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: Anne F. Ackerley, 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: 08/31/2010

 

Date of reporting period: 08/31/2010

 

Item 1 – Report to Stockholders


 

 

(BLACKROCK LOGO)

August 31, 2010

Annual Report

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

Annual Report:

 

 

Trust Summaries

 

4

The Benefits and Risks of Leveraging

 

12

Derivative Financial Instruments

 

12

Financial Statements:

 

 

Schedules of Investments

 

13

Statements of Assets and Liabilities

 

80

Statements of Operations

 

84

Statements of Changes in Net Assets

 

86

Statements of Cash Flows

 

88

Financial Highlights

 

89

Notes to Financial Statements

 

96

Report of Independent Registered Public Accounting Firm

 

110

Important Tax Information

 

110

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

 

111

Automatic Dividend Reinvestment Plans

 

115

Officers and Trustees

 

116

Additional Information

 

119


 

 

 

 


2

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Dear Shareholder

The global economic recovery continues, although global and US economic statistics show that the pace of economic growth has slowed. The sovereign debt crisis in Europe, slowing growth in China and concerns over the possibility that the United States and other developed markets are heading for a double-dip recession have all acted to depress investor sentiment. Despite broadening evidence of a slowdown in global economic activity, market volatility has normalized from the extreme levels seen in recent months. In the United States, economic data continues to be mixed, but it is our view that the preponderance of data suggests that the recovery is continuing. The critical issue for investors remains the question of whether the economy will experience a double-dip recession. We are on the optimistic side of this debate and would point out that while the recovery has been slow, we have made significant progress.

Global equity markets have moved unevenly higher since bottoming out in early 2009 as investors were enticed by depressed valuations, improved corporate earnings, and their desire for higher yields. Several significant downturns, however, have occurred — primarily as a result of mixed economic data and concerns about the possibility of prolonged deflation (especially in Europe). As the period drew to a close, equity markets lost ground on weaker-than-expected economic data, most notably from the United States. International equities posted negative returns on both a six- and 12-month basis while US equities posted negative returns over the six months, but were still showing positive returns on a 12-month basis as the domestic economic recovery had been more pronounced and credit-related issues held European markets down. Within the United States, smaller cap stocks continue to outperform large caps year-to-date.

In fixed income markets, yields have fluctuated significantly over the past year as economic data has been mixed. Risk aversion and credit issues have kept interest rates low and US Treasury yields have fallen significantly as investors favored “safe haven” assets. As the period drew to a close, Treasuries modestly outperformed the spread sectors of the market (those driven by changes in credit risk). Corporate credit spreads benefited from the low rate environment and high yield fixed income remains attractive due to low default rates and better-than-expected results on European bank stress tests. Meanwhile, tax-exempt municipal bonds slightly outperformed US investment grade bonds on a 12-month basis, but underperformed year-to-date as investors rotated to the relative safety of Treasuries.

Regarding cash investments, yields on money market securities remain near all-time lows (producing returns only marginally above zero percent), with the Federal Open Market Committee reiterating that economic circumstances are likely to necessitate an accommodative interest rate stance for an “extended period.”

Against this backdrop, the major market averages posted the following returns:

 

 

 

 

 

 

 

 

Total Returns as of August 31, 2010

 

6-month

 

12-month

 









US large cap equities (S&P 500 Index)

 

(4.04

)%

 

4.91

%

 









US small cap equities (Russell 2000 Index)

 

(3.60

)

 

6.60

 

 









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

 

(3.04

)

 

(2.34

)

 









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

 

0.07

 

 

0.14

 

 









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

 

11.49

 

 

11.58

 

 









US investment grade bonds (Barclays Capital US Aggregate Bond Index)

 

5.81

 

 

9.18

 

 









Tax-exempt municipal bonds (Barclays Capital Municipal Bond Index)

 

5.42

 

 

9.78

 

 









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

 

6.62

 

 

21.40

 

 









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

Although conditions have improved over the past couple of years, investors across the globe continue to face uncertainty about the future direction of economic growth. Through periods of uncertainty, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. For additional market perspective and investment insight, visit www.blackrock.com/shareholdermagazine, where you’ll find the most recent issue of our award-winning Shareholder® magazine, as well as its quarterly companion newsletter, Shareholder Perspectives. We thank you for entrusting BlackRock with your investments, and we look forward to your continued partnership in the months and years ahead.

Sincerely,

-s- Rob Kapito
Rob Kapito
President, BlackRock Advisors, LLC

 

 

 

 


 

THIS PAGE NOT PART OF YOUR FUND REPORT

 

3




 

 


 

 

Trust Summary as of August 31, 2010

BlackRock Core Bond Trust


 


Trust Overview


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.

 


Performance


For the 12 months ended August 31, 2010, the Trust returned 25.93% based on market price and 22.44% 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 22.14% based on market price and 19.62% 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. The Trust benefited from its allocation to securi-tized sectors including commercial mortgage-backed securities (“MBS”), agency and non-agency MBS, and asset-backed securities. The Trust’s higher duration (greater sensitivity to interest rates) relative to its peers contributed to performance as interest rates declined in the latter part of the period. The Trust’s underweight in high yield corporate issues detracted from performance as risk assets rebounded sharply during the period and outperformed investment-grade credit. Rising interest rates during the first half of the period were detrimental to the Trust due to its higher duration.

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.

 

 

 

 

 


Trust Information


 

 

 

 

 

Symbol on New York Stock Exchange (“NYSE”)

 

 

BHK

 

Initial Offering Date

 

 

November 27, 2001

 

Yield on Closing Market Price as of August 31, 2010 ($13.92)1

 

 

5.78%

 

Current Monthly Distribution per Common Share2

 

 

$0.067

 

Current Annualized Distribution per Common Share2

 

 

$0.804

 

Leverage as of August 31, 20103

 

 

31%

 







 

 

 

 

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 is not constant and is subject to change.

 

 

 

 

3

Represents reverse repurchase agreements, treasury roll transactions and the Term Asset-Backed Securities Loan Facility (“TALF”) 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 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

8/31/10

 

8/31/09

 

Change

 

High

 

Low

 


















Market Price

 

$

13.92

 

$

11.98

 

 

16.19

%

$

14.09

 

$

11.50

 

Net Asset Value

 

$

14.19

 

$

12.56

 

 

12.98

%

$

14.20

 

$

12.48

 


















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

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 







Corporate Bonds

 

38

%

 

42

%

 

U.S. Government Sponsored Agency Securities

 

23

 

 

20

 

 

U.S. Treasury Obligations

 

19

 

 

12

 

 

Non-Agency Mortgage-Backed Securities

 

10

 

 

17

 

 

Asset-Backed Securities

 

5

 

 

4

 

 

Taxable Municipal Bonds

 

2

 

 

2

 

 

Foreign Agency Obligations

 

2

 

 

2

 

 

Preferred Securities

 

1

 

 

1

 

 









 

 

 

 

 

 

 

 









Credit Quality Allocations4

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 







AAA/Aaa5

 

43

%

 

43

%

 

Aa/Aa

 

11

 

 

9

 

 

A

 

17

 

 

17

 

 

BBB/Baa

 

11

 

 

12

 

 

BB/Ba

 

8

 

 

8

 

 

B

 

7

 

 

5

 

 

CCC/Caa

 

2

 

 

5

 

 

Not Rated

 

1

 

 

1

 

 










 

 

 

 

4

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

 

 

 

 

5

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


 

 

 

 


4

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Trust Summary as of August 31, 2010

BlackRock Corporate High Yield Fund V, Inc.


 


Trust Overview


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.

 


Performance


For the 12 months ended August 31, 2010, the Trust returned 34.42% based on market price and 31.40% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 34.35% based on market price basis and 26.92% 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. The high yield sector outperformed most other sectors of the fixed income market. We focused on sectors and companies with relatively stable cash flows and the ability to generate steady income. We also invested in a few special situations and recovery stories, most notably in the automotive sector, which contributed to the Trust’s outperformance versus its peer group. The Trust’s underweight in higher quality speculative grade names and overweight in lower quality credits benefited performance. Toward the end of the period, we moved to an underweight position in lower quality names, which have recently become expensive relative to higher quality names. During the period, the Trust maintained leverage at an average amount just below 20% of its total managed assets, which detracted from relative performance versus competitors that maintained higher leverage, as would be expected when markets are advancing. Exposure to floating rate loan interests also detracted as the bank loan sector underperformed the high yield sector during the period.

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.

 

 

 

 

 


Trust Information


 

 

 

 

 

Symbol on NYSE

 

 

HYV

 

Initial Offering Date

 

 

November 30, 2001

 

Yield on Closing Market Price as of August 31, 2010 ($11.40)1

 

 

8.68%

 

Current Monthly Distribution per Common Share2

 

 

$0.0825

 

Current Annualized Distribution per Common Share2

 

 

$0.9900

 

Leverage as of August 31, 20103

 

 

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 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 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

8/31/10

 

8/31/09

 

Change

 

High

 

Low

 


















Market Price

 

$

11.40

 

$

9.32

 

 

22.32

%

$

11.78

 

$

9.02

 

Net Asset Value

 

$

11.61

 

$

9.71

 

 

19.57

%

$

11.95

 

$

9.69

 


















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

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 









Corporate Bonds

 

80

%

 

81

%

 

Floating Rate Loan Interests

 

15

 

 

17

 

 

Common Stocks

 

2

 

 

2

 

 

Other Interests

 

2

 

 

 

 

Preferred Stocks

 

1

 

 

 

 









 

 

 

 

 

 

 

 









Credit Quality Allocations4

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 







AA/Aa

 

 

 

1

%

 

BBB/Baa

 

3

%

 

5

 

 

BB/Ba

 

35

 

 

31

 

 

B

 

46

 

 

37

 

 

CCC/Caa

 

11

 

 

20

 

 

CC/Ca

 

1

 

 

3

 

 

D

 

 

 

1

 

 

Not Rated

 

4

 

 

2

 

 










 

 

 

 

4

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


 

 

 

 


 

ANNUAL REPORT

AUGUST 31, 2010

5




 

 


 

 

Trust Summary as of August 31, 2010

BlackRock Corporate High Yield Fund VI, Inc.


 


Trust Overview


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.

 


Performance


For the 12 months ended August 31, 2010, the Trust returned 29.92% based on market price and 29.26% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 34.35% based on market price and 26.92% 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. The high yield sector outperformed most other sectors of the fixed income market, as the number of defaults declined and investors became less risk-averse and gravitated to higher yielding investments in the low yield environment. Given our outlook for a continued slow economic environment, we began to focus more on sectors and companies with relatively stable cash flows and the ability to generate steady income, and less on companies which require growth before they can achieve a steady income. Outside of this focus, we invested in a few special situations and recovery stories, most notably in the automotive sector. These investments were key contributors to the Trust’s outperformance versus its peer group for the period. The Trust’s underweight position in higher quality speculative grade names and overweight in lower quality credits benefited performance during the period. Toward the end of the period, we moved to an underweight position in lower quality names, which we believe will benefit the Trust going forward as lower quality issues have recently become expensive relative to higher quality names. During the period, the Trust maintained leverage at an average amount between 15% to 20% of its total managed assets, which detracted from relative performance versus competitors that maintained higher leverage, as would be expected when markets are advancing. The Trust’s exposure to floating rate loan interests detracted from performance (despite favorable security selection within the sector) as the bank loan sector underperformed the high yield sector during the period.

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.

 

 

 

 

 


Trust Information


 

 

 

 

 

Symbol on NYSE

 

 

HYT

 

Initial Offering Date

 

 

May 30, 2003

 

Yield on Closing Market Price as of August 31, 2010 ($11.19)1

 

 

8.85%

 

Current Monthly Distribution per Common Share2

 

 

$0.0825

 

Current Annualized Distribution per Common Share2

 

 

$0.9900

 

Leverage as of August 31, 20103

 

 

18%

 







 

 

 

 

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 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 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

8/31/10

 

8/31/09

 

Change

 

High

 

Low

 













Market Price

 

$

11.19

 

$

9.47

 

 

18.16

%

$

11.76

 

$

9.15

 

Net Asset Value

 

$

11.38

 

$

9.68

 

 

17.56

%

$

11.67

 

$

9.66

 


















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

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 







Corporate Bonds

 

81

%

 

82

%

 

Floating Rate Loan Interests

 

15

 

 

16

 

 

Common Stocks

 

2

 

 

2

 

 

Other Interests

 

1

 

 

 

 

Preferred Stocks

 

1

 

 

 

 









 

 

 

 

 

 

 

 









Credit Quality Allocations4

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 







A

 

 

 

1

%

 

BBB/Baa

 

3

%

 

5

 

 

BB/Ba

 

36

 

 

27

 

 

B

 

47

 

 

41

 

 

CCC/Caa

 

11

 

 

25

 

 

Not Rated

 

3

 

 

1

 

 










 

 

 

 

4

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


 

 

 

 


6

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Trust Summary as of August 31, 2010

BlackRock High Income Shares


 


Trust Overview


BlackRock High Income Shares’ (HIS) (the “Trust”) 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.

 


Performance


For the 12 months ended August 31, 2010, the Trust returned 35.52% based on market price and 28.95% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 34.35% based on market price and 26.92% 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. The high yield sector outperformed most other sectors of the fixed income market. We focused on sectors and companies with relatively stable cash flows and the ability to generate steady income. Outside of this focus, we invested in a few special situations and recovery stories, most notably in the automotive sector, which contributed to the Trust’s outperformance versus its peer group. The Trust’s underweight in higher quality speculative grade names and overweight in lower quality credits benefited performance. Toward the end of the period, we moved to an underweight position in lower quality names, which have recently become expensive relative to higher quality names. During the period, the Trust maintained leverage at an average amount between 15% to 20% of its total managed assets, which detracted from relative performance versus competitors that maintained higher leverage, as would be expected when markets are advancing. Exposure to floating rate loan interests also detracted (despite favorable security selection within the sector) as the bank loan sector underperformed the high yield sector during the period.

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.

 

 

 

 

 


Trust Information


 

 

 

 

 

Symbol on NYSE

 

 

HIS

 

Initial Offering Date

 

 

August 10, 1988

 

Yield on Closing Market Price as of August 31, 2010 ($2.09)1

 

 

8.15%

 

Current Monthly Distribution per Common Share2

 

 

$0.0142

 

Current Annualized Distribution per Common Share2

 

 

$0.1704

 

Leverage as of August 31, 20103

 

 

17%

 







 

 

 

 

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 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 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

8/31/10

 

8/31/09

 

Change

 

High

 

Low

 


















Market Price

 

$

2.09

 

$

1.68

 

 

24.40

%

$

2.15

 

$

1.65

 

Net Asset Value

 

$

2.19

 

$

1.85

 

 

18.38

%

$

2.24

 

$

1.85

 


















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

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 









Corporate Bonds

 

84

%

 

85

%

 

Floating Rate Loan Interests

 

13

 

 

13

 

 

Preferred Securities

 

2

 

 

1

 

 

Common Stock

 

1

 

 

1

 

 









 

 

 

 

 

 

 

 









Credit Quality Allocations4

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 







BBB/Baa

 

3

%

 

4

%

 

BB/Ba

 

35

 

 

33

 

 

B

 

46

 

 

32

 

 

CCC/Caa

 

11

 

 

24

 

 

C

 

 

 

2

 

 

D

 

 

 

1

 

 

Not Rated

 

5

 

 

4

 

 










 

 

 

 

4

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


 

 

 

 


 

ANNUAL REPORT

AUGUST 31, 2010

7




 

 


 

 

Trust Summary as of August 31, 2010

BlackRock High Yield Trust


 


Trust Overview


BlackRock High Yield Trust’s (BHY) (the “Trust”) 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.

 


Performance


For the 12 months ended August 31, 2010, the Trust returned 19.76% based on market price and 25.70% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 34.35% based on market price and 26.92% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount 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. The high yield sector outperformed most other sectors of the fixed income market, as the number of defaults declined and investors became less risk-averse and gravitated to higher yielding investments in the low yield environment. During the period, the Trust maintained leverage at an average amount between 15% to 20% of its total managed assets, which detracted from relative performance versus competitors that maintained higher leverage, as would be expected when markets are advancing. The Trust’s exposure to floating rate loan interests also detracted from performance (despite favorable security selection within the sector) as the bank loan sector underperformed the high yield sector during the period. Given our outlook for a continued slow economic environment, we began to focus more on sectors and companies with relatively stable cash flows and the ability to generate steady income, and less on companies which require growth before they can achieve a steady income. Outside of this focus, we invested in a few special situations and recovery stories, most notably in the automotive sector. These investments benefited performance relative to the Trust’s peer group for the period. The Trust’s underweight position in higher quality speculative grade names and overweight in lower quality credits benefited performance during the period. Toward the end of the period, we moved to an underweight position in lower quality names, which we believe will benefit the Trust going forward as lower quality issues have recently become expensive relative to higher quality names.

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.

 

 

 

 

 


Trust Information


 

 

 

 

 

Symbol on NYSE

 

 

BHY

 

Initial Offering Date

 

 

December 23, 1998

 

Yield on Closing Market Price as of August 31, 2010 ($6.44)1

 

 

8.11%

 

Current Monthly Distribution per Common Share2

 

 

$0.0435

 

Current Annualized Distribution per Common Share2

 

 

$0.5220

 

Leverage as of August 31, 20103

 

 

16%

 







 

 

 

 

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 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 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

 

8/31/10

 

8/31/09

 

Change

 

High

 

Low

 


















Market Price

 

$

6.44

 

$

5.84

 

 

10.27

%

$

6.80

 

$

5.58

 

Net Asset Value

 

$

6.69

 

$

5.78

 

 

15.74

%

$

6.85

 

$

5.77

 


















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

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 









Corporate Bonds

 

84

%

 

86

%

 

Floating Rate Loan Interests

 

13

 

 

13

 

 

Other Interests

 

1

 

 

 

 

Common Stocks

 

1

 

 

1

 

 

Preferred Securities

 

1

 

 

 

 









 

 

 

 

 

 

 

 









Credit Quality Allocations4

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 







BBB/Baa

 

3

%

 

4

%

 

BB/Ba

 

38

 

 

38

 

 

B

 

42

 

 

29

 

 

CCC/Caa

 

12

 

 

24

 

 

CC/Ca

 

 

 

1

 

 

D

 

 

 

1

 

 

Not Rated

 

5

 

 

3

 

 










 

 

 

 

4

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


 

 

 

 


8

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Trust Summary as of August 31, 2010

BlackRock Income Opportunity Trust, Inc.


 


Trust Overview


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.

 


Performance


For the 12 months ended August 31, 2010, the Trust returned 18.69% based on market price and 19.83% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds BBB-Rated category posted an average return of 22.14% based on market price and 19.62% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened 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. The Trust benefited from its allocation to securitized sectors, including commercial MBS, agency and non-agency MBS, and asset-backed securities. The Trust’s higher duration (greater sensitivity to interest rates) relative to its peers contributed to performance as interest rates declined in the latter part of the period. The Trust’s underweight in high yield corporate issues detracted from performance as risk assets rebounded sharply during the period and outperformed investment-grade credit. Rising interest rates during the first half of the period were detrimental to the Trust due to its higher duration.

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.

 

 

 

 

 


Trust Information


 

 

 

 

 

Symbol on NYSE

 

 

BNA

 

Initial Offering Date

 

 

December 20, 1991

 

Yield on Closing Market Price as of August 31, 2010 ($10.56)1

 

 

5.80%

 

Current Monthly Distribution per Common Share2

 

 

$0.051

 

Current Annualized Distribution per Common Share2

 

 

$0.612

 

Leverage as of August 31, 20103

 

 

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 is not constant and is subject to change.

 

3

Represents reverse repurchase agreements, treasury roll transactions and TALF 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 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

8/31/10

 

8/31/09

 

Change

 

High

 

Low

 













Market Price

 

$

10.56

 

$

9.65

 

 

9.43

%

$

10.68

 

$

9.10

 

Net Asset Value

 

$

11.07

 

$

10.02

 

 

10.48

%

$

11.08

 

$

9.79

 


















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

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 







Corporate Bonds

 

38

%

 

36

%

 

U.S. Government Sponsored Agency Securities

 

23

 

 

21

 

 

U.S. Treasury Obligations

 

18

 

 

14

 

 

Non-Agency Mortgage-Backed Securities

 

12

 

 

19

 

 

Asset-Backed Securities

 

4

 

 

4

 

 

Taxable Municipal Bonds

 

2

 

 

2

 

 

Foreign Agency Obligations

 

2

 

 

2

 

 

Preferred Securities

 

1

 

 

2

 

 









 

 

 

 

 

 

 

 









Credit Quality Allocations4

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 







AAA/Aaa5

 

41

%

 

43

%

 

Aa/Aa

 

11

 

 

9

 

 

A

 

20

 

 

17

 

 

BBB/Baa

 

12

 

 

12

 

 

BB/Ba

 

9

 

 

8

 

 

B

 

6

 

 

5

 

 

CCC/Caa

 

1

 

 

5

 

 

Not Rated

 

 

 

1

 

 










 

 

 

 

4

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

 

 

 

 

5

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


 

 

 

 


 

ANNUAL REPORT

AUGUST 31, 2010

9




 

 


 

 

Trust Summary as of August 31, 2010

BlackRock Income Trust, Inc.


 


Trust Overview


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.

 


Performance


For the 12 months ended August 31, 2010, the Trust returned 11.19% based on market price and 13.86% based on NAV. For the same period, the closed-end Lipper US Mortgage Funds category posted an average return of 25.95% based on market price and 18.75% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened 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. The Trust’s underweight in agency mortgage-backed securities (MBS), in favor of US Treasuries and agency debt, detracted from performance as spread sectors (those driven by movements in credit risk) continued to rally during the period. The Trust makes use of derivatives to hedge interest rate risks associated with mortgage-related assets. Derivative losses were concentrated among the use of interest rate futures and interest rate swaps. The losses associated with these derivative positions are largely offset by long positions in mortgage assets. Conversely, the Trust benefited from its allocations to non-agency MBS and commercial MBS. Both of these sectors outperformed agency MBS as risk assets continued to rally on the extended accommodative monetary policy and improving (albeit mixed) economic indicators. In addition, the Trust benefited from security selection with a focus on active management of mortgage exposure across the spectrum of coupon rates.

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.

 

 

 

 

 


Trust Information


 

 

 

 

 

Symbol on NYSE

 

 

BKT

 

Initial Offering Date

 

 

July 22, 1988

 

Yield on Closing Market Price as of August 31, 2010 ($6.95)1

 

 

4.14%

 

Current Monthly Distribution per Common Share2

 

 

$0.024

 

Current Annualized Distribution per Common Share2

 

 

$0.288

 

Leverage as of August 31, 20103

 

 

18%

 







 

 

 

 

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 is not constant and is subject to change.

 

 

 

 

3

Represents reverse repurchase agreements, treasury roll transactions and TALF 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 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

8/31/10

 

8/31/09

 

Change

 

High

 

Low

 


















Market Price

 

$

6.95

 

$

6.53

 

 

6.43

%

$

6.99

 

$

6.18

 

Net Asset Value

 

$

7.76

 

$

7.12

 

 

8.99

%

$

7.78

 

$

7.12

 


















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

 

 

 

 

 

 

 

 









Portfolio Composition

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 







U.S. Government Sponsored Agency Securities

 

83

%

 

83

%

 

U.S. Treasury Obligations

 

11

 

 

6

 

 

Non-Agency Mortgage Backed Securities

 

5

 

 

9

 

 

Asset-Backed Securities

 

1

 

 

2

 

 









 

 

 

 

 

 

 

 









Credit Quality Allocations4

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 







AAA/Aaa5

 

100

%

 

100

%

 










 

 

 

 

4

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

 

 

 

 

5

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


 

 

 

 


10

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Trust Summary as of August 31, 2010

BlackRock Strategic Bond Trust


 


Trust Overview


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.

 


Performance


For the 12 months ended August 31, 2010, the Trust returned 23.88% based on market price and 20.38% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) posted an average return of 34.35% based on market price and 26.92% 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. The Trust’s allocation to investment-grade credit and bank loans detracted from performance relative to the Lipper category competitors that invest primarily in high yield bonds, which outperformed the broader market during the period. The Trust’s relatively conservative amount of leverage (averaging below 10% of total managed assets) detracted from the Trust’s performance versus its more highly levered competitors, as would be expected in an advancing market. Contributing positively to performance was the Trust’s allocation to high yield bonds and our focus on sectors and companies with relatively stable cash flows and the ability to generate steady income. Investments in a few special situations and recovery stories, most notably in the automotive sector, also aided performance.

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.

 

 

 

 

 


Trust Information


 

 

 

 

 

Symbol on NYSE

 

 

BHD

 

Initial Offering Date

 

 

February 26, 2002

 

Yield on Closing Market Price as of August 31, 2010 ($13.17)1

 

 

7.02%

 

Current Monthly Distribution per Common Share2

 

 

$0.077

 

Current Annualized Distribution per Common Share2

 

 

$0.924

 

Leverage as of August 31, 20103

 

 

11%

 







 

 

 

 

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

A change in the distribution rate was declared on September 1, 2010. The Monthly Distribution per Share was increased to $0.0795. The Yield on Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

 

 

 

 

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 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

 

8/31/10

 

8/31/09

 

Change

 

High

 

Low

 


















Market Price

 

$

13.17

 

$

11.43

 

 

15.22

%

$

13.44

 

$

10.91

 

Net Asset Value

 

$

13.57

 

$

12.12

 

 

11.96

%

$

13.66

 

$

12.11

 


















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

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 







Corporate Bonds

 

85

%

 

87

%

 

Floating Rate Loan Interests

 

11

 

 

11

 

 

Preferred Securities

 

2

 

 

1

 

 

Other Interests

 

1

 

 

 

 

Common Stocks

 

1

 

 

1

 

 









 

 

 

 

 

 

 

 









Credit Quality Allocations4

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

8/31/10

 

8/31/09

 









AAA/Aaa

 

 

 

1

%

 

AA/Aa

 

3

%

 

1

 

 

A

 

14

 

 

18

 

 

BBB/Baa

 

13

 

 

16

 

 

BB/Ba

 

28

 

 

26

 

 

B

 

33

 

 

17

 

 

CCC/Caa

 

8

 

 

15

 

 

CC/Ca

 

 

 

3

 

 

D

 

 

 

1

 

 

Not Rated

 

1

 

 

2

 

 










 

 

 

 

4

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


 

 

 

 


 

ANNUAL REPORT

AUGUST 31, 2010

11




 


 

The Benefits and Risks of Leveraging

 

The Trusts may utilize leverage to seek to enhance the yield and NAV. However, these objectives cannot be achieved in all interest rate environments.

The Trusts may utilize leverage by borrowing through a credit facility, participation in the TALF, 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 will be based on short-term interest rates, which normally will 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 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 of 6%, the yield curve has a negative slope. In this case, the Trust pays interest expense on the 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 Trust’s 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 Trust’s borrowings do not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trust’s NAV 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 and shareholders, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in each Trust’s NAV, market price and dividend rate than a comparable portfolio without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, each Trust’s 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, the Trusts are permitted to borrow through their credit facility, through participation in the TALF or entering into reverse repurchase agreements up to 331/3% of their total managed assets. As of August 31, 2010, the Trusts had outstanding leverage from borrowings as a percentage of their total managed assets as follows:

 

 

 

 

 





 

 

Percent of
Leverage

 





BHK

 

31

%

 

HYV

 

19

%

 

HYT

 

18

%

 

HIS

 

17

%

 

BHY

 

16

%

 

BNA

 

29

%

 

BKT

 

18

%

 

BHD

 

11

%

 







 


 

Derivative Financial Instruments

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

 

 

 

 


12

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments August 31, 2010

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 









321 Henderson Receivables I LLC, Series 2010-1A,
Class B, 9.31%, 7/15/61 (a)

 

USD

1,150

 

$

1,337,369

 

Chase Issuance Trust, Series 2009-A7, Class A7,
0.73%, 9/17/12 (b)

 

 

3,305

 

 

3,305,475

 

Countrywide Asset-Backed Certificates, Series
2006-13, Class 3AV2, 0.41%, 1/25/37 (b)

 

 

1,415

 

 

887,237

 

Ford Credit Auto Owner Trust, Series 2009-A:

 

 

 

 

 

 

 

Class A3B, 2.78%, 5/15/13 (b)

 

 

5,405

 

 

5,485,668

 

Class A4, 6.07%, 5/15/14

 

 

2,110

 

 

2,305,772

 

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

 

EUR

620

 

 

797,814

 

Home Equity Asset Trust, Series 2007-2, Class 2A1,
0.37%, 7/25/37 (b)

 

USD

294

 

 

284,847

 

Maryland Insurance Backed Securities Trust, Series
2006-1A, Class A, 5.55%, 12/10/65

 

 

2,500

 

 

875,000

 

Nelnet Student Loan Trust, Series 2008-3, Class A4,
4.61%, 11/25/24 (b)

 

 

650

 

 

674,375

 

Nissan Auto Receivables Owner Trust, Series 2009-A,
Class A2, 2.94%, 7/15/11

 

 

213

 

 

213,369

 

SLM Student Loan Trust, Series 2008-5 (b):

 

 

 

 

 

 

 

Class A2, 1.60%, 10/25/16

 

 

3,200

 

 

3,246,604

 

Class A3, 1.80%, 1/25/18

 

 

1,140

 

 

1,175,352

 

Class A4, 2.20%, 7/25/23

 

 

2,330

 

 

2,431,780

 

Santander Drive Auto Receivables Trust,
Series 2010-2:

 

 

 

 

 

 

 

Class B, 2.24%, 12/15/14

 

 

860

 

 

859,871

 

Class C, 3.89%, 7/17/17

 

 

1,010

 

 

1,010,000

 

Small Business Administration, Class 1:

 

 

 

 

 

 

 

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

 

 

427

 

 

454,191

 

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

 

 

257

 

 

273,784

 

 

 

 

 

 



 

 

 

 

 

 

 

25,618,508

 









Interest Only — 0.3%

 

 

 

 

 

 

 

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

 

 

4,748

 

 

250,767

 

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

 

 

7,549

 

 

771,402

 

 

 

 

 

 



 

 

 

 

 

 

 

1,022,169

 









Total Asset-Backed Securities — 7.0%

 

 

 

 

 

26,640,677

 









 

 

 

 

 

 

 

 


 

Common Stocks

 

Shares

 

 

 

 









Machinery — 0.0%

 

 

 

 

 

 

 

Accuride Corp. (c)

 

 

43,487

 

 

47,836

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. (c)

 

 

2,249

 

 

11,492

 









Total Common Stocks — 0.0%

 

 

 

 

 

59,328

 









 

 

 

 

 

 

 

 


 

Corporate Bonds

 

Par
(000
)

 

 

 

 









Aerospace & Defense — 0.9%

 

 

 

 

 

 

 

Northrop-Grumman Corp., 7.88%, 3/01/26

 

USD

960

 

 

1,335,394

 

United Technologies Corp.:

 

 

 

 

 

 

 

4.88%, 5/01/15

 

 

1,125

 

 

1,281,138

 

6.13%, 7/15/38

 

 

700

 

 

861,747

 

 

 

 

 

 



 

 

 

 

 

 

 

3,478,279

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Airlines — 0.2%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust, Series
2001-02, 7.86%, 4/01/13

 

USD

380

 

$

397,670

 

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

 

 

337

 

 

375,764

 

 

 

 

 

 



 

 

 

 

 

 

 

773,434

 









Beverages — 1.1%

 

 

 

 

 

 

 

Anheuser-Busch InBev Worldwide, Inc., 7.75%,
1/15/19 (a)

 

 

2,950

 

 

3,778,268

 

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

 

EUR

355

 

 

461,121

 

 

 

 

 

 



 

 

 

 

 

 

 

4,239,389

 









Building Products — 0.3%

 

 

 

 

 

 

 

Associated Materials LLC, 9.88%, 11/15/16

 

USD

650

 

 

689,000

 

CPG International I, Inc., 10.50%, 7/01/13

 

 

200

 

 

199,750

 

Momentive Performance Materials, Inc., Series WI,
9.75%, 12/01/14

 

 

250

 

 

244,063

 

 

 

 

 

 



 

 

 

 

 

 

 

1,132,813

 









Capital Markets — 4.0%

 

 

 

 

 

 

 

CDP Financial, Inc. (a)(d):

 

 

 

 

 

 

 

3.00%, 11/25/14

 

 

1,935

 

 

1,997,843

 

5.60%, 11/25/39

 

 

2,935

 

 

3,344,562

 

Credit Suisse, 5.50%, 5/01/14

 

 

575

 

 

636,473

 

The Goldman Sachs Group, Inc.:

 

 

 

 

 

 

 

3.70%, 8/01/15

 

 

800

 

 

809,874

 

5.38%, 3/15/20

 

 

1,200

 

 

1,238,501

 

6.00%, 6/15/20

 

 

1,770

 

 

1,906,686

 

Morgan Stanley:

 

 

 

 

 

 

 

2.88%, 5/14/13 (b)

 

 

1,890

 

 

1,909,248

 

4.20%, 11/20/14 (d)

 

 

1,420

 

 

1,462,316

 

4.00%, 7/24/15

 

 

410

 

 

411,901

 

6.25%, 8/28/17

 

 

875

 

 

952,527

 

5.63%, 9/23/19 (e)

 

 

630

 

 

641,126

 

 

 

 

 

 



 

 

 

 

 

 

 

15,311,057

 









Chemicals — 1.1%

 

 

 

 

 

 

 

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

 

 

250

 

 

247,187

 

Ames True Temper, Inc., 4.53%, 1/15/12 (b)

 

 

650

 

 

648,375

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

9.75%, 11/15/14

 

 

920

 

 

903,900

 

8.88%, 2/01/18

 

 

595

 

 

550,375

 

Huntsman International LLC, 6.88%, 11/15/13 (a)

 

EUR

435

 

 

542,985

 

Innophos, Inc., 8.88%, 8/15/14

 

USD

885

 

 

907,125

 

NOVA Chemicals Corp.:

 

 

 

 

 

 

 

6.50%, 1/15/12

 

 

115

 

 

117,588

 

3.65%, 11/15/13 (b)

 

 

300

 

 

280,125

 

 

 

 

 

 



 

 

 

 

 

 

 

4,197,660

 









Commercial Banks — 3.4%

 

 

 

 

 

 

 

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

 

 

3,775

 

 

2,977,648

 

Dexia Credit Local SA, 2.00%, 3/05/13 (a)

 

 

1,060

 

 

1,067,137

 

Eksportfinans ASA:

 

 

 

 

 

 

 

1.88%, 4/02/13

 

 

2,835

 

 

2,889,503

 

3.00%, 11/17/14

 

 

1,475

 

 

1,552,671

 

5.50%, 6/26/17

 

 

950

 

 

1,126,979

 

HSBC Bank Plc, 3.50%, 6/28/15 (a)

 

 

780

 

 

813,212

 

HSBC Bank USA NA, 5.88%, 11/01/34

 

 

775

 

 

827,559

 

HSBC Holdings Plc, 6.50%, 5/02/36

 

 

300

 

 

342,016

 

The Toronto-Dominion Bank, 2.20%, 7/29/15 (a)

 

 

1,330

 

 

1,354,799

 

 

 

 

 

 



 

 

 

 

 

 

 

12,951,524

 










 


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:

 

 

CAD

Canadian Dollar

EUR

Euro

FKA

Formerly Known As

GBP

British Pound

GO

General Obligation Bonds

LIBOR

London Inter-Bank Offered Rate

RB

Revenue Bonds

USD

US Dollar


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

13




 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Commercial Services & Supplies — 0.1%

 

 

 

 

 

 

 

West Corp., 9.50%, 10/15/14

 

USD

305

 

$

311,100

 









Consumer Finance — 0.2%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

7.80%, 6/01/12

 

 

340

 

 

357,796

 

3.28%, 1/13/12 (b)

 

 

125

 

 

122,500

 

SLM Corp., Series A, 0.80%, 1/27/14 (b)

 

 

550

 

 

448,894

 

 

 

 

 

 



 

 

 

 

 

 

 

929,190

 









Containers & Packaging — 1.2%

 

 

 

 

 

 

 

Ball Corp.:

 

 

 

 

 

 

 

7.38%, 9/01/19

 

 

270

 

 

289,575

 

6.75%, 9/15/20

 

 

675

 

 

710,437

 

Berry Plastics Corp., 8.88%, 9/15/14

 

 

690

 

 

657,225

 

Crown Americas LLC, 7.75%, 11/15/15

 

 

150

 

 

155,625

 

Impress Holdings BV, 3.65%, 9/15/13 (a)(b)

 

 

300

 

 

283,500

 

Pregis Corp., 12.38%, 10/15/13

 

 

545

 

 

545,000

 

Smurfit Kappa Acquisitions (a):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

725

 

 

937,132

 

7.75%, 11/15/19

 

 

685

 

 

889,768

 

 

 

 

 

 



 

 

 

 

 

 

 

4,468,262

 









Diversified Financial Services — 5.1%

 

 

 

 

 

 

 

Ally Financial Inc., 8.30%, 2/12/15 (a)

 

USD

3,500

 

 

3,640,000

 

Bank of America Corp. (e):

 

 

 

 

 

 

 

7.63%, 6/01/19

 

 

450

 

 

526,706

 

5.63%, 7/01/20

 

 

1,310

 

 

1,349,588

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.88%, 2/15/11

 

GBP

550

 

 

854,050

 

7.13%, 1/16/12

 

EUR

650

 

 

852,543

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

6.15%, 8/07/37 (e)

 

USD

4,150

 

 

4,411,226

 

5.88%, 1/14/38

 

 

177

 

 

181,999

 

6.88%, 1/10/39

 

 

135

 

 

158,012

 

JPMorgan Chase & Co.:

 

 

 

 

 

 

 

3.70%, 1/20/15 (d)

 

 

3,425

 

 

3,585,191

 

6.00%, 1/15/18

 

 

125

 

 

141,947

 

6.30%, 4/23/19 (e)

 

 

2,000

 

 

2,298,422

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (a)

 

 

1,000

 

 

1,007,500

 

Reynolds Group Issuer, Inc., 7.75%, 10/15/16 (a)

 

EUR

550

 

 

707,436

 

 

 

 

 

 



 

 

 

 

 

 

 

19,714,620

 









Diversified Telecommunication Services — 6.0%

 

 

 

 

 

 

 

AT&T Inc.:

 

 

 

 

 

 

 

6.45%, 6/15/34

 

USD

780

 

 

884,895

 

6.30%, 1/15/38

 

 

600

 

 

687,540

 

6.55%, 2/15/39

 

 

3,375

 

 

3,999,550

 

BellSouth Telecommunications, Inc.,
8.18%, 12/15/95 (f)

 

 

1,700

 

 

1,256,917

 

Comcast Cable Holdings LLC, 7.88%, 8/01/13

 

 

10

 

 

11,492

 

GCI, Inc., 8.63%, 11/15/19

 

 

1,700

 

 

1,785,000

 

Nordic Telephone Co. Holdings ApS, 8.88%,
5/01/16 (a)

 

 

120

 

 

126,000

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

60

 

 

61,125

 

Series B, 7.50%, 2/15/14

 

 

30

 

 

30,562

 

Qwest Corp.:

 

 

 

 

 

 

 

8.88%, 3/15/12

 

 

120

 

 

132,000

 

8.38%, 5/01/16

 

 

180

 

 

209,700

 

Telecom Italia Capital SA:

 

 

 

 

 

 

 

4.95%, 9/30/14

 

 

1,075

 

 

1,129,895

 

6.00%, 9/30/34

 

 

1,550

 

 

1,477,026

 

Telefonica Emisiones SAU, 7.05%, 6/20/36

 

 

1,975

 

 

2,375,635

 

Telefonica Europe BV, 7.75%, 9/15/10

 

 

725

 

 

726,140

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

6.40%, 2/15/38 (d)

 

 

2,125

 

 

2,486,802

 

8.95%, 3/01/39

 

 

900

 

 

1,336,347

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Diversified Telecommunication Services
(concluded)

 

 

 

 

 

 

 

Verizon Global Funding Corp., 7.75%, 12/01/30

 

USD

70

 

$

91,284

 

Verizon Maryland, Inc., Series B, 5.13%, 6/15/33

 

 

125

 

 

115,659

 

Verizon New Jersey, Inc.:

 

 

 

 

 

 

 

5.88%, 1/17/12

 

 

335

 

 

354,896

 

7.85%, 11/15/29

 

 

230

 

 

270,354

 

Verizon Virginia, Inc., Series A, 4.63%, 3/15/13 (d)

 

 

3,150

 

 

3,354,290

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

60

 

 

63,975

 

8.63%, 8/01/16

 

 

90

 

 

92,925

 

7.88%, 11/01/17

 

 

60

 

 

60,900

 

 

 

 

 

 



 

 

 

 

 

 

 

23,120,909

 









Electric Utilities — 4.7%

 

 

 

 

 

 

 

Alabama Power Co., 6.00%, 3/01/39

 

 

1,275

 

 

1,525,849

 

Commonwealth Edison Co., 4.00%, 8/01/20

 

 

480

 

 

506,574

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

315

 

 

377,098

 

6.00%, 1/15/38

 

 

825

 

 

998,572

 

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

 

 

1,400

 

 

1,532,030

 

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

 

 

1,525

 

 

1,950,168

 

Elwood Energy LLC, 8.16%, 7/05/26

 

 

98

 

 

90,516

 

Florida Power & Light Co., 4.95%, 6/01/35

 

 

950

 

 

1,000,928

 

Florida Power Corp.:

 

 

 

 

 

 

 

6.35%, 9/15/37

 

 

1,325

 

 

1,661,205

 

6.40%, 6/15/38

 

 

875

 

 

1,098,766

 

PacifiCorp., 6.25%, 10/15/37

 

 

575

 

 

712,324

 

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

 

 

1,200

 

 

1,507,590

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.63%, 2/01/36

 

 

625

 

 

721,936

 

Series 05-E, 5.35%, 7/15/35

 

 

125

 

 

139,093

 

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

 

 

1,075

 

 

1,302,613

 

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

 

 

350

 

 

398,501

 

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

 

 

2,000

 

 

2,398,174

 

 

 

 

 

 



 

 

 

 

 

 

 

17,921,937

 









Energy Equipment & Services — 0.7%

 

 

 

 

 

 

 

Expro Finance Luxembourg SCA, 8.50%,
12/15/16 (a)

 

 

1,400

 

 

1,309,000

 

North American Energy Alliance LLC, 10.88%,
6/01/16 (a)

 

 

985

 

 

1,063,800

 

Thermon Industries, Inc., 9.50%, 5/01/17 (a)

 

 

180

 

 

184,500

 

 

 

 

 

 



 

 

 

 

 

 

 

2,557,300

 









Food & Staples Retailing — 0.9%

 

 

 

 

 

 

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37

 

 

1,900

 

 

2,447,318

 

6.20%, 4/15/38

 

 

850

 

 

1,047,543

 

 

 

 

 

 



 

 

 

 

 

 

 

3,494,861

 









Food Products — 0.5%

 

 

 

 

 

 

 

Kraft Foods, Inc., 7.00%, 8/11/37

 

 

1,455

 

 

1,810,035

 









Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

Covidien International Finance SA, 2.80%, 6/15/15

 

 

230

 

 

237,382

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

860

 

 

921,275

 

 

 

 

 

 



 

 

 

 

 

 

 

1,158,657

 









Health Care Providers & Services — 0.3%

 

 

 

 

 

 

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

410

 

 

436,650

 

10.00%, 5/01/18

 

 

170

 

 

191,250

 

8.88%, 7/01/19

 

 

330

 

 

356,813

 

 

 

 

 

 



 

 

 

 

 

 

 

984,713

 









Hotels, Restaurants & Leisure — 0.3%

 

 

 

 

 

 

 

McDonald’s Corp., 5.70%, 2/01/39

 

 

825

 

 

988,829

 










 

 

 

 

See Notes to Financial Statements.


14

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Household Durables — 1.7%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

6.88%, 7/15/15

 

USD

210

 

$

181,650

 

8.13%, 6/15/16

 

 

255

 

 

223,125

 

12.00%, 10/15/17

 

 

1,050

 

 

1,182,562

 

Belvoir Land LLC, Series A-1, 5.27%, 12/15/47 (a)

 

 

300

 

 

256,932

 

Irwin Land LLC (a):

 

 

 

 

 

 

 

Series A-1, 5.03%, 12/15/25

 

 

525

 

 

502,288

 

Series A-2, 5.40%, 12/15/47

 

 

1,500

 

 

1,259,415

 

Ohana Military Communities LLC, Series 04I, 6.19%,
4/01/49 (a)

 

 

350

 

 

355,702

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

160

 

 

149,200

 

7.00%, 8/15/15

 

 

225

 

 

207,000

 

10.75%, 9/15/16

 

 

2,100

 

 

2,210,250

 

 

 

 

 

 



 

 

 

 

 

 

 

6,528,124

 









Household Products — 0.3%

 

 

 

 

 

 

 

Kimberly-Clark, Corp., 6.63%, 8/01/37

 

 

850

 

 

1,133,405

 









IT Services — 0.2%

 

 

 

 

 

 

 

iPayment, Inc., 9.75%, 5/15/14

 

 

240

 

 

216,900

 

iPayment Investors LP, 12.75%, 7/15/14 (a)(g)

 

 

812

 

 

694,010

 

 

 

 

 

 



 

 

 

 

 

 

 

910,910

 









Independent Power Producers &
Energy Traders — 0.7%

 

 

 

 

 

 

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (a)

 

 

1,000

 

 

1,050,000

 

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

 

 

1,520

 

 

1,463,765

 

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

 

 

97

 

 

93,215

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

35

 

 

35,700

 

7.38%, 2/01/16

 

 

5

 

 

5,038

 

7.38%, 1/15/17

 

 

15

 

 

15,112

 

 

 

 

 

 



 

 

 

 

 

 

 

2,662,830

 









Industrial Conglomerates — 0.7%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

690

 

 

710,700

 

13.50%, 12/01/15 (g)

 

 

1,940

 

 

2,018,008

 

 

 

 

 

 



 

 

 

 

 

 

 

2,728,708

 









Insurance — 1.8%

 

 

 

 

 

 

 

Chubb Corp., 6.00%, 5/11/37

 

 

1,100

 

 

1,271,766

 

Hartford Life Global Funding Trusts, 0.72%,
6/16/14 (b)

 

 

425

 

 

398,512

 

Metropolitan Life Global Funding I (a):

 

 

 

 

 

 

 

2.50%, 1/11/13 (d)

 

 

2,545

 

 

2,601,143

 

5.13%, 6/10/14

 

 

775

 

 

858,530

 

Prudential Financial, Inc.:

 

 

 

 

 

 

 

5.70%, 12/14/36

 

 

675

 

 

689,793

 

Series D, 5.90%, 3/17/36

 

 

500

 

 

523,729

 

Teachers Insurance & Annuity Association of America,
6.85%, 12/16/39 (a)

 

 

505

 

 

632,242

 

 

 

 

 

 



 

 

 

 

 

 

 

6,975,715

 









Machinery — 0.9%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

 

310

 

 

263,500

 

Accuride Corp., 7.50%, 2/26/20 (g)(h)

 

 

5

 

 

11,771

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (h)

 

 

1,130

 

 

1,233,113

 

8.25%, 11/01/21

 

 

1,400

 

 

1,466,500

 

Titan International, Inc., 5.63%, 1/15/17 (a)(h)

 

 

340

 

 

404,600

 

 

 

 

 

 



 

 

 

 

 

 

 

3,379,484

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Marine — 0.8%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (h)

 

USD

2,355

 

$

1,978,200

 

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

 

 

1,050

 

 

1,155,063

 

 

 

 

 

 



 

 

 

 

 

 

 

3,133,263

 









Media — 5.9%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.13%, 10/15/13

 

 

695

 

 

712,375

 

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

 

 

1,850

 

 

2,192,695

 

CMP Susquehanna Corp., 3.64%, 5/15/14 (a)(b)

 

 

52

 

 

1,040

 

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

 

 

1,132

 

 

1,187,185

 

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

 

 

600

 

 

843,281

 

Comcast Corp.:

 

 

 

 

 

 

 

6.45%, 3/15/37

 

 

790

 

 

899,523

 

6.40%, 3/01/40

 

 

300

 

 

342,311

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

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

 

 

908

 

 

907,900

 

Loan Close 3, 12.00%, 8/15/18

 

 

1,050

 

 

1,050,000

 

Shares Loan, 4.00%, 8/15/18

 

 

1,071

 

 

1,070,532

 

DIRECTV Holdings LLC, 6.00%, 8/15/40

 

 

240

 

 

252,594

 

Discovery Communications LLC, 3.70%, 6/01/15

 

 

480

 

 

504,946

 

Interactive Data Corp., 10.25%, 8/01/18 (a)

 

 

1,480

 

 

1,535,500

 

NBC Universal, Inc., 5.15%, 4/30/20 (a)

 

 

680

 

 

731,937

 

News America Holdings, Inc.:

 

 

 

 

 

 

 

7.70%, 10/30/25

 

 

825

 

 

1,053,906

 

8.45%, 8/01/34

 

 

625

 

 

841,667

 

News America, Inc., 7.63%, 11/30/28

 

 

985

 

 

1,178,410

 

Nielsen Finance LLC, 10.00%, 8/01/14

 

 

500

 

 

525,000

 

Rainbow National Services LLC (a):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

200

 

 

200,250

 

10.38%, 9/01/14

 

 

943

 

 

978,362

 

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

 

 

610

 

 

756,182

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (a)

 

 

490

 

 

467,950

 

Time Warner Cable, Inc., 7.30%, 7/01/38

 

 

930

 

 

1,149,207

 

Time Warner Cos., Inc.:

 

 

 

 

 

 

 

6.95%, 1/15/28

 

 

70

 

 

81,557

 

6.63%, 5/15/29

 

 

90

 

 

102,124

 

Time Warner, Inc.:

 

 

 

 

 

 

 

7.63%, 4/15/31

 

 

205

 

 

255,516

 

7.70%, 5/01/32

 

 

85

 

 

107,042

 

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

 

 

2,600

 

 

2,671,500

 

 

 

 

 

 



 

 

 

 

 

 

 

22,600,492

 









Metals & Mining — 1.6%

 

 

 

 

 

 

 

AK Steel Corp., 7.63%, 5/15/20

 

 

15

 

 

15,113

 

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

 

 

270

 

 

282,064

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (a)

 

 

1,115

 

 

1,166,569

 

7.38%, 2/15/16

 

 

375

 

 

375,469

 

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

 

 

1,250

 

 

1,268,134

 

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

 

 

280

 

 

340,550

 

McJunkin Red Man Corp., 9.50%, 12/15/16 (a)

 

 

495

 

 

436,837

 

Murray Energy Corp., 10.25%, 10/15/15 (a)

 

 

245

 

 

250,512

 

New World Resources NV, 7.38%, 5/15/15

 

EUR

215

 

 

267,010

 

Novelis, Inc., 11.50%, 2/15/15

 

USD

1,070

 

 

1,177,000

 

United States Steel Corp., 7.38%, 4/01/20

 

 

715

 

 

723,937

 

 

 

 

 

 



 

 

 

 

 

 

 

6,303,195

 








 

Oil, Gas & Consumable Fuels — 6.9%

 

 

 

 

 

 

 

Arch Coal, Inc., 7.25%, 10/01/20

 

 

1,225

 

 

1,243,375

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

600

 

 

689,250

 

10.75%, 2/01/18

 

 

105

 

 

115,763

 

BP Capital Markets Plc, 3.13%, 3/10/12

 

 

1,270

 

 

1,272,195

 

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

 

 

75

 

 

81,375

 

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

 

 

875

 

 

1,145,051

 


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

15




 

 


 

 

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)

 

 

 

 

 

 

 

Canadian Natural Resources, Ltd.:

 

 

 

 

 

 

 

6.50%, 2/15/37

 

USD

410

 

$

490,465

 

6.25%, 3/15/38

 

 

375

 

 

428,373

 

6.75%, 2/01/39

 

 

1,025

 

 

1,270,969

 

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

 

 

895

 

 

1,098,195

 

Chesapeake Energy Corp., 6.63%, 8/15/20

 

 

1,300

 

 

1,304,875

 

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

 

 

535

 

 

628,674

 

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

 

 

290

 

 

299,425

 

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

 

 

625

 

 

859,685

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

670

 

 

766,882

 

6.63%, 8/15/37

 

 

700

 

 

839,668

 

Enterprise Products Operating LLC:

 

 

 

 

 

 

 

6.13%, 2/01/13

 

 

695

 

 

755,870

 

6.13%, 10/15/39

 

 

700

 

 

748,222

 

Kinder Morgan Energy Partners LP, 5.30%, 9/15/20

 

 

520

 

 

556,325

 

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

 

 

700

 

 

811,022

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

800

 

 

906,773

 

6.50%, 9/15/37

 

 

1,900

 

 

2,308,644

 

Nexen, Inc., 6.40%, 5/15/37

 

 

750

 

 

823,130

 

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

 

 

1,000

 

 

1,052,500

 

OPTI Canada, Inc., 9.00%, 12/15/12 (a)

 

 

700

 

 

701,750

 

Peabody Energy Corp., 6.50%, 9/15/20

 

 

1,230

 

 

1,293,038

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

5.88%, 3/01/18

 

 

75

 

 

81,454

 

5.75%, 1/20/20

 

 

1,725

 

 

1,848,988

 

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

 

 

680

 

 

675,995

 

Valero Energy Corp., 6.63%, 6/15/37

 

 

1,245

 

 

1,261,292

 

 

 

 

 

 



 

 

 

 

 

 

 

26,359,223

 









Paper & Forest Products — 1.1%

 

 

 

 

 

 

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

490

 

 

515,725

 

8.00%, 4/01/20

 

 

210

 

 

213,675

 

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

 

 

620

 

 

697,500

 

Glatfelter, 7.13%, 5/01/16 (a)

 

 

295

 

 

296,844

 

International Paper Co., 7.30%, 11/15/39

 

 

750

 

 

845,108

 

NewPage Corp., 11.38%, 12/31/14

 

 

1,115

 

 

905,938

 

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

 

 

745

 

 

785,975

 

 

 

 

 

 



 

 

 

 

 

 

 

4,260,765

 









Pharmaceuticals — 1.7%

 

 

 

 

 

 

 

Roche Holdings, Inc., 7.00%, 3/01/39 (a)

 

 

850

 

 

1,165,327

 

Schering-Plough Corp., 6.55%, 9/15/37

 

 

1,125

 

 

1,480,373

 

Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36

 

 

1,445

 

 

1,774,790

 

Wyeth:

 

 

 

 

 

 

 

6.00%, 2/15/36

 

 

675

 

 

821,636

 

5.95%, 4/01/37

 

 

925

 

 

1,113,760

 

 

 

 

 

 



 

 

 

 

 

 

 

6,355,886

 









Road & Rail — 0.6%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 9.63%, 3/15/18

 

 

715

 

 

747,175

 

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

 

 

950

 

 

1,067,479

 

Canadian National Railway Co., 6.25%, 8/01/34

 

 

350

 

 

441,830

 

 

 

 

 

 



 

 

 

 

 

 

 

2,256,484

 









Software — 0.2%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.59%, 2/15/12 (a)(b)(g)

 

 

129

 

 

2,577

 

Oracle Corp., 5.38%, 7/15/40 (a)

 

 

895

 

 

970,169

 

 

 

 

 

 



 

 

 

 

 

 

 

972,746

 









Textiles, Apparel & Luxury Goods — 0.0%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.88%, 4/15/15

 

 

175

 

 

161,875

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Thrifts & Mortgage Finance — 0.4%

 

 

 

 

 

 

 

Achmea Hypotheekbank NV, 3.20%,
11/03/14 (a)(d)

 

USD

1,305

 

$

1,378,488

 









Tobacco — 0.2%

 

 

 

 

 

 

 

Philip Morris International, Inc., 4.50%, 3/26/20

 

 

640

 

 

698,148

 









Wireless Telecommunication Services — 2.2%

 

 

 

 

 

 

 

Cricket Communications, Inc., 10.00%, 7/15/15

 

 

100

 

 

104,750

 

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

 

 

1,420

 

 

1,579,910

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

9.13%, 1/15/15 (g)

 

 

560

 

 

562,800

 

8.25%, 9/01/17

 

 

150

 

 

155,813

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

60

 

 

62,400

 

Nextel Communications, Inc., Series E,
6.88%, 10/31/13

 

 

770

 

 

768,075

 

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

 

 

1,150

 

 

1,528,062

 

SBA Tower Trust, 4.25%, 4/15/40 (a)

 

 

950

 

 

1,013,716

 

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

 

 

775

 

 

647,125

 

Vodafone Group Plc, 4.15%, 6/10/14

 

 

2,050

 

 

2,202,180

 

 

 

 

 

 



 

 

 

 

 

 

 

8,624,831

 









Total Corporate Bonds — 59.2%

 

 

 

 

 

226,969,141

 









 

 

 

 

 

 

 

 


 

Foreign Agency Obligations

 

 

 

 

 

 

 









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

 

EUR

160

 

 

105,934

 

Israel Government AID Bond:

 

 

 

 

 

 

 

5.50%, 4/26/24

 

USD

825

 

 

1,029,400

 

5.50%, 9/18/33

 

 

845

 

 

1,041,193

 

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

 

 

455

 

 

472,646

 

Japan Finance Corp., 2.00%, 6/24/11

 

 

860

 

 

869,304

 

Kreditanstalt fuer Wiederaufbau:

 

 

 

 

 

 

 

1.38%, 7/15/13

 

 

660

 

 

668,719

 

2.75%, 9/08/20

 

 

300

 

 

297,870

 

Landwirtschaftliche Rentenbank:

 

 

 

 

 

 

 

4.13%, 7/15/13

 

 

115

 

 

124,799

 

Series E, 5.25%, 7/02/12

 

 

395

 

 

426,385

 

Series E, 4.38%, 1/15/13

 

 

250

 

 

270,788

 

Series E, 4.00%, 2/02/15

 

 

230

 

 

254,765

 

Mexico Government International Bond,
5.63%, 1/15/17

 

 

370

 

 

415,325

 

Province of Ontario Canada:

 

 

 

 

 

 

 

4.10%, 6/16/14

 

 

1,205

 

 

1,325,623

 

Series 1, 1.88%, 11/19/12

 

 

1,175

 

 

1,201,917

 

Qatari Diar Finance QSC, 3.50%, 7/21/15 (a)

 

 

910

 

 

927,290

 

Russian Foreign Bond Eurobond, 7.50%, 3/31/30

 

 

1,371

 

 

1,627,962

 

United Mexican States, Series A, 5.13%, 1/15/20

 

 

215

 

 

233,275

 









Total Foreign Agency Obligations — 2.9%

 

 

 

 

 

11,293,195

 









 

 

 

 

 

 

 

 


 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 









Collateralized Mortgage Obligations — 5.1%

 

 

 

 

 

 

 

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

 

 

1,100

 

 

878,827

 

Bear Stearns Adjustable Rate Mortgage Trust, Series
2004-8, Class 14A1, 5.39%, 11/25/34 (b)

 

 

536

 

 

508,865

 

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

 

 

1,093

 

 

768,850

 


 

 

 

 

See Notes to Financial Statements.


16

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

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 Alternative Loan Trust:

 

 

 

 

 

 

 

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

 

USD

1,600

 

$

1,312,387

 

Series 2006-0A19, Class A1, 0.45%,
2/20/47 (b)

 

 

478

 

 

253,433

 

Series 2006-0A21, Class A1, 0.46%,
3/20/47 (b)

 

 

887

 

 

465,674

 

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

 

 

800

 

 

579,452

 

Series 2007-HY4, Class 4A1, 5.71%,
6/25/47 (b)

 

 

1,027

 

 

709,863

 

Countrywide Home Loan Mortgage Pass-Through Trust:

 

 

 

 

 

 

 

Series 2006-0A5, Class 2A1, 0.46%,
4/25/46 (b)

 

 

371

 

 

209,787

 

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

 

 

864

 

 

695,902

 

Credit Suisse Mortgage Capital Certificates, Series
2007-1, Class 5A14, 6.00%, 2/25/37

 

 

670

 

 

546,917

 

Deutsche ALT-A Securities, Inc., Alternate Loan Trust,
Series 2006-0A1, Class A1, 0.46%, 2/25/47 (b)

 

 

298

 

 

179,450

 

GSR Mortgage Loan Trust:

 

 

 

 

 

 

 

Series 2005-AR4, Class 6A1, 5.25%,
7/25/35 (b)

 

 

468

 

 

437,436

 

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

 

 

928

 

 

823,172

 

Series 2006-AR1, Class 2A1, 5.00%,
1/25/36 (b)

 

 

784

 

 

621,584

 

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

 

 

1,017

 

 

917,545

 

Homebanc Mortgage Trust, Series 2006-2, Class A1,
0.44%, 12/25/36 (b)

 

 

783

 

 

557,836

 

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

 

 

1,100

 

 

885,121

 

JPMorgan Mortgage Trust:

 

 

 

 

 

 

 

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

 

 

828

 

 

762,337

 

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

 

 

755

 

 

638,681

 

Merrill Lynch Mortgage Investors, Inc., Series
2006-A3, Class 3A1, 5.64%, 5/25/36 (b)

 

 

782

 

 

531,631

 

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

 

 

599

 

 

536,144

 

Station Place Securitization Trust, Series 2009-1,
Class A, 1.76%, 1/25/40 (a)(b)

 

 

1,615

 

 

1,615,000

 

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

 

 

1,703

 

 

1,618,242

 

WaMu Mortgage Pass-Through Certificates, Series
2007-0A4, Class 1A, 1.18%, 5/25/47 (b)

 

 

436

 

 

274,613

 

Wells Fargo Mortgage-Backed Securities Trust:

 

 

 

 

 

 

 

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

 

 

659

 

 

636,959

 

Series 2006-3, Class A9, 5.50%, 3/25/36

 

 

548

 

 

532,642

 

Series 2007-8, Class 2A9, 6.00%, 7/25/37

 

 

608

 

 

569,009

 

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

 

 

488

 

 

415,881

 

 

 

 

 

 



 

 

 

 

 

 

 

19,483,240

 









Commercial Mortgage-Backed Securities — 10.9%

 

 

 

 

 

 

 

CS First Boston Mortgage Securities Corp., Series
2002-CP5, Class A2, 4.94%, 12/15/35

 

 

2,720

 

 

2,884,107

 

Citigroup Commercial Mortgage Trust, Series 2008-C7,
Class A4, 6.29%, 12/10/49 (b)

 

 

1,370

 

 

1,461,833

 

Commercial Mortgage Pass-Through Certificates,
Series 2004-LB3A, Class A3, 5.09%, 7/10/37 (b)

 

 

960

 

 

980,714

 

First Union National Bank Commercial Mortgage:

 

 

 

 

 

 

 

Series 2001-C3, Class A3, 6.42%, 8/15/33

 

 

2,655

 

 

2,724,606

 

Series 2001-C4, Class A2, 6.22%, 12/12/33

 

 

2,200

 

 

2,289,874

 

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

 

 

2,350

 

 

2,489,256

 

JPMorgan Chase Commercial Mortgage Securities Corp.:

 

 

 

 

 

 

 

Series 2001-C1, Class A3, 5.86%, 10/12/35

 

 

2,114

 

 

2,191,592

 

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

 

 

827

 

 

847,078

 

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

 

 

2,180

 

 

2,225,592

 


 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 







Commercial Mortgage-Backed Securities
(concluded)

 

 

 

 

 

 

 

LB-UBS Commercial Mortgage Trust, Series 2007-C6,
Class A4, 5.86%, 7/15/40 (b)

 

USD

931

 

$

960,202

 

Merrill Lynch Mortgage Trust, Series 2004 BPC1,
Class A3, 4.47%, 10/12/41 (b)

 

 

4,200

 

 

4,283,743

 

Morgan Stanley Capital I, Series 2005-T17, Class A4,
4.52%, 12/13/41

 

 

2,525

 

 

2,589,807

 

Wachovia Bank Commercial Mortgage Trust:

 

 

 

 

 

 

 

Series 2005-C21, Class A3, 5.38%,
10/15/44 (b)

 

 

624

 

 

624,546

 

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

 

 

14,000

 

 

14,389,848

 

Series 2007-C33, Class A4, 6.10%, 2/15/51 (b)

 

 

995

 

 

1,010,471

 

 

 

 

 

 



 

 

 

 

 

 

 

41,953,269

 









Total Non-Agency Mortgage-Backed Securities — 16.0%

 

 

 

 

 

61,436,509

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000
)

 

 

 

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

 

2

 

 

381

 









Total Other Interests — 0.0%

 

 

 

 

 

381

 









 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000
)

 

 

 

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

Credit Suisse Guernsey Ltd., 5.86% (b)(k)

 

 

494

 

 

452,010

 









Electric Utilities — 0.2%

 

 

 

 

 

 

 

PECO Energy Capital Trust IV, 5.75%, 6/15/33

 

 

790

 

 

667,598

 









Insurance — 0.9%

 

 

 

 

 

 

 

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

 

 

1,950

 

 

1,774,500

 

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

 

 

675

 

 

567,000

 

The Travelers Cos., Inc., 6.25%, 3/15/67 (b)

 

 

675

 

 

647,465

 

ZFS Finance (USA) Trust V, 6.50%, 5/09/67 (a)(b)

 

 

675

 

 

610,875

 

 

 

 

 

 



 

 

 

 

 

 

 

3,599,840

 









Total Capital Trusts — 1.2%

 

 

 

 

 

4,719,448

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.,
0.00% (a)(b)(c)

 

 

12,033

 

 

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Lazydays RV Center, Inc., 0.00% (c)

 

 

48

 

 

56,838

 









Total Preferred Stocks — 0.0%

 

 

 

 

 

56,838

 









Total Preferred Securities — 1.2%

 

 

 

 

 

4,776,286

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

17




 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

Value

 









The Board of Trustees of The Leland Stanford Junior
University, 4.25%, 5/01/16

 

USD

435

 

$

491,106

 

City of Chicago Illinois, RB, Build America Bonds,
6.40%, 1/01/40

 

 

250

 

 

276,510

 

Dallas Area Rapid Transit, RB, Build America Bonds,
6.00%, 12/01/44

 

 

255

 

 

306,617

 

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

 

 

950

 

 

1,105,619

 

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

 

 

1,275

 

 

1,472,485

 

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

 

 

625

 

 

802,844

 

New York City Municipal Water Finance Authority, RB,
Build America Bonds, 5.72%, 6/15/42

 

 

700

 

 

782,621

 

New York State Dormitory Authority, RB, Build
America Bonds:

 

 

 

 

 

 

 

5.63%, 3/15/39

 

 

550

 

 

590,123

 

5.60%, 3/15/40

 

 

950

 

 

1,035,918

 

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

 

 

385

 

 

438,742

 

Princeton University, 5.70%, 3/01/39

 

 

575

 

 

697,866

 

State of California, GO:

 

 

 

 

 

 

 

Build America Bonds, 7.30%, 10/01/39

 

 

1,090

 

 

1,201,660

 

Build America Bonds, 7.35%, 11/01/39

 

 

540

 

 

622,409

 

Build America Bonds, Various Purpose,
7.50%, 4/01/34

 

 

360

 

 

408,798

 

Various Purpose, Series 3, 5.45%, 4/01/15

 

 

2,300

 

 

2,461,184

 

State of Illinois, GO, Pension, 5.10%, 6/01/33

 

 

970

 

 

826,964

 









Total Taxable Municipal Bonds — 3.5%

 

 

 

 

 

13,521,466

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

 

 

 

 

 

 









Agency Obligations — 5.7%

 

 

 

 

 

 

 

Fannie Mae:

 

 

 

 

 

 

 

6.45%, 10/09/19 (d)(l)

 

 

5,875

 

 

3,872,976

 

7.13%, 1/15/30 (d)

 

 

2,775

 

 

4,031,304

 

5.63%, 7/15/37 (m)

 

 

775

 

 

979,692

 

Federal Home Loan Banks:

 

 

 

 

 

 

 

5.38%, 9/30/22 (d)

 

 

5,400

 

 

6,517,309

 

5.25%, 12/09/22 (m)

 

 

675

 

 

805,466

 

5.37%, 9/09/24 (d)

 

 

1,075

 

 

1,299,347

 

Freddie Mac:

 

 

 

 

 

 

 

5.50%, 7/18/16

 

 

210

 

 

252,043

 

5.00%, 2/16/17

 

 

425

 

 

499,242

 

Resolution Funding Corp. (l):

 

 

 

 

 

 

 

6.40%, 7/15/18

 

 

525

 

 

430,522

 

6.39%, 10/15/18

 

 

525

 

 

425,280

 

Tennessee Valley Authority, 5.25%, 9/15/39

 

 

2,355

 

 

2,792,886

 

 

 

 

 

 



 

 

 

 

 

 

 

21,906,067

 









Collateralized Mortgage Obligations — 0.6%

 

 

 

 

 

 

 

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

 

 

1,263

 

 

1,380,715

 

Freddie Mac Mortgage-Backed Securities, Series
2825, Class VP, 5.50%, 6/15/15

 

 

885

 

 

973,240

 

 

 

 

 

 



 

 

 

 

 

 

 

2,353,955

 










 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

Par
(000)

 

Value

 







Federal Deposit Insurance Corporation
Guaranteed — 1.8%

 

 

 

 

 

 

 

Citigroup Funding, Inc. (d):

 

 

 

 

 

 

 

2.13%, 7/12/12

 

USD

1,415

 

$

1,454,399

 

1.88%, 10/22/12

 

 

2,800

 

 

2,868,505

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

2.00%, 9/28/12 (d)

 

 

1,850

 

 

1,900,300

 

2.13%, 12/21/12

 

 

515

 

 

531,013

 

 

 

 

 

 



 

 

 

 

 

 

 

6,754,217

 









Interest Only Collateralized Mortgage
Obligations — 0.1%

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

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

 

 

795

 

 

35,803

 

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

 

 

3,074

 

 

366,192

 

 

 

 

 

 



 

 

 

 

 

 

 

401,995

 









Mortgage-Backed Securities — 27.5%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities (n):

 

 

 

 

 

 

 

4.00%, 4/01/25 – 9/15/40

 

 

9,038

 

 

9,481,632

 

4.50%, 9/15/40

 

 

8,500

 

 

8,925,000

 

5.00%, 9/15/25 – 9/15/40

 

 

29,192

 

 

31,025,794

 

5.50%, 9/15/25 – 9/15/40

 

 

11,339

 

 

12,126,069

 

6.00%, 8/01/29 – 9/15/40

 

 

15,967

 

 

17,256,715

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.00%, 3/01/25 – 8/15/25 (d)(n)

 

 

16,551

 

 

17,432,611

 

4.50%, 4/01/40 – 9/15/40 (n)

 

 

6,092

 

 

6,402,662

 

5.00%, 10/15/40 (n)

 

 

100

 

 

105,859

 

5.50%, 6/01/40

 

 

1,018

 

 

1,087,410

 

6.00%, 2/01/13 – 12/01/18

 

 

1,178

 

 

1,273,874

 

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

 

 

142

 

 

154,154

 

 

 

 

 

 



 

 

 

 

 

 

 

105,271,780

 









Total U.S. Government Sponsored Agency Securities — 35.7%

 

 

 

 

 

136,688,014

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 









U.S. Treasury Bonds:

 

 

 

 

 

 

 

8.13%, 8/15/21 (d)

 

 

1,550

 

 

2,361,086

 

8.00%, 11/15/21 (d)(e)

 

 

5,950

 

 

9,022,616

 

1.00%, 4/30/12 (d)

 

 

2,345

 

 

2,366,527

 

1.75%, 7/31/15 (d)

 

 

15,095

 

 

15,411,089

 

1.25%, 8/31/15

 

 

5,250

 

 

5,226,211

 

4.25%, 5/15/39 (d)

 

 

6,045

 

 

6,828,015

 

U.S. Treasury Notes:

 

 

 

 

 

 

 

2.63%, 8/15/20 (d)

 

 

57,203

 

 

57,935,916

 

4.50%, 8/15/39 (e)

 

 

290

 

 

341,022

 

4.63%, 2/15/40 (d)

 

 

4,333

 

 

5,198,248

 

4.38%, 5/15/40

 

 

2,855

 

 

3,294,402

 

3.88%, 8/15/40

 

 

1,625

 

 

1,727,325

 









Total U.S. Treasury Obligations — 28.6%

 

 

 

 

 

109,712,457

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants (o)

 

Shares

 

 

 

 








Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(Expires 3/26/19) (a)

 

 

13,751

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









Total Long-Term Investments
(Cost — $565,036,740) — 154.1%

 

 

 

 

 

591,097,454

 










 

 

 

 

See Notes to Financial Statements.


18

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 









Money Market Fund – 0.1%

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund, Institutional
Class, 0.25% (p)(q)

 

 

506,274

 

$

506,274

 









 

 

 

 

 

 

 

 

 

Par
(000
)

 

 

 

 









Borrowed Bond Agreements – 0.1%

 

 

 

 

 

 

 

JPMorgan Securities Inc., 0.13%, 9/02/10

 

USD

299

 

 

299,425

 









Total Short-Term Securities
(Cost – $805,699) – 0.2%

 

 

 

 

 

805,699

 









 

 

 

 

 

 

 

 


Options Purchased

 

Contracts

 

 

 

 









Exchange-Traded Call Options – 0.0%

 

 

 

 

 

 

 

Five-Year U.S. Treasury Note Future, Strike Price
USD 121, Expires 11/26/10

 

 

21

 

 

12,469

 









Exchange-Traded Put Options – 0.0%

 

 

 

 

 

 

 

Five-Year U.S. Treasury Note Future, Strike Price
USD 117, Expires 11/26/10

 

 

21

 

 

3,445

 









 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000
)

 

 

 

 









Over-the-Counter Call Swaptions – 1.9%

 

 

 

 

 

 

 

Pay a fixed rate of 3.93% and receive a floating rate
based on 3-month LIBOR, Expires 7/16/12,
Broker Goldman Sachs Bank USA

 

USD

4,700

 

 

439,135

 

Receive a fixed rate of 4.22% and pay a floating rate
based on 3-month LIBOR, Expires 4/29/11,
Broker Credit Suisse International

 

 

9,000

 

 

1,228,005

 

Receive a fixed rate of 3.65% and pay a floating rate
based on 3-month LIBOR, Expires 5/05/11,
Broker Credit Suisse International

 

 

5,700

 

 

516,089

 

Receive a fixed rate of 4.01% and pay a floating rate
based on 3-month LIBOR, Expires 5/16/11,
Broker Goldman Sachs Bank USA

 

 

6,000

 

 

709,542

 

Receive a fixed rate of 3.86% and pay a floating rate
based on 3-month LIBOR, Expires 5/19/11,
Broker JPMorgan Chase Bank NA

 

 

10,700

 

 

1,133,055

 

Receive a fixed rate of 4.39% and pay a floating rate
based on 3-month LIBOR, Expires 5/08/12,
Broker Citibank NA

 

 

2,400

 

 

308,861

 

Receive a fixed rate of 3.89% and pay a floating rate
based on 3-month LIBOR, Expires 7/09/12,
Broker Goldman Sachs Bank USA

 

 

4,200

 

 

382,460

 

Receive a fixed rate of 3.70% and pay a floating rate
based on 3-month LIBOR, Expires 8/03/12,
Broker Credit Suisse International

 

 

4,800

 

 

377,986

 

Receive a fixed rate of 3.72% and pay a floating rate
based on 3-month LIBOR, Expires 8/06/12,
Broker Deutsche Bank AG

 

 

6,000

 

 

477,240

 

Receive a fixed rate of 4.21% and pay a floating rate
based on 3-month LIBOR, Expires 4/22/13,
Broker JPMorgan Chase Bank NA

 

 

5,400

 

 

214,715

 

Receive a fixed rate of 5.20% and pay a floating rate
based on 3-month LIBOR, Expires 4/28/15,
Broker Citibank NA

 

 

9,300

 

 

1,371,611

 

 

 

 

 

 



 

 

 

 

 

 

 

7,158,699

 









 

 

 

 

 

 

 

 

Options Purchased

 

Notional
Amount
(000)

 

Value

 







Over-the-Counter Put Swaptions – 0.2%

 

 

 

 

 

 

 

Pay a fixed rate of 1.92% and receive a floating rate
based on 3-month LIBOR, Expires 9/02/10,
Broker Morgan Stanley Capital Services, Inc.

 

USD

25,900

 

$

259

 

Pay a fixed rate of 1.95% and receive a floating rate
based on 3-month LIBOR, Expires 9/03/10,
Broker Citibank NA

 

 

25,900

 

 

259

 

Pay a fixed rate of 4.22% and receive a floating rate
based on 3-month LIBOR, Expires 4/29/11,
Broker Credit Suisse International

 

 

9,000

 

 

27,297

 

Pay a fixed rate of 4.02% and receive a floating rate
based on 3-month LIBOR, Expires 5/05/11,
Broker Credit Suisse International

 

 

9,200

 

 

40,130

 

Pay a fixed rate of 4.01% and receive a floating rate
based on 3-month LIBOR, Expires 5/16/11,
Broker Goldman Sachs Bank USA

 

 

6,000

 

 

28,938

 

Pay a fixed rate of 3.86% and receive a floating rate
based on 3-month LIBOR, Expires 5/19/11,
Broker JPMorgan Chase Bank NA

 

 

10,700

 

 

66,843

 

Pay a fixed rate of 4.39% and receive a floating rate
based on 3-month LIBOR, Expires 5/08/12,
Broker Citibank NA

 

 

2,400

 

 

31,366

 

Pay a fixed rate of 3.89% and receive a floating rate
based on 3-month LIBOR, Expires 7/09/12,
Broker Goldman Sachs Bank USA

 

 

4,200

 

 

99,229

 

Pay a fixed rate of 3.93% and receive a floating rate
based on 3-month LIBOR, Expires 7/16/12,
Broker Goldman Sachs Bank USA

 

 

4,700

 

 

108,490

 

Pay a fixed rate of 3.70% and receive a floating rate
based on 3-month LIBOR, Expires 8/03/12,
Broker Credit Suisse International

 

 

4,800

 

 

138,965

 

Pay a fixed rate of 3.72% and receive a floating rate
based on 3-month LIBOR, Expires 8/06/12,
Broker Deutsche Bank AG

 

 

6,000

 

 

172,476

 

Pay a fixed rate of 4.21% and receive a floating rate
based on 3-month LIBOR, Expires 4/22/13,
Broker JPMorgan Chase Bank NA

 

 

5,400

 

 

19,418

 

Pay a fixed rate of 5.20% and receive a floating rate
based on 3-month LIBOR, Expires 4/28/15,
Broker Citibank NA

 

 

9,300

 

 

248,301

 

Receive a fixed rate of 2.02% and pay a floating rate
based on 3-month LIBOR, Expires 11/10/10,
Broker Bank of America NA

 

 

5,800

 

 

18,287

 

 

 

 

 

 



 

 

 

 

 

 

 

1,000,258

 









Total Options Purchased
(Cost – $6,493,601) – 2.1%

 

 

 

 

 

8,174,871

 









Total Investments Before Borrowed Bonds,
TBA Sale Commitments and Options Written
(Cost – $572,336,040*) – 156.4%

 

 

 

 

 

600,078,024

 









 

 

 

 

 

 

 

 









 

Borrowed Bonds

 

 

 

 

 

 

 









U.S. Treasury Notes, 2.63%, 8/15/20

 

 

295

 

 

(298,780

)









Total Borrowed Bonds
(Proceeds – $298,807) – (0.1)%

 

 

 

 

 

(298,780

)










 

 

 

 

See Notes to Financial Statements.

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

19




 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

TBA Sale Commitments (n)

 

Par
(000)

 

 

Value

 









Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.00%, 4/01/25 - 9/15/40

 

USD

5,900

 

$

(6,196,841

)

4.50%, 9/15/40

 

 

8,500

 

 

(8,925,000

)

5.00%, 9/15/25 - 9/15/40

 

 

23,000

 

 

(24,419,332

)

5.50%, 9/15/25 - 9/15/40

 

 

500

 

 

(534,609

)

6.00%, 8/01/29 - 9/15/40

 

 

10,800

 

 

(11,626,870

)

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.00%, 3/01/25 - 8/15/25

 

 

16,500

 

 

(17,319,852

)

4.50%, 4/01/40 - 9/15/40

 

 

6,000

 

 

(6,292,500

)

Ginnie Mae Mortgage-Backed Securities,

 

 

 

 

 

 

 

5.50%, 8/15/33

 

 

100

 

 

(108,219

)









Total TBA Sale Commitments
(Proceeds – $75,294,672) – (19.7)%

 

 

 

 

 

(75,423,223

)









 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 









 

Options Written

 

Notional
Amount
(000
)

 

 

 

 









Over-the-Counter Call Swaptions – (2.7)%

 

 

 

 

 

 

 

Pay a fixed rate of 4.92% and receive a floating rate
based on 3-month LIBOR, Expires 11/04/10,
Broker Barclays Bank Plc

 

 

15,000

 

 

(3,202,425

)

Pay a fixed rate of 4.06% and receive a floating rate
based on 3-month LIBOR, Expires 5/12/11,
Broker Royal Bank of Scotland Plc

 

 

6,800

 

 

(836,652

)

Pay a fixed rate of 4.06% and receive a floating rate
based on 3-month LIBOR, Expires 5/13/11,
Broker BNP Paribas SA

 

 

3,500

 

 

(429,674

)

Pay a fixed rate of 4.49% and receive a floating rate
based on 3-month LIBOR, Expires 12/05/11,
Broker Deutsche Bank AG

 

 

4,000

 

 

(580,088

)

Pay a fixed rate of 4.14% and receive a floating rate
based on 3-month LIBOR, Expires 6/15/12,
Broker Deutsche Bank AG

 

 

3,700

 

 

(403,448

)

Pay a fixed rate of 4.05% and receive a floating rate
based on 3-month LIBOR, Expires 6/18/12,
Broker Deutsche Bank AG

 

 

3,500

 

 

(359,842

)

Pay a fixed rate of 3.83% and receive a floating rate
based on 3-month LIBOR, Expires 7/30/12,
Broker Citibank NA

 

 

1,200

 

 

(104,231

)

Pay a fixed rate of 4.90% and receive a floating rate
based on 3-month LIBOR, Expires 3/04/13,
Broker Deutsche Bank AG

 

 

4,800

 

 

(728,155

)

Pay a fixed rate of 4.92% and receive a floating rate
based on 3-month LIBOR, Expires 3/05/13,
Broker Deutsche Bank AG

 

 

7,000

 

 

(1,074,318

)

Pay a fixed rate of 5.00% and receive a floating rate
based on 3-month LIBOR, Expires 4/22/13,
Broker JPMorgan Chase Bank NA

 

 

6,100

 

 

(958,335

)

Pay a fixed rate of 4.32% and receive a floating rate
based on 3-month LIBOR, Expires 5/28/13,
Broker Royal Bank of Scotland Plc

 

 

500

 

 

(54,225

)

Pay a fixed rate of 4.07% and receive a floating rate
based on 3-month LIBOR, Expires 7/08/13,
Broker Deutsche Bank AG

 

 

1,700

 

 

(156,432

)

Pay a fixed rate of 4.06% and receive a floating rate
based on 3-month LIBOR, Expires 7/15/13,
Broker Credit Suisse International

 

 

2,600

 

 

(237,206

)

Pay a fixed rate of 4.84% and receive a floating rate
based on 3-month LIBOR, Expires 12/02/14,
Broker JPMorgan Chase Bank NA

 

 

2,500

 

 

(318,915

)

Pay a fixed rate of 4.89% and receive a floating rate
based on 3-month LIBOR, Expires 12/03/14,
Broker Deutsche Bank AG

 

 

2,900

 

 

(378,917

)

 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

Value

 









Over-the-Counter Call Swaptions (concluded)

 

 

 

 

 

 

 

Pay a fixed rate of 4.21% and receive a floating rate
based on 3-month LIBOR, Expires 8/06/15,
Broker Goldman Sachs Bank USA

 

USD

3,800

 

$

(202,103

)

Pay a fixed rate of 3.97% and receive a floating rate
based on 3-month LIBOR, Expires 8/11/15,
Broker Bank of America NA

 

 

2,900

 

 

(134,203

)

Pay a fixed rate of 4.76% and receive a floating rate
based on 3-month LIBOR, Expires 5/30/17,
Broker JPMorgan Chase Bank NA

 

 

3,200

 

 

(362,883

)

 

 

 

 

 



 

 

 

 

 

 

 

(10,522,052

)









Over-the-Counter Put Swaptions - (0.4)%

 

 

 

 

 

 

 

Pay a fixed rate of 4.06% and receive a floating rate
based on 3-month LIBOR, Expires 7/15/13,
Broker Credit Suisse International

 

 

2,600

 

 

(86,830

)

Receive a fixed rate of 2.32% and pay a floating rate
based on 3-month LIBOR, Expires 11/10/10,
Broker Bank of America NA

 

 

5,800

 

 

(7,523

)

Receive a fixed rate of 4.92% and pay a floating rate
based on 3-month LIBOR, Expires 11/04/10,
Broker Barclays Bank Plc

 

 

15,000

 

 

(285

)

Receive a fixed rate of 1.96% and pay a floating rate
based on 3-month LIBOR, Expires 11/30/10,
Broker Deutsche Bank AG

 

 

4,800

 

 

(24,720

)

Receive a fixed rate of 2.10% and pay a floating rate
based on 3-month LIBOR, Expires 12/02/10,
Broker Citibank NA

 

 

15,000

 

 

(1,065

)

Receive a fixed rate of 4.06% and pay a floating rate
based on 3-month LIBOR, Expires 5/12/11,
Broker Royal Bank of Scotland Plc

 

 

6,800

 

 

(29,254

)

Receive a fixed rate of 4.06% and pay a floating rate
based on 3-month LIBOR, Expires 5/13/11,
Broker BNP Paribas SA

 

 

3,500

 

 

(15,221

)

Receive a fixed rate of 4.49% and pay a floating rate
based on 3-month LIBOR, Expires 12/05/11,
Broker Deutsche Bank AG

 

 

4,000

 

 

(29,236

)

Receive a fixed rate of 4.14% and pay a floating rate
based on 3-month LIBOR, Expires 6/15/12,
Broker Deutsche Bank AG

 

 

3,700

 

 

(66,537

)

Receive a fixed rate of 4.05% and pay a floating rate
based on 3-month LIBOR, Expires 6/18/12,
Broker Deutsche Bank AG

 

 

3,500

 

 

(68,547

)

Receive a fixed rate of 3.83% and pay a floating rate
based on 3-month LIBOR, Expires 7/30/12,
Broker Citibank NA

 

 

1,200

 

 

(30,833

)

Receive a fixed rate of 4.00% and pay a floating rate
based on 3-month LIBOR, Expires 8/13/12,
Broker Morgan Stanley Capital Services, Inc.

 

 

8,100

 

 

(183,668

)

Receive a fixed rate of 4.90% and pay a floating rate
based on 3-month LIBOR, Expires 3/04/13,
Broker Deutsche Bank AG

 

 

4,800

 

 

(74,894

)

Receive a fixed rate of 4.92% and pay a floating rate
based on 3-month LIBOR, Expires 3/05/13,
Broker Deutsche Bank AG

 

 

7,000

 

 

(107,422

)

Receive a fixed rate of 5.00% and pay a floating rate
based on 3-month LIBOR, Expires 4/22/13,
Broker JPMorgan Chase Bank NA

 

 

6,100

 

 

(94,989

)

Receive a fixed rate of 4.32% and pay a floating rate
based on 3-month LIBOR, Expires 5/28/13,
Broker Royal Bank of Scotland Plc

 

 

500

 

 

(13,273

)

Receive a fixed rate of 4.07% and pay a floating rate
based on 3-month LIBOR, Expires 7/08/13,
Broker Deutsche Bank AG

 

 

1,700

 

 

(56,020

)

Receive a fixed rate of 4.84% and pay a floating rate
based on 3-month LIBOR, Expires 12/02/14,
Broker JPMorgan Chase Bank NA

 

 

2,500

 

 

(75,047

)


 

 

 

 

See Notes to Financial Statements.

 





20

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

Value

 









Over-the-Counter Put Swaptions (concluded)

 

 

 

 

 

 

 

Receive a fixed rate of 4.89% and pay a floating rate
based on 3-month LIBOR, Expires 12/03/14,
Broker Deutsche Bank AG

 

USD

2,900

 

$

(84,657

)

Receive a fixed rate of 4.47% and pay a floating rate
based on 3-month LIBOR, Expires 8/05/15,
Broker JPMorgan Chase Bank NA

 

 

7,900

 

 

(170,830

)

Receive a fixed rate of 4.21% and pay a floating rate
based on 3-month LIBOR, Expires 8/06/15,
Broker Goldman Sachs Bank USA

 

 

3,800

 

 

(93,700

)

Receive a fixed rate of 3.97% and pay a floating rate
based on 3-month LIBOR, Expires 8/11/15,
Broker Bank of America NA

 

 

2,900

 

 

(81,014

)

Receive a fixed rate of 4.76% and pay a floating rate
based on 3-month LIBOR, Expires 5/30/17,
Broker JPMorgan Chase Bank NA

 

 

3,200

 

 

(137,114

)

 

 

 

 

 



 

 

 

 

 

 

 

(1,532,679

)









Total Options Written
(Premiums Received – $8,630,370) – (3.1)%

 

 

 

 

 

(12,054,731

)









Total Investments, Net of Borrowed Bonds, TBA Sale
Commitments and Options Written – 133.5%

 

 

 

 

 

512,301,290

 

Liabilities in Excess of Other Assets – (33.5)%

 

 

 

 

 

(128,761,725

)

 

 

 

 

 



 

Net Assets – 100.0%

 

 

 

 

$

383,539,565

 

 

 

 

 

 



 










 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

572,891,326

 

 

 



 

Gross unrealized appreciation

 

$

37,626,678

 

Gross unrealized depreciation

 

 

(10,439,980

)

 

 



 

Net unrealized appreciation

 

$

27,186,698

 

 

 



 


 

 

(a)

Security exempt from registration under Rule 144A of 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)

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

 

 

(f)

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 reflects the current yield as of report date.

 

 

(g)

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

 

 

(h)

Convertible security.

 

 

(i)

All or a portion of security has been pledged as collateral in connection with Term Asset-Backed Securities Loan Facility (“TALF”) Program.

 

 

(j)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(k)

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

 

 

(l)

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

 

 

(m)

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

 

 

(n)

Represents or includes a to-be-announced (“TBA”) transaction. Unsettled TBA transactions as of report date were as follows:


 

 

 

 

 

 

 

 









Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 







Credit Suisse Securities LLC

 

$

(4,621,373

)

$

(10,998

)

Deutsche Bank Securities, Inc.

 

$

(1,368,049

)

$

(116,298

)

Goldman Sachs & Co.

 

$

337,489

 

$

68,762

 

Greenwich Financial Services

 

$

1,330,721

 

$

28,796

 

JPMorgan Securities, Inc.

 

$

(952,223

)

$

(1,220

)

Morgan Stanley Capital Services, Inc.

 

 

 

$

2,531

 

Nomura Securities International, Inc.

 

$

10,990,732

 

$

22,419

 

UBS Securities

 

$

(7,762,157

)

$

(44,493

)

Wells Fargo Bank, NA

 

$

(16,576,381

)

$

(46,116

)










 

 

(o)

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.

 

 

(p)

Investments in companies considered to be an affiliate of the Trust during the year, 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,
2009

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

 











BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

1,735,485

 

 

(1,229,211

)

 

506,274

 

$

4,243

 
















 

 

(q)

Represents the current yield as of report date.

 

 

Reverse repurchase agreements outstanding as of August 31,2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net Closing
Amount

 

Face
Amount

 


















Barclays Capital, Inc.

 

 

0.40%

 

 

11/25/09

 

 

Open

 

$

1,804,597

 

$

1,799,000

 

Barclays Capital, Inc.

 

 

0.40%

 

 

12/10/09

 

 

Open

 

 

3,163,286

 

 

3,154,000

 

Barclays Capital, Inc.

 

 

0.27%

 

 

3/04/10

 

 

Open

 

 

2,034,339

 

 

2,032,500

 

Barclays Capital, Inc.

 

 

0.29%

 

 

3/04/10

 

 

Open

 

 

12,548,160

 

 

12,536,815

 

Barclays Capital, Inc.

 

 

0.40%

 

 

3/05/10

 

 

Open

 

 

11,616,856

 

 

11,593,667

 

Credit Suisse
Securities (USA), Inc.

 

 

0.30%

 

 

3/04/10

 

 

Open

 

 

2,772,827

 

 

2,770,320

 

Credit Suisse
Securities (USA), Inc.

 

 

0.27%

 

 

3/05/10

 

 

Open

 

 

2,156,116

 

 

2,154,500

 

Credit Suisse
Securities (USA), Inc.

 

 

0.30%

 

 

3/05/10

 

 

Open

 

 

3,241,547

 

 

3,238,309

 

Barclays Capital, Inc.

 

 

0.27%

 

 

3/25/10

 

 

Open

 

 

1,779,001

 

 

1,777,500

 

Barclays Capital, Inc.

 

 

0.29%

 

 

4/07/10

 

 

Open

 

 

1,121,687

 

 

1,120,687

 

Royal Bank of
Scotland Plc

 

 

0.33%

 

 

5/14/10

 

 

Open

 

 

1,292,351

 

 

1,291,167

 

Morgan Stanley
Capital Services, Inc.

 

 

0.23%

 

 

8/02/10

 

 

9/02/10

 

 

17,100,099

 

 

17,096,823

 

Barclays Capital, Inc.

 

 

0.27%

 

 

8/11/10

 

 

9/01/10

 

 

8,622,505

 

 

8,621,500

 

Barclays Capital, Inc.

 

 

0.25%

 

 

8/10/10

 

 

Open

 

 

1,857,667

 

 

1,857,450

 

BNP Paribas

 

 

0.25%

 

 

8/10/10

 

 

9/14/10

 

 

8,422,170

 

 

8,421,000

 

JPMorgan
Chase Bank NA

 

 

0.11%

 

 

8/27/10

 

 

Open

 

 

11,985,093

 

 

11,985,000

 

JPMorgan
Chase Bank NA

 

 

0.21%

 

 

8/30/10

 

 

Open

 

 

8,689,760

 

 

8,689,688

 

JPMorgan
Chase Bank NA

 

 

0.26%

 

 

8/30/10

 

 

Open

 

 

7,140,067

 

 

7,140,000

 


















Total

 

 

 

 

 

 

 

 

 

 

$

107,348,128

 

$

107,279,926

 

 

 

 

 

 

 

 

 

 

 

 








 

 

 

 

See Notes to Financial Statements.

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

21




 

 



 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

Foreign currency exchange contracts as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

 











 

USD

5,910,772

 

GBP

3,710,000

 

Goldman Sachs
International

 

 

9/07/10

 

$

221,199

 

 

GBP

2,190,000

 

USD

3,499,313

 

Royal Bank of
Scotland Plc

 

 

9/07/10

 

 

(140,778

)

 

GBP

1,520,000

 

USD

2,430,146

 

UBS AG

 

 

9/07/10

 

 

(99,108

)

 

USD

5,238,016

 

EUR

4,144,000

 

Citibank NA

 

 

9/15/10

 

 

(13,357

)

 

USD

425,162

 

EUR

330,500

 

Deutsche Bank AG

 

 

9/15/10

 

 

6,345

 

 

EUR

3,210,000

 

USD

4,098,496

 

Goldman Sachs
International

 

 

10/14/10

 

 

(30,849

)

 

USD

814,398

 

GBP

533,500

 

Citibank NA

 

 

10/20/10

 

 

(3,519

)

 















 

Total

 

 

 

 

 

 

 

 

 

 

$

(60,067

)

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Financial futures contracts purchased as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 














 

Contracts

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation

 

 











 

 

59

2-Year U.S.
Treasury Bond

 

Chicago
Mercantile

 

September
2010

 

$

12,929,153

 

$

17,660

 

 

63

10-Year U.S.
Treasury Bond

 

Chicago
Mercantile

 

September
2010

 

$

7,953,749

 

 

15,751

 

 

73

Euro-Bund

 

Eurex

 

September
2010

 

$

12,292,179

 

 

143,844

 

 

236

2-Year U.S.
Treasury Bond

 

Chicago
Mercantile

 

December
2010

 

$

51,701,756

 

 

15,432

 

 

329

30-Year U.S.
Treasury Bond

 

Chicago
Mercantile

 

December
2010

 

$

44,038,399

 

 

386,882

 

 

71

30-Year U.S.
Treasury Ultra Bond

 

Chicago
Mercantile

 

December
2010

 

$

10,125,395

 

 

140,761

 

 














 

Total

 

 

 

 

 

 

 

 

 

$

720,330

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Financial futures contracts sold as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 














 

Contracts

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Depreciation

 

 














 

935

5-Year U.S.
Treasury Bond

 

Chicago
Mercantile

 

December
2010

 

$

112,115,241

 

$

(384,252

)

 

40

10-Year U.S.
Treasury Bond

 

Chicago
Mercantile

 

December
2010

 

$

5,016,081

 

 

(8,919

)

 

59

Euro Dollars

 

Chicago
Mercantile

 

December
2011

 

$

14,589,078

 

 

(39,972

)

 














 

Total

 

 

 

 

 

 

 

 

 

$

(433,143

)

 

 

 

 

 

 

 

 

 

 

 





 

 

Interest rate swaps outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 














 

Fixed
Rate

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

 












 

1.21% (a)

3-month LIBOR

 

Goldman Sachs
Bank USA

 

May 2012

 

$

4,800

 

$

(49,674

)

 

0.79% (a)

3-month LIBOR

 

Deutsche
Bank AG

 

July 2012

 

$

11,800

 

 

(31,727

)

 

0.81% (a)

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

July 2012

 

$

11,700

 

 

(36,208

)

 

0.85% (a)

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc

 

July 2012

 

$

11,700

 

 

(43,794

)

 

0.76% (a)

3-month LIBOR

 

Credit Suisse
International

 

August 2012

 

$

7,800

 

 

(16,103

)

 

0.65% (a)

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

August 2012

 

$

1,900

 

 

179

 

 

1.59% (a)

3-month LIBOR

 

Deutsche
Bank AG

 

August 2015

 

$

600

 

 

(785

)

 

1.62% (a)

3-month LIBOR

 

Deutsche
Bank AG

 

August 2015

 

$

400

 

 

(1,187

)

 

2.13% (a)

3-month LIBOR

 

Barclays
Bank Plc

 

August 2017

 

$

2,100

 

 

(12,154

)

 

3.34% (b)

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

June 2020

 

$

6,000

 

 

467,049

 

 

2.56% (a)

3-month LIBOR

 

Citibank NA

 

August 2020

 

$

400

 

 

(2,679

)

 

2.50% (a)

3-month LIBOR

 

Deutsche
Bank AG

 

August 2020

 

$

11,800

 

 

(12,266

)

 

2.68% (b)

3-month LIBOR

 

Deutsche
Bank AG

 

August 2020

 

$

3,100

 

 

55,238

 

 

4.84% (a)

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

January
2038

 

$

3,300

 

 

(1,063,503

)

 

4.58% (a)

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

February
2040

 

$

800

 

 

(226,944

)

 

4.44% (a)

3-month LIBOR

 

JPMorgan
Chase Bank NA

 

April 2040

 

$

1,400

 

 

(358,199

)

 














 

Total

 

 

 

 

 

 

 

 

 

$

(1,332,757

)

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

(a)

Pays fixed interest rate and receives floating rate.

 

 

 

 

(b)

Pays floating interest rate and receives fixed rate.

 

 

 

Total return swaps outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 














 

Interest
Receivable
Rate

 

 

Counterparty

 

Expiration
Date

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 

 












 

2.52%

 

 

Deutsche
Bank AG

 

May 2020

 

$

4,300

 

$

207,062

(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2.62%

 

 

Morgan Stanley
Capital Services, Inc.

 

May 2020

 

$

7,100

 

$

410,465

(c)

 














 

Total

 

 

 

 

 

 

 

 

 

$

617,527

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

(c)

Based on the change in return of the Consumer Price Index for All Urban Consumers and pays at maturity.

See Notes to Financial Statements.

 

 

 

 


22

ANNUAL REPORT

AUGUST 31, 2010

 




 

 



 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

Credit default swaps on single-name issuers — buy protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

 













 

NOVA
Chemicals Corp.

 

5.00%

 

Citibank NA

 

March 2012

 

$

50

 

$

(955

)

 

NOVA
Chemicals Corp.

 

5.00%

 

JPMorgan
Chase Bank NA

 

June 2012

 

$

65

 

 

(902

)

 

Macy’s, Inc.

 

7.50%

 

Morgan
Stanley Capital
Services, Inc.

 

June 2012

 

$

405

 

 

(44,120

)

 

Macy’s, Inc.

 

8.00%

 

Morgan
Stanley Capital
Services, Inc.

 

June 2012

 

$

145

 

 

(17,093

)

 

NOVA
Chemicals Corp.

 

5.00%

 

Goldman Sachs
Bank USA

 

December
2013

 

$

300

 

 

(9,775

)

 

Brunswick Corp.

 

5.00%

 

Credit Suisse
International

 

September
2014

 

$

570

 

 

(30,123

)

 

Macy’s, Inc.

 

1.00%

 

Morgan Stanley
International

 

September
2014

 

$

150

 

 

(429

)

 















 

Total

 

 

 

 

 

 

 

 

 

 

$

(103,397

)

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on traded indexes — buy protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 

 















 

Dow Jones CDX
North America
Investment Grade
High Volatility Index

 

1.00%

 

Citibank NA

 

June 2015

 

$

3,300

 

$

3,636

 

 

Dow Jones CDX
North America
Investment Grade
Index Series 14

 

1.00%

 

Citibank NA

 

June 2015

 

$

3,300

 

 

641

 

 















 

Total

 

 

 

 

 

 

 

 

 

 

$

4,277

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on traded indexes — sold protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Average
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 

 















 

Dow Jones

 

5.00%

 

Credit Suisse

 

June 2015

 

 

B   

 

$

4,100

 

$

27,442

 

 

CDX North

 

 

 

International

 

 

 

 

 

 

 

 

 

 

 

 

 

America High

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Yield Index

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series 14

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



















 

 

 

 

1

Using S&P’s rating.

 

 

 

 

2

The maximum potential amount the Trust may pay should a negative 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. This definition 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 derivatives, which are as follows:

 

 

 

Level 1 — 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 derivatives)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments 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 August 31, 2010 in determining the fair valuation of the Trust’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 















Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in
Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed
Securities

 

 

 

$

21,536,268

 

$

5,104,409

 

$

26,640,677

 

Common Stocks

 

 

 

 

47,836

 

 

11,492

 

 

59,328

 

Corporate Bonds

 

 

 

 

223,939,669

 

 

3,029,472

 

 

226,969,141

 

Foreign Agency
Obligations

 

 

 

 

11,293,195

 

 

 

 

11,293,195

 

Non-Agency
Mortgage-Backed
Securities

 

 

 

 

59,125,607

 

 

2,310,902

 

 

61,436,509

 

Other Interests

 

 

 

 

 

 

381

 

 

381

 

Preferred Securities

 

 

 

 

4,719,448

 

 

56,838

 

 

4,776,286

 

Taxable Municipal
Bonds

 

 

 

 

13,521,466

 

 

 

 

13,521,466

 

U.S. Government
Sponsored Agency
Securities

 

 

 

 

136,688,014

 

 

 

 

136,688,014

 

U.S. Treasury
Obligations

 

 

 

 

109,712,457

 

 

 

 

109,712,457

 

Short-Term Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Money Market
Fund

 

$

506,274

 

 

 

 

 

 

506,274

 

Borrowed Bond
Agreements

 

 

 

 

299,425

 

 

 

 

299,425

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

 

 

 

(298,780

)

 

 

 

(298,780

)

TBA Sale
Commitments

 

 

 

 

(75,423,223

)

 

 

 

(75,423,223

)

TALF Loans

 

 

 

 

(11,763,225

)

 

 

 

(11,763,225

)

 

 













Total

 

$

506,274

 

$

493,398,157

 

$

10,513,494

 

$

504,417,925

 

 

 














 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

AUGUST 31, 2010

23




 

 



 

 

Schedule of Investments (concluded)

BlackRock Core Bond Trust (BHK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

Derivative Financial Instruments1

 





Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

31,719

 

 

 

$

31,719

 

Foreign currency
exchange contracts

 

 

 

 

227,544

 

 

 

 

227,544

 

Interest rate contracts

 

$

736,244

 

 

8,681,423

 

 

 

 

9,417,667

 

Other contracts

 

 

 

 

617,527

 

 

 

 

617,527

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(103,397

)

 

 

 

(103,397

)

Foreign currency
exchange contracts

 

 

 

 

(287,611

)

 

 

 

(287,611

)

Interest rate contracts

 

 

(433,143

)

 

(13,909,954

)

 

 

 

(14,343,097

)

 

 













Total

 

$

303,101

 

$

(4,742,749

)

 

 

$

(4,439,648

)

 

 














 

 

 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



























 

 

Asset-Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Non-Agency
Mortgage-Backed
Securities

 

Other
Interests

 

Preferred
Securities

 

U.S. Government
Sponsored Agency
Securities

 

Total

 



















Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2009

 

$

1,198,713

 

 

 

$

1,488,845

 

$

1,612,444

 

$

381

 

 

 

$

2,690,595

 

$

6,990,978

 

Accrued discounts/premiums

 

 

(91,357

)

 

 

 

9,357

 

 

2,177

 

 

 

 

 

 

(450,172

)

 

(529,995

)

Net realized gain (loss)

 

 

 

 

 

 

(202,155

)

 

30,370

 

 

 

 

 

 

1,504,160

 

 

1,332,375

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net change in unrealized appreciation/
depreciation2

 

 

(85,187

)

 

 

 

1,252,664

 

 

31,758

 

 

 

 

 

 

(1,012,830

)

 

186,405

 

Purchases

 

 

 

 

 

 

(2,081,954

)

 

 

 

 

 

 

 

 

 

(2,081,954

)

Sales

 

 

 

 

 

 

228,293

 

 

(105,847

)

 

 

 

 

 

(2,731,753

)

 

(2,609,307

)

Transfers in3

 

 

4,082,240

 

$

11,492

 

 

3,028,432

 

 

1,615,000

 

 

 

$

56,838

 

 

 

 

8,794,002

 

Transfers out3

 

 

 

 

 

 

(694,010

)

 

(875,000

)

 

 

 

 

 

 

 

(1,569,010

)

 

 

























Balance, as of August 31, 2010

 

$

5,104,409

 

$

11,492

 

$

3,029,472

 

$

2,310,902

 

$

381

 

$

56,838

 

 

 

$

10,513,494

 

 

 


























 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The net change in unrealized appreciation/depreciation on securities still held at August 31, 2010 was $(56,998).

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

 

 

 

 

 






 

 

Interest Rate
Contracts

 





Liabilities:

 

 

 

 

Balance, as of August 31, 2009

 

$

(226,565

)

Accrued discounts/premiums

 

 

 

Net realized gain (loss)

 

 

(251,534

)

Net change in unrealized appreciation/depreciation

 

 

226,565

 

Purchases

 

 

251,534

 

Sales

 

 

 

Transfers in3

 

 

 

Transfers out3

 

 

 

 

 




Balance, as of August 31, 2010

 

 

 

 

 





 

 

 

 

3

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


See Notes to Financial Statements.

 

 

 

 


24

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments August 31, 2010

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 









Building Products — 0.2%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

16,727

 

$

635,626

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

43,000

 

 

533,630

 









Chemicals — 0.2%

 

 

 

 

 

 

 

LyondellBasell Industries NV (a):

 

 

 

 

 

 

 

Class A

 

 

9,178

 

 

188,149

 

Class B

 

 

27,540

 

 

564,294

 

Wellman Holdings, Inc. (a)

 

 

2,499

 

 

125

 

 

 

 

 

 



 

 

 

 

 

 

 

752,568

 









Commercial Services & Supplies — 0.1%

 

 

 

 

 

 

 

Air Lease Corp. (a)(b)

 

 

19,100

 

 

382,000

 









Communications Equipment — 0.5%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

37,836

 

 

2,025,739

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc. (a)

 

 

3,280

 

 

136,120

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

109,685

 

 

3,400

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (a)

 

 

1,854

 

 

7,787

 









Household Durables — 0.1%

 

 

 

 

 

 

 

Beazer Homes USA, Inc. (a)

 

 

154,708

 

 

535,290

 









Machinery — 0.2%

 

 

 

 

 

 

 

Accuride Corp. (a)

 

 

134,380

 

 

147,818

 

Navistar International Corp. (a)

 

 

14,100

 

 

590,508

 

 

 

 

 

 



 

 

 

 

 

 

 

738,326

 









Media — 0.4%

 

 

 

 

 

 

 

Charter Communications, Inc. (a)

 

 

24,408

 

 

829,872

 

Gannett Co., Inc.

 

 

59,600

 

 

720,564

 

 

 

 

 

 



 

 

 

 

 

 

 

1,550,436

 









Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

181,600

 

 

425,751

 

Ainsworth Lumber Co. Ltd. (a)(b)

 

 

208,741

 

 

489,382

 

Western Forest Products, Inc. (a)

 

 

74,889

 

 

20,718

 

Western Forest Products, Inc. (a)(b)

 

 

74,936

 

 

20,731

 

 

 

 

 

 



 

 

 

 

 

 

 

956,582

 









Semiconductors & Semiconductor Equipment — 0.0%

 

 

 

 

 

 

 

SunPower Corp., Class B (a)

 

 

573

 

 

5,925

 









Software — 0.3%

 

 

 

 

 

 

 

HMH Holdings/EduMedia (a)

 

 

134,843

 

 

674,214

 

TiVo, Inc. (a)

 

 

42,800

 

 

336,408

 

 

 

 

 

 



 

 

 

 

 

 

 

1,010,622

 









Wireless Telecommunication Services — 0.1%

 

 

 

 

 

 

 

FiberTower Corp. (a)

 

 

127,570

 

 

457,976

 









Total Common Stocks — 2.5%

 

 

 

 

 

9,732,027

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 









Aerospace & Defense — 0.4%

 

 

 

 

 

 

 

Bombardier, Inc., 7.75%, 3/15/20 (b)

 

USD

280

 

 

301,000

 

DynCorp International, Inc., 10.38%, 7/01/17 (b)

 

 

410

 

 

407,950

 

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

 

 

800

 

 

826,000

 

 

 

 

 

 



 

 

 

 

 

 

 

1,534,950

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Air Freight & Logistics — 0.6%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 8/16/15

 

USD

1,120

 

$

1,120,000

 

Series 2, 12.38%, 8/16/15

 

 

1,120

 

 

1,120,000

 

 

 

 

 

 



 

 

 

 

 

 

 

2,240,000

 









Airlines — 2.6%

 

 

 

 

 

 

 

Air Canada (b):

 

 

 

 

 

 

 

9.25%, 8/01/15

 

 

1,570

 

 

1,538,600

 

12.00%, 2/01/16

 

 

420

 

 

392,700

 

American Airlines, Inc., 10.50%, 10/15/12 (b)

 

 

1,400

 

 

1,487,500

 

American Airlines Pass-Through Trust, Series
2001-02, 7.86%, 4/01/13

 

 

490

 

 

512,785

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (b)

 

 

900

 

 

891,000

 

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

 

 

93

 

 

90,862

 

Series 2001-1-C, 7.03%, 12/15/12

 

 

339

 

 

337,427

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

 

1,425

 

 

1,496,626

 

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

 

 

2,865

 

 

3,193,993

 

 

 

 

 

 



 

 

 

 

 

 

 

9,941,493

 









Auto Components — 1.6%

 

 

 

 

 

 

 

Allison Transmission, Inc. (b):

 

 

 

 

 

 

 

11.00%, 11/01/15

 

 

350

 

 

376,250

 

11.25%, 11/01/15 (c)

 

 

272

 

 

292,400

 

Delphi International Holdings Unsecured,
12.00%, 10/06/14

 

 

134

 

 

131,770

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

8.25%, 8/15/20

 

 

650

 

 

665,437

 

8.75%, 8/15/20

 

 

490

 

 

518,175

 

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

 

 

3,980

 

 

3,960,100

 

 

 

 

 

 



 

 

 

 

 

 

 

5,944,132

 









Beverages — 0.2%

 

 

 

 

 

 

 

Cott Beverages USA, Inc., 8.13%, 9/01/18 (b)

 

 

394

 

 

405,328

 

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

 

EUR

365

 

 

474,110

 

 

 

 

 

 



 

 

 

 

 

 

 

879,438

 









Biotechnology — 0.2%

 

 

 

 

 

 

 

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

 

USD

874

 

 

890,874

 









Building Products — 1.5%

 

 

 

 

 

 

 

Associated Materials LLC, 9.88%, 11/15/16

 

 

1,140

 

 

1,208,400

 

Building Materials Corp. of America (b):

 

 

 

 

 

 

 

6.88%, 8/15/18

 

 

785

 

 

763,412

 

7.00%, 2/15/20

 

 

930

 

 

925,350

 

Momentive Performance Materials, Inc., Series WI,
9.75%, 12/01/14

 

 

1,075

 

 

1,049,469

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

1,765

 

 

1,817,950

 

 

 

 

 

 



 

 

 

 

 

 

 

5,764,581

 









Capital Markets — 0.6%

 

 

 

 

 

 

 

E*Trade Financial Corp., 4.46%, 8/31/19 (d)(e)

 

 

356

 

 

427,200

 

MU Finance Plc, 8.75%, 2/01/17 (b)

 

GBP

626

 

 

921,661

 

Offshore Group Investments Ltd., 11.50%,
8/01/15 (b)

 

USD

770

 

 

768,075

 

 

 

 

 

 



 

 

 

 

 

 

 

2,116,936

 









Chemicals — 3.5%

 

 

 

 

 

 

 

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

 

 

1,300

 

 

1,285,375

 

CF Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

655

 

 

689,388

 

7.13%, 5/01/20

 

 

1,150

 

 

1,233,375

 

Chemtura Corp., 7.88%, 9/01/18 (b)

 

 

785

 

 

801,681

 

Georgia Gulf Corp., 9.00%, 1/15/17 (b)

 

 

245

 

 

253,881

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

9.75%, 11/15/14

 

 

1,175

 

 

1,154,437

 

8.88%, 2/01/18

 

 

1,135

 

 

1,049,875

 


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

25




 

 


 

 

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 (concluded)

 

 

 

 

 

 

 

Huntsman International LLC (b):

 

 

 

 

 

 

 

6.88%, 11/15/13

 

EUR

415

 

$

518,020

 

8.63%, 3/15/20

 

USD

350

 

 

346,938

 

Ineos Finance Plc, 9.00%, 5/15/15 (b)

 

 

625

 

 

632,031

 

Innophos, Inc., 8.88%, 8/15/14

 

 

1,185

 

 

1,214,625

 

MacDermid, Inc., 9.50%, 4/15/17 (b)

 

 

1,845

 

 

1,870,369

 

OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b)

 

 

825

 

 

870,375

 

Wellman Holdings, Inc., Subordinate Note (d):

 

 

 

 

 

 

 

(Second Lien), 10.00%, 1/29/19

 

 

1,385

 

 

1,204,950

 

(Third Lien), 5.00%, 1/29/19 (c)

 

 

454

 

 

177,197

 

 

 

 

 

 



 

 

 

 

 

 

 

13,302,517

 









Commercial Banks — 3.1%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

4,638

 

 

4,405,919

 

7.00%, 5/01/17

 

 

7,594

 

 

7,140,665

 

Glitnir Banki HF (a)(f):

 

 

 

 

 

 

 

4.15%, 4/20/10 (b)

 

 

165

 

 

47,025

 

6.38%, 9/25/12 (b)

 

 

1,005

 

 

286,425

 

Series EMTN, 5.07%, 1/27/10

 

EUR

50

 

 

17,742

 

Series EMTN, 3.00%, 6/30/10

 

 

65

 

 

23,064

 

Series GMTN, 4.38%, 2/05/10

 

 

75

 

 

26,612

 

 

 

 

 

 



 

 

 

 

 

 

 

11,947,452

 









Commercial Services & Supplies — 1.0%

 

 

 

 

 

 

 

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

 

USD

365

 

 

401,500

 

RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b)

 

 

870

 

 

948,300

 

Scientific Games International, Inc., 9.25%, 6/15/19

 

 

345

 

 

365,700

 

West Corp., 11.00%, 10/15/16

 

 

1,920

 

 

2,016,000

 

 

 

 

 

 



 

 

 

 

 

 

 

3,731,500

 









Construction Materials — 1.0%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

 

3,655

 

 

3,851,011

 









Consumer Finance — 1.0%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17 (b)

 

 

1,010

 

 

1,046,613

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.28%, 1/13/12 (g)

 

 

310

 

 

303,800

 

7.80%, 6/01/12

 

 

300

 

 

315,703

 

8.00%, 12/15/16

 

 

270

 

 

293,202

 

6.63%, 8/15/17

 

 

1,710

 

 

1,737,996

 

 

 

 

 

 



 

 

 

 

 

 

 

3,697,314

 









Containers & Packaging — 3.1%

 

 

 

 

 

 

 

Ball Corp., 6.75%, 9/15/20

 

 

750

 

 

789,375

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.88%, 9/15/14

 

 

1,205

 

 

1,147,762

 

8.25%, 11/15/15

 

 

205

 

 

205,513

 

9.50%, 5/15/18 (b)

 

 

640

 

 

588,800

 

Berry Plastics Holding Corp., 8.88%, 9/15/14

 

 

3,655

 

 

3,481,387

 

Graphic Packaging International, Inc.,
9.50%, 6/15/17

 

 

1,180

 

 

1,256,700

 

Impress Holdings BV, 3.65%, 9/15/13 (b)(g)

 

 

545

 

 

515,025

 

Owens-Brockway Glass Container, Inc.,
6.75%, 12/01/14

 

EUR

233

 

 

298,222

 

Pregis Corp., 12.38%, 10/15/13

 

USD

1,765

 

 

1,765,000

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

735

 

 

950,058

 

7.75%, 11/15/19

 

 

700

 

 

909,252

 

 

 

 

 

 



 

 

 

 

 

 

 

11,907,094

 









Diversified Consumer Services — 1.2%

 

 

 

 

 

 

 

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

 

USD

4,425

 

 

4,579,875

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Diversified Financial Services — 6.7%

 

 

 

 

 

 

 

Ally Financial Inc. (b):

 

 

 

 

 

 

 

8.30%, 2/12/15

 

USD

3,440

 

$

3,577,600

 

7.50%, 9/15/20

 

 

2,830

 

 

2,801,700

 

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

 

 

1,485

 

 

1,486,856

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.88%, 2/15/11

 

GBP

1,000

 

 

1,552,819

 

7.13%, 1/16/12

 

EUR

2,950

 

 

3,869,232

 

7.13%, 1/15/13

 

 

1,300

 

 

1,705,085

 

GMAC, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

USD

460

 

 

469,775

 

2.74%, 12/01/14 (g)

 

 

592

 

 

508,958

 

8.00%, 3/15/20 (b)

 

 

3,620

 

 

3,710,500

 

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

 

 

1,780

 

 

1,895,700

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

 

2,185

 

 

2,201,388

 

Reynolds Group Issuer, Inc. (b):

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

550

 

 

707,436

 

8.50%, 5/15/18

 

USD

1,150

 

 

1,104,000

 

 

 

 

 

 



 

 

 

 

 

 

 

25,591,049

 









Diversified Telecommunication Services — 4.4%

 

 

 

 

 

 

 

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

 

 

1,530

 

 

1,499,400

 

Frontier Communications Corp.:

 

 

 

 

 

 

 

7.88%, 4/15/15

 

 

870

 

 

917,850

 

8.25%, 4/15/17

 

 

1,100

 

 

1,163,250

 

8.50%, 4/15/20

 

 

500

 

 

530,625

 

GCI, Inc., 8.63%, 11/15/19

 

 

1,700

 

 

1,785,000

 

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

 

 

800

 

 

788,000

 

Nordic Telephone Co. Holdings ApS, 8.88%,
5/01/16 (b)

 

 

320

 

 

336,000

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

2,990

 

 

3,046,062

 

8.00%, 10/01/15 (b)

 

 

800

 

 

860,000

 

Series B, 7.50%, 2/15/14

 

 

2,285

 

 

2,327,844

 

Qwest Corp.:

 

 

 

 

 

 

 

7.63%, 6/15/15

 

 

850

 

 

954,125

 

8.38%, 5/01/16

 

 

990

 

 

1,153,350

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

510

 

 

543,788

 

7.88%, 11/01/17

 

 

1,090

 

 

1,106,350

 

 

 

 

 

 



 

 

 

 

 

 

 

17,011,644

 









Energy Equipment & Services — 1.9%

 

 

 

 

 

 

 

Compagnie Généralé de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

1,935

 

 

1,915,650

 

7.75%, 5/15/17

 

 

470

 

 

466,475

 

Expro Finance Luxembourg SCA, 8.50%,
12/15/16 (b)

 

 

2,730

 

 

2,552,550

 

Global Geophysical Services, Inc., 10.50%,
5/01/17 (b)

 

 

460

 

 

455,400

 

North American Energy Alliance LLC, 10.88%,
6/01/16 (b)

 

 

985

 

 

1,063,800

 

Thermon Industries, Inc., 9.50%, 5/01/17 (b)

 

 

810

 

 

830,250

 

 

 

 

 

 



 

 

 

 

 

 

 

7,284,125

 









Food & Staples Retailing — 0.9%

 

 

 

 

 

 

 

AmeriQual Group LLC, 9.50%, 4/01/12 (b)

 

 

1,225

 

 

1,200,500

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

615

 

 

653,438

 

10.25%, 10/15/19

 

 

925

 

 

950,437

 

8.00%, 8/15/20 (b)

 

 

780

 

 

775,125

 

 

 

 

 

 



 

 

 

 

 

 

 

3,579,500

 










 

 

 

 

See Notes to Financial Statements.


26

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Food Products — 0.5%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

USD

330

 

$

339,488

 

Reddy Ice Corp., 11.25%, 3/15/15 (b)

 

 

650

 

 

658,938

 

Smithfield Foods, Inc., 10.00%, 7/15/14 (b)

 

 

710

 

 

792,537

 

TreeHouse Foods, Inc., 7.75%, 3/01/18

 

 

230

 

 

243,225

 

 

 

 

 

 



 

 

 

 

 

 

 

2,034,188

 









Health Care Equipment & Supplies — 1.3%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

3,630

 

 

3,888,637

 

Hologic, Inc., 2.00%, 12/15/37 (d)(h)

 

 

1,410

 

 

1,274,288

 

 

 

 

 

 



 

 

 

 

 

 

 

5,162,925

 









Health Care Providers & Services — 4.9%

 

 

 

 

 

 

 

American Renal Holdings, 8.38%, 5/15/18 (b)

 

 

415

 

 

415,000

 

Gentiva Health Services, Inc., 11.50%, 9/01/18 (b)

 

 

1,050

 

 

1,086,750

 

HCA, Inc.:

 

 

 

 

 

 

 

9.13%, 11/15/14

 

 

2,605

 

 

2,735,250

 

8.50%, 4/15/19

 

 

1,505

 

 

1,649,856

 

7.25%, 9/15/20

 

 

3,430

 

 

3,584,350

 

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

 

 

970

 

 

948,175

 

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

 

 

745

 

 

745,000

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

1,952

 

 

2,078,880

 

10.00%, 5/01/18

 

 

662

 

 

744,750

 

8.88%, 7/01/19

 

 

4,400

 

 

4,757,500

 

 

 

 

 

 



 

 

 

 

 

 

 

18,745,511

 









Health Care Technology — 1.1%

 

 

 

 

 

 

 

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

 

 

3,550

 

 

4,113,562

 









Hotels, Restaurants & Leisure — 2.3%

 

 

 

 

 

 

 

Diamond Resorts Corp., 12.00%, 8/15/18 (b)

 

 

1,770

 

 

1,672,650

 

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

 

GBP

625

 

 

791,123

 

Harrah’s Operating Co., Inc., 11.25%, 6/01/17

 

USD

970

 

 

1,037,900

 

Inn of the Mountain Gods Resort & Casino, 12.00%,
11/15/10 (a)(f)

 

 

2,450

 

 

1,071,875

 

Little Traverse Bay Bands of Odawa Indians, 10.25%,
2/15/14 (a)(b)(f)

 

 

1,855

 

 

626,062

 

MGM Mirage, 13.00%, 11/15/13

 

 

45

 

 

51,975

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

395

 

 

430,550

 

11.13%, 11/15/17

 

 

1,220

 

 

1,363,350

 

Marina District Finance Co., Inc., 9.88%, 8/15/18 (b)

 

 

540

 

 

538,650

 

Travelport LLC:

 

 

 

 

 

 

 

5.16%, 9/01/14 (g)

 

 

210

 

 

194,775

 

9.88%, 9/01/14

 

 

310

 

 

316,975

 

Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (a)(f)

 

 

475

 

 

347

 

Virgin River Casino Corp., 9.00%, 1/15/12 (a)(f)

 

 

1,435

 

 

645,750

 

 

 

 

 

 



 

 

 

 

 

 

 

8,741,982

 









Household Durables — 3.5%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

6.88%, 7/15/15

 

 

270

 

 

233,550

 

8.13%, 6/15/16

 

 

470

 

 

411,250

 

12.00%, 10/15/17

 

 

1,960

 

 

2,207,450

 

9.13%, 6/15/18

 

 

2,615

 

 

2,314,275

 

DFS Furniture Holdings Plc, 9.75%, 7/15/17 (b)

 

GBP

310

 

 

445,717

 

K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16

 

USD

2,560

 

 

2,483,200

 

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

 

 

1,000

 

 

937,500

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

9.25%, 4/15/12

 

 

200

 

 

205,250

 

6.25%, 4/01/14

 

 

535

 

 

498,888

 

7.00%, 8/15/15

 

 

395

 

 

363,400

 

10.75%, 9/15/16

 

 

2,210

 

 

2,326,025

 

8.38%, 5/15/18

 

 

825

 

 

794,062

 

 

 

 

 

 



 

 

 

 

 

 

 

13,220,567

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Independent Power Producers &
Energy Traders — 2.7%

 

 

 

 

 

 

 

The AES Corp., 8.75%, 5/15/13 (b)

 

USD

509

 

$

517,271

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

1,875

 

 

1,968,750

 

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

 

 

4,955

 

 

4,771,680

 

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

 

 

253

 

 

243,128

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

1,790

 

 

1,825,800

 

7.38%, 2/01/16

 

 

375

 

 

377,813

 

7.38%, 1/15/17

 

 

560

 

 

564,200

 

 

 

 

 

 



 

 

 

 

 

 

 

10,268,642

 









Industrial Conglomerates — 2.5%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

3,550

 

 

3,656,500

 

13.50%, 12/01/15 (c)

 

 

5,797

 

 

6,028,648

 

 

 

 

 

 



 

 

 

 

 

 

 

9,685,148

 









Insurance — 0.9%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,565,625

 

USI Holdings Corp., 4.25%, 11/15/14 (b)(g)

 

 

1,000

 

 

847,500

 

 

 

 

 

 



 

 

 

 

 

 

 

3,413,125

 









Leisure Equipment & Products — 0.3%

 

 

 

 

 

 

 

Brunswick Corp., 11.25%, 11/01/16 (b)

 

 

890

 

 

1,016,825

 









Life Sciences Tools & Services — 0.2%

 

 

 

 

 

 

 

Patheon, Inc., 8.63%, 4/15/17 (b)

 

 

865

 

 

861,756

 









Machinery — 1.7%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

 

1,640

 

 

1,394,000

 

Accuride Corp., 7.50%, 2/26/20 (c)(d)

 

 

14

 

 

36,370

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (d)

 

 

2,830

 

 

3,088,238

 

8.25%, 11/01/21

 

 

1,400

 

 

1,466,500

 

Oshkosh Corp., 8.25%, 3/01/17

 

 

210

 

 

221,025

 

Titan International, Inc., 5.63%, 1/15/17 (b)(d)

 

 

360

 

 

428,400

 

 

 

 

 

 



 

 

 

 

 

 

 

6,634,533

 









Marine — 0.7%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (d)

 

 

3,130

 

 

2,629,200

 









Media — 12.3%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

 

3,620

 

 

3,710,500

 

10.13%, 10/15/13

 

 

1,130

 

 

1,155,425

 

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

 

 

539

 

 

638,753

 

CCO Holdings LLC (b):

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

700

 

 

724,500

 

8.13%, 4/30/20

 

 

700

 

 

736,750

 

CMP Susquehanna Corp., 3.64%, 5/15/14 (b)(g)

 

 

236

 

 

4,720

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

580

 

 

633,650

 

Catalina Marketing Corp., 10.50%, 10/01/15 (b)(c)

 

 

885

 

 

946,950

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

1,236

 

 

1,282,350

 

Series B, 9.25%, 12/15/17

 

 

6,280

 

 

6,586,150

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

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

 

 

968

 

 

968,426

 

Loan Close 3, 12.00%, 8/15/18

 

 

1,120

 

 

1,120,000

 

Shares Loan, 4.00%, 8/15/18

 

 

1,142

 

 

1,141,901

 

DISH DBS Corp., 7.00%, 10/01/13

 

 

140

 

 

145,775

 

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

 

 

680

 

 

654,500

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (g)

 

 

510

 

 

428,400

 

9.50%, 5/15/15

 

 

620

 

 

590,550

 

Intelsat Corp., 9.25%, 6/15/16

 

 

2,900

 

 

3,074,000

 

Interactive Data Corp., 10.25%, 8/01/18 (b)

 

 

1,525

 

 

1,582,187

 

Liberty Global, Inc., 4.50%, 11/15/16 (b)(d)

 

 

700

 

 

857,500

 

Liberty Media Corp., 3.13%, 3/30/23 (d)

 

 

1,616

 

 

1,757,400

 


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

27




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Media (concluded)

 

 

 

 

 

 

 

Lighthouse International Co. SA:

 

 

 

 

 

 

 

8.00%, 4/30/14

 

EUR

797

 

$

595,899

 

8.00%, 4/30/14 (b)

 

 

105

 

 

78,506

 

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

 

USD

965

 

 

931,225

 

McClatchy Co., 11.50%, 2/15/17 (b)

 

 

2,080

 

 

2,147,600

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

140

 

 

156,975

 

10.00%, 8/01/14

 

 

3,340

 

 

3,507,000

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

650

 

 

650,813

 

10.38%, 9/01/14

 

 

2,432

 

 

2,523,200

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

495

 

 

507,375

 

Seat Pagine Gialle SpA, 10.50%, 1/31/17 (b)

 

EUR

214

 

 

252,208

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

USD

2,030

 

 

1,938,650

 

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

 

 

800

 

 

833,000

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

235

 

 

311,950

 

9.63%, 12/01/19 (b)

 

 

845

 

 

1,121,691

 

Unitymedia Hessen GmbH & Co. KG (b):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

USD

1,035

 

 

1,063,463

 

8.13%, 12/01/17

 

EUR

662

 

 

855,698

 

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

 

 

583

 

 

749,889

 

 

 

 

 

 



 

 

 

 

 

 

 

46,965,529

 









Metals & Mining — 4.0%

 

 

 

 

 

 

 

AK Steel Corp., 7.63%, 5/15/20

 

USD

30

 

 

30,225

 

Aleris International, Inc. (a)(f):

 

 

 

 

 

 

 

9.00%, 12/15/14 (c)

 

 

1,495

 

 

2,990

 

10.00%, 12/15/16

 

 

1,300

 

 

494

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

1,175

 

 

1,229,344

 

7.38%, 2/15/16

 

 

335

 

 

335,419

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

790

 

 

869,987

 

10.63%, 9/01/16

 

 

1,740

 

 

2,016,225

 

Foundation PA Coal Co., 7.25%, 8/01/14

 

 

2,925

 

 

2,932,312

 

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

 

 

980

 

 

1,191,925

 

McJunkin Red Man Corp., 9.50%, 12/15/16 (b)

 

 

915

 

 

807,487

 

Murray Energy Corp., 10.25%, 10/15/15 (b)

 

 

775

 

 

792,437

 

New World Resources NV:

 

 

 

 

 

 

 

7.38%, 5/15/15

 

EUR

415

 

 

515,391

 

7.88%, 5/01/18 (b)

 

 

310

 

 

396,776

 

7.88%, 5/01/18

 

 

265

 

 

339,180

 

Novelis, Inc., 11.50%, 2/15/15

 

USD

640

 

 

704,000

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.84%, 11/01/14 (g)

 

 

600

 

 

556,500

 

12.00%, 11/01/15

 

 

400

 

 

411,500

 

Steel Dynamics, Inc., 7.38%, 11/01/12

 

 

390

 

 

414,375

 

United States Steel Corp., 7.38%, 4/01/20

 

 

775

 

 

784,688

 

Vedanta Resources Plc, 9.50%, 7/18/18 (b)

 

 

950

 

 

997,500

 

 

 

 

 

 



 

 

 

 

 

 

 

15,328,755

 









Multiline Retail — 2.5%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

2,074

 

 

2,276,215

 

11.88%, 7/15/17 (c)

 

 

6,421

 

 

7,384,150

 

 

 

 

 

 



 

 

 

 

 

 

 

9,660,365

 









Oil, Gas & Consumable Fuels — 8.2%

 

 

 

 

 

 

 

Arch Coal, Inc.:

 

 

 

 

 

 

 

8.75%, 8/01/16

 

 

90

 

 

97,425

 

7.25%, 10/01/20

 

 

1,270

 

 

1,289,050

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

680

 

 

781,150

 

10.75%, 2/01/18

 

 

380

 

 

418,950

 

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

 

 

750

 

 

757,500

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

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

 

USD

70

 

$

75,950

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

3,490

 

 

3,503,087

 

2.25%, 12/15/38 (d)

 

 

1,200

 

 

898,500

 

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

 

 

435

 

 

446,963

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

260

 

 

282,100

 

10.25%, 12/15/15

 

 

1,695

 

 

1,695,000

 

Consol Energy, Inc., 8.25%, 4/01/20 (b)

 

 

2,935

 

 

3,114,769

 

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

 

 

600

 

 

619,500

 

Denbury Resources, Inc., 8.25%, 2/15/20

 

 

1,025

 

 

1,094,187

 

Linn Energy LLC, 8.63%, 4/15/20 (b)

 

 

1,630

 

 

1,719,650

 

Massey Energy Co., 6.88%, 12/15/13

 

 

1,400

 

 

1,417,500

 

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

 

 

2,775

 

 

2,920,687

 

OPTI Canada, Inc. (b):

 

 

 

 

 

 

 

9.00%, 12/15/12

 

 

2,560

 

 

2,566,400

 

9.75%, 8/15/13

 

 

1,425

 

 

1,407,187

 

Patriot Coal Corp., 8.25%, 4/30/18

 

 

620

 

 

615,350

 

Peabody Energy Corp., 6.50%, 9/15/20

 

 

1,500

 

 

1,576,875

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

835

 

 

933,113

 

7.88%, 6/01/15

 

 

695

 

 

721,063

 

QEP Resources, Inc., 6.88%, 3/01/21

 

 

620

 

 

646,350

 

Range Resources Corp., 8.00%, 5/15/19

 

 

600

 

 

642,000

 

Teekay Corp., 8.50%, 1/15/20

 

 

970

 

 

1,035,475

 

 

 

 

 

 



 

 

 

 

 

 

 

31,275,781

 









Paper & Forest Products — 2.9%

 

 

 

 

 

 

 

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

 

 

1,686

 

 

1,441,521

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

495

 

 

520,988

 

8.00%, 4/01/20

 

 

240

 

 

244,200

 

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

 

 

585

 

 

658,125

 

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

 

 

2,395

 

 

2,622,525

 

Glatfelter, 7.13%, 5/01/16 (b)

 

 

310

 

 

311,938

 

NewPage Corp., 11.38%, 12/31/14

 

 

4,725

 

 

3,839,062

 

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

 

 

1,265

 

 

1,334,575

 

 

 

 

 

 



 

 

 

 

 

 

 

10,972,934

 









Pharmaceuticals — 0.6%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.29%,
12/01/13 (g)

 

 

1,605

 

 

1,296,037

 

Elan Finance Plc, 8.88%, 12/01/13

 

 

140

 

 

141,050

 

Novasep Holding SAS, 9.63%, 12/15/16 (b)

 

EUR

936

 

 

996,363

 

 

 

 

 

 



 

 

 

 

 

 

 

2,433,450

 









Real Estate Management & Development — 0.5%

 

 

 

 

 

 

 

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

 

USD

2,300

 

 

2,098,750

 









Road & Rail — 0.9%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 9.63%, 3/15/18

 

 

760

 

 

794,200

 

Hertz Holdings Netherlands BV, 8.50%, 7/31/15 (b)

 

EUR

1,060

 

 

1,397,017

 

Syncreon Global Ireland Ltd., 9.50%, 5/01/18 (b)

 

USD

1,210

 

 

1,182,775

 

 

 

 

 

 



 

 

 

 

 

 

 

3,373,992

 









Semiconductors & Semiconductor Equipment — 0.2%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc.:

 

 

 

 

 

 

 

6.00%, 5/01/15 (d)

 

 

210

 

 

205,538

 

7.75%, 8/01/20 (b)

 

 

425

 

 

420,750

 

 

 

 

 

 



 

 

 

 

 

 

 

626,288

 









Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.59%, 2/15/12 (b)(c)(g)

 

 

701

 

 

14,028

 










 

 

 

 

See Notes to Financial Statements.


28

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

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 — 1.6%

 

 

 

 

 

 

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (d)(h)

 

USD

1,570

 

$

1,195,162

 

Hillman Group, Inc., 10.88%, 6/01/18 (b)

 

 

790

 

 

831,475

 

Limited Brands, Inc., 8.50%, 6/15/19

 

 

1,170

 

 

1,322,100

 

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

 

 

550

 

 

559,625

 

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

 

 

630

 

 

636,300

 

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

 

 

1,550

 

 

1,480,250

 

 

 

 

 

 



 

 

 

 

 

 

 

6,024,912

 









Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.88%, 4/15/15

 

 

780

 

 

721,500

 









Tobacco — 0.1%

 

 

 

 

 

 

 

Vector Group Ltd., 11.00%, 8/15/15

 

 

485

 

 

494,094

 









Wireless Telecommunication Services — 5.1%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

2,800

 

 

2,933,000

 

7.75%, 5/15/16

 

 

1,140

 

 

1,177,050

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

1,030

 

 

1,037,725

 

9.13%, 1/15/15 (c)

 

 

2,787

 

 

2,800,935

 

8.25%, 9/01/17

 

 

1,190

 

 

1,236,112

 

10.50%, 4/15/18

 

 

800

 

 

858,000

 

FiberTower Corp., 9.00%, 1/01/16 (c)

 

 

488

 

 

415,114

 

iPCS, Inc., 2.59%, 5/01/13 (g)

 

 

1,200

 

 

1,122,000

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

3,445

 

 

3,582,800

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

1,770

 

 

1,765,575

 

Series F, 5.95%, 3/15/14

 

 

160

 

 

154,600

 

Orascom Telecom Finance SCA, 7.88%, 2/08/14 (b)

 

 

365

 

 

346,750

 

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

 

 

2,690

 

 

2,246,150

 

 

 

 

 

 



 

 

 

 

 

 

 

19,675,811

 









Total Corporate Bonds — 97.2%

 

 

 

 

 

371,989,638

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

 

 

 

 

 

 









Auto Components — 1.0%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Loan, 8.51%,
3/01/12 (c)

 

 

740

 

 

710,106

 

Allison Transmission, Inc., Term Loan,
3.04%, 8/07/14

 

 

3,340

 

 

3,077,691

 

 

 

 

 

 



 

 

 

 

 

 

 

3,787,797

 









Automobiles — 1.3%

 

 

 

 

 

 

 

Ford Motor Co., Tranche B-1 Term Loan,
3.03%, 12/15/13

 

 

5,322

 

 

5,118,961

 









Building Products — 1.2%

 

 

 

 

 

 

 

CPG International I, Inc., Term Loan, 5.54%, 4/30/12

 

 

4,508

 

 

4,507,538

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

Marsico Parent Co., LLC, Term Loan,
5.31% – 5.56%, 12/15/14

 

 

759

 

 

526,462

 









Chemicals — 0.7%

 

 

 

 

 

 

 

PQ Corp., Term Loan (First Lien),
3.52% – 3.73%, 7/30/14

 

 

451

 

 

412,702

 

Tronox Worldwide LLC:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 11.25%, 9/20/10

 

 

1,813

 

 

1,827,672

 

Tranche B-2 Term Loan, 11.25%, 9/20/10

 

 

487

 

 

491,016

 

 

 

 

 

 



 

 

 

 

 

 

 

2,731,390

 









Commercial Services & Supplies — 0.9%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B,
7.75%, 6/10/16

 

 

1,500

 

 

1,508,750

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

875

 

 

879,740

 

International Lease Finance Corp. (Delos Aircraft, Inc.),
Term Loan 1, 6.75%, 3/17/15

 

 

1,175

 

 

1,184,302

 

 

 

 

 

 



 

 

 

 

 

 

 

3,572,792

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

Par
(000)

 

Value

 









Construction & Engineering — 0.8%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Term Loan,
15.63%, 12/14/17

 

USD

3,000

 

$

3,000,000

 









Consumer Finance — 1.6%

 

 

 

 

 

 

 

AGFS Funding Co., Term Loan,
7.25%, 4/21/15

 

 

6,000

 

 

5,928,750

 

DaimlerChrysler Financial Services Americas LLC,
Term Loan (Second Lien), 6.78%, 8/05/13

 

 

365

 

 

363,704

 

 

 

 

 

 



 

 

 

 

 

 

 

6,292,454

 









Diversified Telecommunication Services — 1.6%

 

 

 

 

 

 

 

Wind Finance SL SA, Euro Facility (Second Lien),
7.89%, 12/17/14

 

EUR

4,908

 

 

6,206,401

 









Electric Utilities — 0.5%

 

 

 

 

 

 

 

New Development Holdings LLC, Term Loan,
7.00%, 7/03/17

 

USD

1,800

 

 

1,818,000

 









Health Care Providers & Services — 0.8%

 

 

 

 

 

 

 

Harden Healthcare Term Loan A:

 

 

 

 

 

 

 

Add-on Term Loan, 7.75%, 3/02/15

 

 

800

 

 

784,000

 

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

 

 

694

 

 

679,764

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.),
Term Loan B, 6.50%, 7/31/16

 

 

1,400

 

 

1,397,375

 

 

 

 

 

 



 

 

 

 

 

 

 

2,861,139

 









Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

Travelport LLC (FKA Travelport, Inc.), Loan,
8.37%, 3/27/12 (c)

 

 

4,957

 

 

4,610,349

 









IT Services — 0.4%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

First Lien Term Loan, 3.01%, 9/24/14

 

 

255

 

 

217,781

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

610

 

 

520,147

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

1,122

 

 

956,855

 

 

 

 

 

 



 

 

 

 

 

 

 

1,694,783

 









Independent Power Producers & Energy Traders — 1.0%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan,
3.79% – 4.03%, 10/10/14

 

 

323

 

 

244,363

 

Initial Tranche B-2 Term Loan,
3.79% – 4.07%, 10/10/14

 

 

314

 

 

237,992

 

Initial Tranche B-3 Term Loan,
3.79% – 4.03%, 10/10/14

 

 

4,254

 

 

3,206,737

 

 

 

 

 

 



 

 

 

 

 

 

 

3,689,092

 









Media — 1.6%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson
Learning), Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

 

 

2,450

 

 

2,441,834

 

HMH Publishing Co., Ltd. (FKA Education Media),
Tranche A Term Loan, 5.80%, 6/12/14 (c)

 

 

1,392

 

 

1,267,830

 

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

 

 

2,150

 

 

2,281,687

 

 

 

 

 

 



 

 

 

 

 

 

 

5,991,351

 









Multiline Retail — 0.5%

 

 

 

 

 

 

 

Hema Holding BV, Mezzanine,
4.15% – 9.15%, 1/29/17

 

EUR

1,304

 

 

1,520,052

 

The Neiman Marcus Group, Inc., Term Loan,
2.29% – 2.54%, 4/06/13

 

USD

362

 

 

342,736

 

 

 

 

 

 



 

 

 

 

 

 

 

1,862,788

 









Oil, Gas & Consumable Fuels — 0.7%

 

 

 

 

 

 

 

Turbo Beta Ltd., Dollar Facility,
2.50% – 14.50%, 3/15/18 (c)

 

 

3,482

 

 

2,759,849

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

29




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

Par
(000)

 

Value

 







Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, Loan,
6.70% – 7.44%, 2/01/13 (c)

 

USD

1,954

 

$

1,172,201

 









Real Estate Management & Development — 0.6%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Initial Term Loan B, 3.30%, 10/10/13

 

 

589

 

 

508,539

 

Synthetic Letter of Credit,
0.11% – 3.15%, 10/10/13

 

 

119

 

 

102,536

 

Second Lien Term Facility, 13.50%, 10/15/17

 

 

1,500

 

 

1,582,500

 

 

 

 

 

 



 

 

 

 

 

 

 

2,193,575

 









Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 3.05%, 5/29/14

 

 

216

 

 

184,874

 

Michaels Stores, Inc., Term Loan B-1,
2.63% – 2.81%, 10/31/13

 

 

525

 

 

494,961

 

 

 

 

 

 



 

 

 

 

 

 

 

679,835

 









Wireless Telecommunication Services — 0.7%

 

 

 

 

 

 

 

Vodafone Group Plc, Revolving Credit,
6.88%, 7/30/15

 

 

2,750

 

 

2,750,000

 









Total Floating Rate Loan Interests — 17.7%

 

 

 

 

 

67,826,757

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Other Interests (i)

 

Beneficial
Interest
(000)

 

 

 

 









Auto Components — 2.1%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co. LLP

 

 

1

 

 

7,840,033

 

Lear Corp. Escrow

 

 

790

 

 

9,875

 

 

 

 

 

 



 

 

 

 

 

 

 

7,849,908

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

1,250

 

 

125

 

Adelphia Recovery Trust

 

 

1,568

 

 

6,270

 

 

 

 

 

 



 

 

 

 

 

 

 

6,395

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Buffets, Inc.

 

 

970

 

 

97

 









Total Other Interests — 2.1%

 

 

 

 

 

7,856,400

 









 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 









Auto Components — 0.1%

 

 

 

 

 

 

 

Dana Holding Corp., 4.00% (b)(d)

 

 

3,300

 

 

315,150

 

Diversified Financial Services — 1.5%

 

 

 

 

 

 

 

Ally Financial Inc., 7.00% (b)

 

 

4,593

 

 

3,793,962

 

Citigroup, Inc., 7.50% (d)

 

 

16,800

 

 

1,922,760

 

 

 

 

 

 



 

 

 

 

 

 

 

5,716,722

 









Household Durables — 0.1%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 7.50% (d)

 

 

17,226

 

 

341,247

 









Media — 0.2%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.,
0.00% (a)(b)(g)

 

 

55,038

 

 

1

 

TRA Global, Inc., 0.00% (a)

 

 

420,689

 

 

679,707

 

 

 

 

 

 



 

 

 

 

 

 

 

679,708

 









Real Estate Investment Trusts (REITs) — 0.0%

 

 

 

 

 

 

 

MPG Office Trust, Inc., Series A, 7.63% (a)

 

 

13,326

 

 

143,788

 









 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 









Thrifts & Mortgage Finance — 0.0%

 

 

 

 

 

 

 

Fannie Mae, Series O, 0.00% (a)

 

 

40,000

 

$

16,400

 

Freddie Mac, Series Z, 8.38% (a)

 

 

108,377

 

 

35,764

 

 

 

 

 

 



 

 

 

 

 

 

 

52,164

 









Total Preferred Securities — 1.9%

 

 

 

 

 

7,248,779

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants (j)

 

 

 

 

 

 

 









Containers & Packaging — 0.0%

 

 

 

 

 

 

 

MDP Acquisitions Plc (Expires 10/01/13)

 

 

1,100

 

 

49,437

 









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

 

 

8

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(Expires 3/26/19) (b)

 

 

62,894

 

 

1

 

New Vision Holdings LLC (Expires 9/30/14)

 

 

4

 

 

40

 

New Vision Holdings LLC (Expires 9/30/14)

 

 

22

 

 

221

 

 

 

 

 

 



 

 

 

 

 

 

 

262

 









Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

2

 

 

 









Software — 0.0%

 

 

 

 

 

 

 

HMH Holdings/EduMedia (Expires 3/09/17)

 

 

20,878

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

49,708

 









Total Long-Term Investments
(Cost — $470,023,714) — 121.4%

 

 

 

 

 

464,703,309

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.25% (k)(l)

 

 

2,725,924

 

 

2,725,924

 









Total Short-Term Securities
(Cost — $2,725,924) — 0.7%

 

 

 

 

 

2,725,924

 









Total Investments Before Options Written
(Cost — $472,749,638*) — 122.1%

 

 

 

 

 

467,429,233

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

 

 

 









Over-the-Counter Call Swaptions — 0.0%

 

 

 

 

 

 

 

Bought credit default protection on Dow Jones
CDX North America High Yield Index Series 14
Volume 1, Strike Price USD 100.00, Expires
9/15/10, Broker Credit Suisse International

 

USD

8,500

 

$

(4,726

)

Bought credit default protection on Dow Jones
CDX North America High Yield Index Series 14
Volume 1, Strike Price USD 96.00, Expires
9/15/10, Broker Credit Suisse International

 

 

4,750

 

 

(53,305

)

 

 

 

 

 



 

 

 

 

 

 

 

(58,031

)










 

 

 

 

See Notes to Financial Statements.


30

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

Value

 







Over-the-Counter Put Swaptions — 0.0%

 

 

 

 

 

 

 

Sold credit default protection on Dow Jones CDX
North America High Yield Series 14 Volume 1,
Strike Price USD 87.00, Expires 9/15/10,
Broker Credit Suisse International

 

USD

4,750

 

$

(76

)









Total Options Written (Premiums Received — $166,000) — 0.0%

 

 

 

 

 

(58,107

)









Total Investments, Net of Options Written — 122.1%

 

 

 

 

 

467,371,126

 

Liabilities in Excess of Other Assets — (22.1)%

 

 

 

 

 

(84,767,879

)

 

 

 

 

 



 

Net Assets — 100.0%

 

 

 

 

$

382,603,247

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 










 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

474,121,453

 

 

 



 

Gross unrealized appreciation

 

$

22,278,093

 

Gross unrealized depreciation

 

 

(28,970,313

)

 

 



 

Net unrealized depreciation

 

$

(6,692,220

)

 

 



 


 

 

(a)

Non-income producing security.

 

 

(b)

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

 

 

(c)

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

 

 

(d)

Convertible security.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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

 

 

(h)

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.

 

 

(i)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(j)

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.

 

 

(k)

Investments in companies considered to be an affiliate of the Trust during the year, 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,
2009

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

 











BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

2,197,091

 

 

528,833

 

 

2,725,924

 

$

2,564

 
















 

 

(l)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of August 31,2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation

 













    42

 

S&P 500 Index

 

Chicago
Mercantile

 

September
2010

 

$

11,182,653

 

$

175,503

 
















 

 

Credit default swaps on single-name issuers — buy protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 















K. Hovnanian
Enterprises, Inc.

 

5.00%

 

Goldman Sachs
International

 

December
2011

 

$

755

 

$

44,896

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

K. Hovnanian
Enterprises, Inc.

 

5.00%

 

Goldman Sachs
Bank USA

 

December
2013

 

$

1,475

 

 

248,530

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Louisiana-
Pacific Corp.

 

5.00%

 

JPMorgan Chase
Bank NA

 

March 2014

 

$

1,000

 

 

(212,629

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Brunswick Corp.

 

5.00%

 

Goldman Sachs
Bank USA

 

September
2014

 

$

300

 

 

(15,811

)















Total

 

 

 

 

 

 

 

 

 

 

$

64,986

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 

Credit default swaps on single-name issuers — sold protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating1

 

 

Notional
Amount
(000)2

 

 

Unrealized
Appreciation
(Depreciation)

 

















Texas Competitive
Electric Holdings
Co. LLC

 

5.00%

 

Goldman Sachs
International

 

September
2012

 

CCC

 

$

750

 

$

(67,509

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Advanced Micro
Devices, Inc.

 

5.00%

 

JPMorgan
Chase Bank NA

 

March 2015

 

B+

 

$

700

 

 

(7,841

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp.

 

5.00%

 

Credit Suisse
International

 

March 2015

 

C

 

$

150

 

 

1,048

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp.

 

5.00%

 

JPMorgan
Chase Bank NA

 

March 2015

 

C

 

$

250

 

 

(19,875

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp.

 

5.00%

 

JPMorgan
Chase Bank NA

 

March 2015

 

C

 

$

325

 

 

(5,607

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp.

 

5.00%

 

JPMorgan
Chase Bank NA

 

March 2015

 

C

 

$

150

 

 

(295

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Levi
Strauss & Co.

 

5.00%

 

Goldman Sachs
International

 

June 2015

 

B+

 

$

345

 

 

1,841

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NOVA
Chemicals Corp.

 

5.00%

 

Goldman Sachs
International

 

June 2015

 

B+

 

$

550

 

 

(10,082

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Levi
Strauss & Co.

 

5.00%

 

Goldman Sachs
International

 

September
2015

 

B+

 

$

870

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp.

 

5.00%

 

JPMorgan
Chase Bank NA

 

September
2015

 

C

 

$

200

 

 

(720

)

















Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(109,040

)

 

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 

 

 

1

Using S&P’s rating of the issuer.

 

 

 

 

2

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


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

31




 

 


 

 

Schedule of Investments (concluded)

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


 

 

Foreign currency exchange contracts as of August 31,2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 











EUR

892,800

 

USD

1,152,062

 

Citibank NA

 

9/15/10

 

$

(20,686

)

USD

26,384,513

 

EUR

20,832,000

 

Citibank NA

 

9/15/10

 

 

(14,281

)

USD

430,698

 

EUR

334,000

 

Deutsche Bank AG

 

9/15/10

 

 

7,445

 

EUR

258,700

 

USD

327,839

 

Royal Bank of
Scotland Plc

 

9/15/10

 

 

(8

)

USD

3,150,737

 

GBP

2,064,000

 

Citibank NA

 

10/20/10

 

 

(13,613

)

USD

552,136

 

CAD

583,000

 

Deutsche Bank AG

 

10/20/10

 

 

5,850

 

USD

472,382

 

GBP

309,500

 

Deutsche Bank AG

 

10/20/10

 

 

(2,117

)

USD

342,197

 

GBP

222,000

 

Royal Bank of
Scotland Plc

 

10/20/10

 

 

1,845

 

GBP

247,000

 

USD

385,308

 

UBS AG

 

10/20/10

 

 

(6,628

)














Total

 

 

 

 

 

 

 

 

$

(42,193

)

 

 

 

 

 

 

 

 

 



 


 

 

 

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. This definition 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 derivatives, which are as follows:

 

 

 

 

Level 1 — 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 derivatives)

 

 

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments 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 August 31, 2010 in determining the fair valuation of the Trust’s investments and derivatives:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

8,038,488

 

$

637,200

 

$

1,056,339

 

$

9,732,027

 

Corporate Bonds

 

 

 

 

364,974,062

 

 

7,015,576

 

 

371,989,638

 

Floating Rate Loan Interest

 

 

 

 

45,951,371

 

 

21,875,386

 

 

67,826,757

 

Other Interest

 

 

 

 

7,840,033

 

 

16,367

 

 

7,856,400

 

Preferred Securities

 

 

6,253,921

 

 

315,150

 

 

679,708

 

 

7,248,779

 

Warrants

 

 

 

 

 

 

49,708

 

 

49,708

 

Short-Term Securities

 

 

2,725,924

 

 

 

 

 

 

2,725,924

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

 

 

 

 

(70,023

)

 

(70,023

)

 

 













Total

 

$

17,018,333

 

$

419,717,816

 

$

30,623,061

 

$

467,359,210

 

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 


Derivative Financial Instruments1


Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

296,315

 

 

 

$

296,315

 

Foreign currency exchange contracts

 

 

 

 

15,140

 

 

 

 

15,140

 

Equity contracts

 

$

175,503

 

 

 

 

 

 

175,503

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(398,476

)

 

 

 

(398,476

)

Foreign currency exchange contracts

 

 

 

 

(57,333

)

 

 

 

(57,333

)

 

 













Total

 

$

175,503

 

$

(144,354

)

 

 

$

31,149

 

 

 














 

 

 

 

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

 

Unfunded Loan
Commitments

 

Total

 



















Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2009

 

$

645

 

$

2,089,671

 

$

34,290,990

 

$

6,493

 

$

1

 

$

10

 

 

 

$

36,387,810

 

Accrued discounts/premiums

 

 

 

 

31,439

 

 

391,386

 

 

 

 

 

 

 

 

 

 

422,825

 

Net realized gain (loss)

 

 

 

 

345,244

 

 

(5,841,748

)

 

 

 

 

 

 

 

 

 

(5,496,504

)

Net change in unrealized appreciation/depreciation2

 

 

7,267

 

 

(349,248

)

 

16,647,031

 

 

 

 

 

 

(9

)

$

(70,023

)

 

16,235,018

 

Purchases

 

 

 

 

(730,239

)

 

(23,216,310

)

 

 

 

 

 

 

 

 

 

(23,946,549

)

Sales

 

 

 

 

 

 

(1,907,650

)

 

 

 

 

 

 

 

 

 

(1,907,650

)

Transfers in3

 

 

1,056,214

 

 

5,628,709

 

 

14,216,481

 

 

9,874

 

 

679,707

 

 

49,707

 

 

 

 

21,640,692

 

Transfers out3

 

 

(7,787

)

 

 

 

(12,704,794

)

 

 

 

 

 

 

 

 

 

(12,712,581

)

 

 

























Balance, as of August 31, 2010

 

$

1,056,339

 

$

7,015,576

 

$

21,875,386

 

$

16,367

 

$

679,708

 

$

49,708

 

$

(70,023

)

$

30,623,061

 

 

 


























 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The net change in the unrealized appreciation/depreciation on the securities still held on August 31, 2010 was $5,004,674.

 

 

 

 

3

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


 

 

 

 

See Notes to Financial Statements.


32

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments August 31, 2010

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 







Building Products — 0.2%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

19,572

 

$

743,736

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

46,400

 

 

575,824

 









Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc. (a)

 

 

2,616

 

 

131

 









Communications Equipment — 0.6%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

44,428

 

 

2,378,675

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc. (a)

 

 

3,445

 

 

142,968

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

116,910

 

 

3,624

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (a)

 

 

1,816

 

 

7,627

 









Household Durables — 0.1%

 

 

 

 

 

 

 

Beazer Homes USA, Inc. (a)

 

 

88,000

 

 

304,480

 









Machinery — 0.2%

 

 

 

 

 

 

 

Accuride Corp. (a)

 

 

141,777

 

 

155,955

 

Navistar International Corp. (a)

 

 

14,800

 

 

619,824

 

 

 

 

 

 



 

 

 

 

 

 

 

775,779

 









Media — 0.4%

 

 

 

 

 

 

 

Charter Communications, Inc. (a)

 

 

25,576

 

 

869,584

 

Gannett Co., Inc.

 

 

68,400

 

 

826,956

 

 

 

 

 

 



 

 

 

 

 

 

 

1,696,540

 









Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

192,951

 

 

452,363

 

Ainsworth Lumber Co. Ltd. (a)(b)

 

 

221,591

 

 

519,508

 

Western Forest Products, Inc. (a)(b)

 

 

78,039

 

 

21,589

 

 

 

 

 

 



 

 

 

 

 

 

 

993,460

 









Semiconductors & Semiconductor Equipment — 0.0%

 

 

 

 

 

 

 

SunPower Corp., Class B (a)

 

 

1,235

 

 

12,770

 









Software — 0.2%

 

 

 

 

 

 

 

HMH Holdings/EduMedia (a)

 

 

142,515

 

 

712,576

 









Wireless Telecommunication Services — 0.1%

 

 

 

 

 

 

 

FiberTower Corp. (a)

 

 

127,570

 

 

457,976

 









Total Common Stocks — 2.2%

 

 

 

 

 

8,806,166

 










 

 

 

 

 

 

 

 


Corporate Bonds

 

Par
(000)

 

 

 

 









Aerospace & Defense — 0.4%

 

 

 

 

 

 

 

Bombardier, Inc., 7.75%, 3/15/20 (b)

 

USD

300

 

 

322,500

 

DynCorp International, Inc., 10.38%, 7/01/17 (b)

 

 

440

 

 

437,800

 

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

 

 

840

 

 

867,300

 

 

 

 

 

 



 

 

 

 

 

 

 

1,627,600

 









Airlines — 3.0%

 

 

 

 

 

 

 

Air Canada (b):

 

 

 

 

 

 

 

9.25%, 8/01/15

 

 

1,640

 

 

1,607,200

 

12.00%, 2/01/16

 

 

440

 

 

411,400

 

American Airlines, Inc., 10.50%, 10/15/12 (b)

 

 

1,470

 

 

1,561,875

 

American Airlines Pass Through Trust,
Series 2001-02, 7.86%, 4/01/13

 

 

510

 

 

533,715

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

6.75%, 9/15/15 (b)

 

 

900

 

 

891,000

 

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

 

 

1,491

 

 

1,453,793

 

Series 2001-1-C, 7.03%, 12/15/12

 

 

358

 

 

356,599

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Airlines (concluded)

 

 

 

 

 

 

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

USD

1,520

 

$

1,596,401

 

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

 

 

3,093

 

 

3,448,186

 

 

 

 

 

 



 

 

 

 

 

 

 

11,860,169

 









Auto Components — 1.5%

 

 

 

 

 

 

 

Allison Transmission, Inc. (b):

 

 

 

 

 

 

 

11.00%, 11/01/15

 

 

360

 

 

387,000

 

11.25%, 11/01/15 (c)

 

 

284

 

 

305,300

 

Delphi International Holdings Unsecured, 12.00%,
10/06/14

 

 

69

 

 

67,753

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

8.25%, 8/15/20

 

 

680

 

 

696,150

 

8.75%, 8/15/20

 

 

540

 

 

571,050

 

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

 

 

4,180

 

 

4,159,100

 

 

 

 

 

 



 

 

 

 

 

 

 

6,186,353

 









Beverages — 0.2%

 

 

 

 

 

 

 

Cott Beverages USA, Inc., 8.13%, 9/01/18 (b)

 

 

413

 

 

424,874

 

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

 

EUR

380

 

 

493,594

 

 

 

 

 

 



 

 

 

 

 

 

 

918,468

 









Biotechnology — 0.2%

 

 

 

 

 

 

 

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

 

USD

932

 

 

950,265

 









Building Products — 1.5%

 

 

 

 

 

 

 

Associated Materials LLC, 9.88%, 11/15/16

 

 

1,200

 

 

1,272,000

 

Building Materials Corp. of America (b):

 

 

 

 

 

 

 

6.88%, 8/15/18

 

 

825

 

 

802,312

 

7.00%, 2/15/20

 

 

980

 

 

975,100

 

Momentive Performance Materials, Inc., Series WI,
9.75%, 12/01/14

 

 

1,115

 

 

1,088,519

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

1,880

 

 

1,936,400

 

 

 

 

 

 



 

 

 

 

 

 

 

6,074,331

 









Capital Markets — 0.3%

 

 

 

 

 

 

 

E*Trade Financial Corp., 3.46%, 8/31/19 (d)(e)

 

 

380

 

 

456,000

 

Offshore Group Investments Ltd., 11.50%, 8/01/15 (b)

 

 

810

 

 

807,975

 

 

 

 

 

 



 

 

 

 

 

 

 

1,263,975

 









Chemicals — 3.5%

 

 

 

 

 

 

 

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

 

 

1,400

 

 

1,384,250

 

CF Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

685

 

 

720,962

 

7.13%, 5/01/20

 

 

1,205

 

 

1,292,362

 

Chemtura Corp., 7.88%, 9/01/18 (b)

 

 

825

 

 

842,531

 

Georgia Gulf Corp., 9.00%, 1/15/17 (b)

 

 

260

 

 

269,425

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

9.75%, 11/15/14

 

 

1,240

 

 

1,218,300

 

8.88%, 2/01/18

 

 

1,225

 

 

1,133,125

 

Huntsman International LLC (b):

 

 

 

 

 

 

 

6.88%, 11/15/13

 

EUR

440

 

 

549,226

 

8.63%, 3/15/20

 

USD

370

 

 

366,763

 

Ineos Finance Plc, 9.00%, 5/15/15 (b)

 

 

655

 

 

662,369

 

Innophos, Inc., 8.88%, 8/15/14

 

 

1,250

 

 

1,281,250

 

MacDermid, Inc., 9.50%, 4/15/17 (b)

 

 

1,985

 

 

2,012,294

 

OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b)

 

 

865

 

 

912,575

 

Wellman Holdings, Inc., Subordinate Note (d):

 

 

 

 

 

 

 

(Second Lien), 10.00%, 1/29/19

 

 

1,450

 

 

1,261,500

 

(Third Lien), 5.00%, 1/29/19 (c)

 

 

476

 

 

185,615

 

 

 

 

 

 



 

 

 

 

 

 

 

14,092,547

 









Commercial Banks — 3.0%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

2,145

 

 

2,037,750

 

7.00%, 5/01/17

 

 

10,685

 

 

10,047,234

 

 

 

 

 

 



 

 

 

 

 

 

 

12,084,984

 










 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

AUGUST 31, 2010

33




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Commercial Services & Supplies — 1.0%

 

 

 

 

 

 

 

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

 

USD

395

 

$

434,500

 

RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b)

 

 

935

 

 

1,019,150

 

Scientific Games International, Inc., 9.25%,
6/15/19

 

 

360

 

 

381,600

 

West Corp., 11.00%, 10/15/16

 

 

2,050

 

 

2,152,500

 

 

 

 

 

 



 

 

 

 

 

 

 

3,987,750

 









Construction Materials — 0.9%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

 

3,460

 

 

3,646,303

 









Consumer Finance — 1.0%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17 (b)

 

 

1,080

 

 

1,119,150

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.28%, 1/13/12 (f)

 

 

340

 

 

333,200

 

7.80%, 6/01/12

 

 

300

 

 

315,703

 

8.00%, 12/15/16

 

 

290

 

 

314,921

 

6.63%, 8/15/17

 

 

1,700

 

 

1,727,832

 

 

 

 

 

 



 

 

 

 

 

 

 

3,810,806

 









Containers & Packaging — 3.2%

 

 

 

 

 

 

 

Ball Corp., 6.75%, 9/15/20

 

 

785

 

 

826,213

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.88%, 9/15/14

 

 

1,275

 

 

1,214,437

 

8.25%, 11/15/15

 

 

215

 

 

215,538

 

9.50%, 5/15/18 (b)

 

 

665

 

 

611,800

 

Berry Plastics Holding Corp., 8.88%, 9/15/14

 

 

3,830

 

 

3,648,075

 

Graphic Packaging International, Inc., 9.50%,
6/15/17

 

 

1,245

 

 

1,325,925

 

Impress Holdings BV, 3.65%, 9/15/13 (b)(f)

 

 

595

 

 

562,275

 

Owens-Brockway Glass Container, Inc., 6.75%,
12/01/14

 

EUR

254

 

 

325,100

 

Pregis Corp., 12.38%, 10/15/13

 

USD

1,920

 

 

1,920,000

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

785

 

 

1,014,687

 

7.75%, 11/15/19

 

 

745

 

 

967,704

 

 

 

 

 

 



 

 

 

 

 

 

 

12,631,754

 









Diversified Consumer Services — 1.2%

 

 

 

 

 

 

 

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

 

USD

4,775

 

 

4,942,125

 









Diversified Financial Services — 6.8%

 

 

 

 

 

 

 

Ally Financial Inc. (b):

 

 

 

 

 

 

 

8.30%, 2/12/15

 

 

3,510

 

 

3,650,400

 

7.50%, 9/15/20

 

 

2,970

 

 

2,940,300

 

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

 

 

1,545

 

 

1,546,931

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.88%, 2/15/11

 

GBP

1,050

 

 

1,630,460

 

7.13%, 1/16/12

 

EUR

3,000

 

 

3,934,813

 

7.13%, 1/15/13

 

 

1,450

 

 

1,901,826

 

GMAC, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

USD

700

 

 

714,875

 

2.74%, 12/01/14 (f)

 

 

635

 

 

545,927

 

8.00%, 3/15/20 (b)

 

 

3,930

 

 

4,028,250

 

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

 

 

1,870

 

 

1,991,550

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

 

2,305

 

 

2,322,287

 

Reynolds Group Issuer, Inc. (b):

 

 

 

 

 

 

 

7.75%, 10/15/16

 

EUR

600

 

 

771,748

 

8.50%, 5/15/18

 

USD

1,200

 

 

1,152,000

 

 

 

 

 

 



 

 

 

 

 

 

 

27,131,367

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Diversified Telecommunication Services — 4.5%

 

 

 

 

 

 

 

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

 

USD

1,680

 

$

1,646,400

 

Frontier Communications Corp.:

 

 

 

 

 

 

 

7.88%, 4/15/15

 

 

950

 

 

1,002,250

 

8.25%, 4/15/17

 

 

1,200

 

 

1,269,000

 

8.50%, 4/15/20

 

 

500

 

 

530,625

 

GCI, Inc., 8.63%, 11/15/19

 

 

1,700

 

 

1,785,000

 

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

 

 

840

 

 

827,400

 

Nordic Telephone Co. Holdings ApS, 8.88%,
5/01/16 (b)

 

 

340

 

 

357,000

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

3,190

 

 

3,249,812

 

8.00%, 10/01/15 (b)

 

 

900

 

 

967,500

 

Series B, 7.50%, 2/15/14

 

 

2,370

 

 

2,414,437

 

Qwest Corp.:

 

 

 

 

 

 

 

7.63%, 6/15/15

 

 

875

 

 

982,188

 

8.38%, 5/01/16

 

 

1,120

 

 

1,304,800

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

703

 

 

749,574

 

7.88%, 11/01/17

 

 

1,017

 

 

1,032,255

 

 

 

 

 

 



 

 

 

 

 

 

 

18,118,241

 









Energy Equipment & Services — 1.9%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

2,045

 

 

2,024,550

 

7.75%, 5/15/17

 

 

510

 

 

506,175

 

Expro Finance Luxembourg SCA, 8.50%,
12/15/16 (b)

 

 

2,890

 

 

2,702,150

 

Global Geophysical Services, Inc., 10.50%,
5/01/17 (b)

 

 

480

 

 

475,200

 

North American Energy Alliance LLC, 10.88%,
6/01/16 (b)

 

 

1,055

 

 

1,139,400

 

Thermon Industries, Inc., 9.50%, 5/01/17 (b)

 

 

850

 

 

871,250

 

 

 

 

 

 



 

 

 

 

 

 

 

7,718,725

 









Food & Staples Retailing — 0.9%

 

 

 

 

 

 

 

AmeriQual Group LLC, 9.50%, 4/01/12 (b)

 

 

1,300

 

 

1,274,000

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

660

 

 

701,250

 

10.25%, 10/15/19

 

 

945

 

 

970,988

 

8.00%, 8/15/20 (b)

 

 

820

 

 

814,875

 

 

 

 

 

 



 

 

 

 

 

 

 

3,761,113

 









Food Products — 0.5%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

340

 

 

349,775

 

Reddy Ice Corp., 11.25%, 3/15/15 (b)

 

 

690

 

 

699,488

 

Smithfield Foods, Inc., 10.00%, 7/15/14 (b)

 

 

730

 

 

814,862

 

TreeHouse Foods, Inc., 7.75%, 3/01/18

 

 

250

 

 

264,375

 

 

 

 

 

 



 

 

 

 

 

 

 

2,128,500

 









Health Care Equipment & Supplies — 1.4%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

3,810

 

 

4,081,463

 

Hologic, Inc., 2.00%, 12/15/37 (d)(g)

 

 

1,495

 

 

1,351,106

 

 

 

 

 

 



 

 

 

 

 

 

 

5,432,569

 









Health Care Providers & Services — 4.9%

 

 

 

 

 

 

 

American Renal Holdings, 8.38%, 5/15/18 (b)

 

 

435

 

 

435,000

 

Gentiva Health Services, Inc., 11.50%, 9/01/18 (b)

 

 

1,095

 

 

1,133,325

 

HCA, Inc.:

 

 

 

 

 

 

 

9.13%, 11/15/14

 

 

2,745

 

 

2,882,250

 

8.50%, 4/15/19

 

 

1,550

 

 

1,699,188

 

7.25%, 9/15/20

 

 

3,605

 

 

3,767,225

 

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

 

 

1,020

 

 

997,050

 

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

 

 

785

 

 

785,000

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

2,935

 

 

3,125,775

 

10.00%, 5/01/18

 

 

1,050

 

 

1,181,250

 

8.88%, 7/01/19

 

 

3,360

 

 

3,633,000

 

 

 

 

 

 



 

 

 

 

 

 

 

19,639,063

 










 

 

 

 

See Notes to Financial Statements.





34

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Health Care Technology — 1.1%

 

 

 

 

 

 

 

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

 

USD

3,760

 

$

4,356,900

 









Hotels, Restaurants & Leisure — 2.3%

 

 

 

 

 

 

 

Diamond Resorts Corp., 12.00%, 8/15/18 (b)

 

 

1,860

 

 

1,757,700

 

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

 

GBP

656

 

 

830,363

 

Harrah’s Operating Co., Inc., 11.25%, 6/01/17

 

USD

980

 

 

1,048,600

 

Inn of the Mountain Gods Resort & Casino, 12.00%,
11/15/10 (a)(h)

 

 

2,575

 

 

1,126,562

 

Little Traverse Bay Bands of Odawa Indians, 10.25%,
2/15/14 (a)(b)(h)

 

 

1,895

 

 

639,562

 

MGM Mirage, 13.00%, 11/15/13

 

 

130

 

 

150,150

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

415

 

 

452,350

 

11.13%, 11/15/17

 

 

1,310

 

 

1,463,925

 

Marina District Finance Co., Inc., 9.88%, 8/15/18 (b)

 

 

570

 

 

568,575

 

Travelport LLC:

 

 

 

 

 

 

 

5.16%, 9/01/14 (f)

 

 

195

 

 

180,863

 

9.88%, 9/01/14

 

 

320

 

 

327,200

 

Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (a)(h)

 

 

515

 

 

376

 

Virgin River Casino Corp., 9.00%, 1/15/12 (a)(h)

 

 

1,500

 

 

675,000

 

 

 

 

 

 



 

 

 

 

 

 

 

9,221,226

 









Household Durables — 3.6%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

6.88%, 7/15/15

 

 

285

 

 

246,525

 

8.13%, 6/15/16

 

 

495

 

 

433,125

 

12.00%, 10/15/17

 

 

2,080

 

 

2,342,600

 

9.13%, 6/15/18

 

 

3,240

 

 

2,867,400

 

DFS Furniture Holdings Plc, 9.75%, 7/15/17 (b)

 

GBP

325

 

 

467,283

 

K. Hovnanian Enterprises, Inc., 10.63%, 10/15/16

 

USD

2,730

 

 

2,648,100

 

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

 

 

1,045

 

 

979,687

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

9.25%, 4/15/12

 

 

210

 

 

215,513

 

6.25%, 4/01/14

 

 

570

 

 

531,525

 

7.00%, 8/15/15

 

 

420

 

 

386,400

 

10.75%, 9/15/16

 

 

2,355

 

 

2,478,637

 

8.38%, 5/15/18

 

 

865

 

 

832,563

 

 

 

 

 

 



 

 

 

 

 

 

 

14,429,358

 









Independent Power Producers & Energy Traders — 2.6%

 

 

 

 

 

 

 

The AES Corp., 8.75%, 5/15/13 (b)

 

 

21

 

 

21,341

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

2,010

 

 

2,110,500

 

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

 

 

5,200

 

 

5,007,616

 

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

 

 

271

 

 

260,426

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

1,960

 

 

1,999,200

 

7.38%, 2/01/16

 

 

405

 

 

408,038

 

7.38%, 1/15/17

 

 

615

 

 

619,612

 

 

 

 

 

 



 

 

 

 

 

 

 

10,426,733

 









Industrial Conglomerates — 2.6%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

3,810

 

 

3,924,300

 

13.50%, 12/01/15 (c)

 

 

6,236

 

 

6,485,556

 

 

 

 

 

 



 

 

 

 

 

 

 

10,409,856

 









Insurance — 0.9%

 

 

 

 

 

 

 

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

 

 

2,600

 

 

2,668,250

 

USI Holdings Corp., 4.25%, 11/15/14 (b)(f)

 

 

1,070

 

 

906,825

 

 

 

 

 

 



 

 

 

 

 

 

 

3,575,075

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Leisure Equipment & Products — 0.3%

 

 

 

 

 

 

 

Brunswick Corp., 11.25%, 11/01/16 (b)

 

USD

950

 

$

1,085,375

 









Life Sciences Tools & Services — 0.2%

 

 

 

 

 

 

 

Patheon, Inc., 8.63%, 4/15/17 (b)

 

 

910

 

 

906,588

 









Machinery — 1.6%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

 

1,650

 

 

1,402,500

 

Accuride Corp., 7.50%, 2/26/20 (c)(d)

 

 

15

 

 

38,372

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (d)

 

 

2,960

 

 

3,230,100

 

8.25%, 11/01/21

 

 

1,500

 

 

1,571,250

 

Oshkosh Corp., 8.25%, 3/01/17

 

 

220

 

 

231,550

 

 

 

 

 

 



 

 

 

 

 

 

 

6,473,772

 









Marine — 0.7%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (d)

 

 

3,340

 

 

2,805,600

 









Media — 12.3%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

 

3,824

 

 

3,919,600

 

10.13%, 10/15/13

 

 

1,195

 

 

1,221,888

 

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

 

 

876

 

 

1,038,517

 

CCO Holdings LLC (b):

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

730

 

 

755,550

 

8.13%, 4/30/20

 

 

730

 

 

768,325

 

CMP Susquehanna Corp., 3.64%, 5/15/14 (b)(f)

 

 

254

 

 

5,080

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

550

 

 

600,875

 

Catalina Marketing Corp., 10.50%, 10/01/15 (b)(c)

 

 

935

 

 

1,000,450

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

1,313

 

 

1,362,237

 

Series B, 9.25%, 12/15/17

 

 

6,656

 

 

6,980,480

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

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

 

 

999

 

 

998,690

 

Loan Close 3, 12.00%, 8/15/18

 

 

1,155

 

 

1,155,000

 

Shares Loan, 4.00%, 8/15/18

 

 

1,178

 

 

1,177,586

 

DISH DBS Corp., 7.00%, 10/01/13

 

 

150

 

 

156,188

 

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

 

 

715

 

 

688,188

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (f)

 

 

550

 

 

462,000

 

9.50%, 5/15/15

 

 

660

 

 

628,650

 

Intelsat Corp., 9.25%, 6/15/16

 

 

3,400

 

 

3,604,000

 

Interactive Data Corp., 10.25%, 8/01/18 (b)

 

 

1,600

 

 

1,660,000

 

Liberty Global, Inc., 4.50%, 11/15/16 (b)(d)

 

 

700

 

 

857,500

 

Liberty Media Corp., 3.13%, 3/30/23 (d)

 

 

1,748

 

 

1,900,950

 

Lighthouse International Co. SA:

 

 

 

 

 

 

 

8.00%, 4/30/14

 

EUR

822

 

 

614,591

 

8.00%, 4/30/14 (b)

 

 

120

 

 

89,721

 

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

 

USD

1,010

 

 

974,650

 

McClatchy Co., 11.50%, 2/15/17 (b)

 

 

2,180

 

 

2,250,850

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

225

 

 

252,281

 

10.00%, 8/01/14

 

 

3,425

 

 

3,596,250

 

Rainbow National Services LLC, 10.38%,
9/01/14 (b)

 

 

2,570

 

 

2,666,375

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

520

 

 

533,000

 

Seat Pagine Gialle SpA, 10.50%, 1/31/17 (b)

 

EUR

228

 

 

268,708

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

USD

2,120

 

 

2,024,600

 

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

 

 

800

 

 

833,000

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

244

 

 

323,897

 

9.63%, 12/01/19 (b)

 

 

900

 

 

1,194,700

 

Unitymedia Hessen GmbH & Co. KG:

 

 

 

 

 

 

 

8.13%, 12/01/17

 

 

120

 

 

155,111

 

8.13%, 12/01/17 (b)

 

USD

985

 

 

1,012,088

 

8.13%, 12/01/17 (b)

 

EUR

701

 

 

906,109

 

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

 

 

610

 

 

784,618

 

 

 

 

 

 



 

 

 

 

 

 

 

49,422,303

 










 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

AUGUST 31, 2010

35




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Metals & Mining — 4.1%

 

 

 

 

 

 

 

AK Steel Corp., 7.63%, 5/15/20

 

USD

35

 

$

35,263

 

Aleris International, Inc. (a)(h):

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

1,625

 

 

3,250

 

10.00%, 12/15/16

 

 

1,300

 

 

494

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

1,250

 

 

1,307,812

 

7.38%, 2/15/16

 

 

360

 

 

360,450

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

850

 

 

936,062

 

10.63%, 9/01/16

 

 

1,875

 

 

2,172,656

 

Foundation PA Coal Co., 7.25%, 8/01/14

 

 

3,250

 

 

3,258,125

 

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

 

 

1,040

 

 

1,264,900

 

McJunkin Red Man Corp., 9.50%, 12/15/16 (b)

 

 

980

 

 

864,850

 

Murray Energy Corp., 10.25%, 10/15/15 (b)

 

 

830

 

 

848,675

 

New World Resources NV:

 

 

 

 

 

 

 

7.38%, 5/15/15

 

EUR

439

 

 

545,196

 

7.88%, 5/01/18 (b)

 

 

326

 

 

417,255

 

7.88%, 5/01/18

 

 

290

 

 

371,178

 

Novelis, Inc., 11.50%, 2/15/15

 

USD

685

 

 

753,500

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.84%, 11/01/14 (f)

 

 

640

 

 

593,600

 

12.00%, 11/01/15

 

 

450

 

 

462,938

 

Steel Dynamics, Inc., 7.38%, 11/01/12

 

 

410

 

 

435,625

 

United States Steel Corp., 7.38%, 4/01/20

 

 

815

 

 

825,188

 

Vedanta Resources Plc, 9.50%, 7/18/18 (b)

 

 

1,015

 

 

1,065,750

 

 

 

 

 

 



 

 

 

 

 

 

 

16,522,767

 









Multiline Retail — 2.5%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

2,215

 

 

2,430,963

 

11.88%, 7/15/17 (c)

 

 

6,753

 

 

7,765,950

 

 

 

 

 

 



 

 

 

 

 

 

 

10,196,913

 









Oil, Gas & Consumable Fuels — 8.2%

 

 

 

 

 

 

 

Arch Coal, Inc.:

 

 

 

 

 

 

 

8.75%, 8/01/16

 

 

95

 

 

102,838

 

7.25%, 10/01/20

 

 

1,335

 

 

1,355,025

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

750

 

 

861,563

 

10.75%, 2/01/18

 

 

405

 

 

446,513

 

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

 

 

800

 

 

808,000

 

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

 

 

70

 

 

75,950

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

3,665

 

 

3,678,744

 

2.25%, 12/15/38 (d)

 

 

1,250

 

 

935,937

 

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

 

 

460

 

 

472,650

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

280

 

 

303,800

 

10.25%, 12/15/15

 

 

1,755

 

 

1,755,000

 

Consol Energy, Inc., 8.25%, 4/01/20 (b)

 

 

3,095

 

 

3,284,569

 

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

 

 

630

 

 

650,475

 

Denbury Resources, Inc., 8.25%, 2/15/20

 

 

1,095

 

 

1,168,912

 

Linn Energy LLC, 8.63%, 4/15/20 (b)

 

 

1,715

 

 

1,809,325

 

Massey Energy Co., 6.88%, 12/15/13

 

 

1,465

 

 

1,483,312

 

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

 

 

2,930

 

 

3,083,825

 

OPTI Canada, Inc. (b):

 

 

 

 

 

 

 

9.00%, 12/15/12

 

 

2,715

 

 

2,721,787

 

9.75%, 8/15/13

 

 

1,500

 

 

1,481,250

 

Patriot Coal Corp., 8.25%, 4/30/18

 

 

645

 

 

640,163

 

Peabody Energy Corp., 6.50%, 9/15/20

 

 

1,600

 

 

1,682,000

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

895

 

 

1,000,162

 

7.88%, 6/01/15

 

 

680

 

 

705,500

 

QEP Resources, Inc., 6.88%, 3/01/21

 

 

650

 

 

677,625

 

Range Resources Corp., 8.00%, 5/15/19

 

 

700

 

 

749,000

 

Teekay Corp., 8.50%, 1/15/20

 

 

1,020

 

 

1,088,850

 

 

 

 

 

 



 

 

 

 

 

 

 

33,022,775

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Paper & Forest Products — 2.9%

 

 

 

 

 

 

 

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

 

USD

1,790

 

$

1,530,264

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

525

 

 

552,562

 

8.00%, 4/01/20

 

 

240

 

 

244,200

 

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

 

 

625

 

 

703,125

 

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

 

 

2,570

 

 

2,814,150

 

Glatfelter, 7.13%, 5/01/16 (b)

 

 

330

 

 

332,063

 

NewPage Corp., 11.38%, 12/31/14

 

 

5,045

 

 

4,099,062

 

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

 

 

1,335

 

 

1,408,425

 

 

 

 

 

 



 

 

 

 

 

 

 

11,683,851

 









Pharmaceuticals — 0.6%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.29%,
12/01/13 (f)

 

 

1,696

 

 

1,369,520

 

Elan Finance Plc, 8.88%, 12/01/13

 

 

150

 

 

151,125

 

Novasep Holding SAS, 9.63%, 12/15/16 (b)

 

EUR

979

 

 

1,042,136

 

 

 

 

 

 



 

 

 

 

 

 

 

2,562,781

 









Real Estate Management & Development — 0.5%

 

 

 

 

 

 

 

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

 

USD

2,300

 

 

2,098,750

 









Road & Rail — 0.9%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 9.63%, 3/15/18

 

 

800

 

 

836,000

 

Hertz Holdings Netherlands BV, 8.50%,
7/31/15 (b)

 

EUR

1,120

 

 

1,476,093

 

Syncreon Global Ireland Ltd., 9.50%, 5/01/18 (b)

 

USD

1,260

 

 

1,231,650

 

 

 

 

 

 



 

 

 

 

 

 

 

3,543,743

 









Semiconductors & Semiconductor Equipment — 0.2%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc.:

 

 

 

 

 

 

 

6.00%, 5/01/15 (d)

 

 

219

 

 

214,346

 

7.75%, 8/01/20 (b)

 

 

445

 

 

440,550

 

 

 

 

 

 



 

 

 

 

 

 

 

654,896

 









Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.59%, 2/15/12 (b)(c)(f)

 

 

749

 

 

14,982

 









Specialty Retail — 1.6%

 

 

 

 

 

 

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (d)(g)

 

 

1,685

 

 

1,282,706

 

Hillman Group, Inc., 10.88%, 6/01/18 (b)

 

 

830

 

 

873,575

 

Limited Brands, Inc., 8.50%, 6/15/19

 

 

1,255

 

 

1,418,150

 

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

 

 

580

 

 

590,150

 

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

 

 

660

 

 

666,600

 

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

 

 

1,670

 

 

1,594,850

 

 

 

 

 

 



 

 

 

 

 

 

 

6,426,031

 









Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.88%, 4/15/15

 

 

810

 

 

749,250

 









Tobacco — 0.1%

 

 

 

 

 

 

 

Vector Group Ltd., 11.00%, 8/15/15

 

 

505

 

 

514,469

 









Wireless Telecommunication Services — 5.2%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

2,870

 

 

3,006,325

 

7.75%, 5/15/16

 

 

1,080

 

 

1,115,100

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

1,120

 

 

1,128,400

 

9.13%, 1/15/15 (c)

 

 

2,864

 

 

2,878,320

 

8.25%, 9/01/17

 

 

1,240

 

 

1,288,050

 

10.50%, 4/15/18

 

 

800

 

 

858,000

 

FiberTower Corp., 9.00%, 1/01/16 (c)

 

 

488

 

 

415,114

 

iPCS, Inc., 2.59%, 5/01/13 (f)

 

 

1,295

 

 

1,210,825

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

3,935

 

 

4,092,400

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

1,880

 

 

1,875,300

 

Series F, 5.95%, 3/15/14

 

 

170

 

 

164,263

 


 

 

 

 

See Notes to Financial Statements.





36

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

Orascom Telecom Finance SCA, 7.88%, 2/08/14 (b)

 

USD

385

 

$

365,750

 

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

 

 

2,770

 

 

2,312,950

 

 

 

 

 

 



 

 

 

 

 

 

 

20,710,797

 









Total Corporate Bonds — 97.0%

 

 

 

 

 

389,821,799

 










 

 

 

 

 

 

 

 


 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 









Auto Components — 1.0%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Loan, 8.51%,
3/01/12 (c)

 

 

740

 

 

710,106

 

Allison Transmission, Inc., Term Loan, 3,04%,
8/07/14

 

 

3,576

 

 

3,294,810

 

 

 

 

 

 



 

 

 

 

 

 

 

4,004,916

 









Automobiles — 1.3%

 

 

 

 

 

 

 

Ford Motor Co., Tranche B-1 Term Loan, 3.03%,
12/15/13

 

 

5,619

 

 

5,405,222

 









Building Products — 1.2%

 

 

 

 

 

 

 

CPG International I, Inc., Term Loan, 5.54%, 4/30/12

 

 

4,912

 

 

4,911,746

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

Marsico Parent Co., LLC, Term Loan, 5.31% – 5.56%,
12/15/14

 

 

759

 

 

526,462

 









Chemicals — 0.7%

 

 

 

 

 

 

 

PQ Corp., Term Loan (First Lien), 3.52% – 3.73%,
7/30/14

 

 

421

 

 

385,341

 

Tronox Worldwide LLC:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 11.25%, 9/20/10

 

 

1,892

 

 

1,907,135

 

Tranche B-2 Term Loan, 11.25%, 9/20/10

 

 

508

 

 

512,365

 

 

 

 

 

 



 

 

 

 

 

 

 

2,804,841

 









Commercial Services & Supplies — 1.0%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B, 7.75%,
6/10/16

 

 

1,500

 

 

1,508,750

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

975

 

 

980,282

 

International Lease Finance Corp. (Delos Aircraft, Inc.),
Term Loan 1, 6.75%, 3/17/15

 

 

1,350

 

 

1,360,687

 

 

 

 

 

 



 

 

 

 

 

 

 

3,849,719

 









Construction & Engineering — 0.8%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Term Loan, 15.63%,
12/14/17

 

 

3,250

 

 

3,250,000

 









Consumer Finance — 1.7%

 

 

 

 

 

 

 

AGFS Funding Co., Term Loan, 7.25%,
4/21/15

 

 

6,500

 

 

6,422,812

 

DaimlerChrysler Financial Services Americas LLC,
Term Loan (Second Lien), 6.78%, 8/05/13

 

 

375

 

 

373,669

 

 

 

 

 

 



 

 

 

 

 

 

 

6,796,481

 









Diversified Telecommunication Services — 1.7%

 

 

 

 

 

 

 

Wind Finance SL SA, Euro Facility (Second Lien),
7.89%, 12/17/14

 

EUR

5,258

 

 

6,649,038

 









Electric Utilities — 0.5%

 

 

 

 

 

 

 

New Development Holdings LLC, Term Loan,
7.00%, 7/03/17

 

USD

2,025

 

 

2,045,250

 









Health Care Providers & Services — 0.7%

 

 

 

 

 

 

 

Harden Healthcare Term Loan A:

 

 

 

 

 

 

 

Add-on Term Loan, 7.75%, 3/02/15

 

 

900

 

 

882,000

 

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

 

 

694

 

 

679,764

 

inVentiv Health, Inc. (FKA Ventive Health, Inc.),
Term Loan B, 6.50%, 7/31/16

 

 

1,400

 

 

1,397,375

 

 

 

 

 

 



 

 

 

 

 

 

 

2,959,139

 










 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 









Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

Travelport LLC (FKA Travelport, Inc.), Loan, 8.37%,
3/27/12 (c)

 

USD

5,326

 

$

4,952,993

 









IT Services — 0.4%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

First Lien Term Loan, 3.01%, 9/24/14

 

 

255

 

 

217,782

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

644

 

 

548,816

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

1,165

 

 

993,674

 

 

 

 

 

 



 

 

 

 

 

 

 

1,760,272

 









Independent Power Producers & Energy Traders — 1.0%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.79% – 4.03%,
10/10/14

 

 

342

 

 

259,173

 

Initial Tranche B-2 Term Loan, 3.79% – 4.07%,
10/10/14

 

 

215

 

 

162,617

 

Initial Tranche B-3 Term Loan, 3.79% – 4.03%,
10/10/14

 

 

4,542

 

 

3,423,268

 

 

 

 

 

 



 

 

 

 

 

 

 

3,845,058

 









Media — 1.7%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson
Learning), Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

 

 

2,695

 

 

2,686,018

 

HMH Publishing Co., Ltd. (FKA Education Media),
Tranche A Term Loan, 5.80%, 6/12/14 (c)

 

 

1,467

 

 

1,335,940

 

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

 

 

2,450

 

 

2,600,062

 

 

 

 

 

 



 

 

 

 

 

 

 

6,622,020

 









Multiline Retail — 0.5%

 

 

 

 

 

 

 

Hema Holding BV, Mezzanine, 4.15% – 9.00%,
1/29/17

 

EUR

1,565

 

 

1,824,063

 

The Neiman Marcus Group, Inc., Term Loan,
2.29% – 2.54%, 4/06/13

 

USD

390

 

 

369,366

 

 

 

 

 

 



 

 

 

 

 

 

 

2,193,429

 









Oil, Gas & Consumable Fuels — 0.8%

 

 

 

 

 

 

 

Turbo Beta Ltd., Dollar Facility, 2.50% – 14.50%,
3/15/18 (c)

 

 

3,799

 

 

3,010,744

 









Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, Loan,
6.70% – 7.44%, 2/01/13

 

 

2,020

 

 

1,212,250

 









Real Estate Management & Development — 0.6%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Initial Term Loan B, 3.30%, 10/10/13

 

 

629

 

 

542,442

 

Synthetic Letter of Credit, 0.11% – 3.15%,
10/10/13

 

 

108

 

 

92,988

 

Second Lien Term Facility, 13.50%, 10/15/17

 

 

1,575

 

 

1,661,625

 

 

 

 

 

 



 

 

 

 

 

 

 

2,297,055

 









Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 3.05%,
5/29/14

 

 

236

 

 

201,734

 

Michaels Stores, Inc., Term Loan B-1,
2.63% – 2.81%, 10/31/13

 

 

558

 

 

526,175

 

 

 

 

 

 



 

 

 

 

 

 

 

727,909

 









Total Floating Rate Loan Interests — 17.4%

 

 

 

 

 

69,824,544

 










 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

AUGUST 31, 2010

37




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Other Interests (i)

 

Beneficial
Interest
(000)

 

Value

 







Auto Components — 1.7%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co. LLP

 

USD

(j)

$

6,797,931

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc.

 

 

950

 

 

95

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

1,300

 

 

130

 

Adelphia Recovery Trust

 

 

1,630

 

 

6,522

 

 

 

 

 

 



 

 

 

 

 

 

 

6,652

 









Total Other Interests — 1.7%

 

 

 

 

 

6,804,678

 










 


Preferred Securities



 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 









Diversified Financial Services — 0.9%

 

 

 

 

 

 

 

Ally Financial, Inc., 7.00% (d)

 

 

4,512

 

 

3,727,053

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.,
0.00% (a)(b)(f)

 

 

59,235

 

 

1

 









Thrifts & Mortgage Finance — 0.0%

 

 

 

 

 

 

 

Fannie Mae, Series O, 0.00% (a)

 

 

40,000

 

 

16,400

 

Freddie Mac, Series Z, 8.38% (a)

 

 

110,157

 

 

36,352

 

 

 

 

 

 



 

 

 

 

 

 

 

52,752

 









Total Preferred Securities — 0.9%

 

 

 

 

 

3,779,806

 










 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants (k)

 

 

 

 

 

 

 









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

 

 

8

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(Expires 3/26/19) (b)

 

 

67,691

 

 

1

 

New Vision Holdings LLC (Expires 9/30/14)

 

 

4

 

 

40

 

New Vision Holdings LLC (Expires 9/30/14)

 

 

22

 

 

221

 

 

 

 

 

 



 

 

 

 

 

 

 

262

 









Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

2

 

 

 









Software — 0.0%

 

 

 

 

 

 

 

HMH Holdings/EduMedia (Expires 3/09/17)

 

 

22,578

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

271

 









Total Long-Term Investments
(Cost — $485,130,819) — 119.2%

 

 

 

 

 

479,037,264

 










 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.25% (l)(m)

 

 

1,808,758

 

 

1,808,758

 









Total Short-Term Securities
(Cost — $1,808,758) — 0.5%

 

 

 

 

 

1,808,758

 









Total Investments Before Options Written
(Cost — $486,939,577*) — 119.7%

 

 

 

 

 

480,846,022

 










 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

 

Value

 









Over-the-Counter Call Swaptions — 0.0%

 

 

 

 

 

 

 

Bought credit default protection on Dow Jones CDX
North America High Yield Index Series 14 Volume 1,
Strike Price USD 100.00, Expires 9/15/10, Broker
Credit Suisse International

 

USD

8,950

 

$

(4,976

)

Bought credit default protection on Dow Jones CDX
North America High Yield Series 14 Volume 1, Strike
Price USD 96.00, Expires 9/15/10, Broker Credit
Suisse International

 

 

5,000

 

 

(56,110

)

 

 

 

 

 



 

 

 

 

 

 

 

(61,086

)









Over-the-Counter Put Swaptions — 0.0%

 

 

 

 

 

 

 

Sold credit default protection on Dow Jones CDX
North America High Yield Series 14 Volume 1, Strike
Price USD 87.00, Expires 9/15/10, Broker Credit
Suisse International

 

 

5,000

 

 

(80

)









Total Options Written (Premiums Received — $174,750) — 0.0%

 

 

 

 

 

(61,166

)









Total Investments, Net of Options Written — 119.7%

 

 

 

 

 

480,784,856

 

Liabilities in Excess of Other Assets — (19.7)%

 

 

 

 

 

(79,025,046

)

 

 

 

 

 



 

Net Assets — 100.0%

 

 

 

 

$

401,759,810

 

 

 

 

 

 



 


 

 



*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

488,272,592

 

 

 



 

Gross unrealized appreciation

 

$

22,182,248

 

Gross unrealized depreciation

 

 

(29,608,818

)

 

 



 

Net unrealized depreciation

 

$

(7,426,570

)

 

 



 


 

 

(a)

Non-income producing security.

 

 

(b)

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

 

 

(c)

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

 

 

(d)

Convertible security.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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.

 

 

(h)

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

 

 

(i)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(j)

Amount is less than $1,000.

 

 

(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 year, 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,
2009

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

 















BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

2,267,254

 

 

(458,496

)

 

1,808,758

 

 

$4,114

 
















 

 

(m)

Represents the current yield as of report date.


 

 

 

 

See Notes to Financial Statements.





38

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments (continued)

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


 

 

Financial futures contracts sold as of August 31,2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Contracts

 

 

Issue

 

 

Exchange

 

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation

 


















43

 

 

S&P 500 Index

 

 

Chicago
Mercantile

 

 

September
2010

 

$

11,449,781

 

$

180,556

 



















 

 

Foreign currency exchange contracts as of August 31,2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 











EUR

1,210,100

 

USD

1,554,487

 

 

Citibank NA

 

 

9/15/10

 

$

(21,019

)

USD

28,359,688

 

EUR

22,392,500

 

 

Citibank NA

 

 

9/15/10

 

 

(16,607

)

USD

446,817

 

EUR

346,500

 

 

Deutsche
Bank AG

 

 

9/15/10

 

 

7,724

 

GBP

333,000

 

USD

519,463

 

 

UBS AG

 

 

10/20/10

 

 

(8,936

)

USD

2,111,940

 

GBP

1,383,500

 

 

Citibank NA

 

 

10/20/10

 

 

(9,125

)

USD

518,041

 

CAD

547,000

 

 

Deutsche
Bank AG

 

 

10/20/10

 

 

5,488

 

USD

496,039

 

GBP

325,000

 

 

Deutsche
Bank AG

 

 

10/20/10

 

 

(2,223

)

USD

519,461

 

GBP

337,000

 

 

Royal Bank of
Scotland Plc

 

 

10/20/10

 

 

2,801

 
















Total

 

 

 

 

 

 

 

 

 

 

 

$

(41,897

)

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 

Credit default swaps on single-name issuers — buy protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













K. Hovnanian
Enterprises,
Inc.

 

 

5.00

%

 

Goldman
Sachs
International

 

 

December
2011

 

$

805

 

$

47,870

 

K. Hovnanian
Enterprises,
Inc.

 

 

5.00

%

 

Goldman
Sachs
USA

 

 

December
2013

 

$

1,600

 

 

269,592

 

Louisiana-
Pacific Corp.

 

 

5.00

%

 

JPMorgan Chase
Bank NA

 

 

March
2014

 

$

500

 

 

(106,314

)

Brunswick
Corp.

 

 

5.00

%

 

Goldman
Sachs
Bank USA

 

 

September
2014

 

$

325

 

 

(17,128

)


















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

194,020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 

Credit default swaps on single-name issuers — sold protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 















Texas
Competitive
Electric
Holdings
Co. LLC

 

 

5.00

%

 

Goldman Sachs
International

 

 

September
2012

 

 

CCC

 

$

775

 

$

(69,761

)

Advanced
Micro
Devices, Inc.

 

 

5.00

%

 

JPMorgan Chase
Bank NA

 

 

March
2015

 

 

B+

 

$

1,150

 

 

(12,882

)

Realogy Corp.

 

 

5.00

%

 

Credit Suisse
International

 

 

March
2015

 

 

C

 

$

175

 

 

1,223

 

Realogy Corp.

 

 

5.00

%

 

JPMorgan Chase
Bank NA

 

 

March
2015

 

 

C

 

$

175

 

 

(344

)

Realogy Corp.

 

 

5.00

%

 

JPMorgan Chase
Bank NA

 

 

March
2015

 

 

C

 

$

250

 

 

(19,875

)

Realogy Corp.

 

 

5.00

%

 

JPMorgan Chase
Bank NA

 

 

March
2015

 

 

C

 

$

350

 

 

(6,039

)

Levi Strauss
& Co.

 

 

5.00

%

 

Goldman Sachs
International

 

 

June
2015

 

 

B+

 

$

370

 

 

1,974

 

NOVA
Chemicals
Corp.

 

 

5.00

%

 

Goldman
Sachs International

 

 

June
2015

 

 

B+

 

$

575

 

 

(10,540

)

Levi Strauss
& Co.

 

 

5.00

%

 

Goldman
Sachs
International

 

 

September
2015

 

 

B+

 

$

870

 

 

 

Realogy Corp.

 

 

5.00

%

 

JPMorgan Chase
Bank NA

 

 

September
2015

 

 

C

 

$

200

 

 

(720

)





















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(116,964

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 

1

Using S&P’s rating of the issuer.

 

 

2

The maximum potential amount the Trust may be required to 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. This definition 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 derivatives, which are as follows:

 

 

 

Level 1 — 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 derivatives)

 

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivatives and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

AUGUST 31, 2010

39




 

 


 

 

Schedule of Investments (concluded)

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

The following tables summarize the inputs used as of August 31, 2010 in determining the fair valuation of the Trust’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

7,417,996

 

$

675,463

 

$

712,707

 

$

8,806,166

 

Corporate Bonds

 

 

 

 

384,970,575

 

 

4,851,224

 

 

389,821,799

 

Floating Rate Loan Interest

 

 

 

 

49,221,694

 

 

20,602,850

 

 

69,824,544

 

Other Interest

 

 

 

 

6,797,931

 

 

6,747

 

 

6,804,678

 

Preferred Securities

 

 

3,779,805

 

 

 

 

1

 

 

3,779,806

 

Warrants

 

 

 

 

 

 

271

 

 

271

 

Short-Term Securities

 

 

1,808,758

 

 

 

 

 

 

1,808,758

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

 

 

 

 

(36,123

)

 

(36,123

)

 

 













Total

 

$

13,006,559

 

$

441,665,663

 

$

26,137,677

 

$

480,809,899

 

 

 














 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Derivative Financial Instruments1

 





Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

320,659

 

 

 

$

320,659

 

Foreign currency exchange contracts

 

 

 

 

16,013

 

 

 

 

16,013

 

Equity contracts

 

$

180,556

 

 

 

 

 

 

180,556

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(304,769

)

 

 

 

(304,769

)

Foreign currency exchange contracts

 

 

 

 

(57,910

)

 

 

 

(57,910

)

 

 













Total

 

$

180,556

 

$

(26,007

)

 

 

$

154,549

 

 

 














 

 

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

 

Unfunded Loan
Commitments

 

Total

 



















Assets/
Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2009

 

$

672

 

$

2,197,802

 

$

33,422,195

 

$

6,747

 

$

1

 

$

10

 

 

 

$

35,627,427

 

Accrued discounts/premiums

 

 

 

 

40,503

 

 

437,076

 

 

 

 

 

 

 

 

 

 

477,579

 

Net realized gain (loss)

 

 

 

 

368,701

 

 

(7,090,984

)

 

 

 

 

 

 

 

 

 

(6,722,283

)

Net change in unrealized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

appreciation/depreciation2

 

 

7,086

 

 

(374,968

)

 

18,219,951

 

 

 

 

 

 

(9

)

$

(36,123

)

 

17,815,937

 

Purchases

 

 

 

 

(779,842

)

 

(19,872,397

)

 

 

 

 

 

 

 

 

 

(20,652,239

)

Sales

 

 

 

 

 

 

(3,034,891

)

 

 

 

 

 

 

 

 

 

(3,034,891

)

Transfers in3

 

 

712,576

 

 

3,399,028

 

 

12,407,148

 

 

 

 

 

 

270

 

 

 

 

16,519,022

 

Transfers out3

 

 

(7,627

)

 

 

 

(13,885,248

)

 

 

 

 

 

 

 

 

 

(13,892,875

)

 

 

























Balance, as of August 31, 2010

 

$

712,707

 

$

4,851,224

 

$

20,602,850

 

$

6,747

 

$

1

 

$

271

 

$

(36,123

)

$

26,137,677

 

 

 


























 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The net change in the unrealized appreciation/depreciation on the securities still held on August 31, 2010 was $3,575,817.

 

 

3

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


 

 

 

 

See Notes to Financial Statements.





40

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments August 31, 2010

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks (a)

 

Shares

 

Value

 







Building Products — 0.2%

 

 

 

 

 

 

 

Masonite Worldwide Holdings

 

 

4,901

 

$

186,238

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc.

 

 

960

 

 

39,840

 









Containers & Packaging — 0.2%

 

 

 

 

 

 

 

Smurfit-Stone Container Corp.

 

 

14,168

 

 

243,265

 









Independent Power Producers &
Energy Traders — 0.4%

 

 

 

 

 

 

 

NRG Energy, Inc.

 

 

25,000

 

 

508,000

 









Machinery — 0.0%

 

 

 

 

 

 

 

Accuride Corp.

 

 

55,784

 

 

61,362

 









Software — 0.2%

 

 

 

 

 

 

 

HMH Holdings/EduMedia

 

 

39,824

 

 

199,122

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Lazydays RV Center, Inc.

 

 

16,505

 

 

84,341

 









Wireless Telecommunication Services — 0.1%

 

 

 

 

 

 

 

FiberTower Corp.

 

 

38,271

 

 

137,393

 









Total Common Stocks — 1.2%

 

 

 

 

 

1,459,561

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 








Aerospace & Defense — 0.4%

 

 

 

 

 

 

 

Bombardier, Inc., 7.75%, 3/15/20 (b)

 

USD

120

 

 

129,000

 

DynCorp International, Inc., 10.38%, 7/01/17 (b)

 

 

120

 

 

119,400

 

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

 

 

240

 

 

247,800

 

L-3 Communications Corp., 5.88%, 1/15/15

 

 

30

 

 

30,563

 

 

 

 

 

 



 

 

 

 

 

 

 

526,763

 









Air Freight & Logistics — 0.6%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 8/16/15

 

 

350

 

 

350,000

 

Series 2, 12.38%, 8/16/15

 

 

350

 

 

350,000

 

 

 

 

 

 



 

 

 

 

 

 

 

700,000

 









Airlines — 2.5%

 

 

 

 

 

 

 

Air Canada (b):

 

 

 

 

 

 

 

9.25%, 8/01/15

 

 

490

 

 

480,200

 

12.00%, 2/01/16

 

 

130

 

 

121,550

 

American Airlines, Inc., 10.50%, 10/15/12 (b)

 

 

440

 

 

467,500

 

American Airlines Pass-Through Trust,
Series 2001-02, 7.86%, 4/01/13

 

 

160

 

 

167,440

 

Continental Airlines, Inc., 6.75%, 9/15/15 (b)

 

 

270

 

 

267,300

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

 

499

 

 

523,819

 

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

 

 

843

 

 

939,410

 

 

 

 

 

 



 

 

 

 

 

 

 

2,967,219

 









Auto Components — 1.8%

 

 

 

 

 

 

 

Allison Transmission, Inc. (b):

 

 

 

 

 

 

 

11.00%, 11/01/15

 

 

100

 

 

107,500

 

11.25%, 11/01/15 (c)

 

 

83

 

 

89,225

 

Delphi International Holdings Unsecured, 12.00%,
10/06/14

 

 

4

 

 

3,799

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

8.25%, 8/15/20

 

 

200

 

 

204,750

 

8.75%, 8/15/20

 

 

170

 

 

179,775

 

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

 

 

1,250

 

 

1,243,750

 

Stanadyne Corp., Series 1, 10.00%, 8/15/14

 

 

335

 

 

316,575

 

 

 

 

 

 



 

 

 

 

 

 

 

2,145,374

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Beverages — 0.2%

 

 

 

 

 

 

 

Cott Beverages USA, Inc., 8.13%, 9/01/18 (b)

 

USD

125

 

$

128,594

 

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

 

EUR

115

 

 

149,377

 

 

 

 

 

 



 

 

 

 

 

 

 

277,971

 









Biotechnology — 0.2%

 

 

 

 

 

 

 

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

 

USD

275

 

 

279,989

 









Building Products — 2.0%

 

 

 

 

 

 

 

Associated Materials LLC, 9.88%, 11/15/16

 

 

370

 

 

392,200

 

Building Materials Corp. of America (b):

 

 

 

 

 

 

 

6.88%, 8/15/18

 

 

245

 

 

238,263

 

7.00%, 2/15/20

 

 

290

 

 

288,550

 

CPG International I, Inc., 10.50%, 7/01/13

 

 

540

 

 

539,325

 

Momentive Performance Materials, Inc., Series WI,
9.75%, 12/01/14

 

 

360

 

 

351,450

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

530

 

 

545,900

 

 

 

 

 

 



 

 

 

 

 

 

 

2,355,688

 









Capital Markets — 0.5%

 

 

 

 

 

 

 

E*Trade Financial Corp., Series A, 8/31/19 (d)(e)

 

 

295

 

 

354,000

 

Offshore Group Investments Ltd., 11.50%,
8/01/15 (b)

 

 

240

 

 

239,400

 

 

 

 

 

 



 

 

 

 

 

 

 

593,400

 









Chemicals — 4.7%

 

 

 

 

 

 

 

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

 

 

400

 

 

395,500

 

Ames True Temper, Inc., 4.53%, 1/15/12 (f)

 

 

1,070

 

 

1,067,325

 

CF Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

205

 

 

215,762

 

7.13%, 5/01/20

 

 

360

 

 

386,100

 

Chemtura Corp., 7.88%, 9/01/18 (b)

 

 

245

 

 

250,206

 

Georgia Gulf Corp., 9.00%, 1/15/17 (b)

 

 

75

 

 

77,719

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

9.75%, 11/15/14

 

 

370

 

 

363,525

 

8.88%, 2/01/18

 

 

345

 

 

319,125

 

Huntsman International LLC (b):

 

 

 

 

 

 

 

6.88%, 11/15/13

 

EUR

130

 

 

162,271

 

8.63%, 3/15/20

 

USD

110

 

 

109,038

 

Ineos Finance Plc, 9.00%, 5/15/15 (b)

 

 

195

 

 

197,194

 

Innophos, Inc., 8.88%, 8/15/14

 

 

1,170

 

 

1,199,250

 

MacDermid, Inc., 9.50%, 4/15/17 (b)

 

 

555

 

 

562,631

 

OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b)

 

 

255

 

 

269,025

 

 

 

 

 

 



 

 

 

 

 

 

 

5,574,671

 









Commercial Banks — 3.0%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

858

 

 

815,495

 

7.00%, 5/01/17

 

 

2,971

 

 

2,793,462

 

 

 

 

 

 



 

 

 

 

 

 

 

3,608,957

 









Commercial Services & Supplies — 1.0%

 

 

 

 

 

 

 

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

 

 

120

 

 

132,000

 

RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b)

 

 

275

 

 

299,750

 

Scientific Games International, Inc., 9.25%,
6/15/19

 

 

110

 

 

116,600

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

25

 

 

25,500

 

11.00%, 10/15/16

 

 

580

 

 

609,000

 

 

 

 

 

 



 

 

 

 

 

 

 

1,182,850

 









Construction Materials — 0.8%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

 

964

 

 

1,016,095

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

41




 

 


 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Consumer Finance — 1.3%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17 (b)

 

USD

320

 

$

331,600

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

8.63%, 11/01/10

 

 

140

 

 

141,445

 

3.28%, 1/13/12 (f)

 

 

145

 

 

142,100

 

7.80%, 6/01/12

 

 

300

 

 

315,703

 

8.00%, 12/15/16

 

 

100

 

 

108,593

 

6.63%, 8/15/17

 

 

530

 

 

538,677

 

 

 

 

 

 



 

 

 

 

 

 

 

1,578,118

 









Containers & Packaging — 3.6%

 

 

 

 

 

 

 

Ball Corp., 6.75%, 9/15/20

 

 

250

 

 

263,125

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.88%, 9/15/14

 

 

375

 

 

357,187

 

8.25%, 11/15/15

 

 

65

 

 

65,163

 

9.50%, 5/15/18 (b)

 

 

285

 

 

262,200

 

Berry Plastics Holding Corp., 8.88%, 9/15/14

 

 

950

 

 

904,875

 

Crown Americas LLC, 7.75%, 11/15/15

 

 

255

 

 

264,562

 

Graphic Packaging International, Inc., 9.50%,
6/15/17

 

 

355

 

 

378,075

 

Impress Holdings BV, 3.65%, 9/15/13 (b)(f)

 

 

700

 

 

661,500

 

Owens-Brockway Glass Container, Inc., 6.75%,
12/01/14

 

EUR

70

 

 

89,595

 

Pregis Corp., 12.38%, 10/15/13

 

USD

1,034

 

 

1,034,000

 

 

 

 

 

 



 

 

 

 

 

 

 

4,280,282

 









Diversified Financial Services — 6.2%

 

 

 

 

 

 

 

Ally Financial Inc. (b):

 

 

 

 

 

 

 

8.30%, 2/12/15

 

 

870

 

 

904,800

 

7.50%, 9/15/20

 

 

880

 

 

871,200

 

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

 

 

465

 

 

465,581

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.13%, 1/16/12

 

EUR

1,250

 

 

1,639,505

 

7.13%, 1/15/13

 

 

450

 

 

590,222

 

GMAC, Inc.:

 

 

 

 

 

 

 

7.50%, 12/31/13

 

USD

90

 

 

91,913

 

2.74%, 12/01/14 (f)

 

 

156

 

 

134,117

 

8.00%, 3/15/20 (b)

 

 

1,090

 

 

1,117,250

 

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

 

 

540

 

 

575,100

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

 

695

 

 

700,213

 

Reynolds Group Issuer, Inc., 8.50%, 5/15/18 (b)

 

 

360

 

 

345,600

 

 

 

 

 

 



 

 

 

 

 

 

 

7,435,501

 









Diversified Telecommunication Services — 5.1%

 

 

 

 

 

 

 

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

 

 

480

 

 

470,400

 

Frontier Communications Corp.:

 

 

 

 

 

 

 

7.88%, 4/15/15

 

 

320

 

 

337,600

 

8.25%, 4/15/17

 

 

400

 

 

423,000

 

8.50%, 4/15/20

 

 

180

 

 

191,025

 

GCI, Inc., 8.63%, 11/15/19

 

 

600

 

 

630,000

 

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

 

 

250

 

 

246,250

 

Nordic Telephone Co. Holdings ApS, 8.88%,
5/01/16 (b)

 

 

90

 

 

94,500

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

910

 

 

927,062

 

8.00%, 10/01/15 (b)

 

 

300

 

 

322,500

 

Series B, 7.50%, 2/15/14

 

 

540

 

 

550,125

 

Qwest Corp., 8.38%, 5/01/16

 

 

350

 

 

407,750

 

Wind Acquisition Finance SA, 12.00%,
12/01/15 (b)

 

 

850

 

 

896,750

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

112

 

 

119,420

 

8.63%, 8/01/16

 

 

205

 

 

211,663

 

7.88%, 11/01/17

 

 

253

 

 

256,795

 

 

 

 

 

 



 

 

 

 

 

 

 

6,084,840

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Electric Utilities — 0.6%

 

 

 

 

 

 

 

Elwood Energy LLC, 8.16%, 7/05/26

 

USD

384

 

$

353,579

 

Salton Sea Funding Corp., Series E, 8.30%,
5/30/11

 

 

375

 

 

382,826

 

 

 

 

 

 



 

 

 

 

 

 

 

736,405

 









Energy Equipment & Services — 2.0%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

645

 

 

638,550

 

7.75%, 5/15/17

 

 

220

 

 

218,350

 

Expro Finance Luxembourg SCA, 8.50%,
12/15/16 (b)

 

 

900

 

 

841,500

 

Global Geophysical Services, Inc., 10.50%,
5/01/17 (b)

 

 

145

 

 

143,550

 

North American Energy Alliance LLC, 10.88%,
6/01/16 (b)

 

 

310

 

 

334,800

 

Thermon Industries, Inc., 9.50%, 5/01/17 (b)

 

 

255

 

 

261,375

 

 

 

 

 

 



 

 

 

 

 

 

 

2,438,125

 









Food & Staples Retailing — 0.6%

 

 

 

 

 

 

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

195

 

 

207,188

 

10.25%, 10/15/19

 

 

290

 

 

297,975

 

8.00%, 8/15/20 (b)

 

 

240

 

 

238,500

 

 

 

 

 

 



 

 

 

 

 

 

 

743,663

 









Food Products — 0.5%

 

 

 

 

 

 

 

B&G Foods, Inc., 7.63%, 1/15/18

 

 

100

 

 

102,875

 

Reddy Ice Corp., 11.25%, 3/15/15 (b)

 

 

210

 

 

212,888

 

Smithfield Foods, Inc., 10.00%, 7/15/14 (b)

 

 

200

 

 

223,250

 

TreeHouse Foods, Inc., 7.75%, 3/01/18

 

 

70

 

 

74,025

 

 

 

 

 

 



 

 

 

 

 

 

 

613,038

 









Health Care Equipment & Supplies — 1.4%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

1,135

 

 

1,215,869

 

Hologic, Inc., 2.00%, 12/15/37 (d)(g)

 

 

470

 

 

424,762

 

 

 

 

 

 



 

 

 

 

 

 

 

1,640,631

 









Health Care Providers & Services — 4.9%

 

 

 

 

 

 

 

American Renal Holdings, 8.38%, 5/15/18 (b)

 

 

130

 

 

130,000

 

Gentiva Health Services, Inc., 11.50%, 9/01/18 (b)

 

 

325

 

 

336,375

 

HCA, Inc.:

 

 

 

 

 

 

 

9.13%, 11/15/14

 

 

620

 

 

651,000

 

8.50%, 4/15/19

 

 

465

 

 

509,756

 

7.25%, 9/15/20

 

 

1,295

 

 

1,353,275

 

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

 

 

300

 

 

293,250

 

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

 

 

230

 

 

230,000

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

747

 

 

795,555

 

10.00%, 5/01/18

 

 

257

 

 

289,125

 

8.88%, 7/01/19

 

 

1,175

 

 

1,270,469

 

 

 

 

 

 



 

 

 

 

 

 

 

5,858,805

 









Health Care Technology — 1.1%

 

 

 

 

 

 

 

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

 

 

1,125

 

 

1,303,594

 









Hotels, Restaurants & Leisure — 1.7%

 

 

 

 

 

 

 

Diamond Resorts Corp., 12.00%, 8/15/18 (b)

 

 

550

 

 

519,750

 

Harrah’s Operating Co., Inc., 11.25%, 6/01/17

 

 

310

 

 

331,700

 

MGM Mirage, 13.00%, 11/15/13

 

 

30

 

 

34,650

 

MGM Resorts International:

 

 

 

 

 

 

 

10.38%, 5/15/14

 

 

125

 

 

136,250

 

11.13%, 11/15/17

 

 

390

 

 

435,825

 

Marina District Finance Co., Inc., 9.88%,
8/15/18 (b)

 

 

170

 

 

169,575

 

Travelport LLC:

 

 

 

 

 

 

 

5.16%, 9/01/14 (f)

 

 

75

 

 

69,562

 

9.88%, 9/01/14

 

 

100

 

 

102,250

 

Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (a)(h)

 

 

215

 

 

157

 


 

 

 

 

See Notes to Financial Statements.

 





42

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

Virgin River Casino Corp., 9.00%, 1/15/12 (a)(h)

 

USD

585

 

$

263,250

 

 

 

 

 

 



 

 

 

 

 

 

 

2,062,969

 









Household Durables — 2.9%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

6.88%, 7/15/15

 

 

85

 

 

73,525

 

8.13%, 6/15/16

 

 

145

 

 

126,875

 

12.00%, 10/15/17

 

 

720

 

 

810,900

 

9.13%, 6/15/18

 

 

915

 

 

809,775

 

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

 

 

315

 

 

295,312

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

9.25%, 4/15/12

 

 

60

 

 

61,575

 

6.25%, 4/01/14

 

 

50

 

 

46,625

 

7.00%, 8/15/15

 

 

65

 

 

59,800

 

10.75%, 9/15/16

 

 

890

 

 

936,725

 

8.38%, 5/15/18

 

 

270

 

 

259,875

 

 

 

 

 

 



 

 

 

 

 

 

 

3,480,987

 









IT Services — 0.5%

 

 

 

 

 

 

 

iPayment, Inc., 9.75%, 5/15/14

 

 

335

 

 

302,756

 

iPayment Investors LP, 12.75%, 7/15/14 (b)(c)

 

 

275

 

 

235,047

 

 

 

 

 

 



 

 

 

 

 

 

 

537,803

 









Independent Power Producers & Energy Traders — 3.0%

 

 

 

 

 

 

 

AES Red Oak LLC, Series B, 9.20%, 11/30/29

 

 

1,250

 

 

1,250,000

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

600

 

 

630,000

 

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

 

 

1,460

 

 

1,405,984

 

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

 

 

81

 

 

77,840

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

175

 

 

178,500

 

7.38%, 2/01/16

 

 

35

 

 

35,263

 

7.38%, 1/15/17

 

 

55

 

 

55,412

 

 

 

 

 

 



 

 

 

 

 

 

 

3,632,999

 









Industrial Conglomerates — 2.5%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

1,060

 

 

1,091,800

 

13.50%, 12/01/15 (c)

 

 

1,770

 

 

1,840,323

 

 

 

 

 

 



 

 

 

 

 

 

 

2,932,123

 









Insurance — 0.9%

 

 

 

 

 

 

 

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

 

 

800

 

 

821,000

 

USI Holdings Corp., 4.25%, 11/15/14 (b)(f)

 

 

310

 

 

262,725

 

 

 

 

 

 



 

 

 

 

 

 

 

1,083,725

 









Life Sciences Tools & Services — 0.2%

 

 

 

 

 

 

 

Patheon, Inc., 8.63%, 4/15/17 (b)

 

 

270

 

 

268,988

 









Machinery — 1.9%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

 

700

 

 

595,000

 

Accuride Corp., 7.50%, 2/26/20 (c)(d)

 

 

6

 

 

15,099

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (d)

 

 

860

 

 

938,475

 

8.25%, 11/01/21

 

 

500

 

 

523,750

 

Oshkosh Corp., 8.25%, 3/01/17

 

 

70

 

 

73,675

 

Titan International, Inc., 5.63%, 1/15/17 (b)(d)

 

 

110

 

 

130,900

 

 

 

 

 

 



 

 

 

 

 

 

 

2,276,899

 









Marine — 0.5%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (d)

 

 

700

 

 

588,000

 









Media — 14.1%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

 

1,395

 

 

1,429,875

 

10.13%, 10/15/13

 

 

295

 

 

301,638

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Media (concluded)

 

 

 

 

 

 

 

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

 

USD

457

 

$

541,714

 

CCO Holdings LLC (b):

 

 

 

 

 

 

 

7.88%, 4/30/18

 

 

220

 

 

227,700

 

8.13%, 4/30/20

 

 

220

 

 

231,550

 

CMP Susquehanna Corp., 3.64%, 5/15/14 (b)(f)

 

 

69

 

 

1,380

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

180

 

 

196,650

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

391

 

 

405,663

 

Series B, 9.25%, 12/15/17

 

 

1,986

 

 

2,082,817

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

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

 

 

303

 

 

302,633

 

Loan Close 3, 8/15/18

 

 

350

 

 

350,000

 

Shares Loan, 4.00%, 8/15/18

 

 

357

 

 

356,844

 

DISH DBS Corp., 7.00%, 10/01/13

 

 

192

 

 

199,920

 

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

 

 

205

 

 

197,313

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (f)

 

 

160

 

 

134,400

 

9.50%, 5/15/15

 

 

190

 

 

180,975

 

Intelsat Corp., 9.25%, 6/15/16

 

 

1,010

 

 

1,070,600

 

Interactive Data Corp., 10.25%, 8/01/18 (b)

 

 

480

 

 

498,000

 

Liberty Global, Inc., 4.50%, 11/15/16 (b)(d)

 

 

220

 

 

269,500

 

Lighthouse International Co. SA:

 

 

 

 

 

 

 

8.00%, 4/30/14

 

EUR

50

 

 

37,384

 

8.00%, 4/30/14 (b)

 

 

100

 

 

74,768

 

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

 

USD

300

 

 

289,500

 

McClatchy Co., 11.50%, 2/15/17 (b)

 

 

650

 

 

671,125

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

110

 

 

123,338

 

10.00%, 8/01/14

 

 

970

 

 

1,018,500

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(d)(h)

 

 

1,427

 

 

1,356,036

 

Rainbow National Services LLC, 10.38%, 9/01/14 (b)

 

 

1,813

 

 

1,880,987

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

155

 

 

158,875

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

 

630

 

 

601,650

 

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

 

 

300

 

 

312,375

 

Unitymedia GmbH:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

100

 

 

132,744

 

9.63%, 12/01/19 (b)

 

 

245

 

 

325,224

 

Unitymedia Hessen GmbH & Co. KG (b):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

USD

425

 

 

436,687

 

8.13%, 12/01/17

 

EUR

175

 

 

226,204

 

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

 

 

175

 

 

225,095

 

 

 

 

 

 



 

 

 

 

 

 

 

16,849,664

 









Metals & Mining — 3.2%

 

 

 

 

 

 

 

AK Steel Corp., 7.63%, 5/15/20

 

USD

30

 

 

30,225

 

Aleris International, Inc. (a)(h):

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

200

 

 

400

 

10.00%, 12/15/16

 

 

680

 

 

258

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

400

 

 

418,500

 

7.38%, 2/15/16

 

 

105

 

 

105,131

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

240

 

 

264,300

 

10.63%, 9/01/16

 

 

670

 

 

776,362

 

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

 

 

220

 

 

267,575

 

McJunkin Red Man Corp., 9.50%, 12/15/16 (b)

 

 

280

 

 

247,100

 

Murray Energy Corp., 10.25%, 10/15/15 (b)

 

 

245

 

 

250,513

 

Novelis, Inc., 11.50%, 2/15/15

 

 

325

 

 

357,500

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.84%, 11/01/14 (f)

 

 

180

 

 

166,950

 

12.00%, 11/01/15

 

 

100

 

 

102,875

 

Steel Dynamics, Inc., 7.38%, 11/01/12

 

 

220

 

 

233,750

 

United States Steel Corp., 7.38%, 4/01/20

 

 

245

 

 

248,063

 

Vedanta Resources Plc, 9.50%, 7/18/18 (b)

 

 

295

 

 

309,750

 

 

 

 

 

 



 

 

 

 

 

 

 

3,779,252

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

43




 

 


 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Multiline Retail — 2.5%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

USD

638

 

$

700,205

 

11.88%, 7/15/17 (c)

 

 

2,020

 

 

2,323,000

 

 

 

 

 

 



 

 

 

 

 

 

 

3,023,205

 









Oil, Gas & Consumable Fuels — 8.6%

 

 

 

 

 

 

 

Arch Coal, Inc.:

 

 

 

 

 

 

 

8.75%, 8/01/16

 

 

25

 

 

27,063

 

7.25%, 10/01/20

 

 

400

 

 

406,000

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

225

 

 

258,469

 

10.75%, 2/01/18

 

 

120

 

 

132,300

 

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

 

 

275

 

 

277,750

 

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

 

 

20

 

 

21,700

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/17

 

 

235

 

 

238,525

 

6.63%, 8/15/20

 

 

1,090

 

 

1,094,087

 

2.25%, 12/15/38 (d)

 

 

375

 

 

280,781

 

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

 

 

135

 

 

138,713

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

85

 

 

92,225

 

10.25%, 12/15/15

 

 

520

 

 

520,000

 

Consol Energy, Inc., 8.25%, 4/01/20 (b)

 

 

920

 

 

976,350

 

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

 

 

190

 

 

196,175

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

7.50%, 12/15/15

 

 

75

 

 

77,250

 

8.25%, 2/15/20

 

 

348

 

 

371,490

 

Linn Energy LLC, 8.63%, 4/15/20 (b)

 

 

515

 

 

543,325

 

Massey Energy Co., 6.88%, 12/15/13

 

 

435

 

 

440,437

 

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

 

 

875

 

 

920,937

 

OPTI Canada, Inc. (b):

 

 

 

 

 

 

 

9.00%, 12/15/12

 

 

820

 

 

822,050

 

9.75%, 8/15/13

 

 

480

 

 

474,000

 

Patriot Coal Corp., 8.25%, 4/30/18

 

 

190

 

 

188,575

 

Peabody Energy Corp., 6.50%, 9/15/20

 

 

500

 

 

525,625

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

275

 

 

307,312

 

7.88%, 6/01/15

 

 

210

 

 

217,875

 

QEP Resources, Inc., 6.88%, 3/01/21

 

 

195

 

 

203,288

 

Range Resources Corp., 8.00%, 5/15/19

 

 

200

 

 

214,000

 

Teekay Corp., 8.50%, 1/15/20

 

 

300

 

 

320,250

 

 

 

 

 

 



 

 

 

 

 

 

 

10,286,552

 









Paper & Forest Products — 2.6%

 

 

 

 

 

 

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

155

 

 

163,137

 

8.00%, 4/01/20

 

 

70

 

 

71,225

 

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

 

 

185

 

 

208,125

 

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

 

 

755

 

 

826,725

 

Glatfelter, 7.13%, 5/01/16 (b)

 

 

100

 

 

100,625

 

NewPage Corp., 11.38%, 12/31/14

 

 

1,490

 

 

1,210,625

 

Norske Skog Canada Ltd., 7.38%, 3/01/14

 

 

175

 

 

70,000

 

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

 

 

405

 

 

427,275

 

 

 

 

 

 



 

 

 

 

 

 

 

3,077,737

 









Pharmaceuticals — 0.8%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.29%, 12/01/13 (f)

 

 

495

 

 

399,712

 

Elan Finance Plc, 8.88%, 12/01/13

 

 

75

 

 

75,563

 

Novasep Holding SAS, 9.75%, 12/15/16 (b)

 

 

473

 

 

431,258

 

 

 

 

 

 



 

 

 

 

 

 

 

906,533

 









Professional Services — 0.2%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

275

 

 

285,313

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Road & Rail — 0.5%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 9.63%, 3/15/18

 

USD

240

 

$

250,800

 

Syncreon Global Ireland Ltd., 9.50%, 5/01/18 (b)

 

 

380

 

 

371,450

 

 

 

 

 

 



 

 

 

 

 

 

 

622,250

 









Semiconductors & Semiconductor Equipment — 0.2%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc.:

 

 

 

 

 

 

 

6.00%, 5/01/15 (d)

 

 

67

 

 

65,576

 

7.75%, 8/01/20 (b)

 

 

135

 

 

133,650

 

 

 

 

 

 



 

 

 

 

 

 

 

199,226

 









Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.59%, 2/15/12 (b)(c)(f)

 

 

239

 

 

4,771

 









Specialty Retail — 1.4%

 

 

 

 

 

 

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (d)(g)

 

 

470

 

 

357,787

 

Hillman Group, Inc., 10.88%, 6/01/18 (b)

 

 

250

 

 

263,125

 

Limited Brands, Inc., 8.50%, 6/15/19

 

 

70

 

 

79,100

 

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

 

 

175

 

 

178,063

 

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

 

 

200

 

 

202,000

 

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

 

 

655

 

 

625,525

 

 

 

 

 

 



 

 

 

 

 

 

 

1,705,600

 









Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.88%, 4/15/15

 

 

210

 

 

194,250

 









Tobacco — 0.1%

 

 

 

 

 

 

 

Vector Group Ltd., 11.00%, 8/15/15

 

 

150

 

 

152,813

 









Wireless Telecommunication Services — 5.2%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

810

 

 

848,475

 

7.75%, 5/15/16

 

 

320

 

 

330,400

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

370

 

 

372,775

 

9.13%, 1/15/15 (c)

 

 

1,220

 

 

1,226,100

 

8.25%, 9/01/17

 

 

420

 

 

436,275

 

10.50%, 4/15/18

 

 

200

 

 

214,500

 

FiberTower Corp., 9.00%, 1/01/16 (c)

 

 

147

 

 

124,534

 

iPCS, Inc., 2.59%, 5/01/13 (f)

 

 

330

 

 

308,550

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

1,085

 

 

1,128,400

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

500

 

 

498,750

 

Series F, 5.95%, 3/15/14

 

 

50

 

 

48,313

 

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

 

 

750

 

 

626,250

 

 

 

 

 

 



 

 

 

 

 

 

 

6,163,322

 









Total Corporate Bonds — 98.7%

 

 

 

 

 

118,056,960

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 









Auto Components — 0.8%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan, 3.04%,
8/07/14

 

 

1,006

 

 

927,169

 









Automobiles — 1.3%

 

 

 

 

 

 

 

Ford Motor Co., Tranche B-1 Term Loan, 3.03%,
12/15/13

 

 

1,662

 

 

1,598,424

 









Building Products — 1.2%

 

 

 

 

 

 

 

CPG International I, Inc., Term Loan, 5.54%,
4/30/12

 

 

1,470

 

 

1,469,849

 









Chemicals — 0.6%

 

 

 

 

 

 

 

Tronox Worldwide LLC:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 11.25%, 9/20/10

 

 

552

 

 

556,248

 

Tranche B-2 Term Loan, 11.25%, 9/20/10

 

 

148

 

 

149,439

 

 

 

 

 

 



 

 

 

 

 

 

 

705,687

 










 

 

 

 

See Notes to Financial Statements.

 





44

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 







Commercial Services & Supplies — 1.1%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B, 7.75%,
6/10/16

 

USD

500

 

$

502,916

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

325

 

 

326,761

 

International Lease Finance Corp. (Delos Aircraft, Inc.)
Term Loan 1, 6.75%, 3/17/15

 

 

450

 

 

453,563

 

 

 

 

 

 



 

 

 

 

 

 

 

1,283,240

 









Consumer Finance — 1.8%

 

 

 

 

 

 

 

AGFS Funding Co., Term Loan,
7.25%, 4/21/15

 

 

2,000

 

 

1,976,250

 

DaimlerChrysler Financial Services Americas LLC,
Term Loan (Second Lien), 6.78%, 8/05/13

 

 

113

 

 

112,101

 

 

 

 

 

 



 

 

 

 

 

 

 

2,088,351

 









Diversified Telecommunication Services — 0.6%

 

 

 

 

 

 

 

Wind Finance SL SA, Euro Facility (Second Lien),
7.89%, 12/17/14

 

EUR

600

 

 

758,806

 









Electric Utilities — 0.6%

 

 

 

 

 

 

 

New Development Holdings LLC, Term Loan,
7.00%, 7/03/17

 

USD

675

 

 

681,750

 









Health Care Providers & Services — 0.8%

 

 

 

 

 

 

 

Harden Healthcare:

 

 

 

 

 

 

 

Add-on Term Loan, 7.75%, 3/02/15

 

 

300

 

 

294,000

 

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

 

 

223

 

 

218,495

 

inVentiv Health Inc. (FKA Ventive Health Inc.),
Term Loan B, 6.50%, 7/31/16

 

 

400

 

 

399,250

 

 

 

 

 

 



 

 

 

 

 

 

 

911,745

 









Hotels, Restaurants & Leisure — 1.7%

 

 

 

 

 

 

 

Travelport LLC (FKA Travelport, Inc.), Loan, 8.37%,
3/27/12 (c)

 

 

2,186

 

 

2,032,823

 









IT Services — 0.4%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

192

 

 

163,826

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

422

 

 

359,797

 

 

 

 

 

 



 

 

 

 

 

 

 

523,623

 









Independent Power Producers &
Energy Traders — 1.0%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan, 3.79% – 4.07%,
10/10/14

 

 

89

 

 

67,717

 

Initial Tranche B-3 Term Loan, 3.79% – 4.03%,
10/10/14

 

 

1,459

 

 

1,099,533

 

 

 

 

 

 



 

 

 

 

 

 

 

1,167,250

 









Media — 1.6%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson
Learning), Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

 

 

735

 

 

732,550

 

HMH Publishing Co., Ltd. (FKA Education Media),
Tranche A Term Loan, 5.80%, 6/12/14 (c)

 

 

434

 

 

395,526

 

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

 

 

750

 

 

795,938

 

 

 

 

 

 



 

 

 

 

 

 

 

1,924,014

 









Multiline Retail — 0.1%

 

 

 

 

 

 

 

The Neiman Marcus Group, Inc., Term Loan,
2.29% – 2.54%, 4/06/13

 

 

117

 

 

111,303

 









Oil, Gas & Consumable Fuels — 0.7%

 

 

 

 

 

 

 

Turbo Beta Ltd., Dollar Facility,
2.50% – 14.50%, 3/15/18 (c)

 

 

1,055

 

 

836,318

 









Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, Loan,
6.70% – 7.45%, 2/01/13

 

 

483

 

 

289,584

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 







Real Estate Management & Development — 0.4%

 

 

 

 

 

 

 

Realogy Corp., Second Lien Term Facility, 13.50%,
10/15/17

 

USD

500

 

$

527,500

 









Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 3.05%, 5/29/14

 

 

74

 

 

63,079

 

Michaels Stores, Inc., Term Loan B-1,
2.63% – 2.81%, 10/31/13

 

 

165

 

 

156,069

 

 

 

 

 

 



 

 

 

 

 

 

 

219,148

 









Wireless Telecommunication Services — 0.6%

 

 

 

 

 

 

 

Vodafone Group Plc, Revolving Credit, 6.88%, 7/30/15

 

 

750

 

 

750,000

 









Total Floating Rate Loan Interests — 15.7%

 

 

 

 

 

18,806,584

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Other Interests (i)

 

Beneficial
Interest
(000)

 

 

 

 








Auto Components — 0.3%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co. LLP,
Class B Membership Interests

 

 

(j)

 

374,153

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

 

5

 

 

953

 









Total Other Interests — 0.3%

 

 

 

 

 

375,106

 









 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 









Diversified Financial Services — 1.1%

 

 

 

 

 

 

 

Ally Financial Inc., 7.00% (b)

 

 

1,521

 

 

1,256,394

 









Media — 0.2%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.,
0.00% (a)(b)(f)

 

 

16,138

 

 

 

Emmis Communications Corp., Series A,
6.25% (a)(d)

 

 

10,300

 

 

180,250

 

 

 

 

 

 



 

 

 

 

 

 

 

180,250

 









Real Estate Investment Trusts (REITs) — 0.0%

 

 

 

 

 

 

 

MPG Office Trust, Inc., Series A, 7.63% (a)

 

 

4,171

 

 

45,005

 









Specialty Retail — 0.3%

 

 

 

 

 

 

 

Lazydays RV Center, Inc., 0.00% (a)

 

 

350

 

 

417,114

 









Thrifts & Mortgage Finance — 0.0%

 

 

 

 

 

 

 

Fannie Mae, Series O, 0.00% (a)

 

 

10,000

 

 

4,100

 

Freddie Mac, Series Z, 8.38% (a)

 

 

31,930

 

 

10,537

 

 

 

 

 

 



 

 

 

 

 

 

 

14,637

 









Total Preferred Securities — 1.6%

 

 

 

 

 

1,913,400

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Warrants (k)

 

 

 

 

 

 

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(Expires 3/26/19) (b)

 

 

18,441

 

 

 









Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

1

 

 

 









Software — 0.0%

 

 

 

 

 

 

 

HMH Holdings/EduMedia (Expires 3/09/17)

 

 

3,476

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









Total Long-Term Investments
(Cost — $141,582,716) — 117.5%

 

 

 

 

 

140,611,611

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

45




 

 


 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

 







 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.25% (l)(m)

 

2,032,818

 

$

2,032,818

 

 








 

Total Short-Term Securities
(Cost — $2,032,818) — 1.7%

 

 

 

 

2,032,818

 

 








 

Total Investments (Cost — $143,615,534*) — 119.2%

 

 

 

 

142,644,429

 

 

Liabilities in Excess of Other Assets — (19.2)%

 

 

 

 

(23,002,738

)

 

 

 

 

 



 

 

Net Assets — 100.0%

 

 

 

$

119,641,691

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 








 

 

 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010, as computed for federal income tax purposes, were as follows:

 

 

 

 

 

 

 

 

 

Aggregate cost

 

 

 

$

143,737,652

 

 

 

 

 

 



 

 

Gross unrealized appreciation

 

 

 

$

6,221,884

 

 

Gross unrealized depreciation

 

 

 

 

(7,315,107

)

 

 

 

 

 



 

 

Net unrealized depreciation

 

 

 

$

(1,093,223

)

 

 

 

 

 



 


 

 

(a)

Non-income producing security.

 

 

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933.

 

 

 

These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(c)

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

 

 

(d)

Convertible security.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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.

 

 

(h)

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

 

 

(i)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(j)

Amount is less than $1,000.

 

 

(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 year, 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,
2009

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

 










 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

1,250,194

 

782,624

 

2,032,818

 

$

2,933

 











 

 

 

 

 

 

 

 

 

 

 

(m)

Represents the current yield as of report date.

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 











 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

 











 

EUR

 

42,000

 

USD

 

53,174

 

Citibank NA

 

9/15/10

 

$

49

 

 

USD

 

4,420,402

 

EUR

 

3,490,500

 

Citibank NA

 

9/15/10

 

 

(2,840

)

 

USD

 

148,180

 

EUR

 

115,000

 

Deutsche
Bank AG

 

9/15/10

 

 

2,449

 

 
















 

Total

 

 

 

 

 

 

 

 

 

 

 

$

(342

)

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts sold as of August 31,2010 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation

 












 

9

 

S&P 500 Index

 

Chicago
Mercantile

 

September
2010

 

$

2,404,153

 

$

45,478

 















 

 

 

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. This definition 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 derivatives, which are as follows:

 

 

 

 

Level 1 — 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 derivatives)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments 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 August 31, 2010 in determining the fair valuation of the Trust’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

1,114,736

 

$

61,362

 

$

283,463

 

$

1,459,561

 

Corporate Bonds

 

 

 

 

114,986,268

 

 

3,070,692

 

 

118,056,960

 

Floating Rate Loan Interests

 

 

 

 

13,615,526

 

 

5,191,058

 

 

18,806,584

 

Other interests

 

 

 

 

374,153

 

 

953

 

 

375,106

 

Preferred Securities

 

 

1,496,286

 

 

 

 

417,114

 

 

1,913,400

 

Short-Term Securities

 

 

2,032,818

 

 

 

 

 

 

2,032,818

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

 

 

 

 

(2,026

)

 

(2,026

)

 

 













Total

 

$

4,643,840

 

$

129,037,309

 

$

8,961,254

 

$

142,642,403

 

 

 














 

 

 

 

See Notes to Financial Statements.

 

 


46

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments (concluded)

BlackRock High Income Shares (HIS)


 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Derivative Financial Instruments1

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

 

$

2,498

 

 

 

$

2,498

 

Equity contracts

 

$

45,478

 

 

 

 

 

 

45,478

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

 

 

(2,840

)

 

 

 

(2,840

)

 

 













Total

 

$

45,478

 

$

(342

)

 

 

$

45,136

 

 

 














 

 

 

 

1

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

The following table 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
Stocks

 

Unfunded
Loan
Commitments

 

Total

 

















Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2009

 

 

 

$

2,463,780

 

$

8,875,772

 

$

953

 

 

 

 

 

$

11,340,505

 

Accrued discounts/premiums

 

 

 

 

2,965

 

 

41,176

 

 

 

 

 

 

 

 

44,141

 

Net realized gain (loss)

 

 

 

 

(422,836

)

 

(1,747,316

)

 

 

 

 

 

 

 

(2,170,152

)

Net change in unrealized appreciation/depreciation2

 

 

 

 

4,929,227

 

 

4,543,962

 

 

 

 

 

$

(2,026

)

 

9,471,163

 

Purchases

 

 

 

 

223,025

 

 

2,535,753

 

 

 

 

 

 

 

 

2,758,778

 

Sales

 

 

 

 

(5,603,699

)

 

(7,633,681

)

 

 

 

 

 

 

 

(13,237,380

)

Transfers in3

 

$

283,463

 

 

1,713,276

 

 

2,973,020

 

 

 

$

417,114

 

 

 

 

5,386,873

 

Transfers out3

 

 

 

 

(235,046

)

 

(4,397,628

)

 

 

 

 

 

 

 

(4,632,674

)

 

 






















Balance, as of August 31, 2010

 

$

283,463

 

$

3,070,692

 

$

5,191,058

 

$

953

 

$

417,114

 

$

(2,026

)

$

8,961,254

 

 

 























 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The net change in unrealized appreciation/depreciation on securities still held at August 31, 2010 was $2,064,289.

 

 

 

 

3

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


 

 

 

 

See Notes to Financial Statements.

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

47




 

 



 

 

Schedule of Investments August 31, 2010

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks (a)

 

Shares

 

Value

 









Building Products — 0.2%

 

 

 

 

 

 

 

Masonite Worldwide Holdings

 

 

2,527

 

$

96,026

 









Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp.

 

 

4,900

 

 

60,809

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc.

 

 

375

 

 

15,562

 









Machinery — 0.0%

 

 

 

 

 

 

 

Accuride Corp.

 

 

13,902

 

 

15,292

 









Paper & Forest Products — 0.0%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

2,234

 

 

5,237

 

Ainsworth Lumber Co. Ltd. (b)

 

 

2,507

 

 

5,878

 

 

 

 

 

 



 

 

 

 

 

 

 

11,115

 









Software — 0.2%

 

 

 

 

 

 

 

HMH Holdings/EduMedia

 

 

13,732

 

 

68,660

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Lazydays RV Center, Inc.

 

 

3,395

 

 

17,350

 









Total Common Stocks — 0.7%

 

 

 

 

 

284,814

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 









Aerospace & Defense — 0.0%

 

 

 

 

 

 

 

L-3 Communications Corp., 5.88%, 1/15/15

 

$

10

 

 

10,188

 









Air Freight & Logistics — 0.6%

 

 

 

 

 

 

 

National Air Cargo Group, Inc.:

 

 

 

 

 

 

 

Series 1, 12.38%, 8/16/15

 

 

125

 

 

125,000

 

Series 2, 12.38%, 8/16/15

 

 

125

 

 

125,000

 

 

 

 

 

 



 

 

 

 

 

 

 

250,000

 









Airlines — 1.4%

 

 

 

 

 

 

 

Air Canada (b):

 

 

 

 

 

 

 

9.25%, 8/01/15

 

 

180

 

 

176,400

 

12.00%, 2/01/16

 

 

50

 

 

46,750

 

American Airlines Pass-Through Trust, Series 2001-02,
7.86%, 4/01/13

 

 

20

 

 

20,930

 

Continental Airlines, Inc., 6.75%, 9/15/15 (b)

 

 

90

 

 

89,100

 

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

 

 

248

 

 

276,297

 

 

 

 

 

 



 

 

 

 

 

 

 

609,477

 









Auto Components — 2.2%

 

 

 

 

 

 

 

Delphi International Holdings Unsecured, 12.00%,
10/06/14

 

 

8

 

 

7,503

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

8.25%, 8/15/20

 

 

70

 

 

71,663

 

8.75%, 8/15/20

 

 

20

 

 

21,150

 

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

 

 

650

 

 

646,750

 

Stanadyne Corp., Series 1, 10.00%, 8/15/14

 

 

90

 

 

85,050

 

Tenneco, Inc., 7.75%, 8/15/18 (b)

 

 

90

 

 

91,800

 

 

 

 

 

 



 

 

 

 

 

 

 

923,916

 









Beverages — 0.1%

 

 

 

 

 

 

 

Cott Beverages USA, Inc., 8.13%, 9/01/18 (b)

 

 

43

 

 

44,236

 









Biotechnology — 0.3%

 

 

 

 

 

 

 

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

 

 

108

 

 

110,299

 









Building Products — 1.6%

 

 

 

 

 

 

 

Associated Materials LLC, 9.88%, 11/15/16

 

 

80

 

 

84,800

 

Building Materials Corp. of America, 6.88%, 8/15/18 (b)

 

 

90

 

 

87,525

 

CPG International I, Inc., 10.50%, 7/01/13

 

 

150

 

 

149,813

 

Momentive Performance Materials, Inc., Series WI,
9.75%, 12/01/14

 

 

125

 

 

122,031

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

230

 

 

236,900

 

 

 

 

 

 



 

 

 

 

 

 

 

681,069

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Capital Markets — 0.6%

 

 

 

 

 

 

 

E*Trade Financial Corp., Series A, 2.51%,
8/31/19 (c)(d)

 

$

71

 

$

85,200

 

Marsico Parent Co., LLC, 10.63%, 1/15/16 (b)

 

 

154

 

 

56,980

 

Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(e)

 

 

72

 

 

6,465

 

Marsico Parent Superholdco, LLC, 14.50%,
1/15/18 (b)(e)

 

 

43

 

 

3,901

 

Offshore Group Investments Ltd., 11.50%, 8/01/15 (b)

 

 

85

 

 

84,787

 

 

 

 

 

 



 

 

 

 

 

 

 

237,333

 









Chemicals — 4.4%

 

 

 

 

 

 

 

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

 

 

140

 

 

138,425

 

Ames True Temper, Inc., 4.53%, 1/15/12 (f)

 

 

265

 

 

264,337

 

CF Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

70

 

 

73,675

 

7.13%, 5/01/20

 

 

130

 

 

139,425

 

Chemtura Corp., 7.88%, 9/01/18 (b)

 

 

90

 

 

91,913

 

Georgia Gulf Corp., 9.00%, 1/15/17 (b)

 

 

30

 

 

31,088

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

9.75%, 11/15/14

 

 

135

 

 

132,637

 

8.88%, 2/01/18

 

 

130

 

 

120,250

 

Huntsman International LLC, 8.63%, 3/15/20 (b)

 

 

40

 

 

39,650

 

Ineos Finance Plc, 9.00%, 5/15/15 (b)

 

 

100

 

 

101,125

 

Innophos, Inc., 8.88%, 8/15/14

 

 

545

 

 

558,625

 

MacDermid, Inc., 9.50%, 4/15/17 (b)

 

 

195

 

 

197,681

 

 

 

 

 

 



 

 

 

 

 

 

 

1,888,831

 









Commercial Banks — 3.0%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

305

 

 

289,750

 

7.00%, 5/01/17

 

 

1,075

 

 

1,010,835

 

 

 

 

 

 



 

 

 

 

 

 

 

1,300,585

 









Commercial Services & Supplies — 1.0%

 

 

 

 

 

 

 

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

 

 

45

 

 

49,500

 

RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b)

 

 

100

 

 

109,000

 

Scientific Games International, Inc., 9.25%, 6/15/19

 

 

30

 

 

31,800

 

West Corp., 11.00%, 10/15/16

 

 

210

 

 

220,500

 

 

 

 

 

 



 

 

 

 

 

 

 

410,800

 









Construction Materials — 0.9%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

 

377

 

 

396,912

 









Consumer Finance — 2.3%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17 (b)

 

 

120

 

 

124,350

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.28%, 1/13/12 (f)

 

 

110

 

 

107,800

 

7.80%, 6/01/12

 

 

500

 

 

526,171

 

6.63%, 8/15/17

 

 

230

 

 

233,766

 

 

 

 

 

 



 

 

 

 

 

 

 

992,087

 









Containers & Packaging — 3.4%

 

 

 

 

 

 

 

Ball Corp., 6.75%, 9/15/20

 

 

85

 

 

89,462

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.88%, 9/15/14

 

 

140

 

 

133,350

 

8.25%, 11/15/15

 

 

25

 

 

25,063

 

9.50%, 5/15/18 (b)

 

 

105

 

 

96,600

 

Berry Plastics Holding Corp., 8.88%, 9/15/14

 

 

330

 

 

314,325

 

Crown Americas LLC, 7.75%, 11/15/15

 

 

85

 

 

88,187

 

Graphic Packaging International, Inc., 9.50%, 6/15/17

 

 

160

 

 

170,400

 

Impress Holdings BV, 3.65%, 9/15/13 (b)(f)

 

 

270

 

 

255,150

 

Pregis Corp., 12.38%, 10/15/13

 

 

310

 

 

310,000

 

 

 

 

 

 



 

 

 

 

 

 

 

1,482,537

 









Diversified Financial Services — 6.3%

 

 

 

 

 

 

 

Ally Financial Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15 (b)

 

 

350

 

 

364,000

 

7.50%, 9/15/20 (b)

 

 

310

 

 

306,900

 

8.00%, 11/01/31

 

 

120

 

 

118,200

 


 

 

 

 

See Notes to Financial Statements.

 

 


48

ANNUAL REPORT

AUGUST 31, 2010

 




 

 



 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Diversified Financial Services (concluded)

 

 

 

 

 

 

 

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

 

$

165

 

$

165,206

 

CDX North America High Yield, Series 6-T1, 8.63%,
6/29/11 (b)

 

 

435

 

 

457,272

 

GMAC, Inc.:

 

 

 

 

 

 

 

2.74%, 12/01/14 (f)

 

 

73

 

 

62,760

 

8.00%, 3/15/20 (b)

 

 

500

 

 

512,500

 

Leucadia National Corp.:

 

 

 

 

 

 

 

8.13%, 9/15/15

 

 

200

 

 

213,000

 

7.13%, 3/15/17

 

 

110

 

 

110,275

 

Reynolds Group DL Escrow, Inc., 7.75%, 10/15/16 (b)

 

 

250

 

 

251,875

 

Reynolds Group Issuer, Inc., 8.50%, 5/15/18 (b)

 

 

130

 

 

124,800

 

 

 

 

 

 



 

 

 

 

 

 

 

2,686,788

 









Diversified Telecommunication Services — 5.0%

 

 

 

 

 

 

 

Asia Global Crossing Ltd., 13.38%, 10/15/10 (a)(g)

 

 

2,000

 

 

2,500

 

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

 

 

195

 

 

191,100

 

Frontier Communications Corp.:

 

 

 

 

 

 

 

7.88%, 4/15/15

 

 

100

 

 

105,500

 

8.25%, 4/15/17

 

 

100

 

 

105,750

 

8.50%, 4/15/20

 

 

70

 

 

74,288

 

GCI, Inc., 8.63%, 11/15/19

 

 

200

 

 

210,000

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

685

 

 

697,844

 

8.00%, 10/01/15 (b)

 

 

100

 

 

107,500

 

Series B, 7.50%, 2/15/14

 

 

235

 

 

239,406

 

Qwest Corp., 8.38%, 5/01/16

 

 

140

 

 

163,100

 

Wind Acquisition Finance SA, 12.00%, 12/01/15 (b)

 

 

150

 

 

158,250

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

25

 

 

26,656

 

8.63%, 8/01/16

 

 

50

 

 

51,625

 

7.88%, 11/01/17

 

 

25

 

 

25,375

 

 

 

 

 

 



 

 

 

 

 

 

 

2,158,894

 









Electric Utilities — 0.8%

 

 

 

 

 

 

 

Elwood Energy LLC, 8.16%, 7/05/26

 

 

381

 

 

350,750

 









Energy Equipment & Services — 2.0%

 

 

 

 

 

 

 

Compagnie Généralé de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

235

 

 

232,650

 

7.75%, 5/15/17

 

 

80

 

 

79,400

 

Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (b)

 

 

290

 

 

271,150

 

Global Geophysical Services, Inc., 10.50%,
5/01/17 (b)

 

 

50

 

 

49,500

 

Hornbeck Offshore Services, Inc., Series B, 6.13%,
12/01/14

 

 

5

 

 

4,688

 

North American Energy Alliance LLC, 10.88%,
6/01/16 (b)

 

 

115

 

 

124,200

 

Thermon Industries, Inc., 9.50%, 5/01/17 (b)

 

 

90

 

 

92,250

 

 

 

 

 

 



 

 

 

 

 

 

 

853,838

 









Food & Staples Retailing — 0.3%

 

 

 

 

 

 

 

Rite Aid Corp., 10.25%, 10/15/19

 

 

120

 

 

123,300

 









Food Products — 0.2%

 

 

 

 

 

 

 

Smithfield Foods, Inc., 10.00%, 7/15/14 (b)

 

 

60

 

 

66,975

 









Health Care Equipment & Supplies — 1.4%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

410

 

 

439,212

 

Hologic, Inc., 2.00%,12/15/37 (d)(h)

 

 

170

 

 

153,638

 

 

 

 

 

 



 

 

 

 

 

 

 

592,850

 









Health Care Providers & Services — 4.8%

 

 

 

 

 

 

 

American Renal Holdings, 8.38%, 5/15/18 (b)

 

 

50

 

 

50,000

 

Gentiva Health Services, Inc., 11.50%, 9/01/18 (b)

 

 

115

 

 

119,025

 

HCA, Inc.:

 

 

 

 

 

 

 

9.13%, 11/15/14

 

 

265

 

 

278,250

 

8.50%, 4/15/19

 

 

205

 

 

224,731

 

7.25%, 9/15/20

 

 

340

 

 

355,300

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Health Care Providers & Services (concluded)

 

 

 

 

 

 

 

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

 

$

95

 

$

92,863

 

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

 

 

85

 

 

85,000

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

279

 

 

297,135

 

10.00%, 5/01/18

 

 

259

 

 

291,375

 

8.88%, 7/01/19

 

 

245

 

 

264,906

 

 

 

 

 

 



 

 

 

 

 

 

 

2,058,585

 









Health Care Technology — 1.1%

 

 

 

 

 

 

 

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

 

 

410

 

 

475,088

 









Hotels, Restaurants & Leisure — 2.3%

 

 

 

 

 

 

 

Diamond Resorts Corp., 12.00%, 8/15/18 (b)

 

 

200

 

 

189,000

 

MGM Mirage, 13.00%, 11/15/13

 

 

25

 

 

28,875

 

MGM Resorts International, 10.38%, 5/15/14

 

 

465

 

 

506,850

 

Marina District Finance Co., Inc., 9.88%, 8/15/18 (b)

 

 

60

 

 

59,850

 

Travelport LLC, 5.16%, 9/01/14 (f)

 

 

25

 

 

23,188

 

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

 

 

25

 

 

18

 

Virgin River Casino Corp., 9.00%, 1/15/12 (a)(g)

 

 

445

 

 

200,250

 

 

 

 

 

 



 

 

 

 

 

 

 

1,008,031

 









Household Durables — 2.5%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

6.88%, 7/15/15

 

 

35

 

 

30,275

 

8.13%, 6/15/16

 

 

50

 

 

43,750

 

12.00%, 10/15/17

 

 

40

 

 

45,050

 

9.13%, 6/15/18

 

 

395

 

 

349,575

 

Jarden Corp., 8.00%, 5/01/16

 

 

40

 

 

42,250

 

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

 

 

115

 

 

107,812

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

9.25%, 4/15/12

 

 

20

 

 

20,525

 

6.25%, 4/01/14

 

 

10

 

 

9,325

 

7.00%, 8/15/15

 

 

25

 

 

23,000

 

10.75%, 9/15/16

 

 

300

 

 

315,750

 

8.38%, 5/15/18

 

 

90

 

 

86,625

 

 

 

 

 

 



 

 

 

 

 

 

 

1,073,937

 









IT Services — 0.7%

 

 

 

 

 

 

 

iPayment, Inc., 9.75%, 5/15/14

 

 

120

 

 

108,450

 

iPayment Investors LP, 12.75%, 7/15/14 (b)(e)

 

 

98

 

 

83,587

 

SunGard Data Systems, Inc., 10.63%, 5/15/15

 

 

100

 

 

110,500

 

 

 

 

 

 



 

 

 

 

 

 

 

302,537

 









Independent Power Producers &
Energy Traders — 3.7%

 

 

 

 

 

 

 

AES Red Oak LLC:

 

 

 

 

 

 

 

Series A, 8.54%, 11/30/19

 

 

109

 

 

111,519

 

Series B, 9.20%, 11/30/29

 

 

500

 

 

500,000

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

220

 

 

231,000

 

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

 

 

575

 

 

553,727

 

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

 

 

28

 

 

26,907

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

115

 

 

117,300

 

7.38%, 2/01/16

 

 

25

 

 

25,187

 

7.38%, 1/15/17

 

 

40

 

 

40,300

 

 

 

 

 

 



 

 

 

 

 

 

 

1,605,940

 









Industrial Conglomerates — 2.3%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

350

 

 

360,500

 

13.50%, 12/01/15 (e)

 

 

586

 

 

609,208

 

 

 

 

 

 



 

 

 

 

 

 

 

969,708

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

49




 

 



 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Insurance — 0.9%

 

 

 

 

 

 

 

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

 

$

300

 

$

307,875

 

USI Holdings Corp., 4.25%, 11/15/14 (b)(f)

 

 

100

 

 

84,750

 

 

 

 

 

 



 

 

 

 

 

 

 

392,625

 









Life Sciences Tools & Services — 0.2%

 

 

 

 

 

 

 

Patheon, Inc., 8.63%, 4/15/17 (b)

 

 

100

 

 

99,625

 









Machinery — 1.9%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

 

170

 

 

144,500

 

Accuride Corp., 7.50%, 2/26/20 (d)(e)

 

 

1

 

 

3,761

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (d)

 

 

260

 

 

283,725

 

8.25%, 11/01/21

 

 

300

 

 

314,250

 

Oshkosh Corp., 8.25%, 3/01/17

 

 

30

 

 

31,575

 

Titan International, Inc., 5.63%, 1/15/17 (b)(d)

 

 

40

 

 

47,600

 

 

 

 

 

 



 

 

 

 

 

 

 

825,411

 









Marine — 0.5%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (d)

 

 

240

 

 

201,600

 









Media — 13.9%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

 

390

 

 

399,750

 

10.13%, 10/15/13

 

 

130

 

 

132,925

 

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

 

 

169

 

 

199,675

 

CMP Susquehanna Corp., 3.64%, 5/15/14 (b)(f)

 

 

23

 

 

460

 

CSC Holdings, Inc., 8.50%, 4/15/14

 

 

80

 

 

87,400

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

141

 

 

146,288

 

Series B, 9.25%, 12/15/17

 

 

716

 

 

750,905

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

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

 

 

121

 

 

121,053

 

Loan Close 3, 12.00%, 8/15/18

 

 

140

 

 

140,000

 

Shares Loan, 4.00%, 8/15/18

 

 

143

 

 

142,737

 

DISH DBS Corp., 7.00%, 10/01/13

 

 

40

 

 

41,650

 

Gannett Co., Inc., 10.00%, 4/01/16

 

 

60

 

 

67,054

 

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

 

 

225

 

 

216,563

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (f)

 

 

50

 

 

42,000

 

9.50%, 5/15/15

 

 

60

 

 

57,150

 

Intelsat Corp., 6.88%, 1/15/28

 

 

210

 

 

177,450

 

Interactive Data Corp., 10.25%, 8/01/18 (b)

 

 

170

 

 

176,375

 

Liberty Global, Inc., 4.50%, 11/15/16 (b)(d)

 

 

70

 

 

85,750

 

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

 

 

110

 

 

106,150

 

McClatchy Co., 11.50%, 2/15/17 (b)

 

 

355

 

 

366,537

 

Nielsen Finance LLC, 10.00%, 8/01/14

 

 

600

 

 

630,000

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(d)(g)

 

 

414

 

 

393,352

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

310

 

 

310,387

 

10.38%, 9/01/14

 

 

378

 

 

392,175

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

55

 

 

56,375

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

 

225

 

 

214,875

 

Unitymedia Hessen GmbH & Co. KG, 8.13%,
12/01/17 (b)

 

 

400

 

 

411,000

 

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

 

 

100

 

 

104,125

 

 

 

 

 

 



 

 

 

 

 

 

 

5,970,161

 









Metals & Mining — 3.1%

 

 

 

 

 

 

 

AK Steel Corp., 7.63%, 5/15/20

 

 

10

 

 

10,075

 

Aleris International, Inc. (a)(g):

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

120

 

 

240

 

10.00%, 12/15/16

 

 

125

 

 

48

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

150

 

 

156,937

 

7.38%, 2/15/16

 

 

40

 

 

40,050

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

85

 

 

93,606

 

10.63%, 9/01/16

 

 

185

 

 

214,369

 

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

 

 

80

 

 

97,300

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Metals & Mining (concluded)

 

 

 

 

 

 

 

McJunkin Red Man Corp., 9.50%, 12/15/16 (b)

 

$

110

 

$

97,075

 

Murray Energy Corp., 10.25%, 10/15/15 (b)

 

 

90

 

 

92,025

 

Novelis, Inc., 11.50%, 2/15/15

 

 

110

 

 

121,000

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.84%, 11/01/14 (f)

 

 

60

 

 

55,650

 

12.00%, 11/01/15

 

 

70

 

 

72,012

 

Steel Dynamics, Inc., 7.38%, 11/01/12

 

 

65

 

 

69,063

 

United States Steel Corp., 7.38%, 4/01/20

 

 

90

 

 

91,125

 

Vedanta Resources Plc, 9.50%, 7/18/18 (b)

 

 

105

 

 

110,250

 

 

 

 

 

 



 

 

 

 

 

 

 

1,320,825

 









Multiline Retail — 2.8%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

132

 

 

144,870

 

11.88%, 7/15/17 (e)

 

 

929

 

 

1,068,350

 

 

 

 

 

 



 

 

 

 

 

 

 

1,213,220

 









Oil, Gas & Consumable Fuels — 8.2%

 

 

 

 

 

 

 

Arch Coal, Inc.:

 

 

 

 

 

 

 

8.75%, 8/01/16

 

 

10

 

 

10,825

 

7.25%, 10/01/20

 

 

145

 

 

147,175

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

80

 

 

91,900

 

10.75%, 2/01/18

 

 

45

 

 

49,613

 

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

 

 

80

 

 

80,800

 

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

 

 

5

 

 

5,425

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/17

 

 

250

 

 

253,750

 

6.63%, 8/15/20

 

 

185

 

 

185,694

 

2.25%, 12/15/38 (d)

 

 

125

 

 

93,594

 

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

 

 

50

 

 

51,375

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

30

 

 

32,550

 

10.25%, 12/15/15

 

 

170

 

 

170,000

 

Consol Energy, Inc., 8.25%, 4/01/20 (b)

 

 

335

 

 

355,519

 

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

 

 

70

 

 

72,275

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

7.50%, 12/15/15

 

 

30

 

 

30,900

 

8.25%, 2/15/20

 

 

119

 

 

127,032

 

Frontier Oil Corp., 6.63%, 10/01/11

 

 

65

 

 

65,162

 

Linn Energy LLC, 8.63%, 4/15/20 (b)

 

 

50

 

 

52,750

 

Massey Energy Co., 6.88%, 12/15/13

 

 

155

 

 

156,937

 

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

 

 

320

 

 

336,800

 

OPTI Canada, Inc. (b):

 

 

 

 

 

 

 

9.00%, 12/15/12

 

 

290

 

 

290,725

 

9.75%, 8/15/13

 

 

150

 

 

148,125

 

Overseas Shipholding Group, Inc., 7.50%, 2/15/24

 

 

350

 

 

301,437

 

Patriot Coal Corp., 8.25%, 4/30/18

 

 

70

 

 

69,475

 

Peabody Energy Corp., 6.50%, 9/15/20

 

 

140

 

 

147,175

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

100

 

 

111,750

 

7.88%, 6/01/15

 

 

15

 

 

15,563

 

QEP Resources, Inc., 6.88%, 3/01/21

 

 

70

 

 

72,975

 

 

 

 

 

 



 

 

 

 

 

 

 

3,527,301

 









Paper & Forest Products — 2.7%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(e)

 

 

20

 

 

17,313

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

55

 

 

57,888

 

8.00%, 4/01/20

 

 

30

 

 

30,525

 

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

 

 

70

 

 

78,750

 

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

 

 

285

 

 

312,075

 

Glatfelter, 7.13%, 5/01/16 (b)

 

 

35

 

 

35,219

 

NewPage Corp., 11.38%, 12/31/14

 

 

535

 

 

434,687

 

Norske Skog Canada Ltd., 7.38%, 3/01/14

 

 

120

 

 

48,000

 

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

 

 

150

 

 

158,250

 

 

 

 

 

 



 

 

 

 

 

 

 

1,172,707

 










 

 

 

 

See Notes to Financial Statements.


50

ANNUAL REPORT

AUGUST 31, 2010

 




 

 



 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Pharmaceuticals — 0.4%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.29%, 12/01/13 (f)

 

$

195

 

$

157,463

 









Professional Services — 0.2%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

100

 

 

103,750

 









Road & Rail — 0.2%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 9.63%, 3/15/18

 

 

85

 

 

88,825

 









Semiconductors & Semiconductor
Equipment — 0.2%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc.:

 

 

 

 

 

 

 

6.00%, 5/01/15 (d)

 

 

16

 

 

15,660

 

7.75%, 8/01/20 (b)

 

 

50

 

 

49,500

 

 

 

 

 

 



 

 

 

 

 

 

 

65,160

 









Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.59%, 2/15/12 (b)(e)(f)

 

 

87

 

 

1,733

 









Specialty Retail — 1.2%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 7.63%, 3/15/17

 

 

60

 

 

57,300

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (d)(h)

 

 

25

 

 

19,031

 

Limited Brands, Inc., 8.50%, 6/15/19

 

 

140

 

 

158,200

 

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

 

 

65

 

 

66,138

 

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

 

 

70

 

 

70,700

 

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

 

 

165

 

 

157,575

 

 

 

 

 

 



 

 

 

 

 

 

 

528,944

 









Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.88%, 4/15/15

 

 

100

 

 

92,500

 









Tobacco — 0.1%

 

 

 

 

 

 

 

Vector Group Ltd., 11.00%, 8/15/15

 

 

55

 

 

56,031

 









Trading Companies & Distributors — 0.3%

 

 

 

 

 

 

 

Russel Metals, Inc., 6.38%, 3/01/14

 

 

125

 

 

123,125

 









Wireless Telecommunication Services — 4.1%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

225

 

 

235,687

 

7.75%, 5/15/16

 

 

270

 

 

278,775

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

9.13%, 1/15/15 (e)

 

 

294

 

 

295,470

 

8.25%, 9/01/17

 

 

130

 

 

135,038

 

iPCS, Inc., 2.59%, 5/01/13 (f)

 

 

110

 

 

102,850

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

415

 

 

431,600

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

130

 

 

129,675

 

Series F, 5.95%, 3/15/14

 

 

20

 

 

19,325

 

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

 

 

180

 

 

150,300

 

 

 

 

 

 



 

 

 

 

 

 

 

1,778,720

 









Total Corporate Bonds — 96.3%

 

 

 

 

 

41,385,217

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 









Auto Components — 1.6%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Loan, 8.51%, 3/01/12 (e)

 

 

370

 

 

355,053

 

Allison Transmission, Inc., Term Loan, 3.04%, 8/07/14

 

 

383

 

 

353,072

 

 

 

 

 

 



 

 

 

 

 

 

 

708,125

 









Automobiles — 1.4%

 

 

 

 

 

 

 

Ford Motor Co., Tranche B-1 Term Loan, 3.03%,
12/15/13

 

 

602

 

 

579,487

 









Chemicals — 0.7%

 

 

 

 

 

 

 

Tronox Worldwide LLC:

 

 

 

 

 

 

 

Tranche B-1 Term Loan, 11.25%, 9/20/10

 

 

236

 

 

238,392

 

Tranche B-2 Term Loan, 11.25%, 9/20/10

 

 

64

 

 

64,045

 

 

 

 

 

 



 

 

 

 

 

 

 

302,437

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 







Commercial Services & Supplies — 1.2%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan B, 7.75%,
6/10/16

 

$

250

 

$

251,458

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

100

 

 

100,542

 

International Lease Finance Corp. (Delos Aircraft, Inc.),
Term Loan 1, 6.75%, 3/17/15

 

 

150

 

 

151,187

 

 

 

 

 

 



 

 

 

 

 

 

 

503,187

 









Construction & Engineering — 0.6%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Term Loan, 15.63%,
12/14/17

 

 

250

 

 

250,000

 









Consumer Finance — 1.7%

 

 

 

 

 

 

 

AGFS Funding Co., Term Loan, 7.25%, 4/21/15

 

 

750

 

 

741,094

 









Electric Utilities — 0.5%

 

 

 

 

 

 

 

New Development Holdings LLC, Term Loan, 7.00%,
7/03/17

 

 

225

 

 

227,250

 









Health Care Providers & Services — 0.9%

 

 

 

 

 

 

 

Harden Healthcare, Term Loan A:

 

 

 

 

 

 

 

Add-on Term Loan, 7.75%, 3/02/15

 

 

100

 

 

98,000

 

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

 

 

84

 

 

82,543

 

inVentiv Health, Inc. (FKA Ventive Health Inc.),
Term Loan B, 6.50%, 7/31/16

 

 

200

 

 

199,625

 

 

 

 

 

 



 

 

 

 

 

 

 

380,168

 









Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

Travelport LLC (FKA Travelport, Inc.), Loan, 8.37%,
3/27/12 (e)

 

 

532

 

 

494,551

 









IT Services — 0.5%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

First Lien Term Loan, 3.01%, 9/24/14

 

 

29

 

 

24,603

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

67

 

 

57,339

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

177

 

 

151,268

 

 

 

 

 

 



 

 

 

 

 

 

 

233,210

 









Independent Power Producers &
Energy Traders — 0.9%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan, 3.79% – 4.03%,
10/10/14

 

 

142

 

 

107,683

 

Initial Tranche B-3 Term Loan, 3.79% – 4.03%,
10/10/14

 

 

387

 

 

291,521

 

 

 

 

 

 



 

 

 

 

 

 

 

399,204

 









Media — 1.8%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson Learning),
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14

 

 

245

 

 

244,184

 

HMH Publishing Co., Ltd. (FKA Education Media),
Tranche A Term Loan, 5.80%, 6/12/14 (e)

 

 

150

 

 

136,223

 

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

 

 

375

 

 

397,969

 

 

 

 

 

 



 

 

 

 

 

 

 

778,376

 









Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, Term Loan with
PIK option, 7.44%, 2/01/13 (e)

 

 

205

 

 

123,227

 









Real Estate Management & Development — 0.4%

 

 

 

 

 

 

 

Realogy Corp., Second Lien Term Facility, 13.50%,
10/15/17

 

 

175

 

 

184,625

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 3.05%,
5/29/14

 

 

30

 

 

25,258

 









Wireless Telecommunication Services — 0.6%

 

 

 

 

 

 

 

Vodafone Group Plc, Revolving Credit, 6.88%,
7/30/15

 

 

250

 

 

250,000

 









Total Floating Rate Loan Interests — 14.4%

 

 

 

 

 

6,180,199

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

51




 

 



 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Other Interests (i)

 

Beneficial
Interest
(000)

 

Value

 







Auto Components — 1.8%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co. LLP, Class B,
Membership Interests

 

$

(j)

$

766,857

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

 

5

 

 

953

 









Total Other Interests — 1.8%

 

 

 

 

 

767,810

 










 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 









Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

Ally Financial Inc., 7.00% (b)

 

 

231

 

 

190,813

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
0.00% (a)(b)(f)

 

 

5,410

 

 

 









Specialty Retail — 0.2%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. 0.00% (a)

 

 

72

 

 

85,806

 









Total Preferred Securities — 0.6%

 

 

 

 

 

276,619

 










 

 

 

 

 

 

 

 









 

Warrants (k)

 

 

 

 

 

 

 









Diversified Telecommunication Services — 0.0%

 

 

 

 

 

 

 

NEON Communications, Inc. (Expires 12/02/12)

 

 

53,622

 

 

1

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(Expires 3/26/19) (b)

 

 

6,182

 

 

 









Software — 0.0%

 

 

 

 

 

 

 

HMH Holdings/EduMedia (Expires 3/09/17)

 

 

1,184

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

1

 









Total Long-Term Investments
(Cost — $50,436,893) — 113.8%

 

 

 

 

 

48,894,660

 










 

 

 

 

 

 

 

 









 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.25% (l)(m)

 

 

1,573,222

 

 

1,573,222

 









Total Short-Term Securities
(Cost — $1,573,222) — 3.6%

 

 

 

 

 

1,573,222

 










 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 









Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price
$942.86, expires 12/01/19, Broker
Goldman Sachs Bank USA

 

 

3

 

 

 









Total Options Purchased
(Cost — $2,933) — 0.0%

 

 

 

 

 

 









Total Investments Before Options Written
(Cost — $52,013,048*) — 117.4%

 

 

 

 

 

50,467,882

 










 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

Value

 









Over-the-Counter Call Swaptions — 0.0%

 

 

 

 

 

 

 

Bought credit default protection on Dow Jones CDX
North America High Yield Index Series 14 Volume 1,
Strike Price $96.00, Expires 9/15/10, Broker
Credit Suisse International

 

$

550

 

$

(528

)

Bought credit default protection on Dow Jones CDX
North America High Yield Series 14 Volume 1,
Strike Price $100.00, Expires 9/15/10, Broker
Credit Suisse International

 

 

950

 

 

(6,172

)

 

 

 

 

 



 

 

 

 

 

 

 

(6,700

)









Over-the-Counter Put Swaptions — 0.0%

 

 

 

 

 

 

 

Sold credit default protection on Dow Jones CDX
North America High Yield Series 14 Volume 1,
Strike Price $87.00, Expires 9/15/10, Broker
Credit Suisse International

 

 

550

 

 

(9

)









Total Options Written (Premium Received — $19,050) — 0.0%

 

 

 

 

 

(6,709

)









Total Investments, Net of Options Written — 117.4%

 

 

 

 

 

50,461,173

 

Liabilities in Excess of Other Assets — (17.4)%

 

 

 

 

 

(7,481,041

)

 

 

 

 

 



 

Net Assets — 100.0%

 

 

 

 

$

42,980,132

 

 

 

 

 

 



 


 

 



*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

52,071,646

 

 

 



 

Gross unrealized appreciation

 

$

2,282,625

 

Gross unrealized depreciation

 

 

(3,886,389

)

 

 



 

Net unrealized depreciation

 

$

(1,603,764

)

 

 



 


 

 

(a)

Non-income producing security.

 

 

(b)

Security exempt from registration under Rule 144A of 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)

Convertible security.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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

 

 

(h)

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.

 

 

(i)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(j)

Amount is less than $1,000.

 

 

(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 year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Affiliate

 

Shares Held at
at August 31,
2009

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

 











BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

2,180,193

 

 

(606,971

)

 

1,573,222

 

$

2,723

 












 

 

(m)

Represents the current yield as of report date.


 

 

 

 

See Notes to Financial Statements.





52

ANNUAL REPORT

AUGUST 31, 2010

 




 

 



 

 

Schedule of Investments (concluded)

BlackRock High Yield Trust (BHY)


 

 

Credit default swaps on single-name issuers — buy protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 













Brunswick Corp.

 

5.00%

 

Credit Suisse

 

September

 

$

70

 

$

(3,699

)

 

 

 

 

International

 

2014

 

 

 

 

 

 

 














 

 

Credit default swaps on single-name issuers — sold protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 















Levi Strauss & Co.

 

5.00%

 

Deutsche
Bank AG

 

June 2015

 

B+

 

$

55

 

$

168

 




 

 

 

 

1

Using S&P’s ratings of the issuer.

 

 

 

 

2

The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the 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. This definition 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 derivatives, which are as follows:

 

 

 

Level 1 — 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 derivatives)

 

 

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments 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 August 31, 2010 in determining the fair valuation of the Trust’s investments and derivatives:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

177,634

 

$

21,170

 

$

86,010

 

$

284,814

 

Corporate Bonds

 

 

 

 

39,870,340

 

 

1,514,877

 

 

41,385,217

 

Floating Rate Loan Interests

 

 

 

 

4,635,461

 

 

1,544,738

 

 

6,180,199

 

Other Interests

 

 

 

 

766,857

 

 

953

 

 

767,810

 

Preferred Securities

 

 

190,813

 

 

 

 

85,806

 

 

276,619

 

Warrants

 

 

 

 

 

 

1

 

 

1

 

Short-Term Securities

 

 

1,573,222

 

 

 

 

 

 

1,573,222

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded loan commitments

 

 

 

 

 

 

(4,001

)

 

(4,001

)

 

 













Total

 

$

1,941,669

 

$

45,293,828

 

$

3,228,384

 

$

50,463,881

 

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Derivative Financial Instruments1

 





Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

168

 

 

 

$

168

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(10,408

)

 

 

 

(10,408

)

 

 













Total

 

 

 

$

(10,240

)

 

 

$

(10,240

)

 

 














 

 

 

 

1

Derivative financial instruments are swaps and options. Swaps 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 to determine fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



















 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Unfunded Loan
Commitments

 

Total

 



















Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2009

 

 

 

$

1,149,295

 

$

2,581,647

 

$

953

 

 

 

$

1

 

 

 

$

3,731,896

 

Accrued discounts/premiums

 

 

 

 

5,159

 

 

5,282

 

 

 

 

 

 

 

 

 

 

10,441

 

Net realized gain (loss)

 

$

(957,501

)

 

(208,002

)

 

(557,300

)

 

 

 

 

 

 

 

 

 

(1,722,803

)

Net change in unrealized appreciation/depreciation2

 

 

957,501

 

 

1,278,827

 

 

1,633,274

 

 

 

 

 

 

 

$

(4,001

)

 

3,865,601

 

Purchases

 

 

 

 

27,502

 

 

3,200,033

 

 

 

 

 

 

 

 

 

 

3,227,535

 

Sales

 

 

 

 

(1,318,110

)

 

(4,862,218

)

 

 

 

 

 

 

 

 

 

(6,180,328

)

Transfers in3

 

 

86,010

 

 

663,793

 

 

680,543

 

 

 

$

85,806

 

 

 

 

 

 

1,516,152

 

Transfers out3

 

 

 

 

(83,587

)

 

(1,136,523

)

 

 

 

 

 

 

 

 

 

(1,220,110

)

 

 

























Total

 

$

86,010

 

$

1,514,877

 

$

1,544,738

 

$

953

 

$

85,806

 

$

1

 

$

(4,001

)

$

3,228,384

 

 

 


























 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The net change in unrealized appreciation/depreciation on securities still held at August 31, 2010 was $606,667.

 

 

 

 

3

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


 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

AUGUST 31, 2010

53




 

 



 

 

Schedule of Investments August 31, 2010

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 







321 Henderson Receivables I LLC, Series 2010-1A,
Class B, 9.31%, 7/15/61 (a)

 

USD

1,150

 

$

1,337,369

 

Ameriquest Mortgage Securities, Inc., Series
2004-R11, Class A1, 0.57%, 11/25/34 (b)

 

 

819

 

 

745,745

 

Chase Issuance Trust, Series 2009-A7, Class A7,
0.73%, 9/17/12 (b)

 

 

3,375

 

 

3,375,485

 

Ford Credit Auto Owner Trust, Series 2009-A,
Class A3B, 2.78%, 5/15/13 (b)

 

 

5,700

 

 

5,784,628

 

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

 

 

EUR 699

 

 

899,422

 

Home Equity Asset Trust, Series 2007-2, Class 2A1,
0.37%, 7/25/37 (b)

 

 

USD 318

 

 

308,499

 

Maryland Insurance Backed Securities Trust, Series
2006-1A, Class A, 5.55%, 12/10/65

 

 

2,500

 

 

875,000

 

Nelnet Student Loan Trust, Series 2008-3, Class A4,
4.61%, 11/25/24 (b)

 

 

650

 

 

674,375

 

SLM Student Loan Trust, Series 2008-5 (b):

 

 

 

 

 

 

 

Class A2, 1.60%, 10/25/16

 

 

3,300

 

 

3,348,061

 

Class A3, 1.80%, 1/25/18

 

 

1,170

 

 

1,206,282

 

Class A4, 2.20%, 7/25/23

 

 

2,400

 

 

2,504,838

 

Santander Drive Auto Receivables Trust,
Series 2010-2:

 

 

 

 

 

 

 

Class B, 2.24%, 12/15/14

 

 

870

 

 

869,870

 

Class C, 3.89%, 7/17/17

 

 

1,020

 

 

1,020,000

 

Small Business Administration Participation
Certificates, Series 1996-20K, Class 1, 6.95%,
11/01/16

 

 

367

 

 

392,288

 

 

 

 

 

 



 

 

 

 

 

 

 

23,341,862

 









Interest Only — 0.3%

 

 

 

 

 

 

 

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

 

 

5,154

 

 

272,208

 

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

 

 

7,549

 

 

771,402

 

 

 

 

 

 



 

 

 

 

 

 

 

1,043,610

 








 

Total Asset-Backed Securities — 6.4%

 

 

 

 

 

24,385,472

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

 

 

 








Specialty Retail — 0.0%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. (c)

 

 

2,590

 

 

13,235

 









Total Common Stocks — 0.0%

 

 

 

 

 

13,235

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 









Aerospace & Defense — 0.6%

 

 

 

 

 

 

 

United Technologies Corp.:

 

 

 

 

 

 

 

4.88%, 5/01/15

 

USD

1,250

 

$

1,423,486

 

6.13%, 7/15/38

 

 

750

 

 

923,300

 

 

 

 

 

 



 

 

 

 

 

 

 

2,346,786

 









Airlines — 0.2%

 

 

 

 

 

 

 

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

 

 

793

 

 

884,150

 









Beverages — 1.0%

 

 

 

 

 

 

 

Anheuser-Busch InBev Worldwide, Inc., 7.75%,
1/15/19 (a)

 

 

3,050

 

 

3,906,345

 









Building Products — 0.1%

 

 

 

 

 

 

 

CPG International I, Inc., 10.50%, 7/01/13

 

 

230

 

 

229,713

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Capital Markets — 4.8%

 

 

 

 

 

 

 

CDP Financial, Inc. (a):

 

 

 

 

 

 

 

3.00%, 11/25/14 (d)

 

USD

1,950

 

$

2,013,330

 

5.60%, 11/25/39

 

 

2,955

 

 

3,367,352

 

Credit Suisse, Inc. (USA):

 

 

 

 

 

 

 

6.13%, 11/15/11

 

 

700

 

 

742,373

 

7.13%, 7/15/32

 

 

1,000

 

 

1,288,678

 

The Goldman Sachs Group, Inc.:

 

 

 

 

 

 

 

6.60%, 1/15/12

 

 

1,000

 

 

1,068,391

 

3.70%, 8/01/15

 

 

800

 

 

809,874

 

5.38%, 3/15/20 (d)

 

 

1,200

 

 

1,238,501

 

6.00%, 6/15/20

 

 

1,750

 

 

1,885,142

 

Lehman Brothers Holdings, Inc., 6.50%,
7/19/17 (c)(e)

 

 

225

 

 

70

 

Morgan Stanley:

 

 

 

 

 

 

 

2.88%, 5/14/13 (b)

 

 

1,880

 

 

1,899,146

 

4.20%, 11/20/14

 

 

1,620

 

 

1,668,276

 

4.00%, 7/24/15

 

 

400

 

 

401,855

 

6.25%, 8/28/17

 

 

900

 

 

979,742

 

5.63%, 9/23/19

 

 

760

 

 

773,422

 

 

 

 

 

 



 

 

 

 

 

 

 

18,136,152

 









Chemicals — 1.1%

 

 

 

 

 

 

 

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

 

 

280

 

 

276,850

 

Ames True Temper, Inc., 4.53%, 1/15/12 (b)

 

 

720

 

 

718,200

 

CF Industries, Inc., 7.13%, 5/01/20

 

 

1,750

 

 

1,876,875

 

Innophos, Inc., 8.88%, 8/15/14

 

 

975

 

 

999,375

 

NOVA Chemicals Corp.:

 

 

 

 

 

 

 

6.50%, 1/15/12

 

 

115

 

 

117,588

 

3.75%, 11/15/13 (b)

 

 

275

 

 

256,781

 

 

 

 

 

 



 

 

 

 

 

 

 

4,245,669

 









Commercial Banks — 3.6%

 

 

 

 

 

 

 

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

 

 

4,150

 

 

3,273,441

 

Dexia Credit Local SA, 2.00%, 3/05/13 (a)

 

 

1,060

 

 

1,067,137

 

Eksportfinans ASA:

 

 

 

 

 

 

 

1.88%, 4/02/13

 

 

2,815

 

 

2,869,118

 

3.00%, 11/17/14

 

 

1,490

 

 

1,568,460

 

5.50%, 6/26/17

 

 

1,000

 

 

1,186,294

 

HSBC Bank Plc, 3.50%, 6/28/15 (a)

 

 

780

 

 

813,212

 

HSBC Holdings Plc, 6.50%, 5/02/36

 

 

1,275

 

 

1,453,568

 

The Toronto-Dominion Bank, 2.20%, 7/29/15 (a)

 

 

1,325

 

 

1,349,706

 

 

 

 

 

 



 

 

 

 

 

 

 

13,580,936

 








 

Commercial Services & Supplies — 0.4%

 

 

 

 

 

 

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

310

 

 

316,200

 

11.00%, 10/15/16

 

 

1,100

 

 

1,155,000

 

 

 

 

 

 



 

 

 

 

 

 

 

1,471,200

 









Consumer Finance — 0.4%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.28%, 1/13/12 (b)

 

 

120

 

 

117,600

 

7.80%, 6/01/12

 

 

380

 

 

399,890

 

6.63%, 8/15/17

 

 

380

 

 

386,221

 

SLM Corp., Series A, 0.80%, 1/27/14 (b)

 

 

600

 

 

489,703

 

 

 

 

 

 



 

 

 

 

 

 

 

1,393,414

 









Containers & Packaging — 1.1%

 

 

 

 

 

 

 

Ball Corp.:

 

 

 

 

 

 

 

7.13%, 9/01/16

 

 

275

 

 

294,937

 

7.38%, 9/01/19

 

 

275

 

 

294,938

 

Crown Americas LLC:

 

 

 

 

 

 

 

7.75%, 11/15/15

 

 

150

 

 

155,625

 

7.63%, 5/15/17 (a)

 

 

817

 

 

872,147

 

7.63%, 5/15/17

 

 

157

 

 

167,598

 


 

 

 

 

See Notes to Financial Statements.

 

 


54

ANNUAL REPORT

AUGUST 31, 2010

 




 

 



 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Containers & Packaging (concluded)

 

 

 

 

 

 

 

Impress Holdings BV, 3.65%, 9/15/13 (a)(b)

 

USD

330

 

$

311,850

 

Owens-Brockway Glass Container, Inc., 7.38%,
5/15/16

 

 

1,435

 

 

1,542,625

 

Pregis Corp., 12.38%, 10/15/13

 

 

535

 

 

535,000

 

 

 

 

 

 



 

 

 

 

 

 

 

4,174,720

 









Diversified Financial Services — 3.9%

 

 

 

 

 

 

 

Ally Financial Inc., 8.30%, 2/12/15 (a)

 

 

2,000

 

 

2,080,000

 

Bank of America Corp.:

 

 

 

 

 

 

 

7.63%, 6/01/19

 

 

500

 

 

585,229

 

5.63%, 7/01/20

 

 

1,310

 

 

1,349,588

 

Citigroup, Inc., 5.38%, 8/09/20

 

 

840

 

 

847,747

 

FCE Bank Plc, 7.88%, 2/15/11

 

GBP

550

 

 

854,050

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

5.50%, 1/08/20 (d)

 

USD

2,150

 

 

2,352,939

 

6.75%, 3/15/32 (f)

 

 

3,000

 

 

3,391,821

 

JPMorgan Chase & Co., 6.30%, 4/23/19

 

 

1,375

 

 

1,580,165

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (a)

 

 

1,000

 

 

1,007,500

 

Reynolds Group Issuer, Inc., 7.75%,
10/15/16 (a)

 

EUR

550

 

 

707,436

 

 

 

 

 

 



 

 

 

 

 

 

 

14,756,475

 









Diversified Telecommunication Services — 6.1%

 

 

 

 

 

 

 

AT&T Inc., 6.55%, 2/15/39 (d)

 

USD

4,075

 

 

4,829,087

 

BellSouth Telecommunications, Inc., 8.18%,
12/15/95 (g)

 

 

1,700

 

 

1,256,917

 

Frontier Communications Corp., 8.25%, 4/15/17

 

 

1,810

 

 

1,914,075

 

GCI, Inc., 8.63%, 11/15/19

 

 

1,000

 

 

1,050,000

 

Nordic Telephone Co. Holdings ApS, 8.88%,
5/01/16 (a)

 

 

145

 

 

152,250

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

15

 

 

15,281

 

Series B, 7.50%, 2/15/14

 

 

10

 

 

10,188

 

Qwest Corp.:

 

 

 

 

 

 

 

8.88%, 3/15/12

 

 

120

 

 

132,000

 

8.38%, 5/01/16

 

 

170

 

 

198,050

 

Telecom Italia Capital SA, 4.95%, 9/30/14

 

 

4,375

 

 

4,598,409

 

Telefonica Emisiones SAU, 7.05%, 6/20/36

 

 

1,000

 

 

1,202,853

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

6.40%, 2/15/38 (d)

 

 

2,100

 

 

2,457,546

 

8.95%, 3/01/39

 

 

1,125

 

 

1,670,434

 

Verizon Global Funding Corp., 7.75%, 6/15/32

 

 

575

 

 

752,543

 

Verizon Maryland, Inc.:

 

 

 

 

 

 

 

Series A, 6.13%, 3/01/12

 

 

1,355

 

 

1,444,457

 

Series B, 5.13%, 6/15/33

 

 

540

 

 

499,645

 

Verizon Virginia, Inc., Series A, 4.63%, 3/15/13

 

 

750

 

 

798,640

 

Wind Acquisition Finance SA, 12.00%, 12/01/15 (a)

 

 

85

 

 

89,675

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

50

 

 

53,313

 

8.63%, 8/01/16

 

 

100

 

 

103,250

 

7.88%, 11/01/17

 

 

50

 

 

50,750

 

 

 

 

 

 



 

 

 

 

 

 

 

23,279,363

 









Electric Utilities — 3.9%

 

 

 

 

 

 

 

Alabama Power Co., 6.00%, 3/01/39

 

 

550

 

 

658,209

 

Commonwealth Edison Co., 4.00%, 8/01/20

 

 

480

 

 

506,574

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

325

 

 

389,069

 

6.00%, 1/15/38

 

 

850

 

 

1,028,831

 

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

 

 

1,400

 

 

1,532,030

 

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

 

 

1,575

 

 

2,014,108

 

Elwood Energy LLC, 8.16%, 7/05/26

 

 

145

 

 

132,946

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Electric Utilities (concluded)

 

 

 

 

 

 

 

Florida Power & Light Co., 4.95%, 6/01/35

 

USD

575

 

$

605,825

 

Florida Power Corp.:

 

 

 

 

 

 

 

6.35%, 9/15/37

 

 

1,450

 

 

1,817,923

 

6.40%, 6/15/38

 

 

800

 

 

1,004,586

 

PacifiCorp., 6.25%, 10/15/37

 

 

650

 

 

805,236

 

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

 

 

1,350

 

 

1,696,039

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.63%, 2/01/36

 

 

675

 

 

779,691

 

Series 05-E, 5.35%, 7/15/35

 

 

150

 

 

166,912

 

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

 

 

1,100

 

 

1,332,906

 

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

 

 

350

 

 

398,501

 

 

 

 

 

 



 

 

 

 

 

 

 

14,869,386

 









Energy Equipment & Services — 0.6%

 

 

 

 

 

 

 

Expro Finance Luxembourg SCA, 8.50%,
12/15/16 (a)

 

 

2,480

 

 

2,318,800

 









Food & Staples Retailing — 0.9%

 

 

 

 

 

 

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37

 

 

1,975

 

 

2,543,923

 

6.20%, 4/15/38

 

 

850

 

 

1,047,543

 

 

 

 

 

 



 

 

 

 

 

 

 

3,591,466

 









Food Products — 0.5%

 

 

 

 

 

 

 

Kraft Foods, Inc., 7.00%, 8/11/37

 

 

1,670

 

 

2,077,497

 









Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

Covidien International Finance SA, 2.80%,
6/15/15

 

 

230

 

 

237,382

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

900

 

 

964,125

 

 

 

 

 

 



 

 

 

 

 

 

 

1,201,507

 









Health Care Providers & Services — 1.2%

 

 

 

 

 

 

 

HCA, Inc., 8.50%, 4/15/19

 

 

1,700

 

 

1,863,625

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

1,200

 

 

1,278,000

 

10.00%, 5/01/18

 

 

280

 

 

315,000

 

8.88%, 7/01/19

 

 

1,150

 

 

1,243,437

 

 

 

 

 

 



 

 

 

 

 

 

 

4,700,062

 









Hotels, Restaurants & Leisure — 0.3%

 

 

 

 

 

 

 

McDonald’s Corp., 5.70%, 2/01/39

 

 

850

 

 

1,018,794

 









Household Durables — 0.6%

 

 

 

 

 

 

 

Irwin Land LLC (a):

 

 

 

 

 

 

 

Series A-1, 5.03%, 12/15/25

 

 

575

 

 

550,126

 

Series A-2, 5.30%, 12/15/35

 

 

780

 

 

681,408

 

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

 

 

1,000

 

 

1,052,500

 

 

 

 

 

 



 

 

 

 

 

 

 

2,284,034

 









Household Products — 0.3%

 

 

 

 

 

 

 

Kimberly-Clark, Corp., 6.63%, 8/01/37

 

 

975

 

 

1,300,083

 









IT Services — 0.2%

 

 

 

 

 

 

 

iPayment, Inc., 9.75%, 5/15/14

 

 

270

 

 

244,013

 

iPayment Investors LP, 12.75%, 7/15/14 (a)(h)

 

 

815

 

 

696,770

 

 

 

 

 

 



 

 

 

 

 

 

 

940,783

 









Independent Power Producers & Energy Traders — 0.0%

 

 

 

 

 

 

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

30

 

 

30,600

 

7.38%, 2/01/16

 

 

5

 

 

5,038

 

7.38%, 1/15/17

 

 

10

 

 

10,075

 

 

 

 

 

 



 

 

 

 

 

 

 

45,713

 









Industrial Conglomerates — 0.5%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

760

 

 

782,800

 

13.50%, 12/01/15 (h)

 

 

927

 

 

964,580

 

 

 

 

 

 



 

 

 

 

 

 

 

1,747,380

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

55




 

 



 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Insurance — 2.1%

 

 

 

 

 

 

 

Chubb Corp., 6.00%, 5/11/37

 

USD

1,415

 

$

1,635,954

 

Metropolitan Life Global Funding I (a):

 

 

 

 

 

 

 

2.50%, 1/11/13

 

 

2,550

 

 

2,606,253

 

5.13%, 6/10/14

 

 

775

 

 

858,529

 

Prudential Financial, Inc.:

 

 

 

 

 

 

 

4.75%, 9/17/15

 

 

1,220

 

 

1,308,667

 

5.70%, 12/14/36

 

 

950

 

 

970,820

 

Teachers Insurance & Annuity Association of
America, 6.85%, 12/16/39 (a)

 

 

505

 

 

632,242

 

 

 

 

 

 



 

 

 

 

 

 

 

8,012,465

 









Machinery — 0.4%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

 

340

 

 

289,000

 

Navistar International Corp., 8.25%, 11/01/21

 

 

1,200

 

 

1,257,000

 

 

 

 

 

 



 

 

 

 

 

 

 

1,546,000

 









Marine — 0.3%

 

 

 

 

 

 

 

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

 

 

1,100

 

 

1,210,066

 









Media — 5.4%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.13%, 10/15/13

 

 

740

 

 

758,500

 

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

 

 

1,815

 

 

2,150,302

 

CMP Susquehanna Corp., 3.64%, 5/15/14 (a)(b)

 

 

55

 

 

1,100

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

318

 

 

329,925

 

Series B, 9.25%, 12/15/17

 

 

1,272

 

 

1,334,010

 

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

 

 

2,000

 

 

2,810,936

 

Comcast Cable Communications LLC, 6.75%,
1/30/11

 

 

1,000

 

 

1,024,259

 

Comcast Corp., 6.40%, 3/01/40

 

 

350

 

 

399,363

 

DIRECTV Holdings LLC, 6.00%, 8/15/40

 

 

230

 

 

242,069

 

Discovery Communications LLC, 3.70%, 6/01/15

 

 

470

 

 

494,427

 

NBC Universal, Inc., 5.15%, 4/30/20 (a)

 

 

680

 

 

731,937

 

News America Holdings, Inc.:

 

 

 

 

 

 

 

8.45%, 8/01/34

 

 

2,475

 

 

3,333,003

 

8.15%, 10/17/36

 

 

145

 

 

186,081

 

Nielsen Finance LLC, 10.00%, 8/01/14

 

 

1,060

 

 

1,113,000

 

Rainbow National Services LLC (a):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

225

 

 

225,281

 

10.38%, 9/01/14

 

 

1,070

 

 

1,110,125

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (a)

 

 

1,310

 

 

1,251,050

 

Time Warner Cable, Inc., 7.30%, 7/01/38

 

 

970

 

 

1,198,635

 

Time Warner Cos., Inc., 7.57%, 2/01/24

 

 

1,635

 

 

2,045,774

 

 

 

 

 

 



 

 

 

 

 

 

 

20,739,777

 









Metals & Mining — 0.6%

 

 

 

 

 

 

 

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

 

 

270

 

 

282,064

 

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

 

 

1,550

 

 

1,572,486

 

McJunkin Red Man Corp., 9.50%, 12/15/16 (a)

 

 

495

 

 

436,837

 

 

 

 

 

 



 

 

 

 

 

 

 

2,291,387

 









Multi-Utilities — 0.4%

 

 

 

 

 

 

 

Dominion Resources, Inc., 6.00%, 11/30/17

 

 

1,135

 

 

1,356,809

 









Multiline Retail — 0.4%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,725,000

 









Oil, Gas & Consumable Fuels — 6.4%

 

 

 

 

 

 

 

BP Capital Markets Plc, 3.13%, 3/10/12 (d)

 

 

1,505

 

 

1,507,601

 

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

 

 

160

 

 

161,600

 

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

 

 

950

 

 

1,243,198

 

Canadian Natural Resources, Ltd.:

 

 

 

 

 

 

 

6.50%, 2/15/37

 

 

430

 

 

514,390

 

6.25%, 3/15/38

 

 

500

 

 

571,164

 

6.75%, 2/01/39

 

 

950

 

 

1,177,972

 

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

 

 

565

 

 

693,274

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Chesapeake Energy Corp., 6.63%, 8/15/20

 

USD

1,280

 

$

1,284,800

 

Conoco Funding Co., 7.25%, 10/15/31

 

 

150

 

 

196,518

 

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

 

 

150

 

 

176,264

 

Consol Energy, Inc. (a):

 

 

 

 

 

 

 

8.00%, 4/01/17

 

 

1,139

 

 

1,201,645

 

8.25%, 4/01/20

 

 

861

 

 

913,736

 

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

 

 

650

 

 

894,072

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

70

 

 

80,122

 

6.63%, 8/15/37

 

 

775

 

 

929,632

 

Enterprise Products Operating LLC:

 

 

 

 

 

 

 

6.13%, 2/01/13

 

 

710

 

 

772,184

 

6.13%, 10/15/39

 

 

700

 

 

748,222

 

Kinder Morgan Energy Partners LP, 5.30%, 9/15/20

 

 

510

 

 

545,626

 

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

 

 

800

 

 

926,882

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

950

 

 

1,076,793

 

6.50%, 9/15/37

 

 

2,115

 

 

2,569,886

 

Nexen, Inc., 6.40%, 5/15/37

 

 

750

 

 

823,130

 

Peabody Energy Corp., 6.50%, 9/15/20

 

 

1,220

 

 

1,282,525

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

5.88%, 3/01/18

 

 

80

 

 

86,884

 

5.75%, 1/20/20

 

 

1,760

 

 

1,886,504

 

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

 

 

680

 

 

675,995

 

Valero Energy Corp., 6.63%, 6/15/37

 

 

1,300

 

 

1,317,012

 

Whiting Petroleum Corp., 7.25%, 5/01/12

 

 

20

 

 

20,000

 

 

 

 

 

 



 

 

 

 

 

 

 

24,277,631

 









Paper & Forest Products — 1.1%

 

 

 

 

 

 

 

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

 

 

1,650

 

 

1,806,750

 

International Paper Co., 7.30%, 11/15/39

 

 

610

 

 

687,355

 

NewPage Corp., 11.38%, 12/31/14

 

 

2,005

 

 

1,629,062

 

 

 

 

 

 



 

 

 

 

 

 

 

4,123,167

 









Pharmaceuticals — 2.3%

 

 

 

 

 

 

 

GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38

 

 

1,500

 

 

1,903,332

 

Roche Holdings, Inc., 7.00%, 3/01/39 (a)

 

 

900

 

 

1,233,876

 

Schering-Plough Corp., 6.55%, 9/15/37

 

 

1,250

 

 

1,644,859

 

Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36

 

 

1,475

 

 

1,811,636

 

Wyeth, 5.95%, 4/01/37 (d)

 

 

1,775

 

 

2,137,215

 

 

 

 

 

 



 

 

 

 

 

 

 

8,730,918

 









Professional Services — 0.0%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

125

 

 

129,688

 









Road & Rail — 0.6%

 

 

 

 

 

 

 

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

 

 

940

 

 

1,056,242

 

Canadian National Railway Co., 6.38%, 10/15/11

 

 

1,000

 

 

1,062,017

 

 

 

 

 

 



 

 

 

 

 

 

 

2,118,259

 









Software — 0.2%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.59%, 2/15/12 (a)(h)

 

 

145

 

 

2,895

 

Oracle Corp., 5.38%, 7/15/40 (a)

 

 

885

 

 

959,329

 

 

 

 

 

 



 

 

 

 

 

 

 

962,224

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

General Nutrition Centers, Inc., 10.75%, 3/15/15

 

 

405

 

 

414,113

 









Textiles, Apparel & Luxury Goods — 0.1%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.88%, 4/15/15

 

 

250

 

 

231,250

 









Thrifts & Mortgage Finance — 0.4%

 

 

 

 

 

 

 

Achmea Hypotheekbank NV, 3.20%, 11/03/14 (a)

 

 

1,325

 

 

1,399,615

 









Tobacco — 0.2%

 

 

 

 

 

 

 

Philip Morris International, Inc., 4.50%, 3/26/20

 

 

650

 

 

709,057

 










 

 

 

 

See Notes to Financial Statements.


56

ANNUAL REPORT

AUGUST 31, 2010

 




 

 



 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Wireless Telecommunication Services — 2.7%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

USD

105

 

$

109,988

 

7.75%, 5/15/16

 

 

1,452

 

 

1,499,190

 

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

 

 

1,595

 

 

1,774,618

 

Digicel Group Ltd., 8.25%, 9/01/17 (a)

 

 

150

 

 

155,812

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

60

 

 

62,400

 

Nextel Communications, Inc., Series E, 6.88%,
10/31/13

 

 

410

 

 

408,975

 

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

 

 

1,175

 

 

1,561,281

 

SBA Tower Trust, 4.25%, 4/15/40 (a)

 

 

950

 

 

1,013,716

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

6.88%, 11/15/28

 

 

780

 

 

651,300

 

8.75%, 3/15/32

 

 

350

 

 

337,312

 

Vodafone Group Plc, 4.15%, 6/10/14

 

 

2,500

 

 

2,685,585

 

 

 

 

 

 



 

 

 

 

 

 

 

10,260,177

 









Total Corporate Bonds — 56.3%

 

 

 

 

 

214,738,031

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

 

 

 

 

 

 









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

 

EUR

160

 

 

105,934

 

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

 

USD

470

 

 

488,228

 

Japan Finance Corp., 2.00%, 6/24/11

 

 

880

 

 

889,520

 

Kreditanstalt fuer Wiederaufbau, 1.38%, 7/15/13

 

 

655

 

 

663,653

 

Landwirtschaftliche Rentenbank:

 

 

 

 

 

 

 

4.13%, 7/15/13

 

 

120

 

 

130,225

 

Series E, 5.25%, 7/02/12

 

 

405

 

 

437,179

 

Series E, 4.38%, 1/15/13

 

 

260

 

 

281,620

 

Series E, 4.00%, 2/02/15

 

 

235

 

 

260,304

 

Mexico Government International Bond, 5.63%,
1/15/17

 

 

370

 

 

415,325

 

Province of Ontario Canada:

 

 

 

 

 

 

 

4.10%, 6/16/14

 

 

1,235

 

 

1,358,626

 

Series 1, 1.88%, 11/19/12

 

 

1,180

 

 

1,207,031

 

Qatari Diar Finance QSC, 3.50%, 7/21/15 (a)

 

 

915

 

 

932,385

 

Russian Foreign Bond Eurobond, 7.50%, 3/31/30

 

 

1,371

 

 

1,627,962

 

United Mexican States, Series A, 5.13%, 1/15/20

 

 

215

 

 

233,275

 









Total Foreign Agency Obligations — 2.4%

 

 

 

 

 

9,031,267

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 









Collateralized Mortgage Obligations — 4.6%

 

 

 

 

 

 

 

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

 

 

1,100

 

 

878,827

 

Collateralized Mortgage Obligation Trust, Series 40,
Class R, 580.50%, 4/01/18

 

 

(j)

 

81

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

1,700

 

 

1,394,411

 

Series 2006-0A21, Class A1, 0.46%,
3/20/47 (b)

 

 

955

 

 

501,495

 

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

 

 

800

 

 

579,452

 

Countrywide Home Loan Mortgage Pass-Through
Trust:

 

 

 

 

 

 

 

Series 2006-0A5, Class 2A1, 0.46%,
4/25/46 (b)

 

 

387

 

 

218,908

 

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

 

 

864

 

 

695,901

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 







Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

Deutsche ALT-A Securities, Inc. Alternate Loan Trust,
Series 2006-0A1, Class A1, 0.46%, 2/25/47 (b)

 

USD

309

 

$

185,937

 

GSR Mortgage Loan Trust (b):

 

 

 

 

 

 

 

Series 2005-AR4, Class 6A1, 5.25%, 7/25/35

 

 

3,183

 

 

2,974,567

 

Series 2006-AR1, Class 2A1, 5.00%, 1/25/36

 

 

804

 

 

636,959

 

Harborview Mortgage Loan Trust, Series 2005-8,
Class 1A2A, 0.60%, 9/19/35 (b)

 

 

103

 

 

63,200

 

Homebanc Mortgage Trust, Series 2006-2,
Class A1, 0.44%, 12/25/36 (b)

 

 

798

 

 

568,564

 

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

 

 

1,100

 

 

885,120

 

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

 

 

755

 

 

638,681

 

Merrill Lynch Mortgage Investors, Inc., Series
2006-A3, Class 3A1, 5.64%, 5/25/36 (b)

 

 

805

 

 

547,267

 

Residential Funding Securities LLC, Series
2003-RM2, Class AI5, 8.50%, 5/25/33

 

 

3,460

 

 

3,607,044

 

Station Place Securitization Trust, Series 2009-1,
Class A, 1.76%, 1/25/40 (a)(b)

 

 

1,580

 

 

1,580,000

 

WaMu Mortgage Pass-Through Certificates, Series
2007-0A4, Class 1A, 1.18%, 5/25/47 (b)

 

 

436

 

 

274,613

 

Wells Fargo Mortgage-Backed Securities Trust:

 

 

 

 

 

 

 

Series 2006-3, Class A9, 5.50%, 3/25/36

 

 

590

 

 

573,615

 

Series 2006-AR4, Class 2A4, 5.69%,
4/25/36 (b)

 

 

300

 

 

265,480

 

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

 

 

523

 

 

445,587

 

 

 

 

 

 



 

 

 

 

 

 

 

17,515,709

 









Commercial Mortgage-Backed Securities — 12.8%

 

 

 

 

 

 

 

CS First Boston Mortgage Securities Corp.,
Series 2002-CP5, Class A2, 4.94%, 12/15/35

 

 

2,970

 

 

3,149,190

 

Citigroup Commercial Mortgage Trust, Series
2008-C7, Class A4, 6.29%, 12/10/49 (b)

 

 

2,020

 

 

2,155,403

 

Commercial Mortgage Loan Trust, Series 2008-LS1,
Class A4B, 6.02%, 12/10/49 (b)

 

 

1,515

 

 

1,569,447

 

Commercial Mortgage Pass-Through Certificates,
Series 2004-LB3A, Class A3, 5.09%, 7/10/37 (b)

 

 

990

 

 

1,011,361

 

DLJ Commercial Mortgage Corp., Series 2000-CKP1,
Class A1B, 7.18%, 11/10/33

 

 

3

 

 

2,790

 

First Union-Lehman Brothers-Bank of America,
Series 1998-C2, Class D, 6.78%, 11/18/35

 

 

2,630

 

 

2,789,945

 

GE Capital Commercial Mortgage Corp., Series
2002-1A, Class A3, 6.27%, 12/10/35

 

 

2,310

 

 

2,441,978

 

GMAC Commercial Mortgage Securities, Inc.:

 

 

 

 

 

 

 

Series 2002-C3, Class A2, 4.93%, 7/10/39

 

 

2,580

 

 

2,732,885

 

Series 2004-C3, Class A4, 4.55%, 12/10/41

 

 

2,475

 

 

2,523,990

 

JPMorgan Chase Commercial Mortgage
Securities Corp.:

 

 

 

 

 

 

 

Series 2001-C1, Class A3, 5.86%, 10/12/35

 

 

1,966

 

 

2,037,976

 

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

 

 

2,380

 

 

2,429,775

 

LB-UBS Commercial Mortgage Trust, Series 2004-C4,
Class A3, 5.29%, 6/15/29 (b)

 

 

2,530

 

 

2,660,267

 

Merrill Lynch Mortgage Trust, Series 2004BPC1,
Class A3, 4.47%, 10/12/41 (b)

 

 

4,280

 

 

4,365,337

 

Morgan Stanley Capital I, Series 2005-T17,
Class A4, 4.52%, 12/13/41

 

 

2,663

 

 

2,731,714

 

Wachovia Bank Commercial Mortgage Trust:

 

 

 

 

 

 

 

Series 2005-C21, Class A3, 5.38%, 10/15/44 (b)

 

 

644

 

 

645,136

 

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

 

 

14,000

 

 

14,389,848

 

Series 2007-C33, Class A4, 6.10%, 2/15/51 (b)

 

 

1,105

 

 

1,122,181

 

 

 

 

 

 



 

 

 

 

 

 

 

48,759,223

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

57




 

 



 

 

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

 







Interest Only Collateralized Mortgage
Obligations — 0.0%

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust, Series 42,
Class R, 6,000.00%, 10/01/14

 

USD

(j)

$

399

 

GSMPS Mortgage Loan Trust, Series 1998-5,
Class IO, 0.63%, 6/19/27 (a)(b)

 

 

2,776

 

 

55,527

 

Salomon Brothers Mortgage Securities VII, Inc.,
Series 2000-1, Class IO, 0.42%, 3/25/22 (b)

 

 

591

 

 

1

 

 

 

 

 

 



 

 

 

 

 

 

 

55,927

 









Interest Only Commercial Mortgage-Backed
Securities — 0.0%

 

 

 

 

 

 

 

Morgan Stanley Capital I, Series 1997-HF1, Class X,
2.23%, 7/15/29 (a)(b)

 

 

10

 

 

 









Total Non-Agency Mortgage-Backed Securities — 17.4%

 

 

 

 

 

66,330,859

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Other Interests (k)

 

Beneficial
Interest
(000)

 

 

 

 








Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

 

2

 

 

381

 









Total Other Interests — 0.0%

 

 

 

 

 

381

 









 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000)

 

 

 

 








Insurance — 1.0%

 

 

 

 

 

 

 

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

 

 

2,150

 

 

1,956,500

 

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

 

 

750

 

 

630,000

 

The Travelers Cos., Inc., 6.25%, 3/15/67 (b)

 

 

750

 

 

719,405

 

ZFS Finance (USA) Trust V, 6.50%, 5/09/67 (a)(b)

 

 

575

 

 

520,375

 









Total Capital Trusts — 1.0%

 

 

 

 

 

3,826,280

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 








Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.,
0.00% (a)(b)(c)

 

 

12,873

 

 

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Lazydays RV Center, Inc., 0.00% (c)

 

 

55

 

 

65,455

 









Thrifts & Mortgage Finance — 0.0%

 

 

 

 

 

 

 

Fannie Mae, Series O, 0.00% (c)

 

 

40,000

 

 

16,400

 

Freddie Mac, Series Z, 8.38% (c)

 

 

94,539

 

 

31,198

 

 

 

 

 

 



 

 

 

 

 

 

 

47,598

 









Total Preferred Stocks — 0.0%

 

 

 

 

 

113,053

 









Total Preferred Securities — 1.0%

 

 

 

 

 

3,939,333

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

 

 







The Board of Trustees of The Leland Stanford Junior
University, 4.25%, 5/01/16

 

USD

470

 

 

530,621

 

City of Chicago Illinois, RB, Build America Bonds,
6.40%, 1/01/40

 

 

250

 

 

276,510

 

Dallas Area Rapid Transit, RB, Build America Bonds,
6.00%, 12/01/44

 

 

260

 

 

312,629

 

 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

Value

 







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

 

USD

950

 

$

1,105,619

 

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

 

 

1,260

 

 

1,455,161

 

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

 

 

670

 

 

860,649

 

New York City Municipal Water Finance Authority,
RB, Build America Bonds, 5.72%, 6/15/42

 

 

690

 

 

771,441

 

New York State Dormitory Authority, RB,
Build America Bonds:

 

 

 

 

 

 

 

5.63%, 3/15/39

 

 

550

 

 

590,123

 

5.60%, 3/15/40

 

 

950

 

 

1,035,918

 

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

 

 

395

 

 

450,138

 

Princeton University, 5.70%, 3/01/39

 

 

575

 

 

697,866

 

State of California, GO:

 

 

 

 

 

 

 

Build America Bonds, 7.30%, 10/01/39

 

 

1,100

 

 

1,212,684

 

Build America Bonds, 7.35%, 11/01/39

 

 

540

 

 

622,409

 

Build America Bonds, Various Purpose,
7.50%, 4/01/34

 

 

360

 

 

408,798

 

Various Purpose, Series 3, 5.45%, 4/01/15

 

 

2,475

 

 

2,648,448

 

State of Illinois, GO, Pension, 5.10%, 6/01/33

 

 

960

 

 

818,438

 









Total Taxable Municipal Bonds — 3.6%

 

 

 

 

 

13,797,452

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

 

 

 

 

 

 









Agency Obligations — 7.6%

 

 

 

 

 

 

 

Fannie Mae:

 

 

 

 

 

 

 

6.45%, 10/09/19 (f)(l)

 

 

6,125

 

 

4,037,784

 

7.13%, 1/15/30 (f)

 

 

4,000

 

 

5,810,888

 

5.63%, 7/15/37 (d)

 

 

825

 

 

1,042,898

 

Federal Home Loan Banks:

 

 

 

 

 

 

 

5.38%, 9/30/22 (f)

 

 

5,600

 

 

6,758,690

 

5.25%, 12/09/22 (m)

 

 

700

 

 

835,298

 

5.37%, 9/09/24 (m)

 

 

1,100

 

 

1,329,565

 

Federal Housing Administration, Merrill Projects:

 

 

 

 

 

 

 

Series 29, 7.43%, 10/01/20

 

 

43

 

 

42,852

 

Series 42, 7.43%, 9/25/22

 

 

42

 

 

41,968

 

Federal Housing Administration, Westmore Project,
7.25%, 4/01/21

 

 

1,428

 

 

1,414,135

 

Freddie Mac:

 

 

 

 

 

 

 

1.75%, 6/15/12 (f)

 

 

1,200

 

 

1,224,450

 

5.50%, 7/18/16

 

 

210

 

 

252,044

 

5.00%, 2/16/17

 

 

420

 

 

493,369

 

Resolution Funding Corp.,8.55%, 4/15/30 (l)

 

 

6,055

 

 

2,830,791

 

Tennessee Valley Authority, 5.25%, 9/15/39

 

 

2,405

 

 

2,852,183

 

 

 

 

 

 



 

 

 

 

 

 

 

28,966,915

 









Collateralized Mortgage Obligations — 0.4%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1991-46, Class S, 2,454.59%, 5/25/21 (b)

 

 

(j)

 

3,263

 

Series 1991-87, Class S, 25.94%, 8/25/21 (b)

 

 

32

 

 

51,057

 

Series 2005-5, Class PK, 5.00%, 12/25/34

 

 

1,341

 

 

1,466,120

 

Series G-7, Class S, 1,112.85%, 3/25/21 (b)

 

 

(j)

 

2,209

 

Series G-17, Class S, 1,051.96%, 6/25/21 (b)

 

 

(j)

 

3,223

 

Series G-49, Class S, 1,005.55%, 12/25/21 (b)

 

 

(j)

 

1,242

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 19, Class R, 16,113.87%, 3/15/20 (b)

 

 

(j)

 

815

 

Series 75, Class R, 9.50%, 1/15/21

 

 

(j)

 

1

 

Series 75, Class RS, 21.65%, 1/15/21 (b)

 

 

(j)

 

1

 

Series 173, Class R, 9.00%, 11/15/21

 

 

(j)

 

8

 

Series 173, Class RS, 9.18%, 11/15/21 (b)

 

 

(j)

 

8

 

Series 1057, Class J, 1,008.00%, 3/15/21

 

 

(j)

 

1,215

 

 

 

 

 

 



 

 

 

 

 

 

 

1,529,162

 










 

 

 

 

See Notes to Financial Statements.


58

ANNUAL REPORT

AUGUST 31, 2010

 




 

 



 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

Par
(000)

 

Value

 







Federal Deposit Insurance Corporation
Guaranteed — 1.8%

 

 

 

 

 

 

 

Citigroup Funding, Inc. (f):

 

 

 

 

 

 

 

2.13%, 7/12/12

 

USD

1,460

 

$

1,500,652

 

1.88%, 10/22/12

 

 

2,900

 

 

2,970,952

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

2.00%, 9/28/12

 

 

1,850

 

 

1,900,300

 

2.13%, 12/21/12

 

 

525

 

 

541,324

 

 

 

 

 

 



 

 

 

 

 

 

 

6,913,228

 









Interest Only Collateralized Mortgage
Obligations — 0.2%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 7, Class 2, 8.50%, 4/01/17

 

 

3

 

 

477

 

Series 89, Class 2, 8.00%, 10/01/18

 

 

5

 

 

744

 

Series 94, Class 2, 9.50%, 8/01/21

 

 

2

 

 

354

 

Series 1990-123, Class M, 1,009.50%,
10/25/20

 

 

(j)

 

355

 

Series 1990-136, Class S, 19.80%, 11/25/20 (b)

 

 

8

 

 

12,227

 

Series 1991-38, Class N, 1,008.50%, 4/25/21

 

 

(j)

 

9

 

Series 1991-99, Class L, 930.00%, 8/25/21

 

 

(j)

 

1,444

 

Series 1991-139, Class PT, 648.35%, 10/25/21

 

 

(j)

 

2,125

 

Series 1997-50, Class SI, 1.20%, 4/25/23 (b)

 

 

209

 

 

7,400

 

Series G-10, Class S, 1,076.50%, 5/25/21 (b)

 

 

(j)

 

7,830

 

Series G-12, Class S, 1,142.80%, 5/25/21 (b)

 

 

(j)

 

4,905

 

Series G-33, Class PV, 1,078.40%, 10/25/21

 

 

(j)

 

4,285

 

Series G92-5, Class H, 9.00%, 1/25/22

 

 

44

 

 

7,985

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 176, Class M, 1,010.00%, 7/15/21

 

 

(j)

 

362

 

Series 192, Class U, 1,009.03%, 2/15/22 (b)

 

 

(j)

 

322

 

Series 200, Class R, 194,822.03%, 12/15/22 (b)

 

 

(j)

 

7

 

Series 1043, Class H, 43.59%, 2/15/21 (b)

 

 

4

 

 

9,715

 

Series 1054, Class I, 854.20%, 3/15/21 (b)

 

 

(j)

 

723

 

Series 1056, Class KD, 1,084.50%, 3/15/21

 

 

(j)

 

1,001

 

Series 1148, Class E, 1,160.00%, 10/15/21 (b)

 

 

(j)

 

2,692

 

Series 1254, Class Z, 8.50%, 4/15/22

 

 

91

 

 

22,624

 

Series 1831, Class PG, 6.50%, 3/15/11

 

 

9

 

 

95

 

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

 

 

3,074

 

 

366,192

 

 

 

 

 

 



 

 

 

 

 

 

 

453,873

 









Mortgage-Backed Securities — 24.7%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities (n):

 

 

 

 

 

 

 

4.00%, 4/01/25 – 9/15/40 (f)

 

 

9,004

 

 

9,445,469

 

4.50%, 9/15/40

 

 

8,500

 

 

8,925,000

 

5.00%, 2/01/39 – 9/15/40 (f)

 

 

23,390

 

 

24,857,372

 

5.50%, 12/01/13 – 9/15/40 (f)

 

 

11,344

 

 

12,132,706

 

6.00%, 3/01/16 – 9/15/40 (f)

 

 

13,136

 

 

14,211,489

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.00%, 3/01/25 – 6/01/25 (f)

 

 

16,453

 

 

17,329,762

 

4.50%, 4/01/40 – 9/15/40 (f)(n)

 

 

6,088

 

 

6,397,463

 

5.50%, 6/01/40

 

 

1,008

 

 

1,076,749

 

8.00%, 4/15/24 – 6/15/25

 

 

68

 

 

78,935

 

 

 

 

 

 



 

 

 

 

 

 

 

94,454,945

 









Principal Only Collateralized Mortgage
Obligations — 0.0%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 203, Class 1, 2/01/23

 

 

12

 

 

10,255

 

Series 228, Class 1, 6/01/23

 

 

8

 

 

6,954

 

Series 1993-51, Class E, 2/25/23

 

 

39

 

 

34,414

 

Series 1993-70, Class A, 5/25/23

 

 

6

 

 

5,440

 

Freddie Mac Mortgage-Backed Securities, Series
1739, Class B, 2/15/24

 

 

32

 

 

30,812

 

 

 

 

 

 



 

 

 

 

 

 

 

87,875

 









Total U.S. Government Sponsored Agency Securities — 34.7%

 

 

 

 

 

132,405,998

 









 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

Par
(000)

 

Value

 







U.S. Treasury Bonds:

 

 

 

 

 

 

 

8.13%, 8/15/21

 

USD

1,550

 

$

2,361,086

 

8.00%, 11/15/21 (f)

 

 

12,255

 

 

18,583,556

 

U.S. Treasury Notes:

 

 

 

 

 

 

 

1.75%, 7/31/15 (f)

 

 

8,175

 

 

8,346,184

 

1.25%, 8/31/15

 

 

12,180

 

 

12,124,809

 

2.63%, 8/15/20 (f)

 

 

42,707

 

 

43,254,186

 

4.25%, 5/15/39 (f)

 

 

2,770

 

 

3,128,802

 

4.50%, 8/15/39 (d)

 

 

2,520

 

 

2,963,364

 

4.63%, 2/15/40 (f)

 

 

2,745

 

 

3,293,144

 

4.38%, 5/15/40

 

 

4,685

 

 

5,406,051

 

3.88%, 8/15/40

 

 

1,700

 

 

1,807,047

 









Total U.S. Treasury Obligations — 26.6%

 

 

 

 

 

101,268,229

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Warrants (o)

 

Shares

 

 

 

 








Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(Expires 3/26/19) (a)

 

 

14,710

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









Total Long-Term Investments
(Cost — $540,226,878) — 148.4%

 

 

 

 

 

565,910,257

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Short-Term Securities

 

Par
(000)

 

 

 

 








Borrowed Bond Agreement — 0.1%

 

 

 

 

 

 

 

JPMorgan Securities Inc., 0.13%, 9/02/10

 

USD

295

 

$

294,606

 









Total Short-Term Securities
(Cost — $294,606) — 0.1%

 

 

 

 

 

294,606

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 








Exchange-Traded Call Options — 0.0%

 

 

 

 

 

 

 

Five-Year U.S. Treasury Note Future, Strike Price
USD 121.00, Expires 11/26/10

 

 

21

 

 

12,469

 









Exchange-Traded Put Options — 0.0%

 

 

 

 

 

 

 

Five-Year U.S. Treasury Note Future, Strike Price
USD 117.00, Expires 11/26/10

 

 

21

 

 

3,445

 









 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 








Over-the-Counter Call Swaptions — 1.7%

 

 

 

 

 

 

 

Receive a fixed rate of 4.22% and pay a floating rate
based on 3-month LIBOR, Expires 4/29/11,
Broker Credit Suisse International

 

USD

4,500

 

 

614,002

 

Receive a fixed rate of 3.65% and pay a floating rate
based on 3-month LIBOR, Expires 5/05/11,
Broker Credit Suisse International

 

 

5,600

 

 

507,035

 

Receive a fixed rate of 4.01% and pay a floating rate
based on 3-month LIBOR, Expires 5/16/11,
Broker Goldman Sachs Bank USA

 

 

6,000

 

 

709,542

 

Receive a fixed rate of 3.86% and pay a floating rate
based on 3-month LIBOR, Expires 5/19/11,
Broker JPMorgan Chase Bank NA

 

 

10,700

 

 

1,133,055

 

Receive a fixed rate of 4.39% and pay a floating rate
based on 3-month LIBOR, Expires 5/08/12,
Broker Citibank NA

 

 

2,300

 

 

295,992

 

Receive a fixed rate of 3.89% and pay a floating rate
based on 3-month LIBOR, Expires 7/09/12,
Broker Goldman Sachs Bank USA

 

 

4,200

 

 

382,460

 


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

59




 

 


 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Purchased

 

Notional
Amount
(000)

 

Value

 







Over-the-Counter Call Swaptions (concluded)

 

 

 

 

 

 

 

Receive a fixed rate of 3.93% and pay a floating rate
based on 3-month LIBOR, Expires 7/16/12,
Broker Goldman Sachs Bank USA

 

USD

4,700

 

$

439,135

 

Receive a fixed rate of 3.70% and pay a floating rate
based on 3-month LIBOR, Expires 8/03/12,
Broker Credit Suisse International

 

 

4,700

 

 

370,111

 

Receive a fixed rate of 3.72% and pay a floating rate
based on 3-month LIBOR, Expires 8/06/12,
Broker Deutsche Bank AG

 

 

5,000

 

 

397,700

 

Receive a fixed rate of 4.21% and pay a floating rate
based on 3-month LIBOR, Expires 4/22/13,
Broker JPMorgan Chase Bank NA

 

 

5,300

 

 

210,739

 

Receive a fixed rate of 5.20% and pay a floating rate
based on 3-month LIBOR, Expires 4/28/15,
Broker Citibank NA

 

 

9,300

 

 

1,371,610

 

 

 

 

 

 



 

 

 

 

 

 

 

6,431,381

 









Over-the-Counter Put Swaptions — 0.2%

 

 

 

 

 

 

 

Pay a fixed rate of 2.02% and receive a floating rate
based on 3-month LIBOR, Expires 11/10/10,
Broker Bank of America NA

 

 

5,700

 

 

17,972

 

Pay a fixed rate of 4.22% and receive a floating rate
based on 3-month LIBOR, Expires 4/29/11,
Broker Credit Suisse International

 

 

4,500

 

 

13,648

 

Pay a fixed rate of 4.02% and receive a floating rate
based on 3-month LIBOR, Expires 5/05/11,
Broker Credit Suisse International

 

 

9,100

 

 

39,694

 

Pay a fixed rate of 4.01% and receive a floating rate
based on 3-month LIBOR, Expires 5/16/11,
Broker Goldman Sachs Bank USA

 

 

6,000

 

 

28,938

 

Pay a fixed rate of 3.86% and receive a floating rate
based on 3-month LIBOR, Expires 5/19/11,
Broker JPMorgan Chase Bank NA

 

 

10,700

 

 

66,843

 

Pay a fixed rate of 4.39% and receive a floating rate
based on 3-month LIBOR, Expires 5/08/12,
Broker Citibank NA

 

 

2,300

 

 

30,059

 

Pay a fixed rate of 3.89% and receive a floating rate
based on 3-month LIBOR, Expires 7/09/12,
Broker Goldman Sachs Bank USA

 

 

4,200

 

 

99,229

 

Pay a fixed rate of 3.93% and receive a floating rate
based on 3-month LIBOR, Expires 7/16/12,
Broker Goldman Sachs Bank USA

 

 

4,700

 

 

108,490

 

Pay a fixed rate of 3.70% and receive a floating rate
based on 3-month LIBOR, Expires 8/03/12,
Broker Credit Suisse International

 

 

4,700

 

 

136,070

 

Pay a fixed rate of 3.72% and receive a floating rate
based on 3-month LIBOR, Expires 8/06/12,
Broker Deutsche Bank AG

 

 

5,000

 

 

143,730

 

Pay a fixed rate of 4.21% and receive a floating rate
based on 3-month LIBOR, Expires 4/22/13,
Broker JPMorgan Chase Bank NA

 

 

5,300

 

 

19,059

 

Pay a fixed rate of 5.20% and receive a floating rate
based on 3-month LIBOR, Expires 4/28/15,
Broker Citibank NA

 

 

9,300

 

 

248,301

 

 

 

 

 

 



 

 

 

 

 

 

 

952,033

 









Total Options Purchased
(Cost — $5,760,853) — 1.9%

 

 

 

 

 

7,399,328

 









Total Investments Before Borrowed Bonds,
TBA Sale Commitments and Options Written
(Cost — $546,282,337*) — 150.4%

 

 

 

 

 

573,604,191

 










 

 

 

 

 

 

 

 

Borrowed Bonds

 

Par
(000)

 

 

Value

 








U.S. Treasury Notes, 2.63%, 8/15/20

 

USD

290

 

$

(293,716

)









Total Borrowed Bonds
(Proceeds — $293,743) — (0.1)%

 

 

 

 

 

(293,716

)










 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

TBA Sale Commitments (n)

 

 

 

 

 

 

 









Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.00%, 4/01/25 – 9/15/40

 

 

5,900

 

 

(6,196,841

)

4.50%, 9/15/40

 

 

8,500

 

 

(8,925,000

)

5.00%, 2/01/39 – 9/15/40

 

 

17,900

 

 

(19,007,563

)

5.50%, 12/01/13 – 9/15/40

 

 

800

 

 

(857,297

)

6.00%, 3/01/16 – 9/15/40

 

 

7,640

 

 

(8,224,933

)

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.00%, 3/01/25 – 6/01/25

 

 

16,400

 

 

(17,214,883

)

4.50%, 4/01/40 – 9/15/40

 

 

6,000

 

 

(6,292,500

)









Total TBA Sale Commitments
(Proceeds — $66,590,987) — (17.5)%

 

 

 

 

 

(66,719,017

)










 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000
)

 

 

 

 









Over-the-Counter Call Swaptions — (2.7)%

 

 

 

 

 

 

 

Pay a fixed rate of 4.92% and receive a floating rate
based on 3-month LIBOR, Expires 11/04/10,
Broker Barclays Bank Plc

 

 

15,000

 

 

(3,202,425

)

Pay a fixed rate of 4.06% and receive a floating rate
based on 3-month LIBOR, Expires 5/12/11,
Broker Royal Bank of Scotland Plc

 

 

6,800

 

 

(836,652

)

Pay a fixed rate of 4.06% and receive a floating rate
based on 3-month LIBOR, Expires 5/13/11,
Broker BNP Paribas SA

 

 

3,500

 

 

(429,674

)

Pay a fixed rate of 3.86% and receive a floating rate
based on 3-month LIBOR, Expires 6/02/11,
Broker UBS AG

 

 

5,000

 

 

(528,005

)

Pay a fixed rate of 4.14% and receive a floating rate
based on 3-month LIBOR, Expires 6/15/12,
Broker Deutsche Bank AG

 

 

3,500

 

 

(381,640

)

Pay a fixed rate of 4.05% and receive a floating rate
based on 3-month LIBOR, Expires 6/18/12,
Broker Deutsche Bank AG

 

 

3,500

 

 

(359,842

)

Pay a fixed rate of 3.83% and receive a floating rate
based on 3-month LIBOR, Expires 7/30/12,
Broker Citibank NA

 

 

1,700

 

 

(147,660

)

Pay a fixed rate of 4.90% and receive a floating rate
based on 3-month LIBOR, Expires 3/04/13,
Broker Deutsche Bank AG

 

 

4,800

 

 

(728,155

)


 

 

 

 

See Notes to Financial Statements.





60

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

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 Call Swaptions (concluded)

 

 

 

 

 

 

 

Pay a fixed rate of 4.92% and receive a floating rate
based on 3-month LIBOR, Expires 3/05/13,
Broker Deutsche Bank AG

 

USD

3,300

 

$

(506,464

)

Pay a fixed rate of 5.00% and receive a floating rate
based on 3-month LIBOR, Expires 4/22/13,
Broker JPMorgan Chase Bank NA

 

 

6,000

 

 

(942,624

)

Pay a fixed rate of 4.32% and receive a floating rate
based on 3-month LIBOR, Expires 5/28/13,
Broker Royal Bank of Scotland Plc

 

 

500

 

 

(54,225

)

Pay a fixed rate of 4.07% and receive a floating rate
based on 3-month LIBOR, Expires 7/08/13,
Broker Deutsche Bank AG

 

 

1,700

 

 

(156,432

)

Pay a fixed rate of 4.06% and receive a floating rate
based on 3-month LIBOR, Expires 7/15/13,
Broker Credit Suisse International

 

 

2,600

 

 

(237,206

)

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

 

 

9,200

 

 

(1,021,044

)

Pay a fixed rate of 4.84% and receive a floating rate
based on 3-month LIBOR, Expires 12/02/14,
Broker JPMorgan Chase Bank NA

 

 

2,600

 

 

(331,672

)

Pay a fixed rate of 4.21% and receive a floating rate
based on 3-month LIBOR, Expires 8/06/15,
Broker Goldman Sachs Bank USA

 

 

3,800

 

 

(202,103

)

Pay a fixed rate of 3.97% and receive a floating rate
based on 3-month LIBOR, Expires 8/11/15,
Broker Bank of America NA

 

 

2,800

 

 

(129,575

)

Pay a fixed rate of 4.76% and receive a floating rate
based on 3-month LIBOR, Expires 5/30/17,
Broker JPMorgan Chase Bank NA

 

 

3,100

 

 

(351,543

)

 

 

 

 

 



 

 

 

 

 

 

 

(10,546,941

)









Over-the-Counter Put Swaptions — (0.4)%

 

 

 

 

 

 

 

Receive a fixed rate of 2.32% and pay a floating rate
based on 3-month LIBOR, Expires 11/10/10,
Broker Bank of America NA

 

 

5,700

 

 

(7,393

)

Receive a fixed rate of 4.92% and pay a floating rate
based on 3-month LIBOR, Expires 11/04/10,
Broker Barclays Bank Plc

 

 

15,000

 

 

(285

)

Receive a fixed rate of 2.10% and pay a floating rate
based on 3-month LIBOR, Expires 12/02/10,
Broker Citibank NA

 

 

14,900

 

 

(1,058

)

Receive a fixed rate of 4.06% and pay a floating rate
based on 3-month LIBOR, Expires 5/12/11,
Broker Royal Bank of Scotland Plc

 

 

6,800

 

 

(29,254

)

Receive a fixed rate of 4.06% and pay a floating rate
based on 3-month LIBOR, Expires 5/13/11,
Broker BNP Paribas SA

 

 

3,500

 

 

(15,221

)

Receive a fixed rate of 3.86% and pay a floating rate
based on 3-month LIBOR, Expires 6/02/11,
Broker UBS AG

 

 

5,000

 

 

(33,845

)

Receive a fixed rate of 4.14% and pay a floating rate
based on 3-month LIBOR, Expires 6/15/12,
Broker Deutsche Bank AG

 

 

3,500

 

 

(62,940

)

Receive a fixed rate of 4.05% and pay a floating rate
based on 3-month LIBOR, Expires 6/18/12,
Broker Deutsche Bank AG

 

 

3,500

 

 

(68,547

)


 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

 

Value

 









Over-the-Counter Put Swaptions (concluded)

 

 

 

 

 

 

 

Receive a fixed rate of 3.83% and pay a floating rate
based on 3-month LIBOR, Expires 7/30/12,
Broker Citibank NA

 

USD

1,700

 

$

(43,680

)

Receive a fixed rate of 4.00% and pay a floating rate
based on 3-month LIBOR, Expires 8/13/12,
Broker Morgan Stanley Capital Services, Inc.

 

 

8,100

 

 

(183,668

)

Receive a fixed rate of 4.90% and pay a floating rate
based on 3-month LIBOR, Expires 3/04/13,
Broker Deutsche Bank AG

 

 

4,800

 

 

(74,894

)

Receive a fixed rate of 4.92% and pay a floating rate
based on 3-month LIBOR, Expires 3/05/13,
Broker Deutsche Bank AG

 

 

3,300

 

 

(50,642

)

Receive a fixed rate of 5.00% and pay a floating rate
based on 3-month LIBOR, Expires 4/22/13,
Broker JPMorgan Chase Bank NA

 

 

6,000

 

 

(93,432

)

Receive a fixed rate of 4.32% and pay a floating rate
based on 3-month LIBOR, Expires 5/28/13,
Broker Royal Bank of Scotland Plc

 

 

500

 

 

(13,273

)

Receive a fixed rate of 4.07% and pay a floating rate
based on 3-month LIBOR, Expires 7/08/13,
Broker Deutsche Bank AG

 

 

1,700

 

 

(56,020

)

Pay a fixed rate of 4.06% and receive a floating rate
based on 3-month LIBOR, Expires 7/15/13,
Broker Credit Suisse International

 

 

2,600

 

 

(86,830

)

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

 

 

9,200

 

 

(57,868

)

Receive a fixed rate of 4.84% and pay a floating rate
based on 3-month LIBOR, Expires 12/02/14,
Broker JPMorgan Chase Bank NA

 

 

2,600

 

 

(78,049

)

Receive a fixed rate of 4.47% and pay a floating rate
based on 3-month LIBOR, Expires 8/05/15,
Broker JPMorgan Chase Bank NA

 

 

7,900

 

 

(170,830

)

Receive a fixed rate of 4.21% and pay a floating rate
based on 3-month LIBOR, Expires 8/06/15,
Broker Goldman Sachs Bank USA

 

 

3,800

 

 

(93,700

)

Receive a fixed rate of 3.97% and pay a floating rate
based on 3-month LIBOR, Expires 8/11/15,
Broker Bank of America NA

 

 

2,800

 

 

(78,221

)

Receive a fixed rate of 4.76% and pay a floating rate
based on 3-month LIBOR, Expires 5/30/17,
Broker JPMorgan Chase Bank NA

 

 

3,100

 

 

(132,829

)

 

 

 

 

 



 

 

 

 

 

 

 

(1,432,479

)









Total Options Written
(Premiums Received — $8,239,160) — (3.1)%

 

 

 

 

 

(11,979,420

)









Total Investments, Net of Borrowed Bonds, TBA Sale
Commitments and Options Written — 129.7%

 

 

 

 

 

494,612,038

 

Liabilities in Excess of Other Assets — (29.7)%

 

 

 

 

 

(113,232,562

)

 

 

 

 

 



 

Net Assets — 100.0%

 

 

 

 

$

381,379,476

 

 

 

 

 

 



 


 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

AUGUST 31, 2010

61




 

 


 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

546,874,632

 

 

 



 

Gross unrealized appreciation

 

$

37,100,850

 

Gross unrealized depreciation

 

 

(10,371,291

)

 

 



 

Net unrealized appreciation

 

$

26,729,559

 

 

 



 


 

 

(a)

Security exempt from registration under Rule 144A of 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 swaps.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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 reflects the current yield as of report date.

 

 

(h)

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

 

 

(i)

All or a portion of security has been pledged as collateral in connection with Term Asset-Backed Securities Loan Facility (“TALF”) Program.

 

 

(j)

Amount is less than $1,000.

 

 

(k)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(l)

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

 

 

(m)

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

 

 

(n)

Represents or includes a to-be-announced (“TBA”) transaction. Unsettled TBA transactions as of report date were as follows:


 

 

 

 

 

 

 

 







Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 







Credit Suisse Securities LLC

 

$

(4,516,342

)

$

(10,748

)

Deutsche Bank Securities, Inc.

 

$

(5,194,201

)

$

(52,467

)

Goldman Sachs & Co.

 

$

7,980,173

 

$

27,870

 

Greenwich Financial Services

 

$

(3,983,279

)

$

12,775

 

Morgan Stanley Capital Services, Inc.

 

 

 

$

2,531

 

Nomura Securities International, Inc.

 

$

10,990,732

 

$

22,419

 

UBS Securities

 

$

(7,867,126

)

$

(44,805

)

Wells Fargo Bank, NA

 

$

(17,215,882

)

$

(43,319

)










 

 

(o)

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 year, 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,
2009

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

 











BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

 

30,000,661

 

 

(30,000,661

)

 

 

 

$4,942

 
















 

 

Foreign currency exchange contracts as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 











GBP

2,175,000

 

USD

3,475,346

 

 

Royal Bank
of Scotland

 

 

9/07/10

 

$

(139,814

)

GBP

1,515,000

 

USD

2,422,152

 

 

UBS Securities

 

 

9/07/10

 

 

(98,782

)

USD

5,878,908

 

GBP

3,690,000

 

 

Goldman Sachs
Bank USA

 

 

9/07/10

 

 

220,007

 

USD

1,776,552

 

EUR

1,405,500

 

 

Citibank NA

 

 

9/15/10

 

 

(4,530

)

EUR

3,205,000

 

USD

4,092,112

 

 

Goldman Sachs
Bank USA

 

 

10/14/10

 

 

(30,801

)

USD

814,398

 

GBP

533,500

 

 

Citibank NA

 

 

10/20/10

 

 

(3,519

)
















Total

 

 

 

 

 

 

 

 

 

 

 

$

(57,439

)

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 

Reverse repurchase agreements outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net Closing
Amount

 

Face
Amount

 













RBS Securities, Inc.

 

 

0.40

%

 

1/13/10

 

 

Open

 

$

2,914,883

 

$

2,908,350

 

Barclays Capital, Inc.

 

 

0.27

%

 

3/04/10

 

 

Open

 

 

2,115,957

 

 

2,114,044

 

Barclays Capital, Inc.

 

 

0.29

%

 

3/04/10

 

 

Open

 

 

15,616,448

 

 

15,602,329

 

Credit Suisse
Securities (USA) LLC

 

 

0.30

%

 

3/05/10

 

 

Open

 

 

4,318,122

 

 

4,313,809

 

Credit Suisse
Securities (USA) LLC

 

 

0.27

%

 

7/28/10

 

 

Open

 

 

5,882,732

 

 

5,881,531

 

Morgan Stanley &
Co., Inc.

 

 

0.23

%

 

8/02/10

 

 

9/02/10

 

 

14,194,951

 

 

14,192,230

 

Barclays Capital, Inc.

 

 

0.25

%

 

8/11/10

 

 

Open

 

 

1,867,818

 

 

1,867,600

 

Barclays Capital, Inc.

 

 

0.27

%

 

8/11/10

 

 

9/01/10

 

 

7,920,674

 

 

7,919,750

 

BNP Paribas
Securities Corp.

 

 

0.25

%

 

8/11/10

 

 

9/14/10

 

 

35,286,900

 

 

35,282,000

 

JPMorgan
Securities, Inc.

 

 

0.11

%

 

8/27/10

 

 

Open

 

 

3,995,031

 

 

3,995,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

JPMorgan
Securities, Inc.

 

 

0.21

%

 

8/30/10

 

 

Open

 

 

12,835,657

 

 

12,835,550

 


















Total

 

 

 

 

 

 

 

 

 

 

$

106,949,173

 

$

106,912,193

 

 

 

 

 

 

 

 

 

 

 

 








 

 

Financial futures contracts purchased as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation

 













59

 

 

2-Year U.S.
Treasury Bond

 

 

Chicago
Mercantile

 

 

September
2010

 

$

12,929,154

 

$

17,659

 

63

 

 

10-Year U.S.
Treasury Bond

 

 

Chicago
Mercantile

 

 

September
2010

 

$

7,953,749

 

 

15,751

 

72

 

 

EuroBund

 

 

Eurex

 

 

September
2010

 

$

12,122,084

 

 

143,582

 

340

 

 

30-Year U.S.
Treasury Bond

 

 

Chicago
Mercantile

 

 

December
2010

 

$

45,456,879

 

 

453,746

 

129

 

 

30-Year Ultra
U.S. Treasury Bond

 

 

Chicago
Mercantile

 

 

December
2010

 

$

18,628,256

 

 

24,338

 


















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

655,076

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 

 

 

See Notes to Financial Statements.





62

ANNUAL REPORT

AUGUST 31, 2010

 



 

 


 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

Financial futures contracts sold as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Depreciation

 















3

 

2-Year U.S.
Treasury Bond

 

Chicago
Mercantile

 

December
2010

 

$

657,229

 

$

(193

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

654

 

5-Year U.S.
Treasury Bond

 

Chicago
Mercantile

 

December
2010

 

$

78,471,718

 

 

(217,767

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

204

 

10-Year U.S.
Treasury Bond

 

Chicago
Mercantile

 

December
2010

 

$

25,524,501

 

 

(102,999

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

60

 

Euro Dollars

 

Chicago
Mercantile

 

December
2011

 

$

14,836,350

 

 

(40,650

)















Total

 

 

 

 

 

 

 

 

 

 

$

(361,609

)

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on traded indexes — buy protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 














Issuer

 

Received
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 














Dow Jones CDX
North America
Investment
Grade Index 14

 

1.00%

 

Citibank NA

 

June 2015

 

$

3,300

 

$

3,636

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones CDX
North America
Investment Grade
Volatility Index

 

1.00%

 

Citibank NA

 

June 2015

 

$

3,300

 

 

640

 















Total

 

 

 

 

 

 

 

 

 

 

$

4,276

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on traded indexes — sold protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















Issuer

 

Received
Rate

 

Counterparty

 

Expiration

 

Average
Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 

















Dow Jones
CDX North
America
High Yield

 

5.00%

 

Credit Suisse
International

 

June 2015

 

B

 

$

13,400

 

$

119,048

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dow Jones
CDX North
America
High Yield

 

5.00%

 

Credit Suisse
International

 

June 2015

 

B

 

$

1,500

 

 

4,343

 

















Total

 

 

 

 

 

 

 

 

 

 

 

 

$

123,391

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

1

Using S&P’s rating.

 

 

2

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

 

 

Credit default swaps on single-name issuers — buy protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 














Issuer

 

Received
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 














NOVA
Chemicals Corp.

 

5.00%

 

Citibank NA

 

March 2012

 

$

50

 

$

(956

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Macy’s, Inc.

 

7.50%

 

Morgan
Stanley Capital
Services, Inc.

 

June 2012

 

$

425

 

 

(46,299

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Macy’s, Inc.

 

8.00%

 

Morgan
Stanley Capital
Services, Inc.

 

June 2012

 

$

150

 

 

(17,683

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NOVA
Chemicals Corp.

 

5.00%

 

JPMorgan
Chase Bank NA

 

June 2012

 

$

65

 

 

(902

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NOVA
Chemicals Corp.

 

5.00%

 

Goldman Sachs
Bank USA

 

December
2013

 

$

275

 

 

(8,960

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Macy’s, Inc.

 

1.00%

 

Morgan Stanley
International

 

September
2014

 

$

155

 

 

(443

)















Total

 

 

 

 

 

 

 

 

 

$

(75,243

)

 

 

 

 

 

 

 

 

 

 





 

 

Interest rate swaps outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 















0.79% (a)

 

3-month LIBOR

 

Deutsche
Bank AG

 

July 2012

 

$

11,700

 

$

(31,458

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.81% (a)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

July 2012

 

$

11,600

 

 

(35,899

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.85% (a)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

July 2012

 

$

11,700

 

 

(43,794

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.65% (a)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

August 2012

 

$

1,900

 

 

179

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.68% (b)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

August 2012

 

$

8,700

 

 

4,435

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.76% (a)

 

3-month LIBOR

 

Credit Suisse
International

 

August 2012

 

$

7,800

 

 

(16,103

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3.66% (b)

 

3-month LIBOR

 

Citibank NA

 

April 2013

 

$

5,500

 

 

401,039

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1.72% (b)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

June 2013

 

$

9,200

 

 

210,174

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4.28% (b)

 

3-month LIBOR

 

Credit Suisse
International

 

July 2013

 

$

47,800

 

 

4,529,444

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1.94% (b)

 

3-month LIBOR

 

Royal Bank
of Scotland Plc

 

July 2015

 

$

2,700

 

 

51,070

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1.59% (a)

 

3-month LIBOR

 

Deutsche
Bank AG

 

August 2015

 

$

600

 

 

(785

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1.62% (a)

 

3-month LIBOR

 

Deutsche
Bank AG

 

August 2015

 

$

9,100

 

 

(27,004

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1.64% (a)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

August 2015

 

$

9,300

 

 

(38,334

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1.66% (a)

 

3-month LIBOR

 

Royal Bank
of Scotland Plc

 

August 2015

 

$

8,200

 

 

(39,811

)


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

63




 

 


 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

Interest rate swaps outstanding as of August 31, 2010 were as follows (concluded):


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 















1.67% (a)

 

3-month LIBOR

 

Bank of
America NA

 

August 2015

 

$

2,800

 

$

(15,446

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1.69% (a)

 

3-month LIBOR

 

Royal Bank
of Scotland Plc

 

August 2015

 

$

2,300

 

 

(14,669

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1.57% (b)

 

3-month LIBOR

 

JPMorgan
Chase Bank NA

 

September
2015

 

$

1,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2.13% (a)

 

3-month LIBOR

 

Barclays
Bank Plc

 

August 2017

 

$

2,100

 

 

(12,154

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3.34% (b)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

June 2020

 

$

6,000

 

 

467,049

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3.05% (b)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

July 2020

 

$

2,300

 

 

118,983

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3.05% (a)

 

3-month LIBOR

 

UBS AG

 

July 2020

 

$

2,100

 

 

(108,509

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2.50% (a)

 

3-month LIBOR

 

Deutsche
Bank AG

 

August 2020

 

$

11,800

 

 

(12,266

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2.56% (a)

 

3-month LIBOR

 

Citibank NA

 

August 2020

 

$

400

 

 

(2,679

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2.56% (b)

 

3-month LIBOR

 

Credit Suisse
International

 

August 2020

 

$

900

 

 

5,922

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2.57% (b)

 

3-month LIBOR

 

Deutsche
Bank AG

 

August 2020

 

$

1,200

 

 

9,690

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2.68% (b)

 

3-month LIBOR

 

Citibank NA

 

August 2020

 

$

1,500

 

 

26,728

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2.70% (a)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

August 2020

 

$

1,800

 

 

(35,708

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2.88% (b)

 

3-month LIBOR

 

Bank of
America NA

 

August 2020

 

$

800

 

 

28,790

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2.76% (a)

 

3-month LIBOR

 

Royal Bank
of Scotland Plc

 

August 2020

 

$

1,300

 

 

(32,633

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2.92% (a)

 

3-month LIBOR

 

Barclays
Bank Plc

 

August 2020

 

$

1,500

 

 

(59,243

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4.84% (a)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

January
2038

 

$

4,400

 

 

(1,418,003

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4.44% (a)

 

3-month LIBOR

 

JPMorgan
Chase Bank NA

 

April 2040

 

$

1,400

 

 

(358,199

)















Total

 

 

 

 

 

 

 

 

 

 

$

3,550,806

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

 

(a)

Pays fixed interest rate and receives floating rate.

 

 

 

 

(b)

Pays floating interest rate and receives fixed rate.

 

 

 

Total return swaps outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 











Interest
Receivable
Rate

 

Counterparty

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation

 











2.52%

 

Deutsche Bank AG

 

May 2020

 

$

4,300

 

$

207,062

(a)

 

 

 

 

 

 

 

 

 

 

 

 

2.62%

 

Morgan Stanley

 

May 2020

 

$

7,100

 

$

410,465

(a)

 

 

Capital Services, Inc.

 

 

 

 

 

 

 

 

 













Total

 

 

 

 

 

 

 

 

$

617,527

 

 

 

 

 

 

 

 

 

 





 

 

 

(a)

Based on the change in return of the Consumer Price Index for All Urban Consumers and pays at maturity.

 

 

 

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. This definition 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 derivatives, which are as follows:

 

 

 

 

Level 1 — 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 derivatives)

 

 

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments 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 August 31, 2010 in determining the fair valuation of the Trust’s investments and derivatives:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

19,239,623

 

$

5,145,849

 

$

24,385,472

 

Common Stocks

 

 

 

 

 

 

13,235

 

 

13,235

 

Corporate Bonds

 

 

 

 

214,736,931

 

 

1,100

 

 

214,738,031

 

Foreign Agency Obligations

 

 

 

 

9,031,267

 

 

 

 

9,031,267

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

63,998,951

 

 

2,331,908

 

 

66,330,859

 

Other Interests

 

 

 

 

 

 

381

 

 

381

 

Preferred Securities

 

$

47,598

 

 

3,826,280

 

 

65,455

 

 

3,939,333

 

Taxable Municipal Bonds

 

 

 

 

13,797,452

 

 

 

 

13,797,452

 

U.S. Government Sponsored Agency Securities

 

 

 

 

130,906,203

 

 

1,499,795

 

 

132,405,998

 

U.S. Treasury Obligations

 

 

 

 

101,268,229

 

 

 

 

101,268,229

 

Short-Term Securities

 

 

 

 

294,606

 

 

 

 

294,606

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

 

 

 

(293,716

)

 

 

 

(293,716

)

TBA Sale Commitments

 

 

 

 

(66,719,017

)

 

 

 

(66,719,017

)

TALF Loans

 

 

 

 

(11,763,225

)

 

 

 

(11,763,225

)

 

 













Total

 

$

47,598

 

$

478,323,584

 

$

9,057,723

 

$

487,428,905

 

 

 














 

 

 

 

See Notes to Financial Statements.

 





64

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

Schedule of Investments (concluded)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

 

 

 

 

 

 

 

 

 

 

 

 




 

 

Derivative Financial Instruments1











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

127,667

 

 

 

$

127,667

 

Foreign currency exchange contracts

 

 

 

 

220,007

 

 

 

 

220,007

 

Interest rate contracts

 

$

670,990

 

 

13,236,917

 

 

 

 

13,907,907

 

Other contracts

 

 

 

 

617,527

 

 

 

 

617,527

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(75,243

)

 

 

 

(75,243

)

Foreign currency exchange contracts

 

 

 

 

(277,446

)

 

 

 

(277,446

)

Interest rate contracts

 

 

(361,609

)

 

(14,282,117

)

 

 

 

(14,643,726

)

 

 













Total

 

$

309,381

 

$

(432,688

)

 

 

$

(123,307

)

 

 














 

 

 

 

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 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

 

U.S. Government
Sponsored Agency
Securities

 

Total

 



















Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2009

 

$

1,229,483

 

 

 

$

1,073,273

 

$

6,225,096

 

$

381

 

 

 

$

11,194,451

 

$

19,722,684

 

Accrued discounts/premiums

 

 

(234,456

)

 

 

 

6,872

 

 

(17,469

)

 

 

 

 

 

(453,019

)

 

(698,072

)

Net realized gain (loss)

 

 

 

 

 

 

(98,527

)

 

(105,079

)

 

 

 

 

 

1,432,224

 

 

1,228,618

 

Net change in unrealized appreciation/depreciation2

 

 

48,583

 

 

 

 

1,251,947

 

 

664,082

 

 

 

 

 

 

(987,862

)

 

976,750

 

Purchases

 

 

 

 

 

 

91,852

 

 

 

 

 

 

 

 

 

 

91,852

 

Sales

 

 

 

 

 

 

(1,627,547

)

 

(1,532,677

)

 

 

 

 

 

(9,685,999

)

 

(12,846,223

)

Transfers in3

 

 

4,102,239

 

$

13,235

 

 

 

 

1,579,999

 

 

 

$

65,455

 

 

 

 

5,760,928

 

Transfers out3

 

 

 

 

 

 

(696,770

)

 

(4,482,044

)

 

 

 

 

 

 

 

(5,178,814

)

 

 

























Balance, as of August 31, 2010

 

$

5,145,849

 

$

13,235

 

$

1,100

 

$

2,331,908

 

$

381

 

$

65,455

 

$

1,499,795

 

$

9,057,723

 

 

 


























 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The net change in unrealized appreciation/depreciation on securities still held at August 31, 2010 was $103,970.

 

 

 

 

3

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


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

65




 

 



 

 

Schedule of Investments August 31, 2010

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 







First Franklin Mortgage Loan Asset-Backed
Certificates, Series 2005-FF2, Class M2, 0.70%,
3/25/35 (a)

 

$

5,890

 

$

5,319,088

 

Freddie Mac Mortgage-Backed Securities, Series T-11,
Class A9, 2.36%, 1/25/28 (a)

 

 

2,776

 

 

2,833,723

 

GSAA Home Equity Trust, Series 2005-1, Class AF2,
4.32%, 11/25/34 (a)

 

 

1,244

 

 

1,198,353

 

Securitized Asset-Backed Receivables LLC Trust,
Series 2005-OP2, Class M1, 0.69%, 10/25/35 (a)

 

 

1,875

 

 

818,396

 

Small Business Administration Participation
Certificates, Class 1:

 

 

 

 

 

 

 

Series 1996-20E, 7.60%, 5/01/16

 

 

287

 

 

308,277

 

Series 1996-20G, 7.70%, 7/01/16

 

 

259

 

 

282,578

 

Series 1996-20H, 7.25%, 8/01/16

 

 

394

 

 

429,759

 

Series 1996-20K, 6.95%, 11/01/16

 

 

695

 

 

742,769

 

Series 1997-20C, 7.15%, 3/01/17

 

 

287

 

 

312,553

 

Small Business Administration, Series 1,
1.00%, 4/01/15

 

 

2,294

 

 

23,110

 

 

 

 

 

 



 

 

 

 

 

 

 

12,268,606

 









Interest Only — 0.2%

 

 

 

 

 

 

 

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

 

 

5,273

 

 

278,487

 

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

 

 

9,394

 

 

959,967

 

 

 

 

 

 



 

 

 

 

 

 

 

1,238,454

 









Total Asset-Backed Securities — 2.7%

 

 

 

 

 

13,507,060

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 









Collateralized Mortgage Obligations — 3.0%

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust, Series 40,
Class R, 580.50%, 4/01/18

 

 

(c)

 

174

 

Countrywide Alternative Loan Trust, Series 2005-28CB,
Class 1A5, 5.50%, 8/25/35

 

 

1,741

 

 

1,697,927

 

Deutsche ALT-A Securities, Inc. Alternate Loan Trust,
Series 2006-AR5, Class 22A, 5.50%, 10/25/21

 

 

1,432

 

 

1,263,863

 

Homebanc Mortgage Trust, Series 2005-4, Class A1,
0.53%, 10/25/35 (a)

 

 

3,429

 

 

2,500,674

 

JPMorgan Mortgage Trust, Series 2006-A7, Class 2A2,
5.76%, 1/25/37 (a)

 

 

629

 

 

500,260

 

Kidder Peabody Acceptance Corp., Series 1993-1,
Class A6, 16.13%, 8/25/23 (a)

 

 

95

 

 

99,146

 

Residential Funding Securities LLC, Series 2003-RM2,
Class AI5, 8.50%, 5/25/33

 

 

4,844

 

 

5,049,861

 

Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-11, Class A, 2.83%, 8/25/34 (a)

 

 

1,555

 

 

1,320,380

 

WaMu Mortgage Pass-Through Certificates,
Series 2006-AR1, Class 2A1C, 1.46%, 1/25/46 (a)

 

 

5,586

 

 

2,400,705

 

 

 

 

 

 



 

 

 

 

 

 

 

14,832,990

 









Commercial Mortgage-Backed Securities — 4.5%

 

 

 

 

 

 

 

Credit Suisse Mortgage Capital Certificates:

 

 

 

 

 

 

 

Series 2006-C5, Class A2, 5.25%, 12/15/39 (d)

 

 

14,000

 

 

14,437,543

 

Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)

 

 

2,420

 

 

2,406,134

 

First Union-Lehman Brothers Commercial Mortgage,
Series 1997-C2, Class D, 7.12%, 11/18/29

 

 

2,875

 

 

3,065,969

 

Wachovia Bank Commercial Mortgage Trust,
Series 2007-C32, Class A2, 5.93%, 6/15/49 (a)

 

 

2,200

 

 

2,289,102

 

 

 

 

 

 



 

 

 

 

 

 

 

22,198,748

 









Interest Only Collateralized Mortgage
Obligations — 1.3%

 

 

 

 

 

 

 

Bank of America Mortgage Securities Inc.,
Series 2003-3, Class 1AIO, 0.28%, 5/25/18 (a)

 

 

123,991

 

 

439,150

 

CitiMortgage Alternative Loan Trust, Series 2007-A5,
Class 1A7, 6.00%, 5/25/37

 

 

1,115

 

 

125,461

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 









Interest Only Collateralized Mortgage
Obligations (concluded)

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust, Series 42,
Class R, 6,000.00%, 10/01/14

 

$

(c)

$

856

 

First Boston Mortgage Securities Corp., Series C,
Class I-O, 10.97%, 4/25/17

 

 

35

 

 

5,315

 

GSMPS Mortgage Loan Trust, Series 1998-5, Class IO,
0.63%, 6/19/27 (a)(b)

 

 

5,519

 

 

110,384

 

IndyMac INDX Mortgage Loan Trust, Series 2006-AR33,
Class 4AX, 0.17%, 1/25/37

 

 

120,588

 

 

528,177

 

Kidder Peabody Mortgage Assets Trust, Series B,
Class A2, 9.50%, 4/22/18

 

 

32

 

 

5,528

 

MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3AX, 0.98%, 4/25/34

 

 

14,009

 

 

157,598

 

MASTR Alternative Loans Trust, Series 2003-9,
Class 15X2, 6.00%, 1/25/19

 

 

732

 

 

101,507

 

Morgan Stanley Mortgage Loan Trust, Series 2004-3,
Class 1AX, 5.00%, 5/25/19

 

 

816

 

 

57,152

 

Sequoia Mortgage Trust, Series 2005-2, Class XA,
1.11%, 3/20/35 (a)

 

 

40,296

 

 

654,802

 

Structured Adjustable Rate Mortgage Loan Trust:

 

 

 

 

 

 

 

Series 2005-18, Class 7AX, 5.50%, 9/25/35 (a)

 

 

1,200

 

 

134,987

 

Series 2005-20, Class 3AX, 5.50%, 10/25/35

 

 

2,566

 

 

304,528

 

Series 2006-2, Class 4AX, 5.50%, 3/25/36 (a)

 

 

561

 

 

67,371

 

Series 2006-7, Class 3AS, 6.28%, 8/25/36 (a)

 

 

31,666

 

 

3,562,450

 

Vendee Mortgage Trust, Series 1999-2, Class 1IO,
0.05%, 5/15/29 (a)

 

 

62,908

 

 

131,711

 

 

 

 

 

 



 

 

 

 

 

 

 

6,386,977

 









Interest Only Commercial Mortgage-Backed
Securities — 0.0%

 

 

 

 

 

 

 

CS First Boston Mortgage Securities Corp.,
Series 1997-C1, Class AX, 1.65%, 6/20/29 (a)(b)

 

 

4,248

 

 

135,743

 

Morgan Stanley Capital I, Series 1997-HF1, Class X,
2.23%, 7/15/29 (a)(b)

 

 

32

 

 

2

 

 

 

 

 

 



 

 

 

 

 

 

 

135,745

 









Principal Only Collateralized Mortgage
Obligations — 1.0%

 

 

 

 

 

 

 

Countrywide Home Loan Mortgage Pass-Through Trust:

 

 

 

 

 

 

 

Series 2003-26, Class PO, 8/25/33

 

 

2,724

 

 

1,875,752

 

Series 2003-J4, Class PO, 6/25/33

 

 

453

 

 

434,413

 

Series 2003-J5, Class PO, 7/25/33

 

 

889

 

 

672,181

 

Series 2003-J8, Class PO, 9/25/23

 

 

653

 

 

513,543

 

Drexel Burnham Lambert CMO Trust:

 

 

 

 

 

 

 

Series K, Class 1, 9/23/17

 

 

13

 

 

11,924

 

Series V, Class 1, 9/01/18

 

 

71

 

 

69,166

 

MASTR Asset Securitization Trust, Series 2004-3,
Class 4A15, 3/25/34

 

 

247

 

 

198,605

 

Residential Asset Securitization Trust, Series 2005-A15,
Class 1A8, 2/25/36

 

 

983

 

 

760,361

 

Structured Mortgage Asset Residential Trust,
Series 1993-3C, Class CX, 4/25/24

 

 

8

 

 

5,679

 

Washington Mutual Alternative Mortgage Pass-Through
Certificates, Series 2005-9, Class CP, 11/25/35

 

 

668

 

 

491,012

 

 

 

 

 

 



 

 

 

 

 

 

 

5,032,636

 









Total Non-Agency Mortgage-Backed Securities — 9.8%

 

 

 

 

 

48,587,096

 










 

 

 

 

See Notes to Financial Statements.

 

 


66

ANNUAL REPORT

AUGUST 31, 2010

 




 

 



 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

Par
(000)

 

Value

 









Agency Obligations — 2.6%

 

 

 

 

 

 

 

Federal Housing Administration, General Motors
Acceptance Corp. Projects, Series 56,
7.43%, 11/01/22

 

$

233

 

$

230,768

 

Federal Housing Administration, Merrill Projects,
Series 54, 7.43%, 5/15/23

 

 

2

 

 

2,085

 

Federal Housing Administration, Reilly Project,
Series 41, 8.28%, 3/01/20

 

 

622

 

 

616,190

 

Federal Housing Administration, USGI Projects:

 

 

 

 

 

 

 

Series 87, 7.43%, 12/01/22

 

 

70

 

 

69,207

 

Series 99, 7.43%, 6/01/21

 

 

4,708

 

 

4,660,875

 

Series 99, 7.43%, 10/01/23

 

 

43

 

 

42,926

 

Series 99, 7.43%, 10/01/23

 

 

128

 

 

126,826

 

Freddie Mac:

 

 

 

 

 

 

 

5.50%, 7/18/16 (f)

 

 

280

 

 

336,058

 

5.00%, 2/16/17

 

 

570

 

 

669,572

 

Resolution Funding Corp., 9.88%, 4/15/30 (e)

 

 

13,000

 

 

6,077,669

 

 

 

 

 

 



 

 

 

 

 

 

 

12,832,176

 









Collateralized Mortgage Obligations — 14.4%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1991-38, Class F, 8.33%, 4/25/21 (a)

 

 

9

 

 

8,744

 

Series 1991-38, Class SA, 10.19%, 4/25/21 (a)

 

 

9

 

 

8,782

 

Series 1991-46, Class S, 2,454.59%, 5/25/21 (a)

 

 

(c)

 

7,006

 

Series 1991-87, Class S, 25.94%, 8/25/21 (a)

 

 

70

 

 

111,559

 

Series 1993-247, Class SN, 10.00%,
12/25/23 (a)

 

 

515

 

 

608,081

 

Series 2003-32, Class VT, 6.00%, 9/25/15

 

 

4,914

 

 

5,067,666

 

Series 2003-135, Class PB, 6.00%, 1/25/34

 

 

12,264

 

 

13,936,806

 

Series 2004-29, Class HC, 7.50%, 7/25/30

 

 

1,123

 

 

1,172,619

 

Series 2004-31, Class ZG, 7.50%, 5/25/34

 

 

2,943

 

 

3,615,045

 

Series 2005-68, Class PC, 5.50%, 7/25/35

 

 

1,197

 

 

1,327,805

 

Series 2005-73, Class DS, 16.86%, 8/25/35 (a)

 

 

3,656

 

 

4,620,255

 

Series 2006-2, Class KP, 0.00%, 2/25/35 (a)

 

 

679

 

 

632,485

 

Series G-7, Class S, 1,112.85%, 3/25/21 (a)

 

 

(c)

 

4,742

 

Series G-17, Class S, 1,051.96%, 6/25/21 (a)

 

 

(c)

 

6,920

 

Series G-49, Class S, 1,005.55%, 12/25/21 (a)

 

 

(c)

 

2,665

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 19, Class F, 8.50%, 3/15/20

 

 

113

 

 

123,505

 

Series 19, Class R, 16,113.87%, 3/15/20 (a)

 

 

(c)

 

1,784

 

Series 40, Class K, 6.50%, 8/17/24

 

 

433

 

 

488,398

 

Series 75, Class R, 9.50%, 1/15/21

 

 

(c)

 

3

 

Series 75, Class RS, 21.65%, 1/15/21 (a)

 

 

(c)

 

3

 

Series 173, Class R, 9.00%, 11/15/21

 

 

(c)

 

16

 

Series 173, Class RS, 9.18%, 11/15/21 (a)

 

 

(c)

 

16

 

Series 1057, Class J, 1,008.00%, 3/15/21

 

 

(c)

 

2,609

 

Series 1160, Class F, 38.83%, 10/15/21 (a)

 

 

23

 

 

43,927

 

Series 1961, Class H, 6.50%, 5/15/12

 

 

21

 

 

20,803

 

Series 2218, Class Z, 8.50%, 3/15/30

 

 

6,244

 

 

7,515,065

 

Series 2542, Class UC, 6.00%, 12/15/22

 

 

10,200

 

 

11,098,875

 

Series 2758, Class KV, 5.50%, 5/15/23

 

 

10,025

 

 

11,299,113

 

Series 2765, Class UA, 4.00%, 3/15/11

 

 

476

 

 

482,782

 

Series 2861, Class AX, 10.39%, 9/15/34 (a)

 

 

332

 

 

371,765

 

Series 2927, Class BZ, 5.50%, 2/15/35

 

 

2,806

 

 

3,209,548

 

Ginnie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1996-5, Class Z, 7.00%, 5/16/26

 

 

662

 

 

704,033

 

Series 2001-33, Class PB, 6.50%, 7/20/31

 

 

1,078

 

 

1,151,735

 

Series 2004-89, Class PE, 6.00%, 10/20/34

 

 

3,392

 

 

3,804,411

 

 

 

 

 

 



 

 

 

 

 

 

 

71,449,571

 









Federal Deposit Insurance Corporation
Guaranteed — 0.8%

 

 

 

 

 

 

 

Citigroup Funding, Inc., 1.88%, 10/22/12

 

 

3,800

 

 

3,892,971

 









 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

Par
(000)

 

Value

 







Interest Only Collateralized Mortgage Obligations — 9.3%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 7, Class 2, 8.50%, 4/01/17 (a)

 

$

6

 

$

1,025

 

Series 89, Class 2, 8.00%, 10/01/18

 

 

10

 

 

1,598

 

Series 94, Class 2, 9.50%, 8/01/21

 

 

4

 

 

759

 

Series 348, Class 25, 4.50%, 1/01/19

 

 

12,044

 

 

1,118,445

 

Series 1990-123, Class M, 1,009.50%, 10/25/20

 

 

(c)

 

762

 

Series 1990-136, Class S, 19.80%, 11/25/20 (a)

 

 

17

 

 

26,252

 

Series 1991-38, Class N, 1,008.50%, 4/25/21

 

 

(c)

 

18

 

Series 1991-99, Class L, 930.00%, 8/25/21

 

 

(c)

 

3,100

 

Series 1991-139, Class PT, 648.35%, 10/25/21

 

 

(c)

 

4,562

 

Series 1993-199, Class SB, 2.63%, 10/25/23 (a)

 

 

1,086

 

 

103,106

 

Series 1996-68, Class SC, 2.26%, 1/25/24 (a)

 

 

736

 

 

51,834

 

Series 1997-50, Class SI, 1.20%, 4/25/23 (a)

 

 

418

 

 

14,800

 

Series 1997-90, Class M, 6.00%, 1/25/28

 

 

7,699

 

 

1,058,046

 

Series 1999-W4, Class IO, 6.50%, 12/25/28

 

 

426

 

 

84,953

 

Series 2003-122, Class IC, 5.00%, 9/25/18

 

 

18

 

 

3

 

Series 2005-43, Class IC, 6.00%, 3/02/34

 

 

12

 

 

 

Series 2005-45, Class EW, 6.37%, 6/25/35 (a)

 

 

39,745

 

 

6,481,567

 

Series 2006-70, Class JI, 6.37%, 6/25/36 (a)

 

 

24,614

 

 

3,500,077

 

Series 2008-73, Class SA, 5.84%, 8/25/38 (a)

 

 

21,837

 

 

2,224,050

 

Series 2009-3, Class JI, 6.00%, 1/25/49

 

 

15,306

 

 

1,529,642

 

Series 2009-43, Class SA, 6.07%, 6/25/39 (a)

 

 

34,814

 

 

3,554,629

 

Series G-10, Class S, 1,076.59%, 5/25/21 (a)

 

 

(c)

 

16,811

 

Series G-12, Class S, 1,142.80%, 5/25/21 (a)

 

 

(c)

 

10,530

 

Series G-33, Class PV, 1,078.40%, 10/25/21

 

 

(c)

 

9,200

 

Series G-50, Class G, 1,158.63%, 12/25/21

 

 

(c)

 

1,174

 

Series G92-5, Class H, 9.00%, 1/25/22

 

 

113

 

 

20,533

 

Series G92-12, Class C, 1,016.90%, 2/25/22

 

 

(c)

 

6,926

 

Series G92-60, Class SB, 1.60%, 10/25/22 (a)

 

 

318

 

 

14,424

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 176, Class M, 1,010.00%, 7/15/21

 

 

(c)

 

782

 

Series 192, Class U, 1,009.03%, 2/15/22 (a)

 

 

(c)

 

70

 

Series 200, Class R, 194,822.03%, 12/15/22 (a)

 

 

(c)

 

16

 

Series 1043, Class H, 43.59%, 2/15/21 (a)

 

 

9

 

 

20,857

 

Series 1054, Class I, 854.20%, 3/15/21 (a)

 

 

(c)

 

1,553

 

Series 1056, Class KD, 1,084.80%, 3/15/21

 

 

(c)

 

2,150

 

Series 1148, Class E, 1,160.00%, 10/15/21 (a)

 

 

(c)

 

5,780

 

Series 1914, Class PC, 0.75%, 12/15/11

 

 

402

 

 

1,267

 

Series 2545, Class NI, 5.50%, 3/15/22

 

 

602

 

 

21,641

 

Series 2559, Class IO, 0.50%, 8/15/30 (a)

 

 

267

 

 

3,909

 

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

 

 

5,610

 

 

668,350

 

Series 2687, Class IL, 5.00%, 9/15/18

 

 

22

 

 

6

 

Series 2694, Class LI, 4.50%, 7/15/19

 

 

473

 

 

6,210

 

Series 2949, Class IO, 5.50%, 3/15/35

 

 

964

 

 

69,268

 

Series 3437, Class SD, 6.52%, 4/15/38 (a)

 

 

33,770

 

 

4,070,300

 

Ginnie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 2005-31, Class SA, 5.87%, 4/16/35 (a)

 

 

23,655

 

 

3,313,273

 

Series 2006-49, Class SA, 6.19%, 2/20/36 (a)

 

 

5,767

 

 

459,816

 

Series 2007-23, Class ST, 5.93%, 4/20/37 (a)

 

 

4,994

 

 

486,922

 

Series 2008-1, Class AS, 6.23%, 1/20/38 (a)

 

 

7,842

 

 

803,755

 

Series 2009-88, Class ES, 6.07%, 10/16/39 (a)

 

 

11,525

 

 

1,380,565

 

Series 2009-92, Class SC, 5.92%, 10/16/39 (a)

 

 

14,577

 

 

1,371,330

 

Series 2010-4, Class SJ, 6.32%, 5/16/34 (a)

 

 

33,955

 

 

6,696,808

 

Series 2010-47, Class BX, 6.27%, 8/16/34 (a)

 

 

24,062

 

 

3,997,051

 

Series 2010-101, Class YT, 2.00%, 8/16/13

 

 

67,517

 

 

2,785,083

 

 

 

 

 

 



 

 

 

 

 

 

 

46,005,588

 









Interest Only Mortgage-Backed Securities — 0.0%

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed Securities, 2.73%,
1/01/35 (a)

 

 

208

 

 

216,782

 










 

 

 

 

See Notes to Financial Statements.

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

67




 

 



 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

Par
(000)

 

Value

 







Mortgage-Backed Securities — 148.5%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.00%, 9/15/40 (g)

 

$

9,000

 

$

9,319,221

 

4.50%, 1/01/39 – 11/15/40 (f)(g)

 

 

157,883

 

 

166,093,720

 

5.00%, 1/01/23 – 9/15/40 (f)(g)

 

 

157,921

 

 

167,821,851

 

5.50%, 9/15/25 – 10/15/40 (f)(g)

 

 

241,357

 

 

258,019,251

 

5.97%, 8/01/16

 

 

3,091

 

 

3,590,006

 

6.00%, 9/15/40 (g)

 

 

38,900

 

 

41,878,262

 

6.50%, 10/15/40 (g)

 

 

41,300

 

 

44,868,568

 

7.50%, 2/01/22

 

 

(d)

 

157

 

9.50%, 1/01/19 – 9/01/19

 

 

3

 

 

3,595

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.51%, 11/01/17 (a)

 

 

20

 

 

21,019

 

4.98%, 10/01/34 (a)

 

 

546

 

 

569,260

 

5.00%, 2/01/22 – 4/01/22 (f)

 

 

1,776

 

 

1,893,891

 

5.50%, 9/15/25 (g)

 

 

7,000

 

 

7,520,625

 

6.50%, 9/15/40 (g)

 

 

100

 

 

108,672

 

9.00%, 9/01/20 (f)

 

 

67

 

 

73,837

 

Ginnie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

5.00%, 9/15/40 (g)

 

 

23,900

 

 

25,681,291

 

6.50%, 9/15/40 (g)

 

 

8,500

 

 

9,332,737

 

7.50%, 8/15/21 – 12/15/23

 

 

274

 

 

312,797

 

8.00%, 10/15/22 – 2/15/29

 

 

95

 

 

110,068

 

9.00%, 6/15/18 – 9/15/21

 

 

9

 

 

10,512

 

 

 

 

 

 



 

 

 

 

 

 

 

737,229,340

 









Principal Only Collateralized Mortgage
Obligations — 0.6%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 203, Class 1, 2/01/23

 

 

25

 

 

22,016

 

Series 228, Class 1, 6/01/23

 

 

17

 

 

14,931

 

Series 1991-7, Class J, 2/25/21

 

 

27

 

 

24,232

 

Series 1993-51, Class E, 2/25/23

 

 

84

 

 

74,624

 

Series 1993-70, Class A, 5/25/23

 

 

13

 

 

11,679

 

Series 1999-W4, Class PO, 2/25/29

 

 

219

 

 

201,672

 

Series 2002-13, Class PR, 3/25/32

 

 

494

 

 

447,731

 

Series G93-2, Class KB, 1/25/23

 

 

195

 

 

171,802

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1418, Class M, 11/15/22

 

 

89

 

 

79,823

 

Series 1571, Class G, 8/15/23

 

 

522

 

 

465,192

 

Series 1691, Class B, 3/15/24

 

 

1,221

 

 

1,086,689

 

Series 1739, Class B, 2/15/24

 

 

71

 

 

69,050

 

Series T-8, Class A10, 11/15/28

 

 

155

 

 

153,962

 

 

 

 

 

 



 

 

 

 

 

 

 

2,823,403

 









Total U.S. Government Sponsored Agency Securities — 176.2%

 

 

 

 

 

874,449,831

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 









U.S. Treasury Bonds, 8.00%, 11/15/21 (f)(h)

 

 

3,450

 

 

5,231,601

 

U.S. Treasury Notes:

 

 

 

 

 

 

 

2.63%, 8/15/20 (i)

 

 

60,498

 

 

61,273,133

 

4.50%, 8/15/39 (f)

 

 

330

 

 

388,059

 

4.63%, 2/15/40 (f)(h)

 

 

2,885

 

 

3,461,100

 

4.38%, 5/15/40 (i)

 

 

32,935

 

 

38,003,904

 

3.88%, 8/15/40

 

 

2,835

 

 

3,013,517

 









Total U.S. Treasury Obligations — 22.4%

 

 

 

 

 

111,371,314

 









Total Long-Term Investments
(Cost — $1,033,517,088) — 211.1%

 

 

 

 

 

1,047,915,301

 









 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 









BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.25% (j)(k)

 

 

857,657

 

$

857,657

 









Total Short-Term Securities
(Cost — $857,657) — 0.2%

 

 

 

 

 

857,657

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 









Exchange-Traded Call Options — 0.0%

 

 

 

 

 

 

 

Five-Year U.S. Treasury Note Future, Strike Price
$121.00, Expires 11/26/10

 

 

29

 

 

17,218

 









Exchange-Traded Put Options — 0.0%

 

 

 

 

 

 

 

Five-Year U.S. Treasury Note Future, Strike Price
$117.00, Expires 11/26/10

 

 

29

 

 

4,758

 









 

 

 

 

 

 

 

 

 

 

Notional
Amount
(000)

 

 

 

 








Over-the-Counter Call Swaptions — 0.3%

 

 

 

 

 

 

 

Receive a fixed rate of 5.47% and pay a floating rate
based on 3-month LIBOR, Expires 5/08/12,
Broker Bank of America NA

 

$

6,200

 

 

1,325,989

 









Over-the-Counter Put Swaptions — 0.0%

 

 

 

 

 

 

 

Pay a fixed rate of 5.47% and receive a floating rate
based on 3-month LIBOR, Expires 5/08/12,
Broker Bank of America NA

 

 

6,200

 

 

29,729

 









Total Options Purchased
(Cost — $512,420) — 0.3%

 

 

 

 

 

1,377,694

 









Total Investments Before TBA Sale Commitments
and Options Written
(Cost — $1,034,887,165*) — 211.6%

 

 

 

 

 

1,050,150,652

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

TBA Sale Commitments (g)

 

Par
(000)

 

 

 

 








Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.50%, 1/01/39 – 11/15/40

 

 

11,300

 

 

(11,865,000)

 

5.00%, 1/01/23 – 9/15/40

 

 

48,300

 

 

(51,294,502)

 

5.50%, 9/15/25 – 10/15/40

 

 

87,000

 

 

(93,022,053)

 

6.00%, 9/15/40

 

 

2,700

 

 

(2,906,717)

 









Total TBA Sale Commitments
(Proceeds — $158,720,620) — (32.0)%

 

 

 

 

 

(159,088,272)

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

 

 

 








Over-the-Counter Call Swaptions — (0.4)%

 

 

 

 

 

 

 

Pay a fixed rate of 3.43% and receive a floating rate
based on 3-month LIBOR, Expires 3/24/11, Broker
JPMorgan Chase Bank NA

 

 

7,000

 

 

(524,944)

 

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

 

 

(1,231,911)

 

 

 

 

 

 



 

 

 

 

 

 

 

(1,756,855)

 










 

 

 

 

See Notes to Financial Statements.

 

 


68

ANNUAL REPORT

AUGUST 31, 2010

 



 

 



 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

Value

 







Over-the-Counter Put Swaptions — (0.0)%

 

 

 

 

 

 

 

Receive a fixed rate of 3.43% and pay a floating rate
based on 3-month LIBOR, Expires 3/24/11, Broker
JPMorgan Chase Bank NA

 

$

7,000

 

$

(60,221

)

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

 

 

(69,819

)

 

 

 

 

 



 

 

 

 

 

 

 

(130,040

)









Total Options Written
(Premiums Received — $1,358,915) — (0.4)%

 

 

 

 

 

(1,886,895

)









Total Investments, Net of TBA Sale Commitments
and Outstanding Options Written — 179.2%

 

 

 

 

 

889,175,485

 

Liabilities in Excess of Other Assets — (79.2)%

 

 

 

 

 

(392,915,632

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

496,259,853

 

 

 

 

 

 




 

 

 

 

 

 

 

 










 

 

 

 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010,as computed for federal income tax purposes, were as follows:

 

 

 

 

 

 

 

 

 

 

Aggregate cost

 

 

 

 

$

1,035,164,339

 

 

 

 

 

 

 




 

Gross unrealized appreciation

 

 

 

 

$

38,286,881

 

 

Gross unrealized depreciation

 

 

 

 

 

(23,300,568

)

 

 

 

 

 

 




 

Net unrealized appreciation

 

 

 

 

$

14,986,313

 

 

 

 

 

 

 





 

 

(a)

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

 

 

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933.

 

 

 

These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(c)

Amount is less than $1,000.

 

 

(d)

All or a portion of security has been pledged as collateral in connection with Term Asset-Backed Securities Loan Facility (“TALF”) Program.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

Represents or includes a to-be-announced (“TBA”) transaction. Unsettled TBA transactions as of report date were as follows:


 

 

 

 

 

 

 

 









Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 







Citigroup Global Markets, Inc.

 

$

37,518,568

 

$

46,693

 

Credit Suisse Securities LLC

 

$

88,837,365

 

$

(199,916

)

Deutsche Bank Securities, Inc.

 

$

82,808,984

 

$

(393,006

)

Goldman Sachs & Co.

 

$

44,388,152

 

$

(88,057

)

Greenwich Financial Services

 

$

4,532,883

 

$

32,779

 

JPMorgan Chase Securities, Inc.

 

$

25,632,482

 

$

62,036

 

Morgan Stanley & Co., Inc.

 

$

(1,699,000

)

 

 

Nomura Securities International Inc.

 

$

15,471,840

 

$

28,278

 










 

 

(h)

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

 

 

(i)

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

 

 

(j)

Investments in companies considered to be an affiliate of the Trust during the year, 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,
2009

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

 











BlackRock Liquidity Funds, TempFund, Institutional Class

 

 

178,238,591

 

 

(177,380,934

)

 

857,657

 

$

222,652

 
















 

 

(k)

Represents the current yield as of report date.

 

 

Interest rate floors outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 












 

 

Notional
Amount
(000)

 

Value

 

Unrealized
Depreciation

 









Pay to broker the difference between 3-month LIBOR and a floor of 4.80%

 

 

 

 

 

 

 

 

 

 

Broker Goldman Sachs Bank USA expires 3/25/11

 

$

65,000

 

$

(1,937,455

)

$

(1,218,122

)

Pay to broker the difference between 3-month LIBOR and a floor of 5.50%

 

 

 

 

 

 

 

 

 

 

Broker Citibank NA expires 9/15/11

 

$

24,000

 

$

(1,508,568

)

 

(1,048,568

)












Total

 

 

 

 

$

(3,446,023

)

$

(2,266,690

)

 

 

 

 

 








 

 

Reverse repurchase agreements outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net
Closing
Amount

 

Face
Amount

 













Barclays Capital, Inc.

 

 

0.27

%

 

8/04/10

 

 

Open

 

$

12,767,482

 

$

12,765,000

 

Credit Suisse
Securities (USA) LLC

 

 

0.26

%

 

8/25/10

 

 

Open

 

 

9,340,454

 

 

9,340,000

 

JPMorgan
Securities, Inc.

 

 

0.11

%

 

8/27/10

 

 

Open

 

 

21,473,292

 

 

21,473,125

 


















Total

 

 

 

 

 

 

 

 

 

 

$

43,581,228

 

$

43,578,125

 

 

 

 

 

 

 

 

 

 

 

 








 

 

Financial futures contracts purchased as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Contracts

 

 

 

Issue

 

 

Exchange

 

 

Expiration
Date

 

Unrealized
Notional
Value

 

Appreciation
(Depreciation)

 
















78

 

 

 

2-Year U.S.

 

 

Chicago

 

 

September

 

$

17,092,764

 

$

23,361

 

 

 

 

 

Treasury

 

 

Mercantile

 

 

2010

 

 

 

 

 

 

 

 

 

 

 

Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

52

 

 

 

30-Year U.S.

 

 

Chicago

 

 

December

 

$

7,520,761

 

 

(1,886

)

 

 

 

 

Treasury

 

 

Mercantile

 

 

2010

 

 

 

 

 

 

 

 

 

 

 

Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

25

 

 

 

Euro Dollars

 

 

Chicago
Mercantile

 

 

December 2010

 

$

6,215,669

 

 

8,394

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8

 

 

 

Euro Dollars

 

 

Chicago

 

 

June 2013

 

$

1,952,422

 

 

10,778

 

 

 

 

 

 

 

 

Mercantile

 

 

 

 

 

 

 

 

 

 


















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

40,647

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

See Notes to Financial Statements.

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

69




 

 



 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)


 

 

Financial futures contracts sold as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



















Contracts

 

 

 

Issue

 

 

Exchange

 

 

Expiration
Date

 

Notional
Value

 

Unrealized
Depreciation

 

















5

 

 

 

2-Year U.S.

 

 

Chicago

 

 

December

 

$

1,094,756

 

$

(947

)

 

 

 

 

Treasury

 

 

Mercantile

 

 

2010

 

 

 

 

 

 

 

 

 

 

 

Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

664

 

 

 

5-Year U.S.

 

 

Chicago

 

 

December

 

$

79,835,303

 

 

(57,385

)

 

 

 

 

Treasury

 

 

Mercantile

 

 

2010

 

 

 

 

 

 

 

 

 

 

 

Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

17

 

 

 

10-Year U.S.

 

 

Chicago

 

 

September

 

$

2,143,296

 

 

(7,204

)

 

 

 

 

Treasury

 

 

Mercantile

 

 

2010

 

 

 

 

 

 

 

 

 

 

 

Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

1,214

 

 

 

10-Year U.S.

 

 

Chicago

 

 

December

 

$

151,854,035

 

 

(654,715

)

 

 

 

 

Treasury

 

 

Mercantile

 

 

2010

 

 

 

 

 

 

 

 

 

 

 

Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

48

 

 

 

30-Year U.S.

 

 

Chicago

 

 

December

 

$

6,389,909

 

 

(91,591

)

 

 

 

 

Treasury

 

 

Mercantile

 

 

2010

 

 

 

 

 

 

 

 

 

 

 

Bond

 

 

 

 

 

 

 

 

 

 

 

 

 

151

 

 

 

Euro Dollars

 

 

Chicago

 

 

September

 

$

37,537,307

 

 

(94,724

)

 

 

 

 

 

 

 

Mercantile

 

 

2010

 

 

 

 

 

 

 

132

 

 

 

Euro Dollars

 

 

Chicago

 

 

March 2011

 

$

32,833,536

 

 

(9,714

)

 

 

 

 

 

 

 

Mercantile

 

 

 

 

 

 

 

 

 

 

107

 

 

 

Euro Dollars

 

 

Chicago

 

 

June 2011

 

$

26,551,229

 

 

(48,971

)

 

 

 

 

 

 

 

Mercantile

 

 

 

 

 

 

 

 

 

 

110

 

 

 

Euro Dollars

 

 

Chicago

 

 

September

 

$

27,214,737

 

 

(101,013

)

 

 

 

 

 

 

 

Mercantile

 

 

2011

 

 

 

 

 

 

 

368

 

 

 

Euro Dollars

 

 

Chicago

 

 

December

 

$

90,954,214

 

 

(291,386

)

 

 

 

 

 

 

 

Mercantile

 

 

2011

 

 

 

 

 

 

 

62

 

 

 

Euro Dollars

 

 

Chicago

 

 

March 2012

 

$

15,345,520

 

 

(2,580

)

 

 

 

 

 

 

 

Mercantile

 

 

 

 

 

 

 

 

 

 

39

 

 

 

Euro Dollars

 

 

Chicago

 

 

June 2012

 

$

9,611,093

 

 

(26,295

)

 

 

 

 

 

 

 

Mercantile

 

 

 

 

 

 

 

 

 

 

24

 

 

 

Euro Dollars

 

 

Chicago

 

 

September

 

$

5,897,634

 

 

(23,166

)

 

 

 

 

 

 

 

Mercantile

 

 

2012

 

 

 

 

 

 

 

24

 

 

 

Euro Dollars

 

 

Chicago

 

 

December

 

$

5,884,133

 

 

(25,567

)

 

 

 

 

 

 

 

Mercantile

 

 

2012

 

 

 

 

 

 

 

24

 

 

 

Euro Dollars

 

 

Chicago

 

 

March 2013

 

$

5,872,434

 

 

(27,966

)

 

 

 

 

 

 

 

Mercantile

 

 

 

 

 

 

 

 

 

 



















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(1,463,224

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Interest rate swaps outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Fixed
Rate

 

 

Floating
Rate

 

 

Counterparty

 

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 
















4.32% (a)

 

 

3-month LIBOR

 

 

UBS AG

 

 

September

 

$

12,000

 

$

3,057

 

 

 

 

 

 

 

 

 

 

2010

 

 

 

 

 

 

 

1.45% (b)

 

 

3-month LIBOR

 

 

JPMorgan

 

 

July 2011

 

$

20,000

 

 

(180,398

)

 

 

 

 

 

 

Chase Bank NA

 

 

 

 

 

 

 

 

 

 

0.83% (b)

 

 

3-month LIBOR

 

 

Deutsche

 

 

July 2012

 

$

34,800

 

 

(115,187

)

 

 

 

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

0.65% (b)

 

 

3-month LIBOR

 

 

Morgan

 

 

August 2012

 

$

2,600

 

 

245

 

 

 

 

 

 

 

Stanley Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Services, Inc.

 

 

 

 

 

 

 

 

 

 

4.88% (a)

 

 

3-month LIBOR

 

 

UBS AG

 

 

March 2015

 

$

25,000

 

 

3,816,218

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1.59% (b)

 

 

3-month LIBOR

 

 

Deutsche

 

 

August 2015

 

$

800

 

 

(1,046

)

 

 

 

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

4.87% (a)

 

 

3-month LIBOR

 

 

Goldman Sachs

 

 

January

 

$

5,500

 

 

911,774

 

 

 

 

 

 

 

Bank USA

 

 

2016

 

 

 

 

 

 

 


 

 

Interest rate swaps outstanding as of August 31, 2010 were as follows (concluded):


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Fixed
Rate

 

 

Floating
Rate

 

 

Counterparty

 

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 
















2.81% (a)

 

 

3-month LIBOR

 

 

Citibank NA

 

 

February

 

$

20,000

 

$

1,172,137

 

 

 

 

 

 

 

 

 

 

2016

 

 

 

 

 

 

 

5.72% (a)

 

 

3-month LIBOR

 

 

JPMorgan

 

 

July 2016

 

$

5,400

 

 

1,191,695

 

 

 

 

 

 

 

Chase Bank NA

 

 

 

 

 

 

 

 

 

 

5.51% (a)

 

 

3-month LIBOR

 

 

Bank of

 

 

August 2017

 

$

159,147

 

 

36,209,744

 

 

 

 

 

 

 

America NA

 

 

 

 

 

 

 

 

 

 

5.88% (b)

 

 

3-month LIBOR

 

 

Deutsche

 

 

June 2018

 

$

31,930

 

 

(8,059,914

)

 

 

 

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

4.55% (b)

 

 

3-month LIBOR

 

 

Citibank NA

 

 

September

 

$

98,400

 

 

(17,057,208

)

 

 

 

 

 

 

 

 

 

2018

 

 

 

 

 

 

 

4.31% (b)

 

 

3-month LIBOR

 

 

Deutsche

 

 

October

 

$

66,000

 

 

(10,286,405

)

 

 

 

 

 

 

Bank AG

 

 

2018

 

 

 

 

 

 

 

3.09% (b)

 

 

3-month LIBOR

 

 

Deutsche

 

 

March 2019

 

$

25,700

 

 

(1,599,874

)

 

 

 

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

3.17% (a)

 

 

3-month LIBOR

 

 

Bank of

 

 

March 2019

 

$

4,700

 

 

318,696

 

 

 

 

 

 

 

America NA

 

 

 

 

 

 

 

 

 

 

2.88% (a)

 

 

3-month LIBOR

 

 

Deutsche

 

 

April 2019

 

$

39,700

 

 

1,777,529

 

 

 

 

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

3.23% (b)

 

 

3-month LIBOR

 

 

Deutsche

 

 

May 2019

 

$

2,800

 

 

(201,967

)

 

 

 

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

3.90% (b)

 

 

3-month LIBOR

 

 

Barclays

 

 

June 2019

 

$

20,000

 

 

(2,535,758

)

 

 

 

 

 

 

Bank Plc

 

 

 

 

 

 

 

 

 

 

3.55% (b)

 

 

3-month LIBOR

 

 

Deutsche

 

 

August 2019

 

$

15,000

 

 

(1,614,387

)

 

 

 

 

 

 

Bank AG

 

 

 

 

 

 

 

 

 

 

5.49% (b)

 

 

3-month LIBOR

 

 

JPMorgan

 

 

October

 

$

5,400

 

 

(1,217,269

)

 

 

 

 

 

 

Chase Bank NA

 

 

2019

 

 

 

 

 

 

 

3.67% (a)

 

 

3-month LIBOR

 

 

Deutsche

 

 

December

 

$

4,600

 

 

494,388

 

 

 

 

 

 

 

Bank AG

 

 

2019

 

 

 

 

 

 

 

5.67% (b)

 

 

3-month LIBOR

 

 

Citibank NA

 

 

January

 

$

12,400

 

 

(2,855,252

)

 

 

 

 

 

 

 

 

 

2020

 

 

 

 

 

 

 

3.88% (a)

 

 

3-month LIBOR

 

 

Morgan

 

 

January

 

$

7,600

 

 

954,075

 

 

 

 

 

 

 

Stanley Capital

 

 

2020

 

 

 

 

 

 

 

 

 

 

 

 

 

Services, Inc.

 

 

 

 

 

 

 

 

 

 

3.71% (b)

 

 

3-month LIBOR

 

 

Deutsche

 

 

February

 

$

9,200

 

 

(1,015,827

)

 

 

 

 

 

 

Bank AG

 

 

2020

 

 

 

 

 

 

 

3.73% (a)

 

 

3-month LIBOR

 

 

Morgan

 

 

May 2020

 

$

28,000

 

 

3,135,378

 

 

 

 

 

 

 

Stanley Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Services, Inc.

 

 

 

 

 

 

 

 

 

 

2.56% (b)

 

 

3-month LIBOR

 

 

Citibank NA

 

 

August 2020

 

$

600

 

 

(4,018

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

5.41% (a)

 

 

3-month LIBOR

 

 

JPMorgan

 

 

August 2022

 

$

9,565

 

 

2,750,663

 

 

 

 

 

 

 

Chase Bank NA

 

 

 

 

 

 

 

 

 

 


















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

5,991,089

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

(a)

Pays floating interest rate and receives fixed rate.

 

 

 

 

(b)

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. This definition 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 derivatives, which are as follows:

 

 

 

 

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


 

 

 

 

See Notes to Financial Statements.





70

ANNUAL REPORT

AUGUST 31, 2010

 



 

 


 

 

Schedule of Investments (concluded)

BlackRock Income Trust, Inc. (BKT)


 

 

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 derivatives)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments 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 August 31, 2010 in determining the fair valuation of the Trust’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

12,245,496

 

$

1,261,564

 

$

13,507,060

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

40,501,465

 

 

8,085,631

 

 

48,587,096

 

U.S. Government Sponsored Agency Securities

 

 

 

 

868,699,116

 

 

5,750,715

 

 

874,449,831

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

$

111,371,314

 

 

 

$

111,371,314

 

Short-Term Securities

 

$

857,657

 

 

 

 

 

 

857,657

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

TBA Sale Commitments

 

 

 

 

(159,088,272

)

 

 

 

(159,088,272

)

TALF Loans

 

 

 

 

(11,739,534

)

 

 

 

(11,739,534

)

 

 













Total

 

$

857,657

 

$

861,989,585

 

$

15,097,910

 

$

877,945,152

 

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Derivative Financial Instruments1

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

64,509

 

$

54,091,317

 

 

 

$

54,155,826

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

(1,465,110

)

 

(48,631,405

)

$

(3,446,023

)

 

(53,542,538

)

 

 













Total

 

$

(1,400,601

)

$

5,459,912

 

$

(3,446,023

)

$

613,288

 

 

 














 

 

 

 

1

Derivative financial instruments are swaps, financial futures contracts, interest rate floors and options. Financial futures contracts and swaps are valued at the unrealized appreciation/depreciation on the instrument and interest rate floors 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

 

Corporate
Bonds

 

Non-Agency
Mortgage-Backed
Securities

 

U.S. Government
Sponsored
Agency Securities

 

Total

 













Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2009

 

$

3,536,160

 

$

582,709

 

$

21,006,613

 

$

14,122,541

 

$

39,248,023

 

Accrued discounts/premiums

 

 

(285,413

)

 

 

 

(1,829,207

)

 

(185,468

)

 

(2,300,088

)

Net realized gain (loss)

 

 

 

 

 

 

 

 

1,311,671

 

 

1,311,671

 

Net change in unrealized appreciation/depreciation2

 

 

3,329,905

 

 

17,640

 

 

1,009,436

 

 

(977,634

)

 

3,379,347

 

Purchases

 

 

 

 

(2,447,899

)

 

 

 

 

 

(2,447,899

)

Sales

 

 

 

 

1,847,550

 

 

(3,335,945

)

 

(8,520,395

)

 

(10,008,790

)

Transfers in3

 

 

 

 

 

 

5,679

 

 

 

 

5,679

 

Transfers out3

 

 

(5,319,088

)

 

 

 

(8,770,945

)

 

 

 

(14,090,033

)

 

 
















Balance, as of August 31, 2010

 

$

1,261,564

 

 

 

$

8,085,631

 

$

5,750,715

 

$

15,097,910

 

 

 

















 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The net change in unrealized appreciation/depreciation on securities still held at August 31, 2010 was $(1,017,399).

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

 

 

 

 

 





 

 

Interest Rate
Contracts

 





Liabilities:

 

 

 

 

Balance, as of August 31, 2009

 

$

(7,202,331

)

Accrued discounts/premiums

 

 

 

Net realized gain (loss)

 

 

278,833

 

Net change in unrealized appreciation/depreciation4

 

 

3,477,475

 

Purchases

 

 

 

Sales

 

 

 

Transfers in3

 

 

 

Transfers out3

 

 

 

 

 




Balance, as of August 31, 2010

 

$

(3,446,023

)

 

 





 

 

 

 

3

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

 

 

 

 

4

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The net change in unrealized appreciation/depreciation on securities still held at August 31, 2010 was $3,477,475.


 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

AUGUST 31, 2010

71




 

 


 

 

Schedule of Investments August 31, 2010

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 







Building Products — 0.2%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

4,486

 

$

170,468

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc. (a)

 

 

450

 

 

18,675

 









Machinery — 0.0%

 

 

 

 

 

 

 

Accuride Corp. (a)

 

 

18,000

 

 

19,800

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Recovery Trust (a)

 

 

396,568

 

 

8,328

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. (a)

 

 

2,590

 

 

13,235

 









Total Common Stocks — 0.2%

 

 

230,506

 

 

 

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 









Airlines — 0.4%

 

 

 

 

 

 

 

American Airlines Pass-Through Trust,
Series 2001-02, 7.86%, 4/01/13

 

USD

190

 

 

198,835

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

 

190

 

 

199,550

 

 

 

 

 

 



 

 

 

 

 

 

 

398,385

 









Auto Components — 0.8%

 

 

 

 

 

 

 

Delphi International Holdings Unsecured,
12.00%, 10/06/14

 

 

17

 

 

16,653

 

The Goodyear Tire & Rubber Co., 8.75%, 8/15/20

 

 

60

 

 

63,450

 

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

 

 

670

 

 

666,650

 

 

 

 

 

 



 

 

 

 

 

 

 

746,753

 









Automobiles — 1.1%

 

 

 

 

 

 

 

DaimlerChrysler NA Holding Corp., 7.30%, 1/15/12

 

 

1,000

 

 

1,076,254

 









Beverages — 0.1%

 

 

 

 

 

 

 

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

 

EUR

90

 

 

116,904

 









Biotechnology — 0.2%

 

 

 

 

 

 

 

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

 

USD

225

 

 

229,082

 









Building Products — 1.4%

 

 

 

 

 

 

 

Associated Materials LLC, 9.88%, 11/15/16

 

 

170

 

 

180,200

 

Building Materials Corp. of America (b):

 

 

 

 

 

 

 

6.88%, 8/15/18

 

 

195

 

 

189,637

 

7.00%, 2/15/20

 

 

290

 

 

288,550

 

CPG International I, Inc., 10.50%, 7/01/13

 

 

150

 

 

149,813

 

Momentive Performance Materials, Inc., Series WI,
9.75%, 12/01/14

 

 

265

 

 

258,706

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

250

 

 

257,500

 

 

 

 

 

 



 

 

 

 

 

 

 

1,324,406

 









Capital Markets — 3.5%

 

 

 

 

 

 

 

Credit Suisse AG, 5.40%, 1/14/20

 

 

480

 

 

505,336

 

E*Trade Financial Corp., Series A, 0.00%,
8/31/19 (c)(d)

 

 

100

 

 

120,000

 

The Goldman Sachs Group, Inc.:

 

 

 

 

 

 

 

6.15%, 4/01/18

 

 

25

 

 

27,304

 

7.50%, 2/15/19

 

 

675

 

 

787,162

 

5.38%, 3/15/20

 

 

225

 

 

232,219

 

Marsico Parent Co., LLC, 10.63%, 1/15/16 (b)

 

 

306

 

 

113,220

 

Marsico Parent Holdco, LLC, 12.50%,
7/15/16 (b)(e)

 

 

140

 

 

12,559

 

Marsico Parent Superholdco, LLC, 14.50%,
1/15/18 (b)(e)

 

 

91

 

 

8,192

 

Merrill Lynch & Co., Inc., 6.05%, 5/16/16

 

 

325

 

 

344,262

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Capital Markets (concluded)

 

 

 

 

 

 

 

Morgan Stanley:

 

 

 

 

 

 

 

5.63%, 9/23/19

 

USD

600

 

$

610,596

 

5.50%, 1/26/20

 

 

425

 

 

430,374

 

Offshore Group Investments Ltd., 11.50%,
8/01/15 (b)

 

 

190

 

 

189,525

 

 

 

 

 

 



 

 

 

 

 

 

 

3,380,749

 









Chemicals — 3.4%

 

 

 

 

 

 

 

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

 

 

180

 

 

177,975

 

Ames True Temper, Inc., 4.53%, 1/15/12 (f)

 

 

350

 

 

349,125

 

CF Industries, Inc.:

 

 

 

 

 

 

 

6.88%, 5/01/18

 

 

160

 

 

168,400

 

7.13%, 5/01/20

 

 

280

 

 

300,300

 

Chemtura Corp., 7.88%, 9/01/18 (b)

 

 

195

 

 

199,144

 

Georgia Gulf Corp., 9.00%, 1/15/17 (b)

 

 

60

 

 

62,175

 

Hexion U.S. Finance Corp.:

 

 

 

 

 

 

 

9.75%, 11/15/14

 

 

295

 

 

289,837

 

8.88%, 2/01/18

 

 

275

 

 

254,375

 

Huntsman International LLC, 8.63%, 3/15/20 (b)

 

 

85

 

 

84,256

 

Ineos Finance Plc, 9.00%, 5/15/15 (b)

 

 

155

 

 

156,744

 

Innophos, Inc., 8.88%, 8/15/14

 

 

980

 

 

1,004,500

 

OXEA Finance/Cy SCA, 9.50%, 7/15/17 (b)

 

 

205

 

 

216,275

 

 

 

 

 

 



 

 

 

 

 

 

 

3,263,106

 









Commercial Banks — 3.6%

 

 

 

 

 

 

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

409

 

 

388,085

 

7.00%, 5/01/17

 

 

1,756

 

 

1,651,109

 

HSBC Bank USA NA, 4.88%, 8/24/20

 

 

550

 

 

568,250

 

Lloyds TSB Bank Plc, 5.80%, 1/13/20 (b)

 

 

300

 

 

309,171

 

Standard Chartered Plc, 5.50%, 11/18/14 (b)

 

 

450

 

 

496,186

 

 

 

 

 

 



 

 

 

 

 

 

 

3,412,801

 









Commercial Services & Supplies — 0.7%

 

 

 

 

 

 

 

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

 

 

95

 

 

104,500

 

RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b)

 

 

240

 

 

261,600

 

West Corp., 11.00%, 10/15/16

 

 

300

 

 

315,000

 

 

 

 

 

 



 

 

 

 

 

 

 

681,100

 









Communications Equipment — 0.2%

 

 

 

 

 

 

 

Harris Corp., 6.38%, 6/15/19

 

 

175

 

 

205,373

 









Construction Materials — 0.5%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

 

452

 

 

476,294

 









Consumer Finance — 2.5%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17 (b)

 

 

260

 

 

269,425

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

5.51%, 6/15/11 (f)

 

 

1,600

 

 

1,628,000

 

7.80%, 6/01/12

 

 

250

 

 

263,086

 

8.00%, 12/15/16

 

 

240

 

 

260,624

 

 

 

 

 

 



 

 

 

 

 

 

 

2,421,135

 









Containers & Packaging — 3.3%

 

 

 

 

 

 

 

Ball Corp., 6.75%, 9/15/20

 

 

180

 

 

189,450

 

Berry Plastics Corp.:

 

 

 

 

 

 

 

8.88%, 9/15/14

 

 

305

 

 

290,512

 

8.25%, 11/15/15

 

 

50

 

 

50,125

 

9.50%, 5/15/18 (b)

 

 

220

 

 

202,400

 

Berry Plastics Holding Corp., 8.88%, 9/15/14

 

 

660

 

 

628,650

 

Crown Americas LLC, 7.75%, 11/15/15

 

 

250

 

 

259,375

 

Graphic Packaging International, Inc.,
9.50%, 6/15/17

 

 

250

 

 

266,250

 

Impress Holdings BV, 3.65%, 9/15/13 (b)(f)

 

 

260

 

 

245,700

 

Pregis Corp., 12.38%, 10/15/13

 

 

565

 

 

565,000

 


 

 

 

 

See Notes to Financial Statements.





72

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Containers & Packaging (concluded)

 

 

 

 

 

 

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

190

 

$

245,593

 

7.75%, 11/15/19

 

 

180

 

 

233,808

 

 

 

 

 

 



 

 

 

 

 

 

 

3,176,863

 









Diversified Financial Services — 5.6%

 

 

 

 

 

 

 

Ally Financial Inc.:

 

 

 

 

 

 

 

8.30%, 2/12/15 (b)

 

USD

920

 

 

956,800

 

7.50%, 9/15/20 (b)

 

 

1,490

 

 

1,475,100

 

8.00%, 11/01/31

 

 

340

 

 

334,900

 

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

 

 

265

 

 

265,331

 

Bank of America Corp.:

 

 

 

 

 

 

 

4.50%, 4/01/15

 

 

375

 

 

388,608

 

6.50%, 8/01/16

 

 

410

 

 

458,052

 

5.75%, 12/01/17

 

 

340

 

 

359,890

 

7.63%, 6/01/19

 

 

45

 

 

52,671

 

Citigroup, Inc., 8.13%, 7/15/39

 

 

55

 

 

68,440

 

GMAC, Inc.:

 

 

 

 

 

 

 

2.74%, 12/01/14 (f)

 

 

110

 

 

94,570

 

8.00%, 3/15/20 (b)

 

 

80

 

 

82,000

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

 

550

 

 

554,125

 

Reynolds Group Issuer, Inc., 8.50%, 5/15/18 (b)

 

 

280

 

 

268,800

 

 

 

 

 

 



 

 

 

 

 

 

 

5,359,287

 









Diversified Telecommunication Services — 5.6%

 

 

 

 

 

 

 

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

 

 

155

 

 

151,900

 

Frontier Communications Corp.:

 

 

 

 

 

 

 

7.88%, 4/15/15

 

 

150

 

 

158,250

 

8.25%, 4/15/17

 

 

150

 

 

158,625

 

8.50%, 4/15/20

 

 

140

 

 

148,575

 

GCI, Inc., 8.63%, 11/15/19

 

 

400

 

 

420,000

 

Nordic Telephone Co. Holdings ApS, 8.88%,
5/01/16 (b)

 

 

250

 

 

262,500

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

1,120

 

 

1,141,000

 

Series B, 7.50%, 2/15/14

 

 

305

 

 

310,719

 

Qwest Corp., 8.38%, 5/01/16

 

 

270

 

 

314,550

 

Verizon New England, Inc., 6.50%, 9/15/11

 

 

2,000

 

 

2,109,908

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

45

 

 

47,981

 

8.63%, 8/01/16

 

 

70

 

 

72,275

 

7.88%, 11/01/17

 

 

45

 

 

45,675

 

 

 

 

 

 



 

 

 

 

 

 

 

5,341,958

 









Electric Utilities — 1.4%

 

 

 

 

 

 

 

Elwood Energy LLC, 8.16%, 7/05/26

 

 

25

 

 

22,629

 

Progress Energy, Inc., 7.75%, 3/01/31

 

 

1,000

 

 

1,349,313

 

 

 

 

 

 



 

 

 

 

 

 

 

1,371,942

 









Energy Equipment & Services — 2.2%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

470

 

 

465,300

 

7.75%, 5/15/17

 

 

70

 

 

69,475

 

Expro Finance Luxembourg SCA, 8.50%,
12/15/16 (b)

 

 

740

 

 

691,900

 

Global Geophysical Services, Inc., 10.50%,
5/01/17 (b)

 

 

110

 

 

108,900

 

North American Energy Alliance LLC, 10.88%,
6/01/16 (b)

 

 

255

 

 

275,400

 

Thermon Industries, Inc., 9.50%, 5/01/17 (b)

 

 

195

 

 

199,875

 

Transocean, Inc., 6.00%, 3/15/18

 

 

300

 

 

300,010

 

 

 

 

 

 



 

 

 

 

 

 

 

2,110,860

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Food & Staples Retailing — 0.3%

 

 

 

 

 

 

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

USD

45

 

$

47,813

 

10.25%, 10/15/19

 

 

195

 

 

200,362

 

 

 

 

 

 



 

 

 

 

 

 

 

248,175

 









Food Products — 1.5%

 

 

 

 

 

 

 

Kraft Foods, Inc.:

 

 

 

 

 

 

 

6.13%, 8/23/18

 

 

250

 

 

293,425

 

5.38%, 2/10/20

 

 

1,000

 

 

1,111,315

 

 

 

 

 

 



 

 

 

 

 

 

 

1,404,740

 









Health Care Equipment & Supplies — 2.0%

 

 

 

 

 

 

 

CareFusion Corp., 6.38%, 8/01/19

 

 

425

 

 

507,054

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

880

 

 

942,700

 

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

 

 

410

 

 

459,200

 

 

 

 

 

 



 

 

 

 

 

 

 

1,908,954

 









Health Care Providers & Services — 4.6%

 

 

 

 

 

 

 

American Renal Holdings, 8.38%, 5/15/18 (b)

 

 

70

 

 

70,000

 

Gentiva Health Services, Inc., 11.50%,
9/01/18 (b)

 

 

180

 

 

186,300

 

HCA, Inc.:

 

 

 

 

 

 

 

9.13%, 11/15/14

 

 

335

 

 

351,750

 

8.50%, 4/15/19

 

 

310

 

 

339,837

 

7.25%, 9/15/20

 

 

610

 

 

637,450

 

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

 

 

150

 

 

146,625

 

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

 

 

95

 

 

95,000

 

Tenet Healthcare Corp.:

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

555

 

 

591,075

 

10.00%, 5/01/18

 

 

625

 

 

703,125

 

8.88%, 7/01/19

 

 

195

 

 

210,844

 

WellPoint, Inc., 5.95%, 12/15/34

 

 

1,000

 

 

1,085,234

 

 

 

 

 

 



 

 

 

 

 

 

 

4,417,240

 









Health Care Technology — 0.8%

 

 

 

 

 

 

 

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

 

 

660

 

 

764,775

 









Hotels, Restaurants & Leisure — 1.4%

 

 

 

 

 

 

 

Diamond Resorts Corp., 12.00%, 8/15/18 (b)

 

 

310

 

 

292,950

 

Harrah’s Operating Co., Inc., 11.25%, 6/01/17

 

 

135

 

 

144,450

 

MGM Resorts International, 10.38%, 5/15/14

 

 

750

 

 

817,500

 

Marina District Finance Co., Inc., 9.88%,
8/15/18 (b)

 

 

100

 

 

99,750

 

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

 

 

50

 

 

37

 

 

 

 

 

 



 

 

 

 

 

 

 

1,354,687

 









Household Durables — 2.4%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

6.88%, 7/15/15

 

 

65

 

 

56,225

 

8.13%, 6/15/16

 

 

50

 

 

43,750

 

12.00%, 10/15/17

 

 

280

 

 

315,350

 

9.13%, 6/15/18

 

 

840

 

 

743,400

 

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

 

 

250

 

 

234,375

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

9.25%, 4/15/12

 

 

50

 

 

51,313

 

6.25%, 4/01/14

 

 

40

 

 

37,300

 

7.00%, 8/15/15

 

 

55

 

 

50,600

 

10.75%, 9/15/16

 

 

565

 

 

594,662

 

8.38%, 5/15/18

 

 

220

 

 

211,750

 

 

 

 

 

 



 

 

 

 

 

 

 

2,338,725

 










 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

AUGUST 31, 2010

73




 

 


 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









IT Services — 0.7%

 

 

 

 

 

 

 

iPayment, Inc., 9.75%, 5/15/14

 

USD

175

 

$

158,156

 

iPayment Investors LP, 12.75%, 7/15/14 (b)(e)

 

 

217

 

 

185,893

 

SunGard Data Systems, Inc., 10.63%, 5/15/15

 

 

295

 

 

325,975

 

 

 

 

 

 



 

 

 

 

 

 

 

670,024

 









Independent Power Producers &

 

 

 

 

 

 

 

Energy Traders — 1.8%

 

 

 

 

 

 

 

AES Ironwood LLC, 8.86%, 11/30/25

 

 

91

 

 

92,161

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

515

 

 

540,750

 

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

 

 

1,005

 

 

967,818

 

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

 

 

28

 

 

26,907

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

75

 

 

76,500

 

7.38%, 2/01/16

 

 

15

 

 

15,113

 

7.38%, 1/15/17

 

 

25

 

 

25,187

 

 

 

 

 

 



 

 

 

 

 

 

 

1,744,436

 









Industrial Conglomerates — 1.4%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

460

 

 

473,800

 

13.50%, 12/01/15 (e)

 

 

854

 

 

888,429

 

 

 

 

 

 



 

 

 

 

 

 

 

1,362,229

 









Insurance — 1.8%

 

 

 

 

 

 

 

Lincoln National Corp., 8.75%, 7/01/19

 

 

575

 

 

734,188

 

MetLife, Inc., 4.75%, 2/08/21

 

 

300

 

 

313,682

 

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

 

 

250

 

 

276,945

 

Prudential Financial, Inc., 5.38%, 6/21/20

 

 

400

 

 

430,801

 

 

 

 

 

 



 

 

 

 

 

 

 

1,755,616

 









Life Sciences Tools & Services — 0.2%

 

 

 

 

 

 

 

Patheon, Inc., 8.63%, 4/15/17 (b)

 

 

210

 

 

209,213

 









Machinery — 1.2%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

 

220

 

 

187,000

 

Accuride Corp., 7.50%, 2/26/20 (c)(e)

 

 

2

 

 

4,872

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (c)

 

 

470

 

 

512,888

 

8.25%, 11/01/21

 

 

400

 

 

419,000

 

 

 

 

 

 



 

 

 

 

 

 

 

1,123,760

 









Marine — 0.5%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (c)

 

 

595

 

 

499,800

 









Media — 12.3%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

 

750

 

 

768,750

 

10.13%, 10/15/13

 

 

155

 

 

158,488

 

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

 

 

289

 

 

342,973

 

Clear Channel Worldwide Holdings, Inc.:

 

 

 

 

 

 

 

9.25%, 12/15/17

 

 

144

 

 

149,400

 

Series B, 9.25%, 12/15/17

 

 

1,439

 

 

1,509,151

 

CMP Susquehanna Corp., 3.64%, 5/15/14 (b)(f)

 

 

40

 

 

800

 

DIRECTV Holdings LLC, 6.00%, 8/15/40

 

 

175

 

 

184,183

 

DISH DBS Corp., 7.00%, 10/01/13

 

 

201

 

 

209,291

 

Gannett Co., Inc., 9.38%, 11/15/17 (b)

 

 

130

 

 

142,350

 

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

 

 

15

 

 

14,438

 

Interactive Data Corp., 10.25%, 8/01/18 (b)

 

 

380

 

 

394,250

 

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

 

 

165

 

 

159,225

 

McClatchy Co., 11.50%, 2/15/17 (b)

 

 

340

 

 

351,050

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Media (concluded)

 

 

 

 

 

 

 

News America, Inc., 6.20%, 12/15/34

 

USD

1,500

 

$

1,641,763

 

Nielsen Finance LLC, 10.00%, 8/01/14

 

 

435

 

 

456,750

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

210

 

 

210,263

 

10.38%, 9/01/14

 

 

1,455

 

 

1,509,562

 

Regal Entertainment Group, 9.13%, 8/15/18

 

 

85

 

 

87,125

 

Seat Pagine Gialle SpA, 10.50%, 1/31/17 (b)

 

EUR

66

 

 

77,784

 

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

 

USD

1,000

 

 

1,239,642

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

 

490

 

 

467,950

 

Time Warner Cable, Inc., 6.75%, 6/15/39

 

 

400

 

 

469,520

 

UPC Germany GmbH (b):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

USD

200

 

 

205,500

 

8.13%, 12/01/17

 

EUR

210

 

 

271,445

 

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

 

USD

200

 

 

208,250

 

Unitymedia Hessen GmbH & Co. KG:

 

 

 

 

 

 

 

9.63%, 12/01/19

 

EUR

50

 

 

66,372

 

9.63%, 12/01/19 (b)

 

 

190

 

 

252,215

 

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

 

 

165

 

 

212,233

 

 

 

 

 

 



 

 

 

 

 

 

 

11,760,723

 









Metals & Mining — 2.7%

 

 

 

 

 

 

 

AK Steel Corp., 7.63%, 5/15/20

 

USD

25

 

 

25,188

 

Aleris International, Inc., 10.00%, 12/15/16 (a)(g)

 

 

315

 

 

120

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

285

 

 

298,181

 

7.38%, 2/15/16

 

 

95

 

 

95,119

 

FMG Finance Property Ltd., 10.63%, 9/01/16 (b)

 

 

390

 

 

451,912

 

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

 

 

245

 

 

297,981

 

McJunkin Red Man Corp., 9.50%, 12/15/16 (b)

 

 

225

 

 

198,562

 

Murray Energy Corp., 10.25%, 10/15/15 (b)

 

 

200

 

 

204,500

 

New World Resources NV:

 

 

 

 

 

 

 

7.38%, 5/15/15

 

EUR

65

 

 

80,724

 

7.88%, 5/01/18 (b)

 

 

76

 

 

97,274

 

Newmont Mining Corp., 5.13%, 10/01/19

 

USD

225

 

 

249,876

 

Novelis, Inc., 11.50%, 2/15/15

 

 

275

 

 

302,500

 

Steel Dynamics, Inc., 7.38%, 11/01/12

 

 

80

 

 

85,000

 

United States Steel Corp., 7.38%, 4/01/20

 

 

190

 

 

192,375

 

 

 

 

 

 



 

 

 

 

 

 

 

2,579,312

 









Multi-Utilities — 0.4%

 

 

 

 

 

 

 

DTE Energy Co., 7.05%, 6/01/11

 

 

250

 

 

261,021

 

Dominion Resources, Inc., 5.70%, 9/17/12

 

 

100

 

 

108,962

 

 

 

 

 

 



 

 

 

 

 

 

 

369,983

 









Multiline Retail — 1.4%

 

 

 

 

 

 

 

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

 

 

1,135

 

 

1,305,250

 









Oil, Gas & Consumable Fuels — 8.0%

 

 

 

 

 

 

 

Anadarko Petroleum Corp., 5.95%, 9/15/16

 

 

365

 

 

361,495

 

Arch Coal, Inc.:

 

 

 

 

 

 

 

8.75%, 8/01/16

 

 

25

 

 

27,063

 

7.25%, 10/01/20

 

 

315

 

 

319,725

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

425

 

 

488,219

 

10.75%, 2/01/18

 

 

25

 

 

27,563

 

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

 

 

100

 

 

101,000

 

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

 

 

20

 

 

21,700

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.63%, 8/15/20

 

 

865

 

 

868,244

 

2.25%, 12/15/38 (c)

 

 

275

 

 

205,906

 

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

 

 

110

 

 

113,025

 

ConocoPhillips, 6.00%, 1/15/20

 

 

150

 

 

182,398

 

Consol Energy, Inc., 8.25%, 4/01/20 (b)

 

 

725

 

 

769,406

 

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

 

 

150

 

 

154,875

 

Denbury Resources, Inc., 8.25%, 2/15/20

 

 

259

 

 

276,482

 


 

 

 

 

See Notes to Financial Statements.





74

ANNUAL REPORT

AUGUST 31, 2010

 




 

 


 

 

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)

 

 

 

 

 

 

 

Enterprise Products Operating LLC, 3.70%, 6/01/15

 

USD

500

 

$

520,973

 

Linn Energy LLC, 8.63%, 4/15/20 (b)

 

 

115

 

 

121,325

 

Massey Energy Co., 6.88%, 12/15/13

 

 

340

 

 

344,250

 

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

 

 

695

 

 

731,487

 

OPTI Canada, Inc. (b):

 

 

 

 

 

 

 

9.00%, 12/15/12

 

 

640

 

 

641,600

 

9.75%, 8/15/13

 

 

330

 

 

325,875

 

Patriot Coal Corp., 8.25%, 4/30/18

 

 

150

 

 

148,875

 

Peabody Energy Corp., 6.50%, 9/15/20

 

 

310

 

 

325,887

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

5.88%, 3/01/18

 

 

200

 

 

217,211

 

7.88%, 3/15/19

 

 

100

 

 

122,430

 

6.88%, 1/20/40

 

 

25

 

 

27,583

 

QEP Resources, Inc., 6.88%, 3/01/21

 

 

155

 

 

161,587

 

Whiting Petroleum Corp., 7.25%, 5/01/12

 

 

15

 

 

15,000

 

 

 

 

 

 



 

 

 

 

 

 

 

7,621,184

 









Paper & Forest Products — 2.6%

 

 

 

 

 

 

 

Boise Paper Holdings LLC:

 

 

 

 

 

 

 

9.00%, 11/01/17

 

 

125

 

 

131,563

 

8.00%, 4/01/20

 

 

65

 

 

66,138

 

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

 

 

160

 

 

180,000

 

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

 

 

355

 

 

388,725

 

Glatfelter, 7.13%, 5/01/16 (b)

 

 

80

 

 

80,500

 

International Paper Co., 7.30%, 11/15/39

 

 

225

 

 

253,533

 

NewPage Corp., 11.38%, 12/31/14

 

 

1,240

 

 

1,007,500

 

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

 

 

330

 

 

348,150

 

 

 

 

 

 



 

 

 

 

 

 

 

2,456,109

 









Pharmaceuticals — 0.9%

 

 

 

 

 

 

 

Novasep Holding SAS, 9.63%, 12/15/16 (b)

 

EUR

221

 

 

235,252

 

Wyeth, 6.50%, 2/01/34

 

USD

500

 

 

630,249

 

 

 

 

 

 



 

 

 

 

 

 

 

865,501

 









Professional Services — 0.5%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.63%, 6/15/13

 

 

450

 

 

455,625

 









Real Estate Investment Trusts (REITs) — 0.5%

 

 

 

 

 

 

 

iStar Financial, Inc., 5.65%, 9/15/11

 

 

500

 

 

458,125

 









Road & Rail — 0.9%

 

 

 

 

 

 

 

Avis Budget Car Rental LLC, 9.63%, 3/15/18

 

 

190

 

 

198,550

 

Canadian National Railway Co., 6.90%, 7/15/28

 

 

500

 

 

641,535

 

 

 

 

 

 



 

 

 

 

 

 

 

840,085

 









Software — 0.5%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.59%, 2/15/12 (b)(e)

 

 

80

 

 

1,590

 

Oracle Corp., 5.38%, 7/15/40 (b)

 

 

475

 

 

514,895

 

 

 

 

 

 



 

 

 

 

 

 

 

516,485

 









Specialty Retail — 0.8%

 

 

 

 

 

 

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (c)(h)

 

 

50

 

 

38,063

 

Ltd. Brands, Inc., 8.50%, 6/15/19

 

 

320

 

 

361,600

 

Sonic Automotive, Inc.:

 

 

 

 

 

 

 

9.00%, 3/15/18

 

 

115

 

 

117,012

 

Series B, 8.63%, 8/15/13

 

 

205

 

 

208,075

 

 

 

 

 

 



 

 

 

 

 

 

 

724,750

 









Textiles, Apparel & Luxury Goods — 0.1%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.88%, 4/15/15

 

 

100

 

 

92,500

 









Tobacco — 0.3%

 

 

 

 

 

 

 

Altria Group, Inc., 9.25%, 8/06/19

 

 

105

 

 

137,605

 

Vector Group Ltd., 11.00%, 8/15/15

 

 

120

 

 

122,250

 

 

 

 

 

 



 

 

 

 

 

 

 

259,855

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Wireless Telecommunication Services — 4.4%

 

 

 

 

 

 

 

America Movil SAB de CV, 5.00%, 3/30/20

 

USD

400

 

$

435,901

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

10.00%, 7/15/15

 

 

310

 

 

324,725

 

7.75%, 5/15/16

 

 

530

 

 

547,225

 

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

 

 

375

 

 

417,230

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

170

 

 

171,275

 

9.13%, 1/15/15 (e)

 

 

439

 

 

441,195

 

8.25%, 9/01/17

 

 

250

 

 

259,687

 

iPCS, Inc., 2.59%, 5/01/13 (f)

 

 

20

 

 

18,700

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

855

 

 

889,200

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

210

 

 

209,475

 

Series F, 5.95%, 3/15/14

 

 

30

 

 

28,988

 

SBA Tower Trust, 4.25%, 4/15/40 (b)

 

 

325

 

 

346,797

 

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

 

 

200

 

 

167,000

 

 

 

 

 

 



 

 

 

 

 

 

 

4,257,398

 









Total Corporate Bonds — 93.4%

 

 

 

 

 

89,458,511

 










 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)









Auto Components — 1.0%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan,
3.04%, 8/07/14

 

 

1,054

 

 

970,807

 









Automobiles — 1.3%

 

 

 

 

 

 

 

Ford Motor Co., Tranche B-1 Term Loan,
3.03%, 12/15/13

 

 

1,301

 

 

1,251,774

 









Commercial Services & Supplies — 1.1%

 

 

 

 

 

 

 

AWAS Finance Luxembourg Sarl, Term Loan,
7.75%, 6/10/16

 

 

500

 

 

502,917

 

Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16

 

 

225

 

 

226,219

 

International Lease Finance Corp. (Delos Aircraft, Inc.),
Term Loan 1, 6.75%, 3/17/15

 

 

300

 

 

302,375

 

 

 

 

 

 



 

 

 

 

 

 

 

1,031,511

 









Construction & Engineering — 0.8%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Term Loan,
15.63%, 12/14/17

 

 

750

 

 

750,000

 









Consumer Finance — 1.8%

 

 

 

 

 

 

 

AGFS Funding Co., Term Loan,
7.25%, 4/21/15

 

 

1,500

 

 

1,482,188

 

DaimlerChrysler Financial Services Americas LLC,
Term Loan (Second Lien), 6.78%, 8/05/13

 

 

225

 

 

224,201

 

 

 

 

 

 



 

 

 

 

 

 

 

1,706,389

 









Diversified Consumer Services — 0.5%

 

 

 

 

 

 

 

Laureate Education, Series A New Term Loan,
7.00%, 8/15/14

 

 

497

 

 

489,161

 









Electric Utilities — 0.5%

 

 

 

 

 

 

 

New Development Holdings LLC, Term Loan, 7.00%,
7/03/17

 

 

450

 

 

454,500

 









Health Care Providers & Services — 0.7%

 

 

 

 

 

 

 

Harden Healthcare:

 

 

 

 

 

 

 

Add-on Term Loan, 7.75%, 3/02/15

 

 

200

 

 

194,218

 

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

 

 

198

 

 

196,000

 

inVentiv Health, Inc. (FKA Ventive Health Inc.),
Term Loan B, 6.50%, 7/31/16

 

 

300

 

 

299,438

 

 

 

 

 

 



 

 

 

 

 

 

 

689,656

 










 

 

 

 

See Notes to Financial Statements.





 

ANNUAL REPORT

AUGUST 31, 2010

75



 

 



 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 









IT Services — 0.5%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

First Lien Term Loan, 3.01%, 9/24/14

 

USD

62

 

$

53,306

 

Initial Tranche B-2 Term Loan, 3.01%, 9/24/14

 

 

154

 

 

131,060

 

Initial Tranche B-3 Term Loan, 3.01%, 9/24/14

 

 

379

 

 

322,989

 

 

 

 

 

 



 

 

 

 

 

 

 

507,355

 









Independent Power Producers &
Energy Traders — 1.2%

 

 

 

 

 

 

 

Dynegy Holdings, Inc., Term Letter of Credit Facility,
4.02%, 4/02/13

 

 

45

 

 

44,313

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

Extended Maturity Credit-Linked Deposit,
1.88%, 8/31/15

 

 

82

 

 

81,485

 

Original Maturity Credit-Linked Deposit,
2.03%, 2/01/13

 

 

(i)

 

31

 

Term Loan, 2.03%, 2/01/13

 

 

26

 

 

25,555

 

Term Loan, 3.78%, 8/31/15

 

 

98

 

 

96,211

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan,
3.79% – 4.03%, 10/10/14

 

 

987

 

 

748,010

 

Initial Tranche B-2 Term Loan,
3.79% – 4.07%, 10/10/14

 

 

237

 

 

179,894

 

 

 

 

 

 



 

 

 

 

 

 

 

1,175,499

 









Media — 1.1%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson
Learning), Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

 

 

490

 

 

488,367

 

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

 

 

550

 

 

583,687

 

 

 

 

 

 



 

 

 

 

 

 

 

1,072,054

 









Multiline Retail — 0.0%

 

 

 

 

 

 

 

The Neiman Marcus Group, Inc., Term Loan,
2.29% – 2.54%, 4/06/13

 

 

4

 

 

3,752

 









Real Estate Management & Development — 0.5%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Initial Term Loan B, 3.30%, 10/10/13

 

 

392

 

 

338,170

 

Synthetic Letter of Credit, 0.11% – 3.15%,
10/10/13

 

 

67

 

 

57,971

 

Second Lien Term Facility, 13.50%, 10/15/17

 

 

75

 

 

79,125

 

 

 

 

 

 



 

 

 

 

 

 

 

475,266

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term Loan B, 3.05%, 5/29/14

 

 

64

 

 

54,681

 









Wireless Telecommunication Services — 0.8%

 

 

 

 

 

 

 

Vodafone Group Plc, Revolving Credit,
6.88%, 7/30/15

 

 

750

 

 

750,000

 









Total Floating Rate Loan Interests — 11.9%

 

 

 

 

 

11,382,405

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

 

 

 

 

 

 









Qatar Government International Bond,
4.00%, 1/20/15 (b)

 

 

200

 

 

210,000

 

Republic of Indonesia, 5.88%, 3/13/20 (b)

 

 

200

 

 

225,740

 









Total Foreign Agency Obligations — 0.4%

 

 

 

 

 

435,740

 









 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

Value

 









Auto Components — 1.5%

 

 

 

 

 

 

 

Delphi Debtor-in-Possession Holding Co. LLP

 

USD

(i)

$

1,416,687

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

 

1

 

 

190

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Communications Corp.

 

 

400

 

 

6,000

 









Total Other Interests — 1.5%

 

 

 

 

 

1,422,877

 









 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000)

 

 

 

 









Commercial Banks — 1.0%

 

 

 

 

 

 

 

Barclays Bank Plc, 8.55%, (b)(f)(k)

 

 

650

 

 

653,250

 

USB Capital XIII Trust, 6.63%, 12/15/39

 

 

225

 

 

248,258

 

 

 

 

 

 



 

 

 

 

 

 

 

901,508

 









Consumer Finance — 0.5%

 

 

 

 

 

 

 

Capital One Capital V, 10.25%, 8/15/39

 

 

465

 

 

502,200

 









Total Capital Trusts — 1.5%

 

 

 

 

 

1,403,708

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Preferred Stocks

 

 

Shares

 

 

 

 









Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

Ally Financial Inc., 7.00% (b)

 

 

472

 

 

389,887

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp. (a)(b)

 

 

9,328

 

 

 









Real Estate Investment Trusts (REITs) — 0.0%

 

 

 

 

 

 

 

MPG Office Trust, Inc., Series A, 7.63% (a)

 

 

3,277

 

 

35,359

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. (a)

 

 

55

 

 

65,455

 









Total Preferred Stocks — 0.5%

 

 

 

 

 

490,701

 









Total Preferred Securities — 2.0%

 

 

 

 

 

1,894,409

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Warrants (l)

 

 

 

 

 

 

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(Expires 3/26/19) (b)

 

 

10,660

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









Total Long-Term Investments
(Cost — $101,601,953) — 109.4%

 

 

 

 

 

104,824,448

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.25% (m)(n)

 

 

1,132,209

 

 

1,132,209

 









Total Short-Term Securities
(Cost — $1,132,209) — 1.2%

 

 

 

 

 

1,132,209

 










 

 

 

 

See Notes to Financial Statements.

 

 


76

ANNUAL REPORT

AUGUST 31, 2010

 




 

 



 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)


 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

Value

 









Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price
USD 942.86, Expires 12/21/19, Broker
Goldman Sachs Bank USA

 

 

6

 

 

 









Total Options Purchased
(Cost — $5,867) — 0.0%

 

 

 

 

 

 









Total Investments Before Options Written
(Cost — $102,740,029*) — 110.6%

 

 

 

 

$

105,956,657

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Options Written

 

Notional
Amount
(000)

 

 

 

 









Over-the-Counter Call Swaptions — 0.0%

 

 

 

 

 

 

 

Bought credit default protection on Dow Jones CDX
North America High Yield Index Series 14 Volume 1,
Strike Price USD 100.00, Expires 9/15/10, Broker
Credit Suisse International

 

USD

2,125

 

 

(1,182

)

Bought credit default protection on Dow Jones CDX
North America High Yield Series 14 Volume 1,
Strike Price USD 96.00, Expires 9/15/10, Broker
Credit Suisse International

 

 

1,200

 

 

(13,466

)

 

 

 

 

 



 

 

 

 

 

 

 

(14,648

)









Over-the-Counter Put Swaptions — 0.0%

 

 

 

 

 

 

 

Sold credit default protection on Dow Jones CDX
North America High Yield Series 14 Volume 1,
Strike Price USD 87.00, Expires 9/15/10, Broker
Credit Suisse International

 

 

1,200

 

 

(19

)









Total Options Written (Premiums Received — $41,825) — 0.0%

 

 

 

 

 

(14,667

)









Total Investments, Net of Options Written — 110.6%

 

 

 

 

 

105,941,990

 

Liabilities in Excess of Other Assets — (10.6)%

 

 

 

 

 

(10,147,819

)

 

 

 

 

 



 

Net Assets — 100.0%

 

 

 

 

$

95,794,171

 

 

 

 

 

 



 


 

 

 


*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

 

 

 

 

 

Aggregate cost

 

 

 

 

$

102,781,211

 

 

 

 

 

 

 



 

 

Gross unrealized appreciation

 

 

 

 

$

5,574,363

 

 

Gross unrealized depreciation

 

 

 

 

 

(2,398,917

)

 

 

 

 

 

 



 

 

Net unrealized appreciation

 

 

 

 

$

3,175,446

 

 

 

 

 

 

 



 


 

 

(a)

Non-income producing security.

 

 

(b)

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

 

 

(c)

Convertible security.

 

 

(d)

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

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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

 

 

(h)

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.

 

 

(i)

Amount is less than $1,000.

 

 

(j)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(k)

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

 

 

(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)

Investments in companies considered to be an affiliate of the Trust during the year, 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,
2009

 

Net
Activity

 

Shares Held at
August 31,
2010

 

Income

 

 











 

BlackRock Liquidity
Funds, TempFund,
Institutional Class

 

4,155,886

 

(3,023,677)

 

1,132,209

 

$3,384

 

 












 

 

(n)

Represents the current yield as of report date.

 

 

Financial futures contracts purchased as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation
(Depreciation)

 













11

 

2-Year U.S.
Treasury
Bond

 

Chicago
Mercantile

 

September
2010

 

$

2,410,157

 

$

3,656

 

11

 

2-Year U.S.
Treasury
Bond

 

Chicago
Mercantile

 

December
2010

 

$

2,408,849

 

 

1,698

 

2

 

5-Year U.S.
Treasury
Bond

 

Chicago
Mercantile

 

December
2010

 

$

240,762

 

 

(121

)

28

 

30-Year U.S.
Treasury
Bond

 

Chicago
Mercantile

 

December
2010

 

$

3,755,133

 

 

25,742

 















Total

 

 

 

 

 

 

 

 

 

 

$

30,975

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Financial futures contracts sold as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Depreciation

 













20

 

10-Year U.S.
Treasury
Bond

 

Chicago
Mercantile

 

December
2010

 

$

2,507,071

 

$

(5,429

)

11

 

30-Year U.S.
Treasury
Bond

 

Chicago
Mercantile

 

December
2010

 

$

1,559,367

 

 

(31,164

)















Total

 

 

 

 

 

 

 

 

 

 

$

(36,593

)

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

77



 

 


 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)


 

 

Foreign currency exchange contracts as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation

 











USD

2,034,696

 

EUR

1,604,500

 

Citibank NA

 

9/15/10

 

$

1,437

 

USD

116,701

 

EUR

90,500

 

Deutsche Bank AG

 

9/15/10

 

 

2,017

 














Total

 

 

 

 

 

 

 

 

$

3,454

 

 

 

 

 

 

 

 

 

 



 


 

 

Credit default swaps on single-name issuers — buy protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation

 













iStar
Financial, Inc.

 

5.00%

 

Morgan
Stanley Capital
Services, Inc.

 

September
2011

 

$

250

 

$

6,269

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

iStar
Financial, Inc.

 

5.00%

 

Morgan
Stanley Capital
Services, Inc.

 

September
2011

 

$

250

 

 

5,694

 















Total

 

 

 

 

 

 

 

 

 

 

$

11,963

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 

Credit default swaps on single-name issuers — sold protection outstanding as of August 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation

 















Levi
Strauss & Co.

 

5.00%

 

Citibank NA

 

June 2015

 

B+

 

$

150

 

$

92

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MetLife, Inc.

 

5.00%

 

Deutsche
Bank AG

 

June 2015

 

A–

 

$

150

 

 

5,634

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MetLife, Inc.

 

1.00%

 

UBS AG

 

September
2015

 

A–

 

$

175

 

 

117

 

















Total

 

 

 

 

 

 

 

 

 

 

 

 

$

5,843

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 


 

 

 

 

 

 

1

Using S&P’s rating.

 

 

 

 

 

 

2

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

 

 

 

 

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

 

 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives, which are as follows:

 

 

 

 

 

Level 1 — 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 derivatives)

 

 

 

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments 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 August 31, 2010 in determining the fair valuation of the Trust’s investments and derivatives:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

197,471

 

$

19,800

 

$

13,235

 

$

230,506

 

Corporate Bonds

 

 

 

 

89,441,058

 

 

17,453

 

 

89,458,511

 

Floating Rate Loan Interests

 

 

 

 

7,961,531

 

 

3,420,874

 

 

11,382,405

 

Foreign Agency Obligations

 

 

 

 

435,740

 

 

 

 

435,740

 

Other Interests

 

 

 

 

1,422,686

 

 

191

 

 

1,422,877

 

Preferred Securities

 

 

425,246

 

 

1,403,708

 

 

65,455

 

 

1,894,409

 

Warrants

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

1,132,209

 

 

 

 

 

 

1,132,209

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unfunded Loan Commitments

 

 

 

 

 

 

(8,879

)

 

(8,879

)

 

 













Total

 

$

1,754,926

 

$

100,684,523

 

$

3,508,329

 

$

105,947,778

 

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 


Derivative Financial Instruments1


Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

$

17,806

 

 

 

$

17,806

 

Foreign currency exchange contracts

 

 

 

 

3,454

 

 

 

 

3,454

 

Interest rate contracts

 

$

31,096

 

 

 

 

 

 

31,096

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit contracts

 

 

 

 

(14,667

)

 

 

 

(14,667

)

Interest rate contracts

 

 

(36,714

)

 

 

 

 

 

(36,714

)

 

 













Total

 

$

(5,618

)

$

6,593

 

 

 

$

975

 

 

 














 

 

 

 

 

 

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.


 

 

 

 

See Notes to Financial Statements.


78

ANNUAL REPORT

AUGUST 31, 2010

 



 

 


 

 

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
Stocks

 

Unfunded
Loan
Commitments

 

Total

 

















Assets/Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, as of August 31, 2009

 

 

 

$

804,535

 

$

3,501,727

 

$

191

 

 

 

 

 

$

4,306,453

 

Accrued discounts/premiums

 

 

 

 

4,712

 

 

29,217

 

 

 

 

 

 

 

 

33,929

 

Realized gain (loss)

 

 

 

 

(64,033

)

 

262,611

 

 

 

 

 

 

 

 

198,578

 

Change in unrealized appreciation/depreciation2

 

 

 

 

1,003,734

 

 

316,547

 

 

 

 

 

$

(8,879

)

 

1,311,402

 

Purchases

 

 

 

 

(409,208

)

 

7,873,916

 

 

 

 

 

 

 

 

7,464,708

 

Sales

 

 

 

 

(1,153,048

)

 

(9,605,509

)

 

 

 

 

 

 

 

(10,758,557

)

Transfers in3

 

$

13,235

 

 

16,653

 

 

2,114,419

 

 

 

$

65,455

 

 

 

 

2,209,762

 

Transfers out3

 

 

 

 

(185,892

)

 

(1,072,054

)

 

 

 

 

 

 

 

(1,257,946

)

 

 






















Balance, as of August 31, 2010

 

$

13,235

 

$

17,453

 

$

3,420,874

 

$

191

 

$

65,455

 

$

(8,879

)

$

3,508,329

 

 

 























 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The net change in unrealized appreciation/depreciation on securities still held at August 31, 2010 was $19,543.

 

 

 

 

3

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


 

 

 

 

See Notes to Financial Statements.

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

79




 


 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

August 31, 2010

 

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)

 













Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Investments at value – unaffiliated1

 

$

599,571,750

 

$

464,703,309

 

$

479,037,264

 

$

140,611,611

 

$

48,894,660

 

Investments at value – affiliated2

 

 

506,274

 

 

2,725,924

 

 

1,808,758

 

 

2,032,818

 

 

1,573,222

 

Unrealized appreciation on foreign currency exchange contracts

 

 

227,544

 

 

15,140

 

 

16,013

 

 

2,498

 

 

 

Unrealized appreciation on swaps

 

 

1,171,712

 

 

296,315

 

 

320,659

 

 

 

 

168

 

Foreign currency at value3

 

 

32,477

 

 

45,065

 

 

48,921

 

 

11,693

 

 

 

Cash

 

 

164,635

 

 

 

 

 

 

 

 

1,952

 

Cash pledged as collateral in connection with swaps

 

 

 

 

 

 

 

 

 

 

 

Cash pledged as collateral in connection with financial futures contracts

 

 

529,000

 

 

1,130,000

 

 

1,160,000

 

 

240,000

 

 

 

TBA sale commitments receivable

 

 

75,294,672

 

 

 

 

 

 

 

 

 

Investments sold receivable

 

 

89,011,324

 

 

2,423,060

 

 

2,570,734

 

 

663,417

 

 

256,676

 

Interest receivable

 

 

5,410,808

 

 

8,379,727

 

 

8,925,199

 

 

2,616,487

 

 

874,752

 

Swaps receivable

 

 

285,103

 

 

73,350

 

 

79,350

 

 

 

 

550

 

Options written receivable

 

 

254,598

 

 

 

 

 

 

 

 

 

Margin variation receivable

 

 

182,210

 

 

 

 

 

 

 

 

 

Swap premiums paid

 

 

73,030

 

 

370,617

 

 

328,014

 

 

 

 

2,781

 

Dividend receivable — affiliated

 

 

288

 

 

189

 

 

282

 

 

74

 

 

59

 

Principal paydowns receivable

 

 

 

 

 

 

 

 

 

 

 

Prepaid expenses

 

 

31,911

 

 

118,864

 

 

124,771

 

 

50,948

 

 

17,494

 

Other assets

 

 

42,896

 

 

244,189

 

 

301,770

 

 

55,580

 

 

33,745

 

 

 
















Total assets

 

 

772,790,232

 

 

480,525,749

 

 

494,721,735

 

 

146,285,126

 

 

51,656,059

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Borrowed bonds4

 

 

298,780

 

 

 

 

 

 

 

 

 

TBA sale commitments at value5

 

 

75,423,223

 

 

 

 

 

 

 

 

 

Options written at value6

 

 

12,054,731

 

 

58,107

 

 

61,166

 

 

 

 

6,709

 

Loan payable

 

 

 

 

92,000,000

 

 

89,000,000

 

 

25,000,000

 

 

8,000,000

 

TALF loans at value7

 

 

11,763,225

 

 

 

 

 

 

 

 

 

Bank overdraft

 

 

 

 

 

 

212,807

 

 

 

 

 

Unrealized depreciation on swaps

 

 

1,958,620

 

 

340,369

 

 

243,603

 

 

 

 

3,699

 

Unrealized depreciation on foreign currency exchange contracts

 

 

287,611

 

 

57,333

 

 

57,910

 

 

2,840

 

 

 

Unrealized depreciation on unfunded loan commitments

 

 

 

 

70,023

 

 

36,123

 

 

2,026

 

 

4,001

 

Interest rate floors at value

 

 

 

 

 

 

 

 

 

 

 

Reverse repurchase agreements

 

 

107,279,926

 

 

 

 

 

 

 

 

 

Investments purchased payable

 

 

129,357,646

 

 

4,213,642

 

 

2,057,891

 

 

1,312,659

 

 

488,497

 

Treasury rolls payable

 

 

49,894,552

 

 

 

 

 

 

 

 

 

Investment advisory fees payable

 

 

235,473

 

 

238,017

 

 

289,140

 

 

90,314

 

 

45,384

 

Swap premiums received

 

 

198,261

 

 

410,896

 

 

453,043

 

 

 

 

2,201

 

Swaps payable

 

 

137,050

 

 

35,300

 

 

32,300

 

 

 

 

700

 

Interest expense payable

 

 

88,285

 

 

174,323

 

 

175,925

 

 

44,654

 

 

14,535

 

Officer’s and Trustees’ fees payable

 

 

45,292

 

 

60,833

 

 

62,855

 

 

10,306

 

 

9,981

 

Income dividends payable

 

 

44,861

 

 

75,857

 

 

93,493

 

 

33,106

 

 

5,591

 

Other affiliates payable

 

 

1,686

 

 

1,502

 

 

1,556

 

 

456

 

 

 

Commitment fees payable

 

 

682

 

 

2,524

 

 

2,737

 

 

829

 

 

333

 

Margin variation payable

 

 

 

 

33,600

 

 

34,400

 

 

7,200

 

 

 

Administration fees payable

 

 

 

 

 

 

 

 

 

 

4,332

 

Other accrued expenses payable

 

 

180,763

 

 

150,176

 

 

146,976

 

 

139,045

 

 

89,964

 

 

 
















Total liabilities

 

 

389,250,667

 

 

97,922,502

 

 

92,961,925

 

 

26,643,435

 

 

8,675,927

 

 

 
















Net Assets

 

$

383,539,565

 

$

382,603,247

 

$

401,759,810

 

$

119,641,691

 

$

42,980,132

 

 

 
















1 Investments at cost — unaffiliated

 

$

571,829,766

 

$

470,023,714

 

$

485,130,819

 

$

141,582,716

 

$

50,439,826

 

 

 
















2 Investments at cost — affiliated

 

$

506,274

 

$

2,725,924

 

$

1,808,758

 

$

2,032,818

 

$

1,573,222

 

 

 
















3 Foreign currency at cost

 

$

32,447

 

$

45,294

 

$

49,021

 

$

11,837

 

 

 

 

 
















4 Proceeds from borrowed bonds

 

$

298,807

 

 

 

 

 

 

 

 

 

 

 
















5 Proceeds from TBA sale commitments

 

$

75,294,672

 

 

 

 

 

 

 

 

 

 

 
















6 Premiums received

 

$

8,630,370

 

$

166,000

 

$

174,750

 

 

 

$

19,050

 

 

 
















7 Proceeds from TALF loans

 

$

11,763,225

 

 

 

 

 

 

 

 

 

 

 

















 

 

 

 

See Notes to Financial Statements.

 





80

ANNUAL REPORT

AUGUST 31, 2010

 




 


 


 

 

 

 

 

 

 

 

 

 

 

August 31, 2010

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 









Assets

 

 

 

 

 

 

 

 

 

 












Investments at value – unaffiliated1

 

$

573,604,191

 

$

1,049,292,995

 

$

104,824,448

 

Investments at value – affiliated2

 

 

 

 

857,657

 

 

1,132,209

 

Unrealized appreciation on foreign currency exchange contracts

 

 

220,007

 

 

 

 

3,454

 

Unrealized appreciation on swaps

 

 

6,598,697

 

 

52,735,599

 

 

17,806

 

Foreign currency at value3

 

 

72,091

 

 

 

 

199,153

 

Cash

 

 

 

 

 

 

 

Cash pledged as collateral in connection with swaps

 

 

 

 

1,100,000

 

 

 

Cash pledged as collateral in connection with financial futures contracts

 

 

 

 

2,000,000

 

 

40,000

 

TBA sale commitments receivable

 

 

66,590,987

 

 

158,720,620

 

 

 

Investments sold receivable

 

 

90,643,769

 

 

76,917,999

 

 

137,035

 

Interest receivable

 

 

5,259,572

 

 

3,507,929

 

 

1,793,972

 

Swaps receivable

 

 

666,978

 

 

2,916,048

 

 

3,350

 

Options written receivable

 

 

204,336

 

 

 

 

 

Margin variation receivable

 

 

305,240

 

 

 

 

 

Swap premiums paid

 

 

50,712

 

 

145,853

 

 

79,250

 

Dividend receivable — affiliated

 

 

 

 

325

 

 

29

 

Principal paydowns receivable

 

 

 

 

1,744

 

 

 

Prepaid expenses

 

 

32,557

 

 

31,403

 

 

29,272

 

Other assets

 

 

66,480

 

 

82,606

 

 

7,527

 

 

 










Total assets

 

 

744,315,617

 

 

1,348,310,778

 

 

108,267,505

 

 

 










 

 

 

 

 

 

 

 

 

 

 












Liabilities

 

 

 

 

 

 

 

 

 

 












Borrowed bonds4

 

 

293,716

 

 

 

 

 

TBA sale commitments at value5

 

 

66,719,017

 

 

159,088,272

 

 

 

Options written at value6

 

 

11,979,420

 

 

1,886,895

 

 

14,667

 

Loan payable

 

 

 

 

 

 

12,000,000

 

TALF loans at value7

 

 

11,763,225

 

 

11,739,534

 

 

 

Bank overdraft

 

 

772,922

 

 

 

 

515

 

Unrealized depreciation on swaps

 

 

2,377,940

 

 

46,744,510

 

 

 

Unrealized depreciation on foreign currency exchange contracts

 

 

277,446

 

 

 

 

 

Unrealized depreciation on unfunded loan commitments

 

 

 

 

 

 

8,879

 

Interest rate floors at value

 

 

 

 

3,446,023

 

 

 

Reverse repurchase agreements

 

 

106,912,193

 

 

43,578,125

 

 

 

Investments purchased payable

 

 

121,203,349

 

 

526,612,873

 

 

216,926

 

Treasury rolls payable

 

 

39,100,437

 

 

51,666,935

 

 

 

Investment advisory fees payable

 

 

190,602

 

 

272,912

 

 

67,683

 

Swap premiums received

 

 

744,893

 

 

1,322,335

 

 

18,441

 

Swaps payable

 

 

206,922

 

 

4,628,505

 

 

5,000

 

Interest expense payable

 

 

56,946

 

 

23,029

 

 

20,978

 

Officer’s and Trustees’ fees payable

 

 

68,625

 

 

84,903

 

 

9,208

 

Income dividends payable

 

 

47,376

 

 

49,415

 

 

10,276

 

Other affiliates payable

 

 

 

 

 

 

334

 

Commitment fees payable

 

 

 

 

 

 

 

Margin variation payable

 

 

 

 

628,752

 

 

949

 

Administration fees payable

 

 

31,774

 

 

63,065

 

 

 

Other accrued expenses payable

 

 

189,338

 

 

214,842

 

 

99,478

 

 

 










Total liabilities

 

 

362,936,141

 

 

852,050,925

 

 

12,473,334

 

 

 










Net Assets

 

$

381,379,476

 

$

496,259,853

 

$

95,794,171

 

 

 










1 Investments at cost — unaffiliated

 

$

546,282,337

 

$

1,034,029,508

 

$

101,607,820

 

 

 










2 Investments at cost — affiliated

 

 

 

$

857,657

 

$

1,132,209

 

 

 










3 Foreign currency at cost

 

$

72,562

 

 

 

$

203,546

 

 

 










4 Proceeds from borrowed bonds

 

$

293,743

 

 

 

 

 

 

 










5 Proceeds from TBA sale commitments

 

$

66,590,987

 

$

158,720,620

 

 

 

 

 










6 Premiums received

 

$

8,239,160

 

$

1,358,915

 

$

41,825

 

 

 










7 Proceeds from TALF loans

 

$

11,763,225

 

$

11,739,534

 

 

 

 

 











 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

81




 


 

Statements of Assets and Liabilities (concluded)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

August 31, 2010

 

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)

 













Net Assets Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Paid-in capital8,9,10

 

$

378,671,939

 

$

469,820,161

 

$

505,109,247

 

$

184,778,474

 

$

63,364,045

 

Cost of shares held in treasury11

 

 

 

 

 

 

 

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

7,202,897

 

 

5,001,402

 

 

5,651,991

 

 

2,972,065

 

 

(99,314

)

Accumulated net realized gain (loss)

 

 

(25,964,063

)

 

(87,025,641

)

 

(103,201,884

)

 

(67,177,539

)

 

(18,745,127

)

Net unrealized appreciation/depreciation

 

 

23,628,792

 

 

(5,192,675

)

 

(5,799,544

)

 

(931,309

)

 

(1,539,472

)

 

 
















Net Assets

 

$

383,539,565

 

$

382,603,247

 

$

401,759,810

 

$

119,641,691

 

$

42,980,132

 

 

 
















Net asset value

 

$

14.19

 

$

11.61

 

$

11.38

 

$

2.19

 

$

6.69

 

 

 
















8 Par value per share

 

$

0.001

 

$

0.100

 

$

0.100

 

 

 

$

0.001

 

 

 
















9 Shares outstanding

 

 

27,023,027

 

 

32,944,087

 

 

35,294,009

 

 

54,620,872

 

 

6,427,525

 

 

 
















10 Shares authorized

 

 

unlimited

 

 

200 million

 

 

200 million

 

 

unlimited

 

 

unlimited

 

 

 
















11 Shares held in treasury

 

 

 

 

 

 

 

 

 

 

 

 

 

















 

 

 

 

See Notes to Financial Statements.

 





82

ANNUAL REPORT

AUGUST 31, 2010

 




 


 


 

 

 

 

 

 

 

 

 

 

 

August 31, 2010

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 









Net Assets Consist of

 

 

 

 

 

 

 

 

 

 












Paid-in capital8,9,10

 

$

402,924,496

 

$

478,542,248

 

$

98,450,652

 

Cost of shares held in treasury11

 

 

(17,377,850

)

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

6,733,590

 

 

(83,711

)

 

1,512,890

 

Accumulated net realized gain (loss)

 

 

(38,810,910

)

 

1,131,639

 

 

(7,415,618

)

Net unrealized appreciation/depreciation

 

 

27,910,150

 

 

16,669,677

 

 

3,246,247

 

 

 










Net Assets

 

$

381,379,476

 

$

496,259,853

 

$

95,794,171

 

 

 










Net asset value

 

$

11.07

 

$

7.76

 

$

13.57

 

 

 










8 Par value per share

 

$

0.010

 

$

0.010

 

$

0.001

 

 

 










9 Shares outstanding

 

 

34,456,370

 

 

63,942,535

 

 

7,058,401

 

 

 










10 Shares authorized

 

 

200 million

 

 

200 million

 

 

unlimited

 

 

 










11 Shares held in treasury

 

 

1,757,400

 

 

 

 

 

 

 











 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

83




 


 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31, 2010

 

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)

 













Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Interest

 

$

27,666,931

 

$

38,809,542

 

$

41,920,599

 

$

12,252,265

 

$

4,109,081

 

Foreign taxes withheld

 

 

 

 

 

 

 

 

 

 

 

Dividends

 

 

 

 

287,874

 

 

116,472

 

 

52,374

 

 

5,062

 

Dividends — affiliated

 

 

8,237

 

 

6,768

 

 

8,450

 

 

3,742

 

 

3,537

 

Facility and other fees

 

 

26,632

 

 

520,074

 

 

72,010

 

 

210,031

 

 

56,267

 

 

 
















Total income

 

 

27,701,800

 

 

39,624,258

 

 

42,117,531

 

 

12,518,412

 

 

4,173,947

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Investment advisory

 

 

2,801,761

 

 

2,681,548

 

 

3,249,917

 

 

1,024,332

 

 

506,315

 

Professional

 

 

120,539

 

 

144,167

 

 

154,968

 

 

97,909

 

 

67,936

 

Printing

 

 

96,851

 

 

47,194

 

 

50,173

 

 

53,112

 

 

18,469

 

Accounting services

 

 

86,388

 

 

101,942

 

 

105,915

 

 

28,517

 

 

14,662

 

Custodian

 

 

55,090

 

 

54,679

 

 

54,808

 

 

25,209

 

 

14,103

 

Officer and Trustees

 

 

46,712

 

 

48,277

 

 

48,490

 

 

13,996

 

 

6,235

 

Transfer agent

 

 

12,308

 

 

44,135

 

 

46,160

 

 

26,741

 

 

13,082

 

Registration

 

 

9,394

 

 

11,434

 

 

12,247

 

 

18,957

 

 

9,356

 

Borrowing costs1

 

 

 

 

420,986

 

 

423,029

 

 

124,201

 

 

53,494

 

Administration

 

 

 

 

 

 

 

 

 

 

48,221

 

Miscellaneous

 

 

138,172

 

 

81,065

 

 

81,918

 

 

51,770

 

 

46,761

 

 

 
















Total expenses excluding interest expense

 

 

3,367,215

 

 

3,635,427

 

 

4,227,625

 

 

1,464,744

 

 

798,634

 

Interest expense

 

 

831,886

 

 

992,008

 

 

956,687

 

 

262,362

 

 

79,870

 

 

 
















Total expenses

 

 

4,199,101

 

 

4,627,435

 

 

5,184,312

 

 

1,727,106

 

 

878,504

 

Less fees waived by advisor

 

 

(1,893

)

 

(1,917

)

 

(2,111

)

 

(1,309

)

 

(1,241

)

Less fees paid indirectly

 

 

 

 

 

 

(140

)

 

 

 

(155

)

 

 
















Total expenses after fees waived and paid indirectly

 

 

4,197,208

 

 

4,625,518

 

 

5,182,061

 

 

1,725,797

 

 

877,108

 

 

 
















Net investment income

 

 

23,504,592

 

 

34,998,740

 

 

36,935,470

 

 

10,792,615

 

 

3,296,839

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

12,485,829

 

 

3,892,608

 

 

(1,575,755

)

 

(886,564

)

 

(1,494,849

)

Financial futures contracts

 

 

5,177,443

 

 

674,074

 

 

674,284

 

 

88,964

 

 

 

Swaps

 

 

(269,014

)

 

(1,247,238

)

 

(1,225,327

)

 

 

 

(27,176

)

Foreign currency transactions

 

 

1,640,792

 

 

3,770,503

 

 

4,028,616

 

 

520,926

 

 

 

Options written

 

 

4,191,347

 

 

 

 

 

 

 

 

 

Borrowed bonds

 

 

(396,380

)

 

 

 

 

 

 

 

 

Interest rate floors

 

 

 

 

 

 

 

 

 

 

 

 

 
















 

 

 

22,830,017

 

 

7,089,947

 

 

1,901,818

 

 

(276,674

)

 

(1,522,025

)

 

 
















Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

26,237,551

 

 

52,457,266

 

 

55,646,301

 

 

17,290,835

 

 

7,422,799

 

Financial futures contracts

 

 

(171,320

)

 

175,503

 

 

180,556

 

 

45,478

 

 

 

Swaps

 

 

231,318

 

 

1,031,444

 

 

1,083,897

 

 

 

 

(7,473

)

Foreign currency transactions

 

 

(44,737

)

 

370,567

 

 

424,758

 

 

101,104

 

 

 

Options written

 

 

(1,549,056

)

 

107,893

 

 

113,584

 

 

 

 

12,341

 

Unfunded loan commitments

 

 

 

 

(70,023

)

 

(36,123

)

 

(2,026

)

 

(4,001

)

Borrowed bonds

 

 

27

 

 

 

 

 

 

 

 

 

Interest rate floors

 

 

 

 

 

 

 

 

 

 

 

 

 
















 

 

 

24,703,783

 

 

54,072,650

 

 

57,412,973

 

 

17,435,391

 

 

7,423,666

 

 

 
















Total realized and unrealized gain

 

 

47,533,800

 

 

61,162,597

 

 

59,314,791

 

 

17,158,717

 

 

5,901,641

 

 

 
















Net Increase in Net Assets Resulting from Operations

 

$

71,038,392

 

$

96,161,337

 

$

96,250,261

 

$

27,951,332

 

$

9,198,480

 

 

 

















 

 

 

 

1

See Note 9 of the Notes to Financial Statements for details of short-term borrowings.


 

 

 

 

See Notes to Financial Statements.

 





84

ANNUAL REPORT

AUGUST 31, 2010

 




 


 


 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31, 2010

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 









Investment Income

 

 

 

 

 

 

 

 

 

 












Interest

 

$

24,330,074

 

$

17,448,414

 

$

8,064,673

 

Foreign taxes withheld

 

 

 

 

 

 

(186

)

Dividends

 

 

 

 

 

 

19,783

 

Dividends — affiliated

 

 

11,142

 

 

230,135

 

 

4,487

 

Facility and other fees

 

 

 

 

 

 

88,655

 

 

 










Total income

 

 

24,341,216

 

 

17,678,549

 

 

8,177,412

 

 

 










 

 

 

 

 

 

 

 

 

 

 












Expenses

 

 

 

 

 

 

 

 

 

 












Investment advisory

 

 

2,115,802

 

 

3,073,121

 

 

733,733

 

Professional

 

 

123,039

 

 

109,777

 

 

57,729

 

Printing

 

 

100,182

 

 

142,535

 

 

26,998

 

Accounting services

 

 

77,037

 

 

101,089

 

 

19,244

 

Custodian

 

 

54,423

 

 

60,419

 

 

17,854

 

Officer and Trustees

 

 

50,226

 

 

65,735

 

 

11,355

 

Transfer agent

 

 

21,379

 

 

63,357

 

 

12,098

 

Registration

 

 

11,959

 

 

22,192

 

 

9,330

 

Borrowing costs1

 

 

 

 

 

 

44,649

 

Administration

 

 

352,634

 

 

709,182

 

 

 

Miscellaneous

 

 

117,109

 

 

92,121

 

 

52,467

 

 

 










Total expenses excluding interest expense

 

 

3,023,790

 

 

4,439,528

 

 

985,457

 

Interest expense

 

 

820,310

 

 

503,200

 

 

60,043

 

 

 










Total expenses

 

 

3,844,100

 

 

4,942,728

 

 

1,045,500

 

Less fees waived by advisor

 

 

(2,171

)

 

(112,085

)

 

(23,773

)

Less fees paid indirectly

 

 

(103

)

 

(111

)

 

(1,485

)

 

 










Total expenses after fees waived and paid indirectly

 

 

3,841,826

 

 

4,830,532

 

 

1,020,242

 

 

 










Net investment income

 

 

20,499,390

 

 

12,848,017

 

 

7,157,170

 

 

 










 

 

 

 

 

 

 

 

 

 

 












Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 












Net realized gain (loss) from:

 

 

7,998,100

 

 

39,882,284

 

 

2,299,474

 

Investments

 

 

5,734,694

 

 

(10,940,497

)

 

179,359

 

Financial futures contracts

 

 

5,901,427

 

 

1,604,707

 

 

(255,692

)

Swaps

 

 

1,138,626

 

 

 

 

376,761

 

Foreign currency transactions

 

 

2,274,151

 

 

1,367,196

 

 

(2,512

)

Options written

 

 

(1,078,050

)

 

1,236,338

 

 

 

Borrowed bonds

 

 

 

 

(4,548,840

)

 

 

 

 










Interest rate floors

 

 

21,968,948

 

 

28,601,188

 

 

2,597,390

 

 

 










Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

Investments

 

 

26,309,577

 

 

18,453,902

 

 

6,951,005

 

Financial futures contracts

 

 

(686,658

)

 

(1,315,975

)

 

5,565

 

Swaps

 

 

(3,529,176

)

 

(4,223,736

)

 

(87,130

)

Foreign currency transactions

 

 

(59,348

)

 

 

 

(848

)

Options written

 

 

(1,107,170

)

 

1,305,906

 

 

(10,205

)

Unfunded loan commitments

 

 

 

 

 

 

(8,879

)

Borrowed bonds

 

 

27

 

 

 

 

 

Interest rate floors

 

 

 

 

3,477,474

 

 

 

 

 










 

 

 

20,927,252

 

 

17,697,571

 

 

6,849,508

 

 

 










Total realized and unrealized gain

 

 

42,896,200

 

 

46,298,759

 

 

9,446,898

 

 

 










Net Increase in Net Assets Resulting from Operations

 

$

63,395,590

 

$

59,146,776

 

$

16,604,068

 

 

 











 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

85




 


 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Core Bond Trust (BHK)

 

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

 

 

 


 


 

 

 

Year Ended August 31,

 

Year Ended August 31,

 

 

 


 


 

Increase (Decrease) in Net Assets:

 

2010

 

2009

 

2010

 

2009

 











Operations

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

$

23,504,592

 

$

21,687,724

 

$

34,998,740

 

$

35,228,086

 

Net realized gain (loss)

 

 

22,830,017

 

 

(17,850,763

)

 

7,089,947

 

 

(65,434,566

)

Net change in unrealized appreciation/depreciation

 

 

24,703,783

 

 

10,169,044

 

 

54,072,650

 

 

(3,440,186

)

 

 






 






 

Net increase (decrease) in net assets resulting from operations

 

 

71,038,392

 

 

14,006,005

 

 

96,161,337

 

 

(33,646,666

)

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

 

(27,023,027

)

 

(20,703,556

)

 

(33,602,969

)

 

(39,697,493

)

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 















Reinvestment of dividends

 

 

 

 

45,125

 

 

 

 

 

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 















Total increase (decrease) in net assets

 

 

44,015,365

 

 

(6,652,426

)

 

62,558,368

 

 

(73,344,159

)

Beginning of year

 

 

339,524,200

 

 

346,176,626

 

 

320,044,879

 

 

393,389,038

 

 

 






 






 

End of year

 

$

383,539,565

 

$

339,524,200

 

$

382,603,247

 

$

320,044,879

 

 

 






 






 

Undistributed net investment income

 

$

7,202,897

 

$

8,842,501

 

$

5,001,402

 

$

298,774

 

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
High Yield Trust (BHY)

 

BlackRock
Income Opportunity Trust (BNA)

 

 

 


 


 

 

 

Year Ended August 31,

 

Year Ended August 31,

 

 

 


 


 

Increase (Decrease) in Net Assets:

 

2010

 

2009

 

2010

 

2009

 











Operations

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

$

3,296,839

 

$

3,283,416

 

$

20,499,390

 

$

20,450,608

 

Net realized gain (loss)

 

 

(1,522,025

)

 

(5,522,049

)

 

21,968,948

 

 

(28,555,821

)

Net change in unrealized appreciation/depreciation

 

 

7,423,666

 

 

(923,193

)

 

20,927,252

 

 

17,777,805

 

 

 






 






 

Net increase (decrease) in net assets resulting from operations

 

 

9,198,480

 

 

(3,161,826

)

 

63,395,590

 

 

9,672,592

 

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

 

(3,246,508

)

 

(3,522,285

)

 

(27,117,163

)

 

(21,085,255

)

Net realized gain

 

 

 

 

 

 

 

 

 

Tax return of capital

 

 

(108,660

)

 

(118,809

)

 

 

 

 

 

 






 






 

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(3,355,168

)

 

(3,641,094

)

 

(27,117,163

)

 

(21,085,255

)

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 















Reinvestment of dividends

 

 

 

 

42,959

 

 

 

 

58,090

 

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 















Total increase (decrease) in net assets

 

 

5,843,312

 

 

(6,759,961

)

 

36,278,427

 

 

(11,354,573

)

Beginning of year

 

 

37,136,820

 

 

43,896,781

 

 

345,101,049

 

 

356,455,622

 

 

 






 






 

End of year

 

$

42,980,132

 

$

37,136,820

 

$

381,379,476

 

$

345,101,049

 

 

 






 






 

Undistributed (distributions in excess of) net investment income

 

$

(99,314

)

$

(151,867

)

$

6,733,590

 

$

9,230,290

 

 

 






 






 


 

 

 

 

See Notes to Financial Statements.

 





86

ANNUAL REPORT

AUGUST 31, 2010

 




 


 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

BlackRock
High Income Shares (HIS)

 

 

 


 


 

 

 

Year Ended August 31,

 

Year Ended August 31,

 

 

 


 


 

Increase (Decrease) in Net Assets:

 

2010

 

2009

 

2010

 

2009

 











Operations

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

$

36,935,470

 

$

37,172,718

 

$

10,792,615

 

$

10,431,902

 

Net realized gain (loss)

 

 

1,901,818

 

 

(70,303,662

)

 

(276,674

)

 

(17,141,802

)

Net change in unrealized appreciation/depreciation

 

 

57,412,973

 

 

(2,935,241

)

 

17,435,391

 

 

(2,717,262

)

 

 






 






 

Net increase (decrease) in net assets resulting from operations

 

 

96,250,261

 

 

(36,066,185

)

 

27,951,332

 

 

(9,427,162

)

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

 

(35,992,789

)

 

(42,020,500

)

 

(9,230,927

)

 

(11,459,895

)

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 















Reinvestment of dividends

 

 

87,090

 

 

 

 

 

 

 

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 















Total increase (decrease) in net assets

 

 

60,344,562

 

 

(78,086,685

)

 

18,720,405

 

 

(20,887,057

)

Beginning of year

 

 

341,415,248

 

 

419,501,933

 

 

100,921,286

 

 

121,808,343

 

 

 






 






 

End of year

 

$

401,759,810

 

$

341,415,248

 

$

119,641,691

 

$

100,921,286

 

 

 






 






 

Undistributed net investment income

 

$

5,651,991

 

$

1,222,688

 

$

2,972,065

 

$

505,871

 

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Income Trust, Inc. (BKT)

 

BlackRock
Strategic Bond Trust (BHD)

 

 

 


 


 

 

 

Year Ended August 31,

 

Year Ended August 31,

 

 

 


 


 

Increase (Decrease) in Net Assets:

 

2010

 

2009

 

2010

 

2009

 











Operations

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

$

12,848,017

 

$

17,678,751

 

$

7,157,170

 

$

6,555,930

 

Net realized gain (loss)

 

 

28,601,188

 

 

54,373,285

 

 

2,597,390

 

 

(7,297,137

)

Net change in unrealized appreciation/depreciation

 

 

17,697,571

 

 

(42,161,969

)

 

6,849,508

 

 

2,434,562

 

 

 






 






 

Net increase (decrease) in net assets resulting from operations

 

 

59,146,776

 

 

29,890,067

 

 

16,604,068

 

 

1,693,355

 

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

 

(16,372,760

)

 

(18,415,450

)

 

(6,391,382

)

 

(6,204,335

)

Net realized gain

 

 

(2,042,690

)

 

 

 

 

 

 

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 






 






 

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(18,415,450

)

 

(18,415,450

)

 

(6,391,382

)

 

(6,204,335

)

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 















Reinvestment of dividends

 

 

 

 

 

 

 

 

 

 

 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 















Total increase (decrease) in net assets

 

 

40,731,326

 

 

11,474,617

 

 

10,212,686

 

 

(4,510,980

)

Beginning of year

 

 

455,528,527

 

 

444,053,910

 

 

85,581,485

 

 

90,092,465

 

 

 






 






 

End of year

 

$

496,259,853

 

$

455,528,527

 

$

95,794,171

 

$

85,581,485

 

 

 






 






 

Undistributed (distributions in excess of) net investment income

 

$

(83,711

)

$

5,873,652

 

$

1,512,890

 

$

454,611

 

 

 






 






 


 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

87




 


 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31, 2010

 

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)

 















Cash Provided by (Used for) Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net increase in net assets resulting from operations

 

$

71,038,392

 

$

96,161,337

 

$

96,250,261

 

$

27,951,332

 

$

9,198,480

 

$

63,395,590

 

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Increase) decrease in interest receivable

 

 

(479,149

)

 

(267,817

)

 

(458,855

)

 

20,488

 

 

(38,676

)

 

(1,134,984

)

(Increase) decrease in swaps receivable

 

 

1,313,388

 

 

7,263

 

 

6,894

 

 

 

 

(550

)

 

3,312,944

 

(Increase) decrease in margin variation receivable

 

 

74,790

 

 

 

 

 

 

 

 

 

 

(43,615

)

Decrease in dividends receivable

 

 

 

 

 

 

 

 

5,000

 

 

 

 

 

Decrease in commitment fees receivable

 

 

682

 

 

2,524

 

 

 

 

 

 

 

 

 

(Increase) decrease in dividends receivable — affiliated

 

 

(72

)

 

(163

)

 

(127

)

 

(62

)

 

5

 

 

322

 

(Increase) decrease in prepaid expenses

 

 

4,152

 

 

(7,873

)

 

(6,716

)

 

(6,566

)

 

(689

)

 

4,267

 

(Increase) decrease in other assets

 

 

1,736

 

 

(208,871

)

 

(252,107

)

 

(46,936

)

 

(24,898

)

 

7,558

 

Increase in investment advisory fees payable

 

 

40,389

 

 

47,806

 

 

51,592

 

 

16,833

 

 

10,631

 

 

17,584

 

Increase in interest expense payable

 

 

73,817

 

 

113,221

 

 

109,778

 

 

28,173

 

 

12,059

 

 

29,793

 

Increase in commitment fees payable

 

 

 

 

 

 

2,737

 

 

829

 

 

333

 

 

 

Increase in administration fees payable

 

 

 

 

 

 

 

 

 

 

1,018

 

 

2,934

 

Increase in other affiliates payable

 

 

372

 

 

358

 

 

318

 

 

120

 

 

 

 

 

Increase in margin variation payable

 

 

 

 

33,600

 

 

34,400

 

 

7,200

 

 

 

 

 

Increase (decrease) in other accrued expenses payable

 

 

17,887

 

 

37,953

 

 

32,059

 

 

22,101

 

 

(2,783

)

 

8,563

 

Decrease in deferred income

 

 

 

 

 

 

(6,438

)

 

 

 

 

 

 

Decrease in swaps payable

 

 

(367,329

)

 

(66,056

)

 

(67,340

)

 

 

 

(1,095

)

 

(985,986

)

Decrease in cash held as collateral in connection with swaps

 

 

(912,000

)

 

 

 

 

 

 

 

 

 

(1,100,000

)

Increase (decrease) in cash held as collateral in connection with financial futures contracts

 

 

221,000

 

 

(1,130,000

)

 

(1,160,000

)

 

(240,000

)

 

 

 

 

Decrease in other liabilities

 

 

(363,231

)

 

 

 

 

 

 

 

 

 

(541,582

)

Increase (decrease) in Officer’s and Trustees’ fees payable

 

 

(448

)

 

24,567

 

 

24,761

 

 

663

 

 

325

 

 

112

 

Net periodic and termination payments of swaps

 

 

(1,214,411

)

 

(433,206

)

 

(416,913

)

 

 

 

6,968

 

 

2,483,488

 

Net realized and unrealized loss

 

 

(39,854,855

)

 

(56,443,997

)

 

(53,919,861

)

 

(16,459,420

)

 

(5,868,556

)

 

(33,469,404

)

Amortization of premium and discount on investments

 

 

(582,806

)

 

(3,702,639

)

 

(3,786,095

)

 

(944,966

)

 

(222,719

)

 

233,663

 

Paid-in-kind income

 

 

(177,601

)

 

(1,319,836

)

 

(1,597,605

)

 

(576,680

)

 

(182,467

)

 

(124,943

)

Premiums received from options written

 

 

18,973,747

 

 

166,000

 

 

174,750

 

 

 

 

19,050

 

 

17,198,909

 

Proceeds from sales and paydowns of long-term investments

 

 

3,873,820,320

 

 

393,119,710

 

 

387,238,215

 

 

113,206,581

 

 

37,064,028

 

 

4,220,247,442

 

Purchases of long-term investments

 

 

(3,954,222,668

)

 

(431,439,852

)

 

(417,542,441

)

 

(120,065,263

)

 

(41,265,822

)

 

(4,306,327,363

)

Net purchases of short-term securities

 

 

 

 

(528,833

)

 

458,496

 

 

(782,624

)

 

 

 

 

Net proceeds from sales of short-term securities

 

 

929,786

 

 

 

 

 

 

 

 

606,971

 

 

29,706,054

 

Premiums paid on closing options written

 

 

(15,735,705

)

 

 

 

 

 

 

 

 

 

(12,708,362

)

 

 



















Cash provided by (used for) operating activities

 

 

(47,399,817

)

 

(5,834,804

)

 

5,169,763

 

 

2,136,803

 

 

(688,387

)

 

(19,787,016

)

 

 







































Cash Provided by (Used for) Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash receipts from borrowings

 

 

2,049,903,139

 

 

247,000,000

 

 

254,000,000

 

 

76,000,000

 

 

24,000,000

 

 

2,573,155,256

 

Cash payments from borrowings

 

 

(1,976,604,441

)

 

(209,000,000

)

 

(223,000,000

)

 

(69,000,000

)

 

(20,000,000

)

 

(2,526,387,987

)

Cash dividends paid to shareholders

 

 

(27,020,899

)

 

(33,616,408

)

 

(35,909,161

)

 

(9,232,253

)

 

(3,349,577

)

 

(27,123,926

)

Increase in bank overdraft

 

 

 

 

 

 

(212,807

)

 

 

 

 

 

(772,922

)

 

 



















Cash provided by (used for) financing activities

 

 

46,277,799

 

 

4,383,592

 

 

(5,121,968

)

 

(2,232,253

)

 

650,423

 

 

18,870,421

 

 

 







































Cash Impact from Foreign Exchange Fluctuations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash impact from foreign exchange fluctuations

 

 

13

 

 

14,203

 

 

(99

)

 

(3,167

)

 

 

 

(474

)

 

 







































Cash

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net increase (decrease) in cash and foreign currency

 

 

(1,122,005

)

 

(1,437,009

)

 

47,696

 

 

(98,617

)

 

(37,964

)

 

(917,069

)

Cash and foreign currency at beginning of year

 

 

1,319,117

 

 

1,482,074

 

 

1,225

 

 

110,310

 

 

39,916

 

 

989,160

 

 

 



















Cash and foreign currency at end of year

 

$

197,112

 

$

45,065

 

$

48,921

 

$

11,693

 

$

1,952

 

$

72,091

 

 

 







































Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash paid for interest

 

$

758,069

 

$

878,787

 

$

846,909

 

$

234,189

 

$

67,811

 

$

790,517

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Noncash Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Capital shares issued in reinvestment of dividends paid to shareholders

 

 

 

 

 

$

87,090

 

 

 

 

 

 

 

 

 



















          A Statement of Cash Flows is presented when a Fund 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.

 





88

ANNUAL REPORT

AUGUST 31, 2010

 



 

 



 

 

Financial Highlights

BlackRock Core Bond Trust (BHK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 


 

 


 

 

 

2010

 

2009

 

 

2007

 

2006

 

2005

 















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

12.56

 

$

12.81

 

$

13.63

 

$

13.82

 

$

14.27

 

$

15.22

 

 

 



















Net investment income

 

 

0.87

1

 

0.80

1

 

0.50

1

 

0.74

 

 

0.66

 

 

0.78

 

Net realized and unrealized gain (loss)

 

 

1.76

 

 

(0.28

)

 

(0.69

)

 

(0.13

)

 

0.11

 

 

(0.37

)

 

 



















Net increase (decrease) from investment operations

 

 

2.63

 

 

0.52

 

 

(0.19

)

 

0.61

 

 

0.77

 

 

0.41

 

 

 



















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.00

)

 

(0.77

)

 

(0.61

)

 

(0.61

)

 

(0.93

)

 

(1.01

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.29

)

 

(0.35

)

Tax return of capital

 

 

 

 

 

 

(0.02

)

 

(0.19

)

 

 

 

 

 

 



















Total dividends and distributions

 

 

(1.00

)

 

(0.77

)

 

(0.63

)

 

(0.80

)

 

(1.22

)

 

(1.36

)

 

 



















Net asset value, end of period

 

$

14.19

 

$

12.56

 

$

12.81

 

$

13.63

 

$

13.82

 

$

14.27

 

 

 



















Market price, end of period

 

$

13.92

 

$

11.98

 

$

11.51

 

$

12.23

 

$

12.86

 

$

13.69

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

22.44

%

 

5.28

%

 

(1.00

)%3

 

5.04

%

 

6.20

%

 

3.18

%

 

 



















Based on market price

 

 

25.93

%

 

11.76

%

 

(0.87

)%3

 

1.29

%

 

3.07

%

 

7.46

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

1.18

%

 

1.06

%

 

2.29

%4

 

1.60

%

 

1.08

%

 

1.50

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

1.18

%

 

1.06

%

 

2.29

%4

 

1.60

%

 

1.08

%

 

1.50

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.95

%

 

0.83

%

 

0.89

%4

 

0.78

%

 

0.77

%

 

0.85

%

 

 



















Net investment income

 

 

6.62

%

 

7.09

%

 

4.55

%4

 

5.36

%

 

4.78

%

 

5.20

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

383,540

 

$

339,524

 

$

346,177

 

$

368,335

 

$

373,518

 

$

385,514

 

 

 



















Borrowings outstanding, end of period (000)

 

$

168,938

 

$

74,572

 

$

107,690

 

$

103,354

 

$

3,911

 

$

86,876

 

 

 



















Average borrowings outstanding during the period (000)

 

$

162,760

 

$

73,467

 

$

134,784

 

$

44,786

 

$

25,340

 

$

91,130

 

 

 



















Portfolio turnover

 

 

641

%5

 

315

%6

 

598

%7

 

122

%

 

88

%

 

220

%

 

 



















Asset coverage, end of period per $1,000

 

$

3,270

 

$

5,553

 

$

4,215

 

$

4,564

 

$

96,502

 

$

5,438

 

 

 




















 

 

 

 

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 534%.

 

 

 

 

6

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%.

 

 

 

 

7

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 337%.


 

 

 

 

See Notes to Financial Statements.

 

 




 

ANNUAL REPORT

AUGUST 31, 2010

89




 


 

Financial Highlights


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

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

 

 


 


 

 

Year Ended August 31,

 

Year Ended August 31,

 

 


 


 

 

2010

 

2009

 

2008

 

2007

 

2006

 

2010

 

2009

 

2008

 

2007

 

2006

 























Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

































Net asset value, beginning of year

 

$

9.71

 

$

11.94

 

$

13.83

 

$

14.10

 

$

15.19

 

$

9.68

 

$

11.89

 

$

13.81

 

$

14.12

 

$

15.08

 

 

 















 
















Net investment income1

 

 

1.06

 

 

1.07

 

 

1.18

 

 

1.20

 

 

1.22

 

 

1.05

 

 

1.05

 

 

1.16

 

 

1.18

 

 

1.16

 

Net realized and unrealized gain (loss)

 

 

1.86

 

 

(2.10

)

 

(1.85

)

 

(0.33

)

 

(0.50

)

 

1.67

 

 

(2.07

)

 

(1.87

)

 

(0.39

)

 

(0.49

)

 

 















 
















Net increase (decrease) from investment operations

 

 

2.92

 

 

(1.03

)

 

(0.67

)

 

0.87

 

 

0.72

 

 

2.72

 

 

(1.02

)

 

(0.71

)

 

0.79

 

 

0.67

 

 

 















 
















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.02

)

 

(1.20

)

 

(1.17

)

 

(1.14

)

 

(1.25

)

 

(1.02

)

 

(1.19

)

 

(1.21

)

 

(1.10

)

 

(1.17

)

Net realized gain

 

 

 

 

 

 

(0.05

)

 

 

 

(0.56

)

 

 

 

 

 

 

 

 

 

(0.46

)

 

 















 
















Total dividends and distributions

 

 

(1.02

)

 

(1.20

)

 

(1.22

)

 

(1.14

)

 

(1.81

)

 

(1.02

)

 

(1.19

)

 

(1.21

)

 

(1.10

)

 

(1.63

)

 

 















 
















Net asset value, end of year

 

$

11.61

 

$

9.71

 

$

11.94

 

$

13.83

 

$

14.10

 

$

11.38

 

$

9.68

 

$

11.89

 

$

13.81

 

$

14.12

 

 

 















 
















Market price, end of year

 

$

11.40

 

$

9.32

 

$

10.15

 

$

12.24

 

$

12.81

 

$

11.19

 

$

9.47

 

$

10.14

 

$

12.15

 

$

12.48

 

 

 















 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

































Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

































Based on net asset value

 

 

31.40

%

 

(3.83

)%

 

(3.99

)%

 

6.76

%

 

6.37

%

 

29.26

%

 

(4.03

)%

 

(4.30

)%

 

6.29

%

 

6.29

%

 

 















 
















Based on market price

 

 

34.42

%

 

8.59

%

 

(7.78

)%

 

4.00

%

 

(2.40

)%

 

29.92

%

 

10.09

%

 

(7.24

)%

 

5.80

%

 

(1.07

)%

 

 















 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

































Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

































Total expenses

 

 

1.26

%

 

1.84

%

 

2.11

%

 

3.20

%

 

2.87

%

 

1.34

%

 

2.01

%

 

2.24

%

 

3.35

%

 

2.89

%

 

 















 
















Total expenses after fees waived and paid indirectly

 

 

1.26

%

 

1.84

%

 

2.11

%

 

3.20

%

 

2.87

%

 

1.34

%

 

2.01

%

 

2.24

%

 

3.35

%

 

2.89

%

 

 















 
















Total expenses after fees waived and paid indirectly and excluding interest expense and fees

 

 

0.99

%

 

1.16

%

 

0.97

%

 

0.99

%

 

0.98

%

 

1.09

%

 

1.28

%

 

1.10

%

 

1.12

%

 

1.11

%

 

 















 
















Net investment income

 

 

9.52

%

 

13.00

%

 

9.16

%

 

8.23

%

 

8.49

%

 

9.52

%

 

12.82

%

 

9.02

%

 

8.03

%

 

8.11

%

 

 















 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

































Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

































Net assets, end of year (000)

 

$

382,603

 

$

320,045

 

$

393,389

 

$

455,710

 

$

464,453

 

$

401,760

 

$

341,415

 

$

419,502

 

$

487,251

 

$

498,096

 

 

 















 
















Borrowings outstanding, end of year (000)

 

$

92,000

 

$

54,000

 

$

94,700

 

$

127,700

 

$

200,100

 

$

89,000

 

$

58,000

 

$

110,900

 

$

135,900

 

$

216,200

 

 

 















 
















Average borrowings outstanding during the year (000)

 

$

79,427

 

$

65,403

 

$

106,140

 

$

188,373

 

$

183,484

 

$

76,356

 

$

73,784

 

$

113,996

 

$

202,705

 

$

184,070

 

 

 















 
















Portfolio turnover

 

 

90

%

 

65

%

 

46

%

 

51

%

 

64

%

 

85

%

 

60

%

 

45

%

 

51

%

 

62

%

 

 















 
















Asset coverage, end of year per $1,000

 

$

5,159

 

$

6,927

 

$

5,154

 

$

4,569

 

$

3,321

 

$

5,514

 

$

6,886

 

$

4,783

 

$

4,585

 

$

3,304

 

 

 















 

















 

 

 

 

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.


 

 

 

 

See Notes to Financial Statements.

 





90

ANNUAL REPORT

AUGUST 31, 2010

 




 

 



 

 

Financial Highlights

BlackRock High Income Shares (HIS)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,

 

Period
January 1,
2008 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended December 31,

 

 


 

 


 

 

2010

 

2009

 

 

2007

 

2006

 

2005

 




















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

1.85

 

$

2.23

 

$

2.47

 

$

2.68

 

$

2.61

 

$

2.87

 

 

 



















Net investment income

 

 

0.20

1

 

0.19

1

 

0.15

1

 

0.24

 

 

0.22

 

 

0.24

 

Net realized and unrealized gain (loss)

 

 

0.31

 

 

(0.36

)

 

(0.26

)

 

(0.21

)

 

0.08

 

 

(0.23

)

 

 



















Net increase (decrease) from investment operations

 

 

0.51

 

 

(0.17

)

 

(0.11

)

 

0.03

 

 

0.30

 

 

0.01

 

 

 



















Dividends from net investment income

 

 

(0.17

)

 

(0.21

)

 

(0.13

)

 

(0.24

)

 

(0.23

)

 

(0.27

)

 

 



















Net asset value, end of period

 

$

2.19

 

$

1.85

 

$

2.23

 

$

2.47

 

$

2.68

 

$

2.61

 

 

 



















Market price, end of period

 

$

2.09

 

$

1.68

 

$

1.88

 

$

2.14

 

$

2.55

 

$

2.33

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

28.95

%

 

(3.01

)%

 

(4.00

)%3

 

1.58

%

 

12.32

%

 

0.43

%

 

 



















Based on market price

 

 

35.52

%

 

4.47

%

 

(6.59

)%3

 

(7.51

)%

 

19.70

%

 

(11.28

)%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

1.49

%

 

2.01

%

 

1.98

%4

 

3.56

%

 

3.78

%

 

3.04

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

1.49

%

 

2.01

%

 

1.98

%4

 

3.55

%

 

3.77

%

 

3.04

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.27

%

 

1.41

%

 

1.05

%4

 

1.27

%

 

1.34

%

 

1.37

%

 

 



















Net investment income

 

 

9.34

%

 

12.06

%

 

9.52

%4

 

8.89

%

 

8.42

%

 

8.82

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

119,642

 

$

100,921

 

$

121,808

 

$

135,098

 

$

146,538

 

$

142,457

 

 

 



















Borrowings outstanding, end of period (000)

 

$

25,000

 

$

18,000

 

$

27,000

 

$

46,000

 

$

62,000

 

$

66,000

 

 

 



















Average borrowings outstanding during the period (000)

 

$

21,027

 

$

21,220

 

$

27,069

 

$

55,868

 

$

62,838

 

$

65,992

 

 

 



















Portfolio turnover

 

 

85

%

 

55

%

 

25

%

 

69

%

 

83

%

 

115

%

 

 



















Asset coverage, end of period per $1,000

 

$

5,786

 

$

6,607

 

$

5,512

 

$

3,937

 

$

3,364

 

$

3,158

 

 

 




















 

 

 

 

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.

 

 

 

 

 

The performance set forth in this table is the financial data of BlackRock High Income Shares. BlackRock Advisors, LLC began managing the Trust on March 2, 2005.


 

 

 

 

See Notes to Financial Statements.

 

 




 

ANNUAL REPORT

AUGUST 31, 2010

91




 

 



 

 

Financial Highlights

BlackRock High Yield Trust (BHY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 


 

 


 

 

2010

 

2009

 

 

2007

 

2006

 

2005

 















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

5.78

 

$

6.84

 

$

7.91

 

$

7.85

 

$

7.48

 

$

7.95

 

 

 



















Net investment income

 

 

0.51

1

 

0.51

1

 

0.50

1

 

0.63

 

 

0.66

 

 

0.68

 

Net realized and unrealized gain (loss)

 

 

0.92

 

 

(1.00

)

 

(1.06

)

 

0.04

 

 

0.36

 

 

(0.36

)

 

 



















Net increase (decrease) from investment operations

 

 

1.43

 

 

(0.49

)

 

(0.56

)

 

0.67

 

 

1.02

 

 

0.32

 

 

 



















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.50

)

 

(0.55

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

 

(0.79

)

Tax return of capital

 

 

(0.02

)

 

(0.02

)

 

 

 

 

 

 

 

 

 

 



















Total dividends and distributions

 

 

(0.52

)

 

(0.57

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

 

(0.79

)

 

 



















Net asset value, end of period

 

$

6.69

 

$

5.78

 

$

6.84

 

$

7.91

 

$

7.85

 

$

7.48

 

 

 



















Market price, end of period

 

$

6.44

 

$

5.84

 

$

5.96

 

$

6.92

 

$

7.77

 

$

7.36

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

25.70

%

 

(5.30

)%

 

(6.47

)%3

 

9.03

%

 

14.25

%

 

2.85

%

 

 



















Based on market price

 

 

19.76

%

 

9.81

%

 

(6.85

)%3

 

(3.63

)%

 

14.93

%

 

(13.49

)%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

2.10

%

 

2.61

%

 

2.61

%4

 

4.16

%

 

4.50

%

 

3.52

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

2.10

%

 

2.61

%

 

2.61

%4

 

4.14

%

 

4.49

%

 

3.51

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.91

%

 

2.16

%

 

1.77

%4

 

2.10

%

 

2.19

%

 

2.10

%

 

 



















Net investment income

 

 

7.89

%

 

10.22

%

 

8.34

%4

 

7.84

%

 

8.74

%

 

8.71

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

42,980

 

$

37,137

 

$

43,897

 

$

50,782

 

$

50,385

 

$

47,924

 

 

 



















Borrowings outstanding, end of period (000)

 

$

8,000

 

$

4,000

 

$

6,250

 

$

9,250

 

$

20,250

 

$

20,750

 

 

 



















Average borrowings outstanding during the period (000)

 

$

6,427

 

$

5,223

 

$

7,443

 

$

17,710

 

$

20,621

 

$

20,425

 

 

 



















Portfolio turnover

 

 

80

%

 

54

%

 

34

%

 

69

%

 

85

%

 

102

%

 

 



















Asset coverage, end of period per $1,000

 

$

6,373

 

$

10,284

 

$

8,023

 

$

6,490

 

$

3,488

 

$

3,310

 

 

 




















 

 

 

 

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.


92

ANNUAL REPORT

AUGUST 31, 2010

 




 

 



 

 

Financial Highlights

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 


 

 


 

 

2010

 

2009

 

 

2007

 

2006

 

2005

 















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

10.02

 

$

10.35

 

$

11.02

 

$

11.17

 

$

11.56

 

$

12.38

 

 

 



















Net investment income

 

 

0.59

1

 

0.59

1

 

0.53

1

 

0.62

 

 

0.57

 

 

0.72

 

Net realized and unrealized gain (loss)

 

 

1.25

 

 

(0.31

)

 

(0.69

)

 

(0.11

)

 

0.01

 

 

(0.45

)

 

 



















Net increase (decrease) from investment operations

 

 

1.84

 

 

0.28

 

 

(0.16

)

 

0.51

 

 

0.58

 

 

0.27

 

 

 



















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.79

)

 

(0.61

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

 

(0.81

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.26

)

 

(0.28

)

Tax return of capital

 

 

 

 

 

 

 

 

(0.05

)

 

(0.06

)

 

 

 

 



















Total dividends and distributions

 

 

(0.79

)

 

(0.61

)

 

(0.51

)

 

(0.66

)

 

(0.97

)

 

(1.09

)

 

 



















Net asset value, end of period

 

$

11.07

 

$

10.02

 

$

10.35

 

$

11.02

 

$

11.17

 

$

11.56

 

 

 



















Market price, end of period

 

$

10.56

 

$

9.65

 

$

9.82

 

$

10.19

 

$

10.58

 

$

10.90

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

19.83

%

 

3.90

%

 

(1.07

)%3

 

5.11

%

 

5.76

%

 

2.95

%

 

 



















Based on market price

 

 

18.69

%

 

5.46

%

 

1.51

%3

 

2.62

%

 

6.27

%

 

5.53

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

1.09

%

 

0.95

%

 

2.25

%4

 

2.01

%

 

1.61

%

 

1.72

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

1.09

%

 

0.95

%

 

2.25

%4

 

2.00

%

 

1.61

%

 

1.72

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.86

%

 

0.85

%

 

0.83

%4

 

0.87

%

 

0.89

%

 

0.87

%

 

 



















Net investment income

 

 

5.81

%

 

6.45

%

 

5.89

%4

 

5.68

%

 

5.11

%

 

5.97

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

381,379

 

$

345,101

 

$

356,456

 

$

379,605

 

$

384,850

 

$

398,078

 

 

 



















Borrowings outstanding, end of period (000)

 

$

157,776

 

$

77,474

 

$

100,740

 

$

105,262

 

$

34,326

 

$

120,179

 

 

 



















Average borrowings outstanding during the period (000)

 

$

151,700

 

$

49,573

 

$

131,462

 

$

68,241

 

$

59,691

 

$

122,457

 

 

 



















Portfolio turnover

 

 

720

%5

 

270

%6

 

441

%7

 

196

%

 

131

%

 

396

%

 

 



















Asset coverage, end of period per $1,000

 

$

3,417

 

$

5,454

 

$

4,538

 

$

4,606

 

$

12,212

 

$

4,312

 

 

 




















 

 

 

 

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 TBA transactions. Excluding these transactions, the portfolio turnover would have been 608%.

 

 

 

 

6

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 165%.

 

 

 

 

7

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 168%.


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2010

93




 

 



 

 

Financial Highlights

BlackRock Income Trust, Inc. (BKT)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 


 

 


 

 

2010

 

2009

 

 

2007

 

2006

 

2005

 















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

7.12

 

$

6.94

 

$

6.53

 

$

6.48

 

$

6.54

 

$

6.95

 

 

 



















Net investment income

 

 

0.20

1

 

0.28

1

 

0.26

1

 

0.30

 

 

0.32

 

 

0.44

 

Net realized and unrealized gain (loss)

 

 

0.73

 

 

0.19

 

 

0.40

 

 

0.12

 

 

0.05

 

 

(0.30

)

 

 



















Net increase from investment operations

 

 

0.93

 

 

0.47

 

 

0.66

 

 

0.42

 

 

0.37

 

 

0.14

 

 

 



















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.26

)

 

(0.29

)

 

(0.25

)

 

(0.29

)

 

(0.34

)

 

(0.48

)

Net realized gain

 

 

(0.03

)

 

 

 

 

 

 

 

 

 

 

Tax return of capital

 

 

 

 

 

 

 

 

(0.08

)

 

(0.09

)

 

(0.07

)

 

 



















Total dividends and distributions

 

 

(0.29

)

 

(0.29

)

 

(0.25

)

 

(0.37

)

 

(0.43

)

 

(0.55

)

 

 



















Net asset value, end of period

 

$

7.76

 

$

7.12

 

$

6.94

 

$

6.53

 

$

6.48

 

$

6.54

 

 

 



















Market price, end of period

 

$

6.95

 

$

6.53

 

$

6.07

 

$

5.81

 

$

6.07

 

$

5.90

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

13.86

%

 

7.64

%

 

10.82

%3

 

7.06

%

 

6.06

%

 

2.12

%

 

 



















Based on market price

 

 

11.19

%

 

12.87

%

 

8.94

%3

 

1.69

%

 

10.18

%

 

(14.63

)%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

1.05

%

 

1.09

%

 

1.63

%4

 

2.77

%

 

2.85

%

 

2.80

%

 

 



















Total expenses after fees waived and before fees paid indirectly

 

 

1.02

%

 

1.08

%

 

1.63

%4

 

2.77

%

 

2.85

%

 

2.80

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

1.02

%

 

1.08

%

 

1.63

%4

 

2.76

%

 

2.84

%

 

2.79

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.92

%

 

0.93

%

 

0.91

%4

 

0.98

%

 

1.00

%

 

0.99

%

 

 



















Net investment income

 

 

2.72

%

 

4.09

%

 

4.67

%4

 

4.60

%

 

4.92

%

 

6.54

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

496,260

 

$

455,529

 

$

444,054

 

$

417,651

 

$

414,460

 

$

418,390

 

 

 



















Borrowings outstanding, end of period (000)

 

$

106,985

 

$

11,815

 

 

 

$

33,895

 

$

70,691

 

$

149,558

 

 

 



















Average borrowings outstanding during the period (000)

 

$

23,316

 

$

537

 

$

61,777

 

$

93,325

 

$

104,393

 

$

180,553

 

 

 



















Portfolio turnover

 

 

883

%5

 

700

%6

 

263

%7

 

250

%

 

80

%

 

60

%

 

 



















Asset coverage, end of period per $1,000

 

$

5,639

 

$

39,555

 

 

 

$

13,322

 

$

6,863

 

$

3,798

 

 

 




















 

 

 

 

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 TBA transactions. Excluding these transactions, the portfolio turnover would have been 207%.

 

 

 

 

6

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 184%.

 

 

 

 

7

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 0%.


 

 

 

 

See Notes to Financial Statements.

 



94

ANNUAL REPORT

AUGUST 31, 2010

 




 

 



 

 

Financial Highlights

BlackRock Strategic Bond Trust (BHD)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 


 

 


 

 

2010

 

2009

 

 

2007

 

2006

 

2005

 















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

12.12

 

$

12.76

 

$

13.80

 

$

13.83

 

$

13.68

 

$

15.10

 

 

 



















Net investment income

 

 

1.01

1

 

0.93

1

 

0.76

1

 

0.95

 

 

0.99

 

 

1.10

 

Net realized and unrealized gain (loss)

 

 

1.35

 

 

(0.69

)

 

(1.03

)

 

(0.06

)

 

0.18

 

 

(1.13

)

 

 



















Net increase (decrease) from investment operations

 

 

2.36

 

 

0.24

 

 

(0.27

)

 

0.89

 

 

1.17

 

 

(0.03

)

 

 



















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.91

)

 

(0.88

)

 

(0.77

)

 

(0.92

)

 

(0.98

)

 

(1.12

)

Tax return of capital

 

 

 

 

 

 

 

 

 

 

(0.04

)

 

(0.27

)

 

 



















Total dividends and distributions

 

 

(0.91

)

 

(0.88

)

 

(0.77

)

 

(0.92

)

 

(1.02

)

 

(1.39

)

 

 



















Net asset value, end of period

 

$

13.57

 

$

12.12

 

$

12.76

 

$

13.80

 

$

13.83

 

$

13.68

 

 

 



















Market price, end of period

 

$

13.17

 

$

11.43

 

$

10.85

 

$

11.88

 

$

12.85

 

$

12.45

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

20.38

%

 

3.99

%

 

(1.19

)%3

 

7.26

%

 

9.58

%

 

(0.49

)%

 

 



















Based on market price

 

 

23.88

%

 

15.34

%

 

(2.40

)%3

 

(0.62

)%

 

11.87

%

 

(18.11

)%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

1.13

%

 

1.00

%

 

0.93

%4

 

1.45

%

 

2.25

%

 

2.14

%

 

 



















Total expenses after fees waived and before fees paid indirectly

 

 

1.11

%

 

0.92

%

 

0.82

%4

 

1.27

%

 

2.25

%

 

2.14

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

1.11

%

 

0.92

%

 

0.82

%4

 

1.27

%

 

2.00

%

 

1.87

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense and fees

 

 

1.04

%

 

0.92

%

 

0.81

%4

 

0.87

%

 

0.94

%

 

0.92

%

 

 



















Net investment income

 

 

7.77

%

 

8.67

%

 

6.85

%4

 

6.86

%

 

7.26

%

 

7.58

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

95,794

 

$

85,581

 

$

90,092

 

$

97,410

 

$

97,614

 

$

96,546

 

 

 



















Borrowings outstanding, end of period (000)

 

$

12,000

 

 

 

$

1,571

 

$

413

 

$

14,951

 

$

31,883

 

 

 



















Average borrowings outstanding during the period (000)

 

$

5,701

 

$

303

 

$

391

 

$

7,240

 

$

21,104

 

$

30,406

 

 

 



















Portfolio turnover

 

 

83

%

 

61

%

 

27

%

 

34

%

 

56

%

 

51

%

 

 



















Asset coverage, end of period per $1,000

 

$

8,983

 

 

 

$

58,347

 

$

236,789

 

$

7,529

 

$

4,028

 

 

 




















 

 

 

 

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.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


 

 

 

 

See Notes to Financial Statements.

 

 




 

ANNUAL REPORT

AUGUST 31, 2010

95




 


 

Notes to Financial Statements

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” or individually as a “Trust”) are registered under the Investment Company Act of 1940, as amended (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 referred to throughout this report as the “Board of Trustees” or the “Board.” The Trusts determine and make available for publication the net asset values of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Trusts:

Valuation: 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 based on valuation technology commonly employed in the market for such investments. 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 and trades and values of the underlying reference instruments. Investments in open-end investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System 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 price. If no bid 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 is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair 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 each 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 values, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board.

 

 

 

 





96

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Notes to Financial Statements (continued)

Foreign Currency Transactions: The Trusts’ books and records are maintained in US dollars. Purchases and sales of investments are recorded at the rates of exchange prevailing on the date the transactions are entered into. Generally, when the US dollar rises in value against 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 report foreign currency related transactions as components of realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Asset-Backed and Mortgaged-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 the Government National Mortgage Association (“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 the Federal Home Loan Mortgage Corporation (“Freddie Mac”) and Federal National Mortgage Association (“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 and are supported by the right of the issuer to borrow from the Treasury.

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 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.

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 can have a rating that is slightly 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

 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

97




 


 

Notes to Financial Statements (continued)

interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly levered. 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 Inter Bank 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 buys 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. The Trusts earn and/or pay facility and other fees on floating rate loan interests, which are shown as facility and other fees in the Statements of Operations. 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”) and 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.

Borrowed Bond Agreements: In a borrowed bond agreement, the Trusts borrow securities from a third party at an agreed upon rate, with the commitment that the securities be returned to the lender on an agreed-upon date. Borrowed bond agreements are primarily entered into to enable the Trusts to settle short bond positions. To support the borrowing, the Trusts’ third party broker or prime broker takes possession of collateral of securities or cash that will be released upon termination of the borrowing. The value of the underlying collateral securities or cash approximates the market value of the borrowed bond transaction, including accrued interest. To the extent that borrowed bond transactions exceed one business day, the value of the collateral in the possession of the Trusts’ prime broker or third party broker is marked to market on a daily basis to ensure the adequacy of the collateral. In the event of default by the counterparty and the value of noncash collateral increases, the Trusts’ amount of loss is the unrealized gain of the collateral. 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.

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 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: A treasury roll transaction involves the sale of a Treasury security, with an agreement to repurchase the same security at an agreed upon price and date. Treasury rolls constitute a borrowing and the difference between the sale and repurchase price represents interest expense at an agreed upon rate. Whether such a transaction produces a positive impact on performance depends upon whether the income on the securities purchased with the proceeds received from the sale of the security exceeds the interest expense incurred by the Trusts. For accounting purposes, treasury rolls are not considered purchases and sales and any gains or losses incurred on the treasury rolls will be deferred until the Treasury securities are disposed.

 

 

 

 





98

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Notes to Financial Statements (continued)

Treasury roll transactions involve the risk that the market value of the securities that the Trusts are required to purchase may decline below the agreed upon purchase price of those securities. If investment performance of securities purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the treasury roll, the use of this technique will adversely impact the investment performance of the Trusts.

Reverse Repurchase Agreements: Certain Trusts may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Trusts sell 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 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.

Zero-Coupon Bonds: The 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.

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, treasury roll transactions, TALF loans and loan payable) 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 other 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 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 have determined 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. Interest income, including amortization of premium and accretion of discount 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 facility and other fees 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 BHY, BNA, BKT and BHD’s US federal tax returns remains open for the year ended October 31, 2007, the period ended August 31, 2008 and for each of the two years ended August 31, 2010. The statute of limitations on BHK and HIS’s US federal tax returns remains open for the year ended December 31, 2007, the period ended August 31, 2008 and for each of the two years ended August 31, 2010. The statutes of limitations on HYV and HYT’s tax returns remains open for each of the four years ended August 31, 2010. The statutes of limitations on the Trusts’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. There are no uncertain tax positions that require recognition of a tax liability.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, non-interested 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 the BlackRock Closed-End Fund investments under the plan are included in dividends — affiliated in the Statements of Operations.

 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

99




 


 

Notes to Financial Statements (continued)

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. (“ISDA”) Master Agreement implemented between a Trust and each of its respective counterparties. The 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 its 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 values of equity securities (equity risk). Financial futures contracts are contracts for delayed delivery of securities or currencies at a specific future date and at a specific price or yield. 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 recognized by the Trusts as unrealized gains or losses. 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 transactions 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 currency backing some of the investments held by the Trusts. The contract is marked-to-market daily and the change in market value is recorded by the Trusts 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 of the option the right (but not the obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying instrument at the exercise 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 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 Trusts enter into a closing transaction), the Trusts realize a gain or loss 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

 

 

 

 





100

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Notes to Financial Statements (continued)

write a call option, such option is “covered,” meaning that the Trusts hold the underlying instrument subject to being called by the option counterparty, or cash in an amount sufficient to cover the obligation. 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 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. 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 an option written 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 make periodic net payments on a specified notional amount. These periodic 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 agreements to provide a measure of protection against the default of an issuer (as buyer 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 (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 of an 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 of an 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 of an 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 of an 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 or 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.


 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

101




 


 

Notes to Financial Statements (continued)

Derivative Instruments Categorized by Risk Exposure:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





Fair Values of Derivative Instruments as of August 31, 2010

 


 

 

 

Asset Derivatives

 

 

 


 

 

 

Statements of Assets and
Liabilities Location

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

 

 



















Interest rate
contracts

 

Net unrealized appreciation/ depreciation*; Unrealized appreciation on swaps; Investments at value — unaffiliated**

 

$

9,417,667

 

 

 

 

 

 

 

 

 

$

13,907,907

 

$

54,155,826

 

$

31,096

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency
exchange contracts

 

Unrealized appreciation on foreign currency exchange contracts

 

 

227,544

 

$

15,140

 

$

16,013

 

$

2,498

 

 

 

 

220,007

 

 

 

 

3,454

 

Credit contracts

 

Unrealized appreciation on swaps

 

 

31,719

 

 

296,315

 

 

320,659

 

 

 

$

168

 

 

127,667

 

 

 

 

17,806

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity contracts

 

Net unrealized appreciation/depreciation*

 

 

 

 

175,503

 

 

180,556

 

 

45,478

 

 

 

 

 

 

 

 

 

Other contracts

 

Unrealized appreciation on swaps

 

 

617,527

 

 

 

 

 

 

 

 

 

 

617,527

 

 

 

 

 





























Total

 

 

 

$

10,294,457

 

$

486,958

 

$

517,228

 

$

47,976

 

$

168

 

$

14,873,108

 

$

54,155,826

 

$

52,356

 

 

 

 

 


























 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





Liability Derivatives

 

 

 


 

 

 

Statements of Assets and
Liabilities Location

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

 




















Interest rate
contracts

 

Net unrealized appreciation/depreciation*; Unrealized depreciation on swaps; Options written at value; Interest rate floors at value

 

$

14,343,097

 

 

 

 

 

 

 

 

 

$

14,643,726

 

$

53,542,538

 

$

36,714

 

Foreign currency
exchange contracts

 

Unrealized depreciation on foreign currency exchange contracts

 

 

287,611

 

$

57,333

 

$

57,910

 

$

2,840

 

 

 

 

277,446

 

 

 

 

 

Credit contracts

 

Unrealized depreciation on swaps; Options written at value

 

 

103,397

 

 

398,476

 

 

304,769

 

 

 

$

10,408

 

 

75,243

 

 

 

 

14,667

 





























Total

 

 

 

$

14,734,105

 

$

455,809

 

$

362,679

 

$

2,840

 

$

10,408

 

$

14,996,415

 

$

53,542,538

 

$

51,381

 

 

 




























 

 

 

*

 

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.

**

 

Includes options purchased at value as reported in the Schedules of Investments.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



The Effect of Derivative Instruments on the Statements of Operations
Year Ended August 31, 2010

 



 

 

Net Realized Gain (Loss) from

 

 

 



 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 



















Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

5,177,443

 

$

674,074

 

$

674,284

 

 

 

 

 

$

5,734,694

 

$

(10,940,497

)

$

179,359

 

Swaps

 

 

953,593

 

 

 

 

 

 

 

 

 

 

6,679,322

 

 

1,604,707

 

 

 

Interest rate floors

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(4,548,840

)

 

 

Options***

 

 

2,202,642

 

 

 

 

 

 

 

 

 

 

2,526,615

 

 

756,243

 

 

(7,751

)

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts****

 

 

1,842,740

 

 

3,752,522

 

 

3,990,642

 

$

519,649

 

 

 

 

1,294,418

 

 

 

 

380,902

 

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

(1,222,607

)

 

(1,247,238

)

 

(1,225,327

)

 

 

$

(27,176

)

 

(777,895

)

 

 

 

(255,692

)

Options***

 

 

45,188

 

 

 

 

 

 

 

 

 

 

45,054

 

 

 

 

(2,512

)

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

 

 

 

 

 

 

88,964

 

 

 

 

 

 

 

 

 



























Total

 

$

8,998,999

 

$

3,179,358

 

$

3,439,599

 

$

608,613

 

$

(27,176

)

$

15,502,208

 

$

(13,128,387

)

$

294,306

 

 

 


























 

 

 

***

 

Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

****

 

Foreign currency exchange contracts are included in the net realized gain (loss) from foreign currency transactions and net change in unrealized appreciation/depreciation on foreign currency transactions.


 

 

 

 





102

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Notes to Financial Statements (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Change in Unrealized Appreciation/Depreciation on

 

 

 



 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 



















Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

(171,320

)

 

 

 

 

 

 

 

 

$

(686,658

)

$

(1,315,975

)

$

5,565

 

Swaps

 

 

(851,732

)

 

 

 

 

 

 

 

 

 

(4,772,568

)

 

(4,223,736

)

 

 

Options***

 

 

(40,598

)

 

 

 

 

 

 

 

 

 

(648,506

)

 

1,662,022

 

 

 

Interest rate floors

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3,477,474

 

 

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency exchange contracts****

 

 

(42,437

)

$

408,399

 

$

455,392

 

$

109,716

 

 

 

 

(59,119

)

 

 

 

3,454

 

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

465,523

 

 

1,031,444

 

 

1,083,897

 

 

 

$

(7,473

)

 

625,865

 

 

 

 

(87,130

)

Options***

 

 

 

 

107,893

 

 

113,584

 

 

 

 

12,341

 

 

 

 

 

 

(10,205

)

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

 

 

175,503

 

 

180,556

 

 

45,478

 

 

 

 

 

 

 

 

 

Options***

 

 

 

 

 

 

 

 

 

 

(3,000

)

 

 

 

 

 

(6,000

)

Other contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

617,527

 

 

 

 

 

 

 

 

 

 

617,527

 

 

 

 

 



























Total

 

$

(23,037

)

$

1,723,239

 

$

1,833,429

 

$

155,194

 

$

1,868

 

$

(4,923,459

)

$

(400,215

)

$

(94,316

)

 

 


























 

 

 

***

 

Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

****

 

Foreign currency exchange contracts are included in the net realized gain (loss) from foreign currency transactions and net change in unrealized appreciation/depreciation on foreign currency transactions.

  For the year ended August 31, 2010, 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

 

 

741

 

 

 

 

 

 

 

 

 

 

800

 

 

216

 

 

39

 

Average number of contracts sold

 

 

913

 

 

19

 

 

18

 

 

4

 

 

 

 

1,020

 

 

1,577

 

 

21

 

Average notional value of contracts purchased

 

$

105,778,406

 

 

 

 

 

 

 

 

 

$

105,672,875

 

$

29,127,244

 

$

5,845,957

 

Average notional value of contracts sold

 

$

126,888,362

 

$

5,182,155

 

$

4,904,582

 

$

1,010,271

 

 

 

$

148,490,360

 

$

277,218,691

 

$

2,572,520

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — US dollars purchased

 

 

4

 

 

7

 

 

7

 

 

3

 

 

 

 

3

 

 

 

 

3

 

Average number of contracts — US dollars sold

 

 

1

 

 

3

 

 

3

 

 

1

 

 

 

 

1

 

 

 

 

1

 

Average US dollar amounts purchased

 

$

13,118,838

 

$

34,022,389

 

$

35,339,826

 

$

5,133,756

 

 

 

$

9,315,602

 

 

 

$

2,281,550

 

Average US dollar amounts sold

 

$

3,602,538

 

$

2,144,802

 

$

2,223,156

 

$

57,820

 

 

 

$

3,609,929

 

 

 

$

206,020

 

Options:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts purchased

 

 

554

 

 

 

 

 

 

 

 

3

 

 

474

 

 

34

 

 

6

 

Average number of contracts written

 

 

367

 

 

5

 

 

5

 

 

 

 

1

 

 

320

 

 

57

 

 

1

 

Average notional value of contracts purchased

 

$

252,594,625

 

 

 

 

 

 

 

$

2,829

 

$

133,909,500

 

$

19,714,500

 

$

5,657

 

Average notional value of contracts written

 

$

219,990,250

 

$

4,500,000

 

$

4,737,500

 

 

 

$

512,500

 

$

172,129,000

 

$

57,350,000

 

$

1,131,250

 

Credit default swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — buy protection

 

 

18

 

 

10

 

 

10

 

 

 

 

2

 

 

16

 

 

 

 

4

 

Average number of contracts — sell protection

 

 

1

 

 

8

 

 

8

 

 

 

 

1

 

 

1

 

 

 

 

1

 

Average notional value — buy protection

 

$

11,843,375

 

$

9,509,188

 

$

9,399,500

 

 

 

$

372,500

 

$

8,301,750

 

 

 

$

1,370,000

 

Average notional value — sell protection

 

$

1,025,000

 

$

3,202,500

 

$

3,674,375

 

 

 

$

27,500

 

$

3,725,000

 

 

 

$

193,750

 

Interest rate swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — pays fixed rate

 

 

20

 

 

 

 

 

 

 

 

 

 

20

 

 

14

 

 

 

Average number of contracts — receives fixed rate

 

 

14

 

 

 

 

 

 

 

 

 

 

18

 

 

11

 

 

 

Average notional value — pays fixed rate

 

$

102,823,750

 

 

 

 

 

 

 

 

 

$

122,550,000

 

$

408,630,000

 

 

 

Average notional value — receives fixed rate

 

$

103,358,750

 

 

 

 

 

 

 

 

 

$

166,528,750

 

$

304,161,600

 

 

 

Total return swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts

 

 

1

 

 

 

 

 

 

 

 

 

 

1

 

 

 

 

 

Average notional value

 

$

5,700,000

 

 

 

 

 

 

 

 

 

$

5,700,000

 

 

 

 

 



























3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate of the Trusts for 1940 Act purposes, but BAC and Barclays are 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.

 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

103




 


 

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 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

 

 

1.05

%

 

 

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

%






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

%






The Manager voluntarily agreed to waive a portion of the investment advisory fees or other expenses on BHD by 0.05% of its average weekly managed assets through February 28, 2010. BHD waived $22,435, which is included in fees waived by advisor in the Statements of Operations.

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 year ended August 31, 2010, the amounts waived were as follows:

 

 

 

 

 






BHK

 

$

1,893

 

HYV

 

$

1,917

 

HYT

 

$

2,111

 

HIS

 

$

1,309

 

BHY

 

$

1,241

 

BNA

 

$

2,171

 

BKT

 

$

112,085

 

BHD

 

$

1,338

 






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.

For the year ended August 31, 2010, certain Trusts reimbursed the Manager for certain accounting services, which are included in accounting services in the Statements of Operations. The reimbursements were as follows:

 

 

 

 

 






BHK

 

$

9,657

 

HYV

 

$

8,683

 

HYT

 

$

8,999

 

HIS

 

$

2,684

 

BHD

 

$

1,885

 






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. Income Tax Information:

Reclassifications: US GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of August 31, 2010 attributable to the accounting for swap agreements, amortization and accretion methods on fixed income securities, foreign currency transactions, non-deductible expenses, securities in default, income recognized from pass-through entities, the classification of settlement proceeds, distributions paid in excess of taxable income and the expiration of capital loss carryforwards were reclassified to the following accounts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



























 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 



























Paid-in capital

 

 

 

 

 

$

(43

)

$

(102,576,339

)

$

(8,468,860

)

 

 

$

(783,751

)

 

 

Undistributed (distributions in excess of) net investment income

 

$

1,878,831

 

$

3,306,857

 

$

3,486,622

 

$

904,506

 

$

2,222

 

$

4,121,073

 

$

(2,432,620

)

$

292,491

 

Accumulated net realized gain (loss)

 

$

(1,878,831

)

$

(3,306,857

)

$

(3,486,579

)

$

101,671,833

 

$

8,466,638

 

$

(4,121,073

)

$

3,216,371

 

$

(292,491

)




























 

 

 

 


104

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Notes to Financial Statements (continued)

The tax character of distributions paid during the fiscal years ended August 31, 2010 and August 31, 2009 was as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



























 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 



























Ordinary income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/2010

 

$

27,023,027

 

$

33,602,969

 

$

35,992,789

 

$

9,230,927

 

$

3,246,508

 

$

27,117,163

 

$

16,803,787

 

$

6,391,382

 

8/31/2009

 

 

20,703,556

 

 

39,697,493

 

 

42,020,500

 

 

11,459,895

 

 

3,522,285

 

 

21,085,255

 

 

18,415,450

 

 

6,204,335

 



























Long-term capital gains

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/2010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,611,663

 

 

 



























Tax return of capital

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/2010

 

 

 

 

 

 

 

 

 

 

108,660

 

 

 

 

 

 

 

8/31/2009

 

 

 

 

 

 

 

 

 

 

118,809

 

 

 

 

 

 

 



























Total distributions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/2010

 

$

27,023,027

 

$

33,602,969

 

$

35,992,789

 

$

9,230,927

 

$

3,355,168

 

$

27,117,163

 

$

18,415,450

 

$

6,391,382

 

 

 

























8/31/2009

 

$

20,703,556

 

$

39,697,493

 

$

42,020,500

 

$

11,459,895

 

$

3,641,094

 

$

21,085,255

 

$

18,415,450

 

$

6,204,335

 

 

 

























As of August 31, 2010, the tax components of accumulated net earnings (losses) were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



























 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 



























Undistributed ordinary income

 

$

7,121,433

 

$

7,065,266

 

$

7,864,723

 

$

3,292,165

 

 

 

$

6,617,192

 

 

 

$

1,547,611

 

Capital loss carryforwards

 

 

(25,062,853

)

 

(83,968,877

)

 

(99,724,971

)

 

(66,989,586

)

$

(17,763,693

)

 

(37,862,770

)

 

 

 

(7,248,848

)

Net unrealized gains (losses)*

 

 

22,809,046

 

 

(10,313,303

)

 

(11,489,189

)

 

(1,439,362

)

 

(2,620,220

)

 

27,078,408

 

$

17,717,605

 

 

3,044,756

 

 

 

























Total

 

$

4,867,626

 

$

(87,216,914

)

$

(103,349,437

)

$

(65,136,783

)

$

(20,383,913

)

$

(4,167,170

)

$

17,717,605

 

$

(2,656,481

)

 

 


























 

 

 

 

*

The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales, amortization and accretion methods of premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency exchange contracts, the deferral of post-October currency and capital losses for tax purposes, the timing and recognition of partnership income, the accounting for swap agreements, the deferral of compensation to trustees and other book/tax differences.

As of August 31, 2010, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















Expires August 31,

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BHD

 
























2011

 

 

 

 

 

 

 

$

28,467,396

 

$

4,771,417

 

 

 

 

 

2012

 

 

 

 

 

 

 

 

2,339,279

 

 

316,410

 

 

 

 

 

2014

 

$

231,359

 

 

 

$

2,291,195

 

 

7,043,976

 

 

2,060,533

 

$

2,451,626

 

$

447,113

 

2015

 

 

 

 

 

 

564,489

 

 

 

 

2,467,772

 

 

2,342,921

 

 

 

2016

 

 

17,415,494

 

$

950,802

 

 

1,125,717

 

 

10,829,322

 

 

2,039,760

 

 

14,734,497

 

 

2,036,040

 

2017

 

 

7,416,000

 

 

37,231,421

 

 

40,815,806

 

 

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

 

 

 






















Total

 

$

25,062,853

 

$

83,968,877

 

$

99,724,971

 

$

66,989,586

 

$

17,763,693

 

$

37,862,770

 

$

7,248,848

 

 

 






















5. 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 year ended August 31, 2010, were as follows:

 

 

 

 

 

 

 

 









 

 

Purchases

 

 

Sales

 









BHK

 

$

1,789,169,890

 

$

1,725,246,085

 

HYV

 

$

430,089,096

 

$

393,992,298

 

HYT

 

$

418,272,627

 

$

388,135,220

 

HIS

 

$

120,904,186

 

$

113,389,296

 

BHY

 

$

41,639,526

 

$

36,989,394

 

BNA

 

$

1,842,136,613

 

$

1,760,363,946

 

BKT

 

$

6,364,584,320

 

$

5,999,742,705

 

BHD

 

$

93,829,121

 

$

78,706,714

 









Purchases and sales of US government securities for the year ended August 31, 2010, were as follows:

 

 

 

 

 

 

 

 









 

 

Purchases

 

Sales

 









BHK

 

$

1,391,711,583

 

$

1,344,547,113

 

BNA

 

$

1,550,482,926

 

$

1,515,261,791

 

BKT

 

$

442,024,169

 

$

383,571,810

 

BHD

 

 

 

$

437,367

 









For the year ended August 31, 2010, purchases and sales of mortgage dollar rolls were as follows:

 

 

 

 

 

 

 

 









 

 

 

Purchases

 

 

Sales

 









BHK

 

$

512,616,428

 

$

512,636,492

 

BNA

 

$

510,771,621

 

$

510,586,149

 

BKT

 

$

4,873,523,094

 

$

4,888,969,832

 










 

 

 

 


 

ANNUAL REPORT

AUGUST 31, 2010

105



 


 

Notes to Financial Statements (continued)

Transactions in options written for the year ended August 31, 2010, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Calls

 

Puts

 

 

 


 



 

 

Contracts

 

Notional
Amount
(000)

 

Premium
Received

 

Contracts

 

Notional
Amount
(000)

 

Premium
Received

 















BHK

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

 

122,600

 

$

5,356,030

 

 

 

 

125,800

 

$

5,504,520

 

Options written

 

 

252

 

 

195,140

 

 

8,211,794

 

 

457

 

 

312,340

 

 

11,016,551

 

Options expired

 

 

 

 

(37,998

)

 

(1,018,056

)

 

(153

)

 

(79,478

)

 

(2,019,049

)

Options exercised

 

 

(164

)

 

(39,900

)

 

(1,396,897

)

 

 

 

(3,500

)

 

(134,575

)

Options closed

 

 

(88

)

 

(164,142

)

 

(7,109,696

)

 

(304

)

 

(237,862

)

 

(9,780,252

)

 

 



 



 



 



 



 



 

Outstanding options, end of year

 

 

 

 

75,700

 

$

4,043,175

 

 

 

 

117,300

 

$

4,587,195

 

 

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















HYV

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

 

 

 

 

 

 

 

 

 

 

Options written

 

 

 

 

13,250

 

$

94,750

 

 

 

 

4,750

 

$

71,250

 

 

 



 



 



 



 



 



 

Outstanding options, end of year

 

 

 

 

13,250

 

$

94,750

 

 

 

 

4,750

 

$

71,250

 

 

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















HYT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

 

 

 

 

 

 

 

 

 

 

Options written

 

 

 

 

13,950

 

$

99,750

 

 

 

 

5,000

 

$

75,000

 

 

 



 



 



 



 



 



 

Outstanding options, end of year

 

 

 

 

13,950

 

$

99,750

 

 

 

 

5,000

 

$

75,000

 

 

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















BHY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

 

 

 

 

 

 

 

 

 

 

Options written

 

 

 

 

1,500

 

$

10,800

 

 

 

 

550

 

$

8,250

 

 

 



 



 



 



 



 



 

Outstanding options, end of year

 

 

 

 

1,500

 

$

10,800

 

 

 

 

550

 

$

8,250

 

 

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















BNA

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

 

74,200

 

$

3,488,657

 

 

 

 

77,500

 

$

3,653,658

 

Options written

 

 

252

 

 

194,110

 

 

7,805,309

 

 

460

 

 

263,510

 

 

9,597,936

 

Options expired

 

 

 

 

(24,377

)

 

(594,215

)

 

(153

)

 

(47,967

)

 

(1,407,957

)

Options exercised

 

 

(164

)

 

(38,100

)

 

(1,323,887

)

 

 

 

 

 

 

Options closed

 

 

(88

)

 

(126,433

)

 

(5,515,717

)

 

(307

)

 

(177,043

)

 

(7,464,624

)

 

 



 



 



 



 



 



 

Outstanding options, end of year

 

 

 

 

79,400

 

$

3,860,147

 

 

 

 

116,000

 

$

4,379,013

 

 

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















BKT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

 

40,800

 

$

1,740,902

 

 

 

 

40,800

 

$

1,740,907

 

Options written

 

 

78

 

 

31,000

 

 

1,361,155

 

 

78

 

 

31,000

 

 

1,377,041

 

Options expired

 

 

 

 

(4,900

)

 

(221,725

)

 

 

 

(17,800

)

 

(839,725

)

Options exercised

 

 

 

 

(17,800

)

 

(839,719

)

 

 

 

 

 

 

Options closed

 

 

(78

)

 

(31,000

)

 

(1,361,155

)

 

(78

)

 

(35,900

)

 

(1,598,766

)

 

 



 



 



 



 



 



 

Outstanding options, end of year

 

 

 

 

18,100

 

$

679,458

 

 

 

 

18,100

 

$

679,457

 

 

 



 



 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















BHD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options, beginning of year

 

 

 

 

8,235

 

$

77,409

 

 

 

 

8,235

 

$

83,174

 

Options written

 

 

 

 

3,325

 

 

23,825

 

 

 

 

1,200

 

 

18,000

 

Options expired

 

 

 

 

 

 

 

 

 

 

(8,235

)

 

(83,174

)

Options closed

 

 

 

 

(8,235

)

 

(77,409

)

 

 

 

 

 

 

 

 



 



 



 



 



 



 

Outstanding options, end of year

 

 

 

 

3,325

 

$

23,825

 

 

 

 

1,200

 

$

18,000

 

 

 



 



 



 



 



 



 


 

 

 

 


106

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Notes to Financial Statements (continued)

6. Commitments:

Certain Trusts may invest in floating rate loan interests. In connection with these investments, the Trusts may also enter into unfunded loan commitments (“commitments”). Commitments may obligate the Trusts to furnish temporary financing to a borrower until permanent financing can be arranged. 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 classified in the Statements of Operations as facility and other fees, is recognized ratably over the commitment period. As of August 31, 2010, the Trusts had the following unfunded loan commitments:

 

 

 

 

 

 

 

 







Borrower

 

Unfunded
Commitment

 

Value of
Underlying Loan

 







HYV

 

 

 

 

 

 

 









Delphi International Holdings

 

$

1,277,361

 

$

1,207,338

 









HYT

 

 

 

 

 

 

 









Delphi International Holdings

 

$

656,788

 

$

620,665

 









HIS

 

 

 

 

 

 

 









Delphi International Holdings

 

$

36,829

 

$

34,803

 









BHY

 

 

 

 

 

 

 









Delphi International Holdings

 

$

72,738

 

$

68,737

 









BHD

 

 

 

 

 

 

 









Delphi International Holdings

 

$

161,435

 

$

152,556

 









7. 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.

8. Capital Share Transactions:

There are 200 million of $0.01 par value shares authorized for BNA and BKT. There are an unlimited number of $0.001 par value shares authorized for BHK, BHY and BHD. There are an unlimited number of no par value shares authorized for HIS. There are 200 million of $0.10 par value shares authorized for HYV and HYT. The Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders.

For the years shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestments:

 

 

 

 

 

 







 

 

Year Ended
August 31,
2010

 

Year Ended
August 31,
2009

 







BHK

 

 

4,253

 

HYT

 

7,573

 

 

BHY

 

 

8,666

 

BNA

 

 

6,677

 







Shares issued and outstanding remained constant during the years ended August 31, 2010 and August 31, 2009 for HYV, HIS, BKT and BHD.

At August 31, 2010, the shares owned by affiliates of the Manager of the Trusts were as follows:

 

 

 

 





 

 

Shares

 





HYV

 

37,702

 

HYT

 

15,901

 





9. Borrowings:

On March 5, 2009, HYV, HVT, HIS and BHY 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
Amounts

 





HYV

 

$

127,000,000

 

HYT

 

$

135,000,000

 

HIS

 

$

41,000,000

 

BHY

 

$

16,000,000

 






Advances are made by SSB to the Trusts, at the Trusts’ option of (a) the higher of (i) 1.0% above the Fed Effective Rate and (ii) 1.0% above the Overnight LIBOR or (b) 1.0% 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 August 31, 2010 are shown in the Statements of Assets and Liabilities as loan payable. The SSB Agreement was renewed for 364 days under substantially the same terms effective March 4,

 

 

 

 


 

ANNUAL REPORT

AUGUST 31, 2010

107




 


 

Notes to Financial Statements (continued)

2010. In addition, BHD entered into the SSB Agreement. The SSB Agreement allows for the following maximum commitment amounts:

 

 

 

 

 





 

 

Commitment
Amounts

 





HYV

 

$

140,000,000

 

HYT

 

$

145,000,000

 

HIS

 

$

45,000,000

 

BHY

 

$

18,000,000

 

BHD

 

$

30,000,000

 






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 borrowings is less than 300%.

BHK, BNA and BKT borrowed under the Term Asset-Backed Securities Loan Facility (“TALF”). The TALF program was launched by the U.S. Department of Treasury and the Federal Reserve Board as a credit facility designed to restore liquidity to the market for asset-backed securities. The Federal Reserve Bank of New York (“FRBNY”) will provide up to $1 trillion in non-recourse loans to support the issuance of certain AAA-rated asset-backed securities and commercial mortgage-backed securities (“Eligible Securities”). The Trusts posted as collateral already-held Eligible Securities, which were all commercial mortgage-backed securities, in return for non-recourse, 5-year term loans (“TALF loans”) in an amount equal to approximately 85% of the value of such Eligible Securities. The TALF loans are shown as TALF loans at value on the Statements of Assets and Liabilities. The following is a summary of the outstanding TALF loans and related information as of August 31, 2010:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

Number
of Loans

 

Aggregate
Amount
of Loans

 

Maturity
Dates

 

Interest
Rates

 

Value of
Eligible
Securities

 













BHK

 

1

 

$

11,763,225

 

8/28/14

 

 

3.87%

 

$

14,389,848

 

BNA

 

1

 

$

11,763,225

 

8/28/14

 

 

3.87%

 

$

14,389,848

 

BKT

 

1

 

$

11,739,534

 

8/28/14

 

 

3.87%

 

$

14,437,543

 
















The non-recourse provision of the TALF loans allows the Trusts to satisfy loan obligations with Eligible Securities, subject to certain conditions, even if the value of the Eligible Securities falls below the outstanding amount of the loan. The Trusts can repay TALF loans prior to the maturity dates with no penalty. Principal and interest due on the loans will typically be paid with principal paydowns and interest received from the Eligible Securities. Credit agreements underlying each loan contain provisions to address instances in which interest payments on Eligible Securities fall short of amounts due to the FRBNY. The Trusts paid to the FRBNY a one time administration fee of 0.20% of the amount borrowed, which was expensed as incurred in the current period by the Trusts and is included in borrowing costs in the Statements of Operations. The Trusts also pay a financing fee equal to the 5-year LIBOR swap rate plus 1.00% on the outstanding loan amount payable monthly, which is included in interest expense in the Statements of Operations.

Since the Trusts have the ability to potentially satisfy TALF loan obligations by surrendering Eligible Securities, potential losses by the Trusts associated with the TALF loans are limited to the difference between the amount of Eligible Securities posted at the time of loan initiation and the loan proceeds received by the Trusts.

The Trusts have elected to account for the outstanding TALF loans at fair value. The Trusts elected to fair value their TALF loans to more closely align changes in the value of the TALF loans with changes in the value of the Eligible Securities and to reduce the potential volatility in the Statements of Operations which could result if only the Eligible Securities were fair valued. The TALF loans are valued utilizing quotations received from a board approved pricing service. TALF-eligible Asset-Backed Securities/Collateralized Mortgage-Backed Securities (“ABS/CMBS”) value may be affected by historic defaults and prepayments on the asset pool, expected future defaults and prepayments, current interest rate levels, current and forward modeled ABS/CMBS spread levels. Accordingly, TALF loan valuation methodologies may include, but are not limited to, the following inputs: (i) ABS/CMBS prepayment assumptions, (ii) discount rates and (iii) the non-recourse put option valuation. The resulting TALF loan valuation combines the present value of the future loan cash flows, plus the value of the non-recourse option. The change in unrealized gain or loss associated with fair valuing the TALF loans is reflected in the Statements of Operations.

For the year ended August 31, 2010 the daily weighted average interest rates for trusts with reverse repurchase agreements, treasury roll transactions and TALF loans were as follows:

 

 

 

 





 

 

Daily Weighted
Average
Interest Rate

 





BHK

 

0.51%

 

BNA

 

0.54%

 

BKT

 

2.16%

 





For the year ended August 31, 2010 the daily weighted average interest rates for Trusts with loans under the revolving credit agreements were as follows:

 

 

 

 





 

 

Daily Weighted
Average
Interest Rate

 





HYV

 

1.25%

 

HYT

 

1.25%

 

HIS

 

1.25%

 

BHY

 

1.24%

 

BHD

 

1.05%

 






 

 

 

 


108

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Notes to Financial Statements (concluded)

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:

On September 7, 2010, BHK and BNA repaid their outstanding TALF loans and the securities posted as collateral were returned to the Trusts. The Trusts funded the repayment of the TALF loans by entering into reverse repurchase agreements.

Each Trust paid a net investment income dividend on September 30, 2010 to shareholders of record on September 15, 2010 as follows:

 

 

 

 





 

 

Common Dividend
Per Share

 





BHK

 

$0.0670

 

HYV

 

$0.0825

 

HYT

 

$0.0825

 

HIS

 

$0.0142

 

BHY

 

$0.0435

 

BNA

 

$0.0510

 

BKT

 

$0.0240

 

BHD

 

$0.0795

 






 

 

 

 


 

ANNUAL REPORT

AUGUST 31, 2010

109




 


 

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees/Directors of:
BlackRock Core Bond Trust
BlackRock Corporate High Yield Fund V, Inc.
BlackRock Corporate High Yield Fund VI, Inc.
BlackRock High Income Shares
BlackRock High Yield Trust
BlackRock Income Opportunity Trust, Inc.
BlackRock Income Trust, Inc.
BlackRock Strategic Bond Trust (Collectively the “Trusts”):

We have audited the accompanying statements of assets and liabilities of BlackRock Core Bond Trust, BlackRock Corporate High Yield Fund V, Inc., BlackRock Corporate High Yield Fund VI, Inc., BlackRock High Income Shares, BlackRock High Yield Trust, and BlackRock Income Opportunity Trust, Inc., including the schedules of investments, as of August 31, 2010, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. We have also audited the accompanying statements of assets and liabilities of BlackRock Income Trust, Inc., and BlackRock Strategic Bond Trust, including the schedules of investments, as of August 31, 2010, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Trusts’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trusts are not required to have, nor were we engaged to perform an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures include confirmation of the securities owned as of August 31, 2010, by correspondence with the custodian, brokers and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Core Bond Trust, BlackRock Corporate High Yield Fund V, Inc., BlackRock Corporate High Yield Fund VI, Inc., BlackRock High Income Shares, BlackRock High Yield Trust, and BlackRock Income Opportunity Trust, Inc., the results of their operations and cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. Additionally, in our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Income Trust, Inc., and BlackRock Strategic Bond Trust, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Princeton, New Jersey
October 29, 2010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

Important Tax Information (Unaudited)

 


 

 

 

The following information is provided with respect to the monthly distributions paid by the Trusts for the taxable year ended August 31, 2010.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



















 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 



















Federal Obligation Interest1

 

 

7.70

%

 

 

 

 

 

 

 

 

 

6.47

%

 

8.34

%

 

 

Interest-Related Dividends for Non-U.S. Residents:2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 2009 – January 2010

 

 

53.96

%

 

86.39

%

 

79.72

%

 

76.61

%

 

92.81

%

 

50.09

%

 

100.00

%

 

88.99

%

February 2010 – July 2010

 

 

88.59

%

 

70.90

%

 

75.12

%

 

84.24

%

 

69.39

%

 

80.08

%

 

41.90

%

 

86.53

%

August 2010

 

 

88.59

%

 

70.90

%

 

75.12

%

 

84.24

%

 

69.39

%

 

80.08

%

 

 

 

86.53

%

Long-Term Capital Gain Distributed:3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

July 2010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.001205

 

 

 

August 2010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.024000

 

 

 




























 

 

 

 

1

The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes.

 

2

Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

 

3

Represents the per share amount of the monthly dividend paid attributed to long-term capital gains.


 

 

 

 





110

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

The Board of Directors and the Board of Trustees, as the case may be (each, a “Board,” and, collectively, the “Boards,” and the members of which are referred to as “Board Members”) of each of 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,” and together with BHK, HYV, HYT, HIS, BHY, BNA and BKT, each, a “Trust,” and, collectively, the “Trusts”) met on April 8, 2010 and May 13 – 14, 2010 to consider the approval of each Trust’s investment advisory agreement (each, an “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), each Trust’s investment advisor. Each Board also considered the approval of the sub-advisory agreement (each, a “Sub-Advisory Agreement”) between the Manager and BlackRock Financial Management, Inc. (the “Sub-Advisor”), with respect to its Trust. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

Activities and Composition of the Board

The Board of each Trust consists of ten individuals, eight of whom are not “interested persons” of such Trust as defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of each Trust and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of the Boards is an Independent Board Member. The Boards have established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member) and is chaired by an Independent Board Member. The Boards also has one ad hoc committee, the Joint Product Pricing Committee, which consists of Independent Board Members and the directors/trustees of the boards of certain other BlackRock-managed funds, who are not “interested persons” of their respective funds.

The Agreements

Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Agreements on an annual basis. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the Trusts by the personnel of BlackRock and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services and assistance in meeting applicable legal and regulatory requirements.

From time to time throughout the year, each Board, acting directly and through its committees, considered at each of its meetings factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the respective Trust and its shareholders. Among the matters the Board considered were: (a) investment performance for one-, three- and five-year periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any over performance or underperformance against a Trust’s peers and/or benchmark, as applicable; (b) fees, including advisory fees, administration fees with respect to BHY, BNA and BKT and other amounts paid to BlackRock and its affiliates by each Trust for services such as call center and fund accounting; (c) each Trust’s operating expenses; (d) the resources devoted to and compliance reports relating to each Trust’s investment objective, policies and restrictions; (e) each Trust’s compliance with its Code of Ethics and compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls; (h) BlackRock’s implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of each Trust’s valuation and liquidity procedures; (k) an analysis of contractual and actual management fees for products with similar investment objectives across the open-end fund, closed-end fund and institutional account product channels, as applicable; and (l) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April 8, 2010 meeting, the Boards requested and received materials specifically relating to the Agreements. The Boards are engaged in a process with BlackRock to periodically review the nature and scope of the information provided to better assist their deliberations. The materials provided in connection with the April meeting included: (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on Trust fees and expenses, and the investment performance of each Trust as compared with a peer group of funds as determined by Lipper (collectively, “Peers”); (b) information on the profitability of the Agreements to BlackRock and a discussion of fall-out benefits to BlackRock and its affiliates and significant shareholders; (c) a general analysis provided by BlackRock concerning investment advisory fees charged to other clients, such as institutional clients and open-end funds, under similar investment mandates; (d) the impact of economies of scale; (e) a summary of aggregate amounts paid by each Trust to BlackRock; and (f) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.

At an in-person meeting held on April 8, 2010, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April 8, 2010 meeting, the Boards presented BlackRock with questions and requests for additional information and BlackRock responded to these requests with additional written information in advance of the May 13 – 14, 2010 Board meeting.

At an in-person meeting held on May 13 – 14, 2010, each Trust’s Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and each respective Trust and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to each Trust, each for a one-year term ending June 30, 2011. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Trust and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized

 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

111




 


 

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

by BlackRock and its affiliates from their relationship with each Trust; (d) economies of scale; and (e) other factors deemed relevant by the Board Members.

The Boards also considered other matters they deemed important to the approval process, such as services related to the valuation and pricing of each Trust’s portfolio holdings, direct and indirect benefits to BlackRock and its affiliates and significant shareholders from their relationship with each Trust and advice from independent legal counsel with respect to the review process and materials submitted for the Boards’ review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as controlling, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of each Trust. Throughout the year, the Boards compared each Trust’s performance to the performance of a comparable group of closed-end funds, and the performance of a relevant benchmark, if any. The Boards met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. The Boards also reviewed the materials provided by each Trust’s portfolio management team discussing each Trust’s performance and each Trust’s investment objective, strategies and outlook.

The Boards considered, among other factors, the number, education and experience of BlackRock’s investment personnel generally and each Trust’s portfolio management team, investments by portfolio managers in the funds they manage, BlackRock’s portfolio trading capabilities, BlackRock’s use of technology, BlackRock’s commitment to compliance, BlackRock’s credit analysis capabilities, BlackRock’s risk analysis capabilities and BlackRock’s approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards also reviewed a general description of BlackRock’s compensation structure with respect to each Trust’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent.

In addition to advisory services, the Boards considered the quality of the administrative and non-investment advisory services provided to each Trust. BlackRock and its affiliates and significant shareholders provide each Trust with certain administrative and other services (in addition to any such services provided to each Trust by third parties) and officers and other personnel as are necessary for the operations of each Trust. In addition to investment advisory services, BlackRock and its affiliates provide each Trust with other services, including: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of each Trust; (iii) assisting with daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; and (viii) performing other administrative functions necessary for the operation of each Trust, such as tax reporting, fulfilling regulatory filing requirements, and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration, accounting, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Trusts and BlackRock: The Boards, including the Independent Board Members, also reviewed and considered the performance history of each Trust. In preparation for the April 8, 2010 meeting, the Boards were provided with reports, independently prepared by Lipper, which included a comprehensive analysis of each Trust’s performance. The Boards also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with their review, the Boards received and reviewed information regarding the investment performance of each Trust as compared to a representative group of similar funds as determined by Lipper and to all funds in each Trust’s applicable Lipper category. The Boards were provided with a description of the methodology used by Lipper to select peer funds. The Boards regularly review the performance of each Trust throughout the year.

The Board of BHK noted that BHK performed below the median of its Lipper Performance Universe in each of the one-, three- and five-year periods reported. The Board of BHK and BlackRock reviewed the reasons for BHK’s underperformance during these periods compared with its Peers. The Board of BHK was informed that, among other things, the single biggest factor which impacts performance relative to Peers is BNA’s benchmark and significant differences with other funds in the BBB-rated corporate debt funds category. While BHK holds an average credit quality of A–, many of the other funds in the category, which have outperformed BHK, carry a lower average credit quality and/or a higher allocation to spread assets, including mortgage-backed securities, investment grade corporates and high yield. This served as a detractor to performance due to the general outperformance of spread sectors and lower quality risk assets compared to U.S. Treasuries and government-related assets during 2009.

The Board of BNA noted that BNA performed below the median of its Lipper Performance Universe in each of the one-, three- and five-year periods reported. The Board of BNA and BlackRock reviewed the reasons for BNA’s underperformance during these periods compared with its Peers. The Board of BNA was informed that, among other things, the single biggest factor which impacts performance relative to Peers is BNA’s benchmark and its differences with other funds in the BBB-rated corporate debt funds category. Many of the other funds in the category, which have outperformed BNA, carry a lower average credit quality and/or a higher allocation to spread assets including, mortgage-backed securities, investment grade corporates and high yield. This served as a detractor to performance due to the general outperformance of spread sectors and lower quality risk assets compared to U.S. Treasuries and government-related assets during 2009.

The Boards of BHK and BNA and BlackRock discussed BlackRock’s strategy for improving each respective Trust’s performance and BlackRock’s commitment to providing the resources necessary to assist each Trust’s portfolio managers and to improve each Trust’s performance.

 

 

 

 





112

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

The Boards of HYV, HIS and BHY noted that, in general, HYV, HIS and BHY performed better than their respective Peers in that the performance of each of HYV, HIS and BHY were at or above the median of their Lipper Performance Universe in each of the one-, three- and five-year periods reported.

The Boards of HYT, BKT and BHD noted that, in general, HYT, BKT and BHD performed better than their respective Peers in that the performance of each of HYT, BKT and BHD was at or above the median of their Lipper Performance Universe in two of the one-, three- and five-year periods reported.

The Boards noted that BlackRock has made changes to the organization of the overall fixed income group management structure designed to result in a strengthened leadership team with clearer accountability.

C. Consideration of the Advisory Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Trusts: The Boards, including the Independent Board Members, reviewed each Trust’s contractual advisory fee rate compared with the other funds in its Lipper category. The Boards also compared each Trust’s total expenses, as well as actual management fees, to those of other funds in its Lipper category. The Boards considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including separately managed institutional accounts.

The Boards received and reviewed statements relating to BlackRock’s financial condition and profitability with respect to the services it provided each Trust. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Trust. The Boards reviewed BlackRock’s profitability with respect to each Trust and other funds the Boards currently oversee for the year ended December 31, 2009 compared to available aggregate profitability data provided for the year ended December 31, 2008. The Boards reviewed BlackRock’s profitability with respect to other fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, expense allocations and business mix, and the difficulty of comparing profitability as a result of those factors.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. Nevertheless, to the extent such information was available, the Boards considered BlackRock’s overall operating margin, in general, compared to the operating margin for leading investment management firms whose operations include advising closed-end funds, among other product types. That data indicates that operating margins for BlackRock with respect to its registered funds are generally consistent with margins earned by similarly situated publicly traded competitors. In addition, the Boards considered, among other things, certain third party data comparing BlackRock’s operating margin with that of other publicly traded asset management firms. That third party data indicates that larger asset bases do not, in themselves, translate to higher profit margins.

In addition, the Boards considered the cost of the services provided to each Trust by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of each Trust and the other funds advised by BlackRock and its affiliates. As part of their analysis, the Boards reviewed BlackRock’s methodology in allocating its costs to the management of each Trust. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high-quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Boards.

The Boards of BHK, HYV, HYT, BKT and BHD noted that their respective Trusts’ contractual management fee rate were lower than or equal to the median contractual management fee rates paid by the Trusts’ respective Peers, in each case, before taking into account any expense reimbursements or fee waivers.

The Board of HIS noted that HIS’s contractual management fee rate was lower than or equal to the median contractual management fee rate paid by HIS’s Peers, in each case, before taking into account any expense reimbursements or fee waivers. The Board of HIS also noted that HIS has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of HIS increases above certain contractually specified levels.

The Board of BHY noted that BHY’s contractual management fee rate was above the median contractual management fee rate paid by BHY’s Peers, in each case, before taking into account any expense reimbursements or fee waivers. The Board of BHY also noted, however, that BHY’s actual total expenses, including investment-related expenses (e.g., interest expense related to BHY’s use of leverage) and taxes, were lower than the median actual total expenses, including investment-related expenses and taxes, of its Peers.

The Board of BNA noted that BNA’s contractual management fee rate was above the median contractual management fee rate paid by BNA’s Peers, in each case, before taking into account any expense reimbursements or fee waivers. The Board of BNA also noted, however, that BNA’s actual management fee rate, after giving effect to any expense reimbursements or fee waivers by BlackRock, was lower than or equal to the median actual management fee rate paid by BNA’s Peers, after giving effect to any expense reimbursements or fee waivers.

D. Economies of Scale: The Boards, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Trust increase. The Boards also considered the extent to which each Trust benefits from such economies and whether there should be changes in the advisory fee rate or structure in order to enable each Trust to participate in these economies of scale, for example through the use of breakpoints, and in the case of HIS, revised breakpoints, in the advisory fee based upon the asset level of each Trust.

 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

113




 


 

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)

The Boards noted that most closed-end fund complexes do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering and each fund is managed independently consistent with its own investment objectives. The Boards noted that only one closed-end fund in the Fund Complex, HIS, has breakpoints in its fee structure. Information provided by Lipper also revealed that only one closed-end fund complex with total closed-end fund nets assets exceeding $10 billion, as of December 31, 2009, used a complex level breakpoint structure.

E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates and significant shareholders may derive from their respective relationships with the Trusts, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates and significant shareholders as service providers to each Trust, including for administrative and distribution services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain mutual fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that BlackRock completed the acquisition of a complex of exchange-traded funds (“ETFs”) on December 1, 2009, and that BlackRock’s funds may invest in such ETFs without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Agreements, the Boards also received information regarding BlackRock’s brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Boards noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their respective Trust shares in the secondary market if they believe that the Trust’s fees and expenses are too high or if they are dissatisfied with the performance of the Trust.

Conclusion

The Boards, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and each Trust for a one-year term ending June 30, 2011 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to each Trust, for a one-year term ending June 30, 2011. As part of its approval, each Board considered the discussions of BlackRock’s fee structure, as it applies to its respective Trust, being conducted by the ad hoc Joint Product Pricing Committee. Based upon its evaluation of all of the aforementioned factors in their totality, the Boards, including the Independent Board Members, were satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Trust and its shareholders. In arriving at a decision to approve the Agreements, the Boards did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for each Trust reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. Certain aspects of the arrangements may be the subject of more attention in some years than in others, and the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

 

 

 

 





114

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Automatic Dividend Reinvestment Plans

Pursuant to each Trust’s Dividend Reinvestment Plan (the “Plan”), common shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the “Plan Agent”) in the respective Trust’s shares pursuant to the Plan. Shareholders who do not participate in the Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Plan Agent, which serves as agent for the shareholders in administering the Plan.

After the Trusts declare a dividend or determine to make a capital gain distribution, the Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trust (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Trust’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Plan Agent will invest the dividend amount in newly issued shares on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the payment date, the dollar amount of the dividend will be divided by 95% of the market price on the payment date. If, on the dividend payment date, the NAV is greater than the market value per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Plan Agents are unable to invest the full dividend amount in open market purchases, or if the market discount shifts to a market premium during the purchase period, the Plan Agents will invest any un-invested portion in newly issued shares.

Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Plan Administrator prior to the dividend record date; otherwise such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.

Each Trust reserves the right to amend or terminate the Plan. There is no direct service charge to participants in the Plan; however, each Fund reserves the right to amend the Plan to include a service charge payable by the participants. Participants that request a sale of shares through Computer-share Trust Company, N.A. are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission. All correspondence concerning the Plan should be directed to the Plan Agent: Computershare Trust Company, N.A., P.O. Box 43078, Providence, RI 02940-3078, Telephone: (800) 699-1BFM or overnight correspondence should be directed to the Plan Agent at 250 Royall Street, Canton, MA 02021.

 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

115




 


 

Officers and Trustees


 

 

 

 

 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Trusts

 

Length
of Time
Served as
a Trustee2

 

Principal Occupation(s) During Past Five Years

 

Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen

 

Public
Directorships












Non-Interested Trustees1


Richard E. Cavanagh
55 East 52nd Street
New York, NY 10055
1946

 

Chairman of the
Board and Trustee

 

Since 1994

 

Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Trustee, Educational Testing Service from 1997 to 2009 and Chairman from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer of The Conference Board, Inc. (global business research organization) from 1995 to 2007.

 

100 RICs consisting of 98 Portfolios

 

Arch Chemical (chemical and allied products)












Karen P. Robards
55 East 52nd Street
New York, NY 10055
1950

 

Vice Chair of
the Board, Chair
of the Audit
Committee and
Trustee

 

Since 2007

 

Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc. (health care real estate investment trust) from 2007 to 2010; Director of Enable Medical Corp. from 1996 to 2005; Investment Banker at Morgan Stanley from 1976 to 1987.

 

100 RICs consisting of 98 Portfolios

 

AtriCure, Inc. (medical devices)












Frank J. Fabozzi
55 East 52nd Street
New York, NY 10055
1948

 

Trustee and
Member of the
Audit Committee

 

Since 1988

 

Consultant/Editor of The Journal of Portfolio Management since 2006; Professor in the Practice of Finance and Becton Fellow, Yale University, School of Management since 2006; Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006.

 

100 RICs consisting of 98 Portfolios

 

None












Kathleen F. Feldstein
55 East 52nd Street
New York, NY 10055
1941

 

Trustee

 

Since 2005

 

President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009.

 

100 RICs consisting of 98 Portfolios

 

The McClatchy Company (publishing)












James T. Flynn
55 East 52nd Street
New York, NY 10055
1939

 

Trustee and
Member of the
Audit Committee

 

Since 2007

 

Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995.

 

100 RICs consisting of 98 Portfolios

 

None












Jerrold B. Harris
55 East 52nd Street
New York, NY 10055
1942

 

Trustee

 

Since 2007

 

Trustee, Ursinus College since 2000; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation since 2001; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.

 

100 RICs consisting of 98 Portfolios

 

BlackRock Kelso Capital Corp. (business development company)













 

 

 

 


116

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Officers and Trustees (continued)


 

 

 

 

 

 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Trusts

 

Length
of Time
Served as
a Trustee2

 

Principal Occupation(s) During Past Five Years

 

Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen

 

Public
Directorships












Non-Interested Trustees1 (concluded)


R. Glenn Hubbard
55 East 52nd Street
New York, NY 10055
1958

 

Trustee

 

Since 2004

 

Dean, Columbia Business School since 2004; Columbia faculty member since 1988; Co-Director, Columbia Business School’s Entrepreneurship Program from 1997 to 2004; Chairman, U.S. Council of Economic Advisers under the President of the United States from 2001 to 2003; Chairman, Economic Policy Committee of the OECD from 2001 to 2003.

 

100 RICs consisting of 98 Portfolios

 

ADP (data and information services); KKR Financial Corporation (finance); Metropolitan Life Insurance Company (insurance)












W. Carl Kester
55 East 52nd Street
New York, NY 10055
1951

 

Trustee and
Member of the
Audit Committee

 

Since 2007

 

George Fisher Baker Jr. Professor of Business Administration, Harvard Business School; Deputy Dean for Academic Affairs from 2006 to 2010; Unit Head, Finance, Harvard Business School from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program of Harvard Business School from 1999 to 2005; Member of the faculty of Harvard Business School since 1981; Independent Consultant since 1978.

 

100 RICs consisting of 98 Portfolios

 

None

 

 


 

 

1

Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.

 

 

 

 

 

 

2

Date shown is the earliest date a person has served for any of the Trusts covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows certain trustees as joining the Fund’s board in 2007, each director first became a member of the board of directors of other legacy MLIM or legacy BlackRock Funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.


 

 

 

 

 

 

 

 

 

 

 

 


Interested Trustees3


Richard S. Davis
55 East 52nd Street
New York, NY 10055
1945

 

Trustee

 

Since 2007

 

Managing Director, BlackRock, Inc. since 2005; Chief Executive Officer, State Street Research & Management Company from 2000 to 2005; Chairman of the Board of Trustees, State Street Research Mutual Funds from 2000 to 2005.

 

170 RICs consisting of 291 Portfolios

 

None













Henry Gabbay
55 East 52nd Street
New York, NY 10055
1947

 

Trustee

 

Since 2007

 

Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.

 

170 RICs consisting of 291 Portfolios

 

None

 

 











 

 

3

Mr. Davis is an “interested person,” as defined in the Investment Company Act of 1940, of the Trusts based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Trusts based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and The PNC Financial Services Group, Inc. securities. Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.


 

 

 

 


 

ANNUAL REPORT

AUGUST 31, 2010

117




 


 

Officers and Trustees (concluded)


 

 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Trusts

 

Length
of Time
Served

 

Principal Occupation(s) During Past Five Years








Trusts Officers1


Anne Ackerley
55 East 52nd Street
New York, NY 10055
1962

 

President and
Chief Executive
Officer

 

Since 20092

 

Managing Director of BlackRock, Inc. since 2000; Vice President of the BlackRock-advised Funds from 2007 to 2009; Chief Operating Officer of BlackRock’s Global Client Group (GCG) since 2009; Chief Operating Officer of BlackRock’s US Retail Group from 2006 to 2009; Head of BlackRock’s Mutual Fund Group from 2000 to 2006.









Brendan Kyne
55 East 52nd Street
New York, NY 10055
1977

 

Vice
President

 

Since 2009

 

Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product Development and Management for BlackRock’s US Retail Group since 2009, co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008.









Neal Andrews
55 East 52nd Street
New York, NY 10055
1966

 

Chief
Financial
Officer

 

Since 2007

 

Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (US) Inc. from 1992 to 2006.









Jay Fife
55 East 52nd Street
New York, NY 10055
1970

 

Treasurer

 

Since 2007

 

Managing Director of BlackRock, Inc. since 2007 and Director in 2006; Assistant Treasurer of the Merrill Lynch Investment Managers, L.P. (“MLIM”) and Fund Asset Management, L.P.-advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.









Brian Kindelan
55 East 52nd Street
New York, NY 10055
1959

 

Chief
Compliance
Officer

 

Since 2007

 

Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005.









Howard Surloff
55 East 52nd Street
New York, NY 10055
1965

 

Secretary

 

Since 2007

 

Managing Director and General Counsel of US Funds at BlackRock, Inc. since 2006; General Counsel (US) of Goldman Sachs Asset Management, L.P. from 1993 to 2006.

 

 







 

 

1

Officers of the Trusts serve at the pleasure of the Board of Trustees.

 

 

 

 

 

 

2

Ms. Ackerley has been President and Chief Executive Officer since 2009 and was Vice President from 2007 to 2009.






 

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Sub-Advisor3

BlackRock Financial

Management, Inc.

New York, NY 10055

 

Custodian

State Street Bank and

Trust Company

Boston, MA 02111

 

Independent Registered

Public Accounting Firm

Deloitte & Touche LLP

Princeton, NJ 08540

 

Transfer Agent

Computershare Trust Company, N.A.

Providence, RI 02940

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

New York, NY 10036

 

Accounting Agent

State Street Bank and Trust Company

Princeton, NJ 08540

 

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809


 

 

3

For BHK, HYV, HYT, HIS and BHD.


 

 

 

 


118

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Additional Information


 


Trust Certification


Certain Trusts are listed for trading on the New York Stock Exchange (“NYSE”) and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the Securities and Exchange Commission (“SEC”) the certification of their chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 


Dividend Policy


The Trusts’ dividend policy is to distribute all or a portion of their net investment income to their 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.

 

 

 

 

 


 

ANNUAL REPORT

AUGUST 31, 2010

119




 


 

Additional Information (continued)


 


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 below, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolio.

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 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 into this report.

Electronic Delivery

Electronic copies of most financial reports are available on the Trusts’ website 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 (800) 441-7762.

Availability of Quarterly Schedule of Investments

Each Trust files its 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, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. Each Trust’s 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.

 

 

 

 


120

ANNUAL REPORT

AUGUST 31, 2010

 




 


 

Additional Information (continued)

 


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.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

August 31, 2010

 

 

 

 

 







 

 

Total Cumulative Distributions
for the Fiscal Year-to-Date

 

% Breakdown of the Total Cumulative Distributions
for the Fiscal Year-to-Date

 

 

 


 


 

 

 

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

 

$

0.511865

 

 

 

$

0.010135

 

$

0.522000

 

 

  98%

 

 

0%

 

 

2%

 

 

100%

 

BKT

 

$

0.288000

 

 

 

 

 

$

0.288000

 

 

100%

 

 

0%

 

 

0%

 

 

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.’

 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2010

121




 


 

Additional Information (concluded)

 


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.

 

 

 

 





122

ANNUAL REPORT

AUGUST 31, 2010

 



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.

(PAPERLESS COMPANY LOGO)

 

 

 

(BLACKROCK CO LOGO)

#CEF-1-8-08/10


Item 2 –

Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer and principal accounting officer, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.

   

Item 3 –

Audit Committee Financial Expert – The registrant’s board of directors or trustees, as applicable (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

 

Kent Dixon (retired effective December 31, 2009)

 

Frank J. Fabozzi

 

James T. Flynn

 

W. Carl Kester

 

Karen P. Robards

   

 

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

   

 

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

   

 

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

   

 

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 


Item 4 –

Principal Accountant Fees and Services

 

 

(a) Audit Fees

(b) Audit-Related Fees1

(c) Tax Fees2

(d) All Other Fees3

Entity Name

Current Fiscal Year End

Previous Fiscal Year End

Current Fiscal Year End

Previous Fiscal Year End

Current Fiscal Year End

Previous Fiscal Year End

Current Fiscal Year End

Previous Fiscal Year End

 

 

 

 

 

 

 

 

 

BlackRock Core Bond Trust

$58,300

$58,300

$0

$0

$6,100

$6,100

$0

$1,028

1 The nature of the services include assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

2 The nature of the services include tax compliance, tax advice and tax planning.

3 The nature of the services include a review of compliance procedures and attestation thereto.

 

 

 

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

   

 

The registrant’s audit committee (the “Committee”) has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the registrant’s affiliated service providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operation or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

   

 

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

   

 

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

   

 

(f) Not Applicable

 


 

(g) Affiliates’ Aggregate Non-Audit Fees:

 

Entity Name

Current Fiscal Year End

Previous Fiscal Year End

 

 

 

BlackRock Core Bond Trust

$16,877

$409,628

 

 

 

(h) The registrant’s audit committee has considered and determined that the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any non-affiliated sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by the registrant’s investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

   

 

Regulation S-X Rule 2-01(c)(7)(ii) – $10,777, 0%

   

Item 5 –

Audit Committee of Listed Registrants –

 

 

(a)

The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

     

 

 

Kent Dixon (retired effective December 31, 2009)

 

 

Frank J. Fabozzi

 

 

James T. Flynn

 

 

W. Carl Kester

 

 

Karen P. Robards

     

 

(b)

Not Applicable

 

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 – The board of directors has delegated the voting of proxies for the Fund securities to the Fund’s investment adviser (“Investment Adviser”) pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio

 


 

Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

   

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies – as of August 31, 2010.

 

 

(a)(1)

The registrant (or “Fund”) is managed by a team of investment professionals comprised of Matthew Marra, Managing Director at BlackRock, Inc. and James E. Keenan, Managing Director at BlackRock, Inc. Messrs. Marra and Keenan are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Mr. Keenan has been a member of the Fund’s portfolio management team since 2007. Mr. Marra has been a member of the Fund’s portfolio management team since 2009.

 

Portfolio Manager

Biography

Matthew Marra

Deputy Head of Retail and Mutual Fund Products of BlackRock, Inc. since 2010; Managing Director of BlackRock, Inc. since 2006; Director of BlackRock, Inc. from 2002 to 2005.

James E. Keenan

Managing Director of BlackRock, Inc. since 2010; Director of Quantitative Active Management at Northern Trust Company from 2006 to 2010; Portfolio Manager of Smith Barney Midcap Strategies at Smith Barney/Legg Mason from 2005 to 2006; Head of Quantitative Equity Analysis – Director at Citigroup Asset Management from 1998 to 2005.

 

 

(a)(2)

As of August 31, 2010:

 

 

(ii) Number of Other Accounts Managed

and Assets by Account Type

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

Other

Registered

Investment

Companies

Other Pooled

Investment

Vehicles

Other

Accounts

Other

Registered

Investment

Companies

Other Pooled

Investment

Vehicles

Other

Accounts

Matthew Marra

30

2

7

0

0

1

 

$17.92 Billion

$463.6 Million

$2.06 Billion

$0

$0

$678.2 Million

James E. Keenan

23

21

49

0

11

6

 

$3.14 Billion

$6.74 Billion

$6.04 Billion

$0

$3.91 Billion

$725.1 Million

 

 

(iv)

Potential Material Conflicts of Interest

 

 

BlackRock, Inc., individually and together with its affiliates (“BlackRock”), has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous

 


 

clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund.  In addition, BlackRock, its affiliates and significant shareholders and any officer, director, stockholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund.  BlackRock, or any of its affiliates or significant shareholders, or any officer, director, stockholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities.  Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information.  Each portfolio manager also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund.  In this connection, it should be noted that Messrs. Marra and Keenan currently manage certain accounts that are subject to performance fees.  In addition, Mr. Keenan assists in managing certain hedge funds and may be entitled to receive a portion of any incentive fees earned on such funds and a portion of such incentive fees may be voluntarily or involuntarily deferred.  Additional portfolio managers may in the future manage other such accounts or funds and may be entitled to receive incentive fees.

   

 

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly.  When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties.  BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment.  To this end, BlackRock has adopted a policy that is intended to ensure that investment opportunities are allocated fairly and equitably among client accounts over time.  This policy also seeks to achieve reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base.

 

 

(a)(3)

As of August 31, 2010:

 

 

Portfolio Manager Compensation Overview

   

 

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock such as its Long-Term Retention and Incentive Plan and Restricted Stock Program.

   

 

Base compensation. Generally, portfolio managers receive base compensation based on their seniority and/or their position with the firm. Senior portfolio managers who perform additional management functions within the portfolio management group or within BlackRock may receive additional compensation for serving in these other capacities.

 


 

Discretionary Incentive Compensation

   

 

Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s seniority, role within the portfolio management team, teamwork and contribution to the overall performance of these portfolios and BlackRock.  In most cases, including for the portfolio managers of the Fund, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Fund or other accounts managed by the portfolio managers are measured.  BlackRock’s Chief Investment Officers determine the benchmarks against which the performance of funds and other accounts managed by each portfolio manager is compared and the period of time over which performance is evaluated.  With respect to the portfolio managers, such benchmarks include the following:

 

Portfolio Manager

Applicable Benchmarks

James Keenan

A combination of market-based indices (e.g., The Barclays Capital U.S. Corporate High Yield 2% Issuer Capped™ Index), certain customized indices and certain fund industry peer groups.

Matthew Marra

A combination of market-based indices (e.g., Barclays Capital U.S. Aggregate Bond Index, Barclays Capital Universal Index, Barclays Capital Intermediate Government/Credit Index), certain customized indices and certain fund industry peer groups.

 

 

BlackRock’s Chief Investment Officers make a subjective determination with respect to the portfolio managers’ compensation based on the performance of the funds and other accounts managed by each portfolio manager relative to the various benchmarks noted above.  Performance is measured on both a pre-tax and after-tax basis over various time periods including 1, 3, 5 and 10-year periods, as applicable. 

   

 

Distribution of Discretionary Incentive Compensation

   

 

Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. The BlackRock, Inc. restricted stock units, if properly vested, will be settled in BlackRock, Inc. common stock. Typically, the cash bonus, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of annual bonuses in stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods.

   

 

Long-Term Retention and Incentive Plan (“LTIP”) — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance.  Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. Messrs. Marra and Keenan have each received awards under the LTIP.

 


 

Deferred Compensation Program — A portion of the compensation paid to eligible BlackRock employees may be voluntarily deferred into an account that tracks the performance of certain of the firm’s investment products. Each participant in the deferred compensation program is permitted to allocate his deferred amounts among the various investment options. Messrs. Marra and Keenan have each participated in the deferred compensation program.

 

 

 

Other compensation benefits. In addition to base compensation and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

 

 

 

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 6% of eligible pay contributed to the plan capped at $4,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation.  The RSP offers a range of investment options, including registered investment companies managed by the firm. BlackRock contributions follow the investment direction set by participants for their own contributions or, absent employee investment direction, are invested into a balanced portfolio.  The ESPP allows for investment in BlackRock common stock at a 5% discount on the fair market value of the stock on the purchase date.  Annual participation in the ESPP is limited to the purchase of 1,000 shares or a dollar value of $25,000.  Each portfolio manager is eligible to participate in these plans.

 

 

(a)(4)

Beneficial Ownership of Securities – As of August 31, 2010.    

 

Portfolio Manager

Dollar Range of Equity Securities of the Fund Beneficially Owned

Matthew Marra

None

James E. Keenan

None

 

 

(b) Not Applicable

   

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

   

Item 10 –

Submission of Matters to a Vote of Security Holders – On October 25, 2010, the Board of Trustees of the Fund amended and restated in its entirety the bylaws of the Fund (the "Amended and Restated Bylaws"). The Amended and Restated Bylaws were deemed effective as of October 28, 2010 and set forth, among other things, the processes and procedures that shareholders of the Fund must follow, and specifies additional information that shareholders of the Fund must provide, when proposing trustee nominations at any annual meeting or special meeting in lieu of an annual meeting or other business to be considered at an annual meeting or special meeting.

   

Item 11 –

Controls and Procedures

 


11(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.

   

11(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

   

12(a)(1) –

Code of Ethics – See Item 2

   

12(a)(2) –

Certifications – Attached hereto

   

12(a)(3) –

Not Applicable

   

12(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/ Anne F. Ackerley  
    Anne F. Ackerley
    Chief Executive Officer of
    BlackRock Core Bond Trust
   
  Date: November 5, 2010
   
  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/ Anne F. Ackerley  
    Anne F. Ackerley
    Chief Executive Officer (principal executive officer) of
    BlackRock Core Bond Trust
   
  Date: November 5, 2010
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Core Bond Trust
     
  Date: November 5, 2010