
Chase & Co.

 

 

6/20/16

 

 

B

 

$

50

 

 

2,570

 

ARAMARK Corp.

 

 

5.00

%

 

JPMorgan
Chase & Co.

 

 

6/20/16

 

 

B

 

$

100

 

 

5,139

 

ARAMARK Corp.

 

 

5.00

%

 

Goldman
Sachs & Co.

 

 

9/20/16

 

 

B

 

$

150

 

 

6,774

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

46,146

 


 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.

 

 

 

 

 

 

Interest rate swaps outstanding as of February 29, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 

2.71%(3)

 

 

3-month
LIBOR

 

 

Deutsche
Bank AG

 

 

2/02/42

 

$

1,200

 

$

17,608

 


 

 

 

 

3

Trust pays fixed interest rate and receives floating rate.


 

 

 

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 rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such 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 are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

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)

 

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Trust’s perceived risk of 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 Note 1 of the Notes to Financial Statements.

 

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

162,809

 

$

1,892,939

 

$

2

 

$

2,055,750

 

Corporate Bonds

 

 

 

 

101,060,579

 

 

 

 

101,060,579

 

Floating Rate
Loan Interests

 

 

 

 

14,665,460

 

 

2,928,849

 

 

17,594,309

 

Foreign Agency
Obligations

 

 

 

 

211,000

 

 

 

 

211,000

 

Other Interests

 

 

 

 

2,480

 

 

 

 

2,480

 

Preferred Securities

 

 

206,519

 

 

1,218,185

 

 

 

 

1,424,704

 

Taxable Municipal

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds

 

 

 

 

391,896

 

 

 

 

391,896

 

US Government
Sponsored Agency
Securities

 

 

 

 

251,184

 

 

 

 

251,184

 

US Treasury
Obligations

 

 

 

 

562,518

 

 

 

 

562,518

 

Warrants

 

 

 

 

76,995

 

 

 

 

76,995

 

Short-Term Securities

 

 

308,844

 

 

 

 

 

 

308,844

 

Total

 

$

678,172

 

$

120,333,236

 

$

2,928,851

 

$

123,940,259

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments4

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

85,945

 

 

 

$

85,945

 

Foreign currency
exchange contracts

 

 

 

 

628

 

 

 

 

628

 

Interest rate
contracts

 

$

13,878

 

 

71,007

 

 

 

 

84,885

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

 

$

(202

)

 

(202

)

Foreign currency
exchange contracts

 

 

 

 

(249,845

)

 

 

 

(249,845

)

Interest rate
contracts

 

 

(18,984

)

 

(48,245

)

 

 

 

(67,229

)

Total

 

$

(5,106

)

$

(140,510

)

$

(202

)

$

(145,818

)


 

 

 

 

4

Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/ depreciation on the instrument and options are shown at value.


 

 

 

 

See Notes to Financial Statements.

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

97




 

 

 

Schedule of Investments (concluded)

BlackRock Strategic Bond Trust (BHD)

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2011

 

 

 

$

38,005

 

$

3,592,743

 

$

95

 

$

79,288

 

$

60,209

 

$

3,770,340

 

Accrued discounts/premiums

 

 

 

 

156

 

 

1,661

 

 

 

 

 

 

 

 

1,817

 

Net realized gain (loss)

 

 

 

 

13,618

 

 

1,185

 

 

182

 

 

93,280

 

 

 

 

108,265

 

Net change in unrealized appreciation/depreciation1

 

$

1

 

 

(11,779

)

 

867

 

 

(95

)

 

(79,288

)

 

(1

)

 

(90,295

)

Purchases

 

 

 

 

 

 

40,401

 

 

 

 

 

 

 

 

40,401

 

Sales

 

 

 

 

(40,000

)

 

(140,133

)

 

(182

)

 

(93,280

)

 

 

 

(273,595

)

Transfers in2

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

1

 

Transfers out2

 

 

 

 

 

 

(567,875

)

 

 

 

 

 

(60,208

)

 

(628,083

)

Balance, as of February 29, 2012

 

$

2

 

 

 

$

2,928,849

 

 

 

 

 

 

 

$

2,928,851

 


 

 

 

 

1

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at February 29, 2012 was $(97,679).

 

 

 

 

2

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the event.

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit
Contracts

 

Liabilities:

 

 

 

 

Balance, as of August 31, 2011

 

$

(307

)

Accrued discounts/premiums

 

 

1,210

 

Net realized gain (loss)

 

 

 

Net change in unrealized appreciation/depreciation3

 

 

105

 

Purchases

 

 

 

Issuance4

 

 

 

Sales

 

 

 

Settlements5

 

 

(1,210

)

Transfers in6

 

 

 

Transfers out6

 

 

 

Balance, as of February 29, 2012

 

$

(202

)


 

 

 

 

3

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held at February 29, 2012 was $105.

 

 

 

 

4

Issuances represent upfront cash received on certain derivative financial instruments.

 

 

 

 

5

Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

 

 

 

 

6

The Trust’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

A reconciliation of Level 3 investments and derivative 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.

 

 

 

 

See Notes to Financial Statements.

 

98

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 29, 2012 (Unaudited)

 

BlackRock
Core Bond
Trust
(BHK)

 

BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)*

 

BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)*

 

BlackRock
High Income
Shares
(HIS)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value — unaffiliated1

 

$

544,625,751

 

$

547,455,952

 

$

569,198,757

 

$

150,992,236

 

Investments at value — affiliated2

 

 

163,811

 

 

 

 

 

 

840,816

 

Foreign currency at value3

 

 

202,534

 

 

361,936

 

 

372,525

 

 

251,632

 

Cash

 

 

26,041

 

 

 

 

 

 

31

 

Cash pledged as collateral for financial futures contracts

 

 

 

 

860,000

 

 

917,000

 

 

183,000

 

Cash pledged as collateral for swaps

 

 

3,970,000

 

 

400,000

 

 

400,000

 

 

 

Investments sold receivable

 

 

82,971,474

 

 

12,788,012

 

 

13,161,040

 

 

3,742,722

 

TBA sale commitments receivable

 

 

9,811,934

 

 

 

 

 

 

 

Unrealized appreciation on swaps

 

 

923,927

 

 

643,176

 

 

662,856

 

 

 

Interest receivable

 

 

5,393,372

 

 

7,725,073

 

 

8,131,738

 

 

2,353,351

 

Swaps premiums paid

 

 

217,047

 

 

503,781

 

 

522,565

 

 

 

Swaps receivable

 

 

23,707

 

 

149,841

 

 

152,660

 

 

 

Principal paydown receivable

 

 

8,044

 

 

501,646

 

 

597,236

 

 

145,734

 

Unrealized appreciation on foreign currency exchange contracts

 

 

209,363

 

 

8,857

 

 

7,223

 

 

 

Margin variation receivable

 

 

 

 

62,650

 

 

66,850

 

 

13,300

 

Dividends receivable — unaffiliated

 

 

 

 

34,875

 

 

16,421

 

 

2,200

 

Prepaid expenses

 

 

29,118

 

 

62,834

 

 

8,943

 

 

10,360

 

Other assets

 

 

46,800

 

 

174,843

 

 

181,305

 

 

8,944

 

Total assets

 

 

648,622,923

 

 

571,733,476

 

 

594,397,119

 

 

158,544,326

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank overdraft

 

 

 

 

466,920

 

 

245,533

 

 

 

Reverse repurchase agreements

 

 

157,136,074

 

 

 

 

 

 

 

Investments purchased payable

 

 

82,283,975

 

 

28,263,952

 

 

29,371,924

 

 

7,619,903

 

Loan payable

 

 

 

 

131,000,000

 

 

133,000,000

 

 

28,000,000

 

Cash held as collateral for reverse repurchase agreements

 

 

16,000

 

 

 

 

 

 

 

TBA sale commitments at value4

 

 

9,813,953

 

 

 

 

 

 

 

Unrealized depreciation on swaps

 

 

666,328

 

 

112,207

 

 

119,959

 

 

 

Options written at value5

 

 

3,990,457

 

 

25,013

 

 

25,955

 

 

7,250

 

Swaps payable

 

 

108,233

 

 

17,020

 

 

18,040

 

 

 

Swaps premiums received

 

 

534,442

 

 

364,860

 

 

385,790

 

 

 

Investment advisory fees payable

 

 

323,144

 

 

251,300

 

 

304,243

 

 

86,949

 

Margin variation payable

 

 

5,893

 

 

 

 

 

 

 

Interest expense payable

 

 

56,687

 

 

115,851

 

 

116,814

 

 

16,945

 

Unrealized depreciation on foreign currency exchange contracts

 

 

562,330

 

 

1,448,067

 

 

1,500,303

 

 

283,739

 

Income dividends payable

 

 

52,506

 

 

 

 

 

 

 

Officer’s and Trustees’ fees payable

 

 

68,991

 

 

86,695

 

 

85,279

 

 

11,440

 

Deferred income

 

 

 

 

117,194

 

 

123,177

 

 

36,081

 

Other accrued expenses payable

 

 

96,562

 

 

288,517

 

 

426,927

 

 

75,002

 

Other liabilities

 

 

329,546

 

 

 

 

 

 

 

Total liabilities

 

 

256,045,121

 

 

162,557,596

 

 

165,723,944

 

 

36,137,309

 

Net Assets

 

$

392,577,802

 

$

409,175,880

 

$

428,673,175

 

$

122,407,017

 

1 Investments at cost — unaffiliated

 

$

519,012,926

 

$

534,151,821

 

$

556,169,846

 

$

148,680,124

 

2 Investments at cost — affiliated

 

$

163,811

 

 

 

 

 

$

840,816

 

3 Foreign currency at cost

 

$

201,991

 

$

359,267

 

$

366,559

 

$

249,559

 

4 Proceeds from TBA sale commitments

 

$

9,811,934

 

 

 

 

 

 

 

5 Premiums received

 

$

4,225,523

 

$

123,355

 

$

128,039

 

$

36,987

 


 

 

*

Consolidated Statements of Assets and Liabilities.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

99




 

 

Statements of Assets and Liabilities (concluded)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 29, 2012 (Unaudited)

 

BlackRock
Core Bond
Trust
(BHK)

 

BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)*

 

BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)*

 

BlackRock
High Income
Shares
(HIS)

 

Net Assets Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

Paid-in capital6,7,8

 

$

378,671,939

 

$

470,118,921

 

$

505,552,795

 

$

160,626,815

 

Undistributed net investment income

 

 

4,582,677

 

 

2,332,739

 

 

3,582,027

 

 

1,085,651

 

Accumulated net realized loss

 

 

(16,529,678

)

 

(75,398,403

)

 

(92,241,782

)

 

(41,298,548

)

Net unrealized appreciation/depreciation

 

 

25,852,864

 

 

12,122,623

 

 

11,780,135

 

 

1,993,099

 

Net Assets

 

$

392,577,802

 

$

409,175,880

 

$

428,673,175

 

$

122,407,017

 

Net asset value

 

$

14.53

 

$

12.41

 

$

12.13

 

$

2.24

 

6 Par value per share

 

$

0.001

 

$

0.100

 

$

0.100

 

 

 

7 Shares outstanding

 

 

27,023,027

 

 

32,969,525

 

 

35,332,526

 

 

54,672,479

 

8 Shares authorized

 

 

unlimited

 

 

200 million

 

 

200 million

 

 

unlimited

 


 

 

*

Consolidated Statements of Assets and Liabilities.


 

 

 

See Notes to Financial Statements.

 

 

 

100

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 29, 2012 (Unaudited)

 

BlackRock
High Yield
Trust
(BHY)

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value — unaffiliated1

 

$

58,692,832

 

$

554,323,754

 

$

852,598,733

 

$

123,684,814

 

Investments at value — affiliated2

 

 

980,802

 

 

1,301,628

 

 

2,011,437

 

 

308,844

 

Foreign currency at value3

 

 

1,380

 

 

165,125

 

 

 

 

109,148

 

Cash

 

 

 

 

25,599

 

 

24,438

 

 

 

Cash pledged as collateral for financial futures contracts

 

 

 

 

763,000

 

 

2,640,000

 

 

44,660

 

Cash pledged as collateral for swaps

 

 

 

 

4,300,000

 

 

8,605,000

 

 

 

Cash pledged as collateral for reverse repurchase agreements

 

 

 

 

 

 

330,000

 

 

 

Investments sold receivable

 

 

1,783,021

 

 

80,618,255

 

 

10,583,505

 

 

2,984,062

 

TBA sale commitments receivable

 

 

 

 

10,884,848

 

 

15,827,469

 

 

 

Unrealized appreciation on swaps

 

 

191,926

 

 

998,643

 

 

41,918,659

 

 

103,553

 

Interest receivable

 

 

887,906

 

 

5,578,273

 

 

3,934,337

 

 

1,756,475

 

Swaps premiums paid

 

 

69,435

 

 

217,142

 

 

121,668

 

 

130,833

 

Swaps receivable

 

 

32,378

 

 

39,715

 

 

2,332,174

 

 

9,433

 

Principal paydown receivable

 

 

57,813

 

 

8,044

 

 

389,082

 

 

109,944

 

Margin variation receivable

 

 

 

 

44,549

 

 

848,928

 

 

2,211

 

Unrealized appreciation on foreign currency exchange contracts

 

 

407

 

 

208,280

 

 

 

 

628

 

Dividends receivable — unaffiliated

 

 

1,800

 

 

 

 

354

 

 

787

 

Prepaid expenses

 

 

1,901

 

 

16,136

 

 

16,667

 

 

2,615

 

Other assets

 

 

10,040

 

 

76,733

 

 

86,901

 

 

7,921

 

Total assets

 

 

62,711,641

 

 

659,569,724

 

 

942,269,352

 

 

129,255,928

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

Reverse repurchase agreements

 

 

 

 

165,978,892

 

 

163,691,551

 

 

 

Investments purchased payable

 

 

4,136,637

 

 

84,795,017

 

 

186,255,698

 

 

3,443,143

 

Loan payable

 

 

12,000,000

 

 

 

 

 

 

25,000,000

 

Cash held as collateral for swaps

 

 

 

 

 

 

600,000

 

 

 

TBA sale commitments at value4

 

 

 

 

10,886,484

 

 

15,842,735

 

 

 

Unrealized depreciation on swaps

 

 

6,107

 

 

628,935

 

 

40,570,424

 

 

202

 

Options written at value5

 

 

 

 

4,001,417

 

 

1,929,347

 

 

48,245

 

Borrowed bonds at value6

 

 

 

 

 

 

18,449,439

 

 

 

Swaps payable

 

 

3,020

 

 

106,812

 

 

3,282,710

 

 

9,242

 

Swaps premiums received

 

 

200,348

 

 

526,162

 

 

1,280,951

 

 

14,970

 

Investment advisory fees payable

 

 

37,786

 

 

184,371

 

 

262,070

 

 

71,814

 

Interest expense payable

 

 

1,365

 

 

68,030

 

 

164,769

 

 

14,498

 

Unrealized depreciation on foreign currency exchange contracts

 

 

15,017

 

 

478,240

 

 

 

 

249,845

 

Income dividends payable

 

 

 

 

54,023

 

 

119,015

 

 

10,342

 

Officer’s and Trustees’ fees payable

 

 

11,389

 

 

78,752

 

 

89,237

 

 

10,347

 

Deferred income

 

 

13,158

 

 

 

 

 

 

29,038

 

Administration fees payable

 

 

4,200

 

 

30,732

 

 

60,533

 

 

 

Other accrued expenses payable

 

 

43,065

 

 

150,429

 

 

259,034

 

 

76,201

 

Other liabilities

 

 

 

 

1,169,558

 

 

 

 

 

Total liabilities

 

 

16,472,092

 

 

269,137,854

 

 

432,857,513

 

 

28,977,887

 

Net Assets

 

$

46,239,549

 

$

390,431,870

 

$

509,411,839

 

$

100,278,041

 

1 Investments at cost — unaffiliated

 

$

56,182,235

 

$

527,552,459

 

$

825,771,509

 

$

116,727,432

 

2 Investments at cost — affiliated

 

$

980,802

 

$

1,301,628

 

$

2,011,437

 

$

308,844

 

3 Foreign currency at cost

 

$

1,366

 

$

164,678

 

 

 

$

108,522

 

4 Proceeds from TBA sale commitments

 

 

 

$

10,884,848

 

$

15,827,469

 

 

 

3 Premiums received

 

 

 

$

4,237,733

 

$

706,515

 

$

50,160

 

6 Proceeds from borrowed bonds — cost

 

 

 

 

 

$

17,950,636

 

 

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

101




 

 

Statements of Assets and Liabilities (concluded)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 29, 2012 (Unaudited)

 

BlackRock
High Yield
Trust
(BHY)

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 

Net Assets Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

Paid-in capital7,8,9

 

$

58,521,452

 

$

402,924,496

 

$

478,542,248

 

$

98,450,652

 

Cost of shares held in treasury10

 

 

 

 

(17,377,850

)

 

 

 

 

Undistributed net investment income (loss) (distributions in excess of net investment income)

 

 

(147,925

)

 

4,964,408

 

 

(1,761,219

)

 

284,229

 

Undistributed net realized gain (accumulated net realized loss)

 

 

(14,816,607

)

 

(27,327,848

)

 

3,451,205

 

 

(5,267,473

)

Net unrealized appreciation/depreciation

 

 

2,682,629

 

 

27,248,664

 

 

29,179,605

 

 

6,810,633

 

Net Assets

 

$

46,239,549

 

$

390,431,870

 

$

509,411,839

 

$

100,278,041

 

Net asset value

 

$

7.19

 

$

11.33

 

$

7.97

 

$

14.21

 

7 Par value per share

 

$

0.001

 

$

0.01

 

$

0.01

 

$

0.001

 

8 Shares outstanding

 

 

6,428,284

 

 

34,456,370

 

 

63,942,535

 

 

7,058,401

 

9 Shares authorized

 

 

unlimited

 

 

200 million

 

 

200 million

 

 

unlimited

 

10 Shares held in treasury

 

 

 

 

1,757,400

 

 

 

 

 


 

 

 

See Notes to Financial Statements.

 

 

 

102

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended February 29, 2012 (Unaudited)

 

BlackRock
Core Bond
Trust
(BHK)

 

BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)2

 

BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)2

 

BlackRock
High Income
Shares
(HIS)

 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

$

13,703,692

 

$

19,386,469

 

$

20,295,721

 

$

6,146,421

 

Dividends — unaffiliated

 

 

32,453

 

 

524,118

 

 

513,382

 

 

105,885

 

Foreign taxes withheld

 

 

(4,423

)

 

(25,446

)

 

(28,211

)

 

(463

)

Dividends — affiliated

 

 

4,189

 

 

3,734

 

 

3,961

 

 

655

 

Total income

 

 

13,735,911

 

 

19,888,875

 

 

20,784,853

 

 

6,252,498

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

1,377,788

 

 

1,507,361

 

 

1,829,155

 

 

536,502

 

Borrowing costs1

 

 

 

 

157,545

 

 

287,672

 

 

56,223

 

Professional

 

 

61,506

 

 

92,801

 

 

107,880

 

 

37,350

 

Custodian

 

 

84,539

 

 

31,284

 

 

38,767

 

 

12,869

 

Printing

 

 

44,981

 

 

27,549

 

 

36,586

 

 

19,138

 

Accounting services

 

 

46,694

 

 

48,150

 

 

75,325

 

 

26,984

 

Officer and Trustees

 

 

20,142

 

 

26,455

 

 

24,718

 

 

5,941

 

Transfer agent

 

 

6,335

 

 

28,707

 

 

35,950

 

 

16,316

 

Registration

 

 

4,648

 

 

5,320

 

 

7,053

 

 

8,078

 

Miscellaneous

 

 

31,206

 

 

59,789

 

 

51,955

 

 

7,914

 

Total expenses excluding interest expense

 

 

1,677,839

 

 

1,984,961

 

 

2,495,061

 

 

727,315

 

Interest expense

 

 

98,065

 

 

575,503

 

 

579,463

 

 

123,291

 

Total expenses

 

 

1,775,904

 

 

2,560,464

 

 

3,074,524

 

 

850,606

 

Less fees waived by advisor

 

 

(1,242

)

 

(251

)

 

(280

)

 

(182

)

Total expenses after fees waived

 

 

1,774,662

 

 

2,560,213

 

 

3,074,244

 

 

850,424

 

Net investment income

 

 

11,961,249

 

 

17,328,662

 

 

17,710,609

 

 

5,402,074

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

5,700,028

 

 

(7,422,842

)

 

(7,951,066

)

 

(2,101,711

)

Financial futures contracts

 

 

(488,853

)

 

(3,965,704

)

 

(4,093,471

)

 

(355,406

)

Foreign currency transactions

 

 

1,291,618

 

 

4,242,701

 

 

3,686,985

 

 

794,255

 

Options written

 

 

(1,299,200

)

 

1,037,615

 

 

1,115,059

 

 

66,268

 

Swaps

 

 

2,373,733

 

 

(235,126

)

 

(260,392

)

 

 

Borrowed bonds

 

 

198,493

 

 

 

 

 

 

 

 

 

 

7,775,819

 

 

(6,343,356

)

 

(7,502,885

)

 

(1,596,594

)

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

11,315,471

 

 

28,176,913

 

 

29,114,890

 

 

6,127,192

 

Financial futures contracts

 

 

570,814

 

 

1,980,740

 

 

1,905,233

 

 

119,132

 

Foreign currency transactions

 

 

(352,626

)

 

(1,250,641

)

 

(1,340,227

)

 

(247,672

)

Options written

 

 

2,754,706

 

 

528,155

 

 

536,217

 

 

29,737

 

Swaps

 

 

(2,879,831

)

 

562,508

 

 

572,710

 

 

 

 

 

 

11,408,534

 

 

29,997,675

 

 

30,788,823

 

 

6,028,389

 

Total realized and unrealized gain

 

 

19,184,353

 

 

23,654,319

 

 

23,285,938

 

 

4,431,795

 

Net Increase in Net Assets Resulting from Operations

 

$

31,145,602

 

$

40,982,981

 

$

40,996,547

 

$

9,833,869

 


 

 

 

 

1

See Note 6 of the Notes to Financial Statements for details of short-term borrowings.

 

 

 

 

2

Consolidated Statement of Operations.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

103




 

 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended February 29, 2012 (Unaudited)

 

BlackRock
High Yield
Trust
(BHY)

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

$

1,968,090

 

$

13,178,562

 

$

15,589,898

 

$

4,225,515

 

Dividends — unaffiliated

 

 

32,622

 

 

34,719

 

 

 

 

50,374

 

Foreign taxes withheld

 

 

 

 

(955

)

 

 

 

(112

)

Dividends — affiliated

 

 

573

 

 

5,866

 

 

7,075

 

 

533

 

Total income

 

 

2,001,285

 

 

13,218,192

 

 

15,596,973

 

 

4,276,310

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

220,473

 

 

1,133,724

 

 

1,652,248

 

 

439,324

 

Administration

 

 

24,497

 

 

188,954

 

 

381,288

 

 

 

Borrowing costs1

 

 

9,465

 

 

 

 

 

 

35,741

 

Professional

 

 

31,231

 

 

53,963

 

 

74,846

 

 

36,129

 

Custodian

 

 

8,735

 

 

53,624

 

 

 

 

7,466

 

Printing

 

 

8,281

 

 

34,525

 

 

46,782

 

 

13,047

 

Accounting services

 

 

16,711

 

 

61,105

 

 

49,643

 

 

29,124

 

Officer and Trustees

 

 

2,313

 

 

17,963

 

 

39,765

 

 

5,766

 

Transfer agent

 

 

7,595

 

 

10,914

 

 

66,142

 

 

7,466

 

Registration

 

 

4,712

 

 

5,571

 

 

12,543

 

 

3,702

 

Miscellaneous

 

 

3,446

 

 

23,164

 

 

35,126

 

 

9,776

 

Total expenses excluding interest expense

 

 

337,459

 

 

1,583,507

 

 

2,358,383

 

 

587,541

 

Interest expense

 

 

26,738

 

 

95,802

 

 

198,057

 

 

106,339

 

Total expenses

 

 

364,197

 

 

1,679,309

 

 

2,556,440

 

 

693,880

 

Less fees waived by advisor

 

 

(127

)

 

(1,573

)

 

(2,449

)

 

(133

)

Total expenses after fees waived

 

 

364,070

 

 

1,677,736

 

 

2,553,991

 

 

693,747

 

Net investment income

 

 

1,637,215

 

 

11,540,456

 

 

13,042,982

 

 

3,582,563

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(191,639

)

 

4,792,702

 

 

6,541,724

 

 

(313,281

)

Financial futures contracts

 

 

 

 

(397,053

)

 

(5,092,718

)

 

(57,843

)

Foreign currency transactions

 

 

(2,883

)

 

935,520

 

 

 

 

650,049

 

Option written

 

 

 

 

(629,788

)

 

894,514

 

 

 

Swaps

 

 

216,101

 

 

1,847,870

 

 

249,984

 

 

135,757

 

Borrowed bonds

 

 

 

 

158,605

 

 

325,151

 

 

 

 

 

 

21,579

 

 

6,707,856

 

 

2,918,655

 

 

414,682

 

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

2,578,080

 

 

11,882,444

 

 

1,336,078

 

 

5,410,302

 

Financial futures contracts

 

 

 

 

393,611

 

 

(31,774

)

 

(11,359

)

Foreign currency transactions

 

 

(13,787

)

 

(250,064

)

 

 

 

(220,117

)

Option written

 

 

 

 

2,577,109

 

 

(396,979

)

 

1,915

 

Swaps

 

 

44,601

 

 

(2,706,648

)

 

(1,292,938

)

 

46,113

 

Borrowed bonds

 

 

 

 

 

 

(25,860

)

 

 

Interest rate floors

 

 

 

 

 

 

(132,104

)

 

 

 

 

 

2,608,894

 

 

11,896,452

 

 

(543,577

)

 

5,226,854

 

Total realized and unrealized gain

 

 

2,630,473

 

 

18,604,308

 

 

2,375,078

 

 

5,641,536

 

Net Increase in Net Assets Resulting from Operations

 

$

4,267,688

 

$

30,144,764

 

$

15,418,060

 

$

9,224,099

 


 

 

 

 

1

See Note 6 of the Notes to Financial Statements for details of short-term borrowings.


 

 

 

See Notes to Financial Statements.

 

 

 

104

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Core Bond Trust (BHK)

 

BlackRock Corporate
High Yield Fund V, Inc. (HYV)

 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

Six Months
Ended
February 29,
2012
(Unaudited)1

 

Year Ended
August 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

11,961,249

 

$

22,314,162

 

$

17,328,662

 

$

35,857,110

 

Net realized gain (loss)

 

 

7,775,819

 

 

(647,293

)

 

(6,343,356

)

 

14,918,241

 

Net change in unrealized appreciation/depreciation

 

 

11,408,534

 

 

(9,184,462

)

 

29,997,675

 

 

(12,682,377

)

Net increase in net assets resulting from operations

 

 

31,145,602

 

 

12,482,407

 

 

40,982,981

 

 

38,092,974

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(10,863,257

)

 

(23,726,515

)

 

(17,793,402

)

 

(35,008,792

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

 

 

 

 

298,872

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

20,282,345

 

 

(11,244,108

)

 

23,488,451

 

 

3,084,182

 

Beginning of period

 

 

372,295,457

 

 

383,539,565

 

 

385,687,429

 

 

382,603,247

 

End of period

 

$

392,577,802

 

$

372,295,457

 

$

409,175,880

 

$

385,687,429

 

Undistributed net investment income

 

$

4,582,677

 

$

3,484,685

 

$

2,332,739

 

$

2,797,479

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Corporate
High Yield Fund VI, Inc. (HYT)

 

BlackRock
High Income Shares (HIS)

 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
February 29,
2012
(Unaudited)1

 

Year Ended
August 31,
2011

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

17,710,609

 

$

37,473,827

 

$

5,402,074

 

$

10,833,774

 

Net realized gain (loss)

 

 

(7,502,885

)

 

14,913,681

 

 

(1,596,594

)

 

2,844,466

 

Net change in unrealized appreciation/depreciation

 

 

30,788,823

 

 

(13,209,144

)

 

6,028,389

 

 

(3,103,981

)

Net increase in net assets resulting from operations

 

 

40,996,547

 

 

39,178,364

 

 

9,833,869

 

 

10,574,259

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(18,464,091

)

 

(35,241,068

)

 

(6,347,498

)

 

(11,407,404

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

443,613

 

 

 

 

112,100

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

22,976,069

 

 

3,937,296

 

 

3,598,471

 

 

(833,145

)

Beginning of period

 

 

405,697,106

 

 

401,759,810

 

 

118,808,546

 

 

119,641,691

 

End of period

 

$

428,673,175

 

$

405,697,106

 

$

122,407,017

 

$

118,808,546

 

Undistributed net investment income

 

$

3,582,027

 

$

4,335,509

 

$

1,085,651

 

$

2,031,075

 


 

 

 

 

1

Consolidated Statement of Changes in Net Assets.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

105




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
High Yield Trust (BHY)

 

BlackRock Corporate
Income Opportunity Trust (BNA)

 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

1,637,215

 

$

3,268,780

 

$

11,540,456

 

$

21,766,357

 

Net realized gain (loss)

 

 

21,579

 

 

(862,713

)

 

6,707,856

 

 

2,874,735

 

Net change in unrealized appreciation/depreciation

 

 

2,608,894

 

 

1,613,207

 

 

11,896,452

 

 

(12,557,938

)

Net increase in net assets resulting from operations

 

 

4,267,688

 

 

4,019,274

 

 

30,144,764

 

 

12,083,154

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1,677,622

)

 

(3,278,764

)

 

(10,888,214

)

 

(22,287,310

)

Tax return of capital

 

 

 

 

(76,404

)

 

 

 

 

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(1,677,622

)

 

(3,355,168

)

 

(10,888,214

)

 

(22,287,310

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of dividends

 

 

5,245

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

2,595,311

 

 

664,106

 

 

19,256,550

 

 

(10,204,156

)

Beginning of period

 

 

43,644,238

 

 

42,980,132

 

 

371,175,320

 

 

381,379,476

 

End of period

 

$

46,239,549

 

$

43,644,238

 

$

390,431,870

 

$

371,175,320

 

Undistributed (distribution in excess of) net investment income

 

$

(147,925

)

$

(107,518

)

$

4,964,408

 

$

4,312,166

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Income Trust, Inc. (BKT)

 

BlackRock
Strategic Bond Trust (BHD)

 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

Year Ended
August 31,
2011

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

13,042,982

 

$

22,089,670

 

$

3,582,563

 

$

7,484,893

 

Net realized gain (loss)

 

 

2,918,655

 

 

(866,088

)

 

414,682

 

 

1,355,512

 

Net change in unrealized appreciation/depreciation

 

 

(543,577

)

 

13,053,505

 

 

5,226,854

 

 

(1,662,468

)

Net increase in net assets resulting from operations

 

 

15,418,060

 

 

34,277,087

 

 

9,224,099

 

 

7,177,937

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(14,770,728

)

 

(21,772,433

)

 

(4,072,697

)

 

(7,845,469

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets

 

 

647,332

 

 

12,504,654

 

 

5,151,402

 

 

(667,532

)

Beginning of period

 

 

508,764,507

 

 

496,259,853

 

 

95,126,639

 

 

95,794,171

 

End of period

 

$

509,411,839

 

$

508,764,507

 

$

100,278,041

 

$

95,126,639

 

Undistributed (distribution in excess of) net investment income

 

$

(1,761,219

)

$

(33,473

)

$

284,229

 

$

774,363

 


 

 

 

See Notes to Financial Statements.

 

 

 

106

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended February 29, 2012 (Unaudited)

 

BlackRock
Core Bond
Trust
(BHK)

 

BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)1

 

BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)1

 

BlackRock
High Income
Shares
(HIS)

 

Cash Provided by Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase in net assets resulting from operations

 

$

31,145,602

 

$

40,982,981

 

$

40,996,547

 

$

9,833,869

 

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Decrease in interest receivable

 

 

220,744

 

 

535,877

 

 

604,542

 

 

154,258

 

Decrease in swaps receivable

 

 

506,613

 

 

27,721

 

 

24,538

 

 

 

Increase in other assets

 

 

(3,053

)

 

(88,889

)

 

(91,377

)

 

(548

)

(Increase) decrease in prepaid expenses

 

 

(7,050

)

 

 

 

56,225

 

 

15,014

 

Decrease in commitment fees receivable

 

 

3,731

 

 

 

 

 

 

 

Decrease in dividends receivable — unaffiliated

 

 

10,384

 

 

1,220

 

 

847

 

 

6,506

 

Increase in margin variation receivable

 

 

 

 

(62,650

)

 

(66,850

)

 

(13,300

)

Decrease in dividends receivable — affiliated

 

 

266

 

 

392

 

 

382

 

 

72

 

Decrease in cash pledged as collateral for financial futures contracts

 

 

765,000

 

 

2,165,000

 

 

2,093,000

 

 

403,000

 

Decrease in cash pledged as collateral in connection with options written

 

 

 

 

906,360

 

 

952,770

 

 

 

Increase in cash pledged as collateral for swaps

 

 

(1,970,000

)

 

(400,000

)

 

(400,000

)

 

 

Increase in deferred income

 

 

 

 

95,256

 

 

100,158

 

 

29,350

 

Increase (decrease) in investment advisory fees payable

 

 

76,862

 

 

(12,599

)

 

(16,341

)

 

(7,033

)

Decrease in interest expense payable

 

 

(52,151

)

 

(9,851

)

 

(9,737

)

 

(27,998

)

Decrease in other liabilities

 

 

237,774

 

 

 

 

 

 

 

Increase (decrease) in other accrued expenses payable

 

 

(161,197

)

 

(12,858

)

 

133,706

 

 

(70,831

)

Decrease in margin variation payable

 

 

(199,470

)

 

(261,673

)

 

(356,378

)

 

(50,368

)

Decrease in swaps payable

 

 

(5,052

)

 

(487,229

)

 

(479,851

)

 

 

Increase (decrease) in Officer’s and Trustees’ fees payable

 

 

22,408

 

 

(91,058

)

 

14,419

 

 

557

 

Decrease in cash held as collateral for swaps

 

 

(700,000

)

 

 

 

 

 

 

Decrease in cash held as collateral for reverse repurchase agreements

 

 

(1,779,000

)

 

 

 

 

 

 

Net periodic and termination payments of swaps

 

 

532,656

 

 

522,466

 

 

552,734

 

 

 

Net realized and unrealized gain on investments

 

 

(15,677,801

)

 

(21,604,329

)

 

(22,023,004

)

 

(3,842,088

)

Amortization of premium and accretion of discount on investments

 

 

(1,466,113

)

 

21,333

 

 

(44,928

)

 

(298,485

)

Premiums received from options written

 

 

7,433,443

 

 

1,103,619

 

 

1,211,749

 

 

164,410

 

Proceeds from sales of long-term investments

 

 

964,225,749

 

 

133,773,077

 

 

140,473,378

 

 

40,639,408

 

Purchases of long-term investments

 

 

(986,486,045

)

 

(142,140,574

)

 

(148,638,714

)

 

(39,365,626

)

Proceeds from borrowed bond transactions

 

 

35,247,804

 

 

 

 

 

 

 

Payments for borrowed bond transactions

 

 

(20,160,584

)

 

 

 

 

 

 

Net proceeds from sales (purchases) of short-term securities

 

 

4,547,876

 

 

1,171,689

 

 

941,235

 

 

(18,364

)

Premiums paid on closing options written

 

 

(9,071,630

)

 

(904,284

)

 

(1,017,357

)

 

(61,155

)

Cash provided by operating activities

 

 

7,237,766

 

 

15,230,997

 

 

15,011,693

 

 

7,490,648

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Used for Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash receipts from borrowings

 

 

261,483,199

 

 

52,000,000

 

 

59,000,000

 

 

13,000,000

 

Cash payments on borrowings

 

 

(257,960,074

)

 

(50,000,000

)

 

(56,000,000

)

 

(14,000,000

)

Cash dividends paid

 

 

(10,861,837

)

 

(17,568,915

)

 

(18,115,490

)

 

(6,261,344

)

Decrease in bank overdraft

 

 

 

 

466,920

 

 

245,533

 

 

 

Cash used for financing activities

 

 

(7,338,712

)

 

(15,101,995

)

 

(14,869,957

)

 

(7,261,344

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Impact from Foreign Exchange Fluctuations

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash impact from foreign exchange fluctuations

 

 

(262

)

 

2,462

 

 

6,441

 

 

1,885

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and Foreign Currency

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase (decrease) in cash and foreign currency

 

 

(101,208

)

 

131,464

 

 

148,177

 

 

231,189

 

Cash and foreign currency at beginning of period

 

 

329,783

 

 

230,472

 

 

224,348

 

 

20,474

 

Cash and foreign currency at end of period

 

$

228,575

 

$

361,936

 

$

372,525

 

$

251,663

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash paid during the period for interest

 

$

150,216

 

$

585,354

 

$

589,200

 

$

151,289

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Noncash Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital shares issued in reinvestments of dividends

 

 

 

$

298,872

 

$

443,613

 

$

112,100

 


 

 

 

 

1

Consolidated Statement of Cash Flows.

 

 

 

 

 

A Statement of Cash Flows is presented when a Trust had a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to average total assets.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

107




 

 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended February 29, 2012 (Unaudited)

 

BlackRock
High Yield
Trust
(BHY)

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income Trust,
Inc.
(BKT)

 

BlackRock
Strategic
Bond Trust
(BHD)

 

Cash Provided by (Used for) Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase in net assets resulting from operations

 

$

4,267,688

 

$

30,144,764

 

$

15,418,060

 

$

9,224,099

 

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

(Increase) decrease in interest receivable

 

 

(70,677

)

 

280,944

 

 

82,014

 

 

59,606

 

(Increase) decrease in swaps receivable

 

 

226,581

 

 

541,534

 

 

(48,555

)

 

(1,254

)

Increase in other assets

 

 

(750

)

 

(9,877

)

 

(5,025

)

 

(473

)

Decrease in prepaid expenses

 

 

6,969

 

 

6,301

 

 

9,255

 

 

17,190

 

(Increase) decrease in dividends receivable — unaffiliated

 

 

678

 

 

 

 

336

 

 

(787

)

Increase in margin variation receivable

 

 

 

 

(44,549

)

 

(190,670

)

 

(2,211

)

Decrease in dividends receivable — affiliated

 

 

73

 

 

564

 

 

 

 

58

 

Increase in cash held as collateral for financial futures contracts

 

 

 

 

 

 

 

 

(21,000

)

(Increase) decrease in cash pledged as collateral for financial futures contracts

 

 

 

 

(418,000

)

 

705,000

 

 

 

Increase in cash pledged as collateral in connection with reverse

 

 

 

 

 

 

 

 

 

 

 

 

 

repurchase agreements

 

 

 

 

 

 

(330,000

)

 

 

Increase in cash pledged as collateral for swaps

 

 

 

 

(1,200,000

)

 

(1,760,000

)

 

 

Increase in deferred income

 

 

13,158

 

 

 

 

 

 

29,038

 

Decrease in cash held as collateral for swaps

 

 

 

 

 

 

600,000

 

 

 

Increase (decrease) in investment advisory fees payable

 

 

18,899

 

 

55,707

 

 

108,161

 

 

(3,573

)

Decrease in interest expense payable

 

 

(4,335

)

 

(45,887

)

 

(7,279

)

 

(1,494

)

Decrease in other affiliates payable

 

 

 

 

 

 

 

 

(2,056

)

Increase in other liabilities

 

 

 

 

1,169,558

 

 

 

 

 

Decrease in administration fees payable

 

 

(17,197

)

 

(62,081

)

 

(130,466

)

 

 

Decrease in other accrued expenses payable

 

 

(56,243

)

 

(379,763

)

 

(104,691

)

 

(80,137

)

Decrease in margin variation payable

 

 

 

 

(201,161

)

 

 

 

(6,188

)

Increase (decrease) in swaps payable

 

 

992

 

 

(36,683

)

 

28,358

 

 

(2,548

)

Increase in Officer’s and Trustees’ fees payable

 

 

920

 

 

6,505

 

 

5,096

 

 

2,105

 

Net periodic and termination payments of swaps

 

 

(66,568

)

 

279,384

 

 

(74,894

)

 

(24,363

)

Net realized and unrealized gain on investments

 

 

(2,415,100

)

 

(16,694,138

)

 

(7,244,561

)

 

(4,903,679

)

Amortization of premium and accretion of discount on investments

 

 

4,010

 

 

(178,613

)

 

3,829,752

 

 

1,629

 

Premiums received from options written

 

 

 

 

7,448,324

 

 

612,468

 

 

50,160

 

Proceeds from sales of long-term investments

 

 

12,364,219

 

 

955,015,224

 

 

1,860,412,652

 

 

27,579,825

 

Purchases of long-term investments

 

 

(18,038,274

)

 

(987,783,135

)

 

(1,791,501,250

)

 

(29,329,396

)

Proceeds from borrowed bond transactions

 

 

 

 

48,407,777

 

 

38,969,154

 

 

 

Payments for borrowed bond transactions

 

 

 

 

(30,839,360

)

 

(25,849,756

)

 

 

Net proceeds from sales (purchases) of short-term securities

 

 

(559,457

)

 

2,404,665

 

 

(8,589,512

)

 

582,875

 

Premiums paid on closing options written

 

 

 

 

(7,985,925

)

 

(254,183

)

 

 

Cash provided by (used for) operating activities

 

 

(4,324,414

)

 

(117,921

)

 

84,689,464

 

 

3,167,426

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Provided by (Used for) Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash receipts from borrowings

 

 

8,000,000

 

 

270,683,969

 

 

335,305,511

 

 

9,000,000

 

Cash payments on borrowings

 

 

(2,000,000

)

 

(259,588,369

)

 

(405,290,368

)

 

(8,000,000

)

Cash dividends paid

 

 

(1,674,220

)

 

(10,885,602

)

 

(14,739,949

)

 

(4,072,822

)

Decrease in bank overdraft

 

 

 

 

(3,771

)

 

 

 

 

Cash provided by (used for) financing activities

 

 

4,325,780

 

 

206,227

 

 

(84,724,806

)

 

(3,072,822

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Impact from Foreign Exchange Fluctuations

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash impact from foreign exchange fluctuations

 

 

14

 

 

(2,021

)

 

 

 

603

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and Foreign Currency

 

 

 

 

 

 

 

 

 

 

 

 

 

Net increase (decrease) in cash and foreign currency

 

 

1,380

 

 

86,285

 

 

(35,342

)

 

95,207

 

Cash and foreign currency at beginning of period

 

 

 

 

104,439

 

 

59,780

 

 

13,941

 

Cash and foreign currency at end of period

 

$

1,380

 

$

190,724

 

$

24,438

 

$

109,148

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash paid during the period for interest

 

$

31,073

 

$

141,689

 

$

205,336

 

$

1,494

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Noncash Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital shares issued in reinvestments of dividends

 

$

5,245

 

 

 

 

 

 

 


 

 

 

 

 

A Statement of Cash Flows is presented when a Trust had a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to average total assets.


 

 

 

See Notes to Financial Statements.

 

 

 

108

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Financial Highlights

BlackRock Core Bond Trust (BHK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

Year Ended
October 31,

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.78

 

$

14.19

 

$

12.56

 

$

12.81

 

$

13.63

 

$

13.82

 

$

14.27

 

Net investment income

 

 

0.44

1

 

0.83

1

 

0.87

1

 

0.80

1

 

0.50

1

 

0.74

 

 

0.66

 

Net realized and unrealized gain (loss)

 

 

0.71

 

 

(0.36

)

 

1.76

 

 

(0.28

)

 

(0.69

)

 

(0.13

)

 

0.11

 

Net increase (decrease) from investment operations

 

 

1.15

 

 

0.47

 

 

2.63

 

 

0.52

 

 

(0.19

)

 

0.61

 

 

0.77

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.40

)

 

(0.88

)

 

(1.00

)

 

(0.77

)

 

(0.61

)

 

(0.61

)

 

(0.93

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.29

)

Tax return of capital

 

 

 

 

 

 

 

 

 

 

(0.02

)

 

(0.19

)

 

 

Total dividends and distributions

 

 

(0.40

)

 

(0.88

)

 

(1.00

)

 

(0.77

)

 

(0.63

)

 

(0.80

)

 

(1.22

)

Net asset value, end of period

 

$

14.53

 

$

13.78

 

$

14.19

 

$

12.56

 

$

12.81

 

$

13.63

 

$

13.82

 

Market price, end of period

 

$

14.19

 

$

12.69

 

$

13.92

 

$

11.98

 

$

11.51

 

$

12.23

 

$

12.86

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

8.63

%3

 

4.02

%

 

22.44

%

 

5.28

%

 

(1.00

)%3

 

5.04

%

 

6.20

%

Based on market price

 

 

15.20

%3

 

(2.35

)%

 

25.93

%

 

11.76

%

 

(0.87

)%3

 

1.29

%

 

3.07

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

0.93

%4

 

1.02

%

 

1.18

%

 

1.06

%

 

2.29

%4

 

1.60

%

 

1.08

%

Total expenses after fees waived and paid indirectly

 

 

0.93

%4

 

1.02

%

 

1.18

%

 

1.06

%

 

2.29

%4

 

1.60

%

 

1.08

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.88

%4

 

0.93

%

 

0.95

%

 

0.83

%

 

0.89

%4

 

0.78

%

 

0.77

%

Net investment income

 

 

6.30

%4

 

6.05

%

 

6.62

%

 

7.09

%

 

4.55

%4

 

5.36

%

 

4.78

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

392,578

 

$

372,295

 

$

383,540

 

$

339,524

 

$

346,177

 

$

368,335

 

$

373,518

 

Borrowings outstanding, end of period (000)

 

$

157,136

 

$

152,301

 

$

168,938

 

$

74,572

 

$

107,690

 

$

103,354

 

$

3,911

 

Average borrowings outstanding, during the period (000)

 

$

123,070

 

$

151,080

 

$

162,760

 

$

73,467

 

$

134,784

 

$

44,786

 

$

25,340

 

Portfolio turnover

 

 

188

%5

 

824

%6

 

641

%7

 

315

%8

 

598

%9

 

122

%

 

88

%

Asset coverage, end of period per $1,000

 

$

3,498

 

$

3,444

 

$

3,270

 

$

5,553

 

$

4,215

 

$

4,564

 

$

96,502

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.

 

 

 

 

5

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 139%.

 

 

 

 

6

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 544%.

 

 

 

 

7

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 534%.

 

 

 

 

8

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%.

 

 

 

 

9

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 337%.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

109




 

 

 

 

Financial Highlights

BlackRock Corporate High Yield Fund V, Inc. (HYV)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

11.71

 

$

11.61

 

$

9.71

 

$

11.94

 

$

13.83

 

$

14.10

 

Net investment income2

 

 

0.53

 

 

1.09

 

 

1.06

 

 

1.07

 

 

1.18

 

 

1.20

 

Net realized and unrealized gain (loss)

 

 

0.71

 

 

0.07

 

 

1.86

 

 

(2.10

)

 

(1.85

)

 

(0.33

)

Net increase (decrease) from investment operations

 

 

1.24

 

 

1.16

 

 

2.92

 

 

(1.03

)

 

(0.67

)

 

0.87

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.54

)

 

(1.06

)

 

(1.02

)

 

(1.20

)

 

(1.17

)

 

(1.14

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.05

)

 

 

Total dividends and distributions

 

 

(0.54

)

 

(1.06

)

 

(1.02

)

 

(1.20

)

 

(1.22

)

 

(1.14

)

Net asset value, end of period

 

$

12.41

 

$

11.71

 

$

11.61

 

$

9.71

 

$

11.94

 

$

13.83

 

Market price, end of period

 

$

12.88

 

$

11.55

 

$

11.40

 

$

9.32

 

$

10.15

 

$

12.24

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

11.05

%4

 

10.29

%

 

31.40

%

 

(3.83

)%

 

(3.99

)%

 

6.76

%

Based on market price

 

 

16.85

%4

 

10.79

%

 

34.42

%

 

8.59

%

 

(7.78

)%

 

4.00

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.34

%5

 

1.34

%

 

1.26

%

 

1.84

%

 

2.11

%

 

3.20

%

Total expenses after fees waived and paid indirectly

 

 

1.34

%5

 

1.34

%

 

1.26

%

 

1.84

%

 

2.11

%

 

3.20

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.04

%5

 

1.02

%

 

0.99

%

 

1.16

%

 

0.97

%

 

0.99

%

Net investment income

 

 

9.06

%5

 

8.82

%

 

9.52

%

 

13.00

%

 

9.16

%

 

8.23

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

409,176

 

$

385,687

 

$

382,603

 

$

320,045

 

$

393,389

 

$

455,710

 

Borrowings outstanding, end of period (000)

 

$

131,000

 

$

129,000

 

$

92,000

 

$

54,000

 

$

94,700

 

$

127,700

 

Average borrowings outstanding, during the period (000)

 

$

120,489

 

$

119,652

 

$

79,427

 

$

65,403

 

$

106,140

 

$

188,373

 

Portfolio turnover

 

 

29

%

 

87

%

 

90

%

 

65

%

 

46

%

 

51

%

Asset coverage, end of period per $1,000

 

$

4,123

 

$

3,990

 

$

5,159

 

$

6,927

 

$

5,154

 

$

4,569

 


 

 

 

 

1

Consolidated Financial Highlights.

 

 

2

Based on average shares outstanding.

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

4

Aggregate total investment return.

 

 

5

Annualized.


 

 

 

See Notes to Financial Statements.

 

 

 

110

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Financial Highlights

BlackRock Corporate High Yield Fund VI, Inc. (HYT)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 

2011

 

2010

 

2009

 

2008

 

2007

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

11.49

 

$

11.38

 

$

9.68

 

$

11.89

 

$

13.81

 

$

14.12

 

Net investment income2

 

 

0.50

 

 

1.06

 

 

1.05

 

 

1.05

 

 

1.16

 

 

1.18

 

Net realized and unrealized gain (loss)

 

 

0.66

 

 

0.05

 

 

1.67

 

 

(2.07

)

 

(1.87

)

 

(0.39

)

Net increase (decrease) from investment operations

 

 

1.16

 

 

1.11

 

 

2.72

 

 

(1.02

)

 

(0.71

)

 

0.79

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.52

)

 

(1.00

)

 

(1.02

)

 

(1.19

)

 

(1.21

)

 

(1.10

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

 

Total dividends and distributions

 

 

(0.52

)

 

(1.00

)

 

(1.02

)

 

(1.19

)

 

(1.21

)

 

(1.10

)

Net asset value, end of period

 

$

12.13

 

$

11.49

 

$

11.38

 

$

9.68

 

$

11.89

 

$

13.81

 

Market price, end of period

 

$

12.44

 

$

11.21

 

$

11.19

 

$

9.47

 

$

10.14

 

$

12.15

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

10.55

%4

 

9.95

%

 

29.26

%

 

(4.03

)%

 

(4.30

)%

 

6.29

%

Based on market price

 

 

16.21

%4

 

9.09

%

 

29.92

%

 

10.09

%

 

(7.24

)%

 

5.80

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.53

%5

 

1.41

%

 

1.34

%

 

2.01

%

 

2.24

%

 

3.35

%

Total expenses after fees waived and paid indirectly

 

 

1.53

%5

 

1.41

%

 

1.34

%

 

2.01

%

 

2.24

%

 

3.35

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.24

%5

 

1.12

%

 

1.09

%

 

1.28

%

 

1.10

%

 

1.12

%

Net investment income

 

 

8.81

%5

 

8.80

%

 

9.52

%

 

12.82

%

 

9.02

%

 

8.03

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

428,673

 

$

405,697

 

$

401,760

 

$

341,415

 

$

419,502

 

$

487,251

 

Borrowings outstanding, end of period (000)

 

$

133,000

 

$

130,000

 

$

89,000

 

$

58,000

 

$

110,900

 

$

135,900

 

Average borrowings outstanding, during the period (000)

 

$

121,319

 

$

115,512

 

$

76,356

 

$

73,784

 

$

113,996

 

$

202,705

 

Portfolio turnover

 

 

29

%

 

87

%

 

85

%

 

60

%

 

45

%

 

51

%

Asset coverage, end of period per $1,000

 

$

4,223

 

$

4,121

 

$

5,514

 

$

6,886

 

$

4,783

 

$

4,585

 


 

 

 

 

1

Consolidated Financial Highlights.

 

 

 

 

2

Based on average shares outstanding.

 

 

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Annualized.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

111




 

 

 

 

Financial Highlights

BlackRock High Income Shares (HIS)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

Period
January 1,
2008 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

Year Ended
December 31,

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

2.18

 

$

2.19

 

$

1.85

 

$

2.23

 

$

2.47

 

$

2.68

 

$

2.61

 

Net investment income

 

 

0.09

1

 

0.20

1

 

0.20

1

 

0.19

1

 

0.15

1

 

0.24

 

 

0.22

 

Net realized and unrealized gain (loss)

 

 

0.09

 

 

 

 

0.31

 

 

(0.36

)

 

(0.26

)

 

(0.21

)

 

0.08

 

Net increase (decrease) from investment operations

 

 

0.18

 

 

0.20

 

 

0.51

 

 

(0.17

)

 

(0.11

)

 

0.03

 

 

0.30

 

Dividends from net investment income

 

 

(0.12

)

 

(0.21

)

 

(0.17

)

 

(0.21

)

 

(0.13

)

 

(0.24

)

 

(0.23

)

Net asset value, end of period

 

$

2.24

 

$

2.18

 

$

2.19

 

$

1.85

 

$

2.23

 

$

2.47

 

$

2.68

 

Market price, end of period

 

$

2.32

 

$

2.10

 

$

2.09

 

$

1.68

 

$

1.88

 

$

2.14

 

$

2.55

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

8.54

%3

 

9.56

%

 

28.95

%

 

(3.01

)%

 

(4.00

)%3

 

1.58

%

 

12.32

%

Based on market price

 

 

16.70

%3

 

10.59

%

 

35.52

%

 

4.47

%

 

(6.59

)%3

 

(7.51

)%

 

19.70

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.45

%4

 

1.49

%

 

1.49

%

 

2.01

%

 

1.98

%4

 

3.56

%

 

3.78

%

Total expenses after fees waived and paid indirectly

 

 

1.45

%4

 

1.49

%

 

1.49

%

 

2.01

%

 

1.98

%4

 

3.55

%

 

3.77

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.24

%4

 

1.25

%

 

1.27

%

 

1.41

%

 

1.05

%4

 

1.27

%

 

1.34

%

Net investment income

 

 

9.20

%4

 

8.66

%

 

9.34

%

 

12.06

%

 

9.52

%4

 

8.89

%

 

8.42

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

122,407

 

$

118,809

 

$

119,642

 

$

100,921

 

$

121,808

 

$

135,098

 

$

146,538

 

Borrowings outstanding, end of period (000)

 

$

28,000

 

$

29,000

 

$

25,000

 

$

18,000

 

$

27,000

 

$

46,000

 

$

62,000

 

Average borrowings outstanding, during the period (000)

 

$

25,830

 

$

26,729

 

$

21,027

 

$

21,220

 

$

27,069

 

$

55,868

 

$

62,838

 

Portfolio turnover

 

 

30

%

 

90

%

 

85

%

 

55

%

 

25

%

 

69

%

 

83

%

Asset coverage, end of period per $1,000

 

$

5,372

 

$

5,097

 

$

5,786

 

$

6,607

 

$

5,512

 

$

3,937

 

$

3,364

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


 

 

 

See Notes to Financial Statements.

 

 

 

112

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Financial Highlights

BlackRock High Yield Trust (BHY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
October 31,

 

 

 

 

Year Ended August 31,

 

 

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

6.79

 

$

6.69

 

$

5.78

 

$

6.84

 

$

7.91

 

$

7.85

 

$

7.48

 

Net investment income

 

 

0.25

1

 

0.51

1

 

0.51

1

 

0.51

1

 

0.50

1

 

0.63

 

 

0.66

 

Net realized and unrealized gain (loss)

 

 

0.41

 

 

0.11

 

 

0.92

 

 

(1.00

)

 

(1.06

)

 

0.04

 

 

0.36

 

Net increase (decrease) from investment operations

 

 

0.66

 

 

0.62

 

 

1.43

 

 

(0.49

)

 

(0.56

)

 

0.67

 

 

1.02

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.26

)

 

(0.51

)

 

(0.50

)

 

(0.55

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

Tax return of capital

 

 

 

 

(0.01

)

 

(0.02

)

 

(0.02

)

 

 

 

 

 

 

Total dividends and distributions

 

 

(0.26

)

 

(0.52

)

 

(0.52

)

 

(0.57

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

Net asset value, end of period

 

$

7.19

 

$

6.79

 

$

6.69

 

$

5.78

 

$

6.84

 

$

7.91

 

$

7.85

 

Market price, end of period

 

$

7.21

 

$

6.60

 

$

6.44

 

$

5.84

 

$

5.96

 

$

6.92

 

$

7.77

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

10.07

%3

 

9.66

%

 

25.70

%

 

(5.30

)%

 

(6.47

)%3

 

9.03

%

 

14.25

%

Based on market price

 

 

13.56

%3

 

10.73

%

 

19.76

%

 

9.81

%

 

(6.85

)%3

 

(3.63

)%

 

14.93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.68

%4

 

2.04

%

 

2.10

%

 

2.61

%

 

2.61

%4

 

4.16

%

 

4.50

%

Total expenses after fees waived and paid indirectly

 

 

1.68

%4

 

2.04

%

 

2.10

%

 

2.61

%

 

2.61

%4

 

4.14

%

 

4.49

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.55

%4

 

1.85

%

 

1.91

%

 

2.16

%

 

1.77

%4

 

2.10

%

 

2.19

%

Net investment income

 

 

7.53

%4

 

7.18

%

 

7.89

%

 

10.22

%

 

8.34

%4

 

7.84

%

 

8.74

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets end of period (000)

 

$

46,240

 

$

43,644

 

$

42,980

 

$

37,137

 

$

43,897

 

$

50,782

 

$

50,385

 

Borrowings outstanding, end of period (000)

 

$

12,000

 

$

6,000

 

$

8,000

 

$

4,000

 

$

6,250

 

$

9,250

 

$

20,250

 

Average borrowings outstanding, during the period (000)

 

$

5,599

 

$

7,427

 

$

6,427

 

$

5,223

 

$

7,443

 

$

17,710

 

$

20,621

 

Portfolio turnover

 

 

28

%

 

81

%

 

80

%

 

54

%

 

34

%

 

69

%

 

85

%

Asset coverage, end of period per $1,000

 

$

4,853

 

$

8,274

 

$

6,373

 

$

10,284

 

$

8,023

 

$

6,490

 

$

3,488

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

113




 

 

 

 

Financial Highlights

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
October 31,

 

 

 

 

Year Ended August 31,

 

 

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

10.77

 

$

11.07

 

$

10.02

 

$

10.35

 

$

11.02

 

$

11.17

 

$

11.56

 

Net investment income

 

 

0.33

1

 

0.63

1

 

0.59

1

 

0.59

1

 

0.53

1

 

0.62

 

 

0.57

 

Net realized and unrealized gain (loss)

 

 

0.55

 

 

(0.28

)

 

1.25

 

 

(0.31

)

 

(0.69

)

 

(0.11

)

 

0.01

 

Net increase (decrease) from investment operations

 

 

0.88

 

 

0.35

 

 

1.84

 

 

0.28

 

 

(0.16

)

 

0.51

 

 

0.58

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.32

)

 

(0.65

)

 

(0.79

)

 

(0.61

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.26

)

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 

 

(0.05

)

 

(0.06

)

Total dividends and distributions

 

 

(0.32

)

 

(0.65

)

 

(0.79

)

 

(0.61

)

 

(0.51

)

 

(0.66

)

 

(0.97

)

Net asset value, end of period

 

$

11.33

 

$

10.77

 

$

11.07

 

$

10.02

 

$

10.35

 

$

11.02

 

$

11.17

 

Market price, end of period

 

$

10.78

 

$

9.85

 

$

10.56

 

$

9.65

 

$

9.82

 

$

10.19

 

$

10.58

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

8.48

%3

 

3.91

%

 

19.83

%

 

3.90

%

 

(1.07

)%3

 

5.11

%

 

5.76

%

Based on market price

 

 

12.86

%3

 

(0.37

)%

 

18.69

%

 

5.46

%

 

1.51

%3

 

2.62

%

 

6.27

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

0.89

%4

 

0.95

%

 

1.09

%

 

0.95

%

 

2.25

%4

 

2.01

%

 

1.61

%

Total expenses after fees waived and paid indirectly

 

 

0.89

%4

 

0.95

%

 

1.09

%

 

0.95

%

 

2.25

%4

 

2.00

%

 

1.61

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.84

%4

 

0.85

%

 

0.86

%

 

0.85

%

 

0.83

%4

 

0.87

%

 

0.89

%

Net investment income

 

 

6.11

%4

 

5.94

%

 

5.81

%

 

6.45

%

 

5.89

%4

 

5.68

%

 

5.11

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets end of period (000)

 

$

390,432

 

$

371,175

 

$

381,379

 

$

345,101

 

$

356,456

 

$

379,605

 

$

384,850

 

Borrowings outstanding, end of period (000)

 

$

165,979

 

$

154,883

 

$

157,776

 

$

77,474

 

$

100,740

 

$

105,262

 

$

34,326

 

Average borrowings outstanding, during the period (000)

 

$

131,122

 

$

148,617

 

$

151,700

 

$

49,573

 

$

131,462

 

$

68,241

 

$

59,691

 

Portfolio turnover

 

 

186

%5

 

774

%6

 

720

%7

 

270

%8

 

44

%9

 

196

%

 

131

%

Asset coverage, end of period per $1,000

 

$

3,352

 

$

3,396

 

$

3,417

 

$

5,454

 

$

4,538

 

$

4,606

 

$

12,212

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.

 

 

 

 

5

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 136%.

 

 

 

 

6

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 492%.

 

 

 

 

7

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 608%.

 

 

 

 

8

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 165%.

 

 

 

 

9

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 168%.


 

 

 

See Notes to Financial Statements.

 

 

 

114

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

 

 

Financial Highlights

BlackRock Income Trust, Inc. (BKT)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
October 31,

 

 

 

 

Year Ended August 31,

 

 

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

7.96

 

$

7.76

 

$

7.12

 

$

6.94

 

$

6.53

 

$

6.48

 

$

6.54

 

Net investment income

 

 

0.20

1

 

0.35

1

 

0.20

1

 

0.28

1

 

0.26

1

 

0.30

 

 

0.32

 

Net realized and unrealized gain

 

 

0.04

 

 

0.19

 

 

0.73

 

 

0.19

 

 

0.40

 

 

0.12

 

 

0.05

 

Net increase (decrease) from investment operations

 

 

0.24

 

 

0.54

 

 

0.93

 

 

0.47

 

 

0.66

 

 

0.42

 

 

0.37

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.23

)

 

(0.34

)

 

(0.26

)

 

(0.29

)

 

(0.25

)

 

(0.29

)

 

(0.34

)

Net realized gain

 

 

 

 

 

 

(0.03

)

 

 

 

 

 

 

 

 

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 

 

(0.08

)

 

(0.09

)

Total dividends and distributions

 

 

(0.23

)

 

(0.34

)

 

(0.29

)

 

(0.29

)

 

(0.25

)

 

(0.37

)

 

(0.43

)

Net asset value, end of period

 

$

7.97

 

$

7.96

 

$

7.76

 

$

7.12

 

$

6.94

 

$

6.53

 

$

6.48

 

Market price, end of period

 

$

7.55

 

$

7.18

 

$

6.95

 

$

6.53

 

$

6.07

 

$

5.81

 

$

6.07

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

3.29

%3

 

7.70

%

 

13.86

%

 

7.64

%

 

10.82

%3

 

7.06

%

 

6.06

%

Based on market price

 

 

8.48

%3

 

8.47

%

 

11.19

%

 

12.87

%

 

8.94

%3

 

1.69

%

 

10.18

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.01

%4

 

1.06

%

 

1.05

%

 

1.09

%

 

1.63

%4

 

2.77

%

 

2.85

%

Total expenses after fees waived and before fees paid indirectly

 

 

1.01

%4

 

1.05

%

 

1.02

%

 

1.08

%

 

1.63

%4

 

2.77

%

 

2.85

%

Total expenses after fees waived and paid indirectly

 

 

1.01

%4

 

1.05

%

 

1.02

%

 

1.08

%

 

1.63

%4

 

2.76

%

 

2.84

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.93

%4

 

0.94

%

 

0.92

%

 

0.93

%

 

0.91

%4

 

0.98

%

 

1.00

%

Net investment income

 

 

5.13

%4

 

4.43

%

 

2.72

%

 

4.09

%

 

4.67

%4

 

4.60

%

 

4.92

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

509,412

 

$

508,765

 

$

496,260

 

$

455,529

 

$

444,054

 

$

417,651

 

$

414,460

 

Borrowings outstanding, end of period (000)

 

$

163,692

 

$

233,676

 

$

106,985

 

$

11,815

 

 

 

$

33,895

 

$

70,691

 

Average borrowings outstanding, during the period (000)

 

$

203,760

 

$

116,771

 

$

23,316

 

$

537

 

$

61,777

 

$

93,325

 

$

104,393

 

Portfolio turnover

 

 

222

%5

 

899

%6

 

883

%7

 

700

%8

 

263

%9

 

250

%

 

80

%

Asset coverage, end of period per $1,000

 

$

4,112

 

$

3,177

 

$

5,639

 

$

39,555

 

 

 

$

13,322

 

$

6,863

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.

 

 

 

 

5

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 89%.

 

 

 

 

6

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 387%.

 

 

 

 

7

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 207%.

 

 

 

 

8

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%.

 

 

 

 

9

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 0%.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

115




 

 

 

 

Financial Highlights

BlackRock Strategic Bond Trust (BHD)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012
(Unaudited)

 

 

 

 

 

 

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
October 31,

 

 

 

 

Year Ended August 31,

 

 

 

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.48

 

$

13.57

 

$

12.12

 

$

12.76

 

$

13.80

 

$

13.83

 

$

13.68

 

Net investment income

 

 

0.51

1

 

1.06

1

 

1.01

1

 

0.93

1

 

0.76

1

 

0.95

 

 

0.99

 

Net realized and unrealized gain (loss)

 

 

0.87

 

 

(0.04

)

 

1.35

 

 

(0.69

)

 

(1.03

)

 

(0.06

)

 

0.18

 

Net increase (decrease) from investment operations

 

 

1.38

 

 

1.02

 

 

2.36

 

 

0.24

 

 

(0.27

)

 

0.89

 

 

1.17

 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.65

)

 

(1.11

)

 

(0.91

)

 

(0.88

)

 

(0.77

)

 

(0.92

)

 

(0.98

)

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(0.04

)

Total dividends and distributions

 

 

(0.65

)

 

(1.11

)

 

(0.91

)

 

(0.88

)

 

(0.77

)

 

(0.92

)

 

(1.02

)

Net asset value, end of period

 

$

14.21

 

$

13.48

 

$

13.57

 

$

12.12

 

$

12.76

 

$

13.80

 

$

13.83

 

Market price, end of period

 

$

13.87

 

$

12.93

 

$

13.17

 

$

11.43

 

$

10.85

 

$

11.88

 

$

12.85

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

10.13

%3

 

8.09

%

 

20.38

%

 

3.99

%

 

(1.19

)%3

 

7.26

%

 

9.58

%

Based on market price

 

 

12.07

%3

 

6.83

%

 

23.88

%

 

15.34

%

 

(2.40

)%3

 

(0.62

)%

 

11.87

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses

 

 

1.46

%4

 

1.52

%

 

1.13

%

 

1.00

%

 

0.93

%4

 

1.45

%

 

2.25

%

Total expenses after fees waived and before fees paid indirectly

 

 

1.46

%4

 

1.51

%

 

1.11

%

 

0.92

%

 

0.82

%4

 

1.27

%

 

2.25

%

Total expenses after fees waived and paid indirectly

 

 

1.46

%4

 

1.51

%

 

1.11

%

 

0.92

%

 

0.82

%4

 

1.27

%

 

2.00

%

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.24

%4

 

1.26

%

 

1.04

%

 

0.92

%

 

0.81

%4

 

0.87

%

 

0.94

%

Net investment income

 

 

7.54

%4

 

7.59

%

 

7.77

%

 

8.67

%

 

6.85

%4

 

6.86

%

 

7.26

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

100,278

 

$

95,127

 

$

95,794

 

$

85,581

 

$

90,092

 

$

97,410

 

$

97,614

 

Borrowings outstanding, end of period (000)

 

$

25,000

 

$

24,000

 

$

12,000

 

 

 

$

1,571

 

$

413

 

$

14,951

 

Average borrowings outstanding during the period (000)

 

$

22,264

 

$

22,696

 

$

5,701

 

$

303

 

$

391

 

$

7,240

 

$

21,104

 

Portfolio turnover

 

 

26

%

 

72

%

 

83

%

 

61

%

 

27

%

 

34

%

 

56

%

Asset coverage, end of period per $1,000

 

$

5,011

 

$

4,964

 

$

8,983

 

 

 

$

58,347

 

$

236,789

 

$

7,529

 


 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


 

 

 

See Notes to Financial Statements.

 

 

 

116

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Financial Statements (Unaudited)

1. Organization and Significant Accounting Policies:

BlackRock Core Bond Trust (“BHK”), BlackRock Corporate High Yield Fund V, Inc. (“HYV”), BlackRock Corporate High Yield Fund VI, Inc. (“HYT”), BlackRock High Income Shares (“HIS”), BlackRock High Yield Trust (“BHY”), BlackRock Income Opportunity Trust, Inc. (“BNA”), BlackRock Income Trust, Inc. (“BKT”) and BlackRock Strategic Bond Trust (“BHD”) (collectively, the “Trusts”) are registered under the 1940 Act, as diversified, closed-end management investment companies. HYV, HYT, BNA and BKT are organized as Maryland corporations. BHK, BHY and BHD are organized as Delaware statutory trusts. HIS is organized as a Massachusetts business trust. The Trusts’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Boards of Directors and the Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees.” The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Trusts:

Basis of Consolidation: The accompanying consolidated financial statements include the accounts of BLK HYV (Luxembourg) Investments, S.a.r.l. and BLK HYT (Luxembourg) Investments, S.a.r.l. (the “Taxable Subsidiaries”), a wholly owned taxable subsidiary of each Trust which holds shares of private Canadian companies. Such shares are held in the Taxable Subsidiaries in order to realize benefits under the Double Tax Avoidance Convention between Canada and Luxembourg, the result of which is gains on the sale of such shares will not be subject to capital gains taxes in Canada. Income earned on the investments held by the Taxable Subsidiary may be taxable to such subsidiaries in Luxembourg. An income tax provision for all income, including realized and unrealized gains, if any, is reflected as either a reduction in investment income or as a component of realized and unrealized gain (loss) on the Consolidated Statements of Operations. The Trusts may invest up to 25% of their total assets in the Taxable Subsidiary. Intercompany accounts and transactions have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to the Trusts.

Valuation: US GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts fair value their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The Trusts value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security.

Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and swaptions are valued by an independent pricing, service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that application of these methods of valuation results in a price for an investment, which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair

 

 

 

 

 

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value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Trust’s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board.

Foreign Currency Transactions: The Trusts’ books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Trusts’ investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.

The Trusts do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated on the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. The Trusts report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Asset-Backed and Mortgage-Backed Securities: Certain Trusts may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If the Trust has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

Certain Trusts may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through Certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.

Collateralized Debt Obligations: Certain Trusts may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is a bankruptcy remote entity which is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Certain Trusts may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, US government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since

 

 

 

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this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Trust may not fully recoup its initial investment in IOs.

Stripped Mortgage-Backed Securities: Certain Trusts may invest in stripped mortgage-backed securities issued by the US government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Certain Trusts also may invest in stripped mortgage-backed securities that are privately issued.

Zero-Coupon Bonds: Certain Trusts may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Capital Trusts: Certain Trusts may invest in capital trusts. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities.

Preferred Stock: Certain Trusts may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loan Interests: Certain Trusts may invest in floating rate loan interests. The floating rate loan interests the Trusts hold are typically issued to companies (the “borrower”) by banks, other financial institutions, and privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Trusts may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as LIBOR (London Interbank Offered Rate), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Trusts consider these investments to be investments in debt securities for purposes of their investment policies.

When a Trust purchases a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Trusts may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Trusts upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Trusts may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. The Trusts may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in the Trusts having a contractual relationship only with the lender, not with the borrower. The Trusts will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Trusts generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Trusts may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Trusts will assume the credit risk of both the borrower and the lender that is selling the Participation. The Trusts’ investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Trusts may be treated as general creditors of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Trusts having a direct contractual relationship with the borrower, and the Trusts may enforce compliance by the borrower with the terms of the loan agreement.

Borrowed Bond Agreements: Certain Trusts may enter into borrowed bond agreements. In a borrowed bond agreement, the Trusts borrow a bond from a counterparty in exchange for cash collateral with the commitment that the security and the cash will be returned to the counterparty and the Trusts, respectively, at a mutually agreed upon rate and date. Certain agreements have no stated maturity and can be terminated by either party at any time. Borrowed bond agreements are entered into primarily in connection with

 

 

 

 

 

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short sales of bonds. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between the Trusts and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. Full realization of the collateral by the Trusts may be limited if the value of an investment purchased with the cash collateral by the lender decreases. The Trusts may also experience delays in gaining access to the collateral.

Short Sales: Certain Trusts may enter into short sale transactions in which the Trusts sell a security it does not hold in anticipation of a decline in the market price of that security. When a Trust makes a short sale, it will borrow the security sold short (borrowed bond) and deliver it to the counterparty to which it sold the security short. An amount equal to the proceeds received by the Trusts is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Trusts are required to repay the counterparty any interest received on the security sold short, which is shown as interest expense in the Statements of Operations. The Trusts may pay a fee on the assets borrowed from the counterparty, which is shown as stock loan fees in the Statements of Operations. The Trusts maintain a segregated account of securities or deposits cash with the broker-dealer as collateral for the short sales. The Trusts may receive interest on their cash collateral deposited with the broker-dealer. The Trusts are exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of a theoretically unlimited loss since there is a theoretically unlimited potential for the market price of the security sold short to increase. A gain, limited to the price at which the Trusts sold the security short, or a loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the market price is greater or less than the proceeds originally received. There is no assurance the Trusts will be able to close out a short position at a particular time or at an acceptable price.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. Certain Trusts may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

TBA Commitments: Certain Trusts may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Trusts generally enter into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.

Mortgage Dollar Roll Transactions: Certain Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Trusts will not be entitled to receive interest and principal payments on the securities sold. The Trusts account for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. These transactions may increase the Trusts’ portfolio turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Trusts are required to purchase may decline below the agreed upon repurchase price of those securities.

Treasury Roll Transactions: Certain Trusts may enter into treasury roll transactions. In a treasury roll transaction the Trusts sell a Treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. The Trusts receive cash from the sale of the Treasury security to use for other investment purposes. The difference between the sale price and repurchase price represents net interest income or net interest expense reflective of an agreed upon rate between the Trusts and the counterparty over the term of the borrowing. For US GAAP purposes, a treasury roll transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, interest income from the Treasury security and the related interest expense on the secured borrowing is recorded by the Trusts on an accrual basis. The Trusts will benefit from the transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense incurred by the Trusts. If the interest expense exceeds the income earned, the Trusts’ net investment income and dividends to shareholders may be adversely impacted. Treasury roll transactions involve the risk that the market value of the securities that the Trusts are required to repurchase may decline below the agreed upon repurchase price of those securities.

Reverse Repurchase Agreements: Certain Trusts may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Trusts sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Trusts may utilize

 

 

 

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reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Trusts are obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Trusts’ use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Trusts’ obligation to repurchase the securities.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Trusts either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, foreign currency exchange contracts, swaps, short sales and options written), or certain borrowings (e.g., reverse repurchase agreements and treasury roll transactions), the Trusts will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statements of Operations.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.

Income Taxes: It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on BHK, HIS, BHY, BNA, BKT and BHD’s US federal tax returns remain open for each of the three years ended August 31, 2011 and for the period ended August 31, 2008. The statutes of limitations on HYV and HYT’s tax returns remain open for each of the four years ended August 31, 2011. The statutes of limitations on the Trusts’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standards: In May 2011, the Financial Accounting Standards Board (the “FASB”) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Trusts’ financial statement disclosures.

In December 2011, the FASB issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financials instruments subject to master netting or similar agreements which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Trusts’ financial statement disclosures.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has approximately the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust. Each Trust may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees in order to match its deferred compensation obligations. Investments to cover each Trust’s deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from

 

 

 

 

 

 

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the BlackRock Closed-End Fund investments under the plan are included in dividends — affiliated in the Statements of Operations.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk or other risk (inflation risk). These contracts may be transacted on an exchange or OTC.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Trusts’ maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Trusts bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counterparty fail to perform under the contracts. Options written by the Trusts do not give rise to counterparty credit risk, as options written obligate the Trusts to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

The Trusts may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (“ISDA Master Agreement”) implemented between a Trust and each of its respective counterparties. An ISDA Master Agreement allows each Trust to offset with each separate counterparty certain derivative financial instrument’s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Trusts from their counterparties are not fully collateralized contractually or otherwise, the Trusts bear the risk of loss from counterparty non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices. In addition, the Trusts manage counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Trusts’ net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements, which would cause the Trusts to accelerate payment of any net liability owed to the counterparty.

Financial Futures Contracts: The Trusts purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk) or in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Trusts and the counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Trusts as unrealized appreciation or depreciation. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

Foreign Currency Exchange Contracts: The Trusts enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Trust as an unrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.

Options: The Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk and/or interest rate risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Trusts purchase (write) an option, an amount equal to the premium paid (received) by the Trusts is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Trust enters into a closing transaction), the Trusts realize a gain or loss

 

 

 

 

122

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Financial Statements (continued)

on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Trusts write a call option, such option is “covered,” meaning that the Trusts hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

Options on swaps (swaptions) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

The Trusts also purchase or sell listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold. Such transactions may be effected with respect to hedges on non-US dollar denominated instruments owned by the Trusts but not yet delivered, or committed or anticipated to be purchased by the Trusts.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Trusts may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security at a price different from the current market value.

Swaps: The Trusts enter into swap agreements, in which the Trusts and a counterparty agree to either make periodic net payments on a specified notional amount or net payment upon termination. These payments received or made by the Trusts are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Trusts will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

 

 

Credit default swaps — The Trusts enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Trusts enter into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Trusts will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

 

Total return swaps — The Trusts enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trusts will receive a payment from or make a payment to the counterparty.

 

 

Interest rate swaps — The Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time.


 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

123




 

 

Notes to Financial Statements (continued)

Derivative Financial Instruments Categorized by Risk Exposure:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Values of Derivative Financial Instruments as of February 29, 2012

 

 

 

Asset Derivatives

 

 

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

 

 

Statements of Assets and
Liabilities Location

 

Value

 

Interest rate contracts

 

Net unrealized appreciation/depreciation1; Unrealized appreciation on swaps; Investments at value — unaffiliated2

 

$

530,376

 

 

 

 

 

 

 

 

 

$

647,019

 

$

46,616,117

 

$

84,885

 

Foreign currency exchange contracts

 

Unrealized appreciation on foreign currency exchange contracts; Investments at value — unaffiliated2

 

 

236,289

 

$

8,857

 

$

7,223

 

 

 

$

407

 

 

235,206

 

 

 

 

628

 

Credit contracts

 

Unrealized appreciation on swaps; Investments at value — unaffiliated2

 

 

682,111

 

 

643,176

 

 

662,856

 

 

 

 

191,926

 

 

683,504

 

 

 

 

85,945

 

Equity contracts

 

Net unrealized appreciation/depreciation1; Investments at value — unaffiliated2

 

 

 

 

305,250

 

 

316,130

 

$

87,545

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

1,448,776

 

$

957,283

 

$

986,209

 

$

87,545

 

$

192,333

 

$

1,565,729

 

$

46,616,117

 

$

171,458

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liability Derivatives

 

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

 

 

Statements of Assets and
Liabilities Location

 

Value

 

Interest rate contracts

 

Net unrealized appreciation/depreciation1; Unrealized depreciation on swaps; Option written at value

 

$

4,576,159

 

 

 

 

 

 

 

 

 

$

4,550,767

 

$

42,571,558

 

$

67,229

 

Foreign currency exchange contracts

 

Unrealized depreciation on foreign currency exchange contracts; Options written at value

 

 

563,492

 

$

1,448,067

 

$

1,500,303

 

$

283,739

 

$

15,017

 

 

479,402

 

 

 

 

249,845

 

Credit contracts

 

Unrealized depreciation on swaps; Options written at value

 

 

36,040

 

 

112,207

 

 

119,959

 

 

 

 

6,107

 

 

36,176

 

 

 

 

202

 

Equity contracts

 

Unrealized depreciation on swaps; Options written at value

 

 

 

 

412,959

 

 

445,363

 

 

74,334

 

 

 

 

 

 

 

 

 

Other contracts

 

Unrealized depreciation on swaps

 

 

77,284

 

 

 

 

 

 

 

 

 

 

77,489

 

 

 

 

 

Total

 

 

 

$

5,252,975

 

$

1,973,233

 

$

2,065,625

 

$

358,073

 

$

21,124

 

$

5,143,834

 

$

42,571,558

 

$

317,276

 


 

 

 

 

1

Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedules of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.

 

 

 

 

2

Includes options purchased at value as reported in the Schedules of Investments.


 

 

 

 

 

 

124

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Financial Statements (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The Effect of Derivative Financial Instruments on the Statements of Operations
Six Months Ended February 29, 2012

 

 

Net Realized Gain (Loss) From

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

(453,633

)

 

 

 

 

 

 

 

 

$

(357,014

)

$

(5,090,929

)

$

(57,843

)

Swaps

 

 

1,376,353

 

 

 

 

 

 

 

 

 

 

850,535

 

 

249,984

 

 

102,783

 

Options1

 

 

(2,053,700

)

$

542,835

 

$

609,505

 

 

 

 

 

 

(1,439,130

)

 

(126,181

)

 

 

Floors

 

 

 

 

 

 

 

 

 

 

 

 

 

 

443,883

 

 

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

(35,220

)

 

 

 

 

 

 

 

 

 

(40,039

)

 

(1,789

)

 

 

Foreign currency exchange contracts

 

 

1,089,752

 

 

3,252,823

 

 

3,481,662

 

$

774,738

 

$

(2,883

)

 

445,882

 

 

 

 

597,890

 

Options1

 

 

(76,426

)

 

 

 

 

 

 

 

 

 

(78,422

)

 

 

 

 

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

1,018,396

 

 

(381,877

)

 

(414,494

)

 

 

 

198,394

 

 

1,018,450

 

 

 

 

32,974

 

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

 

 

(3,965,704

)

 

(4,093,471

)

 

(355,406

)

 

 

 

 

 

 

 

 

Options1

 

 

 

 

(406,208

)

 

(418,826

)

 

(93,698

)

 

 

 

 

 

 

 

 

Other contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

(21,016

)

 

146,751

 

 

154,102

 

 

 

 

17,707

 

 

(21,115

)

 

 

 

 

Total

 

$

844,506

 

$

(811,380

)

$

(681,522

)

$

325,634

 

$

213,218

 

$

379,147

 

$

(4,525,032

)

$

675,804

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Change in Unrealized Appreciation/Depreciation on

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

570,814

 

 

 

 

 

 

 

 

 

$

393,611

 

$

(31,774

)

$

(11,359

)

Swaps

 

 

(1,654,566

)

 

 

 

 

 

 

 

 

 

(1,484,830

)

 

(1,292,938

)

 

17,608

 

Options1

 

 

1,895,867

 

 

 

 

 

 

 

 

 

 

1,707,450

 

 

65,267

 

 

(28,283

)

Floors

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(132,104

)

 

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

(339,345

)

$

(1,299,680

)

$

(1,346,118

)

$

(251,144

)

$

(14,610

)

 

(244,840

)

 

 

 

(222,923

)

Options1

 

 

12,275

 

 

 

 

 

 

 

 

 

 

12,504

 

 

 

 

 

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

(1,147,981

)

 

638,353

 

 

652,359

 

 

 

 

53,613

 

 

(1,144,329

)

 

 

 

28,505

 

Options1

 

 

 

 

442,787

 

 

441,347

 

 

 

 

 

 

 

 

 

 

 

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

 

 

1,980,740

 

 

1,905,233

 

 

119,132

 

 

 

 

 

 

 

 

 

Options1

 

 

 

 

(122,259

)

 

(124,721

)

 

(71,461

)

 

 

 

 

 

 

 

 

Other contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

(77,284

)

 

(75,845

)

 

(79,649

)

 

 

 

(9,012

)

 

(77,489

)

 

 

 

 

Total

 

$

(740,220

)

$

1,564,096

 

$

1,448,451

 

$

(203,473

)

$

29,991

 

$

(837,923

)

$

(1,391,549

)

$

(216,452

)


 

 

 

 

1

Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

125




 

 

Notes to Financial Statements (continued)

For the six months ended February 29, 2012, the average quarterly balances of outstanding derivative financial instruments were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

Financial futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts purchased

 

 

503

 

 

 

 

 

 

 

 

 

 

448

 

 

989

 

 

88

 

Average number of contracts sold

 

 

909

 

 

314

 

 

371

 

 

51

 

 

 

 

1,020

 

 

2,323

 

 

81

 

Average notional value of contracts purchased

 

$

97,756,601

 

 

 

 

 

 

 

 

 

$

90,662,358

 

$

236,438,591

 

$

13,889,188

 

Average notional value of contracts sold

 

$

144,530,667

 

$

19,877,370

 

$

23,647,510

 

$

3,258,630

 

 

 

$

161,080,680

 

$

325,262,643

 

$

13,622,047

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — US dollars purchased

 

 

29

 

 

12

 

 

10

 

 

4

 

 

2

 

 

29

 

 

 

 

6

 

Average number of contracts — US dollars sold

 

 

25

 

 

4

 

 

5

 

 

2

 

 

 

 

24

 

 

 

 

3

 

Average US dollar amounts purchased

 

$

34,190,383

 

$

32,807,740

 

$

42,359,736

 

$

8,164,303

 

$

824,212

 

$

31,132,553

 

 

 

$

7,185,347

 

Average US dollar amounts sold

 

$

20,431,120

 

$

1,822,882

 

$

2,041,243

 

$

273,790

 

 

 

$

17,089,813

 

 

 

$

440,943

 

Options:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of option contracts purchased

 

 

21,946,571

 

 

726

 

 

1,205

 

 

335

 

 

3

 

 

21,979,071

 

 

369

 

 

6

 

Average number of option contracts written

 

 

14,326,250

 

 

538

 

 

895

 

 

250

 

 

 

 

14,336,250

 

 

 

 

 

Average notional value of option contracts purchased

 

$

22,673,250

 

$

9,658,514

 

$

16,209,000

 

$

4,506,000

 

$

2,829

 

$

22,707,000

 

$

921,250

 

$

5,657

 

Average notional value of option contracts written

 

$

14,426,250

 

$

6,718,750

 

$

11,187,500

 

$

3,125,000

 

 

 

$

14,436,250

 

 

 

 

 

Average number of swaption contracts purchased

 

 

6

 

 

1

 

 

1

 

 

 

 

 

 

6

 

 

2

 

 

2

 

Average number of swaption contracts written

 

 

11

 

 

2

 

 

2

 

 

 

 

 

 

12

 

 

2

 

 

1

 

Average notional value of swaption contracts purchased

 

$

57,226,013

 

$

7,500,000

 

$

7,500,000

 

 

 

 

 

$

57,376,013

 

$

12,400,000

 

$

1,906,402

 

Average notional value of swaption contracts written

 

$

285,700,000

 

$

14,500,000

 

$

15,500,000

 

 

 

 

 

$

289,500,000

 

$

22,200,000

 

$

2,200,000

 

Credit default swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — buy protection

 

 

8

 

 

11

 

 

11

 

 

 

 

7

 

 

8

 

 

 

 

6

 

Average number of contracts — sell protection

 

 

14

 

 

12

 

 

12

 

 

 

 

7

 

 

14

 

 

 

 

10

 

Average notional value — buy protection

 

$

8,926,162

 

$

13,027,348

 

$

14,139,767

 

 

 

$

565,000

 

$

8,942,290

 

 

 

$

1,497,500

 

Average notional value — sell protection

 

$

6,964,165

 

$

9,451,500

 

$

11,945,000

 

 

 

$

1,852,500

 

$

6,999,165

 

 

 

$

1,416,359

 

Interest rate swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — pays fixed rate

 

 

4

 

 

 

 

 

 

 

 

 

 

9

 

 

12

 

 

1

 

Average number of contracts — receives fixed rate

 

 

5

 

 

 

 

 

 

 

 

 

 

7

 

 

12

 

 

1

 

Average notional value — pays fixed rate

 

$

4,965,679

 

 

 

 

 

 

 

 

 

$

25,924,039

 

$

261,030,000

 

$

600,000

 

Average notional value — receives fixed rate

 

$

50,019,629

 

 

 

 

 

 

 

 

 

$

53,368,064

 

$

249,611,600

 

$

9,400,000

 

Total return swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts

 

 

1

 

 

 

 

 

 

 

 

 

 

1

 

 

 

 

 

Average notional value

 

$

940,000

 

 

 

 

 

 

 

 

 

$

1,885,000

 

 

 

 

 

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services for each Trust and administration services for BHK, HYV, HYT, HIS and BHD.

The following Trusts’ investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trust’s average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

 

 

 

 

 

BHK

 

 

0.55%

 

HIS

 

 

0.75% of the first
$200 million and
0.50% thereafter

 

BHY

 

 

0.90%

 

BHD

 

 

0.75%

 

The following Trusts’ investment advisory fee paid to the Manager is computed daily and payable monthly based on an annual rate of each Trust’s average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

 

 

 

 

 

HYV

 

 

0.60

%

HYT

 

 

0.70

%


 

 

 

 

 

 

126

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Financial Statements (continued)

The following Trusts’ investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trust’s average net assets:

 

 

 

 

 

BNA

 

 

0.60

%

BKT

 

 

0.65

%

BHY, BNA and BKT each have an Administration Agreement with the Manager. The administration fee paid to the Manager is computed weekly and payable monthly based on an annual rate, 0.10% for BNA, and 0.15% for BKT, of each Trust’s average net assets and 0.10% for BHY of the Trust’s average weekly total assets.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid through each Trust’s investment in other affiliated investment companies, if any. These amounts are included in fees waived by advisor in the Statements of Operations. For the six months ended February 29, 2012, the amounts waived were as follows:

 

 

 

 

 

BHK

 

$

1,242

 

HYV

 

$

251

 

HYT

 

$

280

 

HIS

 

$

182

 

BHY

 

$

127

 

BNA

 

$

1,573

 

BKT

 

$

2,449

 

BHD

 

$

133

 

BlackRock provides investment management and other services to the Taxable Subsidiaries. BlackRock does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, each Trust pays BlackRock based on the Trust’s net assets, which includes the assets of the Taxable Subsidiaries.

The Manager entered into a separate sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager with respect to BHK, HYV, HYT, HIS and BHD. The Manager pays BFM for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for compensation paid to the Trusts’ Chief Compliance Officer.

4. Investments:

Purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities and US government securities for the six months ended February 29, 2012, were as follows:

 

 

 

 

 

 

 

 

 

 

Purchases

 

Sales

 

BHK

 

$

469,053,488

 

$

516,744,054

 

HYV

 

$

164,014,956

 

$

143,307,785

 

HYT

 

$

171,818,017

 

$

150,224,762

 

HIS

 

$

44,561,663

 

$

43,405,656

 

BHY

 

$

21,817,057

 

$

13,928,318

 

BNA

 

$

481,520,298

 

$

533,947,655

 

BKT

 

$

1,339,537,226

 

$

1,385,718,993

 

BHD

 

$

29,200,573

 

$

28,228,676

 

Purchases and sales of US government securities, for the six months ended February 29, 2012, were as follows:

 

 

 

 

 

 

 

 

 

 

Purchases

 

Sales

 

BHK

 

$

514,284,821

 

$

477,424,118

 

BNA

 

$

504,329,363

 

$

449,075,848

 

BKT

 

$

488,528,588

 

$

475,725,365

 

BHD

 

$

2,427,194

 

$

1,862,799

 

For the six months ended February 29, 2012, purchases and sales of mortgage dollar rolls were as follows:

 

 

 

 

 

 

 

 

 

 

Purchases

 

Sales

 

BHK

 

$

256,189,320

 

$

256,450,408

 

BNA

 

$

262,809,813

 

$

263,087,783

 

BKT

 

$

1,091,717,115

 

$

1,093,392,375

 


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

127




 

 

Notes to Financial Statements (continued)

Transactions in options written for the six months ended February 29, 2012, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Calls

 

 

 

 

 

Puts

 

 

 

 

 

Contracts

 

Notional
(000)

 

Premiums
Received

 

Contracts

 

Notional
(000)

 

Premiums
Received

 

BHK

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of period

 

 

 

$

63,300

 

$

2,441,442

 

 

538

 

$

86,985

 

$

2,818,041

 

Options written

 

 

459

 

 

82,695

 

 

2,289,919

 

 

329

 

 

572,340

 

 

5,143,524

 

Options expired

 

 

(178

)

 

(35,095

)

 

(469,381

)

 

(595

)

 

(55,763

)

 

(874,217

)

Options exercised

 

 

(15

)

 

(8,100

)

 

(93,352

)

 

 

 

(26,422

)

 

(1,070,207

)

Options closed

 

 

(266

)

 

(69,800

)

 

(3,081,968

)

 

(272

)

 

(58,330

)

 

(2,878,278

)

Outstanding options, end of period

 

 

 

$

33,000

 

$

1,086,660

 

 

 

$

518,810

 

$

3,138,863

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

HYV

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of period

 

 

 

$

24,175

 

$

296,835

 

 

664

 

$

26,475

 

$

688,420

 

Options written

 

 

1,350

 

 

7,000

 

 

422,017

 

 

5,700

 

 

7,000

 

 

681,602

 

Options expired

 

 

 

 

(17,175

)

 

(72,135

)

 

(2,625

)

 

(19,475

)

 

(521,579

)

Options exercised

 

 

 

 

 

 

 

 

(664

)

 

 

 

(23,620

)

Options closed

 

 

(1,350

)

 

(14,000

)

 

(646,717

)

 

(1,350

)

 

(14,000

)

 

(701,468

)

Outstanding options, end of period

 

 

 

 

 

 

 

 

1,725

 

 

 

$

123,355

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

HYT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of period

 

 

 

$

26,025

 

$

332,505

 

 

698

 

$

27,700

 

$

741,030

 

Options written

 

 

1,433

 

 

8,000

 

 

469,894

 

 

5,956

 

 

8,000

 

 

741,855

 

Options expired

 

 

 

 

(18,025

)

 

(75,705

)

 

(2,733

)

 

(19,700

)

 

(533,499

)

Options exercised

 

 

 

 

 

 

 

 

(698

)

 

 

 

(24,830

)

Options closed

 

 

(1,433

)

 

(16,000

)

 

(726,694

)

 

(1,433

)

 

(16,000

)

 

(796,517

)

Outstanding options, end of period

 

 

 

 

 

 

 

 

1,790

 

 

 

$

128,039

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

HIS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of period

 

 

 

 

 

 

 

 

 

 

 

 

 

Options written

 

 

417

 

 

 

$

47,111

 

 

1,689

 

 

 

$

117,299

 

Options expired

 

 

 

 

 

 

 

 

(772

)

 

 

 

(60,723

)

Options closed

 

 

(417

)

 

 

 

(47,111

)

 

(417

)

 

 

 

(19,589

)

Outstanding options, end of period

 

 

 

 

 

 

 

 

500

 

 

 

$

36,987

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BNA

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of period

 

 

 

$

61,300

 

$

2,208,193

 

 

539

 

$

85,015

 

$

2,585,616

 

Options written

 

 

461

 

 

82,875

 

 

2,297,188

 

 

329

 

 

573,250

 

 

5,151,136

 

Options expired

 

 

(180

)

 

(35,175

)

 

(471,670

)

 

(596

)

 

(59,073

)

 

(1,004,517

)

Options exercised

 

 

(15

)

 

(6,900

)

 

(46,390

)

 

 

 

(26,442

)

 

(1,071,191

)

Options closed

 

 

(266

)

 

(69,000

)

 

(2,895,456

)

 

(272

)

 

(53,040

)

 

(2,515,176

)

Outstanding options, end of period

 

 

 

$

33,100

 

$

1,091,865

 

 

 

$

519,710

 

$

3,145,868

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BKT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of period

 

 

 

$

11,100

 

$

353,258

 

 

247

 

$

11,100

 

$

448,653

 

Options written

 

 

514

 

 

 

 

296,502

 

 

995

 

 

 

 

315,965

 

Options expired

 

 

(242

)

 

 

 

(150,973

)

 

(333

)

 

 

 

(128,259

)

Options exercised

 

 

(20

)

 

 

 

(3,050

)

 

 

 

 

 

 

Options closed

 

 

(252

)

 

 

 

(142,479

)

 

(909

)

 

 

 

(283,102

)

Outstanding options, end of period

 

 

 

$

11,100

 

$

353,258

 

 

 

$

11,100

 

$

353,257

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BHD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of period

 

 

 

 

 

 

 

 

 

 

 

 

 

Options written

 

 

 

 

 

 

 

 

 

$

4,400

 

$

50,160

 

Options exercised

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, end of period

 

 

 

 

 

 

 

 

 

$

4,400

 

$

50,160

 


 

 

 

128

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Financial Statements (continued)

5. Income Tax Information:

As of August 31, 2011, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expires August 31,

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BHD

 

2012

 

 

 

 

 

 

 

$

2,339,279

 

$

316,410

 

 

 

 

 

2014

 

 

 

 

 

 

 

 

7,043,976

 

 

2,060,533

 

 

 

 

 

2015

 

 

 

 

 

 

 

 

 

 

2,467,772

 

 

 

 

 

2016

 

$

17,011,639

 

 

 

 

 

 

10,829,322

 

 

2,039,760

 

$

13,511,023

 

$

687,454

 

2017

 

 

7,416,000

 

$

25,464,032

 

$

31,939,528

 

 

3,140,056

 

 

916,541

 

 

7,369,088

 

 

930,008

 

2018

 

 

 

 

45,786,654

 

 

54,927,764

 

 

15,169,557

 

 

5,191,260

 

 

10,964,638

 

 

3,835,687

 

2019

 

 

 

 

 

 

 

 

 

 

737,843

 

 

 

 

 

Total

 

$

24,427,639

 

$

71,250,686

 

$

86,867,292

 

$

38,522,190

 

$

13,730,119

 

$

31,844,749

 

$

5,453,149

 

Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Trusts after August 31, 2011 will not be subject to expiration. In addition, any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.

As of February 29, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

Tax cost

 

$

519,485,199

 

$

535,075,073

 

$

557,006,304

 

$

149,699,172

 

$

57,208,243

 

$

529,204,687

 

$

827,769,995

 

$

117,113,498

 

Gross unrealized appreciation

 

 

32,902,354

 

 

33,420,622

 

 

33,884,899

 

 

6,927,547

 

 

3,410,212

 

 

34,312,914

 

 

45,547,388

 

 

8,324,695

 

Gross unrealized depreciation

 

 

(7,597,991

)

 

(21,039,743

)

 

(21,692,446

)

 

(4,793,667

)

 

(944,821

)

 

(7,892,219

)

 

(18,707,213

)

 

(1,444,535

)

Net unrealized appreciation (depreciation)

 

$

25,304,363

 

$

12,380,879

 

$

12,192,453

 

$

2,133,880

 

$

2,465,391

 

$

26,420,695

 

$

26,840,175

 

$

6,880,160

 

6. Borrowings:

HYV, HYT, HIS, BHY and BHD entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). The Trusts have granted a security interest in substantially all of their assets to SSB. The SSB Agreement allowed for the following maximum commitment amounts:

 

 

 

 

 

 

 

Commitment
Amount

 

HYV

 

$

204,500,000

 

HYT

 

$

213,800,000

 

HIS

 

$

63,600,000

 

BHY

 

$

23,000,000

 

BHD

 

$

50,200,000

 

Prior to March 2, 2012, advances were made by SSB to the Trusts, at the Trusts’ option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

Effective March 2, 2012, advances will be made by SSB to the Trusts, at the Trusts’ option of (a) the higher of (i) 0.75% above the Fed Funds rate and (ii) 0.75% above the Overnight LIBOR or (b) 0.75% above 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, the Trusts pay a facility fee and a commitment fee based upon SSB’s total commitment to the Trusts. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Trusts as of February 29, 2012 are shown in the Statements of Assets and Liabilities as loan payable.

The Trusts may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowing is less than 300%.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

129




 

 

Notes to Financial Statements (continued)

For the six months ended February 29, 2012, the daily weighted average interest rates for Trusts with borrowings from reverse repurchase agreements and treasury roll transactions were as follows:

 

 

 

 

 

 

 

Daily Weighted
Average
Interest Rate

 

BHK

 

 

0.16

%

BNA

 

 

0.15

%

BKT

 

 

0.19

%

For the six months ended February 29, 2012, the daily weighted average interest rates for Trusts with loans under the revolving credit agreements were as follows:

 

 

 

 

 

 

 

Daily Weighted
Average
Interest Rate

 

HYV

 

 

0.96

%

HYT

 

 

0.96

%

HIS

 

 

0.96

%

BHY

 

 

0.96

%

BHD

 

 

0.96

%

7. Commitments:

Certain Trusts may invest in floating rate loan interests. In connection with these investments, the Trust may also enter into bridge loan commitments (“commitments”). Bridge loan commitments may obligate the Trust to furnish temporary financing to a borrower until permanent financing can be arranged. At February 29, 2012, the Trusts had outstanding bridge loan commitments as follows:

 

 

 

 

 

 

 

Commitment
Amounts

 

HYV

 

$

5,101,399

 

HYT

 

$

5,352,437

 

HIS

 

$

1,557,646

 

BHY

 

$

574,917

 

BHD

 

$

510,000

 

In connection with these commitments, the Trusts earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. The unrecognized commitment fee income is recorded on the Statements of Assets and Liabilities as deferred income.

8. Concentration, Market and Credit Risk:

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable to perform on its commitments. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Trusts’ Statements of Assets and Liabilities, less any collateral held by the Trusts.

Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedules of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

9. Capital Share Transactions:

BHK, BHY and BHD are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. BNA and BKT are authorized to issue 200 million shares, par value $0.01, all of which were initially classified as Common Shares. HYV and HYT are authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. HIS is authorized to issue an unlimited number of shares, no par value, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders.

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 29,
2012

 

Year Ended
August 31,
2011

 

HYV

 

 

25,438

 

 

 

HYT

 

 

38,517

 

 

 

HIS

 

 

51,607

 

 

 

BHY

 

 

759

 

 

 


 

 

 

 

130

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Notes to Financial Statements (concluded)

Shares issued and outstanding remained constant during the six months ended February 29, 2012 and the year ended August 31, 2011 for BHK, BNA, BKT and BHD.

10. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Trusts paid a net investment income dividend in the following amounts per share on March 30, 2012 to shareholders of record on March 15, 2012:

 

 

 

 

 

 

 

Common Dividend
Per Share

 

BHK

 

$

0.0670

 

HYV

 

$

0.0860

 

HYT

 

$

0.0835

 

HIS

 

$

0.0142

 

BHY

 

$

0.0435

 

BNA

 

$

0.0530

 

BKT

 

$

0.0405

 

BHD

 

$

0.0845

 


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

131




 

 

Officers and Trustees1


 

Richard E. Cavanagh, Chairman of the Board and Trustee

Karen P. Robards, Vice Chairperson of the Board, Chairperson of the Audit Committee and Trustee

Paul L. Audet, Trustee

Michael J. Castellano, Trustee and Member of the Audit Committee

Frank J. Fabozzi, Trustee and Member of the Audit Committee

Kathleen F. Feldstein, Trustee

James T. Flynn, Trustee and Member of the Audit Committee

Henry Gabbay, Trustee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee and Member of the Audit Committee

John M. Perlowski, President and Chief Executive Officer

Anne Ackerley, Vice President

Brendan Kyne, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Brian Kindelan, Chief Compliance Officer and Anti-Money Laundering Officer

Ira P. Shapiro, Secretary


 

 

1

John F. Powers, who was a Trustee of the Trusts, resigned as of February 21, 2012.


 

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Sub-Advisor2

BlackRock Financial Management, Inc.

New York, NY 10055

 

Custodian and Accounting Agent

State Street Bank and Trust Company

Boston, MA 02110

 

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

 

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

New York, NY 10036

 

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809


 

 

2

For BHK, HYV, HYT, HIS and BHD.


 

BHK, BNA and BKT are managed by a team of investment professionals. Effective March 16, 2012, Tom Musmanno was added to the team of portfolio managers responsible for the day-to-day management of the Trusts’ portfolio and the selection of its investments.


 

 

 

 

132

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012




 

 

Additional Information

 

Dividend Policy

 

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

 

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

 

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charter or by-laws that would delay or prevent a change of control of the Trusts that were not approved by shareholders or in the principal risk factors associated with investment in the Trusts. Other than as disclosed on page 132, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

 

Quarterly performance, semi-annual and annual reports and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s web-site is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

Electronic Delivery

 

Electronic copies of most financial reports are available on the Trusts’ web-site or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Trusts’ electronic delivery program.

 

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

 

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

 

Householding

 

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 441-7762.

 

Availability of Quarterly Schedule of Investments

 

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

 

Availability of Proxy Voting Policies and Procedures

 

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

 

Availability of Proxy Voting Record

 

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

 

Availability of Trust Updates

 

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012

133




 

Additional Information (concluded)

 

Section 19(a) Notices

 

These reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the year and may be subject to changes based on the tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income tax purposes.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 29, 2012

 

 


Total Fiscal Year-to-Date
Cumulative Distributions by Character

 

Percent of Fiscal Year-to-Date
Cumulative Distributions by Character

 

 

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share

 

BHY

 

$

0.256197

 

 

 

$

0.004803

 

$

0.261000

 

 

98

%

 

0

%

 

2

%

 

100

%

Each Trust estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trust’s investment performance and should not be confused with ‘yield’ or ‘income.’

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

 

 

 

 

 

134

SEMI-ANNUAL REPORT

FEBRUARY 29, 2012



This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

 

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Item 2 –

Code of Ethics – Not Applicable to this semi-annual report

 

 

Item 3 –

Audit Committee Financial Expert – Not Applicable to this semi-annual report

 

 

Item 4 –

Principal Accountant Fees and Services – Not Applicable to this semi-annual report

 

 

Item 5 –

Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

 

 

Item 6 –

Investments

 

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

 

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

 

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies

 

 

(a) 

Not Applicable to this semi-annual report

 

 

 

 

(b) 

As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

 

 

Item 10 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

 

Item 11 –

Controls and Procedures

 

 

 

(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.

 

 

 

(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 second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

 

Item 12 –

Exhibits attached hereto

 

 

 

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

 

 

 

(a)(2) – Certifications – Attached hereto

 

 

 

(a)(3) – Not Applicable

 

 

 

(b) – 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 Core Bond Trust

 

 

  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Core Bond Trust
   
  Date: May 1, 2012
   
  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 Core Bond Trust
   
  Date: May 1, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Core Bond Trust
     
  Date: May 1, 2012