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, 40 East 52nd Street, New York, NY 10022.

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 08/31/2009

Date of reporting period: 08/31/2009

 

 

Item 1 –

Report to Stockholders



EQUITIES  FIXED INCOME  REAL ESTATE   LIQUIDITY  ALTERNATIVES  BLACKROCK SOLUTIONS

 

 

Annual Report

AUGUST 31, 2009

(BLACKROCK LOGO)

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
MAY LOSE VALUE
NO BANK GUARANTEE



 


 

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

 

74

Statements of Operations

 

78

Statements of Changes in Net Assets

 

80

Statements of Cash Flows

 

83

Financial Highlights

 

84

Notes to Financial Statements

 

92

Report of Independent Registered Public Accounting Firm

 

105

Important Tax Information

 

106

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

 

107

Dividend Reinvestment Plans

 

111

Automatic Dividend Reinvestment Plans

 

112

Officers and Trustees

 

113

Additional Information

 

117


 

 

 




2

ANNUAL REPORT

AUGUST 31, 2009




 


 

Dear Shareholder

The past 12 months reveal two distinct economic and market backdrops — one of extreme investor pessimism and decided weakness, and another of increased optimism amid growing signs of recovery. The start of the period was characterized by the former. September through December 2008 saw the surge of the economic storm that sparked the worst recession in decades. The months featured, among others, the infamous collapse of Lehman Brothers, uniformly poor economic data and plummeting investor confidence that resulted in massive government intervention (on a global scale) in the financial system and the economy. The tide turned dramatically in March 2009, however, on the back of new US government initiatives, as well as better-than-expected economic data and upside surprises in corporate earnings.

In this environment, US equities contended with extraordinary volatility, posting steep declines through mid-March before embarking on a rally that resulted in strong year-to-date returns for all major indexes. June saw a brief correction, though it appeared to be induced more by profit-taking and portfolio rebalancing than by a change in the economic outlook. The experience in international markets was similar to that in the United States. Notably, emerging markets staged a strong comeback in 2009 as these areas of the globe have generally seen a stronger acceleration in economic activity.

In fixed income markets, the flight-to-safety premium in Treasury securities prevailed during the equity market downturn, but more recently, ongoing concerns about deficit spending, debt issuance, inflation and dollar weakness have kept Treasury yields higher. At the same time, relatively attractive yields and distressed valuations among non-Treasury assets, coupled with a more favorable macro environment, drew in sidelined investors and triggered a sharp recovery in these sectors. This was particularly evident in the high yield sector, which has firmly outpaced all other taxable asset classes since the start of 2009. The municipal bond market enjoyed strong returns in 2009 as well, buoyed by a combination of attractive valuations, robust retail investor demand and a slowdown in forced selling. Moreover, the Build America Bond program has alleviated supply pressures, creating a more favorable technical environment. In particular, August marked the municipal market’s best monthly performance in more than 20 years, as the asset class has regained year-to-date all that was lost during 2008.

Overall, results for the major benchmark indexes were mixed. Higher-risk assets (i.e., equities and high yield bonds) and Treasuries reflected a bifurcated market, while less-risky fixed income investments posted stable, modest returns.

 

 

 

 

 

 

 

 

Total Returns as of August 31, 2009

 

6-month

 

12-month

 









US equities (S&P 500 Index)

 

 

40.52

%

 

(18.25

)%









Small cap US equities (Russell 2000 Index)

 

 

48.25

 

 

(21.29

)









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

 

 

53.47

 

 

(14.95

)









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

 

 

(1.61

)

 

6.77

 









Taxable fixed income (Barclays Capital US Aggregate Bond Index)

 

 

5.95

 

 

7.94

 









Tax-exempt fixed income (Barclays Capital Municipal Bond Index)

 

 

5.61

 

 

5.67

 









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

 

 

36.31

 

 

7.00

 









 

 

 

 

 

 

 

 

* Formerly a Merrill Lynch Index.

 

 

 

 

 

 

 


 

 

 

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

The market environment has visibly improved since the beginning of the year, but a great deal of uncertainty and risk remain. Through periods of market turbulence, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. We invite you to visit www.blackrock.com/funds for our most current views on the economy and financial markets. As always, we thank you for entrusting BlackRock with your investments, and we look forward to continuing to serve you in the months and years ahead.

Sincerely,

-s- Rob Kapito

Rob Kapito
President, BlackRock Advisors, LLC

 


Announcement to Shareholders


On June 16, 2009, BlackRock, Inc. announced that it received written notice from Barclays PLC (“Barclays”) in which Barclays’ Board of Directors had accepted BlackRock’s offer to acquire Barclays Global Investors (“BGI”). At a special meeting held on August 6, 2009, BlackRock’s proposed purchase of BGI was approved by an overwhelming majority of Barclays’ voting shareholders, an important step toward closing the transaction. The combination of BlackRock and BGI will bring together market leaders in active and index strategies to create the preeminent asset management firm. The transaction is scheduled to be completed in the fourth quarter of 2009, subject to important fund shareholder and regulatory approvals.

 

 


THIS PAGE NOT PART OF YOUR FUND REPORT

3



 

 


 

Trust Summary as of August 31, 2009

BlackRock Core Bond Trust


 


Investment Objective


BlackRock Core Bond Trust (BHK) (the “Trust”) seeks to provide high current income with the potential for capital appreciation.

 

 

 

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

 

 


Performance


For the 12 months ended August 31, 2009, the Trust returned 11.76% based on market price and 5.28% 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 11.92% on a market price basis and 5.72% on a NAV basis. 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 Trust’s longer duration compared to its Lipper peers detracted from performance as rates rose (prices decreased) during the 12 months. The Trust benefited from its allocation to both spread index sectors, including investment-grade credit and high yield, as well as non-index sectors, such as commercial mortgage-backed and asset-backed securities, which collectively outperformed government sectors during 2009. The Trust also benefited from an increase in leverage during the second half of the year. The Trust employed leverage during the period, which generally detracted from performance in 2008 when markets declined sharply, but helped in the rising market of 2009.

 

 

 

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, 2009 ($11.98)1

 

6.21%

Current Monthly Distribution per Common Share2

 

$0.062

Current Annualized Distribution per Common Share2

 

$0.744

Leverage as of August 31, 20093

 

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 and the loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowing) 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 














 

 

8/31/09

 

8/31/08

 

Change

 

High

 

Low

 














Market Price

 

$11.98

 

$11.51

 

 

4.08

%

$12.07

 

$

7.66

 

Net Asset Value

 

$12.56

 

$12.81

 

 

(1.95

)%  

$13.08

 

$

10.41

 















The following unaudited 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



 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







Corporate Bonds

 

42

%

 

47

%

 

U.S. Government Sponsored Agency Securities

 

20

 

 

20

 

 

Non-Agency Mortgage-Backed Securities

 

17

 

 

13

 

 

U.S. Treasury Obligations

 

12

 

 

8

 

 

Asset-Backed Securities

 

4

 

 

9

 

 

Foreign Agency Obligations

 

2

 

 

1

 

 

Taxable Municipal Bonds

 

2

 

 

 

 

Preferred Securities

 

1

 

 

2

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







AAA/Aaa5

 

43

%

 

54

%

 

AA/Aa

 

9

 

 

9

 

 

A

 

17

 

 

13

 

 

BBB/Baa

 

12

 

 

12

 

 

BB/Ba

 

8

 

 

3

 

 

B

 

5

 

 

6

 

 

CCC/Caa

 

5

 

 

2

 

 

Not Rated

 

1

 

 

1

 

 










 

 

 

 

4

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

 

 

 

 

5

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


 

 

 




4

ANNUAL REPORT

AUGUST 31, 2009




 

 


 

Trust Summary as of August 31, 2009

BlackRock Corporate High Yield Fund V, Inc.


 


Investment Objective


BlackRock Corporate High Yield Fund V, Inc. (HYV) (the “Trust”) seeks 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 (Ba or lower by Moody’s or BB or lower by S&P) or are unrated securities of comparable quality.

 

 

 

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

 

 


Performance


For the 12 months ended August 31, 2009, the Trust returned 8.59% based on market price and (3.83)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (2.57)% on a market price basis and (10.55)% on a NAV basis. 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 Trust maintained relatively defensive sector positioning and relatively low levels of leverage (less than 20%). On balance, that positioning benefited the Trust relative to its more highly levered Lipper competitors, although returns would have been higher over the trailing six-month period had the Trust maintained a higher leverage balance. The Trust maintains a 17% position in floating rate loan interests; this detracted from results as these securities underperformed high yield corporate bonds over the last 12 months. During the period, the Trust moved from a larger cash and short-term investment balance to a balance of less than 2%, which has benefited performance in the rising market of 2009.

 

 

 

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, 2009 ($9.32)1

 

11.27%

Current Monthly Distribution per Common Share2

 

$0.0875

Current Annualized Distribution per Common Share2

 

$1.0500

Leverage as of August 31, 20093

 

14%





 

 

 

 

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 borrowing) 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:

 

 

 

 

 

 

 

 

 

 

 

 

 














 

 

8/31/09

 

8/31/08

 

Change

 

High

 

Low

 














Market Price

 

$9.32

 

$10.15

 

 

(8.18

)%

$10.29

 

$4.56

 

Net Asset Value

 

$9.71

 

$11.94

 

 

(18.68

)%  

$11.94

 

$6.52

 














The following unaudited 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



 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







Corporate Bonds

 

81

%

 

83

%

 

Floating Rate Loan Interests

 

17

 

 

14

 

 

Common Stocks

 

2

 

 

2

 

 

Preferred Securities

 

 

 

1

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







AA/Aa

 

1

%

 

1

%

 

BBB/Baa

 

5

 

 

4

 

 

BB/Ba

 

31

 

 

26

 

 

B

 

37

 

 

54

 

 

CCC/Caa

 

20

 

 

13

 

 

CC/Ca

 

3

 

 

 

 

D

 

1

 

 

 

 

Not Rated

 

2

 

 

2

 

 










 

 

 

 

4

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


 

 

 


ANNUAL REPORT

AUGUST 31, 2009

5




 

 


 

Trust Summary as of August 31, 2009

BlackRock Corporate High Yield Fund VI, Inc.


 


Investment Objective


BlackRock Corporate High Yield Fund VI, Inc. (HYT) (the “Trust”) seeks 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 (Ba or lower by Moody’s or BB or lower by S&P) or are unrated securities of comparable quality.

 

 

 

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

 


Performance


For the 12 months ended August 31, 2009, the Trust returned 10.09% based on market price and (4.03)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (2.57)% on a market price basis and (10.55)% on a NAV basis. 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 Trust maintained relatively defensive sector positioning and relatively low levels of leverage (less than 20%). On balance, that positioning benefited the Trust relative to its more highly levered Lipper competitors, although returns would have been higher over the trailing six-month period had the Trust maintained a higher leverage balance. The Trust maintains a 16% position in floating rate loan interests; this detracted from results as these securities underperformed high yield corporate bonds over the last 12 months. During the period, the Trust moved from a larger cash and short-term investment balance to a balance of less than 1%, which has benefited performance in the rising market of 2009.

 

 

 

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, 2009 ($9.47)1

 

11.09%

Current Monthly Distribution per Common Share2

 

$0.0875

Current Annualized Distribution per Common Share2

 

$1.0500

Leverage as of August 31, 20093

 

15%





 

 

 

 

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 borrowing) 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:

 

 

 

 

 

 

 

 

 

 

 

 

 














 

 

8/31/09

 

8/31/08

 

Change

 

High

 

Low

 














Market Price

 

$9.47

 

$10.14

 

 

(6.61

)%

$10.28

 

$4.50

 

Net Asset Value

 

$9.68

 

$11.89

 

 

(18.59

)%

$11.89

 

$6.48

 














The following unaudited 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



 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







Corporate Bonds

 

82

%

 

83

%

 

Floating Rate Loan Interests

 

16

 

 

14

 

 

Common Stocks

 

2

 

 

2

 

 

Preferred Securities

 

 

 

1

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







A

 

1

%

 

 

 

BBB/Baa

 

5

 

 

5

%

 

BB/Ba

 

27

 

 

26

 

 

B

 

41

 

 

54

 

 

CCC/Caa

 

25

 

 

13

 

 

Not Rated

 

1

 

 

2

 

 










 

 

 

 

4

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


 

 

 




6

ANNUAL REPORT

AUGUST 31, 2009




 

 


 

Trust Summary as of August 31, 2009

BlackRock High Income Shares


 


Investment Objective


BlackRock High Income Shares (HIS) (the “Trust”) seeks to provide high current income and to a lesser extent capital appreciation, by investing in a diversified portfolio of below investment grade securities.

 

 

 

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

 


Performance


For the 12 months ended August 31, 2009, the Trust returned 4.47% based on market price and (3.01)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (2.57)% on a market price basis and (10.55)% on a NAV basis. 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 Trust maintained relatively defensive sector positioning and relatively low levels of leverage (less than 20%). On balance, that positioning benefited the Trust relative to its more highly levered Lipper competitors, although returns would have been higher over the trailing six-month period had the Trust maintained a higher leverage balance. The Trust maintains a 13% position in floating rate loan interests; this detracted from results as these securities underperformed high yield over the last 12 months. During the period, the Trust moved from a larger cash and short-term investment balance to a balance of less than 2%, which has benefited performance in the rising market of 2009.

 

 

 

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, 2009 ($1.68)1

 

9.43%

Current Monthly Distribution per Common Share2

 

$0.0132

Current Annualized Distribution per Common Share2

 

$0.1584

Leverage as of August 31, 20093

 

15%





 

 

 

 

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 borrowing) 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:

 

 

 

 

 

 

 

 

 

 

 

 

 














 

 

8/31/09

 

8/31/08

 

Change

 

High

 

Low

 














Market Price

 

$1.68

 

$1.88

 

 

(10.64

)%

$1.92

 

$0.83

 

Net Asset Value

 

$1.85

 

$2.23

 

 

(17.04

)%

$2.24

 

$1.27

 














The following unaudited 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



 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







Corporate Bonds

 

85

%

 

86

%

 

Floating Rate Loan Interests

 

13

 

 

11

 

 

Preferred Stocks

 

1

 

 

3

 

 

Common Stocks

 

1

 

 

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







BBB/Baa

 

4

%

 

4

%

 

BB/Ba

 

33

 

 

23

 

 

B

 

32

 

 

52

 

 

CCC/Caa

 

24

 

 

16

 

 

C

 

2

 

 

 

 

D

 

1

 

 

 

 

Not Rated

 

4

 

 

5

 

 










 

 

 

 

4

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


 

 

 


ANNUAL REPORT

AUGUST 31, 2009

7




 

 


 

Trust Summary as of August 31, 2009

BlackRock High Yield Trust


 


Investment Objective


BlackRock High Yield Trust (BHY) (the “Trust”) seeks to provide high current income and to a lesser extent capital appreciation, by investing in a diversified portfolio of below investment grade securities.

 

 

 

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

 


Performance


For the 12 months ended August 31, 2009, the Trust returned 9.81% based on market price and (5.30)% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of (2.57)% on a market price basis and (10.55)% on a NAV basis. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium by period-end, which accounts for the difference between performance based on price and performance based on NAV. The Trust maintained relatively defensive sector positioning and relatively low levels of leverage (less than 20%). On balance, that positioning benefited the Trust relative to its more highly levered Lipper competitors, although returns would have been higher over the trailing six-month period had the Trust maintained a higher leverage balance. The Trust maintains a 13% position in floating rate loan interests; this detracted from results as these securities underperformed high yield over the last 12 months. During the period, the Trust moved from a larger cash and short-term investment balance to a balance of less than 6%, which has benefited performance in the rising market of 2009.

 

 

 

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, 2009 ($5.84)1

 

8.94%

Current Monthly Distribution per Common Share2

 

$0.0435

Current Annualized Distribution per Common Share2

 

$0.5220

Leverage as of August 31, 20093

 

10%





 

 

 

 

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 borrowing) 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:

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

8/31/09

 

8/31/08

 

Change

 

High

 

Low

 













Market Price

 

$5.84

 

$5.96

 

 

(2.01

)%

$6.03

 

$3.11

 

Net Asset Value

 

$5.78

 

$6.84

 

 

(15.50

)%

$6.86

 

$4.06

 














The following unaudited 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



 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







Corporate Bonds

 

86

%

 

88

%

 

Floating Rate Loan Interests

 

13

 

 

11

 

 

Common Stocks

 

1

 

 

 

 

Preferred Securities

 

 

 

1

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







BBB/Baa

 

4

%

 

6

%

 

BB/Ba

 

38

 

 

24

 

 

B

 

29

 

 

52

 

 

CCC/Caa

 

24

 

 

15

 

 

CC/Ca

 

1

 

 

 

 

D

 

1

 

 

 

 

Not Rated

 

3

 

 

3

 

 










 

 

 

 

4

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


 

 

 




8

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

 

Trust Summary as of August 31, 2009

BlackRock Income Opportunity Trust, Inc.


 


Investment Objective


BlackRock Income Opportunity Trust, Inc. (BNA) (the “Trust”) seeks to provide current income and capital appreciation in a portfolio of primarily U.S. dollar-denominated securities.

 

 

 

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


 


Performance


For the 12 months ended August 31, 2009, the Trust returned 5.46% based on market price and 3.90% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds BBB-Rated category posted an average return of 11.92% on a market price basis and 5.72% on a NAV basis. 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 Trust’s longer duration compared to its Lipper peers detracted from performance as rates rose (prices decreased) during the 12 months. The Trust benefited from its allocation to both spread index sectors, including investment-grade credit and high yield corporate bonds, as well as non-index sectors, such as commercial mortgage-backed and asset-backed securities, which collectively outperformed government sectors during 2009. The Trust employed leverage during the period, which generally detracted from performance in 2008 when markets declined sharply, but helped in the rising market of 2009.

 

 

 

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, 2009 ($9.65)1

6.34%

Current Monthly Distribution per Common Share2

$0.051

Current Annualized Distribution per Common Share2

$0.612

Leverage as of August 31, 20093

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 and the loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowing) 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

8/31/09

 

8/31/08

 

Change

 

High

 

Low

 













Market Price

 

$

9.65

 

$

9.82

 

 

(1.73

)%

$

10.00

 

$

5.00

 

Net Asset Value

 

$

10.02

 

$

10.35

 

 

(3.19

)%

$

10.57

 

$

8.55

 


















The following unaudited 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

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







Corporate Bonds

 

36

%

 

42

%

 

U.S. Government Sponsored Agency Securities

 

21

 

 

18

 

 

Non-Agency Mortgage-Backed Securities

 

19

 

 

14

 

 

U.S. Treasury Obligations

 

14

 

 

11

 

 

Asset-Backed Securities

 

4

 

 

10

 

 

Capital Trusts

 

2

 

 

4

 

 

Taxable Municipal Bonds

 

2

 

 

 

 

Foreign Agency Obligations

 

2

 

 

1

 

 


 

 

 

 

 

 

 

 


Credit Quality Allocations4

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







AAA/Aaa5

 

43

%

 

55

%

 

Aa/Aa

 

9

 

 

9

 

 

A

 

17

 

 

13

 

 

BBB/Baa

 

12

 

 

12

 

 

BB/Ba

 

8

 

 

3

 

 

B

 

5

 

 

6

 

 

CCC/Caa

 

5

 

 

2

 

 

Not Rated

 

1

 

 

 

 



 

 

 

 

4

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

 

 

 

 

5

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


 

 

 


ANNUAL REPORT

AUGUST 31, 2009

9




 

 


 

 

Trust Summary as of August 31, 2009

BlackRock Income Trust, Inc.


 


Investment Objective


BlackRock Income Trust, Inc. (BKT) (the “Trust”) seeks to provide high monthly income while preserving capital by investing in a portfolio of mortgage-backed securities.

 

 

 

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


 


Performance


For the 12 months ended August 31, 2009, the Trust returned 12.87% based on market price and 7.64% based on NAV. For the same period, the closed-end Lipper US Mortgage Funds category posted an average return of 6.61% on a market price basis and 1.66% on a NAV basis. 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. As mortgage markets sold off during the first half of the reporting period, leverage generally detracted from performance, although the Trust’s low levels of leverage benefited performance relative to its Lipper peers. The Trust’s low leverage position subsequently became a relative detractor as spread sectors rallied during the second quarter of 2009. In most cases, cash in the portfolio is held for pending trade settlements, and therefore does not affect performance. During the second half of the reporting period, the Trust’s large allocation to US government sponsored agency mortgage-backed securities (“MBS”) helped performance. Allocations to non-agency MBS and commercial MBS also added to returns, as those sectors rallied during the second quarter of 2009.

 

 

 

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, 2009 ($6.53)1

4.41%

Current Monthly Distribution per Common Share2

$0.024

Current Annualized Distribution per Common Share2

$0.288

Leverage as of August 31, 20093

3%




 

 

 

 

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 the loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowing) 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

 

8/31/09

 

8/31/08

 

Change

 

High

 

Low

 


















Market Price

 

$

6.53

 

$

6.07

 

 

7.58

%

$

6.54

 

$

4.32

 

Net Asset Value

 

$

7.12

 

$

6.94

 

 

2.59

%

$

7.13

 

$

6.38

 


















The following unaudited chart shows the portfolio composition of the Trust’s long-term investments:

 

 

 

 

 

 

 

 


Portfolio Composition

 

 

 

 

 

 

 


 

 

 

8/31/09

 

8/31/08

 







U.S. Government Sponsored Agency Securities

 

83

%

 

74

%

 

Non-Agency Mortgage-Backed Securities

 

9

 

 

18

 

 

U.S. Treasury Obligations

 

6

 

 

6

 

 

Asset-Backed Securities

 

2

 

 

2

 

 


 

 

 

 

 

 

 

 


Credit Quality Allocations4

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







AAA/Aaa5

 

100

%

 

100

%

 



 

 

 

 

4

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

 

 

 

 

5

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


 

 

 


10

ANNUAL REPORT

AUGUST 31, 2009




 

 


 

Trust Summary as of August 31, 2009

BlackRock Strategic Bond Trust


 


Investment Objective


BlackRock Strategic Bond Trust (BHD) (the “Trust”) seeks total return through high current income and capital appreciation.

 

 

 

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


 


Performance


For the 12 months ended August 31, 2009, the Trust returned 15.34% based on market price and 3.99% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) posted an average return of (2.57)% on a market price basis and (10.55)% on a NAV basis. 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. Unlike most other funds in its Lipper category, the Trust typically invests about 20% to 30% of its portfolio in investment-grade credit. This contributed to performance, particularly early in the period, when investment-grade issues outperformed high yield. Relatively conservative sector and credit positioning also were beneficial, as was a lack of leverage. The Trust maintains a 11% position in floating rate loan interests; this detracted from results as these securities underperformed high yield and corporate bonds over the last 12 months. During the period, the Trust moved from a larger cash and short-term investment balance to a balance of approximately 5%. Cash holdings generally helped performance in 2008 when markets declined sharply, but detracted in the rising market of 2009.

 

 

 

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, 2009 ($11.43)1

7.30%

Current Monthly Distribution per Common Share2

$0.0695

Current Annualized Distribution per Common Share2

$0.8340




 

 

 

 

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.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

 

8/31/09

 

8/31/08

 

Change

 

High

 

Low

 


















Market Price

 

$

11.43

 

$

10.85

 

 

5.35

%

$

11.48

 

$

6.25

 

Net Asset Value

 

$

12.12

 

$

12.76

 

 

(5.02

)%

$

12.81

 

$

9.38

 


















The following unaudited 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

 

 

 

 

 

 

 


 

 

 

8/31/09

 

8/31/08

 







Corporate Bonds

 

87

%

 

88

%

 

Floating Rate Loan Interests

 

11

 

 

5

 

 

U.S. Treasury Obligations

 

 

 

4

 

 

Common Stocks

 

1

 

 

 

 

Preferred Securities

 

1

 

 

3

 

 









 

 

 

 

 

 

 

 


Credit Quality Allocations3

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

8/31/09

 

8/31/08

 







AAA/Aaa

 

1

%

 

 

 

AA/Aa

 

1

 

 

4

%

 

A

 

18

 

 

18

 

 

BBB/Baa

 

16

 

 

18

 

 

BB/Ba

 

26

 

 

14

 

 

B

 

17

 

 

36

 

 

CCC/Caa

 

15

 

 

8

 

 

CC/Ca

 

3

 

 

 

 

D

 

1

 

 

 

 

Not Rated

 

2

 

 

2

 

 










 

 

 

 

3

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


 

 

 


ANNUAL REPORT

AUGUST 31, 2009

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 through borrowings, including participation in the Term Asset-Backed Securities Loan Facility (“TALF”), or through entering into reverse repurchase agreements and dollar rolls. In general, the concept of leveraging is based on the premise that the 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 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 the income based on long-term interest rates. In this case, the borrowing costs and interest expense is significantly lower than the income earned on the Trust’s long-term investments, and therefore each Trust’s shareholders is 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 Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts’ borrowings do not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAV positively or negatively in addition to the impact on Trust performance from leverage from borrowings.

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 to 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 Fund’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 of each Trust and may reduce income.

Under the Investment Company Act of 1940, the Trusts are permitted to borrow through a credit facility up to 331/3% of their total managed assets. As of August 31, 2009, the Trusts had outstanding leverage from borrowings and/or reverse repurchase agreements as a percentage of their total managed assets as follows:

 

 

 

 

 





 

 

Percent of
Leverage

 






BHK

 

18

%

 

HYV

 

14

%

 

HYT

 

15

%

 

HIS

 

15

%

 

BHY

 

10

%

 

BNA

 

18

%

 

BKT

 

3

%

 







 


 

Derivative Financial Instruments

The Trusts may invest in various derivative instruments, including financial futures contracts, swaps and foreign currency exchange contracts, as specified in Note 2 of the Notes to Financial Statements, which 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 and/or interest rate 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 other party to the transaction and illiquidity of the derivative instrument. A Trust’s 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 the Trusts to sell or purchase portfolio securities at inopportune times or distressed values, may limit the amount of appreciation the Trusts can realize on an investment or may cause the Trusts to hold a security that they might otherwise sell. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

 


12

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

Schedule of Investments August 31, 2009

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par 
(000)

 

Value

 


Countrywide Asset Backed Certificates, Series 2006-13 Class 3AV2, 0.42%, 1/25/37 (a)

 

USD

1,566

 

$

1,022,789

 

Ford Credit Auto Owner Trust, Series 2009-A Class A3B, 2.77%, 5/15/13 (a)

 

 

5,780

 

 

5,930,714

 

Harley-Davidson Motorcycle Trust, Series 2005-2 Class A2, 4.07%, 2/15/12

 

 

731

 

 

740,793

 

Home Equity Asset Trust, Series 2007-2 Class 2A1, 0.38%, 7/25/37 (a)

 

 

457

 

 

420,228

 

JPMorgan Mortgage Acquisition Corp., Series 2007-CH5 Class A3, 0.38%, 6/25/37 (a)

 

 

2,400

 

 

1,154,976

 

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

 

 

1,730

 

 

1,751,895

 

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

 

 

 

 

 

 

 

Class A2, 1.60%, 10/25/16

 

 

3,200

 

 

3,228,897

 

Class A3, 1.80%, 1/25/18

 

 

810

 

 

820,085

 

Class A4, 2.20%, 7/25/23

 

 

2,180

 

 

2,225,080

 

Small Business Administration, Series 2003-P10B Class 1:

 

 

 

 

 

 

 

5.14%, 8/10/13

 

 

622

 

 

648,980

 

4.75%, 8/10/14

 

 

374

 

 

386,875

 

 

 

 

 

 




 

 

 

 

 

 

18,331,312

 


Interest Only — 0.4%

 

 

 

 

 

 

 

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

 

 

6,160

 

 

475,491

 

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

 

 

8,668

 

 

723,222

 

 

 

 

 

 




 

 

 

 

 

 

1,198,713

 


Total Asset-Backed Securities — 5.8%

 

 

 

 

 

19,530,025

 


 

 

 

 

 

 

 

 


 

Corporate Bonds

 

 

 

 

 

 

 


Aerospace & Defense — 1.3%

 

 

 

 

 

 

 

Honeywell International, Inc., 5.70%, 3/15/37

 

 

975

 

 

1,045,918

 

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

 

 

960

 

 

1,204,555

 

United Technologies Corp.:

 

 

 

 

 

 

 

4.88%, 5/01/15 (c)

 

 

1,125

 

 

1,224,285

 

6.13%, 7/15/38

 

 

700

 

 

787,085

 

 

 

 

 

 




 

 

 

 

 

 

4,261,843

 


Air Freight & Logistics — 0.6%

 

 

 

 

 

 

 

Park-Ohio Industries, Inc., 8.38%, 11/15/14

 

 

120

 

 

75,750

 

United Parcel Service, Inc., 6.20%, 1/15/38

 

 

1,650

 

 

1,866,523

 

 

 

 

 

 




 

 

 

 

 

 

1,942,273

 


Airlines — 0.2%

 

 

 

 

 

 

 

American Airlines Pass Through Trust:

 

 

 

 

 

 

 

Series 1999-1, 7.32%, 4/15/11

 

 

115

 

 

113,275

 

Series 2001-02, 7.86%, 4/01/13

 

 

380

 

 

362,900

 

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

 

 

340

 

 

326,400

 

 

 

 

 

 




 

 

 

 

 

 

802,575

 


Auto Components — 0.0%

 

 

 

 

 

 

 

Lear Corp., 8.75%, 12/01/16 (d)(e)

 

 

120

 

 

64,800

 


Automobiles — 0.2%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

600

 

 

594,000

 


Beverages — 0.6%

 

 

 

 

 

 

 

Anheuser-Busch InBev Worldwide, Inc., 8.20%, 1/15/39 (b)

 

 

1,475

 

 

1,871,430

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 


Building Materials — 0.4%

 

 

 

 

 

 

 

Centex Corp., 5.13% due 10/01/2013

 

USD

1,490

 

$

1,422,950

 


Building Products — 0.1%

 

 

 

 

 

 

 

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

 

 

200

 

 

143,000

 

Masco Corp., 7.13%, 8/15/13

 

 

225

 

 

217,858

 

 

 

 

 

 




 

 

 

 

 

 

360,858

 


Capital Markets — 1.1%

 

 

 

 

 

 

 

The Bank of New York Mellon Corp, 4.30%, 5/15/14

 

 

1,505

 

 

1,583,412

 

Credit Suisse:

 

 

 

 

 

 

 

5.50%, 5/01/14

 

 

575

 

 

617,982

 

5.30%, 8/13/19

 

 

300

 

 

303,541

 

Morgan Stanley:

 

 

 

 

 

 

 

0.79%, 1/09/12 (a)

 

 

190

 

 

183,685

 

6.25%, 8/28/17

 

 

875

 

 

902,184

 

Series F, 5.55%, 4/27/17

 

 

140

 

 

139,451

 

 

 

 

 

 




 

 

 

 

 

 

3,730,255

 


Chemicals — 0.8%

 

 

 

 

 

 

 

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

 

 

250

 

 

225,625

 

Ames True Temper, Inc., 4.51%, 1/15/12 (a)

 

 

650

 

 

572,000

 

Huntsman International LLC, 7.88%, 11/15/14

 

 

265

 

 

235,850

 

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

 

 

885

 

 

858,450

 

NOVA Chemicals Corp.:

 

 

 

 

 

 

 

6.50%, 1/15/12

 

 

115

 

 

111,694

 

4.54%, 11/15/13 (a)

 

 

300

 

 

264,000

 

Olin Corp., 8.88%, 8/15/19

 

 

450

 

 

454,500

 

 

 

 

 

 




 

 

 

 

 

 

2,722,119

 


Commercial Banks — 1.4%

 

 

 

 

 

 

 

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

 

 

3,775

 

 

2,509,933

 

Eksportfinans A/S, 5.50%, 6/26/17

 

 

950

 

 

998,457

 

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

 

 

775

 

 

768,222

 

HSBC Finance Corp., 6.50%, 5/02/36

 

 

300

 

 

309,376

 

 

 

 

 

 




 

 

 

 

 

 

4,585,988

 


Commercial Services & Supplies — 1.2%

 

 

 

 

 

 

 

DI Finance Series B, 9.50%, 2/15/13

 

 

598

 

 

606,222

 

RSC Equipment Rental, Inc., 10%, 7/15/17 (b)

 

 

955

 

 

997,975

 

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

 

 

925

 

 

948,125

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

590

 

 

584,100

 

West Corp., 11%, 10/15/16

 

 

1,100

 

 

1,014,750

 

 

 

 

 

 




 

 

 

 

 

 

4,151,172

 


Consumer Finance — 0.2%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.26%, 1/13/12 (a)

 

 

125

 

 

104,062

 

7.80%, 6/01/12

 

 

340

 

 

314,516

 

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

 

 

550

 

 

349,208

 

 

 

 

 

 




 

 

 

 

 

 

767,786

 


Containers & Packaging — 1.6%

 

 

 

 

 

 

 

Ball Corp.:

 

 

 

 

 

 

 

7.13%, 9/01/16

 

 

270

 

 

270,000

 

7.38%, 9/01/19

 

 

270

 

 

269,325

 

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

 

 

150

 

 

148,500

 

Graphic Packaging International, Inc.:

 

 

 

 

 

 

 

9.50%, 8/15/13

 

 

45

 

 

45,112

 

9.50%, 6/15/17 (b)

 

 

1,435

 

 

1,470,875

 

Impress Holdings BV, 3.63%, 9/15/13 (a)(b)

 

 

300

 

 

274,125

 


 


Portfolio Abbreviations


To simplify the listings of portfolio holdings in each Trust’s Schedule of Investments, the names of many of the securities have been abbreviated according to the following list:

 

 

GO

General Obligation Bonds

RB

Revenue Bonds


 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

AUGUST 31, 2009

13




 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 







Containers & Packaging (concluded)

 

 

 

 

 

 

 

Owens-Brockway Glass Container, Inc., 8.25%, 5/15/13

 

USD

1,500

 

$

1,515,000

 

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

 

 

545

 

 

490,500

 

Solo Cup Co., 10.50%, 11/01/13 (b)

 

 

770

 

 

808,500

 

 

 

 

 

 




 

 

 

 

 

 

5,291,937

 









Diversified Financial Services — 2.8%

 

 

 

 

 

 

 

Bank of America Corp., 6.00%, 9/01/17 (c)

 

 

1,590

 

 

1,580,023

 

CIT Group, Inc.:

 

 

 

 

 

 

 

4.25%, 2/01/10

 

 

85

 

 

52,636

 

4.75%, 12/15/10

 

 

95

 

 

57,530

 

5.80%, 7/28/11

 

 

110

 

 

65,516

 

5.40%, 2/13/12

 

 

85

 

 

49,334

 

FCE Bank Plc, 7.13%, 1/16/12

 

EUR

650

 

 

843,321

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

6.15%, 8/07/37

 

USD

4,150

 

 

3,799,881

 

5.88%, 1/14/38

 

 

177

 

 

157,124

 

6.88%, 1/10/39

 

 

135

 

 

133,890

 

JPMorgan Chase & Co.:

 

 

 

 

 

 

 

6.00%, 1/15/18

 

 

125

 

 

134,337

 

6.30%, 4/23/19

 

 

2,000

 

 

2,192,556

 

Structured Asset Repackaged Trust, 1.00%, 1/21/10

 

 

532

 

 

516,492

 

 

 

 

 

 




 

 

 

 

 

 

9,582,640

 









Diversified Telecommunication Services — 6.3%

 

 

 

 

 

 

 

AT&T Inc.:

 

 

 

 

 

 

 

6.45%, 6/15/34

 

 

780

 

 

826,563

 

6.30%, 1/15/38

 

 

600

 

 

629,908

 

6.55%, 2/15/39

 

 

3,375

 

 

3,682,601

 

BellSouth Telecommunications, Inc., 7.62%, 12/15/95 (f)

 

 

1,700

 

 

990,383

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

200

 

 

194,000

 

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

 

 

10

 

 

11,386

 

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

 

 

770

 

 

781,550

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

60

 

 

57,900

 

Series B, 7.50%, 2/15/14

 

 

30

 

 

28,950

 

Qwest Corp., 3.88%, 6/15/13 (a)

 

 

470

 

 

434,750

 

Telecom Italia Capital SA:

 

 

 

 

 

 

 

4.95%, 9/30/14

 

 

1,075

 

 

1,109,488

 

6.00%, 9/30/34

 

 

1,550

 

 

1,475,958

 

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

 

 

1,975

 

 

2,342,350

 

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

 

 

725

 

 

768,728

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

6.40%, 2/15/38

 

 

2,125

 

 

2,297,151

 

8.95%, 3/01/39

 

 

900

 

 

1,224,876

 

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

 

 

70

 

 

84,267

 

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

 

 

125

 

 

103,482

 

Verizon New Jersey, Inc.:

 

 

 

 

 

 

 

5.88%, 1/17/12

 

 

335

 

 

359,062

 

7.85%, 11/15/29

 

 

230

 

 

251,355

 

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

 

 

3,150

 

 

3,246,692

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

310

 

 

310,000

 

8.63%, 8/01/16

 

 

210

 

 

210,788

 

 

 

 

 

 




 

 

 

 

 

 

21,422,188

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 







Electric Utilities — 5.2%

 

 

 

 

 

 

 

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

 

USD

1,275

 

$

1,410,659

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

315

 

 

347,266

 

6.00%, 1/15/38

 

 

825

 

 

917,794

 

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

 

 

1,525

 

 

1,739,134

 

EDP Finance BV, 6.00%, 2/02/18 (b)

 

 

1,125

 

 

1,213,377

 

Electricité de France SA, 6.95%, 1/26/39 (b)

 

 

1,400

 

 

1,709,711

 

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

 

 

107

 

 

94,000

 

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

 

 

950

 

 

931,763

 

Florida Power Corp.:

 

 

 

 

 

 

 

6.35%, 9/15/37

 

 

1,325

 

 

1,541,107

 

6.40%, 6/15/38

 

 

875

 

 

1,025,782

 

PacifiCorp., 6.25%, 10/15/37

 

 

575

 

 

655,820

 

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

 

 

1,200

 

 

1,378,094

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.63%, 2/01/36

 

 

625

 

 

664,376

 

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

 

 

125

 

 

127,929

 

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

 

 

1,075

 

 

1,200,126

 

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

 

 

350

 

 

355,393

 

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

 

 

2,000

 

 

2,182,218

 

 

 

 

 

 




 

 

 

 

 

 

17,494,549

 









Electronic Equipment, Instruments & Components — 0.1%

 

 

 

 

 

 

 

Sanmina-SCI Corp., 8.13%, 3/01/16

 

 

270

 

 

232,875

 









Energy Equipment & Services — 0.0%

 

 

 

 

 

 

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

45

 

 

41,400

 









Food & Staples Retailing — 1.2%

 

 

 

 

 

 

 

CVS Caremark Corp., 6.25%, 6/01/27

 

 

775

 

 

837,492

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37

 

 

1,900

 

 

2,190,573

 

6.20%, 4/15/38

 

 

850

 

 

948,454

 

 

 

 

 

 




 

 

 

 

 

 

3,976,519

 









Food Products — 0.7%

 

 

 

 

 

 

 

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

 

 

1,455

 

 

1,683,831

 

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

 

 

800

 

 

816,000

 

 

 

 

 

 




 

 

 

 

 

 

2,499,831

 









Gas Utilities — 0.1%

 

 

 

 

 

 

 

El Paso Natural Gas Co., 8.63%, 1/15/22

 

 

265

 

 

312,297

 









Health Care Equipment & Supplies — 0.2%

 

 

 

 

 

 

 

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

 

 

860

 

 

825,600

 









Health Care Providers & Services — 0.2%

 

 

 

 

 

 

 

Tenet Healthcare Corp. (b):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

410

 

 

420,250

 

10.00%, 5/01/18

 

 

170

 

 

183,175

 

 

 

 

 

 




 

 

 

 

 

 

603,425

 









Hotels, Restaurants & Leisure — 1.6%

 

 

 

 

 

 

 

American Real Estate Partners LP:

 

 

 

 

 

 

 

8.13%, 6/01/12

 

 

3,165

 

 

3,117,525

 

7.13%, 2/15/13

 

 

320

 

 

304,000

 

Circus and Eldorado Joint Venture, 10.13%, 3/01/12

 

 

1,000

 

 

825,000

 

Gaylord Entertainment Co., 6.75%, 11/15/14

 

 

150

 

 

126,375

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (b)(d)(e)

 

 

315

 

 

67,725

 

Harrah’s Operating Co., Inc., 10.00%, 12/15/18 (b)

 

 

117

 

 

81,900

 

McDonald’s Corp., 5.70%, 2/01/39

 

 

825

 

 

872,576

 

 

 

 

 

 




 

 

 

 

 

 

5,395,101

 










 

 

 

See Notes to Financial Statements.

 




14

ANNUAL REPORT

AUGUST 31, 2009




 

 



 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 







Household Durables — 2.0%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

8.38%, 4/15/12

 

USD

1,470

 

$

1,109,850

 

8.13%, 6/15/16

 

 

210

 

 

130,200

 

4.63%, 6/15/24 (g)

 

 

205

 

 

169,125

 

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

 

 

350

 

 

234,962

 

D.R. Horton, Inc., 6.13%, 1/15/14

 

 

1,040

 

 

985,400

 

Irwin Land LLC (b):

 

 

 

 

 

 

 

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

 

 

525

 

 

432,374

 

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

 

 

1,500

 

 

1,010,760

 

KB Home:

 

 

 

 

 

 

 

6.38%, 8/15/11

 

 

95

 

 

94,050

 

9.10%, 9/15/17

 

 

545

 

 

555,900

 

Lennar Corp., Series B, 5.60%, 5/31/15

 

 

400

 

 

352,000

 

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

 

 

350

 

 

272,584

 

Pulte Homes, Inc., 5.20%, 2/15/15

 

 

310

 

 

282,100

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

160

 

 

125,600

 

7.00%, 8/15/15

 

 

320

 

 

251,200

 

Toll Brothers Finance Corp.:

 

 

 

 

 

 

 

4.95%, 3/15/14

 

 

250

 

 

243,276

 

8.91%, 10/15/17

 

 

406

 

 

452,023

 

 

 

 

 

 




 

 

 

 

 

 

6,701,404

 









Household Products — 0.3%

 

 

 

 

 

 

 

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

 

 

850

 

 

1,031,612

 









IT Services — 1.1%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

260

 

 

222,300

 

11.25%, 3/31/16 (b)

 

 

4,210

 

 

3,220,650

 

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

 

 

240

 

 

154,800

 

iPayment Investors LP, 12.75%, 7/15/14 (b)(h)

 

 

1,023

 

 

255,713

 

 

 

 

 

 




 

 

 

 

 

 

3,853,463

 









Independent Power Producers & Energy Traders — 0.8%

 

 

 

 

 

 

 

AES Eastern Energy LP, Series 99-B, 9.67%, 1/02/29

 

 

1,015

 

 

872,900

 

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

 

 

1,610

 

 

1,601,950

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

50

 

 

48,625

 

7.38%, 2/01/16

 

 

10

 

 

9,562

 

TXU Corp., 5.55%, 11/15/14

 

 

195

 

 

125,355

 

 

 

 

 

 




 

 

 

 

 

 

2,658,392

 









Industrial Conglomerates — 0.4%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

690

 

 

434,700

 

13.50%, 12/01/15 (h)

 

 

1,877

 

 

980,754

 

 

 

 

 

 




 

 

 

 

 

 

1,415,454

 









Insurance — 2.2%

 

 

 

 

 

 

 

Chubb Corp., 6%, 5/11/37

 

 

1,100

 

 

1,172,740

 

Hartford Life Global Funding Trusts (a):

 

 

 

 

 

 

 

0.80%, 9/15/09

 

 

925

 

 

924,706

 

0.81%, 6/16/14

 

 

425

 

 

314,891

 

MetLife, Inc., 5.70%, 6/15/35

 

 

1,525

 

 

1,520,022

 

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

 

 

775

 

 

807,616

 

Monument Global Funding Ltd., 0.42%, 6/16/10 (a)(b)(c)

 

 

1,810

 

 

1,742,271

 

Prudential Financial, Inc.:

 

 

 

 

 

 

 

5.70%, 12/14/36

 

 

675

 

 

592,387

 

Series D, 5.90%, 3/17/36

 

 

500

 

 

442,249

 

 

 

 

 

 




 

 

 

 

 

 

7,516,882

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 







Leisure Equipment & Products — 0.5%

 

 

 

 

 

 

 

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

 

USD

1,750

 

$

1,833,125

 









Machinery — 0.3%

 

 

 

 

 

 

 

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

 

 

360

 

 

284,400

 

Accuride Corp., 8.50% due 2/01/2015 (d)(e)

 

 

265

 

 

53,000

 

Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (b)

 

 

950

 

 

712,500

 

 

 

 

 

 




 

 

 

 

 

 

1,049,900

 









Marine — 0.5%

 

 

 

 

 

 

 

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

 

 

900

 

 

654,750

 

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

 

 

1,050

 

 

874,303

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

141

 

 

123,375

 

 

 

 

 

 




 

 

 

 

 

 

1,652,428

 









Media — 4.1%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

 

695

 

 

690,656

 

10.13%, 10/15/13 (b)

 

 

615

 

 

611,156

 

Belo Corp., 6.75%, 5/30/13

 

 

190

 

 

165,300

 

CMP Susquehanna Corp., 4.75%, 5/15/14 (b)

 

 

52

 

 

1,040

 

Charter Communications Holdings II, LLC (d)(e):

 

 

 

 

 

 

 

10.25%, 9/15/10

 

 

590

 

 

655,637

 

Series B, 10.25%, 9/15/10

 

 

120

 

 

133,350

 

Charter Communications, Inc., 6.50%, 10/01/27 (d)(e)(g)

 

 

760

 

 

326,800

 

Comcast Cable Holdings LLC, 7.13%, 2/15/28

 

 

200

 

 

212,201

 

Comcast Corp.:

 

 

 

 

 

 

 

6.50%, 1/15/17

 

 

1,625

 

 

1,780,777

 

6.45%, 3/15/37

 

 

790

 

 

842,704

 

6.95%, 8/15/37

 

 

10

 

 

11,318

 

Local Insight Regatta Holdings, Inc., 11.00%, 12/01/17 (a)

 

 

823

 

 

312,740

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

155

 

 

31,387

 

News America Holdings, Inc.:

 

 

 

 

 

 

 

7.70%, 10/30/25

 

 

825

 

 

862,951

 

8.45%, 8/01/34

 

 

625

 

 

693,731

 

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

 

 

985

 

 

1,021,018

 

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

 

 

935

 

 

883,575

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

200

 

 

202,000

 

10.38%, 9/01/14

 

 

943

 

 

985,435

 

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

 

 

610

 

 

697,303

 

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

 

 

1,200

 

 

1,092,000

 

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

 

 

930

 

 

1,052,266

 

Time Warner Cos., Inc.:

 

 

 

 

 

 

 

6.95%, 1/15/28

 

 

70

 

 

71,945

 

6.63%, 5/15/29

 

 

90

 

 

89,411

 

Time Warner, Inc.:

 

 

 

 

 

 

 

7.625%, 4/15/31

 

 

205

 

 

225,124

 

7.70%, 5/01/32

 

 

85

 

 

94,251

 

 

 

 

 

 




 

 

 

 

 

 

13,746,076

 









Metals & Mining — 2.1%

 

 

 

 

 

 

 

Anglo American Capital Plc, 9.38%, 4/08/19 (b)

 

 

685

 

 

801,450

 

Drummond Co., Inc., 7.38%, 2/15/16 (b)

 

 

375

 

 

330,000

 

Falconbridge Ltd.:

 

 

 

 

 

 

 

6.00%, 10/15/15

 

 

825

 

 

784,832

 

6.20%, 6/15/35

 

 

1,250

 

 

1,025,045

 

Freeport-McMoRan Copper & Gold, Inc., 8.38%, 4/01/17

 

 

400

 

 

417,000

 

Novelis, Inc., 11.50%, 2/15/15 (b)

 

 

1,070

 

 

1,035,225

 

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

 

 

80

 

 

78,600

 

Teck Resources Ltd.:

 

 

 

 

 

 

 

10.25%, 5/15/16

 

 

510

 

 

563,550

 

10.75%, 5/15/19

 

 

1,970

 

 

2,243,337

 

 

 

 

 

 




 

 

 

 

 

 

7,279,039

 










 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

AUGUST 31, 2009

15




 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 









Multi-Utilities — 0.5%

 

 

 

 

 

 

 

Energy East Corp., 6.75%, 7/15/36

 

USD

1,500

 

$

1,652,479

 









Multiline Retail — 0.2%

 

 

 

 

 

 

 

Macy’s Retail Holdings, Inc., 5.88%, 1/15/13

 

 

410

 

 

386,595

 

The May Department Stores Co., 5.75%, 7/15/14

 

 

150

 

 

135,716

 

 

 

 

 

 




 

 

 

 

 

 

522,311

 









Oil, Gas & Consumable Fuels — 6.6%

 

 

 

 

 

 

 

Arch Coal, Inc., 8.75%, 8/01/16 (b)

 

 

485

 

 

485,000

 

Atlas Energy Operating Co. LLC, 12.13%, 8/01/17

 

 

1,655

 

 

1,746,025

 

Atlas Energy Resources LLC, 10.75%, 2/01/18 (b)

 

 

365

 

 

368,650

 

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

 

 

1,270

 

 

1,310,423

 

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

 

 

140

 

 

124,600

 

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

 

 

395

 

 

410,800

 

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

 

 

875

 

 

1,018,273

 

Canadian Natural Resources Ltd.:

 

 

 

 

 

 

 

6.50%, 2/15/37

 

 

410

 

 

443,580

 

6.25%, 3/15/38

 

 

375

 

 

392,788

 

6.75%, 2/01/39

 

 

1,025

 

 

1,142,177

 

Conoco Funding Co., 7.25%, 10/15/31

 

 

125

 

 

147,939

 

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

 

 

535

 

 

572,623

 

ConocoPhillips Holding Co., 6.95%, 4/15/29

 

 

650

 

 

749,367

 

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

 

 

625

 

 

776,519

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

120

 

 

117,600

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

670

 

 

722,689

 

6.63%, 8/15/37

 

 

700

 

 

758,514

 

Encore Acquisition Co., 6.00%, 7/15/15

 

 

40

 

 

34,400

 

Forest Oil Corp., 7.25%, 6/15/19

 

 

220

 

 

206,800

 

Kinder Morgan, Inc., 6.50%, 9/01/12

 

 

190

 

 

193,325

 

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

 

 

700

 

 

736,082

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

800

 

 

827,156

 

6.50%, 9/15/37

 

 

1,900

 

 

2,110,296

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

410

 

 

266,500

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

330

 

 

267,300

 

Shell International Finance BV, 6.38%, 12/15/38

 

 

1,700

 

 

2,008,916

 

TEPPCO Partners LP, 6.13%, 2/01/13

 

 

695

 

 

745,849

 

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

 

 

495

 

 

430,253

 

Whiting Petroleum Corp., 7.25%, 5/01/13

 

 

335

 

 

331,650

 

XTO Energy, Inc.:

 

 

 

 

 

 

 

6.75%, 8/01/37

 

 

1,925

 

 

2,110,926

 

6.375%, 6/15/38

 

 

900

 

 

942,075

 

 

 

 

 

 




 

 

 

 

 

 

22,499,095

 









Paper & Forest Products — 1.9%

 

 

 

 

 

 

 

Clearwater Paper Corp., 10.63%, 6/15/16 (b)

 

 

620

 

 

664,175

 

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

 

 

2,725

 

 

2,752,250

 

International Paper Co., 9.38%, 5/15/19

 

 

890

 

 

1,000,098

 

MeadWestvaco Corp., 6.85%, 4/01/12

 

 

670

 

 

716,808

 

NewPage Corp., 10.00%, 5/01/12

 

 

1,555

 

 

843,587

 

Verso Paper Holdings LLC, 11.50%, 7/01/14 (b)

 

 

555

 

 

543,900

 

 

 

 

 

 




 

 

 

 

 

 

6,520,818

 









Pharmaceuticals — 2.6%

 

 

 

 

 

 

 

Eli Lilly & Co.:

 

 

 

 

 

 

 

3.55%, 3/06/12

 

 

600

 

 

627,948

 

5.55%, 3/15/37

 

 

2,275

 

 

2,395,848

 

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

 

 

850

 

 

1,059,875

 

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

 

 

1,125

 

 

1,335,763

 

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

 

 

1,445

 

 

1,557,178

 

Wyeth:

 

 

 

 

 

 

 

6.00%, 2/15/36

 

 

675

 

 

736,691

 

5.95%, 4/01/37

 

 

925

 

 

1,007,328

 

 

 

 

 

 




 

 

 

 

 

 

8,720,631

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 









Professional Services — 0.0%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

USD

100

 

$

97,500

 









Real Estate Investment Trusts (REITs) — 0.0%

 

 

 

 

 

 

 

iStar Financial, Inc., 5.65%, 9/15/11

 

 

260

 

 

148,200

 









Road & Rail — 0.2%

 

 

 

 

 

 

 

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

 

 

350

 

 

396,513

 

The Hertz Corp., 8.88%, 1/01/14

 

 

130

 

 

124,475

 

 

 

 

 

 




 

 

 

 

 

 

520,988

 









Software — 0.7%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.35%, 2/15/12 (a)(b)(h)

 

 

118

 

 

1,867

 

Oracle Corp., 5.75%, 4/15/18 (c)

 

 

2,225

 

 

2,441,711

 

 

 

 

 

 




 

 

 

 

 

 

2,443,578

 









Specialty Retail — 0.7%

 

 

 

 

 

 

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

6.40%, 3/15/14 (a)

 

 

500

 

 

440,000

 

10.75%, 3/15/15

 

 

360

 

 

340,200

 

Lazydays RV Center, Inc., 11.75%, 5/15/12 (d)(e)

 

 

310

 

 

3,100

 

Michaels Stores, Inc., 11.38%, 11/01/16

 

 

90

 

 

77,400

 

Sonic Automotive, Inc., Series B, 8.63%, 8/15/13

 

 

1,800

 

 

1,521,000

 

 

 

 

 

 




 

 

 

 

 

 

2,381,700

 









Textiles, Apparel & Luxury Goods — 0.0%

 

 

 

 

 

 

 

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

 

 

175

 

 

111,125

 









Wireless Telecommunication Services — 1.6%

 

 

 

 

 

 

 

Cricket Communications, Inc., 9.38%, 11/01/14

 

 

100

 

 

94,250

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

240

 

 

214,200

 

9.13%, 1/15/15 (h)

 

 

560

 

 

493,500

 

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

 

 

60

 

 

58,875

 

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

 

 

770

 

 

689,150

 

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

 

 

1,150

 

 

1,431,365

 

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

 

 

515

 

 

374,663

 

Vodafone Group Plc, 4.15%, 6/10/14 (c)

 

 

2,050

 

 

2,099,819

 

 

 

 

 

 




 

 

 

 

 

 

5,455,822

 









Total Corporate Bonds — 57.4%

 

 

 

 

 

194,768,433

 









 

 

 

 

 

 

 

 


 

Foreign Agency Obligations

 

 

 

 

 

 

 









Israel Government AID Bond:

 

 

 

 

 

 

 

5.50%, 4/26/24

 

 

825

 

 

894,170

 

5.50%, 9/18/33

 

 

845

 

 

893,440

 

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

 

 

455

 

 

469,924

 

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

 

 

860

 

 

870,217

 

Kreditanstalt fuer Wiederaufbau, 3.50%, 3/10/14 (c)

 

 

2,775

 

 

2,871,240

 

Landwirtschaftliche Rentenbank:

 

 

 

 

 

 

 

4.13%, 7/15/13

 

 

115

 

 

121,626

 

Series E, 5.25%, 7/02/12

 

 

395

 

 

430,990

 

Series E, 4.38%, 1/15/13

 

 

250

 

 

264,538

 

Series E, 4.00%, 2/02/15

 

 

230

 

 

237,830

 

Province of Ontario Canada, 4.10%, 6/16/14

 

 

1,280

 

 

1,344,042

 

Royal Bank of Scotland Group Plc, 2.63%, 5/11/12 (b)

 

 

295

 

 

299,210

 









Total Foreign Agency Obligations — 2.6%

 

 

 

 

 

8,697,227

 










 

 

 

See Notes to Financial Statements.

 




16

ANNUAL REPORT

AUGUST 31, 2009



 

 



 

 

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 — 6.0%

 

 

 

 

 

 

 

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

 

USD

1,100

 

$

495,295

 

Bear Stearns Adjustable Rate Mortgage, Series 2004-8 Class 14A1,
5.47%, 11/25/34 (a)

 

 

676

 

 

562,191

 

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

 

 

1,161

 

 

873,593

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,216,852

 

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

 

 

506

 

 

253,093

 

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

 

 

939

 

 

439,268

 

Series 2007-HY4 Class 4A1, 5.90%, 6/25/47 (a)

 

 

1,118

 

 

649,035

 

Countrywide Home Loan Mortgage Pass-Through Trust:

 

 

 

 

 

 

 

Series 2006-0A5 Class 2A1, 0.47%, 4/25/46 (a)

 

 

391

 

 

193,773

 

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

 

 

970

 

 

737,444

 

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

 

 

817

 

 

613,873

 

Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2006-0A1 Class A1, 0.47%, 2/25/47 (a)

 

 

327

 

 

161,245

 

GSR Mortgage Loan Trust:

 

 

 

 

 

 

 

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

 

 

616

 

 

548,436

 

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

 

 

1,040

 

 

859,376

 

Series 2006-AR1 Class 2A1, 5.17%, 1/25/36 (a)

 

 

942

 

 

637,293

 

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

 

 

1,162

 

 

955,774

 

Homebanc Mortgage Trust, Series 2006-2 Class A1, 0.45%, 12/25/36 (a)

 

 

912

 

 

444,452

 

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

 

 

1,100

 

 

636,691

 

JPMorgan Mortgage Trust:

 

 

 

 

 

 

 

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

 

 

1,145

 

 

849,878

 

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

 

 

937

 

 

742,315

 

Series 2007-S2 Class 1A15, 6.75%, 6/25/37

 

 

1,110

 

 

894,503

 

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

 

 

2,500

 

 

875,000

 

Merrill Lynch Mortgage Investors, Inc., Series 2006-A3 Class 3A1, 5.80%, 5/25/36 (a)(i)

 

 

923

 

 

568,355

 

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

 

 

778

 

 

635,988

 

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

 

 

1,902

 

 

1,367,226

 

WaMu Mortgage Pass-Through Certificates (a):

 

 

 

 

 

 

 

Series 2005-AR10 Class 1A3, 4.83%, 9/25/35

 

 

1,800

 

 

1,209,361

 

Series 2007-0A4 Class 1A, 1.82%, 5/25/47

 

 

474

 

 

225,109

 

Series 2007-0A5 Class 1A, 1.80%, 6/25/47

 

 

411

 

 

183,530

 

Wells Fargo Mortgage Backed Securities Trust:

 

 

 

 

 

 

 

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

 

 

792

 

 

668,267

 

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

 

 

723

 

 

629,601

 

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

 

 

745

 

 

574,495

 

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

 

 

783

 

 

651,740

 

 

 

 

 

 




 

 

 

 

 

 

20,353,052

 









 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 







Commercial Mortgage-Backed Securities — 16.4%

 

 

 

 

 

 

 

Bank of America Commercial Mortgage, Inc., Series 2005-1 Class 4A, 5.14%, 11/10/42 (a)

 

USD

2,180

 

$

2,211,104

 

Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9 Class A2, 4.74%, 9/11/42

 

 

4,895

 

 

4,901,187

 

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

 

 

2,720

 

 

2,812,557

 

Citigroup Commercial Mortgage Trust, Series 2008-C7 Class A4, 6.30%,
12/10/49 (a)

 

 

1,370

 

 

1,209,935

 

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

 

 

960

 

 

937,595

 

First Union National Bank Commercial Mortgage:

 

 

 

 

 

 

 

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

 

 

2,804

 

 

2,951,080

 

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

 

 

2,265

 

 

2,376,207

 

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

 

 

2,350

 

 

2,405,810

 

JPMorgan Chase Commercial Mortgage Securities Corp.:

 

 

 

 

 

 

 

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

 

 

2,140

 

 

2,246,905

 

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

 

 

844

 

 

810,124

 

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

 

 

2,180

 

 

2,171,186

 

JPMorgan Commercial Mortgage Finance Corp., Series 2000-C10 Class A2, 7.37%, 8/15/32 (a)

 

 

1,133

 

 

1,143,278

 

LB-UBS Commercial Mortgage Trust:

 

 

 

 

 

 

 

Series 2005-C5 Class A4, 4.95%, 9/15/30

 

 

4,375

 

 

3,989,109

 

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

 

 

931

 

 

740,971

 

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

 

 

4,200

 

 

4,251,415

 

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

 

 

2,555

 

 

2,538,782

 

Salomon Brothers Mortgage Securities VII, Inc., Series 2000-C1 Class A2, 7.52%, 12/18/09 (a)

 

 

1,281

 

 

1,288,343

 

Wachovia Bank Commercial Mortgage Trust:

 

 

 

 

 

 

 

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

 

 

910

 

 

911,335

 

Series 2006-C25 Class A4, 5.93%, 5/15/43 (a)

 

 

1,190

 

 

1,106,287

 

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

 

 

14,000

 

 

13,982,577

 

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

 

 

995

 

 

794,461

 

 

 

 

 

 




 

 

 

 

 

 

55,780,248

 









Total Non-Agency Mortgage-Backed Securities — 22.4%

 

 

 

 

 

76,133,300

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Beneficial

 

 

 

 

 

 

Interest

 

 

 

 

Other Interests (l)

 

(000)

 

 

 

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

 

2

 

 

381

 









Total Other Interests — 0.0%

 

 

 

 

 

381

 









 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









 

Capital Trusts

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Capital Markets — 0.1%

 

 

 

 

 

 

 

Credit Suisse Guernsey Ltd., 5.86% (a)(m)

 

 

494

 

 

350,740

 









Commercial Banks — 0.4%

 

 

 

 

 

 

 

Barclays Bank Plc, 7.43% (a)(b)(m)

 

 

1,500

 

 

1,215,000

 









Electric Utilities — 0.2%

 

 

 

 

 

 

 

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

 

 

790

 

 

564,400

 










 

 

 

See Notes to Financial Statements.




ANNUAL REPORT

AUGUST 31, 2009

17




 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

 

Beneficial

 

 

 

 

 

 

Interest

 

 

 

 

Capital Trusts

 

(000)

 

Value

 









Insurance — 1.0%

 

 

 

 

 

 

 

The Allstate Corp., 6.50%, 5/15/57 (a)

 

USD

1,950

 

$

1,560,000

 

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

 

 

675

 

 

421,875

 

Progressive Corp., 6.70%, 6/15/67 (a)

 

 

605

 

 

486,271

 

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

 

 

675

 

 

575,608

 

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

 

 

675

 

 

526,500

 

 

 

 

 

 




 

 

 

 

 

 

3,570,254

 









Total Capital Trusts — 1.7%

 

 

 

 

 

5,700,394

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp., 0% (a)(b)(d)

 

 

12,033

 

 

 









Total Preferred Stocks — 0.0%

 

 

 

 

 

 









Total Preferred Securities — 1.7%

 

 

 

 

 

5,700,394

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Par

 

 

 

 

Taxable Municipal Bonds

 

(000)

 

 

 

 









County/City/Special District/School District — 0.4%

 

 

 

 

 

 

 

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

 

 

255

 

 

276,247

 

Leland Stanford Junior University, 4.25%, 5/01/16

 

 

435

 

 

441,795

 

Princeton University, 5.70%, 3/01/39

 

 

575

 

 

609,115

 

 

 

 

 

 




 

 

 

 

 

 

1,327,157

 









State — 1.3%

 

 

 

 

 

 

 

New York State Dormitory Authority, RB, Build America Bonds, 5.63%, 3/15/39

 

 

550

 

 

566,263

 

State of California, GO, Taxable, Various Purpose 3, 5.45%, 4/01/15

 

 

2,300

 

 

2,408,008

 

State of Texas, GO, Build America Bonds Taxable (Municipal Government Guaranteed), 5.52%, 4/01/39

 

 

1,290

 

 

1,323,695

 

 

 

 

 

 




 

 

 

 

 

 

4,297,966

 









Transportation — 0.3%

 

 

 

 

 

 

 

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

 

 

625

 

 

760,250

 

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

 

 

385

 

 

421,090

 

 

 

 

 

 




 

 

 

 

 

 

1,181,340

 









Utilities — 0.1%

 

 

 

 

 

 

 

Chicago Metropolitan Water Reclamation District, GO, Build America Bonds, 5.72%, 12/01/38

 

 

485

 

 

521,884

 









Total Taxable Municipal Bonds — 2.1%

 

 

 

 

 

7,328,347

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

 

 

 

 

 

 









Agency Obligations — 11.2%

 

 

 

 

 

 

 

Fannie Mae:

 

 

 

 

 

 

 

1.75%, 8/10/12 (n)

 

 

5,650

 

 

5,652,983

 

3.00%, 9/16/14 (n)

 

 

7,000

 

 

7,110,670

 

6.35%, 10/09/19 (n)(o)

 

 

5,875

 

 

3,244,880

 

7.13%, 1/15/30

 

 

2,775

 

 

3,662,345

 

5.63%, 7/15/37 (j)

 

 

775

 

 

841,371

 

 

 

 

 

 

 

 

 

 

 

Par

 

 

 

 

U.S. Government Sponsored Agency Securities

 

(000)

 

Value

 







Agency Obligations (concluded)

 

 

 

 

 

 

 

Federal Home Loan Banks:

 

 

 

 

 

 

 

5.38%, 9/30/22 (j)(n)

 

USD

5,400

 

$

6,059,054

 

5.25%, 12/09/22 (j)

 

 

675

 

 

717,543

 

5.37%, 9/09/24

 

 

1,075

 

 

1,164,482

 

Federal Housing Administration, Hebre Home Hospital, 6.25%, 9/01/28

 

 

982

 

 

972,386

 

Freddie Mac:

 

 

 

 

 

 

 

3.00%, 7/28/14 (j)

 

 

565

 

 

573,220

 

5.50%, 8/23/17 (n)

 

 

2,425

 

 

2,726,665

 

Resolution Funding Corp. (o):

 

 

 

 

 

 

 

6.29%, 7/15/18

 

 

525

 

 

365,102

 

6.30%, 10/15/18

 

 

525

 

 

360,532

 

U.S. Treasury Bonds (n):

 

 

 

 

 

 

 

6.13%, 11/15/27

 

 

1,440

 

 

1,806,525

 

5.25%, 11/15/28

 

 

2,400

 

 

2,748,749

 

 

 

 

 

 




 

 

 

 

 

 

38,006,507

 









Collateralized Mortgage Obligations — 0.9%

 

 

 

 

 

 

 

Fannie Mae Trust, Series 2005-5 Class PK, 5.00%, 12/25/34

 

 

1,745

 

 

1,842,822

 

Freddie Mac Multiclass Certificates, Series 2825 Class VP, 5.50%, 6/15/15

 

 

1,041

 

 

1,114,315

 

 

 

 

 

 




 

 

 

 

 

 

2,957,137

 









Federal Deposit Insurance Corp. Guaranteed — 2.7%

 

 

 

 

 

 

 

Citibank NA, 1.38%, 8/10/11 (n)

 

 

5,100

 

 

5,109,221

 

Citigroup Funding, Inc., 2.13%, 7/12/12 (c)

 

 

1,415

 

 

1,426,907

 

General Electric Capital Corp., 2.63%, 12/28/12

 

 

2,400

 

 

2,454,816

 

 

 

 

 

 




 

 

 

 

 

 

8,990,944

 









Interest Only Collateralized Mortgage Obligations — 0.6%

 

 

 

 

 

 

 

Fannie Mae Trust, Series 2004-90 Class JH, 6.43%, 11/25/34 (a)

 

 

17,290

 

 

1,718,209

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

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

 

 

1,262

 

 

101,485

 

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

 

 

4,044

 

 

521,478

 

 

 

 

 

 




 

 

 

 

 

 

2,341,172

 









Mortgage-Backed Securities — 11.2%

 

 

 

 

 

 

 

Fannie Mae Guaranteed Pass-Through Certificates:

 

 

 

 

 

 

 

4.50%, 4/01/39 – 9/01/39 (n)

 

 

9,991

 

 

10,059,075

 

5.00%, 1/01/23 – 10/15/39 (n)(p)

 

 

22,699

 

 

23,334,765

 

5.50%, 9/15/24 (p)

 

 

300

 

 

315,656

 

6.00%, 8/01/29 – 7/01/36 (c)

 

 

335

 

 

353,502

 

Freddie Mac Mortgage Participation Certificates:

 

 

 

 

 

 

 

5.00%, 2/01/22 – 9/15/39 (p)

 

 

1,941

 

 

2,028,410

 

6.00%, 2/01/13 – 12/01/18 (c)

 

 

1,680

 

 

1,793,833

 

Ginnie Mae MBS Certificates, 5.50%, 8/15/33 (c)

 

 

144

 

 

151,904

 

 

 

 

 

 




 

 

 

 

 

 

38,037,145

 









Total U.S. Government Sponsored Agency Securities — 26.6%

 

 

 

 

 

90,332,905

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 









U.S. Treasury Notes:

 

 

 

 

 

 

 

3.63%, 8/15/19 (n)

 

 

39,060

 

 

39,792,375

 

5.25%, 2/15/29 (n)

 

 

2,400

 

 

2,748,374

 

4.25%, 5/15/39

 

 

3,410

 

 

3,447,831

 

4.50%, 8/15/39

 

 

2,250

 

 

2,371,289

 

U.S. Treasury Strips, 4.57%, 8/15/20 (n)(o)

 

 

6,150

 

 

3,944,622

 









Total U.S. Treasury Obligations — 15.4%

 

 

 

 

 

52,304,491

 










 

 

 

See Notes to Financial Statements.




18

ANNUAL REPORT

AUGUST 31, 2009




 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Warrants (q)

 

Shares

 

Value

 







Media — 0.0%

 

 

 

 

 

 

 

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

 

 

13,751

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









Total Long-Term Investments
(Cost — $453,373,605) — 134.0%

 

 

 

 

$

454,795,503

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempFund, 0.22% (r)(s)

 

 

1,735,485

 

 

1,735,485

 









Total Short-Term Securities
(Cost — $1,735,485) — 0.5%

 

 

 

 

 

1,735,485

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Options Purchased

 

Contracts (t)

 

 

 

 









Over-the-Counter Call Swaptions Purchased

 

 

 

 

 

 

 

Receive a fixed rate of 2.25% and pay a floating rate based on 3-month LIBOR, expiring October 2009, Broker JPMorgan Chase Bank NA

 

 

7

 

 

442

 

Receive a fixed rate of 3.12% and pay a floating rate based on 3-month LIBOR, expiring October 2009, Broker Barclays Bank Plc

 

 

9

 

 

36,962

 

Receive a fixed rate of 2.37% and pay a floating rate based on 3-month LIBOR, expiring November 2009, Broker Goldman Sachs Bank USA

 

 

7

 

 

2,359

 

Receive a fixed rate of 2.50% and pay a floating rate based on 3-month LIBOR, expiring November 2009, Broker JPMorgan Chase Bank, NA

 

 

5

 

 

2,446

 

Receive a fixed rate of 2.75% and pay a floating rate based on 3-month LIBOR, expiring November 2009, Broker Morgan Stanley Capital Services, Inc.

 

 

16

 

 

66,160

 

Receive a fixed rate of 2.75% and pay a floating rate based on 3-month LIBOR, expiring November 2009, Broker UBS AG

 

 

9

 

 

13,022

 

Receive a fixed rate of 2.75% and pay a floating rate based on 3-month LIBOR, expiring December 2009, Broker Morgan Stanley Capital Services, Inc.

 

 

13

 

 

59,623

 

Receive a fixed rate of 2.50% and pay a floating rate based on 3-month LIBOR, expiring March 2010, Broker Barclays Bank Plc

 

 

3

 

 

5,498

 

Receive a fixed rate of 3.40% and pay a floating rate based on 3-month LIBOR, expiring April 2010, Broker Deutsche Bank AG

 

 

7

 

 

141,463

 

Receive a fixed rate of 3.41% and pay a floating rate based on 3-month LIBOR, expiring April 2010, Broker Deutsche Bank AG

 

 

3

 

 

64,768

 

Receive a fixed rate of 3.71% and pay a floating rate based on 3-month LIBOR, expiring April 2011, Broker JPMorgan Chase Bank, NA

 

 

4

 

 

134,725

 

Receive a fixed rate of 4.88% and pay a floating rate based on 3-month LIBOR, expiring September 2013, Broker Goldman Sachs Bank USA

 

 

25

 

 

1,263,305

 

 

 

 

 

 




 

 

 

 

 

 

1,790,773

 









Over-the-Counter Put Swaptions Purchased

 

 

 

 

 

 

 

Pay a fixed rate of 3.12% and receive a floating rate based on 3-month LIBOR, expiring October 2009, Broker Barclays Bank Plc

 

 

9

 

 

462,346

 

Pay a fixed rate of 3.40% and receive a floating rate based on 3-month LIBOR, expiring April 2010, Broker Deutsche Bank AG

 

 

7

 

 

434,217

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts (t)

 

Value

 







Over-the-Counter Put Swaptions Purchased (concluded)

 

 

 

 

 

 

 

Pay a fixed rate of 3.41% and receive a floating rate based on 3-month LIBOR, expiring April 2010, Broker Deutsche Bank AG

 

 

3

 

$

196,902

 

Pay a fixed rate of 3.71% and receive a floating rate based on 3-month LIBOR, expiring April 2011, Broker JPMorgan Chase Bank, NA

 

 

4

 

 

307,633

 

Pay a fixed rate of 4.88% and receive a floating rate based on 3-month LIBOR, expiring September 2013, Broker Goldman Sachs Bank USA

 

 

25

 

 

941,135

 

Pay a fixed rate of 4.71% and receive a floating rate based on the 3-month LIBOR, expiring November 2013, Broker JPMorgan Chase Bank, NA

 

 

12

 

 

498,211

 

 

 

 

 

 




 

 

 

 

 

 

2,840,444

 









Total Options Purchased
(Cost — $4,458,405) — 1.3%

 

 

 

 

 

4,631,217

 









Total Investments Before TBA Sale
Commitments and Options Written
(Cost — $459,567,495*) — 135.8%

 

 

 

 

 

461,162,205

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Par

 

 

 

 

TBA Sale Commitments (p)

 

(000)

 

 

 

 








Fannie Mae Guaranteed Pass-Through Certificates:

 

 

 

 

 

 

 

4.50%, 4/01/39 – 9/01/39

 

USD

(9,900

)

 

(9,952,589

)

5.00%, 1/01/23 – 10/15/39

 

 

(12,200

)

 

(12,566,470

)

6.00%, 8/01/29 – 7/01/36

 

 

(300

)

 

(315,656

)

Freddie Mac Mortgage Participation Certificates 5.00%, 2/01/22 – 9/15/39

 

 

(1,800

)

 

(1,874,250

)

Ginnie Mae MBS Certificates 5.50%, 8/15/33

 

 

(100

)

 

(104,531

)









Total TBA Sale Commitments
(Proceeds — $24,594,668) — (7.3)%

 

 

 

 

 

(24,813,496

)









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Options Written

 

Contracts (t)

 

 

 

 








Over-the-Counter Call Swaptions Written

 

 

 

 

 

 

 

Pay a fixed rate of 5.49% and receive a floating rate based on 3-month LIBOR, expiring October 2009, Broker JPMorgan Chase Bank, NA

 

 

5

 

 

(689,980

)

Pay a fixed rate of 2.45% and receive a floating rate based on 3-month LIBOR, expiring December 2009, Broker Barclays Bank Plc

 

 

11

 

 

(10,469

)

Pay a fixed rate of 3.50% and receive a floating rate based on 3-month LIBOR, expiring January 2010, Broker Deutsche Bank AG

 

 

8

 

 

(152,706

)

Pay a fixed rate of 3.58% and receive a floating rate based on 3-month LIBOR, expiring January 2010, Broker Deutsche Bank AG

 

 

11

 

 

(238,309

)

Pay a fixed rate of 5.67% and receive a floating rate based on 3-month LIBOR, expiring January 2010, Broker Citibank, NA

 

 

12

 

 

(1,861,643

)

Pay a fixed rate of 3.14% and receive a floating rate based on 3-month LIBOR, expiring April 2010, Broker Barclays Bank Plc

 

 

4

 

 

(44,933

)

Pay a fixed rate of 3.80% and receive a floating rate based on 3-month LIBOR, expiring May 2010, Broker Morgan Stanley Capital Services, Inc.

 

 

12

 

 

(408,434

)

Pay a fixed rate of 4.10% and receive a floating rate based on 3-month LIBOR, expiring May 2010, Broker Barclays Bank Plc

 

 

4

 

 

(176,839

)


 

 

 

See Notes to Financial Statements.




ANNUAL REPORT

AUGUST 31, 2009

19




 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Contracts (t)

 

Value

 









Over-the-Counter Call Swaptions Written (concluded)

 

 

 

 

 

 

 

Pay a fixed rate of 4.28% and receive a floating rate based on 3-month LIBOR, expiring May 2010, Broker Barclays Bank Plc

 

 

8

 

$

(473,680

)

Pay a fixed rate of 4.92% and receive a floating rate based on 3-month LIBOR, expiring November 2010, Broker Barclays Bank Plc

 

 

15

 

 

(1,387,905

)

Pay a fixed rate of 5.05% and receive a floating rate based on 3-month LIBOR, expiring May 2011, Broker Citibank, NA

 

 

10

 

 

(965,320

)

Pay a fixed rate of 5.08% and receive a floating rate based on 3-month LIBOR, expiring May 2011, Broker Goldman Sachs Bank USA

 

 

6

 

 

(600,118

)

Pay a fixed rate of 5.33% and receive a floating rate based on 3-month LIBOR, expiring July 2013, Broker JPMorgan Chase Bank, NA

 

 

9

 

 

(551,916

)

Pay a fixed rate of 4.12% and receive a floating rate based on 3-month LIBOR, expiring August 2010, Broker Goldman Sachs Bank USA

 

 

3

 

 

(144,756

)

Pay a fixed rate of 4.12% and receive a floating rate based on 3-month LIBOR, expiring August 2010, Broker Morgan Stanley Capital Services, Inc.

 

 

3

 

 

(149,199

)

Pay a fixed rate of 4.80% and receive a floating rate based on 3-month LIBOR, expiring June 2010, Broker Citibank, NA

 

 

5

 

 

(464,589

)

 

 

 

 

 




 

 

 

 

 

 

(8,320,796

)









Over-the-Counter Put Swaptions Written

 

 

 

 

 

 

 

Receive a fixed rate of 4.80% and pay a floating rate based on 3-month LIBOR, expiring June 2010, Broker Citibank, NA

 

 

5

 

 

(110,973

)

Receive a fixed rate of 4.12% and pay a floating rate based on 3-month LIBOR, expiring August 2010, Broker Goldman Sachs Bank USA

 

 

3

 

 

(130,680

)

Receive a fixed rate of 4.12% and pay a floating rate based on 3-month LIBOR, expiring August 2010, Broker Morgan Stanley Capital Services, Inc.

 

 

3

 

 

(135,984

)

Receive a fixed rate of 5.49% and pay a floating rate based on 3-month LIBOR, expiring October 2009, Broker JPMorgan Chase Bank, NA

 

 

5

 

 

(1,202

)

Receive a fixed rate of 2.45% and pay a floating rate based on 3-month LIBOR, expiring December 2009, Broker Barclays Bank Plc

 

 

11

 

 

(1,175,769

)

Receive a fixed rate of 4.00% and pay a floating rate based on 3-month LIBOR, expiring January 2010, Broker Deutsche Bank AG

 

 

8

 

 

(185,485

)

Receive a fixed rate of 4.08% and pay a floating rate based on 3-month LIBOR, expiring January 2010, Broker Deutsche Bank AG

 

 

11

 

 

(226,681

)

Receive a fixed rate of 5.67% and pay a floating rate based on 3-month LIBOR, expiring January 2010, Broker Citibank, NA

 

 

12

 

 

(22,989

)

Receive a fixed rate of 4.50% and pay a floating rate based on 3-month LIBOR, expiring March 2010, Broker Barclays Bank Plc

 

 

3

 

 

(157,651

)

Receive a fixed rate of 3.14% and pay a floating rate based on 3-month LIBOR, expiring April 2010, Broker Barclays Bank Plc

 

 

4

 

 

(266,753

)

Receive a fixed rate of 4.10% and pay a floating rate based on 3-month LIBOR, expiring May 2010, Broker Barclays Bank

 

 

4

 

 

(136,624

)

Receive a fixed rate of 4.28% and pay a floating rate based on 3-month LIBOR, expiring May 2010, Broker Barclays Bank Plc

 

 

8

 

 

(261,889

)

Receive a fixed rate of 4.50% and pay a floating rate based on 3-month LIBOR, expiring May 2010, Broker Morgan Stanley Capital Services, Inc.

 

 

12

 

 

(305,486

)

 

 

 

 

 

 

 

 

Options Written

 

 

Contracts (t)

 

Value

 








Over-the-Counter Put Swaptions Written (concluded)

 

 

 

 

 

 

 

Receive a fixed rate of 4.92% and pay a floating rate based on 3-month LIBOR, expiring November 2010, Broker Barclays Bank Plc

 

 

15

 

$

(436,890

)

Receive a fixed rate of 5.05% and pay a floating rate based on 3-month LIBOR, expiring May 2011, Broker Citibank, NA

 

 

10

 

 

(370,240

)

Receive a fixed rate of 5.08% and pay a floating rate based on 3-month LIBOR, expiring May 2011, Broker Goldman Sachs Bank USA

 

 

6

 

 

(218,758

)

Receive a fixed rate of 5.33% and pay a floating rate based on 3-month LIBOR, expiring July 2013, Broker JPMorgan Chase Bank, NA

 

 

9

 

 

(271,005

)

 

 

 

 

 




 

 

 

 

 

 

(4,415,059

)









Total Options Written
(Premiums Received — $10,860,550) — (3.7)%

 

 

 

 

 

(12,735,855

)









Total Investments, Net of TBA Sale Commitments
and Options Written — 124.8%

 

 

 

 

 

423,612,854

 

Liabilities in Excess of Other Assets — (24.8)%

 

 

 

 

 

(84,088,654

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

339,524,200

 

 

 

 

 

 





 

 



*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

459,654,221

 

 

 




Gross unrealized appreciation

 

$

23,486,061

 

Gross unrealized deprecation

 

 

(21,978,077

)

 

 




Net unrealized appreciation

 

$

1,507,984

 

 

 





 

 

(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)

All or a portion of the security has been pledged as collateral for swaps.

 

 

(d)

Non-income producing security.

 

 

(e)

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

 

 

(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 effective yield as of report date.

 

 

(g)

Convertible security.

 

 

(h)

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

 

 

(i)

Investments in companies considered to be an affiliate of the Trust, during the period September 1, 2008 to December 31, 2008 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

Purchase

 

Sale

 

Realized

 

 

 

 

Affiliate

 

Cost

 

Cost

 

Gain

 

Income

 











Merrill Lynch Mortgage Investors, Inc. Series 2006-A3 Class 3A1, 5.80%, 5/25/36

 

 

 

$

25,089

 

$

11,657

 

$

19,752

 

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

 

$

3,067,116

 

 

 

 

 

$

18,745

 

Merrill Lynch Mortgage Trust Series 2007-C1 Class AM, 5.83%, 6/12/50

 

 

 

 

 

 

 

$

18,266

 
















 

 

(j)

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

 

 

(k)

Security held as collateral in connection with TALF program.

 

 

(l)

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


 

 

 

See Notes to Financial Statements.




20

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

(m)

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

 

 

(n)

All or a portion of the security has been pledged as collateral for reverse repurchase agreements.

 

 

(o)

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

 

 

(p)

Represents or includes a “to-be-announced” transaction. The Trust has committed to purchasing (selling) securities for which all specific information is not available at this time.


 

 

 

 

 

 

 

 







Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 







Bank of America Securities LLC

 

$

(9,248,871

)

$

(150,933

)

Citigroup Global Markets, Inc.

 

$

(703,718

)

$

(2,078

)

Credit Suisse Securities LLC

 

$

(315,656

)

$

(4,500

)

Deutsche Bank Securities, Inc.

 

$

211,125

 

$

1,513

 

Goldman Sachs & Company

 

$

(4,931,470

)

$

(42,497

)

Morgan Stanley & Co., Inc.

 

$

9,544,125

 

$

144,586

 










 

 

(q)

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.

 

 

(r)

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


 

 

 

 

 

 

 

 







Affiliate

 

Net Activity

 

Income

 







BlackRock Liquidity Funds, TempFund

 

$

1,735,485

 

$

11,390

 










 

 

(s)

Represents the current yield as of report date.

 

 

(t)

One contract represents a notional amount of $1 million.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

 

Reverse repurchase agreements outstanding as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net
Closing
Amount

 

Face
Amount

 













Barclays Capital, Inc.

 

0.24

%

 

1/06/09

 

Open

 

$

1,995,983

 

$

1,994,400

 

Credit Suisse Securities (USA), Inc.

 

0.25

%

 

7/20/09

 

Open

 

 

5,463,402

 

 

5,462,000

 

Barclays Capital, Inc.

 

0.20

%

 

8/04/09

 

Open

 

 

2,644,393

 

 

2,643,937

 

Barclays Capital, Inc.

 

0.24

%

 

8/04/09

 

Open

 

 

2,644,581

 

 

2,644,125

 

Barclays Capital, Inc.

 

0.31

%

 

8/06/09

 

Open

 

 

4,935,631

 

 

4,934,633

 

Barclays Capital, Inc.

 

0.26

%

 

8/06/09

 

Open

 

 

2,672,483

 

 

2,672,000

 

Barclays Capital, Inc.

 

0.26

%

 

8/06/09

 

Open

 

 

2,963,885

 

 

2,963,350

 

Barclays Capital, Inc.

 

0.24

%

 

8/10/09

 

Open

 

 

3,721,205

 

 

3,720,750

 

Bank of America, NA

 

0.24

%

 

8/11/09

 

Open

 

 

4,803,976

 

 

4,803,500

 

Barclays Capital, Inc.

 

0.29

%

 

8/12/09

 

9/14/09

 

 

8,867,357

 

 

8,866,000

 

Barclays Capital, Inc.

 

0.26

%

 

8/14/09

 

Open

 

 

6,790,611

 

 

6,790,000

 

Barclays Capital, Inc.

 

0.30

%

 

8/18/09

 

9/14/09

 

 

3,175,982

 

 

3,175,268

 

Credit Suisse Securities (USA), Inc.

 

0.18

%

 

8/24/09

 

Open

 

 

5,947,163

 

 

5,946,938

 

Bank of America, NA

 

0.20

%

 

8/31/09

 

Open

 

 

6,105,034

 

 

6,105,000

 
















Total

 

 

 

 

 

 

 

 

 

 

 

$

62,721,901

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Foreign currency exchange contracts as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 











USD

698,590

 

EUR

501,500

 

Citibank NA

 

9/16/09

 

$

(20,380

)

USD

672,597

 

GBP

411,500

 

Citibank NA

 

10/28/09

 

 

2,750

 














Total

 

 

 

 

 

 

 

 

 

$

(17,630

)

 

 

 

 

 

 

 

 

 

 





 

 

Financial futures contracts purchased as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Face
Value

 

Unrealized
Appreciation

 













  62

 

10-Year U.S. Treasury Bond

 

Chicago

 

December 2009

 

$

7,225,752

 

$

41,811

 

796

 

30-Year U.S. Treasury Bond

 

Chicago

 

December 2009

 

$

94,442,785

 

 

878,215

 

   3

 

Long Gilt

 

London

 

December 2009

 

$

574,654

 

 

3,984

 















Total

 

 

 

 

 

 

 

 

 

 

$

924,010

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Financial futures contracts sold as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 











Contracts

 

Issue

 

Expiration
Date

 

Face
Value

 

Unrealized
Depreciation

 











223

 

2-Year U.S. Treasury Bond

 

December 2009

 

$

48,146,881

 

$

(97,775

)

700

 

5-Year U.S. Treasury Bond

 

December 2009

 

$

80,307,272

 

 

(367,728

)













Total

 

 

 

 

 

 

 

 

$

(465,503

)

 

 

 

 

 

 

 

 

 





 

 

Interest rate swaps outstanding as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













4.62% (a)

 

3-month LIBOR

 

Credit Suisse International

 

September 2009

 

USD

50,000

 

$

85,614

 

1.54% (a)

 

3-month LIBOR

 

Goldman Sachs Bank USA

 

August 2011

 

USD

10,200

 

 

49,503

 

1.43% (a)

 

3-month LIBOR

 

Morgan Stanley Capital Services, Inc.

 

August 2011

 

USD

8,700

 

 

18,880

 

4.86% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

October 2012

 

USD

9,400

 

 

808,113

 

2.93% (a)

 

3-month LIBOR

 

Citibank NA

 

June 2014

 

USD

3,300

 

 

33,278

 

2.85% (a)

 

3-month LIBOR

 

Credit Suisse International

 

July 2014

 

USD

9,800

 

 

54,716

 

3.05% (b)

 

3-month LIBOR

 

Credit Suisse International

 

August 2014

 

USD

16,800

 

 

(244,036

)

3.26% (a)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

August 2014

 

USD

3,700

 

 

88,867

 

2.85% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

August 2014

 

USD

600

 

 

(2,917

)

2.22% (a)

 

3-month LIBOR

 

Citibank NA

 

January 2016

 

USD

12,500

 

 

(662,247

)

4.18% (a)

 

3-month LIBOR

 

UBS AG

 

June 2019

 

USD

2,400

 

 

117,739

 

3.97% (a)

 

3-month LIBOR

 

UBS AG

 

June 2019

 

USD

3,500

 

 

108,335

 

3.80% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

June 2019

 

USD

4,900

 

 

84,400

 

3.77% (a)

 

3-month LIBOR

 

Morgan Stanley Capital Services, Inc.

 

July 2019

 

USD

5,000

 

 

70,748

 


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

AUGUST 31, 2009

21




 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













3.48% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

July 2019

 

USD

2,300

 

$

(24,944

)

3.89% (a)

 

3-month LIBOR

 

Citibank NA

 

July 2019

 

USD

20,000

 

 

475,611

 

4.07% (b)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

August 2019

 

USD

7,400

 

 

(287,539

)

4.06% (b)

 

3-month LIBOR

 

Morgan Stanley Capital Services, Inc.

 

August 2019

 

USD

4,800

 

 

(182,207

)

3.73% (a)

 

3-month LIBOR

 

Morgan Stanley Capital Services, Inc.

 

August 2019

 

USD

3,700

 

 

36,666

 

3.71% (a)

 

3-month LIBOR

 

Barclays Bank Plc

 

August 2019

 

USD

4,100

 

 

33,219

 

3.68% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

August 2019

 

USD

8,000

 

 

47,300

 

4.24% (b)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

August 2020

 

USD

1,345

 

 

(41,110

)

4.42% (b)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

August 2020

 

USD

4,410

 

 

(185,455

)

5.41% (a)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

August 2022

 

USD

8,545

 

 

1,415,683

 

5.37% (b)

 

3-month LIBOR

 

Bank of America NA

 

September 2027

 

USD

8,000

 

 

(1,448,154

)

4.84% (b)

 

3-month LIBOR

 

Morgan Stanley Capital Services, Inc.

 

January 2038

 

USD

6,000

 

 

(781,196

)

4.35% (b)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

July 2039

 

USD

3,200

 

 

(152,864

)

4.32% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

August 2039

 

USD

2,200

 

 

(93,568

)

4.13% (b)

 

3-month LIBOR

 

Morgan Stanley Capital Services, Inc.

 

August 2039

 

USD

1,400

 

 

(11,253

)

3.50% (b)

 

3-month LIBOR

 

Barclays Bank Plc

 

March 2040

 

USD

900

 

 

107,793

 















Total

 

 

 

 

 

 

 

 

 

 

$

(481,025

)

 

 

 

 

 

 

 

 

 

 

 





 

 

(a)

Pays floating interest rate and receives fixed rate.

 

 

(b)

Pays fixed interest rate and receives floating rate.

 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













KB Home

 

4.90

%

 

JPMorgan Chase Bank NA

 

September 2011

 

USD

750

 

$

(34,770

)

iStar Financial, Inc.

 

5.00

%

 

Morgan Stanley Capital Services, Inc.

 

September 2011

 

USD

260

 

 

47,452

 

NOVA Chemicals Corp.

 

5.00

%

 

Citibank NA

 

March 2012

 

USD

50

 

 

(1,072

)

Macy’s, Inc.

 

7.50

%

 

Morgan Stanley Capital Services, Inc.

 

June 2012

 

USD

405

 

 

(44,539

)

Macy’s, Inc.

 

8.00

%

 

Morgan Stanley Capital Services, Inc.

 

June 2012

 

USD

145

 

 

(17,822

)

MeadWestvaco Corp.

 

1.20

%

 

Deutsche Bank AG

 

June 2012

 

USD

670

 

 

(7,615

)

NOVA Chemicals Corp.

 

5.00

%

 

JPMorgan Chase Bank NA

 

June 2012

 

USD

65

 

 

(726

)

Knight Inc.

 

1.00

%

 

Morgan Stanley Capital Services, Inc.

 

September 2012

 

USD

190

 

 

(627

)

Belo Corp.

 

5.00

%

 

Barclays Bank Plc

 

June 2013

 

USD

190

 

 

(10,404

)

Masco Corp.

 

5.00

%

 

JPMorgan Chase Bank NA

 

September 2013

 

USD

225

 

 

(9,693

)

Centex Corp.

 

4.37

%

 

Deutsche Bank AG

 

December 2013

 

USD

940

 

 

(138,784

)

Centex Corp.

 

4.40

%

 

JPMorgan Chase Bank NA

 

December 2013

 

USD

550

 

 

(81,879

)

NOVA Chemicals Corp.

 

5.00

%

 

Goldman Sachs Bank USA

 

December 2013

 

USD

300

 

 

(14,372

)

Toll Brothers Finance Corp.

 

2.00

%

 

JPMorgan Chase Bank NA

 

March 2014

 

USD

250

 

 

(9,522

)

Hertz Global Holdings, Inc.

 

5.00

%

 

Goldman Sachs Bank USA

 

March 2014

 

USD

130

 

 

(35,340

)

D.R. Horton, Inc.

 

1.00

%

 

JPMorgan Chase Bank NA

 

March 2014

 

USD

1,040

 

 

(25,853

)

Macy’s, Inc.

 

1.00

%

 

Morgan Stanley Capital Services, Inc.

 

September 2014

 

USD

150

 

 

6,901

 

Brunswick Corp.

 

5.00

%

 

Credit Suisse International

 

September 2014

 

USD

1,250

 

 

17,613

 

Huntsman International LLC

 

5.00

%

 

Goldman Sachs Bank USA

 

December 2014

 

USD

265

 

 

(82,510

)

Energy Future Holdings Corp.

 

5.00

%

 

JPMorgan Chase Bank NA

 

December 2014

 

USD

195

 

 

(14,141

)

Pulte Homes, Inc.

 

3.00

%

 

JPMorgan Chase Bank NA

 

March 2015

 

USD

310

 

 

(20,104

)

Lennar Corp.

 

5.86

%

 

JPMorgan Chase Bank NA

 

June 2015

 

USD

400

 

 

(59,394

)
















Total

 

 

 

 

 

 

 

 

 

 

 

$

(537,201

)

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

Currency Abbreviations:

 

 

 

 

EUR

Euro

 

GBP

British Pound

 

USD

US Dollar


 

 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities


 

 

 

See Notes to Financial Statements.




22

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

 

Schedule of Investments (concluded)

BlackRock Core Bond Trust (BHK)


 

 

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)

The inputs or methodology 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 table summarizes the inputs used as of August 31, 2009 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 









Valuation Inputs

 

Investments in
Securities

 





 

 

Assets

 

Liabilities

 

 

 


 



Level 1

 

 

 

 

 

 

 

Short-Term Securities

 

$

1,735,485

 

 

 

Level 2

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

18,331,312

 

 

 

Corporate Bonds

 

 

193,279,588

 

 

 

Foreign Agency Obligations

 

 

8,697,227

 

 

 

Taxable Municipal Bonds

 

 

7,328,347

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

74,520,856

 

 

 

Preferred Securities

 

 

5,700,394

 

 

 

TBA Sale Commitments

 

 

 

$

(24,813,496

)

U.S. Treasury Obligations

 

 

52,304,491

 

 

 

U.S. Government Sponsored Agency Securities

 

 

87,642,310

 

 

 

 

 







Total Level 2

 

 

447,804,525

 

 

(24,813,496

)

 

 








 

 

 

 

 

 

 

 









Valuation Inputs

 

Investments in
Securities

 





 

 

Assets

 

Liabilities

 

 

 


 



Level 3

 

 

 

 

 

Long Term Investments:

 

 

 

 

 

 

 

Asset-Backed Securities

 

$

1,198,713

 

 

 

Corporate Bonds

 

 

1,488,845

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

1,612,444

 

 

 

Other Interests

 

 

381

 

 

 

U.S. Government Sponsored Agency Securities

 

 

2,690,595

 

 

 

 

 







Total Level 3

 

 

6,990,978

 

 

 

 

 







Total

 

$

456,530,988

 

$

(24,813,496

)

 

 








 

 

 

 

 

 

 

 









Valuation Inputs

 

Other Financial Instruments1

 





 

 

Assets

 

Liabilities

 

 

 


 



Level 1

 

$

924,010

 

$

(465,503

)

Level 2

 

 

8,342,398

 

 

(29,106,561

)

Level 3

 

 

 

 

(226,565

)

 

 







Total

 

$

9,266,408

 

$

(29,798,629

)

 

 








 

 

 

 

1

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

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 





















 

 

Asset-Backed
Securities

 

Corporate
Bonds

 

Non-Agency
Mortgage-Backed
Securities

 

Other
Interests

 

U.S. Government
Sponsored Agency
Securities

 

Total

 





















Balance, as of August 31, 2008

 

 

 

 

 

 

 

$

637

 

 

 

$

637

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

$

38

 

 

 

 

 

 

 

 

38

 

Change in unrealized appreciation (depreciation)2

 

$

79,580

 

 

(363,456

)

$

(54,539

)

 

(256

)

$

150,325

 

 

(188,346

)

Net purchases (sales)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net transfers in/out of Level 3

 

 

1,119,133

 

 

1,852,263

 

 

1,666,983

 

 

 

 

2,540,270

 

 

7,178,649

 

 

 



















Balance, as of August 31, 2009

 

$

1,198,713

 

$

1,488,845

 

$

1,612,444

 

$

381

 

$

2,690,595

 

$

6,990,978

 

 

 




















 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.

The following is a reconciliation of other financial instruments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 






 

 

Other Financial
Instruments3

 





 

 

Liabilities

 

 

 



Balance, as of August 31, 2008

 

 

 

Accrued discounts/premiums

 

 

 

Realized gain (loss)

 

 

 

Change in unrealized appreciation (depreciation)

 

 

 

Net purchases (sales)

 

 

 

Net transfers in/out of Level 3

 

$

(226,565

)

 

 




Balance, as of August 31, 2009

 

$

(226,565

)

 

 





 

 

 

 

3

Other financial instruments are swaps.


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

AUGUST 31, 2009

23



 

 


 

 

Schedule of Investments August 31, 2009

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

 

Shares

 

Value

 








Building Products — 0.7%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

52,793

 

$

2,135,477

 









Capital Markets — 0.4%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

755,000

 

 

1,328,800

 









Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc. (a)

 

 

2,499

 

 

625

 









Communications Equipment — 0.8%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

123,724

 

 

2,553,666

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

109,685

 

 

31,260

 

SunPower Corp. Class B (a)

 

 

573

 

 

12,256

 

 

 

 

 

 




 

 

 

 

 

 

43,516

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (a)

 

 

1,854

 

 

20

 









Media — 0.3%

 

 

 

 

 

 

 

Sirius XM Radio, Inc. (a)

 

 

1,300,000

 

 

875,550

 









Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

186,000

 

 

268,445

 

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

 

 

208,741

 

 

300,306

 

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

 

 

74,936

 

 

17,797

 

Western Forest Products, Inc. (a)

 

 

74,889

 

 

17,786

 

 

 

 

 

 




 

 

 

 

 

 

604,334

 









Software — 0.1%

 

 

 

 

 

 

 

TiVo, Inc. (a)

 

 

50,000

 

 

490,500

 









Wireless Telecommunication Services — 0.0%

 

 

 

 

 

 

 

iPCS, Inc. (a)

 

 

6,881

 

 

108,651

 









Total Common Stocks — 2.5%

 

 

 

 

 

8,141,139

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

 

 

 









Airlines — 1.3%

 

 

 

 

 

 

 

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

 

USD

490

 

 

467,950

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

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

 

 

125

 

 

97,294

 

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

 

 

426

 

 

336,389

 

Series 2003-RJ, 7.88%, 1/02/20

 

 

1,001

 

 

655,789

 

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

 

 

2,620

 

 

2,515,200

 

 

 

 

 

 




 

 

 

 

 

 

4,072,622

 









Auto Components — 1.6%

 

 

 

 

 

 

 

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

 

 

1,065

 

 

958,500

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.86%, 8/15/11

 

 

2,150

 

 

2,139,250

 

8.63%, 12/01/11

 

 

1,107

 

 

1,118,070

 

Lear Corp. (a)(c):

 

 

 

 

 

 

 

8.50%, 12/01/13

 

 

670

 

 

361,800

 

8.75%, 12/01/16

 

 

885

 

 

477,900

 

 

 

 

 

 




 

 

 

 

 

 

5,055,520

 









Automobiles — 0.3%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

1,095

 

 

1,084,050

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 









Building Products — 0.2%

 

 

 

 

 

 

 

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

 

USD

955

 

$

797,425

 









Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

3.43%, 8/31/19 (b)(d)(e)

 

 

356

 

 

608,315

 

12.50%, 11/30/17 (b)(f)

 

 

112

 

 

113,400

 

 

 

 

 

 




 

 

 

 

 

 

721,715

 









Chemicals — 1.9%

 

 

 

 

 

 

 

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

 

 

1,300

 

 

1,173,250

 

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

 

 

1,185

 

 

1,149,450

 

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

 

 

1,845

 

 

1,549,800

 

Olin Corp., 8.88%, 8/15/19

 

 

435

 

 

439,350

 

Terra Capital, Inc., Series B, 7.00%, 2/01/17

 

 

320

 

 

301,600

 

Wellman Holdings, Inc. (d):

 

 

 

 

 

 

 

Second Lien Subordinate Note, 10.00%, 1/29/19 (b)

 

 

1,385

 

 

1,385,000

 

Third Lien Subordinate Note, 5.00%, 1/29/19

 

 

432

 

 

216,201

 

 

 

 

 

 




 

 

 

 

 

 

6,214,651

 









Commercial Banks — 0.1%

 

 

 

 

 

 

 

Glitnir Banki HF (a)(c):

 

 

 

 

 

 

 

4.15%, 4/20/10 (b)

 

 

265

 

 

52,337

 

4.97%, 1/18/12 (b)

 

 

150

 

 

29,625

 

6.38%, 9/25/12 (b)

 

 

740

 

 

146,150

 

Series EMTN, 5.07%, 1/27/10

 

EUR

50

 

 

14,694

 

Series EMTN, 3.00%, 6/30/10

 

 

65

 

 

19,103

 

Series GMTN, 4.38%, 2/05/10

 

 

75

 

 

22,042

 

 

 

 

 

 




 

 

 

 

 

 

283,951

 









Commercial Services & Supplies — 3.9%

 

 

 

 

 

 

 

Altegrity, Inc., 10.50%, 11/01/15 (b)

 

USD

1,000

 

 

827,500

 

ISS Financing, 11.00%, 6/15/14

 

EUR

413

 

 

608,363

 

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

 

USD

870

 

 

909,150

 

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

 

 

1,275

 

 

1,306,875

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

4,425

 

 

4,380,750

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

1,000

 

 

922,500

 

11.00%, 10/15/16

 

 

3,960

 

 

3,653,100

 

 

 

 

 

 




 

 

 

 

 

 

12,608,238

 









Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Dycom Industries, Inc., 8.13%, 10/15/15

 

 

2,625

 

 

2,283,750

 









Construction Materials — 1.3%

 

 

 

 

 

 

 

Nortek, Inc., 10.00%, 12/01/13

 

 

3,280

 

 

3,050,400

 

Texas Industries, Inc., 7.25%, 7/15/13

 

 

1,160

 

 

1,084,600

 

 

 

 

 

 




 

 

 

 

 

 

4,135,000

 









Consumer Finance — 0.2%

 

 

 

 

 

 

 

Ford Motor Credit Co., LLC:

 

 

 

 

 

 

 

3.26%, 1/13/12 (g)

 

 

310

 

 

258,075

 

7.80%, 6/01/12

 

 

300

 

 

277,514

 

8.00%, 12/15/16

 

 

270

 

 

236,559

 

 

 

 

 

 




 

 

 

 

 

 

772,148

 









Containers & Packaging — 4.0%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 4.50%, 9/15/14 (g)

 

 

2,530

 

 

1,821,600

 

Crown European Holdings SA, 6.25%, 9/01/11

 

EUR

113

 

 

161,998

 

Graphic Packaging International, Inc.:

 

 

 

 

 

 

 

8.50%, 8/15/11

 

USD

795

 

 

793,012

 

9.50%, 8/15/13

 

 

95

 

 

95,237

 

9.50%, 6/15/17 (b)

 

 

1,605

 

 

1,645,125

 

Impress Holdings BV, 3.63%, 9/15/13 (b)(g)

 

 

620

 

 

566,525

 


 

 

 

See Notes to Financial Statements.




24

ANNUAL REPORT

AUGUST 31, 2009




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 







Containers & Packaging (concluded)

 

 

 

 

 

 

 

Owens Brockway Glass Container, Inc.:

 

 

 

 

 

 

 

8.25%, 5/15/13

 

USD

1,500

 

$

1,515,000

 

6.75%, 12/01/14

 

EUR

233

 

 

324,010

 

Packaging Dynamics Finance Corp., 10.00%, 5/01/16 (b)

 

USD

2,020

 

 

646,400

 

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

 

 

1,765

 

 

1,588,500

 

Rock-Tenn Co., 8.20%, 8/15/11

 

 

2,950

 

 

3,038,500

 

Solo Cup Co., 10.50%, 11/01/13 (b)

 

 

710

 

 

745,500

 

 

 

 

 

 




 

 

 

 

 

 

12,941,407

 









Diversified Consumer Services — 1.3%

 

 

 

 

 

 

 

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

 

 

4,425

 

 

4,137,375

 









Diversified Financial Services — 7.4%

 

 

 

 

 

 

 

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

 

 

770

 

 

804,650

 

Bank of America Corp., 5.65%, 5/01/18

 

 

1,200

 

 

1,160,332

 

CIT Group, Inc.:

 

 

 

 

 

 

 

0.76%, 3/12/10

 

 

200

 

 

125,000

 

5.20%, 11/03/10

 

 

215

 

 

129,312

 

4.75%, 12/15/10

 

 

275

 

 

166,533

 

5.00%, 2/01/15

 

 

1,590

 

 

894,782

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.88%, 2/15/11

 

GBP

1,000

 

 

1,522,132

 

7.13%, 1/16/12

 

EUR

4,250

 

 

5,514,021

 

7.13%, 1/15/13

 

 

1,300

 

 

1,630,731

 

Series JD, 2.12%, 9/30/09 (g)

 

 

400

 

 

568,426

 

GMAC, LLC (b):

 

 

 

 

 

 

 

6.88%, 9/15/11

 

USD

800

 

 

738,000

 

7.25%, 3/02/11

 

 

1,869

 

 

1,754,524

 

6.88%, 8/28/12

 

 

1,120

 

 

974,400

 

2.56%, 12/01/14 (g)

 

 

1,322

 

 

1,017,940

 

6.75%, 12/01/14

 

 

2,670

 

 

2,189,400

 

8.00%, 11/01/31

 

 

2,770

 

 

2,139,825

 

General Motors Acceptance Corp. of Canada Ltd., 6.00%, 5/25/10

 

CAD

400

 

 

354,792

 

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

 

USD

2,000

 

 

1,960,000

 

 

 

 

 

 




 

 

 

 

 

 

23,644,800

 









Diversified Telecommunication Services — 5.2%

 

 

 

 

 

 

 

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

 

 

1,530

 

 

1,315,800

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

355

 

 

344,350

 

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

 

 

2,120

 

 

2,151,800

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

2,990

 

 

2,885,350

 

3.50%, 11/15/25 (d)

 

 

995

 

 

985,050

 

Series B, 7.50%, 2/15/14

 

 

2,715

 

 

2,619,975

 

Qwest Corp.:

 

 

 

 

 

 

 

3.88%, 6/15/13 (g)

 

 

2,150

 

 

1,988,750

 

7.63%, 6/15/15

 

 

850

 

 

843,625

 

8.38%, 5/01/16 (b)

 

 

600

 

 

606,000

 

Windstream Corp., 8.13%, 8/01/13

 

 

2,790

 

 

2,790,000

 

 

 

 

 

 




 

 

 

 

 

 

16,530,700

 









Electric Utilities — 1.1%

 

 

 

 

 

 

 

NSG Holdings LLC, 7.75%, 12/15/25 (b)

 

 

1,530

 

 

1,277,550

 

Tenaska Alabama Partners LP, 7.00%, 6/30/21 (b)

 

 

2,768

 

 

2,404,128

 

 

 

 

 

 




 

 

 

 

 

 

3,681,678

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

UCAR Finance, Inc., 10.25%, 2/15/12

 

 

92

 

 

89,355

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 









Electronic Equipment, Instruments & Components — 0.2%

 

 

 

 

 

 

 

Jabil Circuit, Inc., 7.75%, 7/15/16

 

USD

440

 

$

432,850

 

Sanmina-SCI Corp., 8.13%, 3/01/16

 

 

375

 

 

323,437

 

 

 

 

 

 




 

 

 

 

 

 

756,287

 









Energy Equipment & Services — 0.7%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

305

 

 

289,750

 

7.75%, 5/15/17

 

 

470

 

 

444,150

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

550

 

 

506,000

 

Transocean, Inc., Series A, 1.63%, 12/15/37 (d)

 

 

1,150

 

 

1,118,375

 

 

 

 

 

 




 

 

 

 

 

 

2,358,275

 









Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

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

 

 

1,225

 

 

796,250

 

Duane Reade, Inc., 11.75%, 8/01/15 (b)

 

 

250

 

 

252,500

 

Rite Aid Corp., 9.75%, 6/12/16

 

 

615

 

 

650,363

 

 

 

 

 

 




 

 

 

 

 

 

1,699,113

 









Food Products — 0.5%

 

 

 

 

 

 

 

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

 

 

1,210

 

 

1,234,200

 

Tyson Foods, Inc., 10.50%, 3/01/14

 

 

475

 

 

529,625

 

 

 

 

 

 




 

 

 

 

 

 

1,763,825

 









Health Care Equipment & Supplies — 2.3%

 

 

 

 

 

 

 

Catalent Pharma Solutions, Inc., 9.50%, 4/15/15 (f)

 

 

1,500

 

 

1,237,500

 

DJO Finance LLC, 10.88%, 11/15/14 (h)

 

 

4,010

 

 

3,849,600

 

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

 

 

2,900

 

 

2,341,750

 

 

 

 

 

 




 

 

 

 

 

 

7,428,850

 









Health Care Providers & Services — 0.8%

 

 

 

 

 

 

 

Community Health Systems, Inc., Series WI, 8.88%, 7/15/15

 

 

275

 

 

276,031

 

Tenet Healthcare Corp. (b):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

1,602

 

 

1,642,050

 

10.00%, 5/01/18

 

 

662

 

 

713,305

 

 

 

 

 

 




 

 

 

 

 

 

2,631,386

 









Hotels, Restaurants & Leisure — 4.6%

 

 

 

 

 

 

 

American Real Estate Partners LP, 7.13%, 2/15/13

 

 

4,430

 

 

4,208,500

 

Gaylord Entertainment Co., 8.00%, 11/15/13

 

 

945

 

 

862,312

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (a)(b)(c)

 

 

832

 

 

178,880

 

Harrah’s Operating Co. Inc., 10.00%, 12/15/18 (b)

 

 

1,394

 

 

975,800

 

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

 

 

2,450

 

 

1,078,000

 

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

 

 

1,855

 

 

816,200

 

MGM Mirage, 11.13%, 11/15/17 (b)

 

 

1,220

 

 

1,320,650

 

Penn National Gaming, Inc., 6.88%, 12/01/11

 

 

2,950

 

 

2,950,000

 

San Pasqual Casino, 8.00%, 9/15/13 (b)

 

 

1,525

 

 

1,441,125

 

Scientific Games Corp., 0.75%, 12/01/24 (d)(i)

 

 

420

 

 

411,075

 

Shingle Springs Tribal Gaming Authority, 9.38%, 6/15/15 (b)

 

 

70

 

 

49,700

 

Travelport LLC:

 

 

 

 

 

 

 

4.99%, 9/01/14 (g)

 

 

210

 

 

152,250

 

9.88%, 9/01/14

 

 

310

 

 

262,725

 

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

 

 

475

 

 

297

 

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

 

 

1,435

 

 

147,087

 

 

 

 

 

 




 

 

 

 

 

 

14,854,601

 










 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

AUGUST 31, 2009

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

 









Household Durables — 1.9%

 

 

 

 

 

 

 

American Greetings Corp., 7.38%, 6/01/16

 

USD

1,525

 

$

1,303,875

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

8.38%, 4/15/12

 

 

1,350

 

 

1,019,250

 

8.13%, 6/15/16

 

 

195

 

 

120,900

 

4.63%, 6/15/24 (d)

 

 

195

 

 

160,875

 

Jarden Corp., 8.00%, 5/01/16

 

 

400

 

 

410,000

 

KB Home:

 

 

 

 

 

 

 

6.38%, 8/15/11

 

 

45

 

 

44,550

 

9.10%, 9/15/17

 

 

500

 

 

510,000

 

Meritage Homes Corp., 6.25%, 3/15/15

 

 

375

 

 

322,500

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

775

 

 

608,375

 

7.00%, 8/15/15

 

 

1,400

 

 

1,099,000

 

Toll Brothers Finance Corp., 8.91%, 10/15/17

 

 

346

 

 

385,221

 

 

 

 

 

 




 

 

 

 

 

 

5,984,546

 









IT Services — 1.8%

 

 

 

 

 

 

 

Alliance Data Systems Corp., 1.75%, 8/01/13 (d)

 

 

2,120

 

 

1,886,800

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

250

 

 

213,750

 

11.25%, 3/31/16 (b)

 

 

3,640

 

 

2,784,600

 

SunGard Data Systems, Inc., 10.63%, 5/15/15 (b)

 

 

850

 

 

877,625

 

 

 

 

 

 




 

 

 

 

 

 

5,762,775

 









Independent Power Producers & Energy Traders — 3.5%

 

 

 

 

 

 

 

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

 

 

1,210

 

 

1,228,150

 

AES Eastern Energy LP, Series 99-B, 9.67%, 1/02/29

 

 

910

 

 

782,600

 

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

 

 

1,440

 

 

1,432,800

 

Energy Future Holdings Corp., 11.25%, 11/01/17 (f)

 

 

5,512

 

 

3,155,058

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

2,325

 

 

2,261,062

 

7.38%, 2/01/16

 

 

1,575

 

 

1,506,094

 

Texas Competitive Electric Holdings Co. LLC, 10.50%, 11/01/16 (f)

 

 

1,584

 

 

879,177

 

 

 

 

 

 




 

 

 

 

 

 

11,244,941

 









Industrial Conglomerates — 1.7%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

3,750

 

 

2,362,500

 

13.50%, 12/01/15 (f)

 

 

5,608

 

 

2,929,931

 

 

 

 

 

 




 

 

 

 

 

 

5,292,431

 









Insurance — 1.0%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,281,250

 

USI Holdings Corp., 4.32%, 11/15/14 (b)(g)

 

 

1,000

 

 

772,500

 

 

 

 

 

 




 

 

 

 

 

 

3,053,750

 









Leisure Equipment & Products — 0.6%

 

 

 

 

 

 

 

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

 

 

1,695

 

 

1,775,512

 









Life Sciences Tools & Services — 0.1%

 

 

 

 

 

 

 

Bio-Rad Laboratories, Inc., 8.00%, 9/15/16 (b)

 

 

250

 

 

255,000

 









Machinery — 0.9%

 

 

 

 

 

 

 

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

 

 

1,890

 

 

1,493,100

 

Accuride Corp., 8.50% due 2/01/2015 (a)(c)

 

 

820

 

 

164,000

 

CPM Holdings, Inc., 10.63%, 9/01/14 (b)

 

 

200

 

 

202,000

 

RBS Global, Inc.:

 

 

 

 

 

 

 

9.50%, 8/01/14 (b)

 

 

324

 

 

298,080

 

8.88%, 9/01/16

 

 

725

 

 

581,812

 

 

 

 

 

 




 

 

 

 

 

 

2,738,992

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 









Marine — 0.6%

 

 

 

 

 

 

 

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

 

USD

1,710

 

$

1,244,025

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

691

 

 

604,625

 

 

 

 

 

 




 

 

 

 

 

 

1,848,650

 









Media — 9.9%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

 

2,065

 

 

2,052,094

 

10.13%, 10/15/13 (b)

 

 

555

 

 

551,531

 

CCO Holdings LLC, 8.75%, 11/15/13

 

 

780

 

 

787,800

 

CMP Susquehanna Corp., 4.75%, 5/15/14 (b)

 

 

236

 

 

4,720

 

CSC Holdings, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/14 (b)

 

 

580

 

 

588,700

 

Series B, 7.63%, 4/01/11

 

 

340

 

 

344,250

 

Cablevision Systems Corp., Series B, 8.00%, 4/15/12

 

 

1,570

 

 

1,605,325

 

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

 

 

3,155

 

 

3,068,237

 

Charter Communications Holdings II, LLC, 10.25%, 9/15/10 (a)(c)

 

 

735

 

 

816,769

 

Charter Communications, Inc., 6.50%, 10/01/27 (a)(c)(d)

 

 

730

 

 

313,900

 

Charter Communications Operating, LLC (a)(b)(c):

 

 

 

 

 

 

 

8.00%, 4/30/12 (j)

 

 

700

 

 

705,250

 

8.38%, 4/30/14

 

 

1,050

 

 

1,063,125

 

Clear Channel Communications, Inc.:

 

 

 

 

 

 

 

5.75%, 1/15/13

 

 

110

 

 

42,900

 

11.00%, 8/01/16 (f)

 

 

1,935

 

 

483,750

 

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

 

 

140

 

 

137,200

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (g)

 

 

510

 

 

364,650

 

9.50%, 5/15/15 (b)

 

 

620

 

 

527,000

 

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

 

 

2,640

 

 

2,673,000

 

Intelsat Subsidiary Holding Co. Ltd., 8.88%, 1/15/15 (b)

 

 

390

 

 

390,975

 

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

 

 

1,616

 

 

1,551,360

 

Local Insight Regatta Holdings, Inc., 11.00%, 12/01/17 (g)

 

 

1,052

 

 

399,760

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

35

 

 

7,087

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

140

 

 

138,950

 

10.00%, 8/01/14

 

 

2,685

 

 

2,537,325

 

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

 

 

2,432

 

 

2,541,440

 

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

 

 

6,100

 

 

5,551,000

 

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

 

 

800

 

 

809,000

 

Virgin Media, Inc., 6.50%, 11/15/16 (b)(d)

 

 

1,770

 

 

1,604,063

 

 

 

 

 

 




 

 

 

 

 

 

31,661,161

 









Metals & Mining — 5.0%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

1,495

 

 

3,738

 

10.00%, 12/15/16

 

 

1,300

 

 

3,250

 

Anglo American Capital Plc, 9.38%, 4/08/19 (b)

 

 

540

 

 

631,800

 

Drummond Co., Inc., 7.38%, 2/15/16 (b)

 

 

335

 

 

294,800

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

790

 

 

833,450

 

10.63%, 9/01/16

 

 

1,910

 

 

2,053,250

 

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

 

 

2,925

 

 

2,851,875

 

Freeport-McMoRan Copper & Gold, Inc., 8.38%, 4/01/17

 

 

1,410

 

 

1,469,925

 


 

 

 

See Notes to Financial Statements.




26

ANNUAL REPORT

AUGUST 31, 2009




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 









Metals & Mining (concluded)

 

 

 

 

 

 

 

Novelis, Inc.:

 

 

 

 

 

 

 

7.25%, 2/15/15

 

USD

2,975

 

$

2,409,750

 

11.50%, 2/15/15 (b)

 

 

640

 

 

619,200

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.86%, 11/01/14 (g)

 

 

600

 

 

510,000

 

12.00%, 11/01/15

 

 

400

 

 

368,000

 

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

 

 

680

 

 

668,100

 

Teck Resources Ltd.:

 

 

 

 

 

 

 

10.25%, 5/15/16

 

 

445

 

 

491,725

 

10.75%, 5/15/19

 

 

1,720

 

 

1,958,650

 

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

 

 

950

 

 

893,000

 

 

 

 

 

 




 

 

 

 

 

 

16,060,513

 









Multiline Retail — 0.5%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

425

 

 

471,750

 

11.88%, 7/15/17 (f)

 

 

285

 

 

319,912

 

Macy’s Retail Holdings, Inc., 5.88%, 1/15/13

 

 

710

 

 

669,470

 

 

 

 

 

 




 

 

 

 

 

 

1,461,132

 









Oil, Gas & Consumable Fuels — 8.4%

 

 

 

 

 

 

 

Arch Coal, Inc., 8.75%, 8/01/16 (b)

 

 

465

 

 

465,000

 

Atlas Energy Operating Co. LLC, 12.13%, 8/01/17

 

 

680

 

 

717,400

 

Atlas Energy Resources LLC, 10.75%, 2/01/18 (b)

 

 

1,580

 

 

1,595,800

 

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

 

 

750

 

 

667,500

 

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

 

 

360

 

 

374,400

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

9.50%, 2/15/15

 

 

785

 

 

800,700

 

7.25%, 12/15/18

 

 

1,525

 

 

1,395,375

 

2.25%, 12/15/38 (d)

 

 

1,200

 

 

805,500

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

260

 

 

263,900

 

10.25%, 12/15/15

 

 

1,695

 

 

1,194,975

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

3,895

 

 

3,817,100

 

Encore Acquisition Co., 6.25%, 4/15/14

 

 

3,000

 

 

2,670,000

 

Forest Oil Corp., 7.25%, 6/15/19

 

 

3,570

 

 

3,355,800

 

Massey Energy Co., 3.25%, 8/01/15 (d)

 

 

1,875

 

 

1,401,563

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

2,295

 

 

1,491,750

 

PetroHawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14 (b)

 

 

835

 

 

893,450

 

7.88%, 6/01/15

 

 

695

 

 

674,150

 

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

 

 

600

 

 

612,000

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

555

 

 

449,550

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

8.63%, 4/01/15 (f)

 

 

130

 

 

122,200

 

9.88%, 5/15/16 (b)

 

 

800

 

 

800,000

 

8.00%, 6/01/18 (b)

 

 

1,475

 

 

1,334,875

 

Teekay Shipping Corp., 8.88%, 7/15/11

 

 

1,000

 

 

995,000

 

 

 

 

 

 




 

 

 

 

 

 

26,897,988

 









Paper & Forest Products — 3.1%

 

 

 

 

 

 

 

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

 

 

1,605

 

 

636,159

 

Clearwater Paper Corp., 10.63%, 6/15/16 (b)

 

 

585

 

 

626,681

 

Georgia-Pacific Corp., 8.13%, 5/15/11

 

 

225

 

 

231,187

 

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

 

 

2,395

 

 

2,418,950

 

International Paper Co., 9.38%, 5/15/19

 

 

775

 

 

870,872

 

NewPage Corp., 10.00%, 5/01/12

 

 

3,930

 

 

2,132,025

 

Norske Skog Canada Ltd., Series D, 8.63%, 6/15/11

 

 

1,315

 

 

769,275

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14 (b)

 

 

500

 

 

490,000

 

Series B, 4.23%, 8/01/14 (g)

 

 

420

 

 

235,200

 

Series B, 9.13%, 8/01/14

 

 

2,275

 

 

1,484,437

 

 

 

 

 

 




 

 

 

 

 

 

9,894,786

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 









Pharmaceuticals — 0.9%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.11%, 12/01/13 (g)

 

USD

2,305

 

$

1,936,200

 

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

 

 

140

 

 

135,100

 

Valeant Pharmaceuticals International, 8.38%, 6/15/16 (b)

 

 

815

 

 

827,225

 

 

 

 

 

 




 

 

 

 

 

 

2,898,525

 









Real Estate Investment Trusts (REITs) — 0.5%

 

 

 

 

 

 

 

FelCor Lodging LP, 8.50%, 6/01/11

 

 

190

 

 

178,125

 

HCP, Inc., 5.65%, 12/15/13

 

 

660

 

 

635,870

 

iStar Financial, Inc., Series B, 5.13%, 4/01/11

 

 

350

 

 

189,000

 

Rouse Co. LP, 5.38%, 11/26/13 (a)(c)

 

 

615

 

 

464,325

 

 

 

 

 

 




 

 

 

 

 

 

1,467,320

 









Real Estate Management & Development — 1.3%

 

 

 

 

 

 

 

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

 

 

3,900

 

 

2,447,250

 

Realogy Corp.:

 

 

 

 

 

 

 

10.50%, 4/15/14

 

 

835

 

 

496,825

 

12.38%, 4/15/15

 

 

3,084

 

 

1,249,020

 

 

 

 

 

 




 

 

 

 

 

 

4,193,095

 









Semiconductors & Semiconductor Equipment — 0.6%

 

 

 

 

 

 

 

Spansion, Inc. (a)(b)(c):

 

 

 

 

 

 

 

3.79%, 6/01/13

 

 

1,800

 

 

1,597,500

 

2.25%, 6/15/16 (d)

 

 

930

 

 

167,400

 

 

 

 

 

 




 

 

 

 

 

 

1,764,900

 









Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.35%, 2/15/12 (b)(f)(g)

 

 

641

 

 

10,287

 









Specialty Retail — 2.9%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 7.63%, 3/15/17

 

 

520

 

 

426,400

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

6.40%, 3/15/14 (g)

 

 

2,610

 

 

2,296,800

 

10.75%, 3/15/15

 

 

1,900

 

 

1,795,500

 

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

 

 

1,570

 

 

1,112,738

 

Limited Brands, Inc., 8.50%, 6/15/19 (b)

 

 

1,170

 

 

1,185,246

 

Michaels Stores, Inc., 11.38%, 11/01/16

 

 

1,090

 

 

937,400

 

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

 

 

1,675

 

 

1,474,000

 

 

 

 

 

 




 

 

 

 

 

 

9,228,084

 









Textiles, Apparel & Luxury Goods — 1.1%

 

 

 

 

 

 

 

Levi Strauss & Co., 8.63%, 4/01/13

 

EUR

1,350

 

 

1,848,281

 

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

 

USD

2,600

 

 

1,651,000

 

 

 

 

 

 




 

 

 

 

 

 

3,499,281

 









Thrifts & Mortgage Finance — 0.7%

 

 

 

 

 

 

 

Residential Capital Corp., 8.38%, 6/30/10

 

 

3,215

 

 

2,073,675

 









Wireless Telecommunication Services — 6.2%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.38%, 11/01/14

 

 

3,730

 

 

3,515,525

 

10.00%, 7/15/15

 

 

1,320

 

 

1,277,100

 

Crown Castle International Corp., 9.00%, 1/15/15

 

 

335

 

 

348,400

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

2,020

 

 

1,802,850

 

9.13%, 1/15/15 (f)

 

 

2,987

 

 

2,632,294

 

FiberTower Corp., 9.00%, 11/15/12 (d)

 

 

1,055

 

 

545,962

 

iPCS, Inc., 2.61%, 5/01/13 (g)

 

 

1,200

 

 

984,000

 

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

 

 

2,995

 

 

2,938,844

 

NII Holdings, Inc., 2.75%, 8/15/25 (d)

 

 

1,480

 

 

1,441,150

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

2,630

 

 

2,353,850

 

Series F, 5.95%, 3/15/14

 

 

160

 

 

134,400

 


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

AUGUST 31, 2009

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

 









Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

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

 

USD

365

 

$

328,500

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

7.63%, 1/30/11

 

 

1,210

 

 

1,211,512

 

6.88%, 11/15/28

 

 

260

 

 

189,150

 

 

 

 

 

 




 

 

 

 

 

 

19,703,537

 









Total Corporate Bonds — 93.5%

 

 

 

 

 

299,317,603

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

 

 

 

 

 









Auto Components — 3.0%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan, 3.03%, 8/07/14

 

 

2,110

 

 

1,801,485

 

Dana Holding Corp., Term Advance, 7.25%, 1/31/15

 

 

2,851

 

 

2,183,013

 

Delphi Corp. (a)(c):

 

 

 

 

 

 

 

Initial Tranche Term Loan C, 10.50%, 12/31/09

 

 

9,436

 

 

5,189,914

 

Subsequent Tranche Term Loan C, 9.50%, 12/31/09

 

 

969

 

 

532,836

 

 

 

 

 

 




 

 

 

 

 

 

9,707,248

 









Building Products — 1.3%

 

 

 

 

 

 

 

CPG International, I Inc., Term Loan, 5.27%, 2/28/11

 

 

4,554

 

 

4,098,392

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

Marsico Parent Co., LLC, Term Loan, 4.81%, 12/15/14

 

 

924

 

 

397,499

 









Chemicals — 1.4%

 

 

 

 

 

 

 

PQ Corp. (fka Niagara Acquisition, Inc.):

 

 

 

 

 

 

 

Loan (Second Lien), 6.77%, 7/30/15

 

 

5,500

 

 

3,025,000

 

Term Loan (First Lien), 3.52% – 3.75%, 7/31/14

 

 

990

 

 

815,925

 

Solutia Inc., Loan, 7.25%, 2/28/14

 

 

634

 

 

627,805

 

 

 

 

 

 




 

 

 

 

 

 

4,468,730

 









Diversified Telecommunication Services — 2.2%

 

 

 

 

 

 

 

Wind Finance SL SA, Euro Facility (Second Lien), 7.25%, 12/17/14

 

EUR

4,908

 

 

7,056,545

 









Food & Staples Retailing — 0.6%

 

 

 

 

 

 

 

Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/04/15

 

USD

1,900

 

 

1,966,500

 









Health Care Providers & Services — 2.0%

 

 

 

 

 

 

 

HCA Inc., Tranche A-1 Term Loan, 2.10%, 11/17/12

 

 

5,447

 

 

5,085,366

 

Rotech Healthcare Inc., Term Loan, 6.26%, 9/26/11

 

 

2,646

 

 

1,270,306

 

 

 

 

 

 




 

 

 

 

 

 

6,355,672

 









Hotels, Restaurants & Leisure — 0.8%

 

 

 

 

 

 

 

Travelport LLC (fka Travelport Inc.), Loan, 8.49%, 3/27/12

 

 

4,544

 

 

2,544,788

 









IT Services — 0.1%

 

 

 

 

 

 

 

First Data Corp., Initial Tranche B-1 Term Loan, 3.01% – 3.02%, 9/24/14

 

 

349

 

 

290,854

 









Independent Power Producers & Energy Traders — 1.8%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.78% – 3.79%, 10/10/14

 

 

326

 

 

247,649

 

Initial Tranche B-2 Term Loan, 3.78%, 10/10/14

 

 

1,875

 

 

1,425,219

 

Initial Tranche B-3 Term Loan, 3.78%, 10/10/14

 

 

5,404

 

 

4,089,482

 

 

 

 

 

 




 

 

 

 

 

 

5,762,350

 










 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

Par 
(000)

 

Value

 









Machinery — 1.1%

 

 

 

 

 

 

 

Navistar Financial Corp., Tranche A Term Loan, 2.31%, 1/19/10

 

USD

750

 

$

727,500

 

Navistar International Corp.:

 

 

 

 

 

 

 

Revolving Credit-Linked Deposit, 3.36% – 3.51%, 1/19/12

 

 

795

 

 

739,350

 

Term Advance, 3.51%, 1/19/12

 

 

2,185

 

 

2,032,050

 

 

 

 

 

 




 

 

 

 

 

 

3,498,900

 









Media — 3.1%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Loan, 8.27%, 3/01/12

 

 

681

 

 

595,851

 

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

 

 

2,475

 

 

2,376,000

 

HMH Publishing Co., Ltd. (fka Education Media):

 

 

 

 

 

 

 

Mezzanine, 17.50%, 11/14/14

 

 

9,615

 

 

1,442,193

 

Tranche A Term Loan, 5.26%, 6/12/14

 

 

3,756

 

 

2,906,313

 

NV Broadcasting, LLC:

 

 

 

 

 

 

 

Second Lien, 11.63%, 11/03/14 (a)(c)

 

 

1,750

 

 

17,500

 

Term Loan (Debtor in Possession), 13%, 7/14/12

 

 

100

 

 

99,000

 

Newsday, LLC, Fixed Rate Term Loan, 9.75%, 8/01/13

 

 

1,200

 

 

1,221,000

 

World Color Press Inc. and World Color (USA) Corp. (fka Quebecor World Inc.), Advance, 9.00%, 7/23/12

 

 

700

 

 

694,750

 

Virgin Media Investment Holdings Ltd., C Facility, 3.62%, 7/17/13

 

GBP

455

 

 

651,831

 

 

 

 

 

 




 

 

 

 

 

 

10,004,438

 









Multiline Retail — 0.1%

 

 

 

 

 

 

 

The Neiman Marcus Group Inc., Term Loan, 2.28% – 2.63%, 4/06/13

 

USD

190

 

 

156,411

 









Oil, Gas & Consumable Fuels — 0.7%

 

 

 

 

 

 

 

Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18

 

 

3,374

 

 

2,361,997

 









Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

NewPage Corp., Term Loan, 8.69%, 12/22/14

 

 

487

 

 

451,459

 

Verso Paper Finance Holdings LLC, Loan, 6.73% – 7.48%, 2/01/13

 

 

1,827

 

 

365,369

 

 

 

 

 

 




 

 

 

 

 

 

816,828

 









Real Estate Management & Development — 0.2%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Initial Term B Loan, 3.28%, 10/10/13

 

 

595

 

 

453,813

 

Synthetic LC, 0.11%, 10/10/13

 

 

189

 

 

143,707

 

 

 

 

 

 




 

 

 

 

 

 

597,520

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores, Term Loan B, 5.27%, 5/29/14

 

 

420

 

 

273,600

 









Total Floating Rate Loan Interests — 18.9%

 

 

 

 

 

60,358,272

 










 

 

 

See Notes to Financial Statements.




28

ANNUAL REPORT

AUGUST 31, 2009




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Other Interests (k)

 

Beneficial
Interest
(000)

 

Value

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc.

 

USD

970

 

$

97

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

1,250

 

 

125

 

Adelphia Recovery Trust

 

 

1,568

 

 

6,271

 

 

 

 

 

 




 

 

 

 

 

 

6,396

 









Total Other Interests — 0.0%

 

 

 

 

 

6,493

 









 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Preferred Stocks

 

 

Shares

 

 

 

 









Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

Preferred Blocker, Inc., 7% (b)

 

 

880

 

 

409,393

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp., 0% (a)(b)(g)

 

 

55,038

 

 

1

 









Total Preferred Stocks — 0.2%

 

 

 

 

 

409,394

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants (l)

 

 

 

 

 

 

 









Containers & Packaging — 0.0%

 

 

 

 

 

 

 

MDP Acquisitions Plc (expires 10/01/13)

 

 

1,100

 

 

45,439

 









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

 









Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

2

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

45,449

 









Total Long-Term Investments
(Cost — $426,047,168) — 115.1%

 

 

 

 

 

368,278,350

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempFund, 0.22% (m)(n)

 

 

2,197,091

 

 

2,197,091

 









Total Short-Term Securities
(Cost — $2,197,091) — 0.7%

 

 

 

 

 

2,197,091

 









Total Investments (Cost — $428,244,259*) — 115.8%

 

 

 

 

 

370,475,441

 

Liabilities in Excess of Other Assets — (15.8)%

 

 

 

 

 

(50,430,562

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

320,044,879

 

 

 

 

 

 





 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

431,225,690

 

 

 




Gross unrealized appreciation

 

$

11,405,773

 

Gross unrealized depreciation

 

 

(72,156,022

)

 

 




Net unrealized depreciation

 

$

(60,750,249

)

 

 





 

 

(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)

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

 

 

(d)

Convertible security.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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

 

 

(h)

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

 

 

(i)

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.

 

 

(j)

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

 

 

(k)

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

 

 

(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.

 

 

(m)

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


 

 

 

 

 

 

 

 









Affiliate

 

Net
Activity

 

Income

 







BlackRock Liquidity Funds, TempFund

 

USD

2,197,091

 

$

4,762

 

BlackRock Liquidity Series, LLC Cash Sweep Series

 

USD 

(6,347,441

)

$

27,186

 










 

 

(n)

Represents the current yield as of report date.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report which may combine industry sub-classifications for reporting ease.


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

AUGUST 31, 2009

29



 

 


 

Schedule of Investments (continued)

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


 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













Black & Decker

 

2.93

%

 

Goldman Sachs Bank USA

 

March 2014

 

USD

900

 

$

(52,828

)

Louisiana-Pacific Corp.

 

5.00

%

 

JPMorgan Chase Bank NA

 

March 2014

 

USD

1,000

 

 

(190,670

)

Macy’s, Inc.

 

8.05

%

 

Goldman Sachs Bank USA

 

March 2014

 

USD

900

 

 

(169,035

)

Masco Corp.

 

5.85

%

 

Goldman Sachs Bank USA

 

March 2014

 

USD

1,200

 

 

(158,735

)

Mohawk Industries, Inc.

 

4.70

%

 

Goldman Sachs Bank USA

 

March 2014

 

USD

1,200

 

 

(131,379

)

Tyson Foods Inc.

 

4.25

%

 

Goldman Sachs Bank USA

 

March 2014

 

USD

700

 

 

(65,298

)

Centex Corp.

 

1.00

%

 

Deutsche Bank AG

 

June 2014

 

USD

375

 

 

(12,802

)

First Data Corp.

 

5.00

%

 

Credit Suisse International

 

June 2014

 

USD

400

 

 

(35,086

)

Lennar Corp.

 

5.75

%

 

JPMorgan Chase Bank NA

 

June 2014

 

USD

400

 

 

(48,124

)

Standard Pacific Corp.

 

5.00

%

 

JPMorgan Chase Bank NA

 

June 2014

 

USD

775

 

 

(2,838

)

Brunswick Corp.

 

5.00

%

 

Goldman Sachs Bank USA

 

September 2014

 

USD

745

 

 

4,202

 

Limited Brands, Inc.

 

1.00

%

 

Goldman Sachs Bank USA

 

September 2014

 

USD

1,500

 

 

15,967

 

Limited Brands, Inc.

 

1.00

%

 

JPMorgan Chase Bank NA

 

September 2014

 

USD

100

 

 

1,143

 

Pulte Homes, Inc.

 

1.00

%

 

JPMorgan Chase Bank NA

 

September 2014

 

USD

550

 

 

8,734

 

Standard Pacific Corp.

 

5.00

%

 

Credit Suisse International

 

September 2014

 

USD

860

 

 

34,292

 

Centex Corp.

 

1.00

%

 

Deutsche Bank AG

 

September 2014

 

USD

275

 

 

(2,201

)

Meritage Homes Corp.

 

5.00

%

 

Credit Suisse International

 

June 2015

 

USD

375

 

 

(15,302

)
















Total

 

 

 

 

 

 

 

 

 

 

 

$

(819,960

)

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 















Ford Motor Co.

 

3.80

%

 

UBS AG

 

March 2010

 

CCC–

 

USD

1,480

 

$

(47,548

)

Ford Motor Co.

 

5.00

%

 

Goldman Sachs Bank USA

 

June 2010

 

CCC–

 

USD

5,920

 

 

(216,262

)

Beazer Homes USA, Inc.

 

5.00

%

 

Credit Suisse International

 

June 2011

 

D

 

USD

225

 

 

3,622

 

Beazer Homes USA, Inc.

 

5.00

%

 

JPMorgan Chase Bank NA

 

September 2011

 

D

 

USD

150

 

 

975

 

Beazer Homes USA, Inc.

 

5.00

%

 

Goldman Sachs Bank USA

 

September 2011

 

D

 

USD

325

 

 

(1,059

)

Beazer Homes USA, Inc.

 

5.00

%

 

Credit Suisse International

 

September 2011

 

D

 

USD

375

 

 

4,752

 

D.R. Horton, Inc.

 

1.00

%

 

JPMorgan Chase Bank NA

 

September 2014

 

BB–

 

USD

275

 

 

(18

)


















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(255,538

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

1

Using Standard and Poor’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.

 

 

 

Foreign currency exchange contracts as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 











USD

676,877

 

CAD

735,000

 

Barclays Plc

 

10/28/09

 

$

5,429

 

USD

16,253,266

 

EUR

11,652,000

 

Citibank, NA

 

9/16/09

 

 

(451,485

)

USD

698,717

 

EUR

495,000

 

UBS AG

 

9/16/09

 

 

(10,933

)

USD

1,565,034

 

GBP

957,500

 

Citibank, NA

 

10/28/09

 

 

6,398

 














Total

 

 

 

 

 

 

 

 

 

$

(450,591

)

 

 

 

 

 

 

 

 

 

 





 

 

 

Currency Abbreviations:

 

 

 

CAD

Canadian Dollar

 

EUR

Euro

 

GBP

British Pound

 

USD

US Dollar


 

 

 

See Notes to Financial Statements.




30

ANNUAL REPORT

AUGUST 31, 2009




 

 


 

Schedule of Investments (concluded)

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


 

 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

 

 

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)

 

 

 

 

The inputs or methodology 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 table summarizes the inputs used as of August 31, 2009 in determining the fair valuation of the Trust’s investments:


 

 

 

 

 





Valuation Inputs

 

Investments in
Securities

 





 

 

Assets

 

 

 



Level 1

 

 

 

 

Short-Term Securities

 

$

2,197,091

 

Long-Term Investments:

 

 

 

 

Common Stocks

 

 

7,840,188

 

 

 




Total Level 1

 

 

10,037,279

 

 

 





 

 

 

 

 





Valuation Inputs

 

Investments in
Securities

 





 

 

Assets

 

 

 



Level 2

 

 

 

 

Long-Term Investments:

 

 

 

 

Common Stocks

 

$

300,306

 

Corporate Bonds

 

 

297,227,932

 

Floating Rate Loan Interests

 

 

26,067,282

 

Preferred Stocks

 

 

409,393

 

Warrants

 

 

45,439

 

 

 




Total Level 2

 

 

324,050,352

 

 

 




Level 3

 

 

 

 

Long-Term Investments:

 

 

 

 

Common Stocks

 

 

645

 

Corporate Bonds

 

 

2,089,671

 

Floating Rate Loan Interests

 

 

34,290,990

 

Other Interests

 

 

6,493

 

Preferred Stocks

 

 

1

 

Warrants

 

 

10

 

 

 




Total Level 3

 

 

36,387,810

 

 

 




Total

 

$

370,475,441

 

 

 





 

 

 

 

 

 

 

 





Valuation Inputs

 

Other Financial Instruments1

 





 

 

Assets

 

Liabilities

 

 

 


 



Level 1

 

 

 

 

 

Level 2

 

$

85,514

 

$

(1,611,603

)

Level 3

 

 

 

 

 

 

 







Total

 

$

85,514

 

$

(1,611,603

)

 

 








 

 

 

 

1

Other financial instruments are foreign currency exchange contracts and swaps which are shown at the unrealized appreciation/depreciation on the instrument.

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 





 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan
Interests

 

Other
Interests

 

Preferred
Stocks

 

Warrants

 

Total

 

















Balance, as of August 31, 2008

 

 

 

 

 

$

6,052,097

 

$

6,396

 

 

 

 

 

$

6,058,493

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

 

 

 

(1,368,015

)

 

 

 

 

 

 

 

(1,368,015

)

Change in unrealized appreciation (depreciation)2

 

 

 

$

(84,200

)

 

11,057,779

 

 

 

 

 

 

 

 

10,973,579

 

Net purchases (sales)

 

 

 

 

 

5,701

 

 

(6,906,663

)

 

 

 

 

 

 

 

(6,900,962

)

Net transfers in/out of Level 3

 

$

645

 

 

2,168,170

 

 

25,455,792

 

 

97

 

$

1

 

$

10

 

 

27,624,715

 

 

 






















Balance, as of August 31, 2009

 

$

645

 

$

2,089,671

 

$

34,290,990

 

$

6,493

 

$

1

 

$

10

 

$

36,387,810

 

 

 























 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

AUGUST 31, 2009

31



 

 


 

 

Schedule of Investments August 31, 2009

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 







Building Products — 0.7%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

57,354

 

$

2,319,969

 









Capital Markets — 0.4%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

809,000

 

 

1,423,840

 









Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc. (a)

 

 

2,616

 

 

654

 









Communications Equipment — 0.8%

 

 

 

 

 

 

 

Loral Space & Communications Ltd. (a)

 

 

134,482

 

 

2,775,708

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

116,910

 

 

33,319

 

SunPower Corp. Class B (a)

 

 

1,235

 

 

26,417

 

 

 

 

 

 




 

 

 

 

 

 

59,736

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (a)

 

 

1,816

 

 

18

 









Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

197,451

 

 

284,972

 

Ainsworth Lumber Co. Ltd. (b)

 

 

221,591

 

 

318,792

 

Western Forest Products, Inc. (b)

 

 

78,039

 

 

18,534

 

 

 

 

 

 




 

 

 

 

 

 

622,298

 









Total Common Stocks — 2.1%

 

 

 

 

 

7,202,223

 










 

 

 

 

 

 

 

 


 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

 

 







Airlines — 1.7%

 

 

 

 

 

 

 

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

 

USD

510

 

$

487,050

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

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

 

 

1,996

 

 

1,556,707

 

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

 

 

450

 

 

355,502

 

Series 2003-RJ, 7.88%, 1/02/20

 

 

1,029

 

 

673,880

 

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

 

 

2,890

 

 

2,774,400

 

 

 

 

 

 




 

 

 

 

 

 

5,847,539

 









Auto Components — 1.4%

 

 

 

 

 

 

 

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

 

 

1,133

 

 

1,019,700

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.86%, 8/15/11

 

 

2,295

 

 

2,283,525

 

8.63%, 12/01/11

 

 

1,195

 

 

1,206,950

 

Lear Corp., 8.75%, 12/01/16 (a)(c)

 

 

700

 

 

378,000

 

 

 

 

 

 




 

 

 

 

 

 

4,888,175

 









Automobiles — 0.3%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

1,192

 

 

1,180,080

 









Building Products — 0.3%

 

 

 

 

 

 

 

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

 

 

1,040

 

 

868,400

 









Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp. (b):

 

 

 

 

 

 

 

12.50%, 11/30/17 (d)

 

 

119

 

 

120,487

 

3.42%, 8/31/19 (e)(f)

 

 

380

 

 

649,325

 

 

 

 

 

 




 

 

 

 

 

 

769,812

 









Chemicals — 1.9%

 

 

 

 

 

 

 

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

 

 

1,400

 

 

1,263,500

 

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

 

 

1,250

 

 

1,212,500

 

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

 

 

1,985

 

 

1,667,400

 

Olin Corp., 8.88%, 8/15/19

 

 

465

 

 

469,650

 

Terra Capital, Inc., Series B, 7.00%, 2/01/17

 

 

265

 

 

249,763

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par 
(000)

 

 

Value

 









Chemicals (concluded)

 

 

 

 

 

 

 

Wellman Holdings, Inc. (e):

 

 

 

 

 

 

 

Second Lien Subordinate Note, 10.00%, 1/29/19 (b)

 

USD

1,450

 

$

1,450,000

 

Third Lien Subordinate Note, 5.00%, 1/29/19

 

 

453

 

 

226,472

 

 

 

 

 

 




 

 

 

 

 

 

6,539,285

 









Commercial Services & Supplies — 4.0%

 

 

 

 

 

 

 

Altegrity, Inc., 10.50%, 11/01/15 (b)

 

 

1,100

 

 

910,250

 

ISS Financing, 11.00%, 6/15/14

 

EUR

440

 

 

648,135

 

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

 

USD

935

 

 

977,075

 

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

 

 

1,335

 

 

1,368,375

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

4,775

 

 

4,727,250

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

1,200

 

 

1,107,000

 

11.00%, 10/15/16

 

 

4,160

 

 

3,837,600

 

 

 

 

 

 




 

 

 

 

 

 

13,575,685

 









Construction & Engineering — 0.7%

 

 

 

 

 

 

 

Dycom Industries, Inc., 8.13%, 10/15/15

 

 

2,825

 

 

2,457,750

 









Construction Materials — 1.3%

 

 

 

 

 

 

 

Nortek, Inc., 10.00%, 12/01/13

 

 

3,445

 

 

3,203,850

 

Texas Industries, Inc., 7.25%, 7/15/13

 

 

1,285

 

 

1,201,475

 

 

 

 

 

 




 

 

 

 

 

 

4,405,325

 









Consumer Finance — 0.2%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.26%, 1/13/12 (g)

 

 

340

 

 

283,050

 

7.80%, 6/01/12

 

 

300

 

 

277,514

 

8.00%, 12/15/16

 

 

290

 

 

254,081

 

 

 

 

 

 




 

 

 

 

 

 

814,645

 









Containers & Packaging — 4.1%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 4.50%, 9/15/14 (g)

 

 

2,740

 

 

1,972,800

 

Crown European Holdings SA, 6.25%, 9/01/11

 

EUR

118

 

 

169,166

 

Graphic Packaging International, Inc.:

 

 

 

 

 

 

 

8.50%, 8/15/11

 

USD

860

 

 

857,850

 

9.50%, 8/15/13

 

 

100

 

 

100,250

 

9.50%, 6/15/17 (b)

 

 

1,695

 

 

1,737,375

 

Impress Holdings BV, 3.63%, 9/15/13 (b)(g)

 

 

670

 

 

612,212

 

Owens Brockway Glass Container, Inc.:

 

 

 

 

 

 

 

8.25%, 5/15/13

 

EUR

1,575

 

 

1,590,750

 

6.75%, 12/01/14

 

USD

254

 

 

353,213

 

Packaging Dynamics Finance Corp., 10.00%, 5/01/16 (b)

 

 

2,165

 

 

692,800

 

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

 

 

1,920

 

 

1,728,000

 

Rock-Tenn Co., 8.20%, 8/15/11

 

 

3,175

 

 

3,270,250

 

Solo Cup Co., 10.50%, 11/01/13 (b)

 

 

760

 

 

798,000

 

 

 

 

 

 




 

 

 

 

 

 

13,882,666

 









Diversified Consumer Services — 1.3%

 

 

 

 

 

 

 

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

 

 

4,775

 

 

4,464,625

 









Diversified Financial Services — 7.4%

 

 

 

 

 

 

 

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

 

 

820

 

 

856,900

 

Bank of America Corp., 5.65%, 5/01/18

 

 

1,300

 

 

1,257,026

 

CIT Group, Inc.:

 

 

 

 

 

 

 

0.76%, 3/12/10 (g)

 

 

215

 

 

134,375

 

5.20%, 11/03/10

 

 

225

 

 

135,326

 

4.75%, 12/15/10

 

 

295

 

 

178,645

 

5.00%, 2/01/15

 

 

1,705

 

 

959,499

 


 

 

 

See Notes to Financial Statements.




32

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par 
(000)

 

 

Value

 









Diversified Financial Services (concluded)

 

 

 

 

 

 

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.88%, 2/15/11

 

GBP

1,050

 

$

1,598,239

 

7.13%, 1/16/12

 

EUR

4,550

 

 

5,903,246

 

7.13%, 1/15/13

 

 

1,450

 

 

1,818,892

 

Series JD, 2.12%, 9/30/09 (g)

 

 

425

 

 

603,953

 

GMAC LLC (b):

 

 

 

 

 

 

 

7.25%, 3/02/11

 

USD

2,111

 

 

1,981,701

 

6.88%, 9/15/11

 

 

900

 

 

830,250

 

6.88%, 8/28/12

 

 

1,230

 

 

1,070,100

 

2.56%, 12/01/14 (g)

 

 

1,415

 

 

1,089,550

 

6.75%, 12/01/14

 

 

3,010

 

 

2,468,200

 

8.00%, 11/01/31

 

 

2,850

 

 

2,201,625

 

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

 

 

2,100

 

 

2,058,000

 

 

 

 

 

 




 

 

 

 

 

 

25,145,527

 









Diversified Telecommunication Services — 5.3%

 

 

 

 

 

 

 

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

 

 

1,680

 

 

1,444,800

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

745

 

 

722,650

 

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

 

 

2,270

 

 

2,304,050

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

3,190

 

 

3,078,350

 

3.50%, 11/15/25 (e)

 

 

1,035

 

 

1,024,650

 

Series B, 7.50%, 2/15/14

 

 

2,820

 

 

2,721,300

 

Qwest Corp.:

 

 

 

 

 

 

 

3.88%, 6/15/13 (g)

 

 

2,300

 

 

2,127,500

 

7.63%, 6/15/15

 

 

875

 

 

868,437

 

8.38%, 5/01/16 (b)

 

 

700

 

 

707,000

 

Windstream Corp., 8.13%, 8/01/13

 

 

3,040

 

 

3,040,000

 

 

 

 

 

 




 

 

 

 

 

 

18,038,737

 









Electric Utilities — 1.9%

 

 

 

 

 

 

 

NSG Holdings LLC, 7.75%, 12/15/25 (b)

 

 

1,630

 

 

1,361,050

 

Nevada Power Co., Series A, 8.25%, 6/01/11

 

 

2,400

 

 

2,617,567

 

Tenaska Alabama Partners LP, 7.00%, 6/30/21 (b)

 

 

2,941

 

 

2,554,388

 

 

 

 

 

 




 

 

 

 

 

 

6,533,005

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

UCAR Finance, Inc., 10.25%, 2/15/12

 

 

32

 

 

31,080

 









Electronic Equipment, Instruments & Components — 0.2%

 

 

 

 

 

 

 

Jabil Circuit, Inc., 7.75%, 7/15/16

 

 

470

 

 

462,362

 

Sanmina-SCI Corp., 8.13%, 3/01/16

 

 

395

 

 

340,687

 

 

 

 

 

 




 

 

 

 

 

 

803,049

 









Energy Equipment & Services — 0.7%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

335

 

 

318,250

 

7.75%, 5/15/17

 

 

510

 

 

481,950

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

595

 

 

547,400

 

Transocean, Inc., Series A, 1.63%, 12/15/37 (e)

 

 

1,230

 

 

1,196,175

 

 

 

 

 

 




 

 

 

 

 

 

2,543,775

 









Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

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

 

 

1,300

 

 

845,000

 

Duane Reade, Inc., 11.75%, 8/01/15 (b)

 

 

265

 

 

267,650

 

Rite Aid Corp., 9.75%, 6/12/16 (b)

 

 

660

 

 

697,950

 

 

 

 

 

 




 

 

 

 

 

 

1,810,600

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par 
(000)

 

 

Value

 









Food Products — 0.5%

 

 

 

 

 

 

 

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

 

USD

1,240

 

$

1,264,800

 

Tyson Foods, Inc., 10.50%, 3/01/14

 

 

365

 

 

406,975

 

 

 

 

 

 




 

 

 

 

 

 

1,671,775

 









Health Care Equipment & Supplies — 2.3%

 

 

 

 

 

 

 

Catalent Pharma Solutions, Inc., 9.50%, 4/15/15 (d)

 

 

1,500

 

 

1,237,500

 

DJO Finance LLC, 10.88%, 11/15/14 (h)

 

 

4,320

 

 

4,147,200

 

Hologic, Inc., 2.00%, 12/15/37 (e)(i)

 

 

3,080

 

 

2,487,100

 

 

 

 

 

 




 

 

 

 

 

 

7,871,800

 









Health Care Providers & Services — 1.2%

 

 

 

 

 

 

 

Community Health Systems, Inc., Series WI, 8.88%, 7/15/15

 

 

345

 

 

346,294

 

Tenet Healthcare Corp. (b):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

2,560

 

 

2,624,000

 

10.00%, 5/01/18

 

 

1,050

 

 

1,131,375

 

 

 

 

 

 




 

 

 

 

 

 

4,101,669

 









Hotels, Restaurants & Leisure — 4.6%

 

 

 

 

 

 

 

American Real Estate Partners LP, 7.13%, 2/15/13

 

 

4,780

 

 

4,541,000

 

Gaylord Entertainment Co., 8.00%, 11/15/13

 

 

1,000

 

 

912,500

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (a)(b)(c)

 

 

893

 

 

191,995

 

Harrah’s Operating Co., Inc., 10.00%, 12/15/18 (b)

 

 

1,480

 

 

1,036,000

 

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

 

 

2,575

 

 

1,133,000

 

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

 

 

1,895

 

 

833,800

 

MGM Mirage, 11.13%, 11/15/17 (b)

 

 

1,310

 

 

1,418,075

 

Penn National Gaming, Inc., 6.88%, 12/01/11

 

 

3,150

 

 

3,150,000

 

San Pasqual Casino, 8.00%, 9/15/13 (b)

 

 

1,575

 

 

1,488,375

 

Scientific Games Corp., 0.75%, 12/01/24 (e)(i)

 

 

460

 

 

450,225

 

Shingle Springs Tribal Gaming Authority, 9.38%, 6/15/15 (b)

 

 

95

 

 

67,450

 

Travelport LLC:

 

 

 

 

 

 

 

4.99%, 9/01/14 (g)

 

 

195

 

 

141,375

 

9.88%, 9/01/14

 

 

320

 

 

271,200

 

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

 

 

515

 

 

322

 

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

 

 

1,500

 

 

153,750

 

 

 

 

 

 




 

 

 

 

 

 

15,789,067

 









Household Durables — 1.9%

 

 

 

 

 

 

 

American Greetings Corp., 7.38%, 6/01/16

 

 

1,770

 

 

1,513,350

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

8.38%, 4/15/12

 

 

1,445

 

 

1,090,975

 

8.13%, 6/15/16

 

 

205

 

 

127,100

 

4.63%, 6/15/24 (e)

 

 

205

 

 

169,125

 

Jarden Corp., 8.00%, 5/01/16

 

 

435

 

 

445,875

 

KB Home:

 

 

 

 

 

 

 

6.38%, 8/15/11

 

 

48

 

 

47,520

 

9.10%, 9/15/17

 

 

540

 

 

550,800

 

Meritage Homes Corp., 6.25%, 3/15/15

 

 

400

 

 

344,000

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

825

 

 

647,625

 

7.00%, 8/15/15

 

 

1,495

 

 

1,173,575

 

Toll Brothers Finance Corp., 8.91%, 10/15/17

 

 

370

 

 

411,942

 

 

 

 

 

 




 

 

 

 

 

 

6,521,887

 










 

 

 

See Notes to Financial Statements.




ANNUAL REPORT

AUGUST 31, 2009

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

 









IT Services — 1.8%

 

 

 

 

 

 

 

Alliance Data Systems Corp., 1.75%, 8/01/13 (b)(e)

 

USD

2,210

 

$

1,966,900

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

265

 

 

226,575

 

11.25%, 3/31/16 (b)

 

 

3,905

 

 

2,987,325

 

SunGard Data Systems, Inc., 10.63%, 5/15/15 (b)

 

 

900

 

 

929,250

 

 

 

 

 

 




 

 

 

 

 

 

6,110,050

 









Independent Power Producers & Energy Traders — 3.1%

 

 

 

 

 

 

 

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

 

 

51

 

 

51,765

 

AES Eastern Energy LP, Series 99-B, 9.67%, 1/02/29

 

 

975

 

 

838,500

 

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

 

 

1,545

 

 

1,537,275

 

Energy Future Holdings Corp., 11.25%, 11/01/17 (d)

 

 

5,910

 

 

3,382,605

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

2,550

 

 

2,479,875

 

7.38%, 2/01/16

 

 

1,600

 

 

1,530,000

 

Texas Competitive Electric Holdings Co. LLC, 10.50%, 11/01/16 (d)

 

 

1,664

 

 

923,136

 

 

 

 

 

 




 

 

 

 

 

 

10,743,156

 









Industrial Conglomerates — 1.7%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

4,010

 

 

2,526,300

 

13.50%, 12/01/15 (d)

 

 

6,033

 

 

3,151,989

 

 

 

 

 

 




 

 

 

 

 

 

5,678,289

 









Insurance — 0.9%

 

 

 

 

 

 

 

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

 

 

2,600

 

 

2,372,500

 

USI Holdings Corp., 4.32%, 11/15/14 (b)(g)

 

 

1,070

 

 

826,575

 

 

 

 

 

 




 

 

 

 

 

 

3,199,075

 









Leisure Equipment & Products — 0.6%

 

 

 

 

 

 

 

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

 

 

1,810

 

 

1,895,975

 









Life Sciences Tools & Services — 0.1%

 

 

 

 

 

 

 

Bio-Rad Laboratories, Inc., 8.00%, 9/15/16 (b)

 

 

275

 

 

280,500

 









Machinery — 0.9%

 

 

 

 

 

 

 

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

 

 

2,050

 

 

1,619,500

 

Accuride Corp., 8.50%, 2/01/2015 (a)(c)

 

 

865

 

 

173,000

 

CPM Holdings, Inc., 10.63%, 9/01/14 (b)

 

 

200

 

 

202,000

 

RBS Global, Inc.:

 

 

 

 

 

 

 

9.50%, 8/01/14 (b)

 

 

349

 

 

321,080

 

8.88%, 9/01/16

 

 

785

 

 

629,962

 

 

 

 

 

 




 

 

 

 

 

 

2,945,542

 









Marine — 0.6%

 

 

 

 

 

 

 

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

 

 

1,830

 

 

1,331,325

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

743

 

 

650,125

 

 

 

 

 

 




 

 

 

 

 

 

1,981,450

 









Media — 10.2%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

 

2,189

 

 

2,175,319

 

10.13%, 10/15/13 (b)

 

 

595

 

 

591,281

 

CCO Holdings LLC, 8.75%, 11/15/13 (a)(c)

 

 

875

 

 

883,750

 

CMP Susquehanna Corp., 4.75%, 5/15/14 (b)

 

 

254

 

 

5,080

 

CSC Holdings, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/14 (b)

 

 

550

 

 

558,250

 

Series B, 7.63%, 4/01/11

 

 

660

 

 

668,250

 

Cablevision Systems Corp., Series B, 8.00%, 4/15/12

 

 

1,645

 

 

1,682,012

 

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

 

 

3,350

 

 

3,257,875

 

Charter Communications Holdings II, LLC, 10.25%, 9/15/10 (a)(c)

 

 

1,195

 

 

1,327,944

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par 
(000)

 

 

Value

 









Media (concluded)

 

 

 

 

 

 

 

Charter Communications Operating, LLC (a)(b)(c):

 

 

 

 

 

 

 

8.00%, 4/30/12 (j)

 

USD

730

 

$

735,475

 

8.38%, 4/30/14

 

 

1,070

 

 

1,083,375

 

Clear Channel Communications, Inc.:

 

 

 

 

 

 

 

5.75%, 1/15/13

 

 

115

 

 

44,850

 

11.00%, 8/01/16 (d)

 

 

2,065

 

 

516,250

 

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

 

 

150

 

 

147,000

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (g)

 

 

550

 

 

393,250

 

9.50%, 5/15/15

 

 

660

 

 

561,000

 

Intelsat Subsidiary Holding Co. Ltd., 8.88%, 1/15/15 (b)

 

 

420

 

 

421,050

 

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

 

 

3,310

 

 

3,351,375

 

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

 

 

1,748

 

 

1,678,080

 

Local Insight Regatta Holdings, Inc., 11.00%, 12/01/17 (g)

 

 

1,117

 

 

424,460

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

40

 

 

8,100

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

225

 

 

223,312

 

10.00%, 8/01/14

 

 

3,025

 

 

2,858,625

 

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

 

 

2,570

 

 

2,685,650

 

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

 

 

6,485

 

 

5,901,350

 

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

 

 

800

 

 

809,000

 

Virgin Media, Inc., 6.50%, 11/15/16 (b)(e)

 

 

1,915

 

 

1,735,469

 

 

 

 

 

 




 

 

 

 

 

 

34,727,432

 









Metals & Mining — 5.1%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

1,625

 

 

4,062

 

10.00%, 12/15/16

 

 

1,300

 

 

3,250

 

Anglo American Capital Plc, 9.38%, 4/08/19 (b)

 

 

580

 

 

678,600

 

Drummond Co., Inc., 7.38%, 2/15/16 (b)

 

 

360

 

 

316,800

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

850

 

 

896,750

 

10.63%, 9/01/16

 

 

2,060

 

 

2,214,500

 

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

 

 

3,250

 

 

3,168,750

 

Freeport-McMoRan Copper & Gold, Inc., 8.38%, 4/01/17

 

 

1,495

 

 

1,558,537

 

Novelis, Inc.:

 

 

 

 

 

 

 

7.25%, 2/15/15

 

 

3,175

 

 

2,571,750

 

11.50%, 2/15/15 (b)

 

 

685

 

 

662,737

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.86%, 11/01/14 (g)

 

 

640

 

 

544,000

 

12.00%, 11/01/15

 

 

450

 

 

414,000

 

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

 

 

730

 

 

717,225

 

Teck Resources Ltd.:

 

 

 

 

 

 

 

10.25%, 5/15/16

 

 

480

 

 

530,400

 

10.75%, 5/15/19

 

 

1,845

 

 

2,100,994

 

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

 

 

1,015

 

 

954,100

 

 

 

 

 

 




 

 

 

 

 

 

17,336,455

 









Multiline Retail — 0.5%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

450

 

 

499,500

 

11.88%, 7/15/17 (d)

 

 

310

 

 

347,975

 

Macy’s Retail Holdings, Inc., 5.88%, 1/15/13

 

 

760

 

 

716,615

 

 

 

 

 

 




 

 

 

 

 

 

1,564,090

 









Oil, Gas & Consumable Fuels — 8.5%

 

 

 

 

 

 

 

Arch Coal, Inc., 8.75%, 8/01/16 (b)

 

 

495

 

 

495,000

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

750

 

 

791,250

 

10.75%, 2/01/18 (b)

 

 

1,690

 

 

1,706,900

 

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

 

 

800

 

 

712,000

 

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

 

 

385

 

 

400,400

 


 

 

 

See Notes to Financial Statements.




34

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par 
(000)

 

 

Value

 









Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

9.50%, 2/15/15

 

USD

835

 

$

851,700

 

7.25%, 12/15/18

 

 

1,660

 

 

1,518,900

 

2.25%, 12/15/38 (e)

 

 

1,250

 

 

839,063

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

280

 

 

284,200

 

10.25%, 12/15/15

 

 

1,755

 

 

1,237,275

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

4,185

 

 

4,101,300

 

Encore Acquisition Co., 6.25%, 4/15/14

 

 

3,150

 

 

2,803,500

 

Forest Oil Corp., 7.25%, 6/15/19

 

 

3,805

 

 

3,576,700

 

Massey Energy Co., 3.25%, 8/01/15 (e)

 

 

2,010

 

 

1,502,475

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

2,460

 

 

1,599,000

 

PetroHawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14 (b)

 

 

895

 

 

957,650

 

7.88%, 6/01/15

 

 

680

 

 

659,600

 

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

 

 

700

 

 

714,000

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

610

 

 

494,100

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

4.22%, 4/01/14 (g)

 

 

1,000

 

 

830,368

 

8.63%, 4/01/15 (d)

 

 

130

 

 

122,200

 

9.88%, 5/15/16 (b)

 

 

800

 

 

800,000

 

8.00%, 6/01/18 (b)

 

 

1,570

 

 

1,420,850

 

Teekay Shipping Corp., 8.88%, 7/15/11

 

 

635

 

 

631,825

 

 

 

 

 

 




 

 

 

 

 

 

29,050,256

 









Paper & Forest Products — 3.1%

 

 

 

 

 

 

 

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

 

 

1,704

 

 

675,321

 

Clearwater Paper Corp., 10.63%, 6/15/16 (b)

 

 

625

 

 

669,531

 

Georgia-Pacific Corp., 8.13%, 5/15/11

 

 

240

 

 

246,600

 

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

 

 

2,570

 

 

2,595,700

 

International Paper Co., 9.38%, 5/15/19

 

 

830

 

 

932,676

 

NewPage Corp., 10.00%, 5/01/12

 

 

4,185

 

 

2,270,362

 

Norske Skog Canada Ltd., Series D, 8.63%, 6/15/11

 

 

1,415

 

 

827,775

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14 (b)

 

 

535

 

 

524,300

 

Series B, 4.23%, 8/01/14 (g)

 

 

450

 

 

252,000

 

Series B, 9.13%, 8/01/14

 

 

2,435

 

 

1,588,838

 

 

 

 

 

 




 

 

 

 

 

 

10,583,103

 









Pharmaceuticals — 0.9%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.11%, 12/01/13 (g)

 

 

2,441

 

 

2,050,440

 

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

 

 

150

 

 

144,750

 

Valeant Pharmaceuticals International, 8.38%, 6/15/16 (b)

 

 

870

 

 

883,050

 

 

 

 

 

 




 

 

 

 

 

 

3,078,240

 









Real Estate Investment Trusts (REITs) — 0.4%

 

 

 

 

 

 

 

FelCor Lodging LP, 8.50%, 6/01/11

 

 

480

 

 

450,000

 

HCP, Inc., 5.65%, 12/15/13

 

 

705

 

 

679,225

 

iStar Financial, Inc., Series B, 5.13%, 4/01/11

 

 

380

 

 

205,200

 

 

 

 

 

 




 

 

 

 

 

 

1,334,425

 









Real Estate Management & Development — 1.3%

 

 

 

 

 

 

 

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

 

 

4,000

 

 

2,510,000

 

Realogy Corp.:

 

 

 

 

 

 

 

10.50%, 4/15/14

 

 

890

 

 

529,550

 

12.38%, 4/15/15

 

 

3,307

 

 

1,339,335

 

 

 

 

 

 




 

 

 

 

 

 

4,378,885

 









Semiconductors & Semiconductor Equipment — 0.5%

 

 

 

 

 

 

 

Spansion, Inc., 3.79%, 6/01/13 (a)(b)(c)

 

 

1,920

 

 

1,704,000

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par 
(000)

 

 

Value

 









Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.35%, 2/15/12 (b)(d)(g)

 

USD

684

 

$

10,988

 









Specialty Retail — 2.9%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 7.63%, 3/15/17

 

 

560

 

 

459,200

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

6.40%, 3/15/14 (g)

 

 

2,800

 

 

2,464,000

 

10.75%, 3/15/15

 

 

2,040

 

 

1,927,800

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (e)(i)

 

 

1,685

 

 

1,194,244

 

Limited Brands, Inc., 8.50%, 6/15/19 (b)

 

 

1,255

 

 

1,271,354

 

Michaels Stores, Inc., 11.38%, 11/01/16

 

 

1,190

 

 

1,023,400

 

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

 

 

1,805

 

 

1,588,400

 

 

 

 

 

 




 

 

 

 

 

 

9,928,398

 









Textiles, Apparel & Luxury Goods — 1.1%

 

 

 

 

 

 

 

Levi Strauss & Co., 8.63%, 4/01/13

 

EUR

1,400

 

 

1,916,736

 

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

 

USD

2,725

 

 

1,730,375

 

 

 

 

 

 




 

 

 

 

 

 

3,647,111

 









Thrifts & Mortgage Finance — 0.6%

 

 

 

 

 

 

 

Residential Capital Corp., 8.38%, 6/30/10

 

 

3,355

 

 

2,163,975

 









Wireless Telecommunication Services — 5.6%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.38%, 11/01/14

 

 

3,770

 

 

3,553,225

 

10.00%, 7/15/15

 

 

1,420

 

 

1,373,850

 

Crown Castle International Corp., 9.00%, 1/15/15

 

 

350

 

 

364,000

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

2,160

 

 

1,927,800

 

9.13%, 1/15/15 (d)

 

 

3,064

 

 

2,700,150

 

FiberTower Corp., 9.00%, 11/15/12 (e)

 

 

1,055

 

 

545,963

 

iPCS, Inc., 2.61%, 5/01/13 (g)

 

 

1,295

 

 

1,061,900

 

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

 

 

3,475

 

 

3,409,844

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

2,780

 

 

2,488,100

 

Series F, 5.95%, 3/15/14

 

 

170

 

 

142,800

 

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

 

 

385

 

 

346,500

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

7.63%, 1/30/11

 

 

1,065

 

 

1,066,331

 

6.88%, 11/15/28

 

 

290

 

 

210,975

 

 

 

 

 

 




 

 

 

 

 

 

19,191,438

 









Total Corporate Bonds — 94.3%

 

 

 

 

 

322,088,791

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

 

 

 

 

 









Auto Components — 2.1%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan, 3.03%, 8/07/14

 

 

2,252

 

 

1,922,986

 

Dana Holding Corp., Term Advance, 7.25%, 1/31/15

 

 

2,951

 

 

2,259,993

 

Delphi Corp. (a)(c):

 

 

 

 

 

 

 

Initial Tranche C Loan, Debtor in Possession, 10.50%, 12/31/09

 

 

4,847

 

 

2,665,969

 

Subsequent Tranche C Loan, Debtor in Possession, 8.00%, 12/31/09

 

 

503

 

 

276,531

 

 

 

 

 

 




 

 

 

 

 

 

7,125,479

 









Building Products — 1.3%

 

 

 

 

 

 

 

CPG International I Inc. Term Loan, 5.27%, 2/28/11

 

 

4,962

 

 

4,465,911

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

Marsico Parent Co. LLC, Term Loan, 4.81%, 12/15/14

 

 

924

 

 

397,499

 









Chemicals — 1.3%

 

 

 

 

 

 

 

PQ Corp., (fka Niagara Acquisition, Inc.) Loan (Second Lien), 6.77%, 7/30/15

 

 

5,500

 

 

3,025,000

 


 

 

 

See Notes to Financial Statements.




ANNUAL REPORT

AUGUST 31, 2009

35



 

 


 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

Par 
(000)

 

 

Value

 









Chemicals (concluded)

 

 

 

 

 

 

 

PQ Corp. (fka Niagara Acquisition, Inc.) Original Term Loan (First Lien), 3.52% – 3.75%, 7/30/14

 

USD

990

 

$

815,925

 

Solutia Inc. Loan, 7.25%, 2/28/14

 

 

709

 

 

701,665

 

 

 

 

 

 




 

 

 

 

 

 

4,542,590

 









Diversified Telecommunication Services — 2.2%

 

 

 

 

 

 

 

Wind Finance SL SA Euro Facility (Second Lien), 7.25%, 12/17/14

 

EUR

5,258

 

 

7,559,814

 









Food & Staples Retailing — 0.6%

 

 

 

 

 

 

 

Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15

 

USD

2,050

 

 

2,121,750

 









Health Care Providers & Services — 2.0%

 

 

 

 

 

 

 

HCA Inc., Tranche A-1 Term Loan, 2.10%, 11/17/12

 

 

5,820

 

 

5,433,456

 

Rotech Healthcare Inc., Term Loan, 6.26%, 9/26/11

 

 

2,872

 

 

1,378,673

 

 

 

 

 

 




 

 

 

 

 

 

6,812,129

 









Hotels, Restaurants & Leisure — 0.8%

 

 

 

 

 

 

 

Travelport LLC (fka Travelport Inc.), Loan 8.49%, 3/27/12

 

 

4,882

 

 

2,733,918

 









IT Services — 0.1%

 

 

 

 

 

 

 

First Data Corp., Initial Tranche B-1 Term Loan, 3.01% – 3.02%, 9/24/14

 

 

349

 

 

290,854

 









Independent Power Producers & Energy Traders — 1.8%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.78% – 3.79%, 10/10/14

 

 

346

 

 

262,658

 

Initial Tranche B-2 Term Loan, 3.78% – 3.79%, 10/10/14

 

 

1,875

 

 

1,425,219

 

Initial Tranche B-3 Term Loan, 3.78% – 3.79%, 10/10/14

 

 

5,895

 

 

4,461,253

 

 

 

 

 

 




 

 

 

 

 

 

6,149,130

 









Machinery — 1.1%

 

 

 

 

 

 

 

Navistar Financial Corp., Tranche A Term Loan, 2.31%, 1/19/10

 

 

750

 

 

727,500

 

Navistar International Corp., Revolving Credit-Linked Deposit, 3.35% – 3.51%, 1/19/10

 

 

850

 

 

790,500

 

Navistar International Corp., Term Advance, 3.51%, 1/19/12

 

 

2,335

 

 

2,171,550

 

 

 

 

 

 




 

 

 

 

 

 

3,689,550

 









Media — 3.2%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc. Loan, 8.27%, 3/01/10

 

 

681

 

 

595,851

 

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

 

 

2,723

 

 

2,613,600

 

HMH Publishing Co. Ltd, Mezzanine, 17.50%, 11/14/14

 

 

10,746

 

 

1,611,862

 

HMH Publishing Co. Ltd, Tranche A Term Loan, 5.26%, 6/12/14

 

 

3,977

 

 

3,077,250

 

NV Broadcasting, LLC Second Lien, 11.63%, 11/03/14 (a)(c)

 

 

1,750

 

 

17,500

 

NV Broadcasting, LLC Term Loan (DIP), 13.00%, 7/14/12

 

 

98

 

 

96,525

 

Newsday, LLC, Fixed Rate Term Loan, 9.75%, 8/01/13

 

 

1,250

 

 

1,271,875

 

Virgin Media Investment Holdings Ltd. C Facility, 3.62%, 7/17/13

 

GBP

480

 

 

687,646

 

World Color Press Inc. and World Color (USA) Corp. (fka Quebecor World Inc.) Advance, 9.00%, 7/23/12

 

USD

800

 

 

794,000

 

 

 

 

 

 




 

 

 

 

 

 

10,766,109

 










 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

Par 
(000)

 

 

Value

 









Multiline Retail — 0.1%

 

 

 

 

 

 

 

The Neiman Marcus Group Inc., Term Loan, 2.28% – 2.63%, 4/06/13

 

USD

210

 

$

172,875

 









Oil, Gas & Consumable Fuels — 0.7%

 

 

 

 

 

 

 

Turbo Beta Ltd. Dollar Facility, 14.50%, 3/15/18

 

 

3,681

 

 

2,576,724

 









Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

NewPage Corp., Term Loan, 8.69%, 12/22/14

 

 

487

 

 

451,459

 

Verso Paper Finance Holdings LLC Loan, 6.73% – 7.48%, 2/01/13

 

 

1,889

 

 

377,852

 

 

 

 

 

 




 

 

 

 

 

 

829,311

 









Real Estate Management & Development — 0.2%

 

 

 

 

 

 

 

Realogy Corp., Initial Term B Loan, 3.25%, 10/10/13

 

 

635

 

 

484,067

 

Realogy Corp., Synthetic LC, 3.28%, 10/10/13

 

 

203

 

 

155,053

 

 

 

 

 

 




 

 

 

 

 

 

639,120

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores, Term Loan B, 2.75%, 5/29/14

 

 

450

 

 

293,143

 









Total Floating Rate Loan Interests — 17.9%

 

 

 

 

 

61,165,906

 









 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Other Interests (k)

 

 

Beneficial
Interest
(000)

 

 

 

 









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 — 0.0%

 

 

 

 

 

6,747

 










 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Preferred Stocks

 

 

Shares

 

 

 

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp., 0% (a)(b)(g)

 

 

59,235

 

 

1

 









Total Preferred Stocks — 0.0%

 

 

 

 

 

1

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants (l)

 

 

 

 

 

 

 









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

 









Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

2

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

10

 









Total Long-Term Investments
(Cost — $452,194,238) — 114.3%

 

 

 

 

 

390,463,678

 










 

 

 

See Notes to Financial Statements.




36

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 









BlackRock Liquidity Funds, TempFund, 0.22% (m)(n)

 

 

2,267,254

 

$

2,267,254

 









Total Short-Term Securities
(Cost — $2,267,254) — 0.7%

 

 

 

 

 

2,267,254

 









Total Investments (Cost — $454,461,492*) — 115.0%

 

 

 

 

 

392,730,932

 

Liabilities in Excess of Other Assets — (15.0)%

 

 

 

 

 

(51,315,684

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

341,415,248

 

 

 

 

 

 













 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

457,405,694

 

 

 




Gross unrealized appreciation

 

$

13,264,918

 

Gross unrealized depreciation

 

 

(77,939,680

)

 

 




Net unrealized depreciation

 

$

(64,674,762

)

 

 





 

 

(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)

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

 

 

(d)

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

 

 

(e)

Convertible security.

 

 

(f)

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

 

 

(g)

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

 

 

(h)

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

 

 

(i)

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.

 

 

(j)

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

 

 

(k)

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

 

 

(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.

 

 

(m)

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


 

 

 

 

 

 

 

 







Affiliate

 

Net
Activity

 

Income

 







BlackRock Liquidity Funds, TempFund

 

$

2,267,254

 

$

5,026

 

BlackRock Liquidity Series, LLC Cash Sweep Series

 

$

(14,277,183

)

$

29,243

 










 

 

(n)

Represents the current yield as of report date.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report which may combine industry sub-classifications for reporting ease.

 

 

Foreign currency exchange contracts as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 











USD

748,122

 

EUR

530,000

 

UBS AG

 

9/16/09

 

$

(11,707

)

USD

18,198,358

 

EUR

   13,039,000

 

Citibank NA

 

9/16/09

 

 

(494,850

)

USD

317,718

 

CAD

345,000

 

Barclays Bank Plc

 

10/28/09

 

 

2,549

 

USD

1,643,490

 

GBP

1,005,500

 

Citibank NA

 

10/28/09

 

 

6,719

 














Total

 

 

 

 

 

 

 

 

 

$

(497,289

)

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













Black & Decker Corp.

 

2.93

%

 

Goldman Sachs Bank USA

 

March 2014

 

USD

900

 

$

(52,828

)

Louisiana-Pacific Corp.

 

5.00

%

 

JPMorgan Chase Bank NA

 

March 2014

 

USD

500

 

 

(95,335

)

Macy’s, Inc.

 

8.05

%

 

Goldman Sachs Bank USA

 

March 2014

 

USD

900

 

 

(169,035

)

Masco Corp.

 

5.85

%

 

Goldman Sachs Bank USA

 

March 2014

 

USD

1,300

 

 

(171,962

)

Mohawk Industries, Inc.

 

4.70

%

 

Goldman Sachs Bank USA

 

March 2014

 

USD

1,300

 

 

(142,327

)

Tyson Foods, Inc.

 

4.25

%

 

Goldman Sachs Bank USA

 

March 2014

 

USD

500

 

 

(46,642

)

Centex Corp.

 

1.00

%

 

Deutsche Bank AG

 

June 2014

 

USD

400

 

 

(13,655

)

First Data Corp.

 

5.00

%

 

Credit Suisse International

 

June 2014

 

USD

400

 

 

(35,086

)

Lennar Corp.

 

5.75

%

 

JPMorgan Chase Bank NA

 

June 2014

 

USD

450

 

 

(54,139

)

Standard Pacific Corp.

 

5.00

%

 

JPMorgan Chase Bank NA

 

June 2014

 

USD

825

 

 

(3,022

)

Brunswick Corp.

 

5.00

%

 

Goldman Sachs Bank USA

 

September 2014

 

USD

475

 

 

2,689

 

Brunswick Corp.

 

5.00

%

 

Goldman Sachs Bank USA

 

September 2014

 

USD

325

 

 

1,823

 

Centex Corp.

 

1.00

%

 

Deutsche Bank AG

 

September 2014

 

USD

288

 

 

(2,301

)

Limited Brands, Inc.

 

1.00

%

 

Goldman Sachs Bank USA

 

September 2014

 

USD

1,650

 

 

17,563

 

Limited Brands, Inc.

 

1.00

%

 

JPMorgan Chase Bank NA

 

September 2014

 

USD

150

 

 

1,714

 

Pulte Homes, Inc.

 

1.00

%

 

JPMorgan Chase Bank NA

 

September 2014

 

USD

575

 

 

9,131

 

Standard Pacific Corp.

 

5.00

%

 

Credit Suisse International

 

September 2014

 

USD

600

 

 

24,909

 

Standard Pacific Corp.

 

5.00

%

 

Credit Suisse International

 

September 2014

 

USD

305

 

 

11,152

 

Meritage Homes Corp.

 

5.00

%

 

Credit Suisse International

 

June 2015

 

USD

400

 

 

(16,322

)
















Total

 

 

 

 

 

 

 

 

 

 

 

$

(733,673

)

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

AUGUST 31, 2009

37




 

 


 

Schedule of Investments (concluded)

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


 

 

Credit default swaps on single-name issues — sold protection outstanding as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 















Ford Motor Co.

 

3.80

%

 

UBS AG

 

March 2010

 

CCC–

 

USD

1,590

 

$

(51,082

)

Ford Motor Co.

 

5.00

%

 

Goldman Sachs Bank USA

 

June 2010

 

CCC–

 

USD

6,330

 

 

(231,239

)

Beazer Homes USA, Inc.

 

5.00

%

 

Credit Suisse International

 

June 2011

 

D

 

USD

250

 

 

4,025

 

Beazer Homes USA, Inc.

 

5.00

%

 

JPMorgan Chase Bank NA

 

September 2011

 

D

 

USD

175

 

 

1,137

 

Beazer Homes USA, Inc.

 

5.00

%

 

Goldman Sachs Bank USA

 

September 2011

 

D

 

USD

325

 

 

(1,059

)

Beazer Homes USA, Inc.

 

5.00

%

 

Credit Suisse International

 

September 2011

 

D

 

USD

400

 

 

5,069

 

D.R. Horton, Inc.

 

1.00

%

 

JPMorgan Chase Bank NA

 

September 2014

 

BB–

 

USD

288

 

 

(19

)


















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(273,168

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

1

Using Standard & Poor’s ratings 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 the agreement.


 

 

 

Currency Abbreviations:

 

 

 

 

CAD

Canadian Dollar

 

EUR

Euro

 

GBP

British Pound

 

USD

US Dollar


 

 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

 

 

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)

 

 

 

 

The inputs or methodology 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 table summarizes the inputs used as of August 31, 2009 in determining the fair valuation of the Trust’s investments:


 

 

 

 

 





Valuation Inputs

 

Investments in
Securities

 





 

 

Assets

 

 

 



Level 1

 

 

 

 

Short-Term Securities

 

$

2,267,254

 

Long-Term Investments:

 

 

 

 

Common Stocks

 

 

6,882,759

 

 

 




Total Level 1

 

 

9,150,013

 

 

 




Level 2

 

 

 

 

Long-Term Investments:

 

 

 

 

Common Stocks

 

 

318,792

 

Corporate Bonds

 

 

319,890,989

 

Floating Rate Loan Interests

 

 

27,743,711

 

 

 




Total Level 2

 

 

347,953,492

 

 

 




Level 3

 

 

 

 

Long-Term Investments:

 

 

 

 

Common Stocks

 

 

672

 

Corporate Bonds

 

 

2,197,802

 

Floating Rate Loan Interests

 

 

33,422,195

 

Other Interests

 

 

6,747

 

Preferred Stocks

 

 

1

 

Warrants

 

 

10

 

 

 




Total Level 3

 

 

35,627,427

 

 

 




Total

 

$

392,730,932

 

 

 





 

 

 

 

 

 

 

 





Valuation Inputs

 

Other Financial Instruments1

 





 

 

Assets

 

Liabilities

 

 

 


 



Level 1

 

 

 

 

 

Level 2

 

$

88,480

 

$

(1,592,610

)

Level 3

 

 

 

 

 

 

 







Total

 

$

88,480

 

$

(1,592,610

)

 

 








 

 

 

 

1

Other financial instruments are swaps and foreign currency exchange contracts which are shown at the unrealized appreciation/depreciation on the instrument.

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















 

 

Investments in Securities

 

















 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan
Interests

 

Other
Interests

 

Preferred
Stocks

 

Warrants

 

Total

 

















Balance, as of August 31, 2008

 

 

 

 

 

$

2,993,219

 

$

6,652

 

 

 

 

 

$

2,999,871

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

 

 

 

(1,418,436

)

 

 

 

 

 

 

 

(1,418,436

)

Change in unrealized appreciation (depreciation)2

 

 

 

 

(82,228

)

 

9,088,936

 

 

 

 

 

 

 

 

9,006,708

 

Net purchases (sales)

 

 

 

 

 

 

(7,349,682

)

 

 

 

 

 

 

 

(7,349,682

)

Net transfers in/out of Level 3

 

$

672

 

$

2,280,030

 

 

30,108,158

 

 

95

 

$

1

 

$

10

 

 

32,388,966

 

 

 






















Balance, as of August 31, 2009

 

$

672

 

$

2,197,802

 

$

33,422,195

 

$

6,747

 

$

1

 

$

10

 

$

35,627,427

 

 

 























 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

See Notes to Financial Statements.




38

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

Schedule of Investments August 31, 2009

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 









Building Products — 0.7%

 

 

 

 

 

 

 

Masonite Worldwide Holdings

 

 

18,248

 

$

738,133

 









Machinery — 0.0%

 

 

 

 

 

 

 

Goss Holdings Inc. Class B (a)

 

 

64,467

 

 

 









Total Common Stocks — 0.7%

 

 

 

 

 

738,133

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

 

 









Aerospace & Defense — 0.1%

 

 

 

 

 

 

 

L-3 Communications Corp., 5.88%, 1/15/15

 

USD

140

 

 

130,900

 









Airlines — 1.4%

 

 

 

 

 

 

 

American Airlines Pass Through Trust:

 

 

 

 

 

 

 

Series 99-1, 7.32%, 4/15/11

 

 

280

 

 

275,800

 

Series 01-02, 7.86%, 4/01/13

 

 

160

 

 

152,800

 

Continental Airlines, Inc. Series 2003-RJ, 7.88%, 1/02/20

 

 

331

 

 

217,089

 

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

 

 

850

 

 

816,000

 

 

 

 

 

 




 

 

 

 

 

 

1,461,689

 









Auto Components — 1.9%

 

 

 

 

 

 

 

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

 

 

305

 

 

274,500

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.86%, 8/15/11

 

 

690

 

 

686,550

 

8.63%, 12/01/11

 

 

392

 

 

395,920

 

Lear Corp., 8.75%, 12/01/16 (a)(c)

 

 

180

 

 

97,200

 

Stanadyne Corp., Series 1, 10.00%, 8/15/14

 

 

525

 

 

421,313

 

 

 

 

 

 




 

 

 

 

 

 

1,875,483

 









Automobiles — 1.3%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

1,330

 

 

1,316,700

 









Building Products — 0.6%

 

 

 

 

 

 

 

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

 

 

540

 

 

386,100

 

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

 

 

300

 

 

250,500

 

 

 

 

 

 




 

 

 

 

 

 

636,600

 









Capital Markets — 0.3%

 

 

 

 

 

 

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (d)

 

 

53

 

 

53,662

 

Series A, 2.70%, 8/31/19 (e)(f)

 

 

170

 

 

290,488

 

 

 

 

 

 




 

 

 

 

 

 

344,150

 









Chemicals — 3.2%

 

 

 

 

 

 

 

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

 

 

400

 

 

361,000

 

Ames True Temper, Inc., 4.51%, 1/15/12 (g)

 

 

1,070

 

 

941,600

 

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

 

 

1,170

 

 

1,134,900

 

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

 

 

555

 

 

466,200

 

Olin Corp., 8.88%, 8/15/19

 

 

140

 

 

141,400

 

Terra Capital, Inc. Series B, 7.00%, 2/01/17

 

 

235

 

 

221,488

 

 

 

 

 

 




 

 

 

 

 

 

3,266,588

 









Commercial Services & Supplies — 3.0%

 

 

 

 

 

 

 

ISS Financing, 11.00%, 6/15/14

 

EUR

105

 

 

154,669

 

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

 

USD

275

 

 

287,375

 

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

 

 

390

 

 

399,750

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 









Commercial Services & Supplies (concluded)

 

 

 

 

 

 

 

Waste Services, Inc., 9.50%, 4/15/14

 

USD

800

 

$

792,000

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

375

 

 

345,938

 

11.00%, 10/15/16

 

 

1,115

 

 

1,028,588

 

 

 

 

 

 




 

 

 

 

 

 

3,008,320

 









Construction Materials — 0.9%

 

 

 

 

 

 

 

Nortek, Inc., 10.00%, 12/01/13

 

 

960

 

 

892,800

 









Consumer Finance — 1.7%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

8.63%, 11/01/10

 

 

140

 

 

139,854

 

3.26%, 1/13/12 (g)

 

 

145

 

 

120,712

 

7.80%, 6/01/12

 

 

1,500

 

 

1,387,569

 

8.00%, 12/15/16

 

 

100

 

 

87,614

 

 

 

 

 

 




 

 

 

 

 

 

1,735,749

 









Containers & Packaging — 5.6%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 4.50%, 9/15/14 (g)

 

 

300

 

 

216,000

 

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

 

 

255

 

 

252,450

 

Crown European Holdings SA, 6.25%, 9/01/11

 

EUR

36

 

 

51,610

 

Graphic Packaging International, Inc.:

 

 

 

 

 

 

 

9.50%, 8/15/13

 

USD

15

 

 

15,037

 

9.50%, 6/15/17 (b)

 

 

490

 

 

502,250

 

Impress Holdings BV, 3.63%, 9/15/13 (b)(g)

 

 

775

 

 

708,156

 

Owens Brockway Glass Container, Inc.:

 

 

 

 

 

 

 

8.25%, 5/15/13

 

 

2,600

 

 

2,626,000

 

6.75%, 12/01/14

 

EUR

70

 

 

97,342

 

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

 

USD

1,034

 

 

930,600

 

Solo Cup Co., 10.50%, 11/01/13 (b)

 

 

225

 

 

236,250

 

 

 

 

 

 




 

 

 

 

 

 

5,635,695

 









Diversified Financial Services — 6.7%

 

 

 

 

 

 

 

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

 

 

240

 

 

250,800

 

Bank of America Corp., 5.65%, 5/01/18

 

 

300

 

 

290,083

 

CIT Group, Inc.:

 

 

 

 

 

 

 

0.76%, 3/12/10

 

 

65

 

 

40,625

 

4.75%, 12/15/10

 

 

210

 

 

127,171

 

5.00%, 2/01/15

 

 

500

 

 

281,378

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.13%, 1/16/12

 

EUR

1,300

 

 

1,686,642

 

7.13%, 1/15/13

 

 

450

 

 

564,484

 

Series JD, 2.12%, 9/30/09 (g)

 

 

125

 

 

177,633

 

GMAC LLC (b):

 

 

 

 

 

 

 

7.25%, 3/02/11

 

USD

400

 

 

375,500

 

6.88%, 9/15/11

 

 

300

 

 

276,750

 

6.88%, 8/28/12

 

 

819

 

 

712,530

 

2.56%, 12/01/14 (g)

 

 

356

 

 

274,120

 

6.75%, 12/01/14

 

 

750

 

 

615,000

 

8.00%, 11/01/31

 

 

660

 

 

509,850

 

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

 

 

600

 

 

588,000

 

 

 

 

 

 




 

 

 

 

 

 

6,770,566

 









Diversified Telecommunication Services — 7.7%

 

 

 

 

 

 

 

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

 

 

480

 

 

412,800

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

1,945

 

 

1,886,650

 

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

 

 

580

 

 

588,700

 


 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

AUGUST 31, 2009

39




 

 


 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 







Diversified Telecommunication Services (concluded)

 

 

 

 

 

 

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

USD

910

 

$

878,150

 

3.50%, 11/15/25 (e)

 

 

350

 

 

346,500

 

Series B, 7.50%, 2/15/14

 

 

640

 

 

617,600

 

Qwest Corp.:

 

 

 

 

 

 

 

3.88%, 6/15/13 (g)

 

 

850

 

 

786,250

 

8.38%, 5/01/16 (b)

 

 

200

 

 

202,000

 

Wind Acquisition Finance SA, 10.75%, 12/01/15 (b)

 

 

850

 

 

913,750

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

545

 

 

545,000

 

8.63%, 8/01/16

 

 

605

 

 

607,269

 

 

 

 

 

 




 

 

 

 

 

 

7,784,669

 









Electric Utilities — 1.4%

 

 

 

 

 

 

 

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

 

 

420

 

 

367,188

 

NSG Holdings LLC, 7.75%, 12/15/25 (b)

 

 

565

 

 

471,775

 

Salton Sea Funding Corp. Series E, 8.30%, 5/30/11

 

 

549

 

 

557,149

 

 

 

 

 

 




 

 

 

 

 

 

1,396,112

 









Electronic Equipment, Instruments & Components — 0.3%

 

 

 

 

 

 

 

Jabil Circuit, Inc., 7.75%, 7/15/16

 

 

140

 

 

137,725

 

Sanmina-SCI Corp., 8.13%, 3/01/16

 

 

130

 

 

112,125

 

 

 

 

 

 




 

 

 

 

 

 

249,850

 









Energy Equipment & Services — 1.4%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

135

 

 

128,250

 

7.75%, 5/15/17

 

 

220

 

 

207,900

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

810

 

 

745,200

 

Transocean, Inc. Series A, 1.63%, 12/15/37 (e)

 

 

370

 

 

359,825

 

 

 

 

 

 




 

 

 

 

 

 

1,441,175

 









Food & Staples Retailing — 0.3%

 

 

 

 

 

 

 

Duane Reade, Inc., 11.75%, 8/01/15 (b)

 

 

80

 

 

80,800

 

Rite Aid Corp., 9.75%, 6/12/16 (b)

 

 

195

 

 

206,212

 

 

 

 

 

 




 

 

 

 

 

 

287,012

 









Food Products — 0.5%

 

 

 

 

 

 

 

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

 

 

330

 

 

336,600

 

Tyson Foods, Inc., 10.50%, 3/01/14

 

 

145

 

 

161,675

 

 

 

 

 

 




 

 

 

 

 

 

498,275

 









Health Care Equipment & Supplies — 2.4%

 

 

 

 

 

 

 

Catalent Pharma Solutions, Inc., 9.50%, 4/15/15 (d)

 

 

610

 

 

503,250

 

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

 

 

1,300

 

 

1,248,000

 

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

 

 

820

 

 

662,150

 

 

 

 

 

 




 

 

 

 

 

 

2,413,400

 









Health Care Providers & Services — 1.0%

 

 

 

 

 

 

 

Community Health Systems, Inc. Series WI, 8.88%, 7/15/15

 

 

95

 

 

95,356

 

Tenet Healthcare Corp. (b):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

637

 

 

652,925

 

10.00%, 5/01/18

 

 

257

 

 

276,918

 

 

 

 

 

 




 

 

 

 

 

 

1,025,199

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 







Hotels, Restaurants & Leisure — 3.4%

 

 

 

 

 

 

 

American Real Estate Partners LP, 7.13%, 2/15/13

 

USD

850

 

$

807,500

 

Gaylord Entertainment Co.:

 

 

 

 

 

 

 

8.00%, 11/15/13

 

 

1,110

 

 

1,012,875

 

6.75%, 11/15/14

 

 

450

 

 

379,125

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (a)(b)(c)

 

 

649

 

 

139,535

 

Harrah’s Operating Co., Inc., 10.00%, 12/15/18 (b)

 

 

424

 

 

296,800

 

MGM Mirage, 11.13%, 11/15/17 (b)

 

 

390

 

 

422,175

 

Scientific Games Corp., 0.75%, 12/01/24 (e)

 

 

140

 

 

137,025

 

Travelport LLC:

 

 

 

 

 

 

 

4.99%, 9/01/14 (g)

 

 

75

 

 

54,375

 

9.88%, 9/01/14

 

 

100

 

 

84,750

 

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

 

 

215

 

 

134

 

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

 

 

585

 

 

59,963

 

 

 

 

 

 




 

 

 

 

 

 

3,394,257

 









Household Durables — 1.0%

 

 

 

 

 

 

 

Beazer Homes USA, 8.38%, 4/15/12

 

 

430

 

 

324,650

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

8.13%, 6/15/16

 

 

60

 

 

37,200

 

4.63%, 6/15/24 (e)

 

 

60

 

 

49,500

 

Jarden Corp., 8.00%, 5/01/16

 

 

190

 

 

194,750

 

KB Home:

 

 

 

 

 

 

 

6.38%, 8/15/11

 

 

15

 

 

14,850

 

9.10%, 9/15/17

 

 

160

 

 

163,200

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

50

 

 

39,250

 

7.00%, 8/15/15

 

 

95

 

 

74,575

 

Toll Brothers Finance Corp., 8.91%, 10/15/17

 

 

111

 

 

123,583

 

 

 

 

 

 




 

 

 

 

 

 

1,021,558

 









IT Services — 2.4%

 

 

 

 

 

 

 

Alliance Data Systems Corp., 1.75%, 8/01/13 (b)(e)

 

 

660

 

 

587,400

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

80

 

 

68,400

 

11.25%, 3/31/16 (b)

 

 

1,155

 

 

883,575

 

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

 

 

335

 

 

216,075

 

iPayment Investors LP, 12.75%, 7/15/14 (b)(d)

 

 

1,705

 

 

426,188

 

SunGard Data Systems, Inc., 10.63%, 5/15/15 (b)

 

 

270

 

 

278,775

 

 

 

 

 

 




 

 

 

 

 

 

2,460,413

 









Independent Power Producers & Energy Traders — 3.5%

 

 

 

 

 

 

 

AES Eastern Energy LP Series 99-B, 9.67%, 1/02/29

 

 

290

 

 

249,400

 

AES Red Oak LLC Series B, 9.20%, 11/30/29

 

 

1,250

 

 

1,118,750

 

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

 

 

460

 

 

457,700

 

Energy Future Holdings Corp., 11.25%, 11/01/17 (d)

 

 

1,696

 

 

970,787

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

100

 

 

97,250

 

7.38%, 2/01/16

 

 

370

 

 

353,812

 

Texas Competitive Electric Holdings Co. LLC, 10.50%, 11/01/16 (d)

 

 

454

 

 

267,970

 

 

 

 

 

 




 

 

 

 

 

 

3,515,669

 










 

 

 

See Notes to Financial Statements.

 




40

ANNUAL REPORT

AUGUST 31, 2009




 

 


 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 







Industrial Conglomerates — 1.6%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

USD

1,150

 

$

724,500

 

13.50%, 12/01/15 (d)

 

 

1,712

 

 

894,399

 

 

 

 

 

 



 

 

 

 

 

 

 

1,618,899

 









Insurance — 1.0%

 

 

 

 

 

 

 

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

 

 

800

 

 

730,000

 

USI Holdings Corp., 4.32%, 11/15/14 (b)(g)

 

 

310

 

 

239,475

 

 

 

 

 

 



 

 

 

 

 

 

 

969,475

 









Leisure Equipment & Products — 0.2%

 

 

 

 

 

 

 

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

 

 

225

 

 

235,688

 









Life Sciences Tools & Services — 0.1%

 

 

 

 

 

 

 

Bio-Rad Laboratories, Inc., 8.00%, 9/15/16 (b)

 

 

100

 

 

102,000

 









Machinery — 2.5%

 

 

 

 

 

 

 

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

 

 

890

 

 

703,100

 

Accuride Corp., 8.50%, 2/01/2015 (a)(c)

 

 

340

 

 

68,000

 

CPM Holdings, Inc., 10.63%, 9/01/14 (b)

 

 

100

 

 

101,000

 

RBS Global, Inc.:

 

 

 

 

 

 

 

9.50%, 8/01/14 (b)

 

 

99

 

 

91,080

 

8.88%, 9/01/16

 

 

295

 

 

236,737

 

Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (b)

 

 

1,720

 

 

1,290,000

 

 

 

 

 

 



 

 

 

 

 

 

 

2,489,917

 









Marine — 0.4%

 

 

 

 

 

 

 

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

 

 

255

 

 

185,513

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

254

 

 

222,250

 

 

 

 

 

 



 

 

 

 

 

 

 

407,763

 









Media — 10.3%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

 

1,045

 

 

1,038,469

 

10.13%, 10/15/13 (b)

 

 

175

 

 

173,906

 

CCO Holdings LLC, 8.75%, 11/15/13

 

 

515

 

 

520,150

 

CMP Susquehanna Corp., 4.75%, 5/15/14 (b)

 

 

69

 

 

1,380

 

CSC Holdings, Inc., 8.50%, 4/15/14 (b)

 

 

180

 

 

182,700

 

Charter Communications Holdings II, LLC:

 

 

 

 

 

 

 

10.25%, 9/15/10 (a)(c)

 

 

170

 

 

188,913

 

8.38%, 4/30/14 (b)

 

 

30

 

 

30,375

 

Series B, 10.25%, 9/15/10 (a)(c)

 

 

455

 

 

505,619

 

Clear Channel Communications, Inc.:

 

 

 

 

 

 

 

5.00%, 3/15/12

 

 

100

 

 

49,000

 

5.75%, 1/15/13

 

 

35

 

 

13,650

 

11.00%, 8/01/16 (d)

 

 

610

 

 

152,500

 

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

 

 

192

 

 

188,160

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (g)

 

 

160

 

 

114,400

 

9.50%, 5/15/15 (b)

 

 

190

 

 

161,500

 

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

 

 

930

 

 

941,625

 

Intelsat Subsidiary Holding Co. Ltd., 8.88%, 1/15/15 (b)

 

 

130

 

 

130,325

 

Local Insight Regatta Holdings, Inc., 11.00%, 12/01/17 (g)

 

 

304

 

 

115,520

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

830

 

 

168,075

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 







Media (concluded)

 

 

 

 

 

 

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

USD

110

 

$

109,175

 

10.00%, 8/01/14

 

 

850

 

 

803,250

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(c)(e)

 

 

1,427

 

 

570,962

 

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

 

 

1,813

 

 

1,894,585

 

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

 

 

1,640

 

 

1,492,400

 

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

 

 

300

 

 

303,375

 

Virgin Media, Inc., 6.50%, 11/15/16 (b)(e)

 

 

550

 

 

498,438

 

 

 

 

 

 



 

 

 

 

 

 

 

10,348,452

 









Metals & Mining — 3.5%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

200

 

 

500

 

10.00%, 12/15/16

 

 

680

 

 

1,700

 

Anglo American Capital Plc, 9.38%, 4/08/19 (b)

 

 

175

 

 

204,750

 

Drummond Co., Inc., 7.38%, 2/15/16 (b)

 

 

105

 

 

92,400

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

240

 

 

253,200

 

10.63%, 9/01/16

 

 

735

 

 

790,125

 

Freeport-McMoRan Copper & Gold, Inc., 8.38%, 4/01/17 (g)

 

 

210

 

 

218,925

 

Novelis, Inc., 11.50%, 2/15/15 (b)

 

 

325

 

 

314,437

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.86%, 11/01/14 (g)

 

 

180

 

 

153,000

 

12.00%, 11/01/15

 

 

100

 

 

92,000

 

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

 

 

380

 

 

373,350

 

Teck Resources Ltd.:

 

 

 

 

 

 

 

10.25%, 5/15/16

 

 

145

 

 

160,225

 

10.75%, 5/15/19

 

 

550

 

 

626,313

 

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

 

 

295

 

 

277,300

 

 

 

 

 

 



 

 

 

 

 

 

 

3,558,225

 









Multiline Retail — 0.3%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

135

 

 

149,850

 

11.88%, 7/15/17 (d)

 

 

95

 

 

106,637

 

 

 

 

 

 



 

 

 

 

 

 

 

256,487

 









Oil, Gas & Consumable Fuels — 9.4%

 

 

 

 

 

 

 

Arch Coal, Inc., 8.75%, 8/01/16 (b)

 

 

145

 

 

145,000

 

Atlas Energy Operating Co. LLC, 12.13%, 8/01/17

 

 

225

 

 

237,375

 

Atlas Energy Resources LLC, 10.75%, 2/01/18 (b)

 

 

485

 

 

489,850

 

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

 

 

275

 

 

244,750

 

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

 

 

115

 

 

119,600

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

9.50%, 2/15/15

 

 

255

 

 

260,100

 

6.38%, 6/15/15

 

 

350

 

 

318,938

 

6.63%, 1/15/16

 

 

235

 

 

213,556

 

7.25%, 12/15/18

 

 

260

 

 

237,900

 

2.25%, 12/15/38 (e)

 

 

375

 

 

251,719

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

85

 

 

86,275

 

10.25%, 12/15/15

 

 

520

 

 

366,600

 


 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

AUGUST 31, 2009

41




 

 


 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 









Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Corral Finans AB, 2.01%, 4/15/10 (b)(d)

 

USD

754

 

$

548,167

 

Denbury Resources, Inc., 7.50%, 12/15/15

 

 

75

 

 

73,125

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

1,045

 

 

1,024,100

 

Encore Acquisition Co., 6.00%, 7/15/15

 

 

130

 

 

111,800

 

Forest Oil Corp., 7.25%, 6/15/19

 

 

1,100

 

 

1,034,000

 

Massey Energy Co., 3.25%, 8/01/15 (e)

 

 

615

 

 

459,713

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

890

 

 

578,500

 

PetroHawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14 (b)

 

 

275

 

 

294,250

 

7.88%, 6/01/15

 

 

210

 

 

203,700

 

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

 

 

200

 

 

204,000

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

210

 

 

170,100

 

SandRidge Energy, Inc. (b):

 

 

 

 

 

 

 

9.88%, 5/15/16

 

 

200

 

 

200,000

 

8.00%, 6/01/18

 

 

455

 

 

411,775

 

Whiting Petroleum Corp., 7.25%, 5/01/13

 

 

1,155

 

 

1,143,450

 

 

 

 

 

 




 

 

 

 

 

 

9,428,343

 









Paper & Forest Products — 2.5%

 

 

 

 

 

 

 

Clearwater Paper Corp., 10.63%, 6/15/16 (b)

 

 

185

 

 

198,181

 

Domtar Corp., 7.88%, 10/15/11

 

 

7

 

 

7,184

 

Georgia-Pacific Corp., 8.13%, 5/15/11

 

 

75

 

 

77,062

 

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

 

 

755

 

 

762,550

 

International Paper Co., 9.38%, 5/15/19

 

 

250

 

 

280,926

 

NewPage Corp., 10.00%, 5/01/12

 

 

1,200

 

 

651,000

 

Norske Skog Canada Ltd., 7.38%, 3/01/14

 

 

175

 

 

70,000

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14 (b)

 

 

160

 

 

156,800

 

Series B, 4.23%, 8/01/14 (g)

 

 

130

 

 

72,800

 

Series B, 9.13%, 8/01/14

 

 

390

 

 

254,475

 

 

 

 

 

 




 

 

 

 

 

 

2,530,978

 









Pharmaceuticals — 0.9%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.11%, 12/01/13 (g)

 

 

710

 

 

596,400

 

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

 

 

75

 

 

72,375

 

Valeant Pharmaceuticals International, 8.38%, 6/15/16 (b)

 

 

260

 

 

263,900

 

 

 

 

 

 




 

 

 

 

 

 

932,675

 









Professional Services — 0.3%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

275

 

 

268,125

 









Real Estate Investment Trusts (REITs) — 0.3%

 

 

 

 

 

 

 

HCP, Inc., 5.65%, 12/15/13

 

 

210

 

 

202,322

 

iStar Financial, Inc. Series B, 5.13%, 4/01/11

 

 

110

 

 

59,400

 

 

 

 

 

 




 

 

 

 

 

 

261,722

 









Real Estate Management & Development — 0.4%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

10.50%, 4/15/14

 

 

285

 

 

169,575

 

12.38%, 4/15/15

 

 

639

 

 

258,795

 

 

 

 

 

 




 

 

 

 

 

 

428,370

 









Semiconductors & Semiconductor Equipment — 0.5%

 

 

 

 

 

 

 

Spansion, Inc., 3.79%, 6/01/13 (a)(b)(c)

 

 

550

 

 

488,125

 









Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.35%, 2/15/12 (b)(d)(g)

 

 

218

 

 

3,500

 









Specialty Retail — 3.1%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 7.63%, 3/15/17

 

 

240

 

 

196,800

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

6.40%, 3/15/14 (g)

 

 

800

 

 

704,000

 

10.75%, 3/15/15

 

 

895

 

 

845,775

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (e)(i)

 

 

470

 

 

333,113

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par 
(000)

 

Value

 









Specialty Retail (concluded)

 

 

 

 

 

 

 

Layzdays RV Center, Inc., 11.75%, 5/15/12 (a)(c)

 

USD

2,275

 

$

22,750

 

Limited Brands, Inc., 8.50%, 6/15/19 (b)

 

 

70

 

 

70,912

 

Michaels Stores, Inc., 11.38%, 11/01/16

 

 

415

 

 

356,900

 

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

 

 

710

 

 

624,800

 

 

 

 

 

 




 

 

 

 

 

 

3,155,050

 









Textiles, Apparel & Luxury Goods — 0.8%

 

 

 

 

 

 

 

Levi Strauss & Co., 8.63%, 4/01/13

 

EUR

400

 

 

547,639

 

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

 

USD

350

 

 

222,250

 

 

 

 

 

 




 

 

 

 

 

 

769,889

 









Thrifts & Mortgage Finance — 0.7%

 

 

 

 

 

 

 

Residential Capital Corp., 8.38%, 6/30/10

 

 

1,140

 

 

735,300

 









Wireless Telecommunication Services — 6.9%

 

 

 

 

 

 

 

American Tower Corp., 7.13%, 10/15/12

 

 

1,000

 

 

1,011,250

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.38%, 11/01/14

 

 

1,090

 

 

1,027,325

 

10.00%, 7/15/15

 

 

420

 

 

406,350

 

Crown Castle International Corp., 9.00%, 1/15/15

 

 

195

 

 

202,800

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

690

 

 

615,825

 

9.13%, 1/15/15 (e)

 

 

1,320

 

 

1,163,250

 

FiberTower Corp., 9.00%, 11/15/12 (e)

 

 

317

 

 

163,789

 

iPCS, Inc., 2.61%, 5/01/13 (g)

 

 

330

 

 

270,600

 

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

 

 

955

 

 

937,093

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

730

 

 

653,350

 

Series F, 5.95%, 3/15/14

 

 

50

 

 

42,000

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

7.63%, 1/30/11

 

 

410

 

 

410,512

 

6.88%, 11/15/28

 

 

80

 

 

58,200

 

 

 

 

 

 




 

 

 

 

 

 

6,962,344

 









Total Corporate Bonds — 97.7%

 

 

 

 

 

98,514,156

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

 

 

 

 

 









Auto Components — 1.6%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan, 3.03%, 8/07/14

 

 

1,036

 

 

884,384

 

Dana Holding Corp., Term Advance, 7.25%, 1/31/15

 

 

792

 

 

606,094

 

Delphi Corp. (a)(c):

 

 

 

 

 

 

 

Initial Tranche Term Loan C, 8.50%, 12/31/09

 

 

271

 

 

149,125

 

Subsequent Tranche Term Loan C, 8.50%, 12/31/09

 

 

29

 

 

15,875

 

 

 

 

 

 




 

 

 

 

 

 

1,655,478

 









Building Products — 1.3%

 

 

 

 

 

 

 

CPG International, I Inc., Term Loan, 5.27%, 2/28/11

 

 

1,485

 

 

1,336,432

 









Chemicals — 1.1%

 

 

 

 

 

 

 

PQ Corp. (fka Niagara Acquisition, Inc.), Loan (Second Lien), 6.77%, 7/30/15

 

 

1,500

 

 

825,000

 

Solutia Inc., Loan, 7.25%, 2/28/14

 

 

224

 

 

221,578

 

 

 

 

 

 




 

 

 

 

 

 

1,046,578

 









Diversified Telecommunication Services — 0.9%

 

 

 

 

 

 

 

Wind Finance SL SA Euro Facility (Second Lien), 7.25%, 12/17/14

 

 

600

 

 

862,746

 









Food & Staples Retailing — 0.6%

 

 

 

 

 

 

 

Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/04/15

 

 

600

 

 

621,000

 










 

 

 

See Notes to Financial Statements.

 




42

ANNUAL REPORT

AUGUST 31, 2009




 

 


 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

Par 
(000)

 

Value

 









Health Care Providers & Services — 2.0%

 

 

 

 

 

 

 

HCA Inc., Tranche A-1 Term Loan, 2.10%, 11/17/12

 

USD

1,700

 

$

1,587,494

 

Rotech Healthcare Inc., Term Loan, 6.26%, 9/26/11

 

 

878

 

 

421,428

 

 

 

 

 

 




 

 

 

 

 

 

2,008,922

 









Hotels, Restaurants & Leisure — 1.1%

 

 

 

 

 

 

 

Travelport LLC (fka Travelport Inc.), Loan, 8.49%, 3/27/12

 

 

2,004

 

 

1,122,063

 









Independent Power Producers & Energy Traders — 1.5%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Tranche B-2 Term Loan, 3.78% – 3.79%, 10/10/14

 

 

543

 

 

412,378

 

Tranche B-3 Term Loan, 3.78% – 3.79%, 10/10/14

 

 

1,474

 

 

1,115,313

 

 

 

 

 

 




 

 

 

 

 

 

1,527,691

 









Machinery — 1.1%

 

 

 

 

 

 

 

Navistar Financial Corp., Tranche A Term Loan, 2.31%, 1/19/10

 

 

250

 

 

242,500

 

Navistar International Corp.:

 

 

 

 

 

 

 

Revolving Credit-Linked Deposit, 3.51%, 1/19/12

 

 

245

 

 

227,850

 

Term Advance, 3.51%, 1/19/12

 

 

680

 

 

632,400

 

 

 

 

 

 




 

 

 

 

 

 

1,102,750

 









Media — 2.8%

 

 

 

 

 

 

 

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

 

 

743

 

 

712,800

 

HMH Publishing Co. Ltd. (fka Education Media):

 

 

 

 

 

 

 

Mezzanine, 17.50%, 11/14/14

 

 

2,828

 

 

424,174

 

Tranche A Term Loan, 5.26%, 6/12/14

 

 

1,097

 

 

848,944

 

Newsday, LLC, Fixed Rate Term Loan, 9.75%, 8/01/13

 

 

450

 

 

457,875

 

NTL Cable, Second Lien, 4.19%, 3/04/13

 

 

145

 

 

207,726

 

World Color Press Inc. and World Color (USA) Corp. (fka Quebecor World Inc.), Advance, 9.00%, 7/23/12

 

 

200

 

 

198,500

 

 

 

 

 

 




 

 

 

 

 

 

2,850,019

 









Multiline Retail — 0.0%

 

 

 

 

 

 

 

The Neiman Marcus Group Inc., Term Loan, 2.28% – 2.63%, 4/06/13

 

 

60

 

 

49,393

 









Oil, Gas & Consumable Fuels — 0.7%

 

 

 

 

 

 

 

Turbo Beta Ltd., Dollar Facility, 14.50%, 3/15/18

 

 

1,023

 

 

715,757

 









Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, Loan, 6.73%, 2/01/13

 

 

451

 

 

90,262

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores, Term Loan B, 3.11%, 5/29/14

 

 

135

 

 

87,943

 









Total Floating Rate Loan Interests — 14.9%

 

 

 

 

 

15,077,034

 









 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

Value

 







Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

USD

5

 

$

953

 









Total Other Interests — 0.0%

 

 

 

 

 

953

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 







Containers & Packaging — 0.2%

 

 

 

 

 

 

 

Smurfit-Stone Container Corp., 7.00% (d)(e)

 

 

30,000

 

 

184,500

 









Diversified Financial Services — 0.1%

 

 

 

 

 

 

 

Preferred Blocker, Inc., 7.00% (b)

 

 

280

 

 

130,261

 









Independent Power Producers & Energy Traders — 0.7%

 

 

 

 

 

 

 

NRG Energy, Inc., 4.00%

 

 

500

 

 

671,250

 









Media — 0.0%

 

 

 

 

 

 

 

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

 

 

16,138

 

 

 

Emmis Communications Corp. Class A, 6.25% (e)

 

 

10,300

 

 

38,625

 

 

 

 

 

 




 

 

 

 

 

 

38,625

 









Total Preferred Stocks — 1.0%

 

 

 

 

 

1,024,636

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants (l)

 

 

 

 

 

 

 









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

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









Total Long-Term Investments (Cost — $133,616,852) — 114.3%

 

 

 

 

 

115,354,912

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempFund, 0.22% (m)(n)

 

 

1,250,194

 

 

1,250,194

 









Total Short-Term Securities (Cost — $1,250,194) — 1.2%

 

 

 

 

 

1,250,194

 









Total Investments (Cost — $134,867,046*) — 115.5%

 

 

 

 

 

116,605,106

 

Liabilities in Excess of Other Assets — (15.5)%

 

 

 

 

 

(15,683,820

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

100,921,286

 

 

 

 

 

 




 

 

 

 

 

 

 

 


*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2009, as computed for federal income tax purposes, were as follows:

 

 

 

Aggregate cost

 

 

 

 

$

135,240,896

 

 

 

 

 

 




 

Gross unrealized appreciation

 

 

 

 

$

4,068,541

 

 

Gross unrealized depreciation

 

 

 

 

 

(22,704,331

)

 

 

 

 

 




 

Net unrealized depreciation

 

 

 

 

$

(18,635,790

)

 

 

 

 

 





 

 

(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)

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

 

 

(d)

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

 

 

(e)

Convertible security.


 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

AUGUST 31, 2009

43



 

 


 

 

Schedule of Investments (concluded)

BlackRock High Income Shares (HIS)


 

 

(f)

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

 

 

(g)

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

 

 

(h)

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

 

 

(i)

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.

 

 

(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.

 

 

(m)

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


 

 

 

 

 

 

 

 









Affiliate

 

Net Activity

 

Income

 







BlackRock Liquidity Funds, TempFund

 

USD

1,250,194

 

$

6,145

 










 

 

(n)

Represents the current yield as of report date.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classification for reporting ease.

 

 

Foreign currency exchange contracts as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
















Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Depreciation

 















USD 4,201,608

 

EUR 

3,007,500

 

Citibank NA

 

9/16/09

 

$

(110,059

)















 

 

Currency Abbreviations:


 

 

EUR

Euro

USD

US Dollar


 

 

The Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”) which clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:


 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

 

 

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)

 

 

 

 

The inputs or methodology 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 table summarizes the inputs used as of August 31, 2009 in determining the fair valuation of the Trust’s investments:


 

 

 

 

 






Valuation Inputs

 

Investments in
Securities

 






 

 

Assets

 

 

 



Level 1

 

 

 

 

Short-Term Securities

 

$

1,250,194

 

Long-Term Investments:

 

 

 

 

Common Stocks

 

 

738,133

 

Preferred Stocks

 

 

38,625

 

 

 




Total Level 1

 

 

2,026,952

 

 

 




Level 2

 

 

 

 

Long-Term Investments:

 

 

 

 

Corporate Bonds

 

 

96,050,376

 

Floating Rate Loan Interests

 

 

6,201,262

 

Preferred Stocks

 

 

986,011

 

 

 




Total Level 2

 

 

103,237,649

 

 

 




Level 3

 

 

 

 

Long-Term Investments:

 

 

 

 

Corporate Bonds

 

 

2,463,780

 

Floating Rate Loan Interests

 

 

8,875,772

 

Other Interests

 

 

953

 

 

 




Total Level 3

 

 

11,340,505

 

 

 




Total

 

$

116,605,106

 

 

 





 

 

 

 

 

 







Valuation Inputs

Other Financial Instruments1

 






 

 

Liabilities

 

 

 



Level 1

 

 

 

Level 2

 

$

(110,059

)

Level 3

 

 

 

 

 




Total

 

$

(110,059

)

 

 





 

 

 

 

1

Other financial instruments are foreign currency exchange contracts which are shown at the unrealized appreciation/depreciation on the instrument.

 

 

 

 

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

Investments in Securities

 





 

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Total

 





Balance, as of August 31, 2008

 

 

 

$

605,133

 

$

1,592

 

$

606,725

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

 

45,038

 

 

 

 

45,038

 

Change in unrealized appreciation (depreciation)2

 

 

(347,818

)

 

64,789

 

 

(639

)

 

(283,668

)

Net purchases (sales)

 

 

 

 

(703,029

)

 

 

 

(703,029

)

Net transfers in/out of Level 3

 

$

2,811,598

 

 

8,863,841

 

 

 

 

11,675,439

 

 

 













Balance, as of August 31, 2009

 

$

2,463,780

 

$

8,875,772

 

$

953

 

$

11,340,505

 

 

 














 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

See Notes to Financial Statements.




44

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

Schedule of Investments August 31, 2009

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 







Building Products — 0.8%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

7,299

 

$

295,245

 









Capital Markets — 0.4%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

89,000

 

 

156,640

 









Paper & Forest Products — 0.0%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd.

 

 

2,234

 

 

3,224

 

Ainsworth Lumber Co. Ltd. (b)

 

 

2,507

 

 

3,607

 

 

 

 

 

 




 

 

 

 

 

 

6,831

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Mattress Discounters Corp. (a)

 

 

14,992

 

 

 









Total Common Stocks — 1.2%

 

 

 

 

 

458,716

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Par 

 

 

 

 

Corporate Bonds

 

(000)

 

 

 

 








Aerospace & Defense — 0.0%

 

 

 

 

 

 

 

L-3 Communications Corp., 5.88%, 1/15/15

 

$

20

 

 

18,700

 









Air Freight & Logistics — 0.1%

 

 

 

 

 

 

 

Park-Ohio Industries, Inc., 8.38%, 11/15/14

 

 

85

 

 

53,656

 









Airlines — 1.0%

 

 

 

 

 

 

 

American Airlines, Inc., Pass Through Trust:

 

 

 

 

 

 

 

Series 99-1, 7.32%, 4/15/11

 

 

95

 

 

93,575

 

Series 01-02, 7.86%, 4/01/13

 

 

20

 

 

19,100

 

Continental Airlines, Inc. Series 2003-RJ, 7.88%, 1/02/20

 

 

41

 

 

27,136

 

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

 

 

250

 

 

240,000

 

 

 

 

 

 




 

 

 

 

 

 

379,811

 









Auto Components — 2.0%

 

 

 

 

 

 

 

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

 

 

109

 

 

98,100

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.86%, 8/15/11

 

 

235

 

 

233,825

 

8.63%, 12/01/11

 

 

101

 

 

102,010

 

Lear Corp., 8.75%, 12/01/16 (a)(c)

 

 

65

 

 

35,100

 

Stanadyne Corp. Series 1, 10.00%, 8/15/14

 

 

350

 

 

280,875

 

 

 

 

 

 




 

 

 

 

 

 

749,910

 









Automobiles — 1.4%

 

 

 

 

 

 

 

Ford Capital BV, 9.50%, 6/01/10

 

 

520

 

 

514,800

 









Building Products — 0.6%

 

 

 

 

 

 

 

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

 

 

150

 

 

107,250

 

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

 

 

130

 

 

108,550

 

 

 

 

 

 




 

 

 

 

 

 

215,800

 









Capital Markets — 0.7%

 

 

 

 

 

 

 

E*Trade Financial Corp.:

 

 

 

 

 

 

 

12.50%, 11/30/17 (d)

 

 

22

 

 

22,275

 

Series A, 2.50%, 8/31/19 (e)(f)

 

 

71

 

 

121,321

 

Marsico Parent Co., LLC, 10.63%, 1/15/16 (b)

 

 

174

 

 

73,080

 

Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(d)

 

 

73

 

 

17,500

 

Marsico Parent Superholdco, LLC, 14.50%, 1/15/18 (b)(d)

 

 

50

 

 

13,032

 

 

 

 

 

 




 

 

 

 

 

 

247,208

 









Chemicals — 3.0%

 

 

 

 

 

 

 

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

 

 

140

 

 

126,350

 

Ames True Temper, Inc., 4.51%, 1/15/12 (g)

 

 

265

 

 

233,200

 

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

 

 

545

 

 

528,650

 

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

 

 

195

 

 

163,800

 

Olin Corp., 8.88%, 8/15/19

 

 

50

 

 

50,500

 

Terra Capital, Inc., Series B, 7.00%, 2/01/17

 

 

30

 

 

28,275

 

 

 

 

 

 




 

 

 

 

 

 

1,130,775

 









 

 

 

 

 

 

 

 

 

 

Par 

 

 

 

 

Corporate Bonds

 

(000)

 

Value

 







Commercial Services & Supplies — 3.3%

 

 

 

 

 

 

 

Altegrity, Inc., 10.50%, 11/01/15 (b)

 

$

100

 

$

82,750

 

DI Finance Series B, 9.50%, 2/15/13

 

 

201

 

 

203,764

 

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

 

 

100

 

 

104,500

 

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

 

 

100

 

 

102,500

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

185

 

 

183,150

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

125

 

 

115,313

 

11.00%, 10/15/16

 

 

475

 

 

438,188

 

 

 

 

 

 




 

 

 

 

 

 

1,230,165

 









Construction Materials — 0.9%

 

 

 

 

 

 

 

Nortek, Inc., 10.00%, 12/01/13

 

 

375

 

 

348,750

 









Consumer Finance — 1.5%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.26%, 1/13/12 (g)

 

 

110

 

 

91,575

 

7.80%, 6/01/12

 

 

500

 

 

462,523

 

 

 

 

 

 




 

 

 

 

 

 

554,098

 









Containers & Packaging — 3.0%

 

 

 

 

 

 

 

Berry Plastics Holding Corp., 4.50%, 9/15/14 (g)

 

 

75

 

 

54,000

 

Cascades, Inc., 7.25%, 2/15/13

 

 

175

 

 

164,937

 

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

 

 

85

 

 

84,150

 

Graphic Packaging International, Inc.:

 

 

 

 

 

 

 

9.50%, 8/15/13

 

 

5

 

 

5,013

 

9.50%, 6/15/17 (b)

 

 

205

 

 

210,125

 

Impress Holdings BV, 3.63%, 9/15/13 (b)(g)

 

 

270

 

 

246,713

 

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

 

 

310

 

 

279,000

 

Solo Cup Co., 10.50%, 11/01/13 (b)

 

 

80

 

 

84,000

 

 

 

 

 

 




 

 

 

 

 

 

1,127,938

 









Diversified Financial Services — 3.3%

 

 

 

 

 

 

 

CDX North America High Yield Series 6-T1, 8.63%, 6/29/11 (b)

 

 

435

 

 

454,575

 

CIT Group, Inc., 5.00%, 2/01/15

 

 

195

 

 

109,737

 

GMAC LLC (b):

 

 

 

 

 

 

 

6.88%, 9/15/11

 

 

100

 

 

92,250

 

2.56%, 12/01/14 (g)

 

 

143

 

 

110,110

 

6.75%, 12/01/14

 

 

130

 

 

106,600

 

8.00%, 11/01/31

 

 

210

 

 

162,225

 

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

 

 

200

 

 

196,000

 

 

 

 

 

 




 

 

 

 

 

 

1,231,497

 









Diversified Telecommunication Services — 7.1%

 

 

 

 

 

 

 

Asia Global Crossing Ltd., 13.38%, 10/15/10 (a)(c)

 

 

2,000

 

 

40,000

 

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

 

 

195

 

 

167,700

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

375

 

 

363,750

 

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

 

 

270

 

 

274,050

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

685

 

 

661,025

 

3.50%, 11/15/25 (e)

 

 

125

 

 

123,750

 

Series B, 7.50%, 2/15/14

 

 

285

 

 

275,025

 

Qwest Corp.:

 

 

 

 

 

 

 

3.88%, 6/15/13 (g)

 

 

230

 

 

212,750

 

8.38%, 5/01/16 (b)

 

 

100

 

 

101,000

 

Wind Acquisition Finance SA, 10.75%, 12/01/15 (b)

 

 

150

 

 

161,250

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

130

 

 

130,000

 

8.63%, 8/01/16

 

 

110

 

 

110,413

 

 

 

 

 

 




 

 

 

 

 

 

2,620,713

 









Electric Utilities — 1.4%

 

 

 

 

 

 

 

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

 

 

416

 

 

364,250

 

NSG Holdings LLC, 7.75%, 12/15/25 (b)

 

 

170

 

 

141,950

 

 

 

 

 

 




 

 

 

 

 

 

506,200

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2009

45




 

 


 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

 

Par 

 

 

 

 

Corporate Bonds

 

(000)

 

Value

 







Electronic Equipment, Instruments & Components — 0.3%

 

 

 

 

 

 

 

Jabil Circuit, Inc., 7.75%, 7/15/16

 

$

50

 

$

49,188

 

Sanmina-SCI Corp., 8.13%, 3/01/16

 

 

50

 

 

43,125

 

 

 

 

 

 




 

 

 

 

 

 

92,313

 









Energy Equipment & Services — 1.0%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

50

 

 

47,500

 

7.75%, 5/15/17

 

 

80

 

 

75,600

 

Hornbeck Offshore Services, Inc. Series B, 6.13%, 12/01/14

 

 

5

 

 

4,575

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

175

 

 

161,000

 

Transocean, Inc. Series A, 1.63%, 12/15/37 (e)

 

 

80

 

 

77,800

 

 

 

 

 

 




 

 

 

 

 

 

366,475

 









Food & Staples Retailing — 0.3%

 

 

 

 

 

 

 

Duane Reade, Inc., 11.75%, 8/01/15 (b)

 

 

30

 

 

30,300

 

Rite Aid Corp., 9.75%, 6/12/16 (b)

 

 

75

 

 

79,313

 

 

 

 

 

 




 

 

 

 

 

 

109,613

 









Food Products — 0.3%

 

 

 

 

 

 

 

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

 

 

100

 

 

102,000

 









Health Care Equipment & Supplies — 2.4%

 

 

 

 

 

 

 

Biomet, Inc., 10.00%, 10/15/17

 

 

75

 

 

78,750

 

Catalent Pharma Solutions, Inc., 9.50%, 4/15/15

 

 

150

 

 

123,750

 

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

 

 

410

 

 

393,600

 

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

 

 

350

 

 

282,625

 

 

 

 

 

 




 

 

 

 

 

 

878,725

 









Health Care Providers & Services — 1.4%

 

 

 

 

 

 

 

Community Health Systems, Inc. Series WI, 8.88%, 7/15/15

 

 

15

 

 

15,056

 

Tenet Healthcare Corp. (b):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

279

 

 

285,975

 

10.00%, 5/01/18

 

 

109

 

 

117,448

 

Viant Holdings, Inc., 10.13%, 7/15/17 (b)

 

 

115

 

 

108,100

 

 

 

 

 

 




 

 

 

 

 

 

526,579

 









Hotels, Restaurants & Leisure — 3.3%

 

 

 

 

 

 

 

American Real Estate Partners LP:

 

 

 

 

 

 

 

8.13%, 6/01/12

 

 

300

 

 

295,500

 

7.13%, 2/15/13

 

 

185

 

 

175,750

 

Gaylord Entertainment Co.:

 

 

 

 

 

 

 

8.00%, 11/15/13

 

 

80

 

 

73,000

 

6.75%, 11/15/14

 

 

280

 

 

235,900

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (a)(b)(c)

 

 

174

 

 

37,410

 

Harrah’s Operating Co., Inc. (b):

 

 

 

 

 

 

 

10.00%, 12/15/15

 

 

70

 

 

50,050

 

10.00%, 12/15/18

 

 

353

 

 

247,100

 

Scientific Games Corp., 0.75%, 12/01/24 (e)(h)

 

 

60

 

 

58,725

 

Travelport LLC, 4.99%, 9/01/14 (g)

 

 

25

 

 

18,125

 

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

 

 

25

 

 

16

 

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

 

 

445

 

 

45,613

 

 

 

 

 

 




 

 

 

 

 

 

1,237,189

 









Household Durables — 0.9%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

8.38%, 4/15/12

 

 

160

 

 

120,800

 

8.13%, 6/15/16

 

 

25

 

 

15,500

 

4.63%, 6/15/24 (e)

 

 

20

 

 

16,500

 

Jarden Corp., 8.00%, 5/01/16

 

 

40

 

 

41,000

 

 

 

 

 

 

 

 

 

 

 

Par 

 

 

 

 

Corporate Bonds

 

(000)

 

Value

 







Household Durables (concluded)

 

 

 

 

 

 

 

KB Home, 9.10%, 9/15/17

 

$

60

 

$

61,200

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

10

 

 

7,850

 

7.00%, 8/15/15

 

 

35

 

 

27,475

 

Toll Brothers Finance Corp., 8.91%, 10/15/17

 

 

44

 

 

48,988

 

 

 

 

 

 




 

 

 

 

 

 

339,313

 









IT Services — 2.4%

 

 

 

 

 

 

 

Alliance Data Systems Corp., 1.75%, 8/01/13 (b)(e)

 

 

250

 

 

222,500

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

30

 

 

25,650

 

11.25%, 3/31/16 (b)

 

 

435

 

 

332,775

 

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

 

 

120

 

 

77,400

 

iPayment Investors LP, 12.75%, 7/15/14 (b)(d)

 

 

566

 

 

141,458

 

SunGard Data Systems, Inc., 10.63%, 5/15/15 (b)

 

 

100

 

 

103,250

 

 

 

 

 

 




 

 

 

 

 

 

903,033

 









Independent Power Producers & Energy Traders — 4.5%

 

 

 

 

 

 

 

AES Eastern Energy LP Series 99-B, 9.67%, 1/02/29

 

 

105

 

 

90,300

 

AES Red Oak LLC:

 

 

 

 

 

 

 

Series A, 8.54%, 11/30/19

 

 

121

 

 

110,878

 

Series B, 9.20%, 11/30/29

 

 

500

 

 

447,500

 

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

 

 

170

 

 

169,150

 

Energy Future Holdings Corp., 11.25%, 11/01/17 (d)

 

 

610

 

 

348,895

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

130

 

 

126,425

 

7.38%, 2/01/16

 

 

280

 

 

267,750

 

Texas Competitive Electric Holdings Co. LLC, 10.50%, 11/01/16 (d)

 

 

169

 

 

93,779

 

 

 

 

 

 




 

 

 

 

 

 

1,654,677

 









Industrial Conglomerates — 1.4%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

380

 

 

239,400

 

13.50%, 12/01/15 (d)

 

 

567

 

 

296,076

 

 

 

 

 

 




 

 

 

 

 

 

535,476

 









Insurance — 0.9%

 

 

 

 

 

 

 

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

 

 

300

 

 

273,750

 

USI Holdings Corp., 4.32%, 11/15/14 (b)(g)

 

 

100

 

 

77,250

 

 

 

 

 

 




 

 

 

 

 

 

351,000

 









Leisure Equipment & Products — 0.6%

 

 

 

 

 

 

 

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

 

 

195

 

 

204,262

 









Machinery — 1.7%

 

 

 

 

 

 

 

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

 

 

200

 

 

158,000

 

Accuride Corp., 8.50%, 2/01/2015

 

 

85

 

 

17,000

 

RBS Global, Inc.:

 

 

 

 

 

 

 

9.50%, 8/01/14 (b)

 

 

31

 

 

28,520

 

8.88%, 9/01/16

 

 

70

 

 

56,175

 

Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (b)

 

 

510

 

 

382,500

 

 

 

 

 

 




 

 

 

 

 

 

642,195

 









Marine — 0.4%

 

 

 

 

 

 

 

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

 

 

95

 

 

69,113

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

106

 

 

92,750

 

 

 

 

 

 




 

 

 

 

 

 

161,863

 









Media — 9.4%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

 

390

 

 

387,562

 

10.13%, 10/15/13 (b)

 

 

65

 

 

64,594

 

CCO Holdings LLC, 8.75%, 11/15/13 (a)(c)

 

 

85

 

 

85,850

 

CMP Susquehanna Corp., 4.75%, 5/15/14 (b)

 

 

23

 

 

460

 

CSC Holdings, Inc.:

 

 

 

 

 

 

 

8.50%, 4/15/14 (b)

 

 

80

 

 

81,200

 

Series B, 7.63%, 4/01/11

 

 

45

 

 

45,562

 


 

 

 

See Notes to Financial Statements.




46

ANNUAL REPORT

AUGUST 31, 2009




 

 


 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

 

Par 

 

 

 

 

Corporate Bonds

 

(000)

 

Value

 







Media (concluded)

 

 

 

 

 

 

 

Charter Communications Holdings II, LLC (a)(c):

 

 

 

 

 

 

 

10.25%, 9/15/10

 

$

165

 

$

183,356

 

Series B, 10.25%, 9/15/10

 

 

65

 

 

72,231

 

Charter Communications Operating, LLC (a)(b)(c):

 

 

 

 

 

 

 

8.00%, 4/30/12 (i)

 

 

30

 

 

30,225

 

8.38%, 4/30/14

 

 

110

 

 

111,375

 

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

 

 

40

 

 

39,200

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (g)

 

 

50

 

 

35,750

 

9.50%, 5/15/15

 

 

60

 

 

51,000

 

Intelsat Corp., 6.88%, 1/15/28

 

 

210

 

 

156,450

 

Local Insight Regatta Holdings, Inc., 11.00%, 12/01/17 (g)

 

 

150

 

 

57,000

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

245

 

 

49,613

 

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

 

 

350

 

 

330,750

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(c)(e)

 

 

414

 

 

165,622

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

310

 

 

313,100

 

10.38%, 9/01/14

 

 

378

 

 

395,010

 

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

 

 

600

 

 

546,000

 

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

 

 

100

 

 

101,125

 

Virgin Media, Inc., 6.50%, 11/15/16 (b)(e)

 

 

205

 

 

185,781

 

 

 

 

 

 




 

 

 

 

 

 

3,488,816

 









Metals & Mining — 3.6%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

120

 

 

300

 

10.00%, 12/15/16

 

 

125

 

 

312

 

Anglo American Capital Plc, 9.38%, 4/08/19 (b)

 

 

100

 

 

117,000

 

Drummond Co., Inc., 7.38%, 2/15/16 (b)

 

 

40

 

 

35,200

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

85

 

 

89,675

 

10.63%, 9/01/16

 

 

205

 

 

220,375

 

Freeport-McMoRan Copper & Gold, Inc., 8.38%, 4/01/17

 

 

140

 

 

145,950

 

Novelis, Inc., 11.50%, 2/15/15 (b)

 

 

110

 

 

106,425

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.86%, 11/01/14 (g)

 

 

60

 

 

51,000

 

12.00%, 11/01/15

 

 

70

 

 

64,400

 

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

 

 

115

 

 

112,988

 

Teck Resources Ltd.:

 

 

 

 

 

 

 

10.25%, 5/15/16

 

 

55

 

 

60,775

 

10.75%, 5/15/19

 

 

205

 

 

233,444

 

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

 

 

105

 

 

98,700

 

 

 

 

 

 




 

 

 

 

 

 

1,336,544

 









Multiline Retail — 0.3%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

50

 

 

55,500

 

11.88%, 7/15/17 (d)

 

 

40

 

 

44,900

 

 

 

 

 

 




 

 

 

 

 

 

100,400

 









Oil, Gas & Consumable Fuels — 10.2%

 

 

 

 

 

 

 

Arch Coal, Inc., 8.75%, 8/01/16 (b)

 

 

55

 

 

55,000

 

Atlas Energy Operating Co. LLC, 12.13%, 8/01/17

 

 

80

 

 

84,400

 

Atlas Energy Resources LLC, 10.75%, 2/01/18 (b)

 

 

180

 

 

181,800

 

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

 

 

80

 

 

71,200

 

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

 

 

40

 

 

41,600

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

9.50%, 2/15/15

 

 

95

 

 

96,900

 

6.38%, 6/15/15

 

 

90

 

 

82,012

 

6.63%, 1/15/16

 

 

250

 

 

227,187

 

7.25%, 12/15/18

 

 

50

 

 

45,750

 

2.25%, 12/15/38 (e)

 

 

125

 

 

83,906

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

30

 

 

30,450

 

10.25%, 12/15/15

 

 

170

 

 

119,850

 

 

 

 

 

 

 

 

 

 

 

Par 

 

 

 

 

Corporate Bonds

 

(000)

 

Value

 







Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Corral Finans AB, 2.01%, 4/15/10 (b)(d)

 

$

249

 

$

180,920

 

Denbury Resources, Inc., 7.50%, 12/15/15

 

 

30

 

 

29,250

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

345

 

 

338,100

 

Encore Acquisition Co., 6.00%, 7/15/15

 

 

40

 

 

34,400

 

Forest Oil Corp., 7.25%, 6/15/19

 

 

390

 

 

366,600

 

Frontier Oil Corp., 6.63%, 10/01/11

 

 

65

 

 

64,675

 

Massey Energy Co., 3.25%, 8/01/15 (e)

 

 

235

 

 

175,663

 

Newfield Exploration Co., 6.63%, 9/01/14

 

 

30

 

 

28,950

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

400

 

 

260,000

 

Overseas Shipholding Group, Inc., 7.50%, 2/15/24

 

 

350

 

 

280,000

 

PetroHawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14 (b)

 

 

100

 

 

107,000

 

7.88%, 6/01/15

 

 

15

 

 

14,550

 

Range Resources Corp., 7.38%, 7/15/13

 

 

185

 

 

183,150

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

130

 

 

105,300

 

SandRidge Energy, Inc., 8.00%, 6/01/18 (b)

 

 

165

 

 

149,325

 

Whiting Petroleum Corp., 7.25%, 5/01/13

 

 

370

 

 

366,300

 

 

 

 

 

 




 

 

 

 

 

 

3,804,238

 









Paper & Forest Products — 2.7%

 

 

 

 

 

 

 

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

 

 

19

 

 

7,641

 

Clearwater Paper Corp., 10.63%, 6/15/16 (b)

 

 

70

 

 

74,987

 

Georgia-Pacific Corp., 8.13%, 5/15/11

 

 

30

 

 

30,825

 

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

 

 

285

 

 

287,850

 

International Paper Co., 9.38%, 5/15/19

 

 

95

 

 

106,752

 

NewPage Corp., 10.00%, 5/01/12

 

 

500

 

 

271,250

 

Norske Skog Canada Ltd., 7.38%, 3/01/14

 

 

120

 

 

48,000

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14 (b)

 

 

60

 

 

58,800

 

Series B, 4.23%, 8/01/14 (g)

 

 

40

 

 

22,400

 

Series B, 9.13%, 8/01/14

 

 

140

 

 

91,350

 

 

 

 

 

 




 

 

 

 

 

 

999,855

 









Pharmaceuticals — 0.8%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.11%, 12/01/13 (g)

 

 

230

 

 

193,200

 

Valeant Pharmaceuticals International, 8.38%, 6/15/16 (b)

 

 

95

 

 

96,425

 

 

 

 

 

 




 

 

 

 

 

 

289,625

 









Professional Services — 0.3%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

100

 

 

97,500

 









Real Estate Investment Trusts (REITs) — 0.2%

 

 

 

 

 

 

 

HCP, Inc., 5.65%, 12/15/13

 

 

80

 

 

77,075

 









Real Estate Management & Development — 0.4%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

10.50%, 4/15/14

 

 

95

 

 

56,525

 

12.38%, 4/15/15

 

 

187

 

 

75,735

 

 

 

 

 

 




 

 

 

 

 

 

132,260

 









Semiconductors & Semiconductor Equipment — 0.5%

 

 

 

 

 

 

 

Spansion, Inc., 3.79%, 6/01/13 (a)(b)(c)

 

 

190

 

 

168,625

 









Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.35%, 2/15/12 (b)(d)(g)

 

 

79

 

 

1,271

 









Specialty Retail — 2.5%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 7.63%, 3/15/17

 

 

60

 

 

49,200

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

6.40%, 3/15/14 (g)

 

 

280

 

 

246,400

 

10.75%, 3/15/15

 

 

225

 

 

212,625

 

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

 

 

25

 

 

17,719

 

Lazydays RV Center, Inc., 11.75%, 5/15/12 (a)(c)

 

 

468

 

 

4,680

 

Limited Brands, Inc., 8.50%, 6/15/19 (b)

 

 

140

 

 

141,824

 

Michaels Stores, Inc., 11.38%, 11/01/16

 

 

125

 

 

107,500

 

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

 

 

180

 

 

158,400

 

 

 

 

 

 




 

 

 

 

 

 

938,348

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2009

47




 

 


 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

 

Par 

 

 

 

 

Corporate Bonds

 

(000)

 

Value

 







Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

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

 

$

100

 

$

63,500

 









Trading Companies & Distributors — 0.3%

 

 

 

 

 

 

 

Russel Metals, Inc., 6.38%, 3/01/14

 

 

125

 

 

110,000

 









Wireless Telecommunication Services — 5.1%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.38%, 11/01/14

 

 

260

 

 

245,050

 

10.00%, 7/15/15

 

 

145

 

 

140,287

 

7.75%, 5/15/16 (b)

 

 

250

 

 

242,500

 

Crown Castle International Corp., 9.00%, 1/15/15

 

 

40

 

 

41,600

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

230

 

 

205,275

 

9.13%, 1/15/15 (d)

 

 

294

 

 

259,087

 

iPCS, Inc., 2.61%, 5/01/13 (g)

 

 

110

 

 

90,200

 

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

 

 

375

 

 

367,969

 

Nextel Communications, Inc., Series F, 5.95%, 3/15/14

 

 

20

 

 

16,800

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

7.63%, 1/30/11

 

 

250

 

 

250,313

 

6.88%, 11/15/28

 

 

40

 

 

29,100

 

 

 

 

 

 




 

 

 

 

 

 

1,888,181

 









Total Corporate Bonds — 87.6%

 

 

 

 

 

32,530,972

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

 

 

 

 

 









Auto Components — 2.4%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan, 3.03%, 8/07/14

 

 

394

 

 

336,780

 

Dana Holding Corp, Term Advance, 7.25%, 1/31/15

 

 

306

 

 

234,345

 

Delphi Corp. (a)(c):

 

 

 

 

 

 

 

Initial Tranche Term Loan C, 10.50%, 12/31/09

 

 

538

 

 

295,801

 

Subsequent Tranche Term Loan C, 10.50%, 12/31/09

 

 

55

 

 

30,074

 

 

 

 

 

 




 

 

 

 

 

 

897,000

 









Automobiles — 0.3%

 

 

 

 

 

 

 

Ford Motor Co., Term Loan, 3.28% – 3.51%, 12/15/13

 

 

112

 

 

97,113

 









Chemicals — 1.0%

 

 

 

 

 

 

 

PQ Corp, (fka Niagara Acquisition, Inc.), Loan (Second Lien), 6.77%, 7/30/15

 

 

500

 

 

275,000

 

Solutia Inc., Loan, 7.25%, 2/28/14

 

 

112

 

 

110,789

 

 

 

 

 

 




 

 

 

 

 

 

385,789

 









Food & Staples Retailing — 0.6%

 

 

 

 

 

 

 

Rite Aid Corp., Term Loan, 9.50%, 6/04/15

 

 

200

 

 

207,000

 









Health Care Providers & Services — 2.0%

 

 

 

 

 

 

 

HCA Inc., Tranche A-1 Term Loan, 2.10%, 11/17/12

 

 

644

 

 

601,625

 

Rotech Healthcare, Inc., Term Loan B, 6.26%, 9/26/11

 

 

314

 

 

150,510

 

 

 

 

 

 




 

 

 

 

 

 

752,135

 









Hotels, Restaurants & Leisure — 0.7%

 

 

 

 

 

 

 

Travelport LLC (fka Travelport Inc.) Loan, 8.49%, 3/27/12

 

 

487

 

 

272,979

 









Independent Power Producers & Energy Traders — 1.7%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan, 3.78% – 3.79%, 10/10/14

 

 

345

 

 

261,909

 

Initial Tranche B-3 Term Loan, 3.78% – 3.79%, 10/10/14

 

 

491

 

 

371,771

 

 

 

 

 

 




 

 

 

 

 

 

633,680

 









 

 

 

 

 

 

 

 

 

 

Par 

 

 

 

 

Floating Rate Loan Interests

 

(000)

 

Value

 







Machinery — 1.2%

 

 

 

 

 

 

 

Navistar International Corp.:

 

 

 

 

 

 

 

Revolving Credit-Linked Deposit, 3.36% – 3.51%, 1/19/10

 

$

130

 

$

120,900

 

Term Advance, 3.51%, 1/19/12

 

 

355

 

 

330,150

 

 

 

 

 

 




 

 

 

 

 

 

451,050

 









Media — 3.4%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Loan, 8.27%, 3/01/10

 

 

340

 

 

297,926

 

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

 

 

248

 

 

237,600

 

HMH Publishing Co. Ltd., (fka Education Media):

 

 

 

 

 

 

 

Mezzanine, 17.50%, 11/14/14

 

 

1,131

 

 

169,670

 

Tranche A Term Loan, 5.26%, 6/12/14

 

 

439

 

 

339,575

 

Newsday, LLC, Fixed Rate Term Loan, 9.75%, 8/01/13

 

 

100

 

 

101,750

 

World Color Press, Inc. and World Color (USA) Corp. (fka Quebecor World, Inc.) Advance, 9.00%, 7/23/12

 

 

100

 

 

99,250

 

 

 

 

 

 




 

 

 

 

 

 

1,245,771

 









Multiline Retail — 0.1%

 

 

 

 

 

 

 

The Neiman Marcus Group Inc., Term Loan, 2.28% – 2.63%, 4/06/13

 

 

20

 

 

16,464

 









Paper & Forest Products — 0.1%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, Loan, 6.73% – 7.48%, 2/01/13

 

 

192

 

 

38,409

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores, Term Loan B, 3.11%, 5/29/14

 

 

50

 

 

32,571

 









Total Floating Rate Loan Interests — 13.6%

 

 

 

 

 

5,029,961

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

Beneficial

 

 

 

 

 

 

 

Interest

 

 

 

 

Other Interests (j)

 

 

(000)

 

 

 

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

 

5

 

 

953

 









Total Other Interests — 0.0%

 

 

 

 

 

953

 









 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Preferred Stocks

 

 

 

 

 

 

 









Capital Markets — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco, LLC (b)

 

 

12

 

 

3,060

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp. (b)(k)

 

 

5,410

 

 

 









Total Preferred Stocks — 0.0%

 

 

 

 

 

3,060

 









Total Preferred Securities — 0.0%

 

 

 

 

 

3,060

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants (l)

 

 

 

 

 

 

 









Communications Equipment — 0.0%

 

 

 

 

 

 

 

PF Net Communications, Inc. (expires 5/15/10) (b)

 

 

600

 

 

 









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

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

1

 









Total Long-Term Investments
(Cost — $46,990,810) — 102.4%

 

 

 

 

 

38,023,663

 










 

 

 

See Notes to Financial Statements.




48

ANNUAL REPORT

AUGUST 31, 2009




 

 


 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 







BlackRock Liquidity Funds, TempFund, 0.22% (m)(n)

 

 

2,180,193

 

$

2,180,193

 









Total Short-Term Securities
(Cost — $2,180,193) — 5.9%

 

 

 

 

 

2,180,193

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 








Over-the-Counter Call Options

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, expiring December 2019 at $942.86

 

 

3

 

 

3,000

 









Total Options Purchased
(Cost — $2,933) — 0.0%

 

 

 

 

 

3,000

 









Total Investments (Cost — $49,173,936*) — 108.3%

 

 

 

 

 

40,206,856

 

Liabilities in Excess of Other Assets — (8.3)%

 

 

 

 

 

(3,070,036

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

37,136,820

 

 

 

 

 

 





 

 



*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

49,311,367

 

 

 




Gross unrealized appreciation

 

$

1,216,526

 

Gross unrealized depreciation

 

 

(10,321,037

)

 

 




Net unrealized depreciation

 

$

(9,104,511

)

 

 





 

 

(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)

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

 

 

(d)

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

 

 

(e)

Convertible security.

 

 

(f)

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

 

 

(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)

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

 

 

(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.

 

 

(m)

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


 

 

 




 

Net

 

Affiliate

Activity

Income




BlackRock Liquidity Funds, TempFund

$2,180,193

$5,470





 

 

(n)

Represents the current yield as of report date.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

 

Pay

 

 

 

 

 

 

 

Notional

 

 

 

 

Fixed

 

 

 

 

 

 

Amount

 

Unrealized

 

Issuer

 

Rate

 

Counterparty

 

Expiration

 

(000)

 

Appreciation

 













Brunswick Corp.

 

 

5.00%

 

 

Credit Suisse

 

 

September 2014

 

 

$150

 

$

2,114

 

Limited Brands, Inc.

 

 

1.00%

 

 

JPMorgan Chase Bank NA

 

 

September 2014

 

 

$160

 

 

1,828

 


















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

3,942

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 175 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

 

 

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)

 

 

 

 

The inputs or methodology 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.


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2009

49




 

 


 

 

Schedule of Investments (concluded)

BlackRock High Yield Trust (BHY)

The following table summarizes the inputs used as of August 31, 2009 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 






Valuation Inputs

 

Investments in
Securities

 





 

 

Assets

 

 

 



Level 1

 

 

 

Short-Term Securities

 

$

2,180,193

 

Long-Term Investments:

 

 

 

 

Common Stocks

 

 

455,109

 

 

 




Total Level 1

 

 

2,635,302

 

 

 




Level 2

 

 

 

 

Long-Term Investments:

 

 

 

 

Common Stocks

 

 

3,607

 

Corporate Bonds

 

 

31,381,677

 

Floating Rate Loan Interests

 

 

2,448,314

 

Preferred Stocks

 

 

3,060

 

 

 




Total Level 2

 

 

33,836,658

 

 

 




Level 3

 

 

 

 

Long-Term Investments:

 

 

 

 

Corporate Bonds

 

 

1,149,295

 

Floating Rate Loan Interests

 

 

2,581,647

 

Other Interests

 

 

953

 

Warrants

 

 

1

 

 

 




Total Level 3

 

 

3,731,896

 

 

 




Total

 

$

40,203,856

 

 

 





 

 

 

 

 

 







Valuation Inputs

Other Financial Instruments1

 




 

 

Assets

 

 

 



Level 1

 

 

 

Level 2

 

$

6,942

 

Level 3

 

 

 

 

 




Total

 

$

6,942

 

 

 





 

 

 

 

1

Other financial instruments are swaps and options purchased. Swaps are shown at the unrealized appreciation/depreciation on the instrument and options purchased are shown at market value.

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 





 

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Warrants

 

Total

 













Balance, as of August 31, 2008

 

 

 

$

189,740

 

$

1,592

 

$

1

 

$

191,333

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

 

(45,833

)

 

 

 

 

 

(45,833

)

Change in unrealized appreciation (depreciation)2

 

$

(80,665

)

 

690,328

 

 

(639

)

 

 

 

609,024

 

Net purchases (sales)

 

 

 

 

(103,229

)

 

 

 

 

 

(103,229

)

Net transfers in/out of Level 3

 

 

1,229,960

 

 

1,850,641

 

 

 

 

 

 

3,080,601

 

 

 
















Balance, as of August 31, 2009

 

$

1,149,295

 

$

2,581,647

 

$

953

 

$

1

 

$

3,731,896

 

 

 

















 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

See Notes to Financial Statements.




50

ANNUAL REPORT

AUGUST 31, 2009



 

 



 

 

Schedule of Investments August 31, 2009

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 







Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class A1, 0.57%, 11/25/34 (a)

 

USD

1,007

 

$

679,051

 

Ford Credit Auto Owner Trust Series 2009-A Class A3B, 2.77%, 5/15/13 (a)

 

 

6,095

 

 

6,253,927

 

Harley-Davidson Motorcycle Trust Series 2005-2 Class A2, 4.07%, 2/15/12

 

 

810

 

 

821,314

 

Home Equity Asset Trust Series 2007-2 Class 2A1, 0.38%, 7/25/37 (a)

 

 

495

 

 

455,120

 

JPMorgan Mortgage Acquisition Corp. Series 2007-CH5 Class A3, 0.38%, 6/25/37 (a)

 

 

2,465

 

 

1,186,257

 

SLM Student Loan Trust Series 2008-5 (a):

 

 

 

 

 

 

 

Class A2, 1.60%, 10/25/16

 

 

3,300

 

 

3,329,800

 

Class A3, 1.80%, 1/25/18

 

 

840

 

 

850,459

 

Class A4, 2.20%, 7/25/23

 

 

2,250

 

 

2,296,528

 

Small Business Administration Participation Certificates Series 1996-20K Class 1, 6.95%, 11/01/16

 

 

434

 

 

462,296

 

Wachovia Auto Owner Trust Series 2006-A Class A4, 5.38%, 3/20/13

 

 

1,661

 

 

1,704,600

 

 

 

 

 

 




 

 

 

 

 

 

18,039,352

 









Interest Only — 0.4%

 

 

 

 

 

 

 

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

 

 

6,687

 

 

516,147

 

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

 

 

8,549

 

 

713,336

 

 

 

 

 

 




 

 

 

 

 

 

1,229,483

 









Total Asset-Backed Securities — 5.6%

 

 

 

 

 

19,268,835

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

 

 

 

 

 

 









Aerospace & Defense — 0.9%

 

 

 

 

 

 

 

Honeywell International, Inc., 5.70%, 3/15/37

 

 

915

 

 

981,553

 

United Technologies Corp.:

 

 

 

 

 

 

 

4.88%, 5/01/15

 

 

1,250

 

 

1,360,316

 

6.13%, 7/15/38

 

 

750

 

 

843,305

 

 

 

 

 

 




 

 

 

 

 

 

3,185,174

 









Air Freight & Logistics — 0.6%

 

 

 

 

 

 

 

Park-Ohio Industries, Inc., 8.38%, 11/15/14

 

 

165

 

 

104,156

 

United Parcel Service, Inc., 6.20%, 1/15/38

 

 

1,710

 

 

1,934,396

 

 

 

 

 

 




 

 

 

 

 

 

2,038,552

 









Airlines — 0.0%

 

 

 

 

 

 

 

American Airlines Series 99-1, 7.32%, 4/15/11

 

 

120

 

 

118,200

 









Auto Components — 0.0%

 

 

 

 

 

 

 

Lear Corp., 8.75%, 12/01/16 (b)(c)

 

 

130

 

 

70,200

 









Beverages — 0.6%

 

 

 

 

 

 

 

Anheuser-Busch InBev Worldwide, Inc., 8.20%, 1/15/39 (d)

 

 

1,525

 

 

1,934,868

 









Building Products — 0.1%

 

 

 

 

 

 

 

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

 

 

230

 

 

164,450

 

Masco Corp., 7.13%, 8/15/13

 

 

235

 

 

227,541

 

 

 

 

 

 




 

 

 

 

 

 

391,991

 









Capital Markets — 1.8%

 

 

 

 

 

 

 

The Bank of New York Mellon Corp, 4.30%, 5/15/14

 

 

1,560

 

 

1,641,277

 

Credit Suisse (USA) Inc.:

 

 

 

 

 

 

 

6.13%, 11/15/11 (e)

 

 

700

 

 

752,163

 

7.13%, 7/15/32

 

 

1,000

 

 

1,128,078

 

The Goldman Sachs Group, Inc., 6.60%, 1/15/12

 

 

1,000

 

 

1,082,632

 

Lehman Brothers Holdings, Inc., 6.50%, 7/19/17 (b)(c)

 

 

225

 

 

23

 

Morgan Stanley, 6.25%, 8/28/17

 

 

900

 

 

927,961

 

UBS AG Series DPNT, 5.88%, 12/20/17 (f)

 

 

800

 

 

792,674

 

 

 

 

 

 




 

 

 

 

 

 

6,324,808

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Chemicals — 0.7%

 

 

 

 

 

 

 

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

 

USD

280

 

$

252,700

 

Ames True Temper, Inc., 4.51%, 1/15/12 (a)

 

 

720

 

 

633,600

 

Huntsman International LLC, 7.88%, 11/15/14

 

 

275

 

 

244,750

 

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

 

 

975

 

 

945,750

 

NOVA Chemicals Corp.:

 

 

 

 

 

 

 

6.50%, 1/15/12

 

 

115

 

 

111,694

 

4.54%, 11/15/13 (a)

 

 

275

 

 

242,000

 

 

 

 

 

 




 

 

 

 

 

 

2,430,494

 









Commercial Banks — 1.5%

 

 

 

 

 

 

 

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

 

 

4,150

 

 

2,759,264

 

Eksportfinans A/S, 5.50%, 6/26/17

 

 

1,000

 

 

1,051,007

 

HSBC Finance Corp., 6.50%, 5/02/36

 

 

1,275

 

 

1,314,849

 

 

 

 

 

 




 

 

 

 

 

 

5,125,120

 









Commercial Services & Supplies — 0.7%

 

 

 

 

 

 

 

DI Finance Series B, 9.50%, 2/15/13

 

 

679

 

 

688,336

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

600

 

 

594,000

 

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

 

 

1,210

 

 

1,116,225

 

 

 

 

 

 




 

 

 

 

 

 

2,398,561

 









Consumer Finance — 0.2%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.26%, 1/13/12 (a)

 

 

120

 

 

99,900

 

7.80%, 6/01/12

 

 

380

 

 

351,517

 

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

 

 

600

 

 

380,954

 

 

 

 

 

 




 

 

 

 

 

 

832,371

 









Containers & Packaging — 0.4%

 

 

 

 

 

 

 

Ball Corp.:

 

 

 

 

 

 

 

7.13%, 9/01/16

 

 

275

 

 

275,000

 

7.38%, 9/01/19

 

 

275

 

 

274,313

 

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

 

 

150

 

 

148,500

 

Impress Holdings BV, 3.63%, 9/15/13 (a)(d)

 

 

330

 

 

301,538

 

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

 

 

535

 

 

481,500

 

 

 

 

 

 




 

 

 

 

 

 

1,480,851

 









Diversified Financial Services — 1.9%

 

 

 

 

 

 

 

Bank of America Corp., 6.00%, 9/01/17

 

 

1,795

 

 

1,783,736

 

CIT Group, Inc.:

 

 

 

 

 

 

 

4.25%, 2/01/10

 

 

90

 

 

55,732

 

4.75%, 12/15/10

 

 

95

 

 

57,530

 

5.80%, 7/28/11

 

 

115

 

 

68,494

 

5.40%, 2/13/12

 

 

90

 

 

52,236

 

General Electric Capital Corp., 6.75%, 3/15/32

 

 

3,000

 

 

2,975,895

 

JPMorgan Chase & Co., 6.30%, 4/23/19

 

 

1,375

 

 

1,507,382

 

 

 

 

 

 




 

 

 

 

 

 

6,501,005

 









Diversified Telecommunication Services — 6.0%

 

 

 

 

 

 

 

AT&T Inc., 6.55%, 2/15/39

 

 

4,075

 

 

4,446,400

 

BellSouth Telecommunications, Inc., 7.77%, 12/15/95 (g)

 

 

1,700

 

 

990,383

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

440

 

 

426,800

 

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

 

 

935

 

 

949,025

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

15

 

 

14,475

 

Series B, 7.50%, 2/15/14

 

 

10

 

 

9,650

 

Qwest Corp., 3.88%, 6/15/13 (a)

 

 

375

 

 

346,875

 

Telecom Italia Capital SA, 4.95%, 9/30/14

 

 

4,375

 

 

4,515,359

 


 

 

 

 

See Notes to Financial Statements.

 

 




 

ANNUAL REPORT

AUGUST 31, 2009

51




 

 



 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Diversified Telecommunication Services (concluded)

 

 

 

 

 

 

 

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

 

USD

1,000

 

$

1,186,000

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

6.40%, 2/15/38

 

 

2,100

 

 

2,270,125

 

8.95%, 3/01/39

 

 

1,125

 

 

1,531,095

 

Verizon Global Funding Corp., 7.75%, 6/15/32

 

 

575

 

 

684,171

 

Verizon Maryland, Inc.:

 

 

 

 

 

 

 

Series A, 6.13%, 3/01/12

 

 

1,355

 

 

1,445,738

 

Series B, 5.13%, 6/15/33

 

 

540

 

 

447,042

 

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

 

 

750

 

 

773,022

 

Wind Acquisition Finance SA, 10.75%, 12/01/15 (d)

 

 

85

 

 

91,375

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

260

 

 

260,000

 

8.63%, 8/01/16

 

 

230

 

 

230,863

 

 

 

 

 

 




 

 

 

 

 

 

20,618,398

 









Electric Utilities — 4.9%

 

 

 

 

 

 

 

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

 

 

550

 

 

608,519

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

325

 

 

358,290

 

6.00%, 1/15/38

 

 

850

 

 

945,606

 

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

 

 

1,575

 

 

1,796,155

 

EDP Finance BV, 6.00%, 2/02/18 (d)

 

 

1,250

 

 

1,348,196

 

Electricité de France SA, 6.95%, 1/26/39 (d)

 

 

1,400

 

 

1,709,711

 

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

 

 

158

 

 

138,063

 

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

 

 

575

 

 

563,962

 

Florida Power Corp.:

 

 

 

 

 

 

 

6.35%, 9/15/37

 

 

1,450

 

 

1,686,495

 

6.40%, 6/15/38

 

 

800

 

 

937,858

 

PacifiCorp., 6.25%, 10/15/37

 

 

650

 

 

741,362

 

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

 

 

1,350

 

 

1,550,356

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.63%, 2/01/36

 

 

675

 

 

717,526

 

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

 

 

150

 

 

153,515

 

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

 

 

1,100

 

 

1,228,036

 

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

 

 

350

 

 

355,394

 

Virginia Electric and Power Co., 8.88%, 11/15/38

 

 

1,550

 

 

2,150,921

 

 

 

 

 

 




 

 

 

 

 

 

16,989,965

 









Electronic Equipment, Instruments & Components — 0.1%

 

 

 

 

 

 

 

Sanmina-SCI Corp., 8.13%, 3/01/16

 

 

330

 

 

284,625

 









Energy Equipment & Services — 0.0%

 

 

 

 

 

 

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

85

 

 

78,200

 









Food & Staples Retailing — 1.2%

 

 

 

 

 

 

 

CVS Caremark Corp., 6.25%, 6/01/27

 

 

850

 

 

918,540

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37

 

 

1,975

 

 

2,277,043

 

6.20%, 4/15/38

 

 

850

 

 

948,454

 

 

 

 

 

 




 

 

 

 

 

 

4,144,037

 









Food Products — 0.6%

 

 

 

 

 

 

 

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

 

 

1,670

 

 

1,932,644

 









Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

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

 

 

900

 

 

864,000

 









Health Care Providers & Services — 0.3%

 

 

 

 

 

 

 

Tenet Healthcare Corp. (d):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

670

 

 

686,750

 

10.00%, 5/01/18

 

 

280

 

 

301,700

 

 

 

 

 

 




 

 

 

 

 

 

988,450

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Hotels, Restaurants & Leisure — 0.4%

 

 

 

 

 

 

 

American Real Estate Partners LP, 7.13%, 2/15/13

 

USD

350

 

$

332,500

 

Gaylord Entertainment Co., 6.75%, 11/15/14

 

 

250

 

 

210,625

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (b)(c)(d)

 

 

305

 

 

65,575

 

McDonald’s Corp., 5.70%, 2/01/39

 

 

850

 

 

899,018

 

 

 

 

 

 




 

 

 

 

 

 

1,507,718

 









Household Durables — 1.3%

 

 

 

 

 

 

 

Centex Corp., 5.13% due 10/01/2013

 

 

1,560

 

 

1,489,800

 

D.R. Horton, Inc., 6.13%, 1/15/14

 

 

1,080

 

 

1,023,300

 

Irwin Land LLC:

 

 

 

 

 

 

 

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

 

 

575

 

 

473,553

 

Series A-2, 5.30%, 12/15/35

 

 

780

 

 

589,001

 

KB Home, 6.38%, 8/15/11

 

 

94

 

 

93,060

 

Lennar Corp. Series B, 5.60%, 5/31/15

 

 

420

 

 

369,600

 

Pulte Homes, Inc., 5.20%, 2/15/15

 

 

325

 

 

295,750

 

Toll Brothers Finance Corp., 4.95%, 3/15/14

 

 

260

 

 

253,007

 

 

 

 

 

 




 

 

 

 

 

 

4,587,071

 









Household Products — 0.4%

 

 

 

 

 

 

 

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

 

 

975

 

 

1,183,319

 









IT Services — 0.1%

 

 

 

 

 

 

 

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

 

 

270

 

 

174,150

 

iPayment Investors LP, 12.75%, 7/15/14 (d)(h)

 

 

1,124

 

 

281,103

 

 

 

 

 

 




 

 

 

 

 

 

455,253

 









Independent Power Producers & Energy Traders — 0.1%

 

 

 

 

 

 

 

NRG Energy, Inc., 7.25%, 2/01/14

 

 

50

 

 

48,625

 

TXU Corp., 5.55%, 11/15/14

 

 

210

 

 

134,998

 

 

 

 

 

 




 

 

 

 

 

 

183,623

 









Industrial Conglomerates — 0.3%

 

 

 

 

 

 

 

Sequa Corp. (d):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

760

 

 

478,800

 

13.50%, 12/01/15 (h)

 

 

897

 

 

468,788

 

 

 

 

 

 




 

 

 

 

 

 

947,588

 









Insurance — 2.1%

 

 

 

 

 

 

 

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

 

 

1,415

 

 

1,508,570

 

Hartford Life Global Funding Trusts, 0.80%, 9/15/09 (a)

 

 

1,020

 

 

1,019,676

 

MetLife, Inc., 5.70%, 6/15/35

 

 

1,200

 

 

1,196,083

 

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

 

 

775

 

 

807,616

 

Monument Global Funding Ltd., 0.45%, 6/16/10 (a)

 

 

1,990

 

 

1,915,535

 

Prudential Financial, Inc., 5.70%, 12/14/36

 

 

950

 

 

833,729

 

 

 

 

 

 




 

 

 

 

 

 

7,281,209

 









Machinery — 0.3%

 

 

 

 

 

 

 

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

 

 

400

 

 

316,000

 

Accuride Corp., 8.50%, 2/01/2015 (b)(c)

 

 

305

 

 

61,000

 

Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (d)

 

 

1,050

 

 

787,500

 

 

 

 

 

 




 

 

 

 

 

 

1,164,500

 









Marine — 0.3%

 

 

 

 

 

 

 

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

 

 

1,100

 

 

915,937

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

188

 

 

164,500

 

 

 

 

 

 




 

 

 

 

 

 

1,080,437

 










 

 

 

See Notes to Financial Statements.

 




52

ANNUAL REPORT

AUGUST 31, 2009




 

 



 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Media — 4.6%

 

 

 

 

 

 

 

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

 

USD

740

 

$

735,375

 

Belo Corp., 6.75%, 5/30/13

 

 

205

 

 

178,350

 

CMP Susquehanna Corp., 4.75%, 5/15/14 (d)

 

 

55

 

 

1,100

 

Charter Communications Holdings II, LLC (b)(c):

 

 

 

 

 

 

 

10.25%, 9/15/10

 

 

515

 

 

572,294

 

Series B, 10.25%, 9/15/10

 

 

160

 

 

177,800

 

Comcast Cable Communications Holdings, Inc., 8.38%, 3/15/13

 

 

1,415

 

 

1,635,236

 

Comcast Cable Communications LLC, 6.75%, 1/30/11

 

 

1,000

 

 

1,063,450

 

Local Insight Regatta Holdings, Inc., 11.00%, 12/01/17 (a)

 

 

977

 

 

371,260

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

195

 

 

39,488

 

News America Holdings, Inc.:

 

 

 

 

 

 

 

8.45%, 8/01/34

 

 

2,475

 

 

2,747,173

 

8.15%, 10/17/36

 

 

145

 

 

173,001

 

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

 

 

1,060

 

 

1,001,700

 

Rainbow National Services LLC (d):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

225

 

 

227,250

 

10.38%, 9/01/14

 

 

1,070

 

 

1,118,150

 

TCI Communications, Inc., 8.75%, 8/01/15

 

 

1,495

 

 

1,792,435

 

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

 

 

1,310

 

 

1,192,100

 

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

 

 

970

 

 

1,097,525

 

Time Warner Cos., Inc., 7.57%, 2/01/24

 

 

1,635

 

 

1,721,021

 

 

 

 

 

 




 

 

 

 

 

 

15,844,708

 









Metals & Mining — 0.7%

 

 

 

 

 

 

 

Falconbridge Ltd.:

 

 

 

 

 

 

 

6.00%, 10/15/15

 

 

600

 

 

570,787

 

6.20%, 6/15/35

 

 

1,550

 

 

1,271,056

 

Freeport-McMoRan Copper & Gold, Inc., 8.38%, 4/01/17

 

 

530

 

 

552,525

 

 

 

 

 

 




 

 

 

 

 

 

2,394,368

 









Multi-Utilities — 0.5%

 

 

 

 

 

 

 

Energy East Corp., 6.75%, 7/15/36

 

 

1,675

 

 

1,845,269

 









Multiline Retail — 0.1%

 

 

 

 

 

 

 

Macys Retail Holdings, Inc., 5.88%, 1/15/13

 

 

240

 

 

226,300

 

The May Department Stores Co., 5.75%, 7/15/14

 

 

155

 

 

140,240

 

 

 

 

 

 




 

 

 

 

 

 

366,540

 









Oil, Gas & Consumable Fuels — 6.1%

 

 

 

 

 

 

 

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

 

 

1,505

 

 

1,552,903

 

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

 

 

160

 

 

142,400

 

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

 

 

950

 

 

1,105,554

 

Canadian Natural Resources Ltd.:

 

 

 

 

 

 

 

6.50%, 2/15/37

 

 

430

 

 

465,218

 

6.25%, 3/15/38

 

 

500

 

 

523,717

 

6.75%, 2/01/39

 

 

950

 

 

1,058,603

 

Conoco Funding Co., 7.25%, 10/15/31

 

 

150

 

 

177,526

 

ConocoPhillips, 4.60%, 1/15/15

 

 

450

 

 

479,192

 

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

 

 

150

 

 

160,549

 

ConocoPhillips Holding Co., 6.95%, 4/15/29

 

 

700

 

 

807,010

 

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

 

 

650

 

 

807,580

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

435

 

 

426,300

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

70

 

 

75,505

 

6.63%, 8/15/37

 

 

775

 

 

839,783

 

Encore Acquisition Co., 6.00%, 7/15/15

 

 

50

 

 

43,000

 

Kinder Morgan, Inc., 6.50%, 9/01/12

 

 

195

 

 

198,413

 

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

 

 

800

 

 

841,237

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

950

 

 

982,248

 

6.50%, 9/15/37

 

 

2,115

 

 

2,349,092

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

USD

445

 

$

289,250

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

350

 

 

283,500

 

Shell International Finance BV 6.38%, 12/15/38

 

 

2,050

 

 

2,422,516

 

TEPPCO Partners LP, 6.13%, 2/01/13

 

 

710

 

 

761,946

 

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

 

 

550

 

 

478,058

 

Whiting Petroleum Corp.:

 

 

 

 

 

 

 

7.25%, 5/01/12

 

 

20

 

 

19,900

 

7.25%, 5/01/13

 

 

375

 

 

371,250

 

XTO Energy, Inc.:

 

 

 

 

 

 

 

6.75%, 8/01/37

 

 

2,125

 

 

2,330,243

 

6.38%, 6/15/38

 

 

925

 

 

968,244

 

 

 

 

 

 




 

 

 

 

 

 

20,960,737

 









Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

MeadWestvaco Corp., 6.85%, 4/01/12

 

 

705

 

 

754,253

 

NewPage Corp., 10.00%, 5/01/12

 

 

465

 

 

252,263

 

 

 

 

 

 




 

 

 

 

 

 

1,006,516

 









Pharmaceuticals — 2.5%

 

 

 

 

 

 

 

Eli Lilly & Co., 3.55%, 3/06/12

 

 

630

 

 

659,345

 

GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38

 

 

1,500

 

 

1,753,620

 

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

 

 

900

 

 

1,122,221

 

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

 

 

1,250

 

 

1,484,181

 

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

 

 

1,475

 

 

1,589,507

 

Wyeth, 5.95%, 4/01/37

 

 

1,775

 

 

1,932,980

 

 

 

 

 

 




 

 

 

 

 

 

8,541,854

 









Professional Services — 0.0%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

125

 

 

121,875

 









Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

iStar Financial, Inc., 5.65%, 9/15/11

 

 

300

 

 

171,000

 









Road & Rail — 0.4%

 

 

 

 

 

 

 

Canadian National Railway Co., 6.38%, 10/15/11

 

 

1,000

 

 

1,097,207

 

The Hertz Corp., 8.88%, 1/01/14

 

 

135

 

 

129,263

 

 

 

 

 

 




 

 

 

 

 

 

1,226,470

 









Software — 0.7%

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.35%, 2/15/12 (a)(d)(h)

 

 

132

 

 

2,124

 

Oracle Corp., 5.75%, 4/15/18 (e)(f)

 

 

2,300

 

 

2,524,015

 

 

 

 

 

 




 

 

 

 

 

 

2,526,139

 









Specialty Retail — 0.3%

 

 

 

 

 

 

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

6.40%, 3/15/14 (a)

 

 

500

 

 

440,000

 

10.75%, 3/15/15

 

 

405

 

 

382,725

 

Lazydays RV Center, Inc., 11.75%, 5/15/12 (b)(c)

 

 

357

 

 

3,570

 

Michaels Stores, Inc., 11.38%, 11/01/16

 

 

120

 

 

103,200

 

 

 

 

 

 




 

 

 

 

 

 

929,495

 









Textiles, Apparel & Luxury Goods — 0.0%

 

 

 

 

 

 

 

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

 

 

250

 

 

158,750

 









Wireless Telecommunication Services — 1.9%

 

 

 

 

 

 

 

Cricket Communications, Inc., 9.38%, 11/01/14

 

 

105

 

 

98,963

 

Digicel Group Ltd., 8.88%, 1/15/15 (d)

 

 

270

 

 

240,975

 

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

 

 

60

 

 

58,875

 

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

 

 

410

 

 

366,950

 

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

 

 

1,175

 

 

1,462,481

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

6.88%, 11/15/28

 

 

520

 

 

378,300

 

8.75%, 3/15/32

 

 

350

 

 

290,500

 

Vodafone Group Plc:

 

 

 

 

 

 

 

7.75%, 2/15/10

 

 

1,000

 

 

1,030,328

 

4.15%, 6/10/14

 

 

2,500

 

 

2,560,755

 

 

 

 

 

 




 

 

 

 

 

 

6,488,127

 









Total Corporate Bonds — 46.3%

 

 

 

 

 

159,705,080

 










 

 

 

 

See Notes to Financial Statements.

 

 




 

ANNUAL REPORT

AUGUST 31, 2009

53




 

 



 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

Par
(000)

 

Value

 







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

 

USD

470

 

$

485,416

 

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

 

 

880

 

 

890,454

 

Kreditanstalt fuer Wiederaufbau, 3.50%, 3/10/14 (f)

 

 

2,900

 

 

3,000,575

 

Landwirtschaftliche Rentenbank:

 

 

 

 

 

 

 

4.13%, 7/15/13

 

 

120

 

 

126,914

 

Series E, 5.25%, 7/02/12

 

 

405

 

 

441,901

 

Series E, 4.38%, 1/15/13

 

 

260

 

 

275,120

 

Series E, 4.00%, 2/02/15

 

 

235

 

 

243,000

 

Province of Ontario Canada, 4.10%, 6/16/14

 

 

1,310

 

 

1,375,543

 

Royal Bank of Scotland Group Plc, 2.63%, 5/11/12 (d)

 

 

305

 

 

309,352

 









Total Foreign Agency Obligations — 2.1%

 

 

 

 

 

7,148,275

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 









Collateralized Mortgage Obligations — 5.6%

 

 

 

 

 

 

 

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

 

 

1,100

 

 

495,295

 

Bear Stearns Adjustable Rate Mortgage Trust Series 2007-1 Class 2A1, 5.41%, 2/25/47 (a)

 

 

987

 

 

596,642

 

Collateralized Mortgage Obligation Trust Series 40 Class R, 0.58%, 4/01/18

 

 

(o)

 

102

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

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

 

 

1,700

 

 

1,292,905

 

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

 

 

1,011

 

 

473,058

 

Countrywide Home Loan Mortgage Pass-Through Trust:

 

 

 

 

 

 

 

Series 2006-0A5 Class 2A1, 0.47%, 4/25/46 (a)

 

 

408

 

 

202,198

 

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

 

 

970

 

 

737,444

 

Deutsche Alt-A Securities, Inc. Alternate Loan Trust Series 2006-0A1 Class A1, 0.47%, 2/25/47 (a)

 

 

339

 

 

167,073

 

GSR Mortgage Loan Trust (a):

 

 

 

 

 

 

 

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

 

 

4,188

 

 

3,729,363

 

Series 2006-AR1 Class 2A1, 5.17%, 1/25/36

 

 

966

 

 

653,057

 

Harborview Mortgage Loan Trust Series 2005-8 Class 1A2A, 0.61%, 9/19/35 (a)

 

 

110

 

 

57,863

 

Homebanc Mortgage Trust Series 2006-2 Class A1, 0.45%, 12/25/36 (a)

 

 

929

 

 

452,999

 

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

 

 

1,100

 

 

636,691

 

JPMorgan Mortgage Trust:

 

 

 

 

 

 

 

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

 

 

937

 

 

742,315

 

Series 2007-S2 Class 1A15, 6.75%, 6/25/37

 

 

1,189

 

 

958,396

 

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

 

 

2,500

 

 

875,000

 

Merrill Lynch Mortgage Investors, Inc. Series 2006-A3 Class 3A1, 5.80%, 5/25/36 (a)(i)

 

 

951

 

 

585,072

 

Residential Funding Securities LLC Series 2003-RM2 Class AI5, 8.50%, 5/25/33

 

 

4,886

 

 

4,558,545

 

WaMu Mortgage Pass-Through Certificates (a):

 

 

 

 

 

 

 

Series 2007-0A4 Class 1A, 1.82%, 5/25/47

 

 

475

 

 

225,109

 

Series 2007-0A5 Class 1A, 1.80%, 6/25/47

 

 

420

 

 

187,394

 

Wells Fargo Mortgage Backed Securities Trust:

 

 

 

 

 

 

 

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

 

 

778

 

 

678,032

 

Series 2006-AR4 Class 2A4, 5.78%, 4/25/36 (a)

 

 

300

 

 

220,827

 

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

 

 

799

 

 

615,530

 

 

 

 

 

 




 

 

 

 

 

 

19,140,910

 










 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 







Interest Only Collateralized Mortgage Obligations — 0.0%

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust Series 42 Class R, 6.00%, 10/01/14

 

USD

(o)

$

778

 

GSMPS Mortgage Loan Trust Series 1998-5 Class IO, 0.97%, 6/19/27 (a)

 

 

3,042

 

 

53,227

 

Morgan Stanley Capital I Series 1997-HF1 Class X, 3.44%, 7/15/29 (a)

 

 

15

 

 

1

 

Salomon Brothers Mortgage Securities VII, Inc. Series 2000-1 Class IO, 0.49%, 3/25/22 (a)

 

 

827

 

 

28

 

 

 

 

 

 




 

 

 

 

 

 

54,034

 









Commercial Mortgage-Backed Securities — 18.5%

 

 

 

 

 

 

 

Bear Stearns Commercial Mortgage Securities:

 

 

 

 

 

 

 

Series 2005-PWR7 Class A2, 4.95%, 2/11/41

 

 

2,156

 

 

2,208,314

 

Series 2005-PWR9 Class A2, 4.74%, 9/11/42

 

 

5,105

 

 

5,111,453

 

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

 

 

2,970

 

 

3,071,064

 

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A4, 6.30%, 12/10/49 (a)

 

 

2,020

 

 

1,783,991

 

Commercial Mortgage Loan Trust Series 2008-LS1 Class A4B, 6.22%, 12/10/49 (a)

 

 

1,515

 

 

1,216,502

 

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

 

 

990

 

 

966,895

 

DLJ Commercial Mortgage Corp. Series 2000-CKP1 Class A1B, 7.18%, 11/10/33

 

 

2,124

 

 

2,193,083

 

First Union National Bank Commercial Mortgage Series 2000-C2 Class A2, 7.20%, 10/15/32

 

 

1,877

 

 

1,940,777

 

First Union-Lehman Brothers-Bank of America Series 1998-C2 Class D, 6.78%, 11/18/35

 

 

2,630

 

 

2,749,808

 

GE Capital Commercial Mortgage Corp. Series 2002-1A Class A3, 6.27%, 12/10/35

 

 

2,310

 

 

2,431,933

 

GMAC Commercial Mortgage Securities, Inc.:

 

 

 

 

 

 

 

Series 2002-C3 Class A2, 4.93%, 7/10/39

 

 

2,580

 

 

2,641,273

 

Series 2004-C3 Class A4, 4.55%, 12/10/41

 

 

2,475

 

 

2,442,932

 

JPMorgan Chase Commercial Mortgage Securities Corp.:

 

 

 

 

 

 

 

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

 

 

1,990

 

 

2,089,412

 

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

 

 

2,380

 

 

2,370,378

 

LB-UBS Commercial Mortgage Trust:

 

 

 

 

 

 

 

Series 2004-C4 Class A3, 5.25%, 6/15/29 (a)

 

 

2,530

 

 

2,570,056

 

Series 2005-C5 Class A4, 4.95%, 9/15/30

 

 

4,625

 

 

4,217,058

 

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

 

 

4,280

 

 

4,332,394

 

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

 

 

2,695

 

 

2,677,893

 

Wachovia Bank Commercial Mortgage Trust (a):

 

 

 

 

 

 

 

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

 

 

940

 

 

941,379

 

Series 2006-C25 Class A4, 5.92%, 5/15/43

 

 

1,305

 

 

1,213,196

 

Wachovia Bank Commercial Mortgage Trust:

 

 

 

 

 

 

 

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

 

 

14,000

 

 

13,982,577

 

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

 

 

1,105

 

 

882,291

 

 

 

 

 

 




 

 

 

 

 

 

64,034,659

 









Total Non-Agency Mortgage-Backed Securities — 24.1%

 

 

 

 

 

83,229,603

 










 

 

 

See Notes to Financial Statements.

 



54

ANNUAL REPORT

AUGUST 31, 2009



 

 



 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Other Interests (k)

 

 

Beneficial
Interest
(000)

 

Value

 








Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

USD

1,895

 

$

381

 









Total Other Interests — 0.0%

 

 

 

 

 

381

 










 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









 

Capital Trusts

 

 

Par 
(000)

 

 

 

 









Diversified Financial Services — 0.9%

 

 

 

 

 

 

 

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

 

 

3,265

 

 

3,076,890

 









Insurance — 1.1%

 

 

 

 

 

 

 

The Allstate Corp., 6.50%, 5/15/57 (a)

 

 

2,150

 

 

1,720,000

 

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

 

 

750

 

 

468,750

 

Progressive Corp., 6.70%, 6/15/67 (a)

 

 

665

 

 

534,495

 

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

 

 

750

 

 

639,565

 

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

 

 

575

 

 

448,500

 

 

 

 

 

 




 

 

 

 

 

 

3,811,310

 









Total Capital Trusts — 2.0%

 

 

 

 

 

6,888,200

 









 

Preferred Stocks

 

 

Shares

 

 

 

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp. (d)(l)

 

 

12,873

 

 

 









Total Preferred Stocks — 0.0%

 

 

 

 

 

 









Total Preferred Securities — 2.0%

 

 

 

 

 

6,888,200

 









 

 

 

 

 

 

 

 









 

Taxable Municipal Bonds

 

 

Par 
(000)

 

 

 

 









County/City/Special District/School District — 0.4%

 

 

 

 

 

 

 

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

 

 

260

 

 

281,663

 

Leland Stanford Junior University, 4.25%, 5/01/16

 

 

470

 

 

477,341

 

Princeton University, 5.70%, 3/01/39

 

 

575

 

 

609,115

 

 

 

 

 

 




 

 

 

 

 

 

1,368,119

 









State — 1.3%

 

 

 

 

 

 

 

New York State Dormitory Authority, RB, Build America Bonds, 5.63%, 3/15/39

 

 

550

 

 

566,263

 

State of California, GO, Taxable, Various Purpose, Series 3, 5.45%, 4/01/15

 

 

2,475

 

 

2,591,226

 

State of Texas, GO, Build America Bonds Taxable, 5.52%, 4/01/39

 

 

1,325

 

 

1,359,609

 

 

 

 

 

 




 

 

 

 

 

 

4,517,098

 









Transportation — 0.4%

 

 

 

 

 

 

 

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

 

 

670

 

 

814,988

 

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

 

 

395

 

 

432,027

 

 

 

 

 

 




 

 

 

 

 

 

1,247,015

 









Utilities — 0.1%

 

 

 

 

 

 

 

Chicago Metropolitan Water Reclamation District, GO, Build America Bonds, 5.72%, 12/01/38

 

 

495

 

 

532,645

 









Total Taxable Municipal Bonds — 2.2%

 

 

 

 

 

7,664,877

 










 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

Par 
(000)

 

Value

 









U.S. Treasury Note:

 

 

 

 

 

 

 

3.63%, 8/15/19 (m)

 

USD

57,030

 

$

58,099,312

 

5.25%, 2/15/29

 

 

600

 

 

687,094

 

3.50%, 2/15/39

 

 

390

 

 

344,541

 

4.50%, 8/15/39

 

 

950

 

 

1,001,211

 









Total U.S. Treasury Obligations — 17.4%

 

 

 

 

 

60,132,158

 










 

 

 

 

 

 

 

 









 

U.S. Government Sponsored Agency Securities

 

 

 

 

 

 

 









Agency Obligations — 11.5%

 

 

 

 

 

 

 

Fannie Mae:

 

 

 

 

 

 

 

1.75%, 8/10/12 (m)

 

 

5,800

 

 

5,803,062

 

6.35%, 10/09/19 (m)

 

 

6,125

 

 

3,382,960

 

7.13%, 1/15/30 (m)

 

 

4,000

 

 

5,279,056

 

5.63%, 7/15/37 (e)

 

 

825

 

 

895,653

 

Federal Home Loan Banks:

 

 

 

 

 

 

 

5.38%, 9/30/22 (m)

 

 

5,600

 

 

6,283,463

 

5.25%, 12/09/22 (e)

 

 

700

 

 

744,119

 

5.37%, 9/09/24 (e)

 

 

1,100

 

 

1,191,563

 

Federal Housing Administration:

 

 

 

 

 

 

 

General Motors Acceptance Corp. Projects, Series 44, 7.43%, 8/01/22

 

 

69

 

 

68,182

 

Merrill Projects, Series 29, 7.43%, 10/01/20 (i)

 

 

46

 

 

45,299

 

Merrill Projects, Series 42, 7.43%, 9/25/22 (i)

 

 

45

 

 

44,591

 

Reilly Project, Series B-11, 7.40%, 4/01/21

 

 

1,560

 

 

1,544,784

 

Westmore Project, 7.25%, 4/01/21

 

 

1,535

 

 

1,519,157

 

Freddie Mac:

 

 

 

 

 

 

 

1.75%, 6/15/12 (f)

 

 

1,200

 

 

1,201,052

 

3.00%, 7/28/14

 

 

590

 

 

598,583

 

Overseas Private Investment Corp.:

 

 

 

 

 

 

 

4.09%, 5/29/12

 

 

387

 

 

376,832

 

4.30%, 5/29/12

 

 

973

 

 

1,080,887

 

4.64%, 5/29/12

 

 

824

 

 

818,375

 

4.68%, 5/29/12

 

 

466

 

 

450,492

 

4.87%, 5/29/12

 

 

3,546

 

 

3,526,614

 

Resolution Funding Corp., 5.23%, 4/15/30 (n)

 

 

6,055

 

 

2,270,359

 

U.S. Treasury Bonds:

 

 

 

 

 

 

 

6.13%, 11/15/27 (m)

 

 

1,510

 

 

1,894,342

 

5.25%, 11/15/28

 

 

600

 

 

687,187

 

 

 

 

 

 




 

 

 

 

 

 

39,706,612

 









Collateralized Mortgage Obligations — 0.6%

 

 

 

 

 

 

 

Fannie Mae Trust:

 

 

 

 

 

 

 

Series 1991-46 Class S, 1.40.%, 5/25/21 (a)

 

 

(o)

 

3,131

 

Series 1991-87 Class S, 25.85%, 8/25/21 (a)

 

 

37

 

 

52,374

 

Series 2005-5 Class PK, 5.00%, 12/25/34

 

 

1,853

 

 

1,956,811

 

Series G-7 Class S, 116.20%, 3/25/21 (a)

 

 

(o)

 

2,334

 

Series G-17 Class S, 0.58%, 6/25/21 (a)

 

 

(o)

 

3,256

 

Series G-49 Class S, 2.30%, 12/25/21 (a)

 

 

(o)

 

1,232

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

Series 19 Class R, 9.76%, 3/15/20 (a)

 

 

(o)

 

998

 

Series 75 Class R, 9.50%, 1/15/21

 

 

(o)

 

2

 

Series 75 Class RS, 19.77%, 1/15/21 (a)

 

 

(o)

 

2

 

Series 173 Class R, 0.00%, 11/15/21

 

 

(o)

 

9

 

Series 173 Class RS, 9.17%, 11/15/21 (a)

 

 

(o)

 

9

 

Series 1056 Class KD, 1.08%, 3/15/21

 

 

(o)

 

1,045

 

Series 1057 Class J, 1.01%, 3/15/21

 

 

(o)

 

1,237

 

Series 1611 Class JC, 10.00%, 8/15/23 (a)

 

 

121

 

 

125,413

 

 

 

 

 

 




 

 

 

 

 

 

2,147,853

 









Federal Deposit Insurance Corporation Guaranteed — 2.7%

 

 

 

 

 

 

 

Citibank NA, 1.38%, 8/10/11 (m)

 

 

5,200

 

 

5,209,402

 

Citigroup Funding, Inc., 2.13%, 7/12/12

 

 

1,460

 

 

1,472,286

 

General Electric Capital Corp., 2.63%, 12/28/12

 

 

2,450

 

 

2,505,958

 

 

 

 

 

 




 

 

 

 

 

 

9,187,646

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2009

55



 

 



 

 

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

 








Interest Only Collateralized Mortgage Obligations — 0.7%

 

 

 

 

 

 

 

Fannie Mae Trust:

 

 

 

 

 

 

 

Series 7 Class 2, 8.50%, 4/01/17

 

USD

3

 

$

433

 

Series 89 Class 2, 8.00%, 10/01/18

 

 

6

 

 

742

 

Series 94 Class 2, 9.50%, 8/01/21

 

 

2

 

 

346

 

Series 1990-123 Class M, 1.01%, 10/25/20

 

 

(o)

 

334

 

Series 1990-136 Class S, 0.02%, 11/25/20 (a)

 

 

9

 

 

13,728

 

Series 1991-38 Class N, 1.01%, 4/25/21

 

 

(o)

 

60

 

Series 1991-99 Class L, 0.93%, 8/25/21

 

 

(o)

 

1,749

 

Series 1991-139 Class PT, 0.65%, 10/25/21

 

 

(o)

 

2,324

 

Series 1997-50 Class SI, 1.20%, 4/25/23 (a)

 

 

248

 

 

4,992

 

Series 2004-90 Class JH, 1.83%, 11/25/34 (a)

 

 

17,290

 

 

1,718,209

 

Series G-10 Class S, 0.58%, 5/25/21 (a)

 

 

(o)

 

7,061

 

Series G-12 Class S, 0.61%, 5/25/21 (a)

 

 

(o)

 

6,156

 

Series G-33 Class PV, 1.08%, 10/25/21

 

 

(o)

 

4,933

 

Series G-46 Class H, 1.04%, 12/25/09

 

 

(o)

 

1

 

Series G92-5 Class H, 9.00%, 1/25/22

 

 

55

 

 

9,106

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

Series 176 Class M, 1.01%, 7/15/21

 

 

(o)

 

422

 

Series 192 Class U, 1.01%, 2/15/22 (a)

 

 

(o)

 

421

 

Series 200 Class R, 98.52%, 12/15/22 (a)

 

 

(o)

 

9

 

Series 1043 Class H, 0.02%, 2/15/21 (a)

 

 

5

 

 

8,821

 

Series 1054 Class I, 0.44%, 3/15/21 (a)

 

 

(o)

 

761

 

Series 1148 Class E, 0.59%, 10/15/21 (a)

 

 

(o)

 

2,381

 

Series 1179 Class O, 1.01%, 11/15/21

 

 

(o)

 

39

 

Series 1254 Class Z, 8.50%, 4/15/22

 

 

112

 

 

21,919

 

Series 1831 Class PG, 6.50%, 3/15/11

 

 

53

 

 

1,780

 

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

 

 

4,044

 

 

521,478

 

 

 

 

 

 




 

 

 

 

 

 

2,328,205

 









Mortgage Backed Securities — 11.7%

 

 

 

 

 

 

 

Fannie Mae Guaranteed Pass Through Certificates:

 

 

 

 

 

 

 

4.50%, 4/01/39 – 9/15/39 (m)(p)

 

 

10,385

 

 

10,455,726

 

5.00%, 1/01/23 – 10/15/39 (m)(p)

 

 

23,729

 

 

24,084,950

 

5.50%, 12/01/13 – 9/15/39 (m)(p)

 

 

3,277

 

 

3,452,112

 

6.00%, 3/01/16 – 7/01/17

 

 

414

 

 

442,780

 

Freddie Mac Mortgage Participation Certificates, 5.00%, 2/01/22 – 4/01/22 (m)

 

 

1,900

 

 

1,988,278

 

Ginnie Mae MBS Certificates 8.00%, 4/15/24 – 6/15/25

 

 

72

 

 

81,368

 

 

 

 

 

 




 

 

 

 

 

 

40,505,214

 









Principal Only Mortgage Backed Securities — 0.0%

 

 

 

 

 

 

 

Fannie Mae Trust:

 

 

 

 

 

 

 

Series 203 Class 1, 0.00%, 2/01/23

 

 

14

 

 

12,281

 

Series 228 Class 1, 0.00%, 6/01/23

 

 

9

 

 

8,088

 

Series 1991-167 Class D, 0.00%, 10/25/17

 

 

4

 

 

3,714

 

Series 1993-51 Class E, 0.00%, 2/25/23

 

 

46

 

 

40,560

 

Series 1993-70 Class A, 0.00%, 5/25/23

 

 

8

 

 

6,796

 

Freddie Mac Multiclass Certificates Series 1739 Class B, 0.00%, 2/15/24

 

 

49

 

 

42,664

 

 

 

 

 

 




 

 

 

 

 

 

114,103

 









Total U.S. Government Sponsored Agency Issues — 27.2%

 

 

 

 

 

93,989,633

 










 

 

 

 

 

 

 

 









 

Warrants (q)

 

 

 

 

 

 

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp. (expires 3/26/19) (d)

 

 

14,710

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









Total Long-Term Investments
(Cost — $438,075,611) — 126.9%

 

 

 

 

 

438,027,042

 










 

 

 

 

 

 

 

 

Short-Term Securities

 

 

Shares

 

Value

 









BlackRock Liquidity Funds, TempFund, 0.22% (r)(s)

 

 

30,000,661

 

$

30,000,661

 









Total Short-Term Securities
(Cost — $30,000,661) — 8.7%

 

 

 

 

 

30,000,661

 










 

 

 

 

 

 

 

 









 

Options Purchased

 

 

Contracts (t)

 

 

 

 









Over-the-Counter Call Swaptions Purchased

 

 

 

 

 

 

 

Receive a fixed rate of 5.47% and pay a floating rate based on 3-month LIBOR, expiring May 2012, Broker Bank of America NA

 

 

12

 

 

1,412,926

 

Receive a fixed rate of 2.25% and pay a floating rate based on 3-month LIBOR, expiring November 2009, Broker JPMorgan Chase Bank

 

 

22

 

 

2,669

 

Receive a fixed rate of 2.50% and pay a floating rate based on 3-month LIBOR, expiring November 2009, Broker UBS AG

 

 

20

 

 

8,833

 

Receive a fixed rate of 2.50% and pay a floating rate based on 3-month LIBOR, expiring March 2010, Broker Barclays Bank Plc

 

 

3

 

 

5,597

 

Receive a fixed rate of 4.88% and pay a floating rate based on 3-month LIBOR, expiring September 2013, Broker Goldman Sachs Capital Markets

 

 

26

 

 

1,298,258

 

 

 

 

 

 




 

 

 

 

 

 

2,728,283

 









Over-the-Counter Put Swaptions Purchased

 

 

 

 

 

 

 

Pay a fixed rate of 4.71% and receive a floating rate based on the 3-month LIBOR, expiring November 2013, Broker JPMorgan Chase Bank

 

 

16

 

 

653,392

 

Pay a fixed rate of 4.88% and receive a floating rate based on 3-month LIBOR, expiring September 2013, Broker Goldman Sachs Capital Markets

 

 

26

 

 

967,175

 

Pay a fixed rate of 5.47% and receive a floating rate based 3-month LIBOR, expiring May 2012, Broker Bank of America NA

 

 

12

 

 

507,990

 

 

 

 

 

 




 

 

 

 

 

 

2,128,557

 









Total Options Purchased
(Cost — $3,677,027) — 1.4%

 

 

 

 

 

4,856,840

 









Total Investments Before TBA Sale
Commitments and Options Written
(Cost — $471,753,299*) — 137.0%

 

 

 

 

 

472,884,543

 










 

 

 

 

 

 

 

 









 

TBA Sale Commitments (p)

 

 

Par 
(000)

 

 

 

 









Fannie Mae Pass-Through Certificates:

 

 

 

 

 

 

 

4.50%, 4/01/39 – 9/15/39

 

USD

(10,300

)

 

(10,354,714

)

5.00%, 1/01/23 – 10/15/39

 

 

(13,800

)

 

(14,229,190

)

5.50%, 12/01/13 – 9/15/39

 

 

(3,122

)

 

(3,284,951

)

Freddie Mac Mortgage Participation Certificates

 

 

 

 

 

 

 

5.00%, 2/01/22 – 4/01/22

 

 

(1,800

)

 

(1,874,250

)









Total TBA Sale Commitments
(Proceeds — $29,496,108) — (8.6)%

 

 

 

 

 

(29,743,105

)










 

 

 

See Notes to Financial Statements.




56

ANNUAL REPORT

AUGUST 31, 2009



 

 



 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

 

Contracts (t)

 

Value

 








Over-the-Counter Call Swaptions Written

 

 

 

 

 

 

 

Pay a fixed rate of 5.05% and receive a floating rate based on 3-month LIBOR, expiring May 2011, Broker Citibank NA

 

 

15

 

$

(1,447,980

)

Pay a fixed rate of 5.08% and receive a floating rate based on 3-month LIBOR, expiring May 2011, Broker Goldman Sachs Capital Markets, LP

 

 

6

 

 

(619,794

)

Pay a fixed rate of 5.33% and receive a floating rate based on 3-month LIBOR, expiring July 2013, Broker JPMorgan Chase Bank

 

 

9

 

 

(570,519

)

Pay a fixed rate of 5.49% and receive a floating rate based on 3-month LIBOR, expiring October 2009, Broker JPMorgan Chase Bank

 

 

5

 

 

(812,644

)

Pay a fixed rate of 5.67% and receive a floating rate based on 3-month LIBOR, expiring January 2010, Broker Citibank NA

 

 

12

 

 

(2,007,337

)

Pay a fixed rate of 4.92% and receive a floating rate based on 3-month LIBOR, expiring November 2010, Broker Barclays Bank Plc

 

 

15

 

 

(1,387,905

)

Pay a fixed rate of 2.45% and receive a floating rate based on 3-month LIBOR, expiring December 2009, Broker Barclays Bank Plc

 

 

11

 

 

(10,967

)

 

 

 

 

 




 

 

 

 

 

 

(6,857,146

)









Over-the-Counter Put Swaptions Written

 

 

 

 

 

 

 

Receive a fixed rate of 4.50% and pay a floating rate based on 3-month LIBOR, expiring March 2010, Broker Barclays Bank Plc

 

 

3

 

 

(161,977

)

Receive a fixed rate of 4.92% and pay a floating rate based on 3-month LIBOR, expiring November 2010, Broker Barclays Bank Plc

 

 

15

 

 

(436,890

)

Receive a fixed rate of 2.45% and pay a floating rate based on 3-month LIBOR, expiring December 2009, Broker Barclays Bank Plc

 

 

11

 

 

(1,231,758

)

Receive a fixed rate of 5.05% and pay a floating rate based on 3-month LIBOR, expiring May 2011, Broker Citibank NA

 

 

15

 

 

(555,360

)

Receive a fixed rate of 5.08% and pay a floating rate based on 3-month LIBOR, expiring May 2011, Broker Goldman Sachs Capital Markets, LP

 

 

6

 

 

(225,930

)

Receive a fixed rate of 5.33% and pay a floating rate based on 3-month LIBOR, expiring July 2013, Broker JPMorgan Chase Bank

 

 

9

 

 

(280,140

)

Receive a fixed rate of 5.49% and pay a floating rate based on 3-month LIBOR, expiring October 2009, Broker JPMorgan Chase Bank

 

 

5

 

 

(1,415

)

Receive a fixed rate of 5.67% and pay a floating rate based on 3-month LIBOR, expiring January 2010, Broker Citibank NA

 

 

12

 

 

(24,789

)

 

 

 

 

 




 

 

 

 

 

 

(2,918,259

)









Total Options Written
(Premiums Received — $7,142,315) — (2.8%)

 

 

 

 

 

(9,775,405

)









Total Investments, Net of TBA Sale Commitments
and Options Written — 125.6%

 

 

 

 

 

433,366,033

 

Other Assets Less Liabilities — (25.6)%

 

 

 

 

 

(88,264,984

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

345,101,049

 

 

 

 

 

 





 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

471,775,156

 

 

 




Gross unrealized appreciation

 

$

22,042,162

 

Gross unrealized depreciation

 

 

(20,932,775

)

 

 




Net unrealized appreciation

 

$

1,109,387

 

 

 





 

 

(a)

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

 

 

(b)

Non-income producing security.

 

 

(c)

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

 

 

(d)

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.

 

 

(e)

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

 

 

(f)

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

 

 

(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 effective yield as of report date.

 

 

(h)

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

 

 

(i)

Investments in companies considered to be an affiliate of the Trust, during the period September 1, 2008 to December 31, 2008 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Affiliate

 

Purchase Cost

 

Sale Cost

 

Realized
Gain (Loss)

 

Income

 











Federal Housing Administration Merrill Projects:

 

 

 

 

 

 

 

 

 

 

 

 

 

Series 29, 7.43%, 10/01/20

 

 

 

$

777

 

$

(32

)

$

1,178

 

Series 42, 7.43%, 9/25/22

 

 

 

$

836

 

$

(37

)

$

1,164

 

Merrill Lynch Mortgage Investors, Inc. Series 2006-A3 Class 3A1, 5.82%, 5/25/36

 

 

 

$

26,750

 

$

12,000

 

$

20,333

 

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

 

$

3,124,400

 

 

 

 

 

$

19,102

 
















 

 

(j)

Security held as collateral in connection with TALF program.

 

 

(k)

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

 

 

(l)

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

 

 

(m)

All or a portion of the security has been pledged as collateral for reverse repurchase agreements.

 

 

(n)

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

 

 

(o)

Amount is less than $1,000.

 

 

(p)

Represents or includes a “to-be-announced” transaction. The Trust has committed to purchasing (selling) securities for which all specific information is not available at this time.


 

 

 

 

 

 

 

 







Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 







Bank of America Securities LLC

 

$

(9,650,995

)

$

(157,495

)

Citigroup Global Markets, Inc.

 

$

(703,718

)

$

(2,078

)

Credit Suisse Securities LLC

 

$

1,573,594

 

$

8,766

 

Deutsche Bank Securities, Inc.

 

$

(1,893,938

)

$

(17,087

)

Goldman Sachs & Company

 

$

(6,287,440

)

$

(55,227

)

JPMorgan Securities, Ltd.

 

$

104,094

 

$

1,125

 

Morgan Stanley Capital Services, Inc.

 

$

9,852,000

 

$

149,250

 










 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2009

57



 

 



 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

(q)

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.

 

 

(r)

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


 

 

 

 

 

 

 

 







Affiliate

 

Net
Activity

 

Income

 







BlackRock Liquidity Funds, TempFund

 

$

30,000,661

 

$

8,194

 










 

 

(s)

Represents the current yield as of report date.

 

 

(t)

One contract represents a notional amount of $1,000,000.

 

 

Foreign currency exchange contracts as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation

 











USD 411,077

 

GBP

251,500

 

Citibank NA

 

10/28/09

 

$

1,681

 














 

 

Financial future contracts purchased as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Face
Value

 

Unrealized
Appreciation

 













94

 

10-Year U.S. Treasury Bond

 

Chicago

 

December 2009

 

$

10,955,172

 

$

63,390

 

1,070

 

30-Year U.S. Treasury Bond

 

Chicago

 

December 2009

 

$

126,473,922

 

 

1,658,578

 

11

 

Long-Gilt

 

London

 

December 2009

 

$

2,107,110

 

 

14,563

 















Total

 

 

 

 

 

 

 

 

 

 

$

1,736,531

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Financial future contracts sold as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 











Contracts

 

Issue

 

Expiration
Date

 

Face
Value

 

Unrealized
Depreciation

 











281

 

2-Year U.S. Treasury Bond

 

December 2009

 

$

60,662,015

 

$

(130,579

)

1,214

 

5-Year U.S. Treasury Bond

 

December 2009

 

$

139,287,673

 

 

(625,827

)













Total

 

 

 

 

 

 

 

 

$

(756,406

)

 

 

 

 

 

 

 

 

 





 

 

Reverse repurchase agreements outstanding as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net Closing
Amount

 

Face
Amount

 













Barclays Capital Inc.

 

0.24%

 

1/06/09

 

Open

 

$

2,093,002

 

$

2,091,350

 

Barclays Capital Inc.

 

0.26%

 

1/23/09

 

Open

 

$

5,475,971

 

 

5,465,950

 

Barclays Capital Inc.

 

0.18%

 

3/11/09

 

Open

 

$

3,020,255

 

 

3,015,184

 

Barclays Capital Inc.

 

0.26%

 

8/04/09

 

Open

 

$

5,598,919

 

 

5,597,870

 

Barclays Capital Inc.

 

0.31%

 

8/06/09

 

Open

 

$

5,032,407

 

 

5,031,390

 

Banc of America Securities LLC

 

0.24%

 

8/11/09

 

Open

 

$

2,771,525

 

 

2,771,250

 

Barclays Capital Inc.

 

0.29%

 

8/12/09

 

9/14/09

 

$

7,063,081

 

 

7,062,000

 

Credit Suisse Securities (USA) LLC

 

0.18%

 

8/17/09

 

Open

 

$

17,226,116

 

 

17,225,781

 

Barclays Capital Inc.

 

0.26%

 

8/18/09

 

Open

 

$

2,708,314

 

 

2,707,998

 

Barclays Capital Inc.

 

0.30%

 

8/18/09

 

9/14/09

 

$

7,554,345

 

 

7,553,464

 

Credit Suisse Securities (USA) LLC

 

0.18%

 

8/20/09

 

Open

 

$

7,102,145

 

 

7,101,719

 















Total

 

 

 

 

 

 

 

 

 

 

$

65,623,956

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Interest rate swaps outstanding as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













4.62% (a)

 

3-month LIBOR

 

Credit Suisse International

 

September 2009

 

USD

50,000

 

$

85,614

 

2.90% (a)

 

3-month LIBOR

 

Barclays Bank Plc

 

September 2010

 

USD

12,300

 

 

281,937

 

2.74% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

October 2010

 

USD

53,200

 

 

1,213,101

 

2.75% (a)

 

3-month LIBOR

 

Credit Suisse International

 

October 2010

 

USD

42,500

 

 

970,331

 

5.00% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

November 2010

 

USD

5,000

 

 

247,750

 

2.14% (a)

 

3-month LIBOR

 

Citibank NA

 

December 2010

 

USD

40,000

 

 

666,990

 

1.60% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

February 2011

 

USD

4,100

 

 

38,166

 

1.21% (b)

 

3-month LIBOR

 

Morgan Stanley Capital Services, Inc.

 

May 2011

 

USD

87,000

 

 

(99,905

)

5.03% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

November 2011

 

USD

3,200

 

 

246,932

 

4.90% (a)

 

3-month LIBOR

 

Barclays Bank Plc

 

September 2012

 

USD

35,000

 

 

3,011,296

 

3.66% (a)

 

3-month LIBOR

 

Citibank NA

 

April 2013

 

USD

7,500

 

 

366,048

 

4.28% (a)

 

3-month LIBOR

 

Credit Suisse International

 

July 2013

 

USD

47,800

 

 

3,400,834

 

2.46% (a)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

May 2014

 

USD

10,100

 

 

(96,477

)

4.94% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

December 2018

 

USD

8,500

 

 

(743,844

)

3.31% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

May 2019

 

USD

3,700

 

 

87,549

 

3.89% (a)

 

3-month LIBOR

 

Citibank NA

 

July 2019

 

USD

25,000

 

 

594,514

 

4.07% (b)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

August 2019

 

USD

7,600

 

 

(295,310

)

5.41% (a)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

August 2022

 

USD

9,405

 

 

1,558,164

 

5.37% (b)

 

3-month LIBOR

 

Bank of America NA

 

September 2027

 

USD

8,900

 

 

(1,611,071

)

5.06% (b)

 

3-month LIBOR

 

Goldman Sachs Bank USA

 

November 2037

 

USD

6,900

 

 

(1,161,035

)

4.84% (b)

 

3-month LIBOR

 

Morgan Stanley Capital Services, Inc.

 

January 2038

 

USD

6,100

 

 

(794,216

)

3.48% (b)

 

3-month LIBOR

 

Barclays Bank Plc

 

March 2039

 

USD

3,400

 

 

356,006

 















Total

 

 

 

 

 

 

 

 

 

 

$

8,323,374

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

(a)

Pays floating interest rate and receives fixed rate.

 

 

 

 

(b)

Pays fixed interest rate and receives floating rate.


 

 

 

See Notes to Financial Statements.




58

ANNUAL REPORT

AUGUST 31, 2009



 

 



 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













KB Home

 

4.90%

 

JPMorgan Chase Bank NA

 

September 2011

 

USD

785

 

$

(36,393

)

iStar Financial, Inc.

 

5.00%

 

Morgan Stanley Capital Services, Inc.

 

September 2011

 

USD

150

 

 

27,041

 

iStar Financial, Inc.

 

5.00%

 

Morgan Stanley Capital Services, Inc.

 

September 2011

 

USD

150

 

 

27,712

 

NOVA Chemicals Corp.

 

5.00%

 

Citibank NA

 

March 2012

 

USD

50

 

 

(1,072

)

MeadWestvaco Corp.

 

1.20%

 

Deutsche Bank AG

 

June 2012

 

USD

705

 

 

(8,013

)

NOVA Chemicals Corp.

 

5.00%

 

JPMorgan Chase Bank NA

 

June 2012

 

USD

65

 

 

(726

)

Macy’s, Inc.

 

7.50%

 

Morgan Stanley Capital Services, Inc.

 

June 2012

 

USD

425

 

 

(46,738

)

Macy’s, Inc.

 

8.00%

 

Morgan Stanley Capital Services, Inc.

 

June 2012

 

USD

150

 

 

(18,436

)

Knight Inc.

 

1.00%

 

Morgan Stanley Capital Services, Inc.

 

September 2012

 

USD

195

 

 

(644

)

Belo Corp.

 

5.00%

 

Barclays Bank Plc

 

June 2013

 

USD

205

 

 

(11,226

)

Masco Corp.

 

5.00%

 

JPMorgan Chase Bank NA

 

September 2013

 

USD

235

 

 

(10,124

)

Centex Corp.

 

4.37%

 

Deutsche Bank AG

 

December 2013

 

USD

980

 

 

(144,690

)

Centex Corp.

 

4.40%

 

JPMorgan Chase Bank NA

 

December 2013

 

USD

580

 

 

(86,345

)

NOVA Chemicals Corp.

 

5.00%

 

Goldman Sachs Bank USA

 

December 2013

 

USD

275

 

 

(13,175

)

D.R. Horton, Inc.

 

1.00%

 

JPMorgan Chase Bank NA

 

March 2014

 

USD

1080

 

 

(26,847

)

Toll Brothers Finance Corp.

 

2.00%

 

JPMorgan Chase Bank NA

 

March 2014

 

USD

260

 

 

(9,902

)

Hertz Global Holdings, Inc.

 

5.00%

 

Goldman Sachs Bank USA

 

March 2014

 

USD

135

 

 

(36,699

)

Macy’s, Inc.

 

1.00%

 

Morgan Stanley Capital Services, Inc.

 

September 2014

 

USD

155

 

 

7,131

 

Huntsman International LLC

 

5.00%

 

Goldman Sachs Bank USA

 

December 2014

 

USD

275

 

 

(85,625

)

Energy Future Holdings Corp.

 

5.00%

 

JPMorgan Chase Bank NA

 

December 2014

 

USD

210

 

 

(15,229

)

Lennar Corp.

 

5.86%

 

JPMorgan Chase Bank NA

 

June 2015

 

USD

420

 

 

(62,364

)

Pulte Homes, Inc.

 

3.00%

 

JPMorgan Chase Bank NA

 

March 2015

 

USD

325

 

 

(21,077

)















Total

 

 

 

 

 

 

 

 

 

 

$

(573,441

)

 

 

 

 

 

 

 

 

 

 

 





 

 

Currency Abbreviations:

 

 

 

GBP     British Pound

 

USD     US Dollar

 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:


 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

 

 

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)

 

 

 

 

The inputs or methodology 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 table summarizes the inputs used as of August 31, 2009 in determining the fair valuation of the Trust’s investments:


 

 

 

 

 

 

 

 





Valuation Inputs

 

Investments in Securities

 







 

 

Assets

 

Liabilities

 

 

 


 



Level 1

 

 

 

 

 

 

 

Short-Term Securities

 

$

30,000,661

 

 

 

 

 

 

 

 

 

 

 

Level 2

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

18,039,352

 

 

 

Capital Trusts

 

 

6,888,200

 

 

 

Corporate Bonds

 

 

158,631,807

 

 

 

Foreign Agency Obligations

 

 

7,148,275

 

 

 

Taxable Municipal Bonds

 

 

7,664,877

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

77,004,507

 

 

 

TBA Sale Commitments

 

 

 

$

(29,743,105

)

U.S. Treasury Obligations

 

 

60,132,158

 

 

 

U.S. Government Sponsored Agency Securities

 

 

82,795,182

 

 

 

 

 







Total Level 2

 

 

418,304,358

 

 

(29,743,105

)

 

 







Level 3

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

1,229,483

 

 

 

Corporate Bonds

 

 

1,073,273

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

6,225,096

 

 

 

Other Interests

 

 

381

 

 

 

U.S. Government Sponsored Agency Securities

 

 

11,194,451

 

 

 

 

 







Total Level 3

 

 

19,722,684

 

 

 

 

 







Total

 

$

468,027,703

 

$

(29,743,105

)

 

 







 

 

 

 

 

 

 

 





Valuation Inputs

 

Other Financial Instruments1

 





 

 

Assets

 

Liabilities

 

 

 


 



Level 1

 

$

1,736,531

 

$

(756,406

)

Level 2

 

 

18,045,637

 

 

(27,062,822

)

Level 3

 

 

 

 

 

 

 







Total

 

$

19,782,168

 

$

(27,819,228

)

 

 








 

 

 

 

1

Other financial instruments are swaps, financial futures contracts, options purchased, options written, TALF loan and foreign currency exchange contracts. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options purchased, options written and TALF are shown at market value.


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

AUGUST 31, 2009

59



 

 


 

 

Schedule of Investments (concluded)

BlackRock Income Opportunity Trust, Inc. (BNA)

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















 

 

Investments in Securities

 

 

 



 

 

Asset-Backed
Securities

 

Corporate
Bonds

 

Non-Agency
Mortgage-Backed
Securities

 

Other
Interests

 

US Government
Sponsored
Agency
Securities

 

Total

 















Balance, as of August 31, 2008

 

$

570

 

 

 

$

1,355

 

$

636

 

$

6,518,781

 

$

6,521,342

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

8

 

 

 

 

 

 

 

 

 

 

8

 

Change in unrealized appreciation (depreciation)2

 

 

(57,530

)

 

(8,142

)

 

(1,173,611

)

 

(255

)

 

(7,284,796

)

 

(8,524,334

)

Net purchases (sales)

 

 

(369

)

 

 

 

 

 

 

 

280,474

 

 

280,105

 

Net transfers in/out of Level 3

 

 

1,286,804

 

$

1,081,415

 

 

7,397,352

 

 

 

 

11,679,992

 

 

21,445,563

 

 

 



















Balance, as of August 31, 2009

 

$

1,229,483

 

$

1,073,273

 

$

6,225,096

 

$

381

 

$

11,194,451

 

$

19,722,684

 

 

 




















 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.


 

 

 

See Notes to Financial Statements.




60

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

 

Schedule of Investments August 31, 2009

BlackRock Income Trust, Inc. (BKT)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 







Chase Issuance Trust Series 2007-A11 Class A11, 0.27%, 7/16/12 (a)(b)

 

$

3,500

 

$

3,484,235

 

First Franklin Mortgage Loan Asset Backed Certificates Series 2005-FF2 Class M2, 0.71%, 3/25/35 (b)

 

 

5,890

 

 

2,120,400

 

GSAA Home Equity Trust Series 2005-1 Class AF2, 4.32%, 11/25/34 (b)

 

 

2,306

 

 

2,176,278

 

Securitized Asset Backed Receivables LLC Trust Series 2005-OP2 Class M1, 0.70%, 10/25/35 (b)

 

 

1,875

 

 

511,922

 

Small Business Administration Participation Certificates:

 

 

 

 

 

 

 

Series 1996-20E Class 1, 7.60%, 5/01/16

 

 

390

 

 

422,389

 

Series 1996-20G Class 1, 7.70%, 7/01/16

 

 

325

 

 

357,393

 

Series 1996-20H Class 1, 7.25%, 8/01/16

 

 

501

 

 

548,064

 

Series 1996-20K Class 1, 6.95%, 11/01/16

 

 

821

 

 

875,324

 

Series 1997-20C Class 1, 7.15%, 3/01/17

 

 

362

 

 

394,582

 

 

 

 

 

 




 

 

 

 

 

 

10,890,587

 









Interest Only — 0.3%

 

 

 

 

 

 

 

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

 

 

6,841

 

 

528,053

 

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

 

 

10,639

 

 

887,707

 

 

 

 

 

 




 

 

 

 

 

 

1,415,760

 









Total Asset-Backed Securities — 2.7%

 

 

 

 

 

12,306,347

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

 

 

 

 

 









Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

Structured Asset Repackaged Trust, 1.00%, 1/21/10

 

 

601

 

 

582,709

 









Total Corporate Bonds — 0.2%

 

 

 

 

 

582,709

 









 

 

 

 

 

 

 

 


 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 









Collateralized Mortgage Obligations — 4.8%

 

 

 

 

 

 

 

Countrywide Alternative Loan Trust Series 2005-28CB Class 1A5, 5.50%, 8/25/35

 

 

2,584

 

 

2,131,098

 

Deutsche Alt-A Securities Inc. Mortgage Series 2006-AR5 Class 22A, 5.50%, 10/25/21

 

 

1,600

 

 

1,203,545

 

Homebanc Mortgage Trust Series 2005-4 Class A1, 0.54%, 10/25/35 (b)

 

 

3,997

 

 

2,006,157

 

JPMorgan Mortgage Trust Series 2006-A7 Class 2A2, 5.77%, 1/25/37 (b)

 

 

1,004

 

 

723,851

 

Kidder Peabody Acceptance Corp. Series 1993-1 Class A6, 16.13%, 8/25/23 (b)

 

 

100

 

 

100,549

 

Residential Accredit Loans, Inc. Series 2003-QS14 Class A1, 5.00%, 7/25/18

 

 

4,889

 

 

4,750,638

 

Residential Funding Securities LLC Series 2003-RM2 Class AI5, 8.50%, 5/25/33

 

 

6,841

 

 

6,381,963

 

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11 Class A, 3.91%, 8/25/34 (b)

 

 

1,732

 

 

1,695,979

 

WaMu Mortgage Pass-Through Certificates:

 

 

 

 

 

 

 

Series 2005-AR4 Class A3, 4.59%, 4/25/35 (b)

 

 

1,554

 

 

1,544,490

 

Series 2006-AR1 Class 2A1C, 2.12%, 1/25/46 (b)

 

 

6,373

 

 

1,402,094

 

 

 

 

 

 




 

 

 

 

 

 

21,940,364

 









Commercial Mortgage-Backed Securities — 4.7%

 

 

 

 

 

 

 

Credit Suisse Mortgage Capital Certificates:

 

 

 

 

 

 

 

Series 2006-C5 Class A2, 5.25%, 12/15/39 (d)

 

 

14,000

 

 

13,881,696

 

Series 2007-C2 Class A3, 5.54%, 1/15/49 (b)

 

 

2,420

 

 

1,761,250

 

First Union-Lehman Brothers Commercial Mortgage Series 1997-C2 Class D, 7.12%, 11/18/29

 

 

3,500

 

 

3,622,403

 

Wachovia Bank Commercial Mortgage Trust Series 2007-C32 Class A2, 5.92%, 6/15/49 (b)

 

 

2,200

 

 

2,157,639

 

 

 

 

 

 




 

 

 

 

 

 

21,422,988

 









 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 







Interest Only Collateralized Mortgage Obligations — 2.0%

 

 

 

 

 

 

 

Bank of America Mortgage Securities Inc. Series 2003-3 Class 1AIO, 0.28%, 5/25/18 (b)

 

$

159,378

 

$

617,079

 

CitiMortgage Alternative Loan Trust Series 2007-A5 Class 1A7, 6.00%, 5/25/37

 

 

1,540

 

 

186,283

 

Collateralized Mortgage Obligation Trust, Class R:

 

 

 

 

 

 

 

Series 40, 0.58%, 4/01/18

 

 

(j)

 

229

 

Series 42, 6.00%, 10/01/14

 

 

(j)

 

1,923

 

First Boston Mortgage Securities Corp. Series C Class I-O, 10.98%, 4/25/17

 

 

51

 

 

9,444

 

GSMPS Mortgage Loan Trust Series 1998-5 Class IO, 0.88%, 6/19/27 (b)(c)

 

 

6,046

 

 

105,811

 

IndyMac INDX Mortgage Loan Trust Series 2006-AR33 Class 4AX, 0.17%, 1/25/37

 

 

136,681

 

 

632,834

 

Kidder Peabody Mortgage Assets Trust Series B Class A2, 9.50%, 4/22/18

 

 

42

 

 

10,765

 

MASTR Adjustable Rate Mortgages Trust Series 2004-3 Class 3AX, 0.98%, 4/25/34

 

 

16,043

 

 

187,058

 

MASTR Alternative Loans Trust Series 2003-9 Class 15X2, 6.00%, 1/25/19

 

 

951

 

 

95,734

 

Morgan Stanley Mortgage Loan Trust Series 2004-3 Class 1AX, 5.00%, 5/25/19 (c)

 

 

933

 

 

55,955

 

Sequoia Mortgage Trust Series 2005-2 Class XA, 1.23%, 3/20/35 (b)

 

 

42,325

 

 

639,102

 

Small Business Administration Series 1, 1.00%, 4/01/15

 

 

2,634

 

 

26,343

 

Structured Adjustable Rate Mortgage Loan Trust:

 

 

 

 

 

 

 

Series 2005-18 Class 7AX, 5.50%, 9/25/35 (b)

 

 

3,915

 

 

489,399

 

Series 2005-20 Class 3AX, 5.50%, 10/25/35

 

 

2,982

 

 

414,291

 

Series 2006-2 Class 4AX, 5.50%, 3/25/36 (b)

 

 

10,411

 

 

1,483,535

 

Series 2006-7 Class 3AS, 7.16%, 8/25/36 (b)

 

 

35,477

 

 

3,731,473

 

Vendee Mortgage Trust Series 1999-2 Class 1IO, 0.05%, 5/15/29 (b)

 

 

70,297

 

 

120,299

 

 

 

 

 

 




 

 

 

 

 

 

8,807,557

 









Interest Only Commercial Mortgage-Backed Securities — 0.1%

 

 

 

 

 

 

 

CS First Boston Mortgage Securities Corp. Series 1997-C1 Class AX, 1.66%, 6/20/29 (b)(c)

 

 

4,670

 

 

177,163

 

Commercial Mortgage Acceptance Corp. Series 1997-ML1 Class IO, 1.22%, 12/15/30 (b)

 

 

11,947

 

 

327,699

 

Morgan Stanley Capital I Series 1997-HF1 Class X, 2.24%, 7/15/29 (b)(c)

 

 

51

 

 

3

 

 

 

 

 

 




 

 

 

 

 

 

504,865

 









Principal Only Collateralized Mortgage Obligations — 1.3%

 

 

 

 

 

 

 

Countrywide Home Loan Mortgage Pass-Through Trust:

 

 

 

 

 

 

 

Series 2003-26 Class PO, 0%, 8/25/33

 

 

3,652

 

 

2,848,490

 

Series 2003-J4 Class PO, 0%, 6/25/33

 

 

685

 

 

434,873

 

Series 2003-J5 Class PO, 0%, 7/25/33

 

 

1,094

 

 

743,150

 

Series 2003-J8 Class PO, 0%, 9/25/23

 

 

856

 

 

568,542

 

 

 

 

 

 

 

 

 

MASTR Asset Securitization Trust Series 2004-3 Class 4A15, 0%, 3/25/34

 

 

314

 

 

170,908

 

Residential Asset Securitization Trust Series 2005-A15 Class 1A8, 0%, 2/25/36

 

 

983

 

 

489,704

 

Structured Mortgage Asset Residential Trust Series 1993-3C Class CX, 0%, 4/25/24

 

 

8

 

 

8,071

 

Washington Mutual Alternative Mortgage Pass-Through Certificates Series 2005-9 Class CP, 0%, 11/25/35

 

 

859

 

 

587,270

 

Drexel Burnham Lambert CMO Trust, Class 1:

 

 

 

 

 

 

 

Series K, 0%, 9/23/17

 

 

15

 

 

15,176

 

Series V, 0%, 9/01/18

 

 

130

 

 

130,109

 

 

 

 

 

 




 

 

 

 

 

 

5,996,293

 









Total Non-Agency Mortgage-Backed Securities — 12.9%

 

 

 

 

 

58,672,067

 










 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

AUGUST 31, 2009

61



 

 


 

 

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 — 4.1%

 

 

 

 

 

 

 

Federal Housing Administration:

 

 

 

 

 

 

 

General Motors Acceptance Corp. Projects, Series 56, 7.43%, 11/01/22

 

$

323

 

$

319,718

 

Merrill Projects, Series 54, 7.43%, 5/15/23 (f)

 

 

2

 

 

2,194

 

Reilly Project, Series 41, 8.28%, 3/01/20

 

 

676

 

 

668,884

 

USGI Projects, Series 87, 7.43%, 12/01/22

 

 

73

 

 

72,568

 

USGI Projects, Series 99, 7.43%, 6/01/21

 

 

4,981

 

 

4,931,094

 

USGI Projects, Series 99, 7.43%, 10/01/23

 

 

77

 

 

76,359

 

USGI Projects, Series 99, 7.43%, 10/01/23

 

 

228

 

 

225,608

 

Freddie Mac, 3%, 7/28/14

 

 

1,650

 

 

1,674,004

 

Overseas Private Investment Corp.:

 

 

 

 

 

 

 

4.09%, 5/29/12

 

 

352

 

 

342,575

 

4.30%, 5/29/12

 

 

885

 

 

982,624

 

4.64%, 5/29/12

 

 

749

 

 

743,978

 

4.68%, 5/29/12

 

 

424

 

 

409,538

 

4.87%, 5/29/12

 

 

3,224

 

 

3,206,012

 

Resolution Funding Corp., 9.75%, 4/15/30 (g)

 

 

13,000

 

 

4,874,428

 

 

 

 

 

 




 

 

 

 

 

 

18,529,584

 









Interest Only Collateralized Mortgage Obligations — 2.6%

 

 

 

 

 

 

 

Fannie Mae Trust Series:

 

 

 

 

 

 

 

Series 7 Class 2, 8.50%, 4/01/17

 

 

7

 

 

929

 

Series 89 Class 2, 8.00%, 10/01/18

 

 

13

 

 

1,593

 

Series 94 Class 2, 9.50%, 8/01/21

 

 

5

 

 

743

 

Series 1990-123 Class M, 1.01%, 10/25/20

 

 

(j)

 

717

 

Series 1990-136 Class S, 19.77%, 11/25/20 (b)

 

 

20

 

 

29,475

 

Series 1991-38 Class N, 1.01%, 4/25/21

 

 

(j)

 

128

 

Series 1991-46 Class S, 1.40%, 5/25/21 (b)

 

 

(j)

 

6,721

 

Series 1991-99 Class L, 0.93%, 8/25/21

 

 

(j)

 

3,756

 

Series 1991-139 Class PT, 0.65%, 10/25/21

 

 

(j)

 

4,991

 

Series 1993-199 Class SB, 7.19%, 10/25/23 (b)

 

 

1,510

 

 

155,680

 

Series 1996-68 Class SC, 7.79%, 1/25/24 (b)

 

 

1,097

 

 

98,284

 

Series 1997-50 Class SI, 1.20%, 4/25/23 (b)

 

 

496

 

 

9,984

 

Series 1997-90 Class M, 6.00%, 1/25/28

 

 

9,467

 

 

1,768,643

 

Series 1999-W4 Class IO, 6.50%, 12/25/28

 

 

475

 

 

82,631

 

Series 2003-9 Class BI, 5.50%, 10/25/22

 

 

2,134

 

 

143,476

 

Series 2003-55 Class GI, 5.00%, 7/25/19

 

 

2,540

 

 

106,434

 

Series 2003-66 Class CI, 5.00%, 7/25/33

 

 

4,304

 

 

722,582

 

Series 2003-122 Class IC, 5.00%, 9/25/18

 

 

2,348

 

 

57,750

 

Series 2004-90 Class JH, 6.43%, 11/25/34 (b)

 

 

21,496

 

 

2,136,151

 

Series 2005-43 Class IC, 6.00%, 3/25/34

 

 

704

 

 

112,894

 

Series 2009-3 Class JI, 6.00%, 1/25/49

 

 

22,031

 

 

1,955,383

 

Series G-10 Class S, 0.58%, 5/25/21 (b)

 

 

(j)

 

15,160

 

Series G-12 Class S, 0.61%, 5/25/21 (b)

 

 

(j)

 

13,217

 

Series G-17 Class S, 0.58%, 6/25/21 (b)

 

 

(j)

 

6,991

 

Series G-33 Class PV, 1.08%, 10/25/21

 

 

(j)

 

10,591

 

Series G-50 Class G, 1.16%, 12/25/21

 

 

(j)

 

2,740

 

Series G92-5 Class H, 9.00%, 1/25/22

 

 

141

 

 

23,416

 

Series G92-12 Class C, 1.02%, 2/25/22

 

 

(j)

 

8,211

 

Series G92-60 Class SB, 1.60%, 10/25/22 (b)

 

 

396

 

 

24,415

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

Series 19 Class R, 9.76%, 3/15/20 (b)

 

 

(j)

 

2,146

 

Series 176 Class M, 1.01%, 7/15/21

 

 

(j)

 

907

 

Series 192 Class U, 1.01%, 2/15/22 (b)

 

 

(j)

 

90

 

Series 200 Class R, 98.52%, 12/15/22 (b)

 

 

(j)

 

20

 

Series 1043 Class H, 43.59%, 2/15/21 (b)

 

 

11

 

 

18,938

 

Series 1054 Class I, 0.44%, 3/15/21 (b)

 

 

(j)

 

1,635

 

Series 1056 Class KD, 1.09%, 3/15/21

 

 

(j)

 

2,244

 

Series 1057 Class J, 1.01%, 3/15/21

 

 

(j)

 

2,655

 

Series 1148 Class E, 0.59%, 10/15/21 (b)

 

 

(j)

 

5,112

 

Series 1179 Class O, 1.01%, 11/15/21

 

 

(j)

 

84

 

Series 1914 Class PC, 0.75%, 12/15/11

 

 

988

 

 

5,552

 

Series 2444 Class ST, 7.70%, 9/15/29 (b)

 

 

58

 

 

987

 

Series 2542 Class MX, 5.50%, 5/15/22

 

 

795

 

 

58,578

 

Series 2545 Class NI, 5.50%, 3/15/22

 

 

1,105

 

 

67,322

 

Series 2559 Class IO, 0.51%, 8/15/30 (b)

 

 

323

 

 

4,973

 

 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

Par
(000)

 

Value

 







Interest Only Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

Freddie Mac Multiclass Certificates (concluded):

 

 

 

 

 

 

 

Series 2561 Class EW, 5.00%, 9/15/16

 

$

1,796

 

$

65,309

 

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

 

 

7,380

 

 

951,768

 

Series 2653 Class MI, 5.00%, 4/15/26

 

 

1,865

 

 

80,923

 

Series 2687 Class IL, 5.00%, 9/15/18

 

 

2,141

 

 

48,814

 

Series 2694 Class LI, 4.50%, 7/15/19

 

 

1,220

 

 

45,445

 

Series 2773 Class OX, 5.00%, 2/15/18

 

 

2,704

 

 

190,996

 

Series 2906 Class SW, 6.43%, 11/15/34 (b)

 

 

24,931

 

 

2,395,890

 

Series 2949 Class IO, 5.50%, 3/15/35

 

 

1,347

 

 

185,646

 

Series 3299 Class TI, 5.00%, 4/15/37

 

 

549

 

 

3,027

 

Ginnie Mae Trust:

 

 

 

 

 

 

 

Series 2003-58 Class IT, 5.50%, 7/20/33

 

 

1,201

 

 

94,491

 

Series 2004-39 Class ID, 5.00%, 5/20/33

 

 

1,500

 

 

246,346

 

 

 

 

 

 




 

 

 

 

 

 

11,983,584

 









Collateralized Mortgage-Backed Obligations — 21.3%

 

 

 

 

 

 

 

Fannie Mae Trust Series:

 

 

 

 

 

 

 

Series 1991-38 Class F, 8.33%, 4/25/21 (b)

 

 

26

 

 

26,789

 

Series 1991-38 Class SA, 10.19%, 4/25/21 (b)

 

 

26

 

 

27,355

 

Series 1991-87 Class S, 25.90%, 8/25/21 (b)

 

 

82

 

 

114,436

 

Series 1993-247 Class SN, 10.00%, 12/25/23 (b)

 

 

651

 

 

663,947

 

Series 2003-32 Class VT, 6.00%, 9/25/15

 

 

5,746

 

 

6,014,827

 

Series 2003-135 Class PB, 6.00%, 1/25/34

 

 

12,264

 

 

13,106,901

 

Series 2004-28 Class PB, 6.00%, 8/25/28

 

 

1,527

 

 

1,547,308

 

Series 2004-29 Class HC, 7.50%, 7/25/30

 

 

1,560

 

 

1,653,005

 

Series 2004-31 Class ZG, 7.50%, 5/25/34

 

 

2,731

 

 

2,999,446

 

Series 2005-68 Class PC, 5.50%, 7/25/35

 

 

1,726

 

 

1,838,802

 

Series 2005-73 Class DS, 16.90%, 8/25/35 (b)

 

 

4,520

 

 

4,959,553

 

Series 2006-2 Class KP, 0%, 2/25/35 (b)

 

 

982

 

 

710,898

 

Series 2007-112 Class FH, 0.57%, 6/25/37 (b)

 

 

10,063

 

 

9,819,032

 

Series 3271 Class FP, 0.57%, 2/15/37 (b)

 

 

2,058

 

 

2,005,742

 

Series G-7 Class S, 1,109%, 3/25/21 (b)

 

 

(j)

 

5,012

 

Series G-49 Class S, 2.30%, 12/25/21 (b)

 

 

(j)

 

2,646

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

Series 19 Class F, 8.50%, 3/15/20 (b)

 

 

136

 

 

146,570

 

Series 40 Class K, 6.50%, 8/17/24

 

 

528

 

 

567,680

 

Series 75 Class R, 9.50%, 1/15/21

 

 

(j)

 

4

 

Series 75 Class RS, 8.50%, 1/15/21 (b)

 

 

(j)

 

4

 

Series 173 Class R, 9.17%, 11/15/21

 

 

(j)

 

18

 

Series 173 Class RS, 9.17%, 11/15/21 (b)

 

 

(j)

 

19

 

Series 1160 Class F, 38.80%, 10/15/21 (b)

 

 

27

 

 

42,720

 

Series 1961 Class H, 6.50%, 5/15/12

 

 

93

 

 

95,884

 

Series 2218 Class Z, 8.50%, 3/15/30

 

 

7,321

 

 

8,088,695

 

Series 2542 Class UC, 6.00%, 12/15/22

 

 

10,200

 

 

10,858,780

 

Series 2758 Class KV, 5.50%, 5/15/23

 

 

10,556

 

 

11,167,530

 

Series 2765 Class UA, 4.00%, 3/15/11

 

 

1,098

 

 

1,100,767

 

Series 2861 Class AX, 10.39%, 9/15/34 (b)

 

 

444

 

 

458,112

 

Series 2927 Class BZ, 5.50%, 2/15/35

 

 

2,656

 

 

2,781,420

 

Series 3061 Class BD, 7.50%, 11/15/35

 

 

2,406

 

 

2,455,515

 

Series 3439 Class FN, 0.60%, 2/15/37 (b)

 

 

5,169

 

 

5,044,879

 

Series T-11 Class A9, 2.27%, 1/25/28 (b)

 

 

3,186

 

 

3,026,750

 

Ginnie Mae Trust:

 

 

 

 

 

 

 

Series 1996-5 Class Z, 7.00%, 5/16/26

 

 

773

 

 

845,680

 

Series 2001-33 Class PB, 6.50%, 7/20/31

 

 

1,256

 

 

1,341,344

 

Series 2004-89 Class PE, 6.00%, 10/20/34

 

 

3,392

 

 

3,626,062

 

 

 

 

 

 




 

 

 

 

 

 

97,144,132

 









Mortgage-Backed Securities — 87.5%

 

 

 

 

 

 

 

Fannie Mae Guaranteed Pass Through Certificates:

 

 

 

 

 

 

 

4.00%, 9/15/39 (i)

 

 

5,000

 

 

4,889,062

 

4.50%, 7/01/39 – 9/01/39 (e)(i)

 

 

6,461

 

 

6,505,304

 

5.00%, 1/01/23 – 10/15/39 (e)(i)

 

 

166,786

 

 

170,967,698

 

5.50%, 9/15/24 – 9/15/39 (i)

 

 

118,400

 

 

123,375,309

 

5.97%, 8/01/16

 

 

3,125

 

 

3,444,848

 

6.50%, 9/15/39 (i)

 

 

39,000

 

 

41,705,625

 

7.50%, 2/01/22

 

 

(j)

 

185

 

9.50%, 1/01/19 – 9/01/19

 

 

3

 

 

3,765

 


 

 

 

See Notes to Financial Statements.

 




62

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

 

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 (concluded)

 

 

 

 

 

 

 

Freddie Mac Mortgage Participation Certificates:

 

 

 

 

 

 

 

3.98%, 1/01/35 (b)(e)

 

$

215

 

$

219,289

 

4.51%, 11/01/17 (b)

 

 

22

 

 

22,534

 

4.99%, 10/01/34 (b)(e)

 

 

635

 

 

650,034

 

5.00%, 2/01/22 – 4/01/22 (e)

 

 

2,600

 

 

2,719,815

 

5.50%, 9/15/24 (i)

 

 

7,000

 

 

7,358,750

 

6.50%, 9/15/39 (i)

 

 

100

 

 

106,406

 

8.00%, 11/01/15

 

 

(j)

 

202

 

9.00%, 9/01/20

 

 

89

 

 

98,285

 

Ginnie Mae MBS Certificates:

 

 

 

 

 

 

 

5.00%, 9/15/39 (i)

 

 

23,900

 

 

24,594,582

 

6.50%, 9/15/39 (i)

 

 

10,800

 

 

11,481,750

 

7.50%, 8/15/21 – 12/15/23

 

 

331

 

 

369,598

 

8.00%, 10/15/22 – 2/15/29

 

 

130

 

 

147,163

 

9.00%, 6/15/18 – 9/15/21

 

 

11

 

 

12,663

 

 

 

 

 

 




 

 

 

 

 

 

398,672,867

 









Principal Only Collateralized Mortgage Obligations — 5.2%

 

 

 

 

 

 

 

Fannie Mae Multiclass Certificates:

 

 

 

 

 

 

 

Series 203 Class 1, 0%, 2/01/23

 

 

30

 

 

26,367

 

Series 228 Class 1, 0%, 6/01/23

 

 

20

 

 

17,364

 

Series 328 Class 1, 0%, 12/01/32

 

 

3,100

 

 

2,694,048

 

Series 338 Class 1, 0%, 7/01/33

 

 

2,604

 

 

2,273,478

 

Series 1991-7 Class J, 0%, 2/25/21

 

 

32

 

 

28,160

 

Series 1991-167 Class D, 0%, 10/25/17

 

 

8

 

 

7,973

 

Series 1993-51 Class E, 0%, 2/25/23

 

 

100

 

 

87,083

 

Series 1993-70 Class A, 0%, 5/25/23

 

 

17

 

 

14,592

 

Series 1993-249 Class B, 0%, 11/25/23

 

 

1,459

 

 

1,206,505

 

Series 1999-W4 Class PO, 0%, 2/25/29

 

 

236

 

 

201,484

 

Series 2002-13 Class PR, 0%, 3/25/32

 

 

626

 

 

541,250

 

Series G93-2 Class KB, 0%, 1/25/23

 

 

221

 

 

197,982

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

Series 1418 Class M, 0%, 11/15/22

 

 

112

 

 

98,480

 

Series 1571 Class G, 0%, 8/15/23

 

 

577

 

 

495,642

 

Series 1691 Class B, 0%, 3/15/24

 

 

1,503

 

 

1,368,350

 

Series 1739 Class B, 0%, 2/15/24

 

 

110

 

 

95,609

 

Series 2663 Class EO, 0%, 8/15/33

 

 

1,942

 

 

1,566,270

 

Series 2691 Class EO, 0%, 10/15/33

 

 

3,917

 

 

2,972,765

 

Series 2856 Class CO, 0%, 9/15/34

 

 

5,034

 

 

3,918,950

 

Series 2891 Class EM, 0%, 11/15/34

 

 

6,567

 

 

5,929,381

 

Series T-8 Class A10, 0%, 11/15/28

 

 

174

 

 

163,005

 

 

 

 

 

 




 

 

 

 

 

 

23,904,738

 









Total U.S. Government Sponsored Agency Securities — 120.7%

 

 

 

 

 

550,234,905

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 









U.S. Treasury Note:

 

 

 

 

 

 

 

1.75%, 8/15/12 (e)

 

 

7,850

 

 

7,911,944

 

3.63%, 8/15/19 (e)

 

 

14,180

 

 

14,445,875

 

4.50%, 8/15/39

 

 

330

 

 

347,789

 

U.S. Treasury Strips, 0%, 11/15/24 (a)(e)(h)

 

 

40,000

 

 

20,788,080

 









Total U.S. Treasury Obligations — 9.6%

 

 

 

 

 

43,493,688

 









Total Long-Term Investments (Cost — $669,036,943) — 146.1%

 

 

 

 

 

665,289,716

 









 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 







BlackRock Liquidity Funds, TempFund, 0.22% (k)(l)

 

 

178,238,591

 

$

178,238,591

 









Total Short-Term Securities (Cost — $178,238,591) — 39.1%

 

 

 

 

 

178,238,591

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Options Purchased

 

Contracts (m)

 

 

 

 









Over-the-Counter Call Swaptions Purchased

 

 

 

 

 

 

 

Receive a fixed rate of 3.41% and pay a floating rate based on 3-month LIBOR, expiring April 2010, Broker Deutsche Bank AG

 

 

15

 

 

295,504

 

Receive a fixed rate of 5.47% and pay a floating rate based on 3-month LIBOR, expiring May 2012, Broker Bank of America NA

 

 

6

 

 

712,206

 

 

 

 

 

 




 

 

 

 

 

 

1,007,710

 









Over-the-Counter Put Swaptions Purchased

 

 

 

 

 

 

 

Pay a fixed rate of 3.41% and receive a floating rate based on 3-month LIBOR, expiring April 2010, Broker Deutsche Bank

 

 

15

 

 

898,367

 

Pay a fixed rate of 5.47% and receive a floating rate based 3-month LIBOR, expiring May 2012, Broker Bank of America NA

 

 

6

 

 

256,060

 

 

 

 

 

 




 

 

 

 

 

 

1,154,427

 









Total Options Purchased (Cost — $1,652,980) — 0.5%

 

 

 

 

 

2,162,137

 









Total Investments before TBA Sale Commitments and Options Written
(Cost — $848,928,514*) — 185.7%

 

 

 

 

 

845,690,444

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

TBA Sale Commitments

 

 

 

 

 

 

 









Fannie Mae Guaranteed Pass Through Certificates:

 

 

 

 

 

 

 

4.50%, 7/01/39 – 9/01/39

 

 

(6,400

)

 

(6,433,997

)

5.00%, 1/01/23 – 10/15/39

 

 

(86,200

)

 

(88,553,596

)

Freddie Mac Mortgage Participation Certificates, 5.00%, 2/01/22 – 4/01/22

 

 

(2,500

)

 

(2,603,125

)









Total TBA Sale Commitments (Proceeds — $97,270,721) — (21.4)%

 

 

 

 

 

(97,590,718

)









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Options Written

 

 

 

 

 

 

 









Over-the-Counter Call Swaptions Written

 

 

 

 

 

 

 

Pay a fixed rate of 5.49% and receive a floating rate based on 3-month LIBOR, expire October 2009, Broker JPMorgan Chase Bank NA

 

 

5

 

 

(827,977

)

Pay a fixed rate of 2.38% and receive a floating rate based on 3-month LIBOR, expiring December 2009, Broker Barclays Bank, Plc

 

 

5

 

 

(3,636

)

Pay a fixed rate of 5.67% and receive a floating rate based on 3-month LIBOR, expiring January 2010, Broker Citibank NA

 

 

12

 

 

(2,007,337

)

Pay a fixed rate of 3.43% and receive a floating rate based on 3-month LIBOR, expiring March 2011, Broker JPMorgan Chase Bank NA

 

 

7

 

 

(187,341

)

Pay a fixed rate of 5.33% and receive a floating rate based on 3-month LIBOR, expiring July 2013, Broker JPMorgan Chase Bank NA

 

 

11

 

 

(688,344

)

 

 

 

 

 




 

 

 

 

 

 

(3,714,635

)










 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

AUGUST 31, 2009

63



 

 



 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Contracts (m)

 

Value

 









Over-the-Counter Put Swaptions Written

 

 

 

 

 

 

 

Receive a fixed rate of 5.49% and pay a floating rate based on 3-month LIBOR, expiring October 2009, Broker JPMorgan Chase Bank NA

 

 

5

 

$

(1,442

)

Receive a fixed rate of 2.38% and pay a floating rate based on 3-month USD LIBOR, expiring December 2009, Broker Barclays Bank, Plc

 

 

5

 

 

(576,210

)

Receive a fixed rate of 5.67% and pay a floating rate based on 3-month LIBOR, expiring January 2010, Broker Citibank NA

 

 

12

 

 

(24,788

)

Receive a fixed rate of 3.43%% and pay a floating rate based on 3-month USD LIBOR, expiring March 2011, Broker JPMorgan Chase Bank NA

 

 

7

 

 

(660,625

)

Receive a fixed rate of 5.33% and pay a floating rate based on 3-month LIBOR, expiring July 2013, Broker JPMorgan Chase Bank NA

 

 

11

 

 

(337,995

)

 

 

 

 

 




 

 

 

 

 

 

(1,601,060

)









Total Options Written
(Premiums Received — $3,481,809) — (1.2)%

 

 

 

 

 

(5,315,695

)









Total Investments Net of TBA Sale
Commitments and Options Written — 163.1%

 

 

 

 

 

742,784,031

 

Liabilities in Excess of Other Assets — (63.1)%

 

 

 

 

 

(287,255,504

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

455,528,527

 

 

 

 

 

 













 

 

*

The cost and unrealized appreciation (depreciation) of investments as of August 31, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

848,966,113

 

 

 




Gross unrealized appreciation

 

$

24,729,363

 

Gross unrealized depreciation

 

 

(28,005,032

)

 

 




Net unrealized depreciation

 

$

(3,275,669

)

 

 





 

 

(a)

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

 

 

(b)

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

 

 

(c)

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.

 

 

(d)

Security held as collateral in connection with TALF program.

 

 

(e)

All or a portion of security held as collateral in connection with swaps.

 

 

(f)

Investments in companies considered to be an affiliate of the Trust, during the period September 1, 2008 to December 31, 2008 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 











Affiliate

 

Purchase
Cost

 

Sale
Cost

 

Realized
Loss

 

Income

 











Federal Housing Administration Merrill Projects, Series 54, 7.43%, 5/15/23

 

 

 

$

43

 

$

(2

)

$

89

 












 

 

(g)

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

 

 

(h)

Separately Traded Registered Interest and Principal Securities.

 

 

(i)

Represents or includes a “to-be-announced” transaction. The Trust has committed to purchasing (selling) securities for which all specific information is not available at this time.


 

 

 

 

 

 

 

 







Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 







Citigroup Global Markets, Inc.

 

$

9,936,816

 

$

(6,497

)

Credit Suisse Securities LLC

 

$

7,358,750

 

$

61,250

 

Deutsche Bank Securities, Inc.

 

$

82,719,531

 

$

1,251,953

 

Greenwich Financial Services

 

$

111,380,366

 

$

1,203,804

 

Goldman Sachs & Company

 

$

3,149,471

 

$

40,130

 

JPMorgan Securities, Ltd.

 

$

66,300,207

 

$

527,941

 










 

 

(j)

Amount is less than $1,000.

 

 

(k)

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


 

 

 

 

 

 

 

 







Affiliate

 

Net Activity

 

Income

 







BlackRock Liquidity Funds, TempFund

 

$

178,238,591

 

$

336,368

 










 

 

(l)

Represents the current yield as of report date.

 

 

(m)

One contract represents a notional amount of $1 million.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

 

Interest rate floors outstanding as of August 31, 2009 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, Citibank NA Expiring September 2011

 

$

27,000

 

$

(2,385,126

)

$

(1,867,626

)

Pay to broker the difference between 3-month LIBOR and a floor of 5.50%

 

 

 

 

 

 

 

 

 

 

Broker, Goldman Sachs Bank USA Expiring March 2011

 

 

85,000

 

 

(4,817,205

)

 

(3,876,538

)












Total

 

 

 

 

$

(7,202,331

)

$

(5,744,164

)

 

 

 

 

 








 

 

Financial futures contracts sold as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 













Contracts

 

Issue

 

Expiration
Date

 

Face
Value

 

Unrealized
Depreciation

 











40

 

 

10-Year U.S. Treasury Bond

 

December 2009

 

$

4,661,599

 

$

(27,151

)

14

 

 

5-Year U.S. Treasury Bond

 

December 2009

 

$

1,607,257

 

 

(6,243

)

4

 

 

2-Year U.S. Treasury Bond

 

December 2009

 

$

863,317

 

 

(2,058

)

90

 

 

Euro Dollar Futures

 

March 2010

 

$

22,267,975

 

 

(71,150

)













Total

 

 

 

 

 

 

 

 

$

(106,602

)

 

 

 

 

 

 

 

 

 





 

 

 

See Notes to Financial Statements.




64

ANNUAL REPORT

AUGUST 31, 2009



 

 



 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)


 

 

Interest rate swaps outstanding as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













4.32% (a)

 

3-month LIBOR

 

UBS AG

 

September 2010

 

$

12,000

 

$

442,511

 

1.45% (b)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

July 2011

 

$

20,000

 

 

(67,913

)

4.88% (a)

 

3-month LIBOR

 

UBS AG

 

March 2015

 

$

25,000

 

 

2,548,689

 

4.87% (a)

 

3-month LIBOR

 

Goldman Sachs Bank USA

 

January 2016

 

$

5,500

 

 

566,279

 

2.81% (a)

 

3-month LIBOR

 

Citibank NA

 

February 2016

 

$

20,000

 

 

(375,980

)

5.72% (a)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

July 2016

 

$

5,400

 

 

848,995

 

5.51% (a)

 

3-month LIBOR

 

Bank of America NA

 

August 2017

 

$

159,147

 

 

23,912,226

 

5.88% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

June 2018

 

$

31,930

 

 

(5,280,652

)

4.55% (b)

 

3-month LIBOR

 

Citibank NA

 

September 2018

 

$

98,400

 

 

(7,914,143

)

4.31% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

October 2018

 

$

66,000

 

 

(4,085,753

)

3.17% (a)

 

3-month LIBOR

 

Bank of America NA

 

March 2019

 

$

4,700

 

 

(158,855

)

3.09% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

March 2019

 

$

25,700

 

 

1,015,445

 

2.88% (a)

 

3-month LIBOR

 

Deutsche Bank AG

 

April 2019

 

$

39,700

 

 

(2,304,268

)

3.23% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

May 2019

 

$

2,800

 

 

85,379

 

3.90% (b)

 

3-month LIBOR

 

Barclays Bank Plc

 

June 2019

 

$

20,000

 

 

(520,704

)

3.55% (b)

 

3-month LIBOR

 

Deutsche Bank AG

 

August 2019

 

$

15,000

 

 

(81,103

)

5.41% (a)

 

3-month LIBOR

 

JPMorgan Chase Bank NA

 

August 2022

 

$

9,565

 

 

1,584,672

 















Total

 

 

 

 

 

 

 

 

 

 

$

10,214,825

 

 

 

 

 

 

 

 

 

 

 

 





 

 

(a)

Pays floating interest rate and receives fixed rate.

 

 

(b)

Pays fixed interest rate and receives floating rate.


 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:


 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

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)

 

 

 

The inputs or methodology 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 table summarizes the inputs used as of August 31, 2009 in determining the fair valuation of the Trust’s investments:


 

 

 

 

 

 

 

 





Valuation Inputs

 

Investments in Securities

 





 

 

Assets

 

Liabilities

 

 

 


 


 

Level 1 — Short-Term Securities

 

$

178,238,591

 

 

 

 

 







Level 2

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

8,770,187

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

37,665,454

 

 

 

U.S. Treasury Obligations

 

 

43,493,688

 

 

 

U.S. Government Sponsored Agency Securities

 

 

536,112,364

 

 

 

TBA Sale Commitments

 

 

 

$

(97,590,718

)

 

 







Total Level 2

 

 

626,041,693

 

 

(97,590,718

)

 

 







Level 3

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

3,536,160

 

 

 

Corporate Bonds

 

 

582,709

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

21,006,613

 

 

 

U.S. Government Sponsored Agency Securities

 

 

14,122,541

 

 

 

 

 







Total Level 3

 

 

39,248,023

 

 

 

 

 







Total

 

$

843,528,307

 

$

(97,590,718

)

 

 







 

 

 

 

 

 

 

 





Valuation Inputs

 

Other Financial Instruments1

 





 

 

Assets

 

Liabilities

 

 

 


 


 

Level 1

 

 

 

$

(106,602

)

Level 2

 

$

33,166,333

 

 

(37,919,973

)

Level 3

 

 

 

 

(7,202,331

)

 

 







Total

 

$

33,166,333

 

$

(45,228,906

)

 

 








 

 

1

Other financial instruments are swaps, financial futures contracts, interest rate floors, TALF loan, options purchased and options written. Financial futures contracts and swaps are valued at the unrealized appreciation/depreciation on the instrument and interest rate floors, TALF, options purchased and options written are shown at market value.


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

AUGUST 31, 2009

65



 

 


 

 

Schedule of Investments (concluded)

BlackRock Income Trust, Inc. (BKT)

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Valuation Inputs

 

Asset-Backed
Securities

 

Corporate Bonds

 

Non-Agency
Mortgage-Backed
Securities

 

U.S. Government
Sponsored Agency
Securities

 

Total

 


















Balance, as of August 31, 2008

 

 

 

 

 

$

5,447

 

$

5,936,574

 

$

5,942,021

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

$

43

 

 

1

 

 

2

 

 

46

 

Change in unrealized appreciation (depreciation)2

 

$

267,681

 

 

(130,222

)

 

(4,076,994

)

 

(6,485,588

)

 

(10,425,123

)

Net purchases (sales)

 

 

 

 

(272,641

)

 

(2,538

)

 

(6

)

 

(275,185

)

Net transfers in/out of Level 3

 

 

3,268,479

 

 

985,529

 

 

25,080,697

 

 

14,671,559

 

 

44,006,264

 

 

 
















Balance, as of August 31, 2009

 

$

3,536,160

 

$

582,709

 

$

21,006,613

 

$

14,122,541

 

$

39,248,023

 

 

 

















 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statements of Operations.

The following is a reconciliation of other financial instruments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 






Valuation Inputs

 

Other Financial
Instruments3

 





 

 

Liabilities

 

 

 



Balance, as of August 31, 2008

 

$

(9,216,687

)

Accrued discounts/premiums

 

 

 

Realized gain (loss)

 

 

(849,062

)

Change in unrealized appreciation (depreciation)

 

 

(30,244

)

Net purchases (sales)

 

 

2,893,662

 

Net transfers in/out of Level 3

 

 

 

 

 




Balance, as of August 31, 2009

 

$

(7,202,331

)

 

 





 

 

 

 

3

Other financial instruments are interest rate floors.


 

 

 

See Notes to Financial Statements.




66

ANNUAL REPORT

AUGUST 31, 2009



 

 



 

 

Schedule of Investments August 31, 2009

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

 

Shares

 

Value

 








Building Products — 0.6%

 

 

 

 

 

 

 

Masonite Worldwide Holdings

 

 

13,686

 

$

553,599

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Recovery Trust

 

 

396,568

 

 

5,949

 









Total Common Stocks — 0.6%

 

 

 

 

 

559,548

 









 

 

 

 

 

 

 

 



Corporate Bonds

 

 

Par
(000)

 

 

 

 









Aerospace & Defense — 2.0%

 

 

 

 

 

 

 

Northrop Grumman Corp., 7.13%, 2/15/11

 

USD

605

 

 

646,868

 

United Technologies Corp., 6.35%, 3/01/11

 

 

1,000

 

 

1,067,405

 

 

 

 

 

 




 

 

 

 

 

 

1,714,273

 









Air Freight & Logistics — 0.2%

 

 

 

 

 

 

 

Park-Ohio Industries, Inc., 8.38%, 11/15/14

 

 

300

 

 

189,375

 









Airlines — 0.4%

 

 

 

 

 

 

 

American Airlines Pass Through Trust:

 

 

 

 

 

 

 

Series 1999-1, 7.32%, 4/15/11

 

 

125

 

 

123,125

 

Series 2001-02, 7.86%, 4/01/13

 

 

190

 

 

181,450

 

Continental Airlines, Inc. Series 2003-RJ, 7.88%, 1/02/20

 

 

104

 

 

67,840

 

 

 

 

 

 




 

 

 

 

 

 

372,415

 









Auto Components — 1.0%

 

 

 

 

 

 

 

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

 

 

114

 

 

102,600

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.86%, 8/15/11

 

 

405

 

 

402,975

 

8.63%, 12/01/11

 

 

300

 

 

303,000

 

Lear Corp., 8.75%, 12/01/16 (b)(c)

 

 

95

 

 

51,300

 

 

 

 

 

 




 

 

 

 

 

 

859,875

 









Automobiles — 1.7%

 

 

 

 

 

 

 

DaimlerChrysler NA Holding Corp., 7.30%, 1/15/12

 

 

1,000

 

 

1,072,880

 

Ford Capital BV, 9.50%, 6/01/10

 

 

350

 

 

346,500

 

 

 

 

 

 




 

 

 

 

 

 

1,419,380

 









Building Products — 0.4%

 

 

 

 

 

 

 

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

 

 

150

 

 

107,250

 

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

 

 

250

 

 

208,750

 

 

 

 

 

 




 

 

 

 

 

 

316,000

 









Capital Markets — 0.2%

 

 

 

 

 

 

 

Marsico Parent Co., LLC, 10.63%, 1/15/16 (a)

 

 

341

 

 

143,220

 

Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (a)(d)

 

 

142

 

 

34,125

 

Marsico Parent Superholdco, LLC, 14.50%, 1/15/18 (a)(d)

 

 

98

 

 

25,412

 

 

 

 

 

 




 

 

 

 

 

 

202,757

 









Chemicals — 1.9%

 

 

 

 

 

 

 

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

 

 

180

 

 

162,450

 

Ames True Temper, Inc., 4.51%, 1/15/12 (e)

 

 

350

 

 

308,000

 

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

 

 

980

 

 

950,600

 

Olin Corp., 8.88%, 8/15/19

 

 

115

 

 

116,150

 

Terra Capital, Inc. Series B, 7.00%, 2/01/17

 

 

50

 

 

47,125

 

 

 

 

 

 




 

 

 

 

 

 

1,584,325

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 








Commercial Banks — 0.6%

 

 

 

 

 

 

 

Standard Chartered Plc, 5.50%, 11/18/14 (a)

 

USD

450

 

$

478,379

 









Commercial Services & Supplies — 2.2%

 

 

 

 

 

 

 

DI Finance Series B, 9.50%, 2/15/13

 

 

524

 

 

531,205

 

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

 

 

240

 

 

250,800

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

550

 

 

544,500

 

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

 

 

590

 

 

544,275

 

 

 

 

 

 




 

 

 

 

 

 

1,870,780

 









Communications Equipment — 0.2%

 

 

 

 

 

 

 

Harris Corp., 6.38%, 6/15/19

 

 

175

 

 

191,013

 









Construction Materials — 0.5%

 

 

 

 

 

 

 

Nortek, Inc., 10.00%, 12/01/13

 

 

450

 

 

418,500

 









Consumer Finance — 2.4%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

2.08%, 1/15/10 (e)

 

 

1,600

 

 

1,584,000

 

7.80%, 6/01/12

 

 

250

 

 

231,261

 

8.00%, 12/15/16

 

 

240

 

 

210,274

 

 

 

 

 

 




 

 

 

 

 

 

2,025,535

 









Containers & Packaging — 2.0%

 

 

 

 

 

 

 

Berry Plastics Holding Corp.:

 

 

 

 

 

 

 

4.17%, 9/15/14 (e)

 

 

80

 

 

57,600

 

8.88%, 9/15/14

 

 

75

 

 

66,000

 

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

 

 

250

 

 

247,500

 

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

 

 

365

 

 

374,125

 

Impress Holdings BV, 3.63%, 9/15/13 (a)(e)

 

 

260

 

 

237,575

 

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

 

 

565

 

 

508,500

 

Solo Cup Co., 10.50%, 11/01/13 (a)

 

 

195

 

 

204,750

 

 

 

 

 

 




 

 

 

 

 

 

1,696,050

 









Diversified Financial Services — 3.6%

 

 

 

 

 

 

 

Bank of America Corp., 6.50%, 8/01/16

 

 

750

 

 

772,867

 

CIT Group, Inc.:

 

 

 

 

 

 

 

0.42%, 3/12/10 (e)

 

 

55

 

 

34,375

 

4.75%, 12/15/10

 

 

180

 

 

109,004

 

5.00%, 2/01/15

 

 

440

 

 

247,613

 

Citigroup, Inc., 8.13%, 7/15/39

 

 

200

 

 

205,579

 

GMAC LLC:

 

 

 

 

 

 

 

6.88%, 9/15/11 (a)

 

 

200

 

 

184,500

 

2.56%, 12/01/14 (a)(e)

 

 

250

 

 

192,500

 

6.75%, 12/01/14

 

 

1,000

 

 

804,030

 

6.75%, 12/01/14 (a)

 

 

70

 

 

57,400

 

8.00%, 11/01/31 (a)

 

 

490

 

 

378,525

 

Structured Asset Repackaged Trust, 1.00%, 1/21/10

 

 

140

 

 

135,745

 

 

 

 

 

 




 

 

 

 

 

 

3,122,138

 









Diversified Telecommunication Services — 9.6%

 

 

 

 

 

 

 

AT&T Inc., 6.45%, 6/15/34

 

 

1,500

 

 

1,589,544

 

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

 

 

155

 

 

133,300

 

Cincinnati Bell, Inc., 7.25%, 7/15/13

 

 

550

 

 

533,500

 

Citizens Communications Co., 6.25%, 1/15/13

 

 

30

 

 

28,312

 

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

 

 

500

 

 

507,500

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

1,120

 

 

1,080,800

 

Series B, 7.50%, 2/15/14

 

 

305

 

 

294,325

 


 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

AUGUST 31, 2009

67



 

 



 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 









Diversified Telecommunication Services (concluded)

 

 

 

 

 

 

 

Qwest Corp.:

 

 

 

 

 

 

 

3.55%, 6/15/13 (e)

 

USD

340

 

$

314,500

 

8.38%, 5/01/16 (a)

 

 

200

 

 

202,000

 

Telecom Italia Capital SA, 4.95%, 9/30/14

 

 

1,000

 

 

1,032,082

 

Verizon New England, Inc., 6.50%, 9/15/11

 

 

2,000

 

 

2,154,310

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

220

 

 

220,000

 

8.63%, 8/01/16

 

 

160

 

 

160,600

 

 

 

 

 

 




 

 

 

 

 

 

8,250,773

 









Electric Utilities — 1.5%

 

 

 

 

 

 

 

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

 

 

27

 

 

23,500

 

Progress Energy, Inc., 7.75%, 3/01/31

 

 

1,000

 

 

1,225,946

 

 

 

 

 

 




 

 

 

 

 

 

1,249,446

 









Electronic Equipment, Instruments & Components — 0.2%

 

 

 

 

 

 

 

Jabil Circuit, Inc., 7.75%, 7/15/16

 

 

120

 

 

118,050

 

Sanmina-SCI Corp., 8.13%, 3/01/16

 

 

95

 

 

81,937

 

 

 

 

 

 




 

 

 

 

 

 

199,987

 









Energy Equipment & Services — 0.4%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

65

 

 

61,750

 

7.75%, 5/15/17

 

 

70

 

 

66,150

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

65

 

 

59,800

 

Transocean, Inc. Series A, 1.63%, 12/15/37 (f)

 

 

205

 

 

199,363

 

 

 

 

 

 




 

 

 

 

 

 

387,063

 









Food & Staples Retailing — 0.3%

 

 

 

 

 

 

 

Duane Reade, Inc., 11.75%, 8/01/15 (a)

 

 

70

 

 

70,700

 

Rite Aid Corp., 9.75%, 6/12/16 (a)

 

 

170

 

 

179,775

 

 

 

 

 

 




 

 

 

 

 

 

250,475

 









Food Products — 0.3%

 

 

 

 

 

 

 

Kraft Foods, Inc., 6.13%, 8/23/18

 

 

250

 

 

274,871

 









Health Care Equipment & Supplies — 1.4%

 

 

 

 

 

 

 

CareFusion Corp., 6.38%, 8/01/19 (a)

 

 

425

 

 

454,756

 

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

 

 

730

 

 

700,800

 

 

 

 

 

 




 

 

 

 

 

 

1,155,556

 









Health Care Providers & Services — 2.2%

 

 

 

 

 

 

 

Community Health Systems, Inc. Series WI, 8.88%,7/15/15

 

 

95

 

 

95,356

 

Tenet Healthcare Corp. (a):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

555

 

 

568,875

 

10.00%, 5/01/18

 

 

225

 

 

242,438

 

WellPoint, Inc., 5.95%, 12/15/34

 

 

1,000

 

 

964,473

 

 

 

 

 

 




 

 

 

 

 

 

1,871,142

 









Hotels, Restaurants & Leisure — 1.8%

 

 

 

 

 

 

 

American Real Estate Partners LP:

 

 

 

 

 

 

 

8.13%, 6/01/12

 

 

860

 

 

847,100

 

7.13%, 2/15/13

 

 

230

 

 

218,500

 

Gaylord Entertainment Co., 8.00%, 11/15/13

 

 

215

 

 

196,187

 

Greektown Holdings, LLC, 10.75%, 12/01/13 (a)(b)(c)

 

 

211

 

 

45,365

 

Harrah’s Operating Co., Inc. (a):

 

 

 

 

 

 

 

10.00%, 12/15/15

 

 

50

 

 

35,750

 

10.00%, 12/15/18

 

 

109

 

 

76,300

 

10.00%, 12/15/18

 

 

156

 

 

109,200

 

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

 

 

50

 

 

31

 

 

 

 

 

 




 

 

 

 

 

 

1,528,433

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 









Household Durables — 0.8%

 

 

 

 

 

 

 

Beazer Homes USA, 8.38%, 4/15/12

 

USD

375

 

$

283,125

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

8.13%, 6/15/16

 

 

55

 

 

34,100

 

4.63%, 6/15/24 (f)

 

 

50

 

 

41,250

 

KB Home:

 

 

 

 

 

 

 

6.38%, 8/15/11

 

 

14

 

 

13,860

 

9.10%, 9/15/17

 

 

140

 

 

142,800

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

40

 

 

31,400

 

7.00%, 8/15/15

 

 

80

 

 

62,800

 

Toll Brothers Finance Corp., 8.91%, 10/15/17

 

 

104

 

 

115,789

 

 

 

 

 

 




 

 

 

 

 

 

725,124

 









IT Services — 1.3%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

65

 

 

55,575

 

11.25%, 3/31/16 (a)

 

 

1,050

 

 

803,250

 

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

 

 

733

 

 

183,170

 

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

 

 

175

 

 

112,875

 

 

 

 

 

 




 

 

 

 

 

 

1,154,870

 









Independent Power Producers & Energy Traders — 1.6%

 

 

 

 

 

 

 

AES Eastern Energy LP Series 99-B, 9.67%, 1/02/29

 

 

250

 

 

215,000

 

AES Ironwood LLC, 8.86%, 11/30/25

 

 

95

 

 

85,387

 

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

 

 

405

 

 

402,975

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

50

 

 

48,625

 

7.38%, 2/01/16

 

 

320

 

 

306,000

 

Texas Competitive Electric Holdings Co. LLC, 10.50%, 11/01/16 (d)

 

 

528

 

 

293,517

 

 

 

 

 

 




 

 

 

 

 

 

1,351,504

 









Industrial Conglomerates — 0.9%

 

 

 

 

 

 

 

Sequa Corp. (a):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

500

 

 

315,000

 

13.50%, 12/01/15 (d)

 

 

826

 

 

431,778

 

 

 

 

 

 




 

 

 

 

 

 

746,778

 









Insurance — 1.8%

 

 

 

 

 

 

 

Lincoln National Corp., 8.75%, 7/01/19

 

 

575

 

 

642,996

 

MetLife, Inc., 6.13%, 12/01/11

 

 

325

 

 

347,341

 

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

 

 

500

 

 

521,042

 

 

 

 

 

 




 

 

 

 

 

 

1,511,379

 









Leisure Equipment & Products — 0.6%

 

 

 

 

 

 

 

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

 

 

450

 

 

471,375

 









Machinery — 0.7%

 

 

 

 

 

 

 

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

 

 

260

 

 

205,400

 

Accuride Corp., 8.50% due 2/01/2015 (b)(c)

 

 

110

 

 

22,000

 

Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (a)

 

 

470

 

 

352,500

 

 

 

 

 

 




 

 

 

 

 

 

579,900

 










 

 

 

See Notes to Financial Statements.

 




68

ANNUAL REPORT

AUGUST 31, 2009



 

 



 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 









Marine — 0.4%

 

 

 

 

 

 

 

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

 

USD

225

 

$

163,688

 

Navios Maritime Holdings, Inc., 9.50%, 12/15/14

 

 

156

 

 

136,500

 

 

 

 

 

 




 

 

 

 

 

 

300,188

 









Media — 10.1%

 

 

 

 

 

 

 

Affinion Group, Inc.:

 

 

 

 

 

 

 

10.13%, 10/15/13

 

 

655

 

 

650,906

 

10.13%, 10/15/13 (a)

 

 

155

 

 

154,031

 

CMP Susquehanna Corp., 4.75%, 5/15/14 (a)

 

 

40

 

 

800

 

Charter Communications Holdings II, LLC (b)(c):

 

 

 

 

 

 

 

10.25%, 9/15/10

 

 

300

 

 

333,375

 

Series B, 10.25%, 9/15/10

 

 

95

 

 

105,569

 

Charter Communications, Inc., 6.50%, 10/01/27 (b)(c)(f)

 

 

200

 

 

86,000

 

Clear Channel Communications, Inc.:

 

 

 

 

 

 

 

5.00%, 3/15/12

 

 

100

 

 

49,000

 

5.75%, 1/15/13

 

 

30

 

 

11,700

 

11.00%, 8/01/16 (d)

 

 

515

 

 

128,750

 

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

 

 

221

 

 

216,580

 

Local Insight Regatta Holdings, Inc., 11.00%, 12/01/17

 

 

229

 

 

87,020

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

325

 

 

65,812

 

News America, Inc., 6.20%, 12/15/34

 

 

1,500

 

 

1,455,702

 

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

 

 

1,035

 

 

978,075

 

Rainbow National Services LLC (a):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

210

 

 

212,100

 

10.38%, 9/01/14

 

 

1,455

 

 

1,520,475

 

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

 

 

1,000

 

 

1,143,119

 

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

 

 

925

 

 

841,750

 

Time Warner Cable, Inc., 6.75%, 6/15/39

 

 

400

 

 

427,738

 

UPC Holdings BV, 9.88%, 4/15/18 (a)

 

 

200

 

 

202,250

 

 

 

 

 

 




 

 

 

 

 

 

8,670,752

 









Metals & Mining — 2.8%

 

 

 

 

 

 

 

Aleris International, Inc., 10.00%, 12/15/16 (b)(c)

 

 

315

 

 

787

 

Anglo American Capital Plc, 9.38%, 4/08/19 (a)

 

 

165

 

 

193,050

 

Drummond Co., Inc., 7.38%, 2/15/16 (a)

 

 

95

 

 

83,600

 

FMG Finance Property Ltd., 10.63%, 9/01/16 (a)

 

 

430

 

 

462,250

 

Freeport-McMoRan Copper & Gold, Inc., 8.38%, 4/01/17

 

 

510

 

 

531,675

 

Novelis, Inc., 11.50%, 2/15/15 (a)

 

 

275

 

 

266,062

 

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

 

 

145

 

 

142,463

 

Teck Resources Ltd.:

 

 

 

 

 

 

 

10.25%, 5/15/16

 

 

130

 

 

143,650

 

10.75%, 5/15/19

 

 

495

 

 

563,681

 

 

 

 

 

 




 

 

 

 

 

 

2,387,218

 









Multi-Utilities — 1.6%

 

 

 

 

 

 

 

DTE Energy Co., 7.05%, 6/01/11

 

 

250

 

 

265,617

 

Dominion Resources, Inc., 5.70%, 9/17/12

 

 

1,000

 

 

1,087,683

 

 

 

 

 

 




 

 

 

 

 

 

1,353,300

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 









Oil, Gas & Consumable Fuels — 7.0%

 

 

 

 

 

 

 

Arch Coal, Inc., 8.75%, 8/01/16 (a)

 

USD

125

 

$

125,000

 

Atlas Energy Operating Co. LLC, 12.13%, 8/01/17

 

 

425

 

 

448,375

 

Atlas Energy Resources LLC, 10.75%, 2/01/18 (a)

 

 

90

 

 

90,900

 

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

 

 

100

 

 

89,000

 

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

 

 

100

 

 

104,000

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

9.50%, 2/15/15

 

 

240

 

 

244,800

 

6.38%, 6/15/15

 

 

130

 

 

118,462

 

7.25%, 12/15/18

 

 

265

 

 

242,475

 

2.25%, 12/15/38 (f)

 

 

275

 

 

184,594

 

ConocoPhillips, 6.00%, 1/15/20

 

 

650

 

 

724,225

 

Corral Finans AB, 2.01%, 4/15/10 (a)(d)

 

 

488

 

 

354,990

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

260

 

 

254,800

 

Encore Acquisition Co., 6.00%, 7/15/15

 

 

30

 

 

25,800

 

Forest Oil Corp., 7.25%, 6/15/19

 

 

765

 

 

719,100

 

Massey Energy Co., 3.25%, 8/01/15 (f)

 

 

580

 

 

433,550

 

OPTI Canada, Inc., 8.25%, 12/15/14

 

 

290

 

 

188,500

 

Occidental Petroleum Corp., 6.75%, 1/15/12

 

 

250

 

 

277,189

 

Petrobras International Finance Co., 7.88%, 3/15/19

 

 

350

 

 

394,625

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

305

 

 

247,050

 

TEPPCO Partners LP, 7.63%, 2/15/12

 

 

400

 

 

440,162

 

Whiting Petroleum Corp.:

 

 

 

 

 

 

 

7.25%, 5/01/12

 

 

15

 

 

14,925

 

7.25%, 5/01/13

 

 

300

 

 

297,000

 

 

 

 

 

 




 

 

 

 

 

 

6,019,522

 









Paper & Forest Products — 1.9%

 

 

 

 

 

 

 

Clearwater Paper Corp., 10.63%, 6/15/16 (a)

 

 

160

 

 

171,400

 

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

 

 

355

 

 

358,550

 

International Paper Co., 9.38%, 5/15/19

 

 

225

 

 

252,834

 

NewPage Corp., 10.00%, 5/01/12

 

 

720

 

 

390,600

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14 (a)

 

 

140

 

 

137,200

 

Series B, 4.23%, 8/01/14 (e)

 

 

626

 

 

350,560

 

 

 

 

 

 




 

 

 

 

 

 

1,661,144

 









Pharmaceuticals — 1.6%

 

 

 

 

 

 

 

Valeant Pharmaceuticals International, 8.38%, 6/15/16 (a)

 

 

225

 

 

228,375

 

Wyeth, 6.50%, 2/01/34

 

 

1,000

 

 

1,140,748

 

 

 

 

 

 




 

 

 

 

 

 

1,369,123

 









Real Estate Investment Trusts (REITs) — 0.7%

 

 

 

 

 

 

 

HCP, Inc., 5.65%, 12/15/13

 

 

200

 

 

192,688

 

iStar Financial, Inc., 5.65%, 9/15/11

 

 

500

 

 

285,000

 

Rouse Co. LP, 5.38%, 11/26/13 (b)(c)

 

 

170

 

 

128,350

 

 

 

 

 

 




 

 

 

 

 

 

606,038

 









Real Estate Management & Development — 0.1%

 

 

 

 

 

 

 

Realogy Corp., 12.38%, 4/15/15

 

 

185

 

 

74,925

 









Road & Rail — 1.0%

 

 

 

 

 

 

 

CSX Corp., 6.75%, 3/15/11

 

 

275

 

 

292,109

 

Canadian National Railway Co., 6.90%, 7/15/28

 

 

500

 

 

592,377

 

 

 

 

 

 




 

 

 

 

 

 

884,486

 










 

 

 

See Notes to Financial Statements.

 

 




ANNUAL REPORT

AUGUST 31, 2009

69



 

 


 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

 

Par
(000)

 

 

 

Value

 


Software — 0.0%

 

 

 

 

 

 

 

 

 

BMS Holdings, Inc., 8.35%, 2/15/12 (a)(d)(e)

 

 

USD

73

 

 

$

1,045

 











Specialty Retail — 2.3%

 

 

 

 

 

 

 

 

 

General Nutrition Centers, Inc.:

 

 

 

 

 

 

 

 

 

5.18%, 3/15/14 (e)

 

 

 

360

 

 

 

316,800

 

10.75%, 3/15/15

 

 

 

260

 

 

 

245,700

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (f)(g)

 

 

 

50

 

 

 

35,438

 

Lazydays RV Center, Inc., 11.75%, 5/15/12 (b)(c)

 

 

 

357

 

 

 

3,570

 

Limited Brands, Inc., 8.50%, 6/15/19 (a)

 

 

 

320

 

 

 

324,170

 

Michaels Stores, Inc., 11.38%, 11/01/16

 

 

 

170

 

 

 

146,200

 

Sonic Automotive, Inc. Series B, 8.63%, 8/15/13

 

 

 

1,100

 

 

 

929,500

 

 

 

 

 

 

 

 




 

 

 

 

 

 

 

 

2,001,378

 











Textiles, Apparel & Luxury Goods — 0.1%

 

 

 

 

 

 

 

 

 

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

 

 

 

100

 

 

 

63,500

 











Thrifts & Mortgage Finance — 0.7%

 

 

 

 

 

 

 

 

 

Residential Capital Corp., 8.38%, 6/30/10

 

 

 

977

 

 

 

630,165

 











Tobacco — 0.8%

 

 

 

 

 

 

 

 

 

Altria Group, Inc., 9.25%, 8/06/19

 

 

 

600

 

 

 

724,153

 











Wireless Telecommunication Services — 5.3%

 

 

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

 

 

9.38%, 11/01/14

 

 

 

385

 

 

 

362,862

 

10.00%, 7/15/15

 

 

 

160

 

 

 

154,800

 

7.75%, 5/15/16 (a)

 

 

 

500

 

 

 

485,000

 

Digicel Group Ltd. (a):

 

 

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

 

570

 

 

 

508,725

 

9.13%, 1/15/15 (d)

 

 

 

439

 

 

 

386,869

 

iPCS, Inc., 2.61%, 5/01/13 (e)

 

 

 

20

 

 

 

16,400

 

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

 

 

 

835

 

 

 

819,344

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

 

 

Series E, 6.88%, 10/31/13

 

 

 

210

 

 

 

187,950

 

Series F, 5.95%, 3/15/14

 

 

 

30

 

 

 

25,200

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

 

 

7.63%, 1/30/11

 

 

 

380

 

 

 

380,475

 

6.88%, 11/15/28

 

 

 

200

 

 

 

145,500

 

Vodafone Group Plc, 7.75%, 2/15/10

 

 

 

1,000

 

 

 

1,030,328

 

 

 

 

 

 

 

 




 

 

 

 

 

 

 

 

4,503,453

 











Total Corporate Bonds — 81.1%

 

 

 

 

 

 

 

69,419,861

 











 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

 

 

 

 

 

 

 


Auto Components — 2.5%

 

 

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan, 3.03%, 8/07/14

 

 

 

1,085

 

 

 

926,009

 

Dana Holding Corp., Term Advance, 7.25%, 1/31/15

 

 

 

590

 

 

 

451,923

 

Delphi Corp., Initial Tranche C Loan (DIP), 10.50%, 12/31/09 (b)(c)

 

 

 

1,194

 

 

 

656,747

 

Delphi Corp., Subsequent Tranche C Loan (Debtor in Possession), 10.50%, 12/31/09 (b)(c)

 

 

 

121

 

 

 

66,503

 

 

 

 

 

 

 

 




 

 

 

 

 

 

 

 

2,101,182

 











Automobiles — 0.2%

 

 

 

 

 

 

 

 

 

Ford Motor Co., Term Loan, 3.28% – 3.51%, 12/15/13

 

 

 

174

 

 

 

151,065

 











Chemicals — 0.7%

 

 

 

 

 

 

 

 

 

PQ Corp. (fka Niagara Acquisition, Inc.), Loan (Second Lien), 6.77%, 7/30/15

 

 

 

750

 

 

 

412,500

 

Solutia Inc., Loan, 7.25%, 2/28/14

 

 

 

199

 

 

 

196,959

 

 

 

 

 

 

 

 




 

 

 

 

 

 

 

 

609,459

 











 

 

 

 

 

 

 

 

 

 

Floating Rate Loan Interests

 

 

Par
(000)

 

 

 

Value

 


Food & Staples Retailing — 0.6%

 

 

 

 

 

 

 

 

 

Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15

USD

 

 

500

 

 

$

517,500

 











Health Care Providers & Services — 1.6%

 

 

 

 

 

 

 

 

 

HCA Inc., Tranche A-1 Term Loan, 2.10%, 11/19/12

 

 

 

1,491

 

 

 

1,391,710

 











Independent Power Producers & Energy Traders — 2.0%

 

 

 

 

 

 

 

 

 

Dynegy Holdings Inc.:

 

 

 

 

 

 

 

 

 

Term L/C Facility Term Loan, 4.02%, 4/02/13

 

 

 

166

 

 

 

159,120

 

Tranche B Term Loan, 4.02%, 4/02/13

 

 

 

9

 

 

 

8,987

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

 

 

Credit-Linked Deposit, 0.50%, 2/01/13

 

 

 

82

 

 

 

77,606

 

Term Loan, 2.01% – 2.35%, 2/01/13

 

 

 

154

 

 

 

144,961

 

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

 

 

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.78% – 3.79%, 10/10/14

 

 

 

997

 

 

 

758,071

 

Initial Tranche B-2 Term Loan, 3.78% – 3.79%, 10/10/14

 

 

 

742

 

 

 

564,257

 

 

 

 

 

 

 

 




 

 

 

 

 

 

 

 

1,713,002

 











Machinery — 1.0%

 

 

 

 

 

 

 

 

 

Navistar Financial Corp., Tranche A Term Loan, 2.31%, 1/19/10

 

 

 

250

 

 

 

242,500

 

Navistar International Corp.:

 

 

 

 

 

 

 

 

 

Revolving Credit-Linked Deposit, 3.51%, 1/19/12

 

 

 

180

 

 

 

167,400

 

Term Advance, 3.51%, 1/19/12

 

 

 

500

 

 

 

465,000

 

 

 

 

 

 

 

 




 

 

 

 

 

 

 

 

874,900

 











Media — 1.1%

 

 

 

 

 

 

 

 

 

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

 

 

 

495

 

 

 

475,200

 

Newsday, LLC, Fixed Rate Term Loan, 9.75%, 8/01/13

 

 

 

250

 

 

 

254,375

 

World Color Press Inc. and World Color (USA) Corp. (fka Quebecor World Inc.), Advance, 9.00%, 7/23/12

 

 

 

200

 

 

 

198,500

 

 

 

 

 

 

 

 




 

 

 

 

 

 

 

 

928,075

 











Multiline Retail — 0.0%

 

 

 

 

 

 

 

 

 

The Neiman Marcus Group Inc., Term Loan, 2.28% – 2.630%, 4/06/13

 

 

 

50

 

 

 

41,161

 











Specialty Retail — 0.1%

 

 

 

 

 

 

 

 

 

Claire’s Stores, Term Loan B, 0%, 5/29/14

 

 

 

115

 

 

 

74,914

 











Total Floating Rate Loan Interests — 9.8%

 

 

 

 

 

 

 

8,402,968

 











 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Other Interests (h)

 

 

Beneficial
Interest
(000)

 

 

 

 

 


Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

 

 

1

 

 

 

191

 











Media — 0.0%

 

 

 

 

 

 

 

 

 

Adelphia Recovery Trust Escrow

 

 

 

400

 

 

 

9,000

 











Total Other Interests — 0.0%

 

 

 

 

 

 

 

9,191

 












See Notes to Financial Statements.

 

 

 


70

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

 

Preferred Securities

 

 

Par
(000)

 

 

Value

 


Capital Trusts

 

 

 

 

 

 

 

 

 











Commercial Banks — 0.7%

 

 

 

 

 

 

 

 

 

Barclays Bank Plc, 8.55% (a)(e)(i)

 

 

USD

650

 

 

$

565,500

 











Consumer Finance — 0.3%

 

 

 

 

 

 

 

 

 

Capital One Capital V, 10.25%, 8/15/39

 

 

 

215

 

 

 

218,616

 











Total Capital Trusts — 1.0%

 

 

 

 

 

 

 

784,116

 











 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Preferred Stocks (a)(i)

 

 

Shares

 

 

 

 

 


Capital Markets — 0.0%

 

 

 

 

 

 

 

 

 

Marsico Parent Superholdco, LLC, 16.75%

 

 

 

23

 

 

 

5,865

 











Diversified Financial Services — 0.1%

 

 

 

 

 

 

 

 

 

Preferred Blocker, Inc., 7.00%

 

 

 

250

 

 

 

116,305

 











Media — 0.0%

 

 

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp., 0% (e)

 

 

 

9,328

 

 

 

 











Total Preferred Stocks — 0.1%

 

 

 

 

 

 

 

122,170

 











Total Preferred Securities — 1.1%

 

 

 

 

 

 

 

906,286

 











 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

Par
(000)

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

U.S. Treasury Notes, 3.125%, 5/15/19

 

 

 

445

 

 

 

434,431

 











Total U.S. Treasury Obligations — 0.5%

 

 

 

 

 

 

 

434,431

 











 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Warrants (a)(j)

 

 

 

 

 

 

 

 

 


Media — 0.0%

 

 

 

 

 

 

 

 

 

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

 

 

 

10,660

 

 

 

 











Total Warrants — 0.0%

 

 

 

 

 

 

 

 











Total Long-Term Investments
(Cost — $83,466,795) — 93.1%

 

 

 

 

 

 

 

79,732,285

 











 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

Shares

 

 

 

 

 


BlackRock Liquidity Funds, TempFund, 0.22% (k)(l)

 

 

 

4,155,886

 

 

 

4,155,886

 











Total Short-Term Securities
(Cost — $4,155,886) — 4.9%

 

 

 

 

 

 

 

4,155,886

 












 

 

 

 

 

 

 

 

 

 

Options Purchased

 

 

Contracts

 

 

Value

 


Over-the-Counter Call Options

 

 

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, expiring December 2019 at USD 942.86, Broker, Goldman Sachs

 

 

 

6

 

 

$

6,000

 











Total Options Purchased
(Cost — $5,867) — 0.0%

 

 

 

 

 

 

 

6,000

 











Total Investments Before Options Written
(Cost — $87,628,548*) — 98.0%

 

 

 

 

 

 

 

83,894,171

 











 

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Options Written

 

 

 

 

 

 

 

 

 


Over-the-Counter Call Swaptions Written

 

 

 

 

 

 

 

 

 

Pay a fixed rate of 1.00% and receive a floating rate based on Dow Jones CDX North America Investment Grade Index Series 12 Volume 1, Broker, Credit Suisse, expiring September 2009 at USD 1.50

 

 

 

8

 

 

 

(119,325

)











Over-the-Counter Put Swaptions Written

 

 

 

 

 

 

 

 

 

Receive a fixed rate of 1.00% and pay a floating rate based on Dow Jones CDX North America Investment Grade Index Series 12 Volume 1, Broker, Credit Suisse, expiring September 2009 at USD 1.50

 

 

 

8

 

 

 

(3,895

)











Total Options Written
(Premiums Received — $160,583) — (0.1)%

 

 

 

 

 

 

 

(123,220

)











Total Investments, Net of Options Written — 97.9%

 

 

 

 

 

 

 

83,770,951

 

Other Assets Less Liabilities — 2.1%

 

 

 

 

 

 

 

1,810,534

 

 

 

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

 

 

$

85,581,485

 

 

 

 

 

 

 

 





 

 



*

The cost and unrealized appreciation (depreciation) as of August 31, 2009, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

87,763,497

 

 

 




Gross unrealized appreciation

 

$

2,971,861

 

Gross unrealized depreciation

 

 

(6,841,187

)

 

 




Net unrealized depreciation

 

$

(3,869,326

)

 

 






 

 

(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)

Non-income producing security.

 

 

(c)

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

 

 

(d)

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

 

 

(e)

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

 

 

(f)

Convertible security.

 

 

(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 effective yield as of report date.

 

 

(h)

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


 

 

 

See Notes to Financial Statements.


ANNUAL REPORT

AUGUST 31, 2009

71



 

 



Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)


 

 

(i)

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

 

 

(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.

 

 

(k)

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


 

 

 

 

 

 







Affiliate

 

Net
Activity

 

Income

 







BlackRock Liquidity Funds, TempFund

 

4,155,886

 

$39,732

 








 

 

(l)

Represents the current yield as of report date.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classification for reporting ease.

 

 

Financial futures contracts sold as of August 31, 2009 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 














Contracts

 

 

Issue

 

Expiration
Date

 

 

Face
Value

 

 

Unrealized
Depreciation

 














11

 

 

10-Year U.S. Treasury Bond

 

December 2009

 

$

1,281,940

 

$

(7,467

)

6

 

 

30-Year U.S. Treasury Bond

 

December 2009

 

$

714,784

 

 

(3,716

)














Total

 

 

 

 

 

 

 

 

 

$

(11,183

)

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — buy protection outstanding as of August 31, 2009 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

 

USD

 

250

 

$

45,068

iStar Financial, Inc.

 

5.00%

 

Morgan Stanley Capital Services, Inc.

 

September 2011

 

USD

 

250

 

 

46,186

Brunswick Corp.

 

5.00%

 

Morgan Stanley Capital Services, Inc.

 

September 2014

 

USD

 

1,250

 

 

8,655

Limited Brands, Inc.

 

1.00%

 

JPMorgan Chase Bank NA

 

September 2014

 

USD

 

440

 

 

5,027















Total

 

 

 

 

 

 

 

 

 

 

 

$

104,936

 

 

 

 

 

 

 

 

 

 

 

 




 

 

 

Effective September 1, 2008, the Trust adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

Level 1 — price quotations in active markets/exchanges for identical securities

 

 

 

 

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)

 

 

 

The inputs or methodology 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 table summarizes the inputs used as of August 31, 2009 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 





Valuation Inputs

 

Investments in
Securities

 





 

 

Assets

 

 

 


 

Level 1

 

 

 

 

Short-Term Securities

 

$

4,155,886

 

Long-Term Investments:

 

 

 

 

Common Stocks

 

 

559,548

 

 

 




Total Level 1

 

 

4,715,434

 

 

 




Level 2

 

 

 

 

Long-Term Investments:

 

 

 

 

Corporate Bonds

 

 

68,615,326

 

Floating Rate Loan Interests

 

 

4,901,241

 

Preferred Securities

 

 

906,286

 

U.S. Treasury Obligations

 

 

434,431

 

Other Interests

 

 

9,000

 

 

 




Total Level 2

 

 

74,866,284

 

 

 




Level 3

 

 

 

 

Long-Term Investments:

 

 

 

 

Corporate Bonds

 

 

804,535

 

Floating Rate Loan Interests

 

 

3,501,727

 

Other Interests

 

 

191

 

 

 




Total Level 3

 

 

4,306,453

 

 

 




Total

 

$

83,888,171

 

 

 





 

 

 

 

 

 

 

 





Valuation Inputs

 

Other Financial Instruments1

 





 

 

Assets

 

Liabilities

 

 

 


 



Level 1

 

 

 

$

(11,183

)

Level 2

 

$

110,936

 

 

 

Level 3

 

 

 

 

(123,220

)

 

 







Total

 

$

110,936

 

$

(134,403

)

 

 








 

 

 

 

1

Other financial instruments are swaps, financial futures contracts, options purchased and options written. Swaps and financial futures contracts are shown at the unrealized appreciation/depreciation on the instrument, options purchased and options written are shown at value.


 

 

 

See Notes to Financial Statements.




72

ANNUAL REPORT

AUGUST 31, 2009



 

 



Schedule of Investments (concluded)

BlackRock Strategic Bond Trust (BHD)

 

The following is a reconciliation of investments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 





 

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Total

 











Balance, as of August 31, 2008

 

 

 

$

359,158

 

$

318

 

$

359,476

 

Accrued discounts/premiums

 

 

 

 

(239,342

)

 

 

 

(239,342

)

Realized gain (loss)

 

$

10

 

 

(93,893

)

 

 

 

(93,883

)

Change in unrealized appreciation (depreciation)2

 

 

(44,347

)

 

1,232,154

 

 

(127

)

 

1,187,680

 

Net purchases (sales)

 

 

(63,513

)

 

(14,731

)

 

 

 

(78,244

)

Net transfers in/out of Level 3

 

 

912,385

 

 

2,258,381

 

 

 

 

3,170,766

 

 

 













Balance, as of August 31, 2009

 

$

804,535

 

$

3,501,727

 

$

191

 

$

4,306,453

 

 

 














 

 

 

2

Included in the related net change in unrealized appreciation/depreciation on the Statement of Operations.

The following is a reconciliation of other financial instruments for unobservable inputs (Level 3) used in determining fair value:

 

 

 

 

 





Valuation Inputs

 

Other Financial
Instruments3

 





 

 

Liabilities

 

 

 



Balance, as of August 31, 2008

 

 

 

Accrued discounts/premiums

 

 

 

Realized gain (loss)

 

 

 

Change in unrealized appreciation (depreciation)

 

 

 

Net purchases (sales)

 

 

 

Net transfers in/out of Level 3

 

$

(123,220

)

 

 




Balance, as of August 31, 2009

 

$

(123,220

)

 

 




 

 

 

3

Other financial instruments are options written.


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2009

73



 


 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

August 31, 2009

 

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

 

$

459,426,720

 

$

368,278,350

 

$

390,463,678

 

$

115,354,912

 

$

38,026,663

 

Investments at value — affiliated2

 

 

1,735,485

 

 

2,197,091

 

 

2,267,254

 

 

1,250,194

 

 

2,180,193

 

Unrealized appreciation on foreign currency exchange contracts

 

 

2,750

 

 

11,827

 

 

9,268

 

 

 

 

 

Unrealized appreciation on swaps

 

 

3,708,431

 

 

73,687

 

 

79,212

 

 

 

 

3,942

 

Foreign currency at value3

 

 

392

 

 

1,482,074

 

 

1,225

 

 

3,519

 

 

 

Cash

 

 

1,318,725

 

 

 

 

 

 

106,791

 

 

39,916

 

Cash pledged as collateral in connection with swaps

 

 

 

 

 

 

 

 

 

 

 

Cash pledged as collateral in connection with financial futures contracts

 

 

750,000

 

 

 

 

 

 

 

 

 

TBA sale commitments receivable

 

 

24,594,668

 

 

 

 

 

 

 

 

 

Investments sold receivable

 

 

1,336,922

 

 

1,042,064

 

 

1,129,629

 

 

345,969

 

 

228,522

 

Interest receivable

 

 

4,931,659

 

 

8,111,910

 

 

8,466,344

 

 

2,636,975

 

 

836,076

 

Swaps receivable

 

 

1,598,491

 

 

80,613

 

 

86,244

 

 

 

 

 

Swaps premiums paid

 

 

441,805

 

 

388,527

 

 

324,014

 

 

 

 

20,326

 

Margin variation receivable

 

 

257,000

 

 

 

 

 

 

 

 

 

Principal paydown receivable

 

 

 

 

 

 

1,799

 

 

 

 

35,000

 

Income receivable — affiliated

 

 

216

 

 

26

 

 

155

 

 

12

 

 

64

 

Dividends receivable

 

 

 

 

 

 

 

 

5,000

 

 

 

Prepaid expenses

 

 

36,063

 

 

110,991

 

 

118,055

 

 

44,382

 

 

16,805

 

Other assets

 

 

44,632

 

 

35,318

 

 

49,663

 

 

8,644

 

 

8,847

 

 

 
















Total assets

 

 

500,183,959

 

 

381,812,478

 

 

402,996,540

 

 

119,756,398

 

 

41,396,354

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Loan payable

 

 

11,850,234

 

 

54,000,000

 

 

58,000,000

 

 

18,000,000

 

 

4,000,000

 

Unrealized depreciation on swaps

 

 

4,726,657

 

 

1,149,185

 

 

1,086,053

 

 

 

 

 

Unrealized depreciation on foreign currency exchange contracts

 

 

20,380

 

 

462,418

 

 

506,557

 

 

110,059

 

 

 

TBA sale commitments at value4

 

 

24,813,496

 

 

 

 

 

 

 

 

 

Options written at value5

 

 

12,735,855

 

 

 

 

 

 

 

 

 

Interest rate floors at value

 

 

 

 

 

 

 

 

 

 

 

Reverse repurchase agreements

 

 

62,721,901

 

 

 

 

 

 

 

 

 

Investments purchased payable

 

 

20,482,541

 

 

5,564,398

 

 

1,327,705

 

 

473,736

 

 

114,793

 

Payable for treasury rolls

 

 

21,066,870

 

 

 

 

 

 

 

 

 

Cash held as collateral in connection with swaps

 

 

912,000

 

 

 

 

 

 

 

 

 

Swaps premiums received

 

 

 

 

 

 

 

 

 

 

 

Swaps payable

 

 

504,379

 

 

101,356

 

 

99,640

 

 

 

 

1,795

 

Investment advisory fees payable

 

 

195,084

 

 

190,211

 

 

237,548

 

 

73,481

 

 

34,753

 

Officer’s and Trustees’ fees payable

 

 

45,740

 

 

36,266

 

 

38,094

 

 

9,643

 

 

9,656

 

Margin variation payable

 

 

 

 

 

 

 

 

 

 

 

Interest expense payable

 

 

14,468

 

 

61,102

 

 

66,147

 

 

16,481

 

 

2,476

 

Income dividends payable

 

 

42,733

 

 

89,296

 

 

96,955

 

 

34,432

 

 

 

Deferred income

 

 

 

 

 

 

6,438

 

 

 

 

 

Administration fees payable

 

 

 

 

 

 

 

 

 

 

3,314

 

Other affiliates payable

 

 

1,314

 

 

1,144

 

 

1,238

 

 

336

 

 

 

Other accrued expenses payable

 

 

162,876

 

 

112,223

 

 

114,917

 

 

116,944

 

 

92,747

 

Other liabilities

 

 

363,231

 

 

 

 

 

 

 

 

 

 

 
















Total liabilities

 

 

160,659,759

 

 

61,767,599

 

 

61,581,292

 

 

18,835,112

 

 

4,259,534

 

 

 
















Net Assets

 

$

339,524,200

 

$

320,044,879

 

$

341,415,248

 

$

100,921,286

 

$

37,136,820

 

 

 

















See Notes to Financial Statements.

 

 

 




74

ANNUAL REPORT

AUGUST 31, 2009



 



 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 


Assets

 

 

 

 

 

 

 

 

 

 


Investments at value — unaffiliated1

 

$

442,883,882

 

$

667,451,853

 

$

79,738,285

 

Investments at value — affiliated2

 

 

30,000,661

 

 

178,238,591

 

 

4,155,886

 

Unrealized appreciation on foreign currency exchange contracts

 

 

1,681

 

 

 

 

 

Unrealized appreciation on swaps

 

 

13,187,116

 

 

31,004,196

 

 

104,936

 

Foreign currency at value3

 

 

779

 

 

 

 

 

Cash

 

 

988,381

 

 

94,437

 

 

64,384

 

Cash pledged as collateral in connection with swaps

 

 

 

 

1,100,000

 

 

 

Cash pledged as collateral in connection with financial futures contracts

 

 

 

 

 

 

45,000

 

TBA sale commitments receivable

 

 

29,496,108

 

 

97,270,721

 

 

 

Investments sold receivable

 

 

2,558,508

 

 

34,227,662

 

 

304,973

 

Interest receivable

 

 

4,124,588

 

 

1,797,223

 

 

1,457,820

 

Swaps receivable

 

 

3,979,922

 

 

2,490,631

 

 

 

Swaps premiums paid

 

 

192,659

 

 

 

 

231,520

 

Margin variation receivable

 

 

261,625

 

 

 

 

 

Principal paydown receivable

 

 

 

 

1,759

 

 

 

Income receivable — affiliated

 

 

322

 

 

395

 

 

36

 

Dividends receivable

 

 

 

 

 

 

 

Prepaid expenses

 

 

36,824

 

 

36,646

 

 

7,652

 

Other assets

 

 

74,038

 

 

81,618

 

 

7,407

 

 

 










Total assets

 

 

527,787,094

 

 

1,013,795,732

 

 

86,117,899

 

 

 










 

 

 

 

 

 

 

 

 

 

 


Liabilities

 

 

 

 

 

 

 

 

 

 


Loan payable

 

 

11,850,234

 

 

11,814,907

 

 

 

Unrealized depreciation on swaps

 

 

5,437,183

 

 

20,789,371

 

 

 

Unrealized depreciation on foreign currency exchange contracts

 

 

 

 

 

 

 

TBA sale commitments at value4

 

 

29,743,105

 

 

97,590,718

 

 

 

Options written at value5

 

 

9,775,405

 

 

5,315,695

 

 

123,220

 

Interest rate floors at value

 

 

 

 

7,202,331

 

 

 

Reverse repurchase agreements

 

 

65,623,956

 

 

 

 

 

Investments purchased payable

 

 

23,354,838

 

 

409,875,206

 

 

231,988

 

Payable for treasury rolls

 

 

33,534,396

 

 

 

 

 

Cash held as collateral in connection with swaps

 

 

1,100,000

 

 

 

 

 

Swaps premiums received

 

 

 

 

442,735

 

 

 

Swaps payable

 

 

1,192,908

 

 

4,364,346

 

 

18,125

 

Investment advisory fees payable

 

 

173,018

 

 

238,640

 

 

50,217

 

Officer’s and Trustees’ fees payable

 

 

68,513

 

 

83,584

 

 

8,385

 

Margin variation payable

 

 

 

 

30,313

 

 

9,438

 

Interest expense payable

 

 

27,153

 

 

5,013

 

 

 

Income dividends payable

 

 

54,139

 

 

52,556

 

 

12,013

 

Deferred income

 

 

 

 

 

 

 

Administration fees payable

 

 

28,840

 

 

57,654

 

 

 

Other affiliates payable

 

 

 

 

 

 

264

 

Other accrued expenses payable

 

 

180,775

 

 

210,712

 

 

82,764

 

Other liabilities

 

 

541,582

 

 

193,424

 

 

 

 

 










Total liabilities

 

 

182,686,045

 

 

558,267,205

 

 

536,414

 

 

 










Net Assets

 

$

345,101,049

 

$

455,528,527

 

$

85,581,485

 

 

 











 

 

 


ANNUAL REPORT

AUGUST 31, 2009

75



 


 

Statements of Assets and Liabilities (concluded)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

August 31, 2009

 

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 capital6,7,8

 

$

378,671,939

 

$

469,820,161

 

$

505,022,200

 

$

287,354,813

 

$

71,941,565

 

Cost of shares held in treasury9

 

 

 

 

 

 

 

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

8,842,501

 

 

298,774

 

 

1,222,688

 

 

505,871

 

 

(151,867

)

Accumulated net realized loss

 

 

(46,915,249

)

 

(90,808,731

)

 

(101,617,123

)

 

(168,572,698

)

 

(25,689,740

)

Net unrealized appreciation/depreciation

 

 

(1,074,991

)

 

(59,265,325

)

 

(63,212,517

)

 

(18,366,700

)

 

(8,963,138

)

 

 
















Net Assets

 

$

339,524,200

 

$

320,044,879

 

$

341,415,248

 

$

100,921,286

 

$

37,136,820

 

 

 
















Net asset value

 

$

12.56

 

$

9.71

 

$

9.68

 

$

1.85

 

$

5.78

 

 

 
















1 Investments at cost — unaffiliated

 

$

457,832,010

 

$

426,047,168

 

$

452,194,238

 

$

133,616,852

 

$

46,993,743

 

 

 
















2 Investments at cost — affiliated

 

$

1,735,485

 

$

2,197,091

 

$

2,267,254

 

$

1,250,194

 

$

2,180,193

 

 

 
















3 Foreign currency at cost

 

$

375

 

$

1,496,506

 

$

1,226

 

$

496

 

 

 

 

 
















4 Proceeds from TBA sale commitments

 

$

24,594,668

 

 

 

 

 

 

 

 

 

 

 
















5 Premiums received

 

$

10,860,550

 

 

 

 

 

 

 

 

 

 

 
















6 Par value per share

 

$

0.001

 

$

0.100

 

$

0.100

 

 

 

$

0.001

 

 

 
















7 Shares outstanding

 

 

27,023,027

 

 

32,944,087

 

 

35,286,436

 

 

54,620,873

 

 

6,427,525

 

 

 
















8 Shares authorized

 

 

unlimited

 

 

200 million

 

 

200 million

 

 

unlimited

 

 

unlimited

 

 

 
















9 Shares held in treasury

 

 

 

 

 

 

 

 

 

 

 

 

 

















See Notes to Financial Statements.

 

 

 




76

ANNUAL REPORT

AUGUST 31, 2009



 



 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 


Net Assets Consist of

 

 

 

 

 

 

 

 

 

 


Paid-in capital6,7,8

 

$

402,924,496

 

$

479,325,999

 

$

98,450,652

 

Cost of shares held in treasury9

 

 

(17,377,850

)

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

9,230,290

 

 

5,873,652

 

 

454,611

 

Accumulated net realized loss

 

 

(56,658,785

)

 

(28,643,230

)

 

(9,720,517

)

Net unrealized appreciation/depreciation

 

 

6,982,898

 

 

(1,027,894

)

 

(3,603,261

)

 

 










Net Assets

 

$

345,101,049

 

$

455,528,527

 

$

85,581,485

 

 

 










Net asset value

 

$

10.02

 

$

7.12

 

$

12.12

 

 

 










1 Investments at cost — unaffiliated

 

$

441,752,638

 

$

670,689,923

 

$

83,472,662

 

 

 










2 Investments at cost — affiliated

 

$

30,000,661

 

$

178,238,591

 

$

4,155,886

 

 

 










3 Foreign currency at cost

 

$

776

 

 

 

 

 

 

 










4 Proceeds from TBA sale commitments

 

$

29,496,108

 

$

97,270,721

 

 

 

 

 










5 Premiums received

 

$

7,142,315

 

$

3,481,809

 

$

160,583

 

 

 










6 Par value per share

 

$

0.010

 

$

0.010

 

$

0.001

 

 

 










7 Shares outstanding

 

 

34,456,370

 

 

63,942,536

 

 

7,058,402

 

 

 










8 Shares authorized

 

 

200 million

 

 

200 million

 

 

unlimited

 

 

 










9 Shares held in treasury

 

 

1,757,400

 

 

 

 

 

 

 











 

 

 


ANNUAL REPORT

AUGUST 31, 2009

77



 


 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31, 2009

 

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

 

$

24,822,940

 

$

39,897,239

 

$

42,683,937

 

$

12,007,868

 

$

4,089,707

 

Dividends

 

 

12,949

 

 

15,798

 

 

 

 

53,984

 

 

 

Income — affiliated

 

 

73,254

 

 

34,804

 

 

37,228

 

 

6,954

 

 

6,502

 

Facility and other fees

 

 

7,981

 

 

279,684

 

 

284,819

 

 

104,875

 

 

25,556

 

 

 
















Total income

 

 

24,917,124

 

 

40,227,525

 

 

43,005,984

 

 

12,173,681

 

 

4,121,765

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Investment advisory

 

 

2,070,150

 

 

2,017,679

 

 

2,544,904

 

 

807,716

 

 

392,171

 

Professional

 

 

97,213

 

 

185,293

 

 

185,746

 

 

99,888

 

 

99,955

 

Accounting services

 

 

80,319

 

 

87,763

 

 

95,142

 

 

21,470

 

 

16,813

 

Printing

 

 

63,696

 

 

19,450

 

 

32,290

 

 

36,302

 

 

17,845

 

Officer and Trustees

 

 

38,888

 

 

41,525

 

 

43,802

 

 

11,486

 

 

3,900

 

Custodian

 

 

37,557

 

 

30,704

 

 

32,452

 

 

18,504

 

 

11,612

 

Borrowing costs1

 

 

23,700

 

 

609,300

 

 

648,848

 

 

136,658

 

 

51,790

 

Transfer agent

 

 

13,053

 

 

56,299

 

 

45,013

 

 

26,193

 

 

13,028

 

Registration

 

 

9,213

 

 

11,233

 

 

12,032

 

 

18,625

 

 

9,170

 

Administration

 

 

 

 

 

 

 

 

 

 

37,350

 

Miscellaneous

 

 

97,159

 

 

75,398

 

 

78,971

 

 

47,458

 

 

42,928

 

 

 
















Total expenses excluding interest expense

 

 

2,530,948

 

 

3,134,644

 

 

3,719,200

 

 

1,224,300

 

 

696,562

 

Interest expense

 

 

699,491

 

 

1,866,037

 

 

2,115,314

 

 

518,411

 

 

142,832

 

 

 
















Total expenses

 

 

3,230,439

 

 

5,000,681

 

 

5,834,514

 

 

1,742,711

 

 

839,394

 

Less fees waived by advisor

 

 

(1,039

)

 

(714

)

 

(686

)

 

(741

)

 

(841

)

Less fees paid indirectly

 

 

 

 

(528

)

 

(562

)

 

(191

)

 

(204

)

 

 
















Total expenses after fees waived and paid indirectly

 

 

3,229,400

 

 

4,999,439

 

 

5,833,266

 

 

1,741,779

 

 

838,349

 

 

 
















Net investment income

 

 

21,687,724

 

 

35,228,086

 

 

37,172,718

 

 

10,431,902

 

 

3,283,416

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments — unaffiliated

 

 

(18,243,873

)

 

(62,698,220

)

 

(67,464,915

)

 

(17,104,372

)

 

(5,481,698

)

Investments — affiliated

 

 

11,657

 

 

 

 

 

 

 

 

 

Financial futures contracts and swaps

 

 

(219,441

)

 

(3,358,753

)

 

(3,516,512

)

 

 

 

(102,851

)

Foreign currency

 

 

747,501

 

 

47,407

 

 

65,265

 

 

(37,430

)

 

 

Options written

 

 

1,144,984

 

 

575,000

 

 

612,500

 

 

 

 

62,500

 

TBA sale commitments

 

 

(1,291,591

)

 

 

 

 

 

 

 

 

Borrowed bonds

 

 

 

 

 

 

 

 

 

 

 

Interest rate floors

 

 

 

 

 

 

 

 

 

 

 

 

 
















 

 

 

(17,850,763

)

 

(65,434,566

)

 

(70,303,662

)

 

(17,141,802

)

 

(5,522,049

)

 

 
















Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

21,068,618

 

 

(4,389,175

)

 

(4,063,680

)

 

(2,602,162

)

 

(927,074

)

Financial futures contracts and swaps

 

 

(8,365,672

)

 

1,517,801

 

 

1,751,380

 

 

 

 

3,881

 

Foreign currency

 

 

(497,453

)

 

(568,812

)

 

(622,941

)

 

(115,100

)

 

 

Options written

 

 

(2,172,187

)

 

 

 

 

 

 

 

 

TBA sale commitments

 

 

135,738

 

 

 

 

 

 

 

 

 

Borrowed bonds

 

 

 

 

 

 

 

 

 

 

 

Interest rate floors

 

 

 

 

 

 

 

 

 

 

 

 

 
















 

 

 

10,169,044

 

 

(3,440,186

)

 

(2,935,241

)

 

(2,717,262

)

 

(923,193

)

 

 
















Total realized and unrealized gain (loss)

 

 

(7,681,719

)

 

(68,874,752

)

 

(73,238,903

)

 

(19,859,064

)

 

(6,445,242

)

 

 
















Net Increase (Decrease) in Net Assets Resulting from Operations

 

$

14,006,005

 

$

(33,646,666

)

$

(36,066,185

)

$

(9,427,162

)

$

(3,161,826

)

 

 

















 

 

 

 

1

See Note 8 of the Notes to Financial Statements for details of borrowings.


 

 

 

See Notes to Financial Statements.

 


78

ANNUAL REPORT

AUGUST 31, 2009



 



 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 









Investment Income

 

 

 

 

 

 

 

 

 

 












Interest

 

$

23,401,865

 

$

21,990,067

 

$

7,205,848

 

Dividends

 

 

13,192

 

 

 

 

4,473

 

Income — affiliated

 

 

57,676

 

 

345,875

 

 

40,599

 

Facility and other fees

 

 

 

 

 

 

 

 

 










Total income

 

 

23,472,733

 

 

22,335,942

 

 

7,250,920

 

 

 










 

 

 

 

 

 

 

 

 

 

 












Expenses

 

 

 

 

 

 

 

 

 

 












Investment advisory

 

 

1,902,617

 

 

2,809,293

 

 

569,117

 

Professional

 

 

94,987

 

 

100,959

 

 

65,285

 

Accounting services

 

 

76,585

 

 

107,654

 

 

18,377

 

Printing

 

 

82,924

 

 

98,603

 

 

18,933

 

Officer and Trustees

 

 

40,870

 

 

52,825

 

 

9,821

 

Custodian

 

 

38,757

 

 

56,909

 

 

12,415

 

Borrowing costs1

 

 

23,700

 

 

23,630

 

 

 

Transfer agent

 

 

21,400

 

 

61,932

 

 

12,148

 

Registration

 

 

11,747

 

 

21,804

 

 

9,166

 

Administration

 

 

317,103

 

 

648,298

 

 

 

Miscellaneous

 

 

99,631

 

 

91,961

 

 

39,425

 

 

 










Total expenses excluding interest expense

 

 

2,710,321

 

 

4,073,868

 

 

754,687

 

Interest expense

 

 

313,123

 

 

634,016

 

 

2,246

 

 

 










Total expenses

 

 

3,023,444

 

 

4,707,884

 

 

756,933

 

Less fees waived by advisor

 

 

(903

)

 

(50,476

)

 

(60,259

)

Less fees paid indirectly

 

 

(416

)

 

(217

)

 

(1,684

)

 

 










Total expenses after fees waived and paid indirectly

 

 

3,022,125

 

 

4,657,191

 

 

694,990

 

 

 










Net investment income

 

 

20,450,608

 

 

17,678,751

 

 

6,555,930

 

 

 










 

 

 

 

 

 

 

 

 

 

 












Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 












Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

Investments — unaffiliated

 

 

(22,284,696

)

 

47,622,904

 

 

(7,335,141

)

Investments — affiliated

 

 

11,931

 

 

(2

)

 

 

Financial futures contracts and swaps

 

 

(8,377,180

)

 

(3,101,667

)

 

38,004

 

Foreign currency

 

 

817,014

 

 

 

 

 

Options written

 

 

1,315,401

 

 

1,980,000

 

 

 

TBA sale commitments

 

 

(38,291

)

 

18,131,968

 

 

 

Borrowed bonds

 

 

 

 

(2,089,234

)

 

 

Interest rate floors

 

 

 

 

(8,170,684

)

 

 

 

 










 

 

 

(28,555,821

)

 

54,373,285

 

 

(7,297,137

)

 

 










Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

Investments

 

 

20,305,282

 

 

(36,815,362

)

 

2,221,587

 

Financial futures contracts and swaps

 

 

949,287

 

 

(4,394,998

)

 

175,612

 

Foreign currency

 

 

(525,411

)

 

 

 

 

Options written

 

 

(2,946,552

)

 

(2,183,788

)

 

37,363

 

TBA sale commitments

 

 

(4,801

)

 

(177,592

)

 

 

Borrowed bonds

 

 

 

 

1,440,015

 

 

 

Interest rate floors

 

 

 

 

(30,244

)

 

 

 

 










 

 

 

17,777,805

 

 

(42,161,969

)

 

2,434,562

 

 

 










Total realized and unrealized gain (loss)

 

 

(10,778,016

)

 

12,211,316

 

 

(4,862,575

)

 

 










Net Increase (Decrease) in Net Assets Resulting from Operations

 

$

9,672,592

 

$

29,890,067

 

$

1,693,355

 

 

 











 

 

 


ANNUAL REPORT

AUGUST 31, 2009

79



 

 


 

 

Statements of Changes in Net Assets

 


 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Core Bond Trust (BHK)

 

 

 



Increase (Decrease) in Net Assets:

 

Year Ended
August 31,
2009

 

Period
November 1,
2007 to August 31,
2008

 

Year Ended
October 31,
2007

 









Operations

 

 

 

 

 

 

 

 

 

 












Net investment income

 

$

21,687,724

 

$

13,641,713

 

$

19,706,087

 

Net realized gain (loss)

 

 

(17,850,763

)

 

(8,544,877

)

 

341,954

 

Net change in unrealized appreciation/depreciation

 

 

10,169,044

 

 

(10,368,703

)

 

(3,507,844

)

 

 










Net increase (decrease) in net assets resulting from operations

 

 

14,006,005

 

 

(5,271,867

)

 

16,540,197

 

 

 










 

 

 

 

 

 

 

 

 

 

 












Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 












Net investment income

 

 

(20,703,556

)

 

(16,387,174

)

 

(16,495,698

)

Net realized gain

 

 

 

 

 

 

 

Tax return of capital

 

 

 

 

(499,560

)

 

(5,227,396

)

 

 










Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(20,703,556

)

 

(16,886,734

)

 

(21,723,094

)

 

 










 

 

 

 

 

 

 

 

 

 

 












Capital Share Transactions

 

 

 

 

 

 

 

 

 

 












Reinvestment of dividends

 

 

45,125

 

 

 

 

 

 

 










 

 

 

 

 

 

 

 

 

 

 












Net Assets

 

 

 

 

 

 

 

 

 

 












Total decrease in net assets

 

 

(6,652,426

)

 

(22,158,601

)

 

(5,182,897

)

Beginning of period

 

 

346,176,626

 

 

368,335,227

 

 

373,518,124

 

 

 










End of period

 

$

339,524,200

 

$

346,176,626

 

$

368,335,227

 

 

 










Undistributed (distributions in excess of) net investment income

 

$

8,842,501

 

$

1,846,284

 

$

(1,696,051

)

 

 











 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
High Income Shares (HIS)

 

 

 



Increase (Decrease) in Net Assets:

 

Year Ended
August 31,
2009

 

Period
January 1,
2008 to August 31,
2008

 

Year Ended
December 31,
2007

 









Operations

 

 

 

 

 

 

 

 

 

 












Net investment income

 

$

10,431,902

 

$

8,117,286

 

$

12,884,718

 

Net realized gain (loss)

 

 

(17,141,802

)

 

(7,079,170

)

 

(1,962,158

)

Net change in unrealized appreciation/depreciation

 

 

(2,717,262

)

 

(7,369,210

)

 

(9,438,736

)

 

 










Net increase (decrease) in net assets resulting from operations

 

 

(9,427,162

)

 

(6,331,094

)

 

1,483,824

 

 

 










 

 

 

 

 

 

 

 

 

 

 












Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 












Net investment income

 

 

(11,459,895

)

 

(6,958,699

)

 

(12,923,299

)

Tax return of capital

 

 

 

 

 

 

 

 

 










Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(11,459,895

)

 

(6,958,699

)

 

(12,923,299

)

 

 










 

 

 

 

 

 

 

 

 

 

 












Capital Share Transactions

 

 

 

 

 

 

 

 

 

 












Reinvestment of dividends

 

 

 

 

 

 

 

 

 










 

 

 

 

 

 

 

 

 

 

 












Net Assets

 

 

 

 

 

 

 

 

 

 












Total increase (decrease) in net assets

 

 

(20,887,057

)

 

(13,289,793

)

 

(11,439,475

)

Beginning of period

 

 

121,808,343

 

 

135,098,136

 

 

146,537,611

 

 

 










End of period

 

$

100,921,286

 

$

121,808,343

 

$

135,098,136

 

 

 










Undistributed (distributions in excess of) net investment income

 

$

505,871

 

$

1,415,821

 

$

(33,209

)

 

 











 

 

 

See Notes to Financial Statements.




80

ANNUAL REPORT

AUGUST 31, 2009



 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

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

 

 

 


 



 

 

 

Year Ended
August 31,

 

Year Ended
August 31,

 

 

 


 



 

 

2009

 

2008

 

2009

 

2008

 











Operations

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

$

35,228,086

 

$

38,907,940

 

$

37,172,718

 

$

40,916,220

 

Net realized gain (loss)

 

 

(65,434,566

)

 

(24,400,710

)

 

(70,303,662

)

 

(27,115,557

)

Net change in unrealized appreciation/depreciation

 

 

(3,440,186

)

 

(36,644,816

)

 

(2,935,241

)

 

(38,782,173

)

 

 













Net increase (decrease) in net assets resulting from operations

 

 

(33,646,666

)

 

(22,137,586

)

 

(36,066,185

)

 

(24,981,510

)

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 















Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

 

(39,697,493

)

 

(38,515,495

)

 

(42,020,500

)

 

(42,767,302

)

Net realized gain

 

 

 

 

(1,667,429

)

 

 

 

 

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 













Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(39,697,493

)

 

(40,182,924

)

 

(42,020,500

)

 

(42,767,302

)

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 















Reinvestment of dividends

 

 

 

 

 

 

 

 

 

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 















Total decrease in net assets

 

 

(73,344,159

)

 

(62,320,510

)

 

(78,086,685

)

 

(67,748,812

)

Beginning of period

 

 

393,389,038

 

 

455,709,548

 

 

419,501,933

 

 

487,250,745

 

 

 













End of period

 

$

320,044,879

 

$

393,389,038

 

$

341,415,248

 

$

419,501,933

 

 

 













Undistributed (distributions in excess of) net investment income

 

$

298,774

 

$

4,338,550

 

$

1,222,688

 

$

5,584,221

 

 

 














 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
High Yield Trust (BHY)

 

BlackRock
Income Opportunity Trust (BNA)

 

 

 


 



 

 

Year Ended
August 31,
2009

 

Period
November 1,
2007 to August 31,
2008

 

Year Ended
October 31,
2007

 

Year Ended
August 31,
2009

 

Period
November 1,
2007 to August 31,
2008

 

Year Ended
October 31,
2007

 















Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net investment income

 

$

3,283,416

 

$

3,222,658

 

$

4,031,885

 

$

20,450,608

 

$

18,219,919

 

$

21,461,718

 

Net realized gain (loss)

 

 

(5,522,049

)

 

(2,046,912

)

 

(2,450,156

)

 

(28,555,821

)

 

(14,439,291

)

 

2,113,139

 

Net change in unrealized appreciation/
depreciation

 

 

(923,193

)

 

(4,787,603

)

 

2,730,808

 

 

17,777,805

 

 

(9,222,740

)

 

(6,083,476

)

 

 



















Net increase (decrease) in net assets resulting from operations

 

 

(3,161,826

)

 

(3,611,857

)

 

4,312,537

 

 

9,672,592

 

 

(5,442,112

)

 

17,491,381

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net investment income

 

 

(3,522,285

)

 

(3,273,618

)

 

(3,927,807

)

 

(21,085,255

)

 

(17,707,143

)

 

(20,862,233

)

Tax return of capital

 

 

(118,809

)

 

 

 

 

 

 

 

 

 

(1,874,570

)

 

 



















Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(3,641,094

)

 

(3,273,618

)

 

(3,927,807

)

 

(21,085,255

)

 

(17,707,143

)

 

(22,736,803

)

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Reinvestment of dividends

 

 

42,959

 

 

 

 

12,289

 

 

58,090

 

 

 

 

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total increase (decrease) in net assets

 

 

(6,759,961

)

 

(6,885,475

)

 

397,019

 

 

(11,354,573

)

 

(23,149,255

)

 

(5,245,422

)

Beginning of period

 

 

43,896,781

 

 

50,782,256

 

 

50,385,237

 

 

356,455,622

 

 

379,604,877

 

 

384,850,299

 

 

 



















End of period

 

$

37,136,820

 

$

43,896,781

 

$

50,782,256

 

$

345,101,049

 

$

356,455,622

 

$

379,604,877

 

 

 



















Undistributed (distributions in excess of) net investment income

 

$

(151,867

)

$

65,690

 

$

116,650

 

$

9,230,290

 

$

1,846,620

 

$

768,824

 

 

 




















 

 

 


ANNUAL REPORT

AUGUST 31, 2009

81



 


 

Statements of Changes in Net Assets (concluded)


 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Income Trust, Inc. (BKT)

 

 

 


 

Increase (Decrease) in Net Assets:

 

Year Ended
August 31,
2009

 

Period
November 1,
2007 to August 31,
2008

 

Year Ended
October 31,
2007

 









Operations

 

 

 

 

 

 

 

 

 

 












Net investment income

 

$

17,678,751

 

$

16,649,258

 

$

18,973,713

 

Net realized gain (loss)

 

 

54,373,285

 

 

(9,938,710

)

 

(10,368,025

)

Net change in unrealized appreciation/depreciation

 

 

(42,161,969

)

 

35,486,218

 

 

18,371,718

 

 

 










Net increase in net assets resulting from operations

 

 

29,890,067

 

 

42,196,766

 

 

26,977,406

 

 

 





















Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 












Net investment income

 

 

(18,415,450

)

 

(15,793,807

)

 

(18,808,452

)

Tax return of capital

 

 

 

 

 

 

(4,978,175

)

 

 










Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(18,415,450

)

 

(15,793,807

)

 

(23,786,627

)

 

 





















Net Assets

 

 

 

 

 

 

 

 

 

 












Total increase in net assets

 

 

11,474,617

 

 

26,402,959

 

 

3,190,779

 

Beginning of period

 

 

444,053,910

 

 

417,650,951

 

 

414,460,172

 

 

 










End of period

 

$

455,528,527

 

$

444,053,910

 

$

417,650,951

 

 

 










Undistributed (distributions in excess of) net investment income

 

$

5,873,652

 

$

6,981,497

 

$

(6,313,294

)

 

 










 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Strategic Bond Trust (BHD
)

 

 

 


 

Increase (Decrease) in Net Assets:

 

Year Ended
August 31,
2009

 

Period
November 1,
2007 to August 31,
2008

 

Year Ended
October 31,
2007

 









Operations

 

 

 

 

 

 

 

 

 

 












Net investment income

 

$

6,555,930

 

$

5,362,221

 

$

6,735,537

 

Net realized gain (loss)

 

 

(7,297,137

)

 

(1,927,321

)

 

999,009

 

Net change in unrealized appreciation/depreciation

 

 

2,434,562

 

 

(5,317,189

)

 

(1,416,472

)

 

 










Net increase (decrease) in net assets resulting from operations

 

 

1,693,355

 

 

(1,882,289

)

 

6,318,074

 

 

 





















Dividends to Shareholders From

 

 

 

 

 

 

 

 

 

 












Net investment income

 

 

(6,204,335

)

 

(5,434,969

)

 

(6,521,963

)

 

 





















Net Assets

 

 

 

 

 

 

 

 

 

 












Total decrease in net assets

 

 

(4,510,980

)

 

(7,317,258

)

 

(203,889

)

Beginning of period

 

 

90,092,465

 

 

97,409,723

 

 

97,613,612

 

 

 










End of period

 

$

85,581,485

 

$

90,092,465

 

$

97,409,723

 

 

 










Undistributed net investment income

 

$

454,611

 

$

124,460

 

$

197,208

 

 

 











 

 

 

See Notes to Financial Statements.




82

ANNUAL REPORT

AUGUST 31, 2009



 


 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31, 2009

 

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 Used for/Provided by Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net increase (decrease) in net assets resulting from operations

 

$

14,006,005

 

$

(33,646,666

)

$

(36,066,185

)

$

(9,427,162

)

$

(3,161,826

)

$

9,672,592

 

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Decrease in interest receivable

 

 

557,314

 

 

2,681,941

 

 

3,064,540

 

 

940,296

 

 

358,603

 

 

1,224,123

 

(Increase) decrease in swaps receivable

 

 

840,628

 

 

31,460

 

 

31,411

 

 

 

 

257

 

 

(1,360,435

)

Increase in margin variation receivable

 

 

(257,000

)

 

 

 

 

 

 

 

 

 

(261,625

)

Decrease in dividends receivable

 

 

248

 

 

11,955

 

 

34,293

 

 

68

 

 

6

 

 

 

Increase in income receivable — affiliated

 

 

(216

)

 

(26

)

 

 

 

(12

)

 

 

 

(322

)

Increase (decrease) in prepaid expenses

 

 

2,947

 

 

(94,325

)

 

(100,181

)

 

(29,025

)

 

(11,538

)

 

5,647

 

Decrease in other assets

 

 

2,819

 

 

(19,966

)

 

(33,352

)

 

2,078

 

 

1,141

 

 

51,623

 

Increase (decrease) in investment advisory fees payable

 

 

(22,582

)

 

(61,622

)

 

(77,810

)

 

(23,061

)

 

(11,892

)

 

15,738

 

Decrease in administration fees payable

 

 

 

 

 

 

 

 

 

 

(1,128

)

 

(2,191

)

Decrease in interest expense payable

 

 

(236,580

)

 

(8,604

)

 

(11,138

)

 

(3,586

)

 

(2,255

)

 

(476,058

)

Decrease in other affiliates payable

 

 

(985

)

 

(1,546

)

 

(1,631

)

 

(495

)

 

(4,530

)

 

 

Increase (decrease) in accrued expenses payable

 

 

(30,230

)

 

40,710

 

 

13,072

 

 

(6,398

)

 

17,309

 

 

(18,860

)

Increase in deferred income

 

 

 

 

 

 

6,438

 

 

 

 

 

 

 

Decrease in margin variation payable

 

 

(823,936

)

 

 

 

 

 

 

 

 

 

(810,969

)

Increase (decrease) in swaps payable

 

 

(1,656,569

)

 

101,356

 

 

99,640

 

 

 

 

1,795

 

 

(1,162,420

)

Increase (decrease) in cash held as collateral in connection with swaps

 

 

539,000

 

 

 

 

 

 

 

 

 

 

 

Increase (decrease) in other liabilities

 

 

363,231

 

 

 

 

 

 

(77,576

)

 

 

 

541,582

 

Increase (decrease) in Officer’s and Trustees’ fees payable

 

 

(3,201

)

 

20,261

 

 

20,999

 

 

(327

)

 

(474

)

 

(5,031

)

Swap premium received

 

 

5,882,626

 

 

5,092,281

 

 

5,623,779

 

 

 

 

664,341

 

 

593,933

 

Swap premium paid

 

 

(1,028,403

)

 

(5,170,717

)

 

(5,443,657

)

 

 

 

(616,874

)

 

(1,542,766

)

Net realized and unrealized loss

 

 

5,598,540

 

 

64,737,073

 

 

69,687,526

 

 

19,865,689

 

 

6,287,035

 

 

6,524,536

 

Amortization of premium and discount on investments

 

 

(1,462,816

)

 

(3,445,557

)

 

(4,818,087

)

 

(918,231

)

 

(164,384

)

 

(1,017,353

)

Paid-in-kind income

 

 

 

 

(1,325,497

)

 

(1,493,707

)

 

(311,176

)

 

(241,996

)

 

(78,983

)

Premiums received from options written

 

 

13,685,795

 

 

575,000

 

 

612,500

 

 

 

 

62,500

 

 

3,678,980

 

Proceeds from sales and paydowns of long-term securities

 

 

1,657,860,940

 

 

272,306,521

 

 

277,939,650

 

 

70,786,040

 

 

23,375,879

 

 

1,521,807,181

 

Purchases of long-term investments

 

 

(1,613,538,004

)

 

(224,219,484

)

 

(226,233,016

)

 

(60,691,984

)

 

(20,059,409

)

 

(1,444,428,682

)

Increase in cash pledged as collateral in connection with swaps

 

 

 

 

 

 

 

 

 

 

 

 

1,100,000

 

Increase in cash pledged as collateral in connection with financial futures contracts

 

 

(750,000

)

 

 

 

 

 

 

 

 

 

 

Net purchases of short-term securities

 

 

 

 

 

 

12,009,930

 

 

 

 

(680,193

)

 

(25,700,661

)

Net proceeds from sales of short-term securities

 

 

1,268,051

 

 

4,150,350

 

 

 

 

349,806

 

 

 

 

 

Premiums paid on closing options written

 

 

(5,096,836

)

 

 

 

 

 

 

 

 

 

(1,184,761

)

 

 



















Cash provided by operating activities

 

 

75,700,786

 

 

81,754,898

 

 

94,865,014

 

 

20,454,944

 

 

5,812,367

 

 

67,164,818

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash Used for Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash receipts from borrowings

 

 

636,319,609

 

 

99,000,000

 

 

119,000,000

 

 

42,000,000

 

 

25,000,000

 

 

509,708,688

 

Cash payments from borrowings

 

 

(693,692,157

)

 

(139,700,000

)

 

(171,900,000

)

 

(51,000,000

)

 

(27,250,000

)

 

(558,725,035

)

Cash dividends paid to shareholders

 

 

(20,668,623

)

 

(39,768,697

)

 

(42,108,146

)

 

(11,466,208

)

 

(3,600,554

)

 

(21,033,237

)

 

 



















Cash used for financing activities

 

 

(78,041,171

)

 

(80,468,697

)

 

(95,008,146

)

 

(20,466,208

)

 

(5,850,554

)

 

(70,049,584

)

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash Impact from Foreign Exchange Fluctuations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash impact from foreign exchange fluctuations

 

$

33,522

 

$

(14,432

)

$

(1

)

$

3,024

 

 

 

$

36,256

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net increase (decrease) in cash

 

 

(2,306,863

)

 

1,271,769

 

 

(143,133

)

 

(8,240

)

 

(38,187

)

 

(2,848,510

)

Cash and foreign currency at beginning of year

 

 

3,625,980

 

 

210,305

 

 

144,358

 

 

118,550

 

 

78,103

 

 

3,837,670

 

 

 



















Cash and foreign currency at end of year

 

$

1,319,117

 

$

1,482,074

 

$

1,225

 

$

110,310

 

$

39,916

 

$

989,160

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash paid for interest

 

$

936,071

 

$

1,874,641

 

$

2,126,452

 

$

521,997

 

$

145,087

 

$

789,181

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Noncash Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Capital shares issued in reinvestment of dividends paid to shareholders

 

 

45,125

 

 

 

 

 

 

 

 

42,959

 

 

58,090

 

 

 




















          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 total assets.

 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2009

83



 

 


 

Financial Highlights

BlackRock Core Bond Trust (BHK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,
2009

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 



 

 

 

 

2007

 

2006

 

2005

 

2004

 





















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

12.81

 

$

13.63

 

$

13.82

 

$

14.27

 

$

15.22

 

$

14.75

 

 

 



















Net investment income

 

 

0.80

1

 

0.50

1

 

0.74

 

 

0.66

 

 

0.78

 

 

0.92

 

Net realized and unrealized gain (loss)

 

 

(0.28

)

 

(0.69

)

 

(0.13

)

 

0.11

 

 

(0.37

)

 

0.66

 

 

 



















Net increase (decrease) from investment operations

 

 

0.52

 

 

(0.19

)

 

0.61

 

 

0.77

 

 

0.41

 

 

1.58

 

 

 



















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.77

)

 

(0.61

)

 

(0.61

)

 

(0.93

)

 

(1.01

)

 

(0.86

)

Net realized gain

 

 

 

 

 

 

 

 

(0.29

)

 

(0.35

)

 

(0.25

)

Tax return of capital

 

 

 

 

(0.02

)

 

(0.19

)

 

 

 

 

 

 

 

 



















Total dividends and distributions

 

 

(0.77

)

 

(0.63

)

 

(0.80

)

 

(1.22

)

 

(1.36

)

 

(1.11

)

 

 



















Net asset value, end of period

 

$

12.56

 

$

12.81

 

$

13.63

 

$

13.82

 

$

14.27

 

$

15.22

 

 

 



















Market price, end of period

 

$

11.98

 

$

11.51

 

$

12.23

 

$

12.86

 

$

13.69

 

$

14.02

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

5.28

%

 

(1.00

)%3

 

5.04

%

 

6.20

%

 

3.18

%

 

11.79

%

 

 



















Based on market price

 

 

11.76

%

 

(0.87

)%3

 

1.29

%

 

3.07

%

 

7.46

%

 

11.93

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

1.06

%

 

2.29

%4

 

1.60

%

 

1.08

%

 

1.50

%

 

1.32

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

1.06

%

 

2.29

%4

 

1.60

%

 

1.08

%

 

1.50

%

 

1.32

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.83

%

 

0.89

%4

 

0.78

%

 

0.77

%

 

0.85

%

 

0.92

%

 

 



















Net investment income

 

 

7.09

%

 

4.55

%4

 

5.36

%

 

4.78

%

 

5.20

%

 

6.20

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

339,524

 

$

346,177

 

$

368,335

 

$

373,518

 

$

385,514

 

$

411,163

 

 

 



















Borrowings outstanding, end of period (000)

 

$

74,572

 

$

107,690

 

$

103,354

 

$

3,911

 

$

86,876

 

$

102,474

 

 

 



















Average borrowings outstanding, during the period (000)

 

$

73,467

 

$

134,784

 

$

44,786

 

$

25,340

 

$

91,130

 

$

145,094

 

 

 



















Portfolio turnover

 

 

315

%5

 

598

%6

 

122

%

 

88

%

 

220

%

 

398

%

 

 



















Asset coverage, end of period per $1,000

 

$

5,553

 

$

4,215

 

$

4,564

 

$

96,502

 

$

5,438

 

$

5,012

 

 

 




















 

 

 

 

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 184%.

 

 

 

 

6

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 337%.


 

 

 

See Notes to Financial Statements.




84

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

Financial Highlights

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 



 

 

 

2009

 

 

2008

 

 

2007

 

 

2006

 

 

2005

 


















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net asset value, beginning of year

 

$

11.94

 

$

13.83

 

$

14.10

 

$

15.19

 

$

16.15

 

 

 
















Net investment income1

 

 

1.07

 

 

1.18

 

 

1.20

 

 

1.22

 

 

1.47

 

Net realized and unrealized gain (loss)

 

 

(2.10

)

 

(1.85

)

 

(0.33

)

 

(0.50

)

 

0.19

 

 

 
















Net increase (decrease) from investment operations

 

 

(1.03

)

 

(0.67

)

 

0.87

 

 

0.72

 

 

1.66

 

 

 
















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.20

)

 

(1.17

)

 

(1.14

)

 

(1.25

)

 

(1.64

)

Net realized gain

 

 

 

 

(0.05

)

 

 

 

(0.56

)

 

(0.98

)

 

 
















Total dividends and distributions

 

 

(1.20

)

 

(1.22

)

 

(1.14

)

 

(1.81

)

 

(2.62

)

 

 
















Net asset value, end of year

 

$

9.71

 

$

11.94

 

$

13.83

 

$

14.10

 

$

15.19

 

 

 
















Market price, end of year

 

$

9.32

 

$

10.15

 

$

12.24

 

$

12.81

 

$

15.04

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Based on net asset value

 

 

(3.83

)%

 

(3.99

)%

 

6.76

%

 

6.37

%

 

11.03

%

 

 
















Based on market price

 

 

8.59

%

 

(7.78

)%

 

4.00

%

 

(2.40

)%

 

14.99

%

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Total expenses

 

 

1.84

%

 

2.11

%

 

3.20

%

 

2.87

%

 

1.99

%

 

 
















Total expenses after fees waived and paid indirectly

 

 

1.84

%

 

2.11

%

 

3.20

%

 

2.87

%

 

1.99

%

 

 
















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.16

%

 

0.97

%

 

0.99

%

 

0.98

%

 

0.97

%

 

 
















Net investment income

 

 

13.00

%

 

9.16

%

 

8.23

%

 

8.49

%

 

9.38

%

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net assets, end of year (000)

 

$

320,045

 

$

393,389

 

$

455,710

 

$

464,453

 

$

500,303

 

 

 
















Borrowings outstanding, end of year (000)

 

$

54,000

 

$

94,700

 

$

127,700

 

$

200,100

 

$

188,500

 

 

 
















Average borrowings outstanding, during the year (000)

 

$

65,403

 

$

106,140

 

$

188,373

 

$

183,484

 

$

184,650

 

 

 
















Portfolio turnover

 

 

65

%

 

46

%

 

51

%

 

64

%

 

48

%

 

 
















Asset coverage, end of year per $1,000

 

$

6,927

 

$

5,154

 

$

4,569

 

$

3,321

 

$

3,654

 

 

 

















 

 

 

 

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.


 

ANNUAL REPORT

AUGUST 31, 2009

85



 

 


 

Financial Highlights

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 



 

 

 

2009

 

 

2008

 

 

2007

 

 

2006

 

 

2005

 


















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net asset value, beginning of year

 

$

11.89

 

$

13.81

 

$

14.12

 

$

15.08

 

$

15.71

 

 

 
















Net investment income1

 

 

1.05

 

 

1.16

 

 

1.18

 

 

1.16

 

 

1.37

 

Net realized and unrealized gain (loss)

 

 

(2.07

)

 

(1.87

)

 

(0.39

)

 

(0.49

)

 

0.19

 

 

 
















Net increase (decrease) from investment operations

 

 

(1.02

)

 

(0.71

)

 

0.79

 

 

0.67

 

 

1.56

 

 

 
















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1.19

)

 

(1.21

)

 

(1.10

)

 

(1.17

)

 

(1.49

)

Net realized gain

 

 

 

 

 

 

 

 

(0.46

)

 

(0.70

)

 

 
















Total dividends and distributions

 

 

(1.19

)

 

(1.21

)

 

(1.10

)

 

(1.63

)

 

(2.19

)

 

 
















Net asset value, end of year

 

$

9.68

 

$

11.89

 

$

13.81

 

$

14.12

 

$

15.08

 

 

 
















Market price, end of year

 

$

9.47

 

$

10.14

 

$

12.15

 

$

12.48

 

$

14.32

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Based on net asset value

 

 

(4.03

)%

 

(4.30

)%

 

6.29

%

 

6.29

%

 

11.28

%

 

 
















Based on market price

 

 

10.09

%

 

(7.24

)%

 

5.80

%

 

(1.07

)%

 

14.34

%

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Total expenses

 

 

2.01

%

 

2.24

%

 

3.35

%

 

2.89

%

 

2.09

%

 

 
















Total expenses after fees waived and paid indirectly

 

 

2.01

%

 

2.24

%

 

3.35

%

 

2.89

%

 

2.09

%

 

 
















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.28

%

 

1.10

%

 

1.12

%

 

1.11

%

 

1.11

%

 

 
















Net investment income

 

 

12.82

%

 

9.02

%

 

8.03

%

 

8.11

%

 

8.91

%

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net assets, end of period (000)

 

$

341,415

 

$

419,502

 

$

487,251

 

$

498,096

 

$

532,031

 

 

 
















Borrowings outstanding, end of year (000)

 

$

58,000

 

$

110,900

 

$

135,900

 

$

216,200

 

$

185,200

 

 

 
















Average borrowings outstanding, during the year (000)

 

$

73,784

 

$

113,996

 

$

202,705

 

$

184,070

 

$

188,044

 

 

 
















Portfolio turnover

 

 

60

%

 

45

%

 

51

%

 

62

%

 

48

%

 

 
















Asset coverage, end of year per $1,000

 

$

6,886

 

$

4,783

 

$

4,585

 

$

3,304

 

$

3,873

 

 

 

















 

 

 

 

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.




86

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

Financial Highlights

BlackRock High Income Shares (HIS)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,
2009

 

Period
January 1,
2008 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended December 31,

 

 

 

 

 



 

 

 

 

2007

 

2006

 

2005

 

20041

 





















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

2.23

 

$

2.47

 

$

2.68

 

$

2.61

 

$

2.87

 

$

2.86

 

 

 



















Net investment income

 

 

0.19

2

 

0.15

2

 

0.24

 

 

0.22

 

 

0.24

 

 

0.28

3

Net realized and unrealized gain (loss)

 

 

(0.36

)

 

(0.26

)

 

(0.21

)

 

0.08

 

 

(0.23

)

 

0.03

 

 

 



















Net increase (decrease) from investment operations

 

 

(0.17

)

 

(0.11

)

 

0.03

 

 

0.30

 

 

0.01

 

 

0.31

 

 

 



















Dividends from net investment income

 

 

(0.21

)

 

(0.13

)

 

(0.24

)

 

(0.23

)

 

(0.27

)

 

(0.30

)

 

 



















Net asset value, end of period

 

$

1.85

 

$

2.23

 

$

2.47

 

$

2.68

 

$

2.61

 

$

2.87

 

 

 



















Market price, end of period

 

$

1.68

 

$

1.88

 

$

2.14

 

$

2.55

 

$

2.33

 

$

2.90

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

(3.01

)%

 

(4.00

)%5

 

1.58

%

 

12.32

%

 

0.43

%

 

11.46

%

 

 



















Based on market price

 

 

4.47

%

 

(6.59

)%5

 

(7.51

)%

 

19.70

%

 

(11.28

)%

 

12.24

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

2.01

%

 

1.98

%6

 

3.56

%

 

3.78

%

 

3.04

%

 

2.23

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

2.01

%

 

1.98

%6

 

3.55

%

 

3.77

%

 

3.04

%

 

2.23

%

 

 



















Total expenses after fees waived and fees paid indirectly and excluding interest expense

 

 

1.41

%

 

1.05

%6

 

1.27

%

 

1.34

%

 

1.37

%

 

1.39

%

 

 



















Net investment income

 

 

12.06

%

 

9.52

%6

 

8.89

%

 

8.42

%

 

8.82

%

 

9.70

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

100,921

 

$

121,808

 

$

135,098

 

$

146,538

 

$

142,457

 

$

155,298

 

 

 



















Borrowings outstanding, end of period (000)

 

$

18,000

 

$

27,000

 

$

46,000

 

$

62,000

 

$

66,000

 

$

69,000

 

 

 



















Average borrowings outstanding, during the period (000)

 

$

21,220

 

$

27,069

 

$

55,868

 

$

62,838

 

$

65,992

 

$

64,081

 

 

 



















Portfolio turnover

 

 

55

%

 

25

%

 

69

%

 

83

%

 

115

%

 

56

%

 

 



















Asset coverage, end of period per $1,000

 

$

6,607

 

$

5,512

 

$

3,937

 

$

3,364

 

$

3,158

 

$

3,251

 

 

 




















 

 

 

 

1

Audited by other Independent Registered Public Accounting Firm.

 

 

 

 

2

Based on average shares outstanding.

 

 

 

 

3

Net investment income per share has been recalculated in accordance with Securities and Exchange Commission requirements, with the exception that end-of-the-year accumulated undistributed/(overdistributed) net investment income has not been adjusted to reflect current year permanent differences between financial and tax accounting.

 

 

 

 

4

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.

 

 

 

 

5

Aggregate total investment return.

 

 

 

 

6

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, 2009

87



 

 


 

Financial Highlights

BlackRock High Yield Trust (BHY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,
2009

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 



 

 

 

 

2007

 

2006

 

2005

 

2004

 





















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

6.84

 

$

7.91

 

$

7.85

 

$

7.48

 

$

7.95

 

$

6.96

 

 

 



















Net investment income

 

 

0.51

1

 

0.50

1

 

0.63

 

 

0.66

 

 

0.68

 

 

0.92

 

Net realized and unrealized gain (loss)

 

 

(1.00

)

 

(1.06

)

 

0.04

 

 

0.36

 

 

(0.36

)

 

1.02

 

 

 



















Net increase (decrease) from investment operations

 

 

(0.49

)

 

(0.56

)

 

0.67

 

 

1.02

 

 

0.32

 

 

1.94

 

 

 



















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.55

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

 

(0.79

)

 

(0.92

)

Tax return of capital

 

 

(0.02

)

 

 

 

 

 

 

 

 

 

(0.03

)

 

 



















Total dividends and distributions

 

 

(0.57

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

 

(0.79

)

 

(0.95

)

 

 



















Net asset value, end of period

 

$

5.78

 

$

6.84

 

$

7.91

 

$

7.85

 

$

7.48

 

$

7.95

 

 

 



















Market price, end of period

 

$

5.84

 

$

5.96

 

$

6.92

 

$

7.77

 

$

7.36

 

$

9.30

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

(5.30

)%

 

(6.47

)%3

 

9.03

%

 

14.25

%

 

2.85

%

 

26.24

%

 

 



















Based on market price

 

 

9.81

%

 

(6.85

)%3

 

(3.63

)%

 

14.93

%

 

(13.49

)%

 

0.28

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

2.61

%

 

2.61

%4

 

4.16

%

 

4.50

%

 

3.52

%

 

2.69

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

2.61

%

 

2.61

%4

 

4.14

%

 

4.49

%

 

3.51

%

 

2.68

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

2.16

%

 

1.77

%4

 

2.10

%

 

2.19

%

 

2.10

%

 

1.96

%

 

 



















Net investment income

 

 

10.22

%

 

8.34

%4

 

7.84

%

 

8.74

%

 

8.71

%

 

12.16

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

37,137

 

$

43,897

 

$

50,782

 

$

50,385

 

$

47,924

 

$

50,914

 

 

 



















Borrowings outstanding, end of period (000)

 

$

4,000

 

$

6,250

 

$

9,250

 

$

20,250

 

$

20,750

 

$

19,250

 

 

 



















Average borrowings outstanding, during the period (000)

 

$

5,223

 

$

7,443

 

$

17,710

 

$

20,621

 

$

20,425

 

$

19,250

 

 

 



















Portfolio turnover

 

 

54

%

 

34

%

 

69

%

 

85

%

 

102

%

 

156

%

 

 



















Asset coverage, end of period per $1,000

 

$

10,284

 

$

8,023

 

$

6,490

 

$

3,488

 

$

3,310

 

$

3,645

 

 

 




















 

 

 

 

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.




88

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

Financial Highlights

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,
2009

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 



 

 

 

 

2007

 

2006

 

2005

 

2004

 





















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

10.35

 

$

11.02

 

$

11.17

 

$

11.56

 

$

12.38

 

$

11.93

 

 

 



















Net investment income

 

 

0.59

1

 

0.53

1

 

0.62

 

 

0.57

 

 

0.72

 

 

0.76

 

Net realized and unrealized gain (loss)

 

 

(0.31

)

 

(0.69

)

 

(0.11

)

 

0.01

 

 

(0.45

)

 

0.53

 

 

 



















Net increase (decrease) from investment operations

 

 

0.28

 

 

(0.16

)

 

0.51

 

 

0.58

 

 

0.27

 

 

1.29

 

 

 



















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.61

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

 

(0.81

)

 

(0.84

)

Net realized gain

 

 

 

 

 

 

 

 

(0.26

)

 

(0.28

)

 

 

Tax return of capital

 

 

 

 

 

 

(0.05

)

 

(0.06

)

 

 

 

 

 

 



















Total dividends and distributions

 

 

(0.61

)

 

(0.51

)

 

(0.66

)

 

(0.97

)

 

(1.09

)

 

(0.84

)

 

 



















Net asset value, end of period

 

$

10.02

 

$

10.35

 

$

11.02

 

$

11.17

 

$

11.56

 

$

12.38

 

 

 



















Market price, end of period

 

$

9.65

 

$

9.82

 

$

10.19

 

$

10.58

 

$

10.90

 

$

11.38

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

3.90

%

 

(1.07

)%3

 

5.11

%

 

5.76

%

 

2.95

%

 

11.90

%

 

 



















Based on market price

 

 

5.46

%

 

1.51

%3

 

2.62

%

 

6.27

%

 

5.53

%

 

12.04

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

0.95

%

 

2.25

%4

 

2.01

%

 

1.61

%

 

1.72

%

 

1.11

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

0.95

%

 

2.25

%4

 

2.00

%

 

1.61

%

 

1.72

%

 

1.11

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.85

%

 

0.83

%4

 

0.87

%

 

0.89

%

 

0.87

%

 

0.84

%

 

 



















Net investment income

 

 

6.45

%

 

5.89

%4

 

5.68

%

 

5.11

%

 

5.97

%

 

6.29

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

345,101

 

$

356,456

 

$

379,605

 

$

384,850

 

$

398,078

 

$

426,643

 

 

 



















Borrowings outstanding, end of period (000)

 

$

77,474

 

$

100,740

 

$

105,262

 

$

34,326

 

$

120,179

 

$

94,644

 

 

 



















Average borrowings outstanding, during the period (000)

 

$

49,573

 

$

131,462

 

$

68,241

 

$

59,691

 

$

122,457

 

$

97,264

 

 

 



















Portfolio turnover

 

 

270

%5

 

441

%6

 

196

%

 

131

%

 

396

%

 

300

%

 

 



















Asset coverage, end of period per $1,000

 

$

5,454

 

$

4,538

 

$

4,606

 

$

12,212

 

$

4,312

 

$

5,508

 

 

 




















 

 

 

 

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 165%.

 

 

 

 

6

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 168%.


 

 

 

 

See Notes to Financial Statements.


 

ANNUAL REPORT

AUGUST 31, 2009

89



 

 


 

Financial Highlights

BlackRock Income Trust, Inc. (BKT)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,
2009

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 



 

 

 

 

2007

 

2006

 

2005

 

2004

 





















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

6.94

 

$

6.53

 

$

6.48

 

$

6.54

 

$

6.95

 

$

7.21

 

 

 



















Net investment income

 

 

0.28

1

 

0.26

1

 

0.30

 

 

0.32

 

 

0.44

 

 

0.51

 

Net realized and unrealized gain (loss)

 

 

0.19

 

 

0.40

 

 

0.12

 

 

0.05

 

 

(0.30

)

 

(0.16

)

 

 



















Net increase (decrease) from investment operations

 

 

0.47

 

 

0.66

 

 

0.42

 

 

0.37

 

 

0.14

 

 

0.35

 

 

 



















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.29

)

 

(0.25

)

 

(0.29

)

 

(0.34

)

 

(0.48

)

 

(0.61

)

Tax return of capital

 

 

 

 

 

 

(0.08

)

 

(0.09

)

 

(0.07

)

 

 

 

 



















Total dividends and distributions

 

 

(0.29

)

 

(0.25

)

 

(0.37

)

 

(0.43

)

 

(0.55

)

 

(0.61

)

 

 



















Net asset value, end of period

 

$

7.12

 

$

6.94

 

$

6.53

 

$

6.48

 

$

6.54

 

$

6.95

 

 

 



















Market price, end of period

 

$

6.53

 

$

6.07

 

$

5.81

 

$

6.07

 

$

5.90

 

$

7.50

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

7.64

%

 

10.82

%3

 

7.06

%

 

6.06

%

 

2.12

%

 

5.01

%

 

 



















Based on market price

 

 

12.87

%

 

8.94

%3

 

1.69

%

 

10.18

%

 

(14.63

)%

 

5.97

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

1.09

%

 

1.63

%4

 

2.77

%

 

2.85

%

 

2.80

%

 

1.37

%

 

 



















Total expenses after fees waived and before fees paid indirectly

 

 

1.08

%

 

1.63

%4

 

2.77

%

 

2.85

%

 

2.80

%

 

1.37

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

1.08

%

 

1.63

%4

 

2.76

%

 

2.84

%

 

2.79

%

 

1.37

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.93

%

 

0.91

%4

 

0.98

%

 

1.00

%

 

0.99

%

 

0.97

%

 

 



















Net investment income

 

 

4.09

%

 

4.67

%4

 

4.60

%

 

4.92

%

 

6.54

%

 

7.13

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

455,529

 

$

444,054

 

$

417,651

 

$

414,460

 

$

418,390

 

$

442,635

 

 

 



















Borrowings outstanding, end of period (000)

 

$

11,815

 

 

 

$

33,895

 

$

70,691

 

$

149,558

 

$

223,736

 

 

 



















Average borrowings outstanding, during the period (000)

 

$

537

 

$

61,777

 

$

93,325

 

$

104,393

 

$

180,553

 

$

158,278

 

 

 



















Portfolio turnover

 

 

700

%5

 

263

%6

 

250

%

 

80

%

 

60

%

 

120

%

 

 



















Asset coverage, end of period per $1,000

 

$

39,555

 

 

 

$

13,322

 

$

6,863

 

$

3,798

 

$

2,978

 

 

 




















 

 

 

 

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 184%.

 

 

 

 

6

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 0%.


 

 

 

See Notes to Financial Statements.




90

ANNUAL REPORT

AUGUST 31, 2009



 

 


 

Financial Highlights

BlackRock Strategic Bond Trust (BHD)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,
2009

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 



 

 

 

 

2007

 

2006

 

2005

 

2004

 





















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

12.76

 

$

13.80

 

$

13.83

 

$

13.68

 

$

15.10

 

$

15.07

 

 

 



















Net investment income

 

 

0.93

1

 

0.76

1

 

0.95

 

 

0.99

 

 

1.10

 

 

1.39

 

Net realized and unrealized gain (loss)

 

 

(0.69

)

 

(1.03

)

 

(0.06

)

 

0.18

 

 

(1.13

)

 

0.25

 

 

 



















Net increase (decrease) from investment operations

 

 

0.24

 

 

(0.27

)

 

0.89

 

 

1.17

 

 

(0.03

)

 

1.64

 

 

 



















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.88

)

 

(0.77

)

 

(0.92

)

 

(0.98

)

 

(1.12

)

 

(1.61

)

Tax return of capital

 

 

 

 

 

 

 

 

(0.04

)

 

(0.27

)

 

 

 

 



















Total dividends and distributions

 

 

(0.88

)

 

(0.77

)

 

(0.92

)

 

(1.02

)

 

(1.39

)

 

(1.61

)

 

 



















Net asset value, end of period

 

$

12.12

 

$

12.76

 

$

13.80

 

$

13.83

 

$

13.68

 

$

15.10

 

 

 



















Market price, end of period

 

$

11.43

 

$

10.85

 

$

11.88

 

$

12.85

 

$

12.45

 

$

16.70

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

3.99

%

 

(1.19

)%3

 

7.26

%

 

9.58

%

 

(0.49

)%

 

11.35

%

 

 



















Based on market price

 

 

15.34

%

 

(2.40

)%3

 

(0.62

)%

 

11.87

%

 

(18.11

)%

 

21.54

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

1.00

%

 

0.93

%4

 

1.45

%

 

2.25

%

 

2.14

%

 

1.49

%

 

 



















Total expenses after fees waived and before fees paid indirectly

 

 

0.92

%

 

0.82

%4

 

1.27

%

 

2.25

%

 

2.14

%

 

1.49

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

0.92

%

 

0.82

%4

 

1.27

%

 

2.00

%

 

1.87

%

 

1.23

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.92

%

 

0.81

%4

 

0.87

%

 

0.94

%

 

0.92

%

 

0.89

%

 

 



















Net investment income

 

 

8.67

%

 

6.85

%4

 

6.86

%

 

7.26

%

 

7.58

%

 

9.23

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

85,581

 

$

90,092

 

$

97,410

 

$

97,614

 

$

96,546

 

$

106,433

 

 

 



















Borrowings outstanding, end of period (000)

 

 

 

$

1,571

 

$

413

 

$

14,951

 

$

31,883

 

$

13,188

 

 

 



















Average borrowings outstanding, during the period (000)

 

$

303

 

$

391

 

$

7,240

 

$

21,104

 

$

30,406

 

$

27,562

 

 

 



















Portfolio turnover.

 

 

61

%

 

27

%

 

34

%

 

56

%

 

51

%

 

31

%

 

 



















Asset coverage, end of period per $1,000

 

 

 

$

58,347

 

$

236,789

 

$

7,529

 

$

4,028

 

$

9,071

 

 

 




















 

 

 

 

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.


 

ANNUAL REPORT

AUGUST 31, 2009

91



 


 

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 the “Trust”) are registered as diversified, closed-end management investment companies under the Investment Company Act of 1940 (the “1940 Act”), as amended. 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, which may require the use of management accruals and estimates. Actual results may differ from these estimates. The Boards of Directors and 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 value of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Trusts:

Valuation of Investments: The Trusts value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services selected under the supervision of each Trust’s Board. Floating rate loan interests are valued at the mean between the last available 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. The fair value of asset-backed and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each tranche of the entity, establishes a benchmark yield and develops 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 at the current market value of the underlying securities. Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and trades of underlying securities. Investments in open-end investment companies are valued at net asset value each business day. Short-term securities with maturities less than 60 days may be valued at amortized cost, which approximates fair value. The Trusts value their investments in Cash Sweep Series, of BlackRock Liquidity Series, LLC at fair value, which is ordinarily based upon their pro rata ownership in the net assets of the underlying fund.

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 (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security.

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 such prior day’s price no longer reflects the fair value of the option. Over-the-counter 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 securities.

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 are not available, the investment will be valued by a method approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or 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’slength 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 securities is substantially completed each day at various times prior to the close of business on the New York Stock Exchange (“NYSE”). The values of such securities used in computing the net assets of each Trust are determined as of such times. Foreign currency exchange rates will be determined as of the close of business on the NYSE. Occasionally, events affecting the values of such securities and such exchange rates may occur between the times at which they are determined 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 securities, those securities will be valued at their fair value as determined in good faith by the Board or by the investment advisor using a pricing service and/or procedures approved by the Board. Foreign currency exchange contracts are valued at the mean between the bid and ask prices. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

 

 


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Foreign Currency Transactions: Foreign currency amounts are translated into United States dollars on the following basis: (i) market value of investment securities, assets and liabilities at the current rate of exchange; and (ii) purchases and sales of investment securities, income and expenses at the rates of exchange prevailing on the respective dates of such transactions.

The Trusts report foreign currency related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Asset-Backed and Mortgage-Backed Securities: Certain Trusts may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment rate feature will have the effect of shortening the maturity of the security. If a 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 (“GNMA”) are guaranteed as to the timely payment of principal and interest by GNMA 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 (“FHLMC”) and Federal National Mortgage Association (“FNMA”), including FNMA guaranteed Mortgage Pass-Through Certificates which are solely the obligations of the FNMA, 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.

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 of assets underlying these securities, can affect the value, income and/or liquidity of such positions.

Collateralized Mortgage Obligations: Certain Trusts may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”). These multiple class securities may be issued by GNMA, 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 (“PACs”) and targeted amortization classes (“TACs”). 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 investment 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 Trusts may not fully recoup its initial investment in IOs.

Capital Trusts and Trust Preferreds: 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 Loans: Certain Trusts may invest in floating rate loans, which are generally non-investment grade, made by banks, other financial institutions, and privately and publicly offered corporations. Floating rate loans are senior in the debt structure of a corporation. Floating rate loans generally pay

 

 

 


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interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally (i) the lending rate offered by one or more European banks, such as LIBOR (London Inter-Bank Offered Rate), (ii) the prime rate offered by one or more US banks or (iii) the certificate of deposit rate. The Trusts consider these investments to be investments in debt securities for purposes of their investment policies.

The Trusts earn and/or pay facility and other fees on floating rate loans. Other fees earned/paid include commitment, amendment, consent, commissions and prepayment penalty fees. Facility, amendment, and consent fees are typically amortized as premium and/or accreted as discount over the term of the loan. Commitment, commission and various other fees are recorded as income. Prepayment penalty fees are recognized on the accrual basis. When a Trust buys a floating rate loan it may receive a facility fee and when it sells a floating rate loan 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 portion of a floating rate loan. In certain circumstances, the Trusts may receive a prepayment penalty fee upon the prepayment of a floating rate loan by a borrower. Other fees received by the Trusts may include covenant waiver fees and covenant modification fees.

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 loans are usually freely callable at the issuer’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 relating to the loans, 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’ investments in loan participation interests involve 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 a general creditor of the lender and may not benefit from any offset between the lender and the borrower.

Borrowed Bond Agreements: In a borrowed bond agreement, a Trust borrows securities from a third party, with the commitment that they will be returned to the lender on an agreed-upon date. Borrowed bond agreements are primarily entered into to settle short positions. In a borrowed bond agreement, the Trust’s prime broker or third party broker takes possession of the underlying collateral securities or cash to settle such short positions. The value of the underlying collateral securities or cash approximates the principal amount of the borrowed bond transaction, including accrued interest. To the extent that borrowed bond transactions exceed one business day, the value of the collateral with any counterparty is “marked to market” on a daily basis to ensure the adequacy of the collateral. If the lender defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the lender of the security, realization of the collateral by the Trust may be delayed or limited.

Mortgage Dollar Roll Transactions: Certain Trusts may sell 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 realize gains and losses on these transactions.

Mortgage dollar rolls involve the risk that the market value of the securities that each Trust is required to purchase may decline below the agreed upon repurchase 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 dollar roll, the use of this technique will adversely impact the investment performance of each Trust.

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 (not treated as purchase and sales) 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 and gains on the securities purchased with the proceeds received from the sale of the security exceeds the interest expense incurred by the Trusts. 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.

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 agree to repurchase the securities at a mutually agreed upon date and price. 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

 

 

 


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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 from the agreement may be restricted while the other party, or its trustee or receiver, whether or not to enforce the Trusts’ obligation to repurchase the securities.

TBA Commitments: Certain Trusts may enter into to be announced commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Trusts’ other assets.

Zero-Coupon Bonds: Certain Trusts may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that a Trust either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBAs beyond normal settlement, written options, written swaptions, foreign currency exchange contracts, financial futures contracts and swaps), or certain borrowings (e.g., reverse repurchase agreements) each Trust will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its 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 (e.g., financial futures contracts, reverse repurchase agreements, swaps and written options). As part of these agreements, when the value of these investments achieves a previously agreed upon value (minimum transfer amount), each party may be required to deliver additional collateral.

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. Interest income is recognized on the accrual basis. The Trusts amortize all premiums and discounts on debt securities. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statements of Operations.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital.

Income Taxes: It is each Trust’s policy to comply with the requirements of the Internal Revenue Code 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. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on BHK, BHY, BNA, BKT and BHD’s US federal tax returns remains open for the two years ended October 31, 2007, the period ended August 31, 2008 and the year ended August 31, 2009. The statute of limitations on BHK and HIS’s US federal tax returns remains open for the two years ended December 31, 2007, the period ended August 31, 2008 and the year ended August 31, 2009. The statute of limitations on the HYV and HYT’s tax returns remains open for the four years ended August 31, 2009. The statutes of limitations on the Trusts’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Recent Accounting Pronouncement: In June 2009, Statement of Financial Accounting Standards No. 166, “Accounting for Transfers of Financial Assets — an amendment of FASB Statement No. 140” (“FAS 166”), was issued. FAS 166 is intended to improve the relevance, representational faithfulness and comparability of the information that a reporting entity provides in its financial statements about a transfer of financial assets; the effects of a transfer on its financial position, financial performance, and cash flows; and a transferor’s continuing involvement, if any, in transferred financial assets. FAS 166 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2009. Earlier application is prohibited. The recognition and measurement provisions of FAS 166 must be applied to transfers occurring on or after the effective date. Additionally, the disclosure provisions of FAS 166 should be applied to transfers that occurred both before and after the effective date of FAS 166. The impact of FAS 166 on the Trusts’ financial statement disclosures, if any, is currently being assessed.

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 other certain 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 other certain 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 other certain BlackRock Closed-End Funds selected by the Independent Trustees in order to match its deferred compensation obligations. Investments to cover each

 

 

 


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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 income-affiliated in the Statements of Operations.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods. Pursuant to the terms of the custody agreement, custodian fees may be reduced by amounts calculated on uninvested cash balances, which are shown in the Statements of Operations as fees paid indirectly.

2. Derivative Financial Instruments:

The Trusts may engage in various portfolio investment strategies 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 and foreign currency exchange rate risk. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Trusts may mitigate counterparty risk through master netting agreements included within an International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreement between a Trust and each of its counterparties. The ISDA Master Agreement allows each Trust to offset with its counterparty certain derivative financial instrument’s payables and/or receivables with collateral held with each counterparty. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Trusts from their coun-terparties 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 additional information with respect to collateral practices.

The Trusts’ maximum risk of loss from counterparty credit risk on over-the-counter derivatives is generally the aggregate unrealized gain in excess of any collateral pledged by the counterparty to the Trusts. For over-the-counter purchased options, the Trusts bear the risk of loss in the amount of the premiums paid and change in market value of the options should the counterparty not perform under the contracts. Options written by the Trusts do not give rise to counterparty credit risk, as written options obligate the Trusts to perform and not the counterparty. Certain ISDA Master Agreements allow counterpar-ties to over-the-counter derivatives to terminate derivative contracts prior to maturity in the event a Trust’s net assets decline by a stated percentage or a Trust fails to meet the terms of its ISDA Master Agreements, which would cause the Trust to accelerate payment of any net liability owed to the coun-terparty. Counterparty risk related to exchange-traded financial futures contracts and options is minimal because of the protection against defaults provided by the exchange on which they trade.

Financial Futures Contracts: Certain Trusts may purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in the value of interest rates (interest rate risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are contracts for delayed delivery of securities 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: Certain Trusts may enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio positions (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 a Trust, help to manage the overall exposure to the foreign currency backing some of the investments held by a Trust. The contract is marked-to-market daily and the change in market value is recorded by a Trust as an unrealized gain or loss. When the contract is closed, a Trust records 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 counterpar-ties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the US dollar.

Options: Certain Trusts may purchase and write call and put options to increase or decrease their exposure to underlying instruments. 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 a Trust purchases (writes) an option, an amount equal to the premium paid (received) by a Trust is reflected as an asset (liability) and an equivalent liability (asset). 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 a Trust enters into a closing transaction), a Trust realizes 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 premium received or paid). When a Trust writes a call option, such option is “covered,” meaning that a Trust holds the underlying instrument subject to being called by the option counterparty, or cash in an amount sufficient to cover the obligation. When a Trust writes a put option, such option is covered by cash in an amount sufficient to cover the obligation.

In purchasing and writing options, a Trust bears the risk of an unfavorable change in the value of the underlying instrument or the risk that a Trust may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in a Trust purchasing a security at a price different from the current market value. The Trusts may execute transactions in both listed and over-the-counter options.

 

 

 


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Swaps: Certain Trusts may enter into swap agreements, in which a Trust 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. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any. 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 counter-party 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 — Certain Trusts may enter into credit default swaps to manage its 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 of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Trust may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign) 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, a Trust 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), a Trust 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.

 

 

 

 

Interest rate swaps — Certain Trusts may enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal 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.

 

 

 

 

Total return swaps — Certain Trusts may enter into total return swaps 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 one party commits to pay interest in exchange for the total return (coupons plus capital gains/losses) of an underlying asset. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trust will receive a payment from or make a payment to the counterparty.

 

 

 

 

Swaptions — Swap options (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 swap agreement at any time before the expiration of the option (interest rate risk). In purchasing and writing swaptions, the Trusts bear the market risk of an unfavorable change in the price of the underlying interest rate swap or the risk that the Trusts may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written swaption could result in the Trusts purchasing an interest rate swap at a price different from the current market value. The Trusts execute transactions in over-the-counter swaptions.


 

 

 


ANNUAL REPORT

AUGUST 31, 2009

97



 


 

Notes to Financial Statements (continued)

 

Derivatives Not Accounted for as Hedging Instruments under Financial Accounting Standards Board Statement of Financial Accounting Standards No. 133, Accounting for Derivative Instruments and Hedging Activities:

 


Values of Derivative Instruments as of August 31, 2009*


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset Derivatives

 

 

 



 

 

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

 

 



 

 

Statements of Assets and
Liabilities Location

 

Value

 







Interest rate contracts**

 

Net unrealized appreciation/depreciation/
Unrealized appreciation on swaps/
Investments at value — unaffiliated

 

$

9,191,692

 

 

 

 

 

 

 

 

 

$

19,718,603

 

$

33,166,333

 

 

 

Foreign currency exchange contracts

 

Unrealized appreciation on foreign currency exchange contracts

 

 

2,750

 

$

11,827

 

$

9,268

 

 

 

 

 

 

1,681

 

 

 

 

 

Credit contracts

 

Unrealized appreciation on swaps

 

 

71,966

 

 

73,687

 

 

79,212

 

 

 

$

3,942

 

 

61,884

 

 

 

$

104,936

 

Equity contracts

 

Investments at value — unaffiliated

 

 

 

 

 

 

 

 

 

 

3,000

 

 

 

 

 

 

6,000

 







Total

 

 

 

 

$

9,266,408

 

$

85,514

 

$

88,480

 

 

 

$

6,942

 

$

19,782,168

 

$

33,166,333

 

$

110,936

 

 

 

 

 

 

























 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Liability Derivatives

 

 

 



 

 

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

 

 



 

 

Statements of Assets and
Liabilities Location

 

Value





Interest rate contracts**

 

Net unrealized appreciation/depreciation/
Unrealized depreciation on swaps/
Options written at value/
Investments at value — unaffiliated/
Interest rate floors at value

 

$

17,318,848

 

 

 

 

 

 

 

 

 

$

15,333,669

 

$

33,413,999

 

$

134,403

 

Foreign currency exchange contracts

 

Unrealized depreciation on foreign currency exchange contracts

 

 

20,380

 

$

462,418

 

$

506,557

 

$

110,059

 

 

 

 

 

 

 

 

 

Credit contracts

 

Unrealized depreciation on swaps

 

 

609,167

 

 

1,149,185

 

 

1,086,053

 

 

 

 

 

 

635,325

 

 

 

 

 





Total

 

 

 

$

17,948,395

 

$

1,611,603

 

$

1,592,610

 

$

110,059

 

 

 

$

15,968,994

 

$

33,413,999

 

$

134,403

 

 

 

 

 

 


























 

 

 

*

 

For open derivative instruments as of August 31, 2009, see the Schedule of Investments, which is also indicative of activity for the year ended August 31, 2009.

 

**

 

Includes cumulative appreciation/depreciation of the 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.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


The Effect of Derivative Instruments on the Statements of Operations
Year Ended August 31, 2009


 

 

 

Net Realized Gain (Loss) From Derivatives Recognized in Income

 

 

 



 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

 

 



Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options

 

 

 

$

575,000

 

$

612,500

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

$

522,890

 

 

(3,358,753

)

 

(3,516,512

)

 

 

$

(102,851

)

$

(233,992

)

 

 

$

139,504

 

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options

 

 

 

 

 

 

 

 

 

 

 

62,500

 

 

 

 

 

 

 

Foreign currency exchange contracts

 

 

661,866

 

 

(121,570

)

 

(205,322

)

$

(34,006

)

 

 

 

724,349

 

 

 

 

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

(15,515,948

)

 

 

 

 

 

 

 

 

 

(19,053,523

)

$

(10,263,999

)

 

(101,500

)

Options

 

 

2,309,078

 

 

 

 

 

 

 

 

 

 

 

 

1,348,335

 

 

(553,314

)

 

 

Interest rate floors

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(8,170,684

)

 

 

Swaps

 

 

14,773,617

 

 

 

 

 

 

 

 

 

 

10,910,335

 

 

7,162,332

 

 

 


Total

 

$

2,751,503

 

$

(2,905,323

)

$

(3,109,334

)

$

(34,006

)

$

(40,351

)

$

(6,304,496

)

$

(11,825,665

)

$

38,004

 

 

 


























 

 

 


98

ANNUAL REPORT

AUGUST 31, 2009



 


 

Notes to Financial Statements (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Net Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BHK

 

 

HYV

 

 

HYT

 

 

HIS

 

 

BHY

 

 

BNA

 

 

BKT

 

 

BHD

 

 

 



Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

37,363

 

Swaps

 

$

(537,201

)

$

1,517,801

 

$

1,751,380

 

 

 

$

3,881

 

$

(573,441

)

 

 

 

104,936

 

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options

 

 

 

 

 

 

 

 

 

 

(2,070

)

 

 

 

 

 

(4,140

)

Foreign currency exchange contracts

 

 

(528,233

)

 

(604,572

)

 

(651,857

)

$

(121,341

)

 

 

 

(495,519

)

 

 

 

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

 

(251,292

)

 

 

 

 

 

 

 

 

 

463,535

 

$

2,358,290

 

 

70,676

 

Options

 

 

(2,779,648

)

 

 

 

 

 

 

 

 

 

 

 

 

 

(2,633,410

)

 

(2,554,639

)

 

 

Interest rate floors

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(30,243

)

 

 

Swaps

 

 

(7,577,179

)

 

 

 

 

 

 

 

 

 

1,059,193

 

 

(6,753,288

)

 

 





Total

 

$

(11,673,553

)

$

913,229

 

$

1,099,523

 

$

(121,341

)

$

1,811

 

$

(2,179,642

)

$

(6,979,880

)

$

208,835

 

 

 

























3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) and Bank of America Corporation (“BAC”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). BAC became a stockholder of BlackRock following its acquisition of Merrill Lynch & Co., Inc. (“Merrill Lynch”) on January 1, 2009. Prior to that date, both PNC and Merrill Lynch were considered affiliates of the Trusts under the 1940 Act. Subsequent to the acquisition, PNC remains an affiliate, but due to the restructuring of Merrill Lynch’s ownership interest of BlackRock, BAC is not deemed to be an affiliate under the 1940 Act.

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 services for each Trust and administration services for BHK, HYV, HYT, HIS and BHD.

The following Trusts’ investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trust’s average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

 

 

 

 

 






BHK

 

 

0.55% 

 

HIS

 

 

0.75% 

of the first $200 million and 0.50% thereafter

BHY

 

 

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 has 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. This amount is included in fees waived by advisor on the Statements of Operations. For the year ended August 31, 2009, the amount waived by BHD was $ 56,414.

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 managed assets.

The Manager has agreed to waive its advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. These amounts are included in fees waived by advisor on the Statements of Operations. For the year ended August 31, 2009, the amounts were as follows:

 

 

 

 

 





 

 

Fees Waived
by Manager

 





BHK

 

$

1,039

 

HYV

 

$

714

 

HYT

 

$

686

 

HIS

 

$

741

 

BHY

 

$

841

 

BNA

 

$

903

 

BKT

 

$

50,476

 

BHD

 

$

3,845

 





The Manager has 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, under which the Manager pays BFM for services it provides, a monthly fee that is a percentage of the investment advisory fee paid by each Trust to the Manager.

For the year ended August 31, 2009, 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:

 

 

 

 

 





 

 

Accounting
Services

 





BHK

 

$

7,476

 

HYV

 

$

6,513

 

HYT

 

$

7,045

 

HIS

 

$

2,069

 

BHD

 

$

1,562

 







 

 

 


ANNUAL REPORT

AUGUST 31, 2009

99



 


 

Notes to Financial Statements (continued)

In addition, Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly owned subsidiary of Merrill Lynch, received commissions on execution of portfolio security transactions for the Trusts for the period September 1, 2008 to December 31, 2008 (after which time Merrill Lynch was no longer considered an affiliate), as follows:

 

 

 

 

 






BHK

 

$

220

 

BNA

 

$

220

 






Certain officers and/or trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for compensation paid to the Trusts’ Chief Compliance Officer.

4. Investments:

Purchases and sales of investments (including paydowns and TBA and mortgage dollar roll transactions and excluding short-term securities and US government securities), for the year ended August 31, 2009 were as follows:

 

 

 

 

 

 

 

 







 

 

Purchases

 

Sales

 









BHK

 

$

1,062,228,930

 

$

1,109,686,169

 

HYV

 

$

223,482,779

 

$

273,112,072

 

HYT

 

$

220,959,742

 

$

278,821,284

 

HIS

 

$

59,223,217

 

$

71,081,974

 

BHY

 

$

19,279,254

 

$

23,555,238

 

BNA

 

$

911,086,808

 

$

1,010,199,678

 

BKT

 

$

4,181,067,375

 

$

4,151,184,512

 

BHD

 

$

42,085,588

 

$

45,574,047

 









For the year ended August 31, 2009, purchases and sales of US government securities were as follows:

 

 

 

 

 

 

 

 







 

 

Purchases

 

Sales

 







BHK

 

$

131,069,683

 

$

157,939,305

 

BNA

 

$

90,390,147

 

$

126,596,712

 

BKT

 

$

118,637,113

 

$

95,553,053

 

BHD

 

$

429,608

 

$

3,971,296

 









For the year ended August 31, 2009, purchases and sales attributable to mortgage dollar rolls were as follows:

 

 

 

 

 

 

 

 







 

 

Purchases

 

Sales

 









BHK

 

$

497,080,908

 

$

499,129,138

 

BNA

 

$

389,903,416

 

$

404,738,316

 

BKT

 

$

2,818,349,172

 

$

3,130,769,403

 









Transactions in options written for the year ended August 31, 2009 were as follows:

 

 

 

 

 

 

 

 







BHK

 

Contracts*

 

Premiums
Received

 







Outstanding call options written, beginning of year

 

171

 

 

$

2,895,912

 

Options written

 

146

 

 

 

6,628,815

 

Options exercised

 

(118

)

 

 

(643,853

)

Options closed

 

(73

)

 

 

(3,524,845

)

 

 







Outstanding call options written, end of year

 

126

 

 

$

5,356,030

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 

 

 

 

 

 









BHK

 

Contracts*

 

Premiums
Received

 









Outstanding put options written, beginning of year

 

90

 

 

$

2,828,173

 

Options written

 

320

 

 

 

6,413,126

 

Options expired

 

(37

)

 

 

(576,113

)

Options exercised

 

(6

)

 

 

(1,764

)

Options closed

 

(238

)

 

 

(3,158,902

)

 

 







Outstanding put options written, end of year

 

129

 

 

$

5,504,520

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 

 

 

 

 

 









HYV

 

Contracts*

 

Premiums
Received

 









Outstanding call options written, beginning of year

 

 

 

 

 

Options written

 

12

 

 

$

178,250

 

Options expired

 

(12

)

 

 

(178,250

)

Options closed

 

 

 

 

 

 

 







Outstanding call options written, end of year

 

 

 

 

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 

 

 

 

 

 









HYV

 

Contracts*

 

Premiums
Received

 









Outstanding put options written, beginning of year

 

 

 

 

 

Options written

 

12

 

 

$

396,750

 

Options expired

 

(12

)

 

 

(396,750

)

Options closed

 

 

 

 

 

 

 







Outstanding put options written, end of year

 

 

 

 

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 

 

 

 

 

 









HYT

 

Contracts*

 

Premiums
Received

 









Outstanding call options written, beginning of year

 

 

 

 

 

Options written

 

12

 

 

$

189,875

 

Options expired

 

(12

)

 

 

(189,875

)

Options closed

 

 

 

 

 

 

 







Outstanding call options written, end of year

 

 

 

 

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 

 

 

 

 

 









HYT

 

Contracts*

 

Premiums
Received

 









Outstanding put options written, beginning of year

 

 

 

 

 

Options written

 

12

 

 

$

422,625

 

Options expired

 

(12

)

 

 

(422,625

)

Options closed

 

 

 

 

 

 

 







Outstanding put options written, end of year

 

 

 

 

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 

 

 

 

 

 









BHY

 

Contracts*

 

Premiums
Received

 









Outstanding call options written, beginning of year

 

 

 

 

 

Options written

 

1

 

 

$

19,375

 

Options expired

 

(1

)

 

$

(19,375

)

Options closed

 

 

 

 

 

 

 







Outstanding call options written, end of year

 

 

 

 

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 

 

 

 

 

 









BHY

 

Contracts*

 

Premiums
Received

 







Outstanding put options written, beginning of year

 

 

 

 

 

Options written

 

1

 

 

$

43,125

 

Options expired

 

(1

)

 

$

(43,125

)

Options closed

 

 

 

 

 

 

 







Outstanding put options written, end of year

 

 

 

 

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 




100

ANNUAL REPORT

AUGUST 31, 2009




 


 

Notes to Financial Statements (continued)


 

 

 

 

 

 

 

 









BNA

 

Contracts*

 

Premiums
Received

 









Outstanding call options written, beginning of year

 

176

 

 

$

3,261,524

 

Options written

 

37

 

 

 

1,953,760

 

Options expired

 

(100

)

 

 

(160,853

)

Options exercised

 

(18

)

 

 

(494,200

)

Options closed

 

(22

)

 

 

(1,071,574

)

 

 







Outstanding call options written, end of year

 

73

 

 

$

3,488,657

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 

 

 

 

 

 









BNA

 

Contracts*

 

Premiums
Received

 









Outstanding put options written, beginning of year

 

96

 

 

$

3,196,173

 

Options written

 

141

 

 

 

1,725,220

 

Options expired

 

(41

)

 

 

(590,582

)

Options closed

 

(120

)

 

 

(677,153

)

 

 







Outstanding put options written, end of year

 

76

 

 

$

3,653,658

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 

 

 

 

 

 









BKT

 

Contracts*

 

Premiums
Received

 









Outstanding call options written, beginning of year

 

58

 

 

$

2,182,977

 

Options written

 

12

 

 

 

547,925

 

Options expired

 

(30

)

 

 

(990,000

)

Options closed

 

 

 

 

 

 

 







Outstanding call options written, end of year

 

40

 

 

$

1,740,902

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 

 

 

 

 

 









BKT

 

Contracts*

 

Premiums
Received

 









Outstanding put options written, beginning of year

 

58

 

 

$

2,182,982

 

Options written

 

12

 

 

 

547,925

 

Options expired

 

(30

)

 

 

(990,000

)

Options closed

 

 

 

 

 

 

 







Outstanding put options written, end of year

 

40

 

 

$

1,740,907

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 

 

 

 

 

 









BHD

 

Contracts*

 

Premiums
Received

 









Outstanding call options written, beginning of year

 

 

 

 

 

Options written

 

8

 

 

$

77,409

 

Options expired

 

 

 

 

 

Options closed

 

 

 

 

 

 

 







Outstanding call options written, end of year

 

8

 

 

$

77,409

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.


 

 

 

 

 

 

 

 









BHD

 

Contracts*

 

Premiums
Received

 









Outstanding put options written, beginning of year

 

 

 

 

 

Options written

 

8

 

 

$

83,174

 

Options expired

 

 

 

 

 

Options closed

 

 

 

 

 

 

 







Outstanding put options written, end of year

 

8

 

 

$

83,174

 

 

 








 

 

*

Some contracts represent a notional amount of $1 million.

5. Commitments:

Certain Trusts may invest in floating rate loans. In connection with these investments, the Trust may also enter into unfunded corporate loans (“commitments”). These commitments may obligate the Trust to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Trust earns 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, 2009, there were no commitments outstanding.

6. 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 (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 credit risk, the Trusts may be exposed to counterparty risk, or the risk that an entity with which the Trusts have unsettled or open transactions may default. Financial assets, which potentially expose the Trusts to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Trusts’ exposure to credit and counterparty risks with respect to those financial assets is approximated by their value recorded in the Trusts’ Statements of Assets and Liabilities.

7. 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.

Shares issued and outstanding for the year ended August 31, 2009 increased by the following amounts as a result of dividend reinvestments:

 

 

 

 

 






BHK

 

 

4,253

 

BHY

 

 

8,666

 

BNA

 

 

6,677

 






Shares remained constant for all other Trusts for the periods ended August 31, 2009 and August 31, 2008 (period November 1, 2007 to August 31, 2008 for BHK, BHY, BNA, BKT and BHD and period January 1, 2008 to August 31, 2008 for HIS) and the year ended October 31, 2007 for BHK, BNA, BKT and BHD and the year ended December 31, 2007 for HIS.

8. Borrowings:

On May 16, 2008, HYV, HYT, HIS and BHY renewed their revolving credit and security Agreements (“Citicorp Agreement”) pursuant to a commercial paper asset securitization program with Citicorp North America, Inc. (“Citicorp”), as Agent, certain secondary backstop lenders and certain asset securitization conduits, as lenders (the “Lenders”). The agreement was renewed for one year and at the time of renewal had maximum limits as follows:

 

 

 

 

 





 

 

Maximum
Limit

 






HYV

 

$

212,000,000

 

HYT

 

$

227,000,000

 

HIS

 

$

80,000,000

 

BHY

 

$

32,000,000

 






Under the Citicorp Agreement, the conduits funded advances to each Trust through the issuance of highly rated commercial paper. Each Trust had

 

 

 


ANNUAL REPORT

AUGUST 31, 2009

101




 


 

Notes to Financial Statements (continued)

granted a security interest in substantially all of its assets to, and in favor of, the Lenders as security for its obligations to the Lenders. The interest rate on each Trust’s borrowings was based on the interest rate carried by the commercial paper plus a program fee. In addition, each Trust paid a liquidity fee to the secondary backstop lenders and the agent. Under the Citicorp Agreement, the Trusts were subject to certain conditions and covenants, which included among other things limitations on asset declines over prescribed time periods. As a result of the decline in net assets attributable to market conditions, certain terms of the facility were renegotiated effective December 5, 2008, which included waivers of certain financial covenants by the Lenders, an increase in program and liquidity fees under the facility and a reduction of the maximum limits.

On March 5, 2009, HYV, HYT, HIS and BHY terminated their revolving credit agreement with Citicorp and 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 SSB Agreement has the same maximum limits as the renegotiated limits under the Citigroup Agreement and are as follows:

 

 

 

 

 


 

 

Maximum
Limit

 






HYV

 

$

127,000,000

 

HYT

 

$

135,000,000

 

HIS

 

$

41,000,000

 

BHY

 

$

16,000,000

 






The Trusts have granted a security interest in substantially all of its assets to SSB.

Advances are made by SSB to the Trusts, at the Trusts’ option (a) the higher of 1.0% above the Fed Effective Rate or 1.0% above the Overnight LIBOR Rate and (b) 1.0% above 7-day, 30-day, or 60-day LIBOR Rate. 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, 2009 are shown in the Statements of Assets and Liabilities as loan payable.

The Trusts may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

On August 28, 2009, 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”). Each Trust 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 included in loans payable on the Statements of Assets and Liabilities.

The following is a summary of outstanding TALF loans and related information as of August 31, 2009:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
















 

 

Number
of Loans

 

Aggregate
Amount
of Loans

 

Maturity
Date(s)

 

Interest
Rates

 

Value of
Eligible
Securities

 
















BHK

 

1

 

$

11,850,234

 

8/28/14

 

3.87

%

 

$

13,982,577

 

BNA

 

1

 

$

11,850,234

 

8/28/14

 

3.87

%

 

$

13,982,577

 

BKT

 

1

 

$

11,814,907

 

8/28/14

 

3.87

%

 

$

13,881,696

 
















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. Each Trust 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 each Trust and is reflected in borrowing costs in the Statements of Operations. Each Trust also pays a financing fee equal to the 5-year LIBOR swap rate plus 1.00% on the outstanding loan amount payable monthly, which is reflected as 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 Trust.

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. In fair valuing TALF loans, the Trusts consider various factors such as observable market transactions, if available, changes in the value of Eligible Securities, interest rate movements, and the potential likelihood and timing of loan repayments. Any change in unrealized gain or loss associated with fair valuing TALF loans will be reflected in the Statements of Operations. As of August 31, 2009, the fair value of each Trust’s TALF loan obligation was determined to be equal to its face value and as a result there were no unrealized gains or losses recorded by the Trusts.

For the year ended August 31, 2009, the daily weighted average interest rates for funds with reverse repurchase agreements, treasury rolls and TALF loan were as follows:

 

 

 

 

 





 

 

Daily Weighted
Average
Interest Rate

 






BHK

 

0.92

%

 

BNA

 

0.63

%

 

BKT

 

1.35

%

 







 

 

 




102

ANNUAL REPORT

AUGUST 31, 2009



 


 

Notes to Financial Statements (continued)

For the year ended August 31, 2009, the daily weighted average interest rates for funds with loans under the revolving credit agreements were as follows:

 

 

 

 

 






 

 

Daily Weighted
Average
Interest Rate

 






HYV

 

2.86

%

 

HYT

 

2.87

%

 

HIS

 

2.45

%

 

BHY

 

2.74

%

 






For the year ended August 31, 2009, the daily weighted average interest rates for funds with reverse repurchase agreements were as follows:

 

 

 

 

 





 

 

Daily Weighted
Average
Interest Rate

 





BHD

 

0.74

%

 






9. Income Tax Information:

Reclassifications: Accounting principles generally accepted in the United States of America require 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, 2009 attributable to accounting for swap agreements, amortization methods on fixed income securities, foreign currency transactions, securities in default, the expiration of capital loss carryforwards, the classification of investments and other differences between financial reporting and tax accounting were reclassified to the following accounts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



















 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 



























Paid-in capital

 

 

 

 

 

 

 

$

(55,878,284

)

$

(15,159,280

)

 

 

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

$

6,012,049

 

$

429,631

 

$

486,249

 

$

118,043

 

$

21,312

 

$

8,018,317

 

$

(371,146

)

$

(21,444

)

Accumulated net realized loss

 

$

(6,012,049

)

$

(429,631

)

$

(486,249

)

$

55,760,241

 

$

15,137,968

 

$

(8,018,317

)

$

371,146

 

$

21,444

 



























The tax character of distributions paid during the periods ended August 31, 2009 and 2008 and October 31, 2007 (December 31, 2007 for High Income) was as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



















 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 



























Ordinary income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

8/31/2008

 

 

16,387,174

 

 

39,960,291

 

 

42,767,302

 

 

6,958,699

 

 

3,273,618

 

 

17,707,143

 

 

15,793,806

 

 

5,434,969

 

12/31/2007

 

 

 

 

 

 

 

 

12,923,299

 

 

 

 

 

 

 

 

 

10/31/2007

 

 

11,064,934

 

 

 

 

 

 

 

 

3,927,807

 

 

20,862,233

 

 

18,808,452

 

 

6,521,963

 

Long-term capital gains

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/2008

 

 

 

 

222,633

 

 

 

 

 

 

 

 

 

 

 

 

 

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8/31/2009

 

 

 

 

 

 

 

 

 

 

118,809

 

 

 

 

 

 

 

8/31/2008

 

 

499,560

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10/31/2007

 

 

5,227,386

 

 

 

 

 

 

 

 

 

 

1,874,570

 

 

4,978,175

 

 

 



























Total distributions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

























8/31/2008

 

$

16,886,734

 

$

40,182,924

 

$

42,767,302

 

$

6,958,699

 

$

3,273,618

 

$

17,707,143

 

$

15,793,806

 

$

5,434,969

 

 

 

























12/31/2007

 

 

 

 

 

 

 

$

12,923,299

 

 

 

 

 

 

 

 

 

 

 

























10/31/2007

 

$

16,292,320

 

 

 

 

 

 

 

$

3,927,807

 

$

22,736,803

 

$

23,786,627

 

$

6,521,963

 

 

 

























As of August 31, 2009, the tax components of accumulated net losses were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



















 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 



























Undistributed ordinary income

 

$

8,964,070

 

$

1,610,351

 

$

2,596,683

 

$

959,496

 

 

 

$

9,342,828

 

$

5,956,303

 

$

504,246

 

Capital loss carryforwards

 

 

(29,711,867

)

 

(38,182,223

)

 

(44,797,207

)

 

(154,396,368

)

$

(21,041,293

)

 

(26,898,132

)

 

(28,688,966

)

 

(3,413,161

)

Net unrealized losses*

 

 

(18,399,942

)

 

(113,203,410

)

 

(121,406,428

)

 

(32,996,655

)

 

(13,763,452

)

 

(22,890,293

)

 

(1,064,809

)

 

(9,960,252

)

 

 

























Total accumulated net losses

 

$

(39,147,739

)

$

(149,775,282

)

$

(163,606,952

)

$

(186,433,527

)

$

(34,804,745

)

$

(40,445,597

)

$

(23,797,472

)

$

(12,869,167

)

 

 


























 

 

*

The differences between book-basis and tax-basis net unrealized losses were attributable primarily to the tax deferral of losses on wash sales, the difference between book and tax amortization methods for premiums and discounts on fixed income securities, book/tax differences in the accrual of income on securities in default, the realization for tax purposes of unrealized gains/(losses) on certain futures and foreign currency 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 classification of investments, the deferral of compensation to Trustees and other book/tax differences.


 

 

 


ANNUAL REPORT

AUGUST 31, 2009

103



 


 

Notes to Financial Statements (concluded)

As of August 31, 2009, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



























Expires

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 



























2010

 

 

 

 

 

 

 

$

102,576,339

 

$

8,468,860

 

 

 

 

 

 

 

2011

 

 

 

 

 

 

 

 

28,467,396

 

 

4,771,417

 

 

 

 

 

 

 

2012

 

 

 

 

 

 

 

 

2,339,279

 

 

316,410

 

 

 

 

 

 

 

2014

 

$

4,880,373

 

 

 

$

2,291,195

 

 

7,043,976

 

 

2,060,533

 

$

2,451,626

 

 

 

$

447,113

 

2015

 

 

 

 

 

 

564,489

 

 

 

 

2,467,772

 

 

2,342,921

 

$

8,384,779

 

 

 

2016

 

 

17,415,494

 

$

950,802

 

 

1,125,717

 

 

10,829,322

 

 

2,039,760

 

 

14,734,497

 

 

20,304,187

 

 

2,036,040

 

2017

 

 

7,416,000

 

 

37,231,421

 

 

40,815,806

 

 

3,140,056

 

 

916,541

 

 

7,369,088

 

 

 

 

930,008

 

 

 

























Total

 

$

29,711,867

 

$

38,182,223

 

$

44,797,207

 

$

154,396,368

 

$

21,041,293

 

$

26,898,132

 

$

28,688,966

 

$

3,413,161

 

 

 

























10. Subsequent Events:

The Trusts paid a net investment income dividend on September 30, 2009 to shareholders of record on September 15, 2009 in the following amounts:

 

 

 

 





BHK

 

$0.0620

 

HYV

 

$0.0875

 

HYT

 

$0.0875

 

HIS

 

$0.0132

 

BHY

 

$0.0435

 

BNA

 

$0.0510

 

BKT

 

$0.0240

 

BHD

 

$0.0695

 





Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through October 30, 2009, the date the financial statements were issued.

 

 

 


104

ANNUAL REPORT

AUGUST 31, 2009




 


 

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 High Yield Trust and BlackRock Income Opportunity Trust, Inc., including the schedules of investments, as of August 31, 2009, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for the year then ended, for the period November 1, 2007 to August 31, 2008, and for the year ended October 31, 2007, and the financial highlights for the year ended August 31, 2009, for the period November 1, 2007 to August 31, 2008, and for each of the four years in the period ended October 31, 2007. We have also audited the accompanying statements of assets and liabilities of BlackRock Corporate High Yield Fund V, Inc. and BlackRock Corporate High Yield Fund VI, Inc., including the schedules of investments, as of August 31, 2009, 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 five years in the period then ended. We have also audited the accompanying statement of assets and liabilities of BlackRock High Income Shares, including the schedule of investments, as of August 31, 2009, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for the year then ended, for the period January 1, 2008 to August 31, 2008, and for the year ended December 31, 2007, and the financial highlights for the year ended August 31, 2009, for the period January 1, 2008 to August 31, 2008, and for each of the three years in the period ended December 31, 2007. 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, 2009, and the related statements of operations for the year then ended, the statements of changes in net assets for the year then ended, for the period November 1, 2007 to August 31, 2008, and for the year ended October 31, 2007, and the financial highlights for the year ended August 31, 2009, for the period November 1, 2007 to August 31, 2008, and for each of the four years in the period ended October 31, 2007. 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. The financial highlights of BlackRock High Income Shares for the year ended December 31, 2004 were audited by other auditors whose report, dated February 22, 2005, expressed an unqualified opinion on those financial highlights.

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, 2009, by correspondence with the custodian and financial intermediaries; where replies were not received from financial intermediaries, 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 High Yield Trust and BlackRock Income Opportunity Trust, Inc., the results of their operations and their cash flows for the year then ended, the changes in their net assets for the year then ended, for the period November 1, 2007 to August 31, 2008, and for the year ended October 31, 2007, and the financial highlights for the year ended August 31, 2009, for the period November 1, 2007 to August 31, 2008, and for each of the four years in the period ended October 31, 2007, 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 Corporate High Yield Fund V, Inc. and BlackRock Corporate High Yield Fund VI, Inc., the results of their operations and their 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 five years in the period then ended, 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 High Income Shares, the results of its operations and its cash flows for the year then ended, the changes in its net assets for the year then ended, for the period January 1, 2008 to August 31, 2008, and for the year ended December 31, 2007, and the financial highlights for the year ended August 31, 2009, for the period January 1, 2008 to August 31, 2008, and for each of the three years in the period ended December 31, 2007, 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 positions 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 the year then ended, for the period November 1, 2007 to August 31, 2008, and for the year ended October 31, 2007, and the financial highlights for the year ended August 31, 2009, for the period November 1, 2007 to August 31, 2008, and for each of the four years in the period ended October 31, 2007, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP
Princeton, New Jersey
October 30, 2009

 

 

 


ANNUAL REPORT

AUGUST 31, 2009

105




 


 

Important Tax Information (Unaudited)

The following information is provided with respect to the ordinary income distributions paid by the Trusts for the taxable year ended August 31, 2009.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 























 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 























Federal Obligation Interest1

 

2.88%

 

 

 

 

 

 

 

1.69

%

 

4.41

%

 

 

Interest-Related Dividends for Non-U.S. Residents2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 2008

 

60.34%

 

82.41%

 

89.88

%

 

86.72%

 

75.40

%

 

89.07

%

 

78.67

%

 

80.73%

 

October 2008

 

84.11%

 

86.77%

 

91.71

%

 

89.33%

 

75.40

%

 

95.53

%

 

78.67

%

 

78.79%

 

November 2008

 

98.31%

 

92.15%

 

100.00

%

 

97.47%

 

75.40

%

 

98.41

%

 

78.67

%

 

78.79%

 

December 2008

 

98.31%

 

92.15%

 

100.00

%

 

97.47%

 

75.40

%

 

98.41

%

 

78.67

%

 

78.79%

 

January 2009

 

98.31%

 

92.15%

 

100.00

%

 

97.47%

 

75.40

%

 

98.41

%

 

87.02

%

 

78.79%

 

February 2009

 

53.96%

 

83.13%

 

79.72

%

 

76.61%

 

100.00

%

 

50.09

%

 

100.00

%

 

88.99%

 

March 2009

 

53.96%

 

83.13%

 

79.72

%

 

76.61%

 

100.00

%

 

50.09

%

 

100.00

%

 

88.99%

 

April 2009

 

53.96%

 

83.13%

 

79.72

%

 

76.61%

 

100.00

%

 

50.09

%

 

100.00

%

 

88.99%

 

May 2009

 

53.96%

 

83.13%

 

79.72

%

 

76.61%

 

100.00

%

 

50.09

%

 

100.00

%

 

88.99%

 

June 2009

 

53.96%

 

83.13%

 

79.72

%

 

76.61%

 

100.00

%

 

50.09

%

 

100.00

%

 

88.99%

 

July 2009

 

53.96%

 

83.13%

 

79.72

%

 

76.61%

 

100.00

%

 

50.09

%

 

100.00

%

 

88.99%

 

August 2009

 

53.96%

 

83.13%

 

79.72

%

 

76.61%

 

100.00

%

 

50.09

%

 

100.00

%

 

88.99%

 
























 

 

 

 

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.


 

 

 


106

ANNUAL REPORT

AUGUST 31, 2009



 


 

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

The Board of Directors or 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 (“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 14, 2009 and May 28 – 29, 2009 to consider the approval of its respective 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 its respective Trust, the Manager and BlackRock Financial Management, Inc. (the “Sub-Advisor”), as applicable. 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.” Unless otherwise indicated, references to actions taken by the “Board” or the “Boards” shall mean each Board acting independently with respect to its respective Trust.

Activities and Composition of the Boards

Each Board consists of twelve individuals, ten of whom are not “interested persons” of the Trust as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members of each Trust are responsible for the oversight of the operations of such 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 each Board is an Independent Board Member. Each Board has 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 has one interested Board Member) and is chaired by an Independent Board Member. In addition, each Board has established an Ad Hoc Committee on Auction Market Preferred Shares.

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of the Agreements on an annual basis. In connection with this process, each Board assessed, among other things, the nature, scope and quality of the services provided to its respective Trust 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.

Throughout the year, the Boards, acting directly and through their committees, consider at each of their meetings factors that are relevant to their annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Trusts and their shareholders. Among the matters the Boards 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 and portfolio managers’ analysis of the reasons for any outperformance or underperformance against its peers; (b) fees, including advisory fees, administration fees with respect to BHY, BNA and BKT, and other amounts paid to BlackRock and its affiliates by the Trusts for services such as call center and fund accounting; (c) the Trusts’ operating expenses; (d) the resources devoted to and compliance reports relating to the Trusts’ investment objective, policies and restrictions; (e) the Trusts’ compliance with their 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 the Trusts’ valuation and liquidity procedures; and (k) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April 14, 2009 meeting, each Board requested and received materials specifically relating to the Agreements. Each Board is engaged in an ongoing process with BlackRock to continuously 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, as well as the performance of such other clients; (d) the impact of economies of scale; (e) a summary of aggregate amounts paid by each Trust to BlackRock; and (f) an internal comparison of management fees classified by Lipper, if applicable.

At an in-person meeting held on April 14, 2009, each Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the April 14, 2009 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 28 – 29, 2009 Board meeting.

 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2009

107




 


 

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

At an in-person meeting held on May 28 – 29, 2009, each Trust’s Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and such Trust and the Sub-Advisory Agreement between such Trust, the Manager and the Sub-Advisor, as applicable, each for a one-year term ending June 30, 2010. The Boards considered all factors they believed relevant with respect to the Trusts, including, among other factors: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Trusts and BlackRock portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and certain affiliates from the relationship with the Trusts; (d) economies of scale; and (e) other factors.

Each Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of its respective Trust’s portfolio holdings, direct and indirect benefits to BlackRock and its affiliates and significant shareholders from their relationship with such Trust and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s 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: Each Board, including its Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of its respective Trust. Throughout the year, each Board compared its respective Trust’s performance to the performance of a comparable group of closed-end funds, and the performance of at least one relevant benchmark, if any. The Boards met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. Each Board also reviewed the materials provided by its respective Trust’s portfolio management team discussing such Trust’s performance and such Trust’s investment objective, strategies and outlook.

Each Board considered, among other factors, the number, education and experience of BlackRock’s investment personnel generally and its respective 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 and BlackRock’s approach to training and retaining portfolio managers and other research, advisory and management personnel. Each Board also reviewed a general description of BlackRock’s compensation structure with respect to its respective Trust’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent.

In addition to advisory services, each Board considered the quality of the administrative and non-investment advisory services provided to its respective Trust. BlackRock and its affiliates and significant shareholders provide the Trusts with certain administrative and other services (in addition to any such services provided to the Trusts by third parties) and officers and other personnel as are necessary for the operations of the Trusts. In addition to investment advisory services, BlackRock and its affiliates provide the Trusts 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 the Trusts; (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 the Trusts, 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: Each Board, including its Independent Board Members, also reviewed and considered the performance history of its respective Trust. In preparation for the April 14, 2009 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 its review, each Board received and reviewed information regarding the investment performance of its respective Trust as compared to a representative group of similar funds as determined by Lipper and to all funds in such Trusts applicable Lipper category. Each Board was provided with a description of the methodology used by Lipper to select peer funds. Each Board regularly reviews the performance of its respective Trust throughout the year.

The Board of each of BHK, BHY, BNA and BKT noted that, in general, BHK, BHY, BNA and BKT performed better than their respective Peers in that the performance of each of BHK, BHY, BNA and BKT was at or above the median of their respective Lipper performance universe in each of the one-, three-and five-year periods reported.

The Board of each of HYV and HIS noted that, in general, HYV and HIS performed better than their respective Peers in that the performance of each of HYV and HIS was at or above the median of their respective Lipper performance universe in two of the one-, three- and five-year periods reported.

 

 

 




108

ANNUAL REPORT

AUGUST 31, 2009




 


 

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

The Board of HYT noted that HYT performed below the median of its Lipper performance universe in the one-, three- and five-year periods reported. The Board and BlackRock reviewed the reasons for the HYT’s underperformance during these periods compared with its Peers. The Board was informed that, among other things, exposure to senior bank loans negatively impacted returns. Additionally, HYT’s underweight to BB-rated credits and overweight to CCC-rated credits subtracted from returns as higher quality below investment-grade bonds strongly outperformed their lower quality counterparts.

The Board of BHD noted that BHD performed below the median of its Lipper performance universe in the one-, three- and five-year periods reported. The Board and BlackRock reviewed the reasons for BHD’s underperformance during these periods compared with its Peers. The Board was informed that, among other things, the predominantly high yield strategy of BHD detracted from BHD’s performance relative to its Peers.

For HYT and BHD, the Board of each respective Trust and BlackRock discussed BlackRock’s commitment to providing the resources necessary to assist the portfolio managers and to improve each such Trust’s performance.

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: Each Board, including its Independent Board Members, reviewed its respective Trust’s contractual advisory fee rates compared with the other funds in its respective Lipper category. Each Board also compared its respective Trust’s total expenses, as well as actual management fees, to those of other comparable funds. Each Board 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 the Trusts. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Trusts. The Boards reviewed BlackRock’s profitability with respect to the Trusts and other funds the Boards currently oversee for the year ended December 31, 2008 compared to available aggregate profitability data provided for the year ended December 31, 2007. 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 by the Manager, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.

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 is available, the Boards considered BlackRock’s overall operating margin compared to the operating margin for leading investment management firms whose operations include advising closed-end funds, among other product types. The comparison indicated 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, which concluded 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 the Trusts by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Trusts 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 the Trusts. 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 Board of each of BHK, HYV, HYT, HIS, BKT and BHD noted that its respective Trust paid contractual management fees, which do not take into account any expense reimbursement or fee waivers, lower than or equal to the median contractual management fees paid by such Trust’s Peers.

The Board of BHY noted that, although BHY paid contractual management fees higher than the median of its Peers, its total expenses, including investment-related expenses (e.g., interest expense related to such Trust’s use of leverage) and taxes, were lower than the median of its Peers.

The Board of BNA noted that, although BNA paid contractual management fees higher than the median of its Peers, its actual management fees were lower than or equal to the median of its Peers.

D. Economies of Scale: Each Board, including its Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its respective Trust increase and whether there should be changes in the advisory fee rate or structure in order to enable such Trust to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the assets of such Trust. The Boards considered that the funds in the BlackRock fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each fund to incur lower expenses than it would otherwise as a stand-alone entity. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations.

 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2009

109




 


 

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)

The Board 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. Information provided by Lipper revealed that only one closed-end fund complex used a complex level breakpoint structure. The Board noted that only one closed-end fund in the Fund Complex, HIS, has breakpoints in its fee structure.

E. Other Factors: The Boards also took into account other ancillary or “fallout” benefits that BlackRock or its affiliates and significant shareholders may derive from their relationship 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 the Trusts, including for administrative and distribution services. The Boards also noted that BlackRock may use third party research obtained by soft dollars generated by certain mutual fund transactions to assist itself in managing all or a number of its other client accounts.

In connection with their 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.

Conclusion

Each Board, including its Independent Board Members, unanimously approved the continuation of the Advisory Agreement between its respective Trust and the Manager for a one-year term ending June 30, 2010 and the Sub-Advisory Agreement between such Trust, the Manager and Sub-Advisor, where applicable, for a one-year term ending June 30, 2010. Based upon its evaluation of all these factors in their totality, each Board, including its Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of its respective Trust and its shareholders. In arriving at a decision to approve the Agreements, each Board 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 reflects the results of several years of review by such Trust’s 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.

 

 

 




110

ANNUAL REPORT

AUGUST 31, 2009




 


 

Dividend Reinvestment Plans

 


For BHK, HIS, BHY, BNA, BKT and BHD


Pursuant to each Trust’s respective Dividend Reinvestment Plan (the “Plan”), common shareholders of HIS, BNA and BKT may elect, while shareholders of BHK, BHY and BHD 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’ account, depending upon the circumstances described below, either (i) through receipt of unissued but authorized shares from the Trust (“newly issued shares”) or (ii) by 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 being referred to herein as “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 being referred to herein as “market discount”), the Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases.

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 Trust reserves the right to amend the Plan to include a service charge payable by the participants. Participants who request a sale of shares through the Plan Agent 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 at P.O. Box 43078, Providence, Rl 02940-3078 or by calling (800) 699-1BFM. All overnight correspondence should be directed to the Plan Agent at 250 Royall Street, Canton, MA 02021.

 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2009

111




 


 

Automatic Dividend Reinvestment Plans


For HYV and HYT


How the Plan Works — The Trusts offer a Dividend Reinvestment Plan (the “Plan”) under which income and capital gains dividends paid by the Trusts are automatically reinvested in additional shares of Common Stock of the Trusts. The Plan is administered on behalf of the shareholders by Computer-share Trust Company, N.A. (the “Plan Agent”). Under the Plan, whenever the Trust declares a dividend, participants in the Plan will receive the equivalent in shares of Common Stock of the Trust. The Plan Agent will acquire the shares for the participant’s account either (i) through receipt of additional unissued but authorized shares of the Trust (“newly issued shares”) or (ii) by purchase of outstanding shares of Common Stock on the open market on the New York Stock Exchange or elsewhere. If, on the dividend payment date, the Trust’s net asset value per share is equal to or less than the market price per share plus estimated brokerage commissions (a condition often referred to as a “market premium”), the Plan Agent will invest the dividend amount in newly issued shares. If the Trust’s net asset value per share is greater than the market price per share (a condition often referred to as a “market discount”), the Plan Agent will invest the dividend amount by purchasing on the open market additional shares. If the Plan Agent is 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 Agent will invest any uninvested portion in newly issued shares. The shares acquired are credited to each shareholder’s account. The amount credited is determined by dividing the dollar amount of the dividend by either (i) when the shares are newly issued, the net asset value per share on the date the shares are issued or (ii) when shares are purchased in the open market, the average purchase price per share.

Participation in the Plan — Participation in the Plan is automatic, that is, a shareholder is automatically enrolled in the Plan when he or she purchases Common Stock of the Fund unless the shareholder specifically elects not to participate in the Plan. Shareholders who elect not to participate will receive all dividend distributions in cash. Shareholders who do not wish to participate in the Plan must advise the Plan Agent in writing (at the address set forth below) that they elect not to participate in the Plan. Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by writing to the Plan Agent.

Benefits of the Plan — The Plan provides an easy, convenient way for shareholders to make additional, regular investments in the Trust. The Plan promotes a long-term strategy of investing at a lower cost. All shares acquired pursuant to the Plan receive voting rights. In addition, if the market price plus commissions of the Trust’s shares is above the net asset value, participants in the Plan will receive shares of the Trust for less than they could otherwise purchase them and with a cash value greater than the value of any cash distribution they would have received. However, there may not be enough shares available in the market to make distributions in shares at prices below the net asset value. Also, since the Trust does not redeem shares, the price on resale may be more or less than the net asset value.

Plan Fees — There are no enrollment fees or brokerage fees for participating in the Plan. The Plan Agent’s service fees for handling the reinvestment of distributions are paid for by the Trusts. However, brokerage commissions may be incurred when the Trusts purchase shares on the open market and shareholders will pay a pro rata share of any such commissions.

Tax Implications — The automatic reinvestment of dividends and distributions will not relieve participants of any federal, state or local income tax that may be payable (or required to be withheld) on such dividends. Therefore, income and capital gains may still be realized even though shareholders do not receive cash. Participation in the Plan generally will not affect the tax-exempt status of exempt interest dividends paid by the Trusts. If, when the Trusts’ shares are trading at a market premium, the Trusts issue shares pursuant to the Plan that have a greater fair market value than the amount of cash reinvested, it is possible that all or a portion of the discount from the market value (which may not exceed 5% of the fair market value of the Trusts’ shares) could be viewed as a taxable distribution. If the discount is viewed as a taxable distribution, it is also possible that the taxable character of this discount would be allocable to all the shareholders, including shareholders who do not participate in the Plan. Thus, shareholders who do not participate in the Plan might be required to report as ordinary income a portion of their distributions equal to their allocable share of the discount.

Contact Information — All correspondence concerning the Plan should be directed to the Plan Agent at P.O. Box 43078, Providence, Rl 02940-3078 or by calling (800) 699-1BFM. All overnight correspondence should be directed to the Plan Agent at 250 Royall Street, Canton, MA 02021.

 

 

 




112

ANNUAL REPORT

AUGUST 31, 2009




 


 

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
40 East 52nd Street
New York, NY 10022
1946

 

Chairman of the Board and Trustee

 

Since 1994

 

Trustee, Aircraft Finance Trust since 1999; 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.

 

104 RICs consisting of
101 Portfolios

 

Arch Chemical (chemical and allied products)












Karen P. Robards
40 East 52nd Street
New York, NY 10022
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 Enable Medical Corp. from 1996 to 2005.

 

104 RICs consisting of
101 Portfolios

 

AtriCure, Inc. (medical devices); Care Investment Trust, Inc. (health care real estate investment trust)












G. Nicholas
Beckwith, III
40 East 52nd Street
New York, NY 10022
1945

 

Trustee

 

Since 2007

 

Chairman and Chief Executive Officer, Arch Street Management, LLC (Beckwith Family Foundation) and various Beckwith property companies since 2005; Chairman of the Board of Directors, University of Pittsburgh Medical Center since 2002; Board of Directors, Shady Side Hospital Foundation since 1977; Board of Directors, Beckwith Institute for Innovation In Patient Care since 1991; Member, Advisory Council on Biology and Medicine, Brown University since 2002; Trustee, Claude Worthington Benedum Foundation (charitable foundation) since 1989; Board of Trustees, Chatham University since 1981; Board of Trustees, University of Pittsburgh since 2002; Emeritus Trustee, Shady Side Academy since 1977; Chairman and Manager, Penn West Industrial Trucks LLC (sales, rental and servicing of material handling equipment) from 2005 to 2007; Chairman, President and Chief Executive Officer, Beckwith Machinery Company (sales, rental and servicing of construction and equipment) from 1985 to 2005; Board of Directors, National Retail Properties (REIT) from 2006 to 2007.

 

104 RICs consisting of
101 Portfolios

 

None












Kent Dixon
40 East 52nd Street
New York, NY 10022
1937

 

Trustee and Member of the Audit Committee

 

Since 1988

 

Consultant/Investor since 1988.

 

104 RICs consisting of
101 Portfolios

 

None












Frank J. Fabozzi
40 East 52nd Street
New York, NY 10022
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.

 

104 RICs consisting of
101 Portfolios

 

None












Kathleen F. Feldstein
40 East 52nd Street
New York, NY 10022
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. since 2005; 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.

 

104 RICs consisting of
101 Portfolios

 

The McClatchy Company (publishing)












James T. Flynn
40 East 52nd Street
New York, NY 10022
1939

 

Trustee and Member of the Audit Committee

 

Since 2007

 

Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995.

 

104 RICs consisting of
101 Portfolios

 

None












Jerrold B. Harris
40 East 52nd Street
New York, NY 10022
1942

 

Trustee

 

Since 2007

 

Trustee, Ursinus College since 2000; Director, Troemner LLC (scientific equipment) since 2000.

 

104 RICs consisting of
101 Portfolios

 

BlackRock Kelso Capital Corp.













 

 

 

 





 

ANNUAL REPORT

AUGUST 31, 2009

113



 


 

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
40 East 52nd Street
New York, NY 10022
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; Visiting Professor, John F. Kennedy School of Government at Harvard University and the Harvard Business School since 1985 and at the University of Chicago since 1994; Chairman, U.S. Council of Economic Advisers under the President of the United States from 2001 to 2003.

 

104 RICs consisting of
101 Portfolios

 

ADP (data and information services); KKR Financial Corporation (finance); Duke Realty (real estate); Metropolitan Life Insurance Company (insurance); Information Services Group (media/technology)












W. Carl Kester
40 East 52nd Street
New York, NY 10022
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, since 2006; 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.

 

104 RICs consisting of 101 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: G. Nicholas Beckwith, III, 1999; Richard E. Cavanagh, 1994; Kent Dixon, 1988; 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.


 

 

 




114

ANNUAL REPORT

AUGUST 31, 2009




 


 

Officers and Trustees (continued)


 

 

 

 

 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Trusts

 

Length
of Time
Served as
a Trustee

 

Principal Occupation(s) During Past Five Years

 

Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen

 

Public
Directorships












Interested Trustees1


Richard S. Davis
40 East 52nd Street
New York, NY 10022
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; Chairman, SSR Realty from 2000 to 2004.

 

173 RICs consisting of
283 Portfolios

 

None












Henry Gabbay
40 East 52nd Street
New York, NY 10022
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.

 

173 RICs consisting of
283 Portfolios

 

None


 

 

 

 



 

1

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 PNC 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, 2009

115




 


 

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 F. Ackerley
40 East 52nd Street
New York, NY 10022
1962

 

President and Chief Executive Officer

 

Since 2009

 

Managing Director of BlackRock, Inc. since 2000; Vice President of the BlackRock-advised Funds from 2007 to 2009; Chief Operating Officer of BlackRock’s Account Management Group (AMG) since 2009; Chief Operating Officer of BlackRock’s U.S. Retail Group from 2006 to 2009; Head of BlackRock’s Mutual Fund Group from 2000 to 2006.








Brendan Kyne
40 East 52nd Street
New York, NY 10022
1977

 

Vice President

 

Since 2009

 

Director of BlackRock, Inc. since 2008; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009, co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008; Associate of BlackRock, Inc. from 2002 to 2004.








Neal J. Andrews
40 East 52nd Street
New York, NY 10022
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 (U.S.) Inc. from 1992 to 2006.








Jay M. Fife
40 East 52nd Street
New York, NY 10022
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 P. Kindelan
40 East 52nd Street
New York, NY 10022
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; Director and Senior Counsel of BlackRock Advisors, LLC from 2001 to 2004.








Howard B. Surloff
40 East 52nd Street
New York, NY 10022
1965

 

Secretary

 

Since 2007

 

Managing Director and General Counsel of U.S. Funds at BlackRock, Inc. since 2006; General Counsel (U.S.) 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.





 

Investment Advisor

BlackRock Advisors, LLC
Wilmington, DE 19809

 

Sub-Advisor

BlackRock Financial
Management, Inc.
New York, NY 10022

 

Custodian

State Street Bank and
Trust Company
Boston, MA 02101

 

Independent Registered Public Accounting Firm

Deloitte & Touche LLP
Princeton, NJ 08540

 

Transfer Agent

Common Stock:

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

BlackRock Closed-End Funds
c/o BlackRock Advisors, LLC
100 Bellevue Parkway
Wilmington, DE 19809


 

 

 

 

 

 




 

 

 

 

Effective July 31, 2009, Donald C. Burke, President and Chief Executive Officer of the Trusts retired. The Trusts’ Board of Trustees wish Mr. Burke well in his retirement.

 

 

 

 

 

 

 

 

 

Effective August 1, 2009, Anne F. Ackerley became President and Chief Executive Officer of the Trusts, and Brendan Kyne became Vice President of the Trusts.

 

 

 

 




 


 

 

 




116

ANNUAL REPORT

AUGUST 31, 2009



 


 

Additional Information

 


Proxy Results


The Annual Meeting of Shareholders was held on August 26, 2009 for shareholders of record on June 29, 2009 to elect trustee nominees of each Trust:

Approved the Class II Trustees as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 









 

 

Richard S. Davis

 

Frank J. Fabozzi

 

James T. Flynn

 

 

 


 


 



 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 















BHK

 

 

22,195,528

 

 

552,106

 

 

22,195,528

 

 

552,106

 

 

22,244,434

 

 

503,200

 

HIS

 

 

41,705,788

 

 

1,509,216

 

 

41,704,788

 

 

1,510,216

 

 

41,590,728

 

 

1,624,276

 

BHY

 

 

5,676,458

 

 

276,519

 

 

5,676,458

 

 

276,519

 

 

5,672,458

 

 

280,519

 

BNA

 

 

28,398,104

 

 

608,736

 

 

28,398,104

 

 

608,736

 

 

28,427,034

 

 

579,806

 

BKT

 

 

53,113,775

 

 

1,308,158

 

 

53,113,775

 

 

1,308,158

 

 

53,135,649

 

 

1,286,284

 

BHD

 

 

6,195,637

 

 

146,314

 

 

6,195,637

 

 

146,314

 

 

6,173,978

 

 

167,973

 






















 

 

 

 

 

 

 

 

 

 

Karen P. Robards

 

 

 



 

 

Votes For

 

Votes
Withheld

 







BHK

 

 

22,228,617

 

 

519,017

 

HIS

 

 

41,551,907

 

 

1,663,097

 

BHY

 

 

5,672,963

 

 

280,014

 

BNA

 

 

28,358,227

 

 

648,613

 

BKT

 

 

53,117,231

 

 

1,304,702

 

BHD

 

 

6,167,567

 

 

174,384

 









Approved the Trustees as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 









 

 

G. Nicholas Beckwith, III

 

Richard E. Cavanagh

 

Richard S. Davis

 

 

 


 


 



 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 















HYV

 

 

25,328,359

 

 

755,340

 

 

25,348,193

 

 

735,506

 

 

25,345,439

 

 

738,260

 

HYT

 

 

26,744,185

 

 

681,207

 

 

26,758,122

 

 

667,270

 

 

26,784,121

 

 

641,271

 





















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Kent Dixon

 

Frank J. Fabozzi

 

Kathleen F. Feldstein

 

 

 


 


 



 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 















HYV

 

 

25,351,551

 

 

732,148

 

 

25,372,849

 

 

710,850

 

 

25,291,049

 

 

792,650

 

HYT

 

 

26,741,486

 

 

683,906

 

 

26,778,458

 

 

646,934

 

 

26,713,431

 

 

711,961

 





















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

James T. Flynn

 

Henry Gabbay

 

Jerrold B. Harris

 

 

 


 


 



 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 















HYV

 

 

25,343,630

 

 

740,069

 

 

25,352,505

 

 

731,194

 

 

25,335,921

 

 

747,778

 

HYT

 

 

26,697,595

 

 

727,797

 

 

26,786,644

 

 

638,748

 

 

26,766,561

 

 

658,831

 





















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

R. Glenn Hubbard

 

W. Carl Kester

 

 

Karen P. Robards

 

 

 


 


 

 


 

 

 

Votes For

 

Votes
Withheld

 

Votes For

 

Votes
Withheld

 

 

Votes For

 

 

Votes
Withheld

 

















HYV

 

 

25,339,920

 

 

743,779

 

 

25,342,260

 

 

741,439

 

 

25,299,995

 

 

783,704

 

HYT

 

 

26,729,164

 

 

696,228

 

 

26,747,194

 

 

678,198

 

 

26,742,744

 

 

682,648

 






















 


Fund 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 SEC the certification of their chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 

 

 

 

 


 

ANNUAL REPORT

AUGUST 31, 2009

117



 


 

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 were not approved by the 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 web-site is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website into this report.

Electronic Delivery

Electronic copies of most financial reports are available on the Trusts’ web-site or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Trusts’ electronic delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and it 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 contact the Trusts at (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 (202) 551-8090. 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 toll-free (800) 441-7762; (2) at 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 www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

 


 

BHK, HYV, HYT, HIS, BHY, BNA and BHD are managed by a team of financial professionals. The portfolio managers are primarily responsible for the day-to-day management of the Trusts’ portfolio. Effective May 8, 2009, James Keenan, CFA, Mitchell S. Garfin, CFA and Derek Schoenhofen are the portfolio managers for HYV, HYT, HIS and BNY. Curtis Arledge, James Keenan and Matthew Marra are the portfolio managers for BHK and BNA. Jeffrey Cucunato, James Keenan and Derek Schoenhofen are the portfolio managers for BHD.

 

Mr. Arledge is Managing Director of BlackRock, Inc. since 2008 and Global Head of Fixed Income Division of Wachovia Corporation from 2004 to 2008.

 

Mr. Cucunato is Managing Director of BlackRock, Inc. since 2005 and Director thereof from 2001 to 2005.

 

Mr. Garfin is Managing Director of BlackRock, Inc. since 2009; Director thereof from 2005 to 2009 and Vice President from 2001 to 2005.

 

Mr. Keenan is Managing Director of BlackRock, Inc. since 2008 and Director thereof from 2004 to 2008; Head of the Leveraged Finance Portfolio team; and senior high yield trader at Columbia Management Group from 2003 to 2004.

 

Mr. Marra is Managing Director of BlackRock, Inc. since 2006 and Director thereof from 2002 to 2006.

 

Mr. Schoenhofen is Director of BlackRock, Inc. since 2006 and Vice President thereof from 2000 to 2006.

 



 

 

 




118

ANNUAL REPORT

AUGUST 31, 2009



 


 

Additional Information (concluded)

 


Section 19 Notices


These amounts and sources of distributions reported are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts 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. The Trusts will send you a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax purposes.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 







 

 

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

 



















BHK

 

$

0.766207

 

 

 

 

 

$

0.766207

 

 

100

%

 

0

%

 

0

%

 

100

%

HYV

 

$

1.204996

 

 

 

 

 

$

1.204996

 

 

100

%

 

0

%

 

0

%

 

100

%

HYT

 

$

1.190840

 

 

 

 

 

$

1.190840

 

 

100

%

 

0

%

 

0

%

 

100

%

HIS

 

$

0.209808

 

 

 

 

 

$

0.209808

 

 

100

%

 

0

%

 

0

%

 

100

%

BHY

 

$

0.529767

 

 

 

$

0.037233

 

$

0.567000

 

 

93

%

 

0

%

 

7

%

 

100

%

BNA

 

$

0.612000

 

 

 

 

 

$

0.612000

 

 

100

%

 

0

%

 

0

%

 

100

%

BKT

 

$

0.288000

 

 

 

 

 

$

0.288000

 

 

100

%

 

0

%

 

0

%

 

100

%

BHD

 

$

0.879000

 

 

 

 

 

$

0.879000

 

 

100

%

 

0

%

 

0

%

 

100

%




























 


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.

 

 

 

 

 


 

ANNUAL REPORT

AUGUST 31, 2009

119



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 yield to Common Shareholders. Statements and other information herein are as dated and are subject to change.


 

 

 

 

(GO PAPERLESS LOGO)

(BLACKROCK LOGO)


#CEF-1-8-08/09


 

 

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

 

Frank J. Fabozzi

 

James T. Flynn

 

W. Carl Kester

 

Karen P. Robards

 

Robert S. Salomon, Jr. (retired effective December 31, 2008)

 

 

 

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.



 

 

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

 

$55,300

 

$0

 

$0

 

$6,100

 

$6,100

 

$1,028

 

$1,049


 

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 for all of the registrants the Committee oversees. 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 one or more of its members 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

 

$414,628

 

$406,049



 

 

 

(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) – $407,500, 0%

 

 

Item 5 –

Audit Committee of Listed Registrants – 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

 

Frank J. Fabozzi

 

James T. Flynn

 

W. Carl Kester

 

Karen P. Robards

 

Robert S. Salomon, Jr. (retired effective December 31, 2008)

 

 

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, 2009.


 

 

 

 

(a)(1) The registrant (or “Fund”) is managed by a team of investment professionals comprised of Curtis Arledge, Managing Director at BlackRock, Matthew Marra, Managing Director at BlackRock and James E. Keenan, Managing Director at BlackRock. Messrs. Arledge, 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 management team since 2007. Messrs. Arledge and Marra have been members of the Fund’s management team since 2009.


 

 

 




Portfolio Manager

 

Biography




Curtis Arledge

 

Managing Director of BlackRock, Inc. since 2008, co-head of US Fixed Income within BlackRock’s Fixed Income Portfolio Management Group and member of BlackRock’s Leadership Committee; Global Head of Fixed Income Division of Wachovia Corporation from 2004 to 2008.




Matthew Marra

 

Managing Director of BlackRock, Inc. since 2006; Director of BlackRock, Inc. from 2002 to 2006.




James E. Keenan

 

Managing Director of BlackRock, Inc. since 2008; Director of BlackRock, Inc. from 2004 - 2008; Head of the Leveraged Finance Portfolio team; senior high yield trader at Columbia Management from 2003 to 2004.





 

 

 

 

(a)(2)

As of August 31, 2009:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(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

 


 


 


 


 


 


 


 

Curtis Arledge

 

30

 

3

 

4

 

0

 

2

 

1

 

 

 

$18.6 Billion

 

$2.66 Billion

 

$462.9 Million

 

$0

 

$2.38 Billion

 

$197.6 Million

 

Matthew Marra

 

29

 

1

 

1

 

0

 

0

 

1

 

 

 

$17.2 Billion

 

$282.6 Million

 

$589.3 Million

 

$0

 

$0

 

$589.3 Million

 

James E. Keenan

 

22

 

19

 

47

 

0

 

9

 

6

 

 

 

$2.53 Billion

 

$5.92 Billion

 

$4.8 Billion

 

$0

 

$3.6 Billion

 

$593.2 Million

 


 

 

 

 

(iv)

Potential Material Conflicts of Interest

 

 

 

 

BlackRock and its affiliates (collectively, herein “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. Arledge, 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, 2009:

 

 

 

 

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 for the Fund include a combination of market-based indices (e.g., Barclays Capital Long Government/Credit Index, Barclays Capital High Yield Corporate 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”) — The LTIP is a long-term incentive plan that seeks to reward certain key employees. Prior to 2006, the plan provided for the grant of awards that were expressed as an amount of cash that, if properly vested and subject to the attainment of certain performance goals, will be settled in cash and/or in BlackRock, Inc. common stock.Beginning in 2006, awards are granted under the LTIP in the form of BlackRock, Inc. restricted stock units that, if properly vested and subject to the attainment of certain performance goals, will be settled in BlackRock, Inc. common stock. Messrs. Arledge, 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. Arledge, 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.


 

 

 

Portfolio Manager

 

Dollar Range of Equity Securities
Beneficially Owned


 


Curtis Arledge

 

None

Matthew Marra

 

None

James E. Keenan

 

None


 

 

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 – The registrant’s Nominating and Governance Committee will consider nominees to the board of directors recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations that include biographical information and set forth the qualifications of the proposed nominee to the registrant’s Secretary. There have been no material changes to these procedures.

 

 

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 13(a)-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: October 22, 2009

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: October 22, 2009

 

 

By:

/s/ Neal J. Andrews

 


 

Neal J. Andrews

 

Chief Financial Officer (principal financial officer) of

 

BlackRock Core Bond Trust



Date: October 22, 2009