BLACKROCK CORE BOND TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-10543

Name of Fund: BlackRock Core Bond Trust (BHK)

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Core Bond Trust, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2016

Date of reporting period: 02/29/2016


Item  1 – Report to Stockholders


FEBRUARY 29, 2016

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

BlackRock Core Bond Trust (BHK)

BlackRock Corporate High Yield Fund, Inc. (HYT)

BlackRock Income Trust, Inc. (BKT)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents     

 

     Page  

The Markets in Review

    3   

Semi-Annual Report:

 

Trust Summaries

    4   

The Benefits and Risks of Leveraging

    10   

Derivative Financial Instruments

    10   
Financial Statements:  

Schedules of Investments

    11   

Statements of Assets and Liabilities

    59   

Statements of Operations

    61   

Statements of Changes in Net Assets

    62   

Statements of Cash Flows

    65   

Financial Highlights

    67   

Notes to Financial Statements

    70   

Officers and Trustees

    85   

Additional Information

    86   

 

                
2    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


The Markets in Review

 

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery while inflationary pressures remained low, investors spent most of 2015 anticipating the curtailment of the Federal Reserve’s near-zero interest rate policy, which ultimately came in December. In contrast, the European Central Bank and the Bank of Japan took measures to stimulate growth. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities.

Global market volatility increased in the latter part of 2015 and continued into early 2016. Oil prices collapsed in mid-2015 due to excess supply, and remained precarious while the world’s largest oil producers sought to negotiate a deal. Developing countries, many of which rely heavily on oil exports to sustain their economies, were particularly affected by falling oil prices. Meanwhile, China, one of the world’s largest oil consumers, exhibited further signs of slowing economic growth. This, combined with a depreciating yuan and declining confidence in the country’s policymakers, stoked worries about the potential impact of China’s weakness on the broader global economy.

Toward the end of the period, volatility abated as investors were relieved to find that conditions were not as bad as previously feared. While the recent selloff in risk assets has resulted in more reasonable valuations and some appealing entry points, investors continue to face mixed economic data and uncertainty relating to oil prices, corporate earnings and an unusual U.S. presidential election season.

For the 12-month period, higher quality assets such as U.S. Treasuries, municipal bonds and investment grade corporate bonds generated positive returns, while risk assets such as equities and high yield bonds broadly declined.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of February 29, 2016  
    6-month     12-month  

U.S. large cap equities
(S&P 500® Index)

    (0.92 )%      (6.19 )% 

U.S. small cap equities
(Russell 2000® Index)

    (10.16     (14.97

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

    (9.48     (15.18

Emerging market equities
(MSCI Emerging Markets Index)

    (8.85     (23.41

3-month Treasury bills
(BofA Merrill Lynch 3-Month
U.S. Treasury Bill Index)

    0.06        0.08   

U.S. Treasury securities
(BofA Merrill Lynch
10-Year U.S. Treasury
Index)

    5.01        4.11   

U.S. investment-grade bonds
(Barclays U.S.
Aggregate Bond Index)

    2.20        1.50   

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

    3.56        3.78   

U.S. high yield bonds
(Barclays U.S. Corporate
High Yield 2% Issuer
Capped Index)

    (5.57     (8.26
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.    

 

                
   THIS PAGE NOT PART OF YOUR FUND REPORT       3


Trust Summary as of February 29, 2016    BlackRock Core Bond Trust

 

 

Trust Overview

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

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

 

Trust Information     

Symbol on New York Stock Exchange (“NYSE”)

  BHK

Initial Offering Date

  November 27, 2001

Current Distribution Rate on Closing Market Price as of February 29, 2016 ($12.96)1

  6.57%

Current Monthly Distribution per Common Share2

  $0.071

Current Annualized Distribution per Common Share2

  $0.852

Economic Leverage as of February 29, 20163

  27%

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

 

  2   

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

 

  3   

Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 10.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BHK1,2

    6.09     0.86

Lipper Corporate BBB-Rated Debt Funds (Leveraged)3

    1.21     (1.42 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

 

 

The main contributor to the Trust’s absolute performance was its allocation to U.S. Treasuries. An allocation to global sovereign/supranational/agency issues and investment grade corporate securities also contributed to performance.

 

 

The largest detractor from performance was the Trust’s allocation to asset-backed securities (“ABS”). Allocations to U.S. high yield corporate and commercial mortgage-backed securities (“CMBS”) also detracted from results.

 

The use of swaps on U.S. Treasuries as a hedge of portfolio duration and risk management detracted from performance during the reporting period. The use of U.S. Treasury futures contributed to performance as interest rates drifted lower in the United States during the reporting period due to higher market volatility and a general risk-off environment.

Describe recent portfolio activity.

 

 

During the six-month period, the Trust maintained a low level of risk on expectations of increased volatility. This was in light of a high level of market volatility following the depreciation of the Chinese yuan by the People’s Bank of China in August 2015 and concerns over slowing global economic growth. At the beginning of the reporting period, the Trust maintained a consistent allocation, favoring agency mortgage backed securities (“MBS”), high yield corporates and structured products (ABS and CMBS). However, volatility increased near year-end 2015 in the wake of the first U.S. Federal Reserve interest rate hike in nine years and another depreciation of the yuan. As a result, the Trust’s risk level was further reduced by decreasing exposure to structured products, corporate credit and sovereign securities in favor of U.S. Treasuries.

Describe portfolio positioning at period end.

 

 

At period end, the Trust maintained diversified exposure to non-government spread sectors, including investment grade credit, high yield credit, CMBS, ABS and non-agency residential MBS. The Trust also held exposure to government-related sectors such as U.S. Treasury securities, agency debt and agency MBS. The Trust ended the period with a long duration profile.

 

 

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

 

                
4    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock Core Bond Trust

 

Market Price and Net Asset Value Per Share Summary

 

      2/29/16      8/31/15      Change      High      Low  

Market Price

   $ 12.96       $ 12.63         2.61    $ 13.13       $ 12.34   

Net Asset Value

   $ 13.94       $ 14.29         (2.45 )%     $ 14.39       $ 13.74   

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments

 

Portfolio Composition   2/29/16    

8/31/15

 

Corporate Bonds

    47     49

Non-Agency Mortgage-Backed Securities

    12        12   

U.S. Treasury Obligations

    11        6   

Asset-Backed Securities

    9        11   

Preferred Securities

    9        10   

U.S. Government Sponsored Agency Securities

    7        8   

Municipal Bonds

    2        2   

Foreign Agency Obligations

    2        2   

Short-Term Securities

    1        1   

Floating Rate Loan Interests

    1          

Options Written

    (1     (1

Other1

             

 

  1   

Representing less than 1% of the Trust’s total investments and may include Common Stocks and Options Purchased.

 

 

Credit Quality Allocation2,3   2/29/16    

8/31/15

 

AAA/Aaa4

    22     18

AA/Aa

    7        7   

A

    18        18   

BBB/Baa

    30        33   

BB/Ba

    11        13   

B

    7        7   

CCC/Caa

    1        1   

N/R

    4        3   

 

  2  

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  3   

Excludes Short-Term Securities, Options Purchased and Options Written.

 

  4   

The investment advisor evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    5


Trust Summary as of February 29, 2016    BlackRock Corporate High Yield Fund, Inc.

 

 

Trust Overview

BlackRock Corporate High Yield Fund, Inc.’s (HYT) (the “Trust”) primary investment objective is to provide shareholders with current income. The Trust’s secondary investment objective is to provide shareholders with capital appreciation. The Trust seeks to achieve its objectives by investing primarily in a diversified portfolio of fixed income securities which are rated below investment grade or, if unrated, are considered by the Investment Advisor to be of comparable quality. The Trust may invest directly in fixed income securities or synthetically through the use of derivatives.

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

 

Trust Information     

Symbol on NYSE

  HYT

Initial Offering Date

  May 30, 2003

Current Distribution Rate on Closing Market Price as of February 29, 2016 ($9.77)1

  8.60%

Current Monthly Distribution per Common Share2

  $0.07

Current Annualized Distribution per Common Share2

  $0.84

Economic Leverage as of February 29, 20163

  27%

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

 

  2   

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

 

  3   

Represents bank borrowings as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 10.

 

Performance and Portfolio Management Commentary

 

 

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

HYT1,2

    3.77     (6.75 )% 

Lipper High Yield Funds (Leveraged)3

    (3.57 )%      (8.51 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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.

 

  3   

Average return.

Performance results include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

 

 

Credit markets were in negative territory for the six months ended February 29, 2016, driven in large part by a continued decline in commodity prices. Following a brief recovery entering the period, energy prices were the hardest hit as crude oil slid to below $30 a barrel. The Trust’s moderate exposure to the energy sector was the most notable detractor from returns. Holdings within the banking and transportation services industries were also significant contributors to the Trust’s negative return. Positions in floating rate loan interests (bank loans) and convertible bonds hurt performance as well.

 

 

The Trust’s exposure to issues in the health care, gaming and wirelines segments aided performance, as did holdings of preferred securities.

 

A derivative strategy commonly used by the Trust is to assume short positions in equity futures in order to reduce overall risk in the portfolio and manage the volatility of its equity holdings. This strategy added to returns as equities in aggregate declined modestly over the six months.

Describe recent portfolio activity.

 

 

The Trust began the period somewhat conservatively positioned and continued to reduce risk as volatility increased. In this vein, the Trust increased its net equity short position. The Trust also continued to trim exposure to energy-related issues, selling down positions across independent energy, midstream, and oil field services companies. Finally, the Trust maintained meaningful exposure to bank loans, which are higher in an issuer’s capital structure and generally less volatile than high yield bonds. The Trust added to names in the technology and packaging industries over the period.

Describe portfolio positioning at period end.

 

 

At period end, the Trust held the majority of its total portfolio in corporate bonds, with the next most significant allocation in floating rate loan interests (bank loans). Within high yield corporates, the Trust had modest exposure to BB-rated bonds and a meaningful allocation to high conviction CCC-rated issues. The largest individual positions included Ally Financial (banking), First Data Corp. (technology) and Altice NV (cable & satellite). The Trust also maintained exposure to equity and equity-like assets in seeking to improve the overall risk/reward profile of the portfolio, while managing equity risk. Overall, the Trust was positioned with a moderate risk profile on the view that commodity weakness and broader macroeconomic uncertainty could drive further volatility in credit markets.

 

 

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

 

                
6    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock Corporate High Yield Fund, Inc.

 

 

Market Price and Net Asset Value Per Share Summary

 

      2/29/16     

8/31/15

     Change      High      Low  

Market Price

   $ 9.77       $ 9.97         (2.01 )%     $ 10.45       $ 9.13   

Net Asset Value

   $ 10.62       $ 12.06         (11.94 )%     $ 12.06       $ 10.13   

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments

 

Portfolio Composition   2/29/16    

8/31/15

 

Corporate Bonds

    77     79

Floating Rate Loan Interests

    10        9   

Preferred Securities

    6        5   

Common Stocks

    4        5   

Asset-Backed Securities

    2        2   

Investment Companies

    1          

Other1

             

 

  1   

Representing less than 1% of the Trust’s total investments and may include Non-Agency Mortgage-Backed Securities, Warrants, Other Interests, Short-Term Securities and Options Purchased.

Credit Quality Allocation2   2/29/16    

8/31/15

 

A

    1     1

BBB/Baa

    7        6   

BB/Ba

    38        37   

B

    38        40   

CCC/Caa

    7        8   

N/R

    9        8   

 

  2   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    7


Trust Summary as of February 29, 2016    BlackRock Income Trust, Inc.

 

 

Trust Overview

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

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

 

Trust Information     

Symbol on NYSE

  BKT

Initial Offering Date

  July 22, 1988

Current Distribution Rate on Closing Market Price as of February 29, 2016 ($6.54)1

  5.69%

Current Monthly Distribution per Common Share2

  $0.031

Current Annualized Distribution per Common Share2

  $0.372

Economic Leverage as of February 29, 20163

  26%

 

  1   

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

 

  2  

The monthly distribution per Common Share, declared on March 1, 2016, was decreased to $0.0265 per share. The current distribution rate on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

  3  

Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 10.

 

Performance and Portfolio Management Commentary

 

Returns for the six months ended February 29, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BKT1, 2

    6.84     2.20

Lipper US Mortgage Funds3

    4.18     (0.94 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

What factors influenced performance?

 

 

The largest positive contributor to performance was the Trust’s allocation in well-structured agency collateralized mortgage obligations (“CMOs”) that offered call protection and seasoned collateral with favorable risk/reward characteristics and attractive income.

 

 

The Trust’s duration positioning and swap strategies, as well as its allocations to 15- and 30-year pass-throughs, detracted from performance.

 

 

The Trust may use derivatives including futures, options, swaps and swaptions, mainly for the purpose of managing duration, convexity

   

(the rate at which duration changes in response to interest rate movements) and yield curve positioning. During the period, the Trust primarily used financial futures contracts that did not have a significant impact on performance.

Describe recent portfolio activity.

 

 

During the six-month period, the Trust marginally decreased long exposure to agency CMOs, non-agency adjustable rate mortgages and CMOs, and increased its short exposure to 15- and 30-year pass-through mortgage-backed securities (“MBS”). In addition, the Trust marginally increased its long exposure to U.S. Treasuries, as well as commercial mortgage-backed securities (“CMBS”).

Describe portfolio positioning at period end.

 

 

As of period end, the Trust continued to be overweight in agency CMOs. In addition, the Trust continued to maintain allocations to 30-year MBS and some 15-year MBS with higher coupons. The Trust had a reduced allocation to non-agency MBS and slightly increased exposure to CMBS.

 

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

 

                
8    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


     BlackRock Income Trust, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

      2/29/16     

8/31/15

     Change      High      Low  

Market Price

   $ 6.54       $ 6.30         3.81    $ 6.60       $ 6.26   

Net Asset Value

   $ 7.03       $ 7.08         (0.71 )%     $ 7.10       $ 6.92   

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments

 

Portfolio Composition   2/29/16    

8/31/15

 

U.S. Government Sponsored Agency Securities

    97     98

U.S. Treasury Obligations

    4        2   

Non-Agency Mortgage-Backed Securities

    1        1   

Short-Term Securities

    1        4   

Asset-Backed Securities1

             

Borrowed Bonds1

             

TBA Sale Commitments

    (3     (5

 

  1   

Representing less than 1% of the Trust’s total investments.

Credit Quality Allocation2,3   2/29/16    

8/31/15

 

AAA/Aaa4

    97     100

AA

    1          

BBB

    1          

NR

    1          

 

  2   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  3   

Excludes Money Market Funds.

 

  4   

The investment advisor evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

 

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    9


The Benefits and Risks of Leveraging     

 

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

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Trusts (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Trusts’ shareholders 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.

To illustrate these concepts, assume a Trust’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. 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 value of the Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest

rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Trusts’ intended leveraging strategy will be successful.

Leverage also generally causes greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of Trusts’ shares than if the Trusts were not leveraged. In addition, the Trusts 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 the Trusts to incur losses. The use of leverage may limit the Trusts’ ability to invest in certain types of securities or use certain types of hedging strategies. The Trusts incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of the Trusts’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment advisor will be higher than if the Trusts did not use leverage.

Each Trust may utilize leverage through a credit facility, reverse repurchase agreements or treasury dollar roll transactions as described in the Notes to Financial Statements.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Trusts are permitted to issue debt up to 33  1/3% of their total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

If a Trust segregates or designates on its books and records cash or liquid assets having values not less than the value of a Trust’s obligations under the reverse repurchase agreement (including accrued interest) or the treasury roll transaction, then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements under the 1940 Act.

 

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage. Derivative financial instruments also involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the

derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

                
10    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock Core Bond Trust (BHK)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities — 12.3%

  

 

ALM VI Ltd., Series 2012-6A, Class B2R, 3.42%, 7/15/26 (a)(b)

     USD        1,000      $ 943,500   

AMMC CLO IX Ltd., Series 2011-9A, Class D, 5.12%, 1/15/22 (a)(b)

       2,000        1,939,942   

Apidos CDO, Series 2012-9AR, Class DR, 4.52%, 7/15/23 (a)(b)

       1,400        1,298,360   

Apidos CDO XI, Series 2012-11A, Class D, 4.87%, 1/17/23 (a)(b)

       1,200        1,047,600   

Apidos CLO XIX, Series 2014-19A, Class D, 4.37%, 10/17/26 (a)(b)

       1,000        878,860   

Ares CLO Ltd., Series 2014-32A, Class C, 4.82%, 11/15/25 (a)(b)

       1,250        1,063,482   

Ares XXIII CLO Ltd., Series 2012-1AR (a)(b):

      

Class CR, 3.82%, 4/19/23

       4,000        3,944,608   

Class DR, 4.77%, 4/19/23

       3,000        2,807,333   

Atrium CDO Corp., Series 9A, Class D, 4.14%, 2/28/24 (a)(b)

       1,500        1,281,117   

Babson CLO Ltd. (b):

      

Series 2012-1X, Class B,
3.12%, 4/15/22

       1,000        968,111   

Series 2014-3A, Class D1,
4.12%, 1/15/26 (a)

       1,500        1,237,500   

Battalion CLO VII Ltd., Series 2014-7A, Class C, 4.52%, 10/17/26 (a)(b)

       2,000        1,602,664   

Benefit Street Partners CLO III Ltd., Series 2013-IIIA, Class C, 3.87%, 1/20/26 (a)(b)

       1,000        796,241   

Bowman Park CLO Ltd., Series 2014-1A, Class D2, 4.57%, 11/23/25 (a)(b)

       3,000        2,613,692   

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

       2,210        2,354,857   

CIFC Funding Ltd. (a)(b):

      

Series 2012-1AR, Class B1R,
4.46%, 8/14/24

       1,500        1,384,778   

Series 2013-IA, Class B, 3.44%, 4/16/25

       1,000        940,995   

Series 2014-4A, Class D, 4.02%, 10/17/26

       2,000        1,618,292   

Series 2015-1A, Class C, 3.62%, 1/22/27

       1,000        945,807   

Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.59%, 1/25/37 (b)

       615        585,779   

DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (a)

       3,940        3,851,845   

Dryden 34 Senior Loan Fund, Series 2014-34A, Class C, 3.42%, 10/15/26 (a)(b)

       1,000        942,446   

Ford Credit Floorplan Master Owner Trust, Series 2012-2:

      

Class B, 2.32%, 1/15/19

       490        493,939   

Class C, 2.86%, 1/15/19

       210        211,903   

Class D, 3.50%, 1/15/19

       400        405,543   

Galaxy XV CLO Ltd., Series 2013-15A, Class C, 3.22%, 4/15/25 (a)(b)

       1,000        943,882   

GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class D,
4.12%, 10/29/26 (a)(b)

       1,000        872,700   

Highbridge Loan Management Ltd., Series 5A-2015, Class C1, 3.82%, 1/29/26 (a)(b)

       4,000        3,880,000   
Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities (continued)

  

Limerock CLO III LLC, Series 2014-3A, Class C, 4.22%, 10/20/26 (a)(b)

     USD        3,750      $ 3,076,297   

Madison Park Funding IX Ltd., Series 2012-9AR, Class DR, 4.47%, 8/15/22 (a)(b)

       1,200        1,111,876   

Madison Park Funding XV Ltd., Series 2014-15A, Class B1, 3.87%, 1/27/26 (a)(b)

       1,800        1,731,959   

Nelnet Student Loan Trust, Series 2006-1, Class A5, 0.73%, 8/23/27 (b)

       1,050        1,020,501   

Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class C, 4.37%, 11/14/25 (b)

       2,250        1,817,276   

Oaktree EIF II Ltd., Class C (b):

      

Series 2014-A2, 3.82%, 11/15/25

       2,250        2,090,794   

Series 2015-B1A, 3.72%, 2/15/26 (a)

       1,000        899,645   

Octagon Investment Partners XX Ltd., Series 2014-1A (a)(b):

      

Class C, 3.42%, 8/12/26

       750        697,525   

Class D, 4.27%, 8/12/26

       1,000        870,790   

Octagon Investment Partners XXI Ltd.,
Series 2014-1A, Class C,
4.27%, 11/14/26 (a)(b)

       2,000        1,646,190   

Octagon Investment Partners XXII Ltd.,
Series 2014-1A, Class C1,
3.87%, 11/25/25 (b)

       2,000        1,906,360   

OneMain Financial Issuance Trust (a):

      

Series 2015-1A, Class D, 6.63%, 3/18/26

       1,075        1,079,418   

Series 2015-2A, Class C, 4.32%, 7/18/25

       5,000        4,860,750   

Series 2015-2A, Class D, 5.64%, 7/18/25

       2,500        2,434,900   

OZLM Funding III Ltd., Series 2013-3A (a)(b):

      

Class B, 3.72%, 1/22/25

       1,500        1,433,762   

Class C, 4.52%, 1/22/25

       500        433,021   

OZLM VII Ltd., Series 2014-7A, Class C, 4.22%, 7/17/26 (a)(b)

       470        384,913   

OZLM VIII Ltd., Series 2014-8A, Class C, 4.12%, 10/17/26 (a)(b)

       1,750        1,425,174   

Regatta V Funding Ltd., Series 2014-1A, Class C, 4.07%, 10/25/26 (a)(b)

       2,000        1,594,710   

SLM Private Credit Student Loan Trust, Series 2004-B, Class A2, 0.83%, 6/15/21 (b)

       98        97,277   

SLM Private Education Loan Trust, Series 2012-A, Class A1, 1.84%, 8/15/25 (a)(b)

       158        158,035   

SLM Student Loan Trust:

      

Series 2008-5, Class A3,
1.92%, 1/25/18 (b)

       5        5,312   

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

       690        708,470   

Series 2014-A, Class B,
3.50%, 11/15/44 (a)

       500        490,842   

Small Business Administration Participation Certificates, Series 1996-20K, Class 1, 6.95%, 11/01/16

       18        17,951   

SMB Private Education Loan Trust, Series 2015-C, Class C, 4.50%, 9/17/46 (a)

       5,900        5,762,658   
 
Portfolio Abbreviations

 

ADS    American Depositary Shares      EUR    Euro    NZD    New Zealand Dollar
AUD    Australian Dollar      GBP    British Pound    OTC    Over-the-Counter
CAD    Canadian Dollar      GO    General Obligation Bonds    PIK    Payment-In-Kind
CHF    Swiss Franc      ISDA    International Swaps and Derivatives Association, Inc.    RB    Revenue Bonds
CLO    Collateralized Loan Obligation      JPY    Japanese Yen   

SEK

  

Swedish Krona

CMO    Collateralized Mortgage Obligation      LIBOR    London Interbank Offered Rate   

SGD

  

Singapore Dollar

CR    Custodian Receipt      MBS    Mortgage-Backed Security   

SPDR

  

Standard & Poor’s Depository Receipts

DIP    Debtor-In-Possession      MSCI    Morgan Stanley Capital International   

USD

  

U.S. Dollar

ETF    Exchange-Traded Fund      NOK    Norwegian Krone      

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    11


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities (continued)

  

Sound Point CLO Ltd., Series 2014-3A, Class D, 4.22%, 1/23/27 (a)(b)

     USD        1,250      $ 996,203   

Steele Creek CLO Ltd., Series 2014-1A, Class C, 3.82%, 8/21/26 (a)(b)

       2,500        2,457,513   

Stewart Park CLO Ltd., Series 2015-1A, Class D, 4.07%, 4/15/26 (a)(b)

       1,000        895,300   

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

       842        838,581   

Symphony CLO Ltd., Series 2012-10AR, Class DR, 4.17%, 7/23/23 (a)(b)

       1,000        921,282   

Symphony CLO VII Ltd., Series 2011-7A, Class E, 4.22%, 7/28/21 (a)(b)

       1,500        1,388,741   

Venture XIX CLO Ltd., Series 2014-19A, Class C, 3.92%, 1/15/27 (a)(b)

       555        548,675   

Voya CLO Ltd. (a)(b):

      

Series 2012-2AR, Class CR, 3.57%, 10/15/22

       1,500        1,462,725   

Series 2014-3A, Class C, 4.22%, 7/25/26

       1,250        1,051,969   

World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22

       2,360        2,429,798   
      

 

 

 
        92,602,969   

Interest Only Asset-Backed Securities — 0.1%

      

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

       3,638        258,097   

Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29

       8,267        568,372   
      

 

 

 
        826,469   
Total Asset-Backed Securities — 12.4%                      93,429,438   
      
                          
Corporate Bonds                      

Aerospace — 0.0%

      

Frontier Communications Corp., 7.13%, 3/15/19

             115        115,575   

Aerospace & Defense — 0.5%

      

Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (a)

       220        157,850   

Bombardier, Inc., 5.50%, 9/15/18 (a)

       117        105,300   

Moog, Inc., 5.25%, 12/01/22 (a)

       180        176,400   

TransDigm, Inc.:

      

7.50%, 7/15/21

       175        179,813   

6.00%, 7/15/22

       1,079        1,052,025   

6.50%, 7/15/24

       363        353,925   

United Technologies Corp., 6.13%, 7/15/38 (c)

       1,450        1,804,020   
      

 

 

 
        3,829,333   

Air Freight & Logistics — 0.0%

      

XPO Logistics, Inc., 6.50%, 6/15/22 (a)

             185        175,056   

Airlines — 2.4%

      

Air Canada Pass-Through Trust, Series 2015-1, Class B, 3.88%, 9/15/24 (a)

       2,000        1,865,000   

American Airlines Pass-Through Trust:

      

Series 2013-2, Class A, 4.95%, 7/15/24 (c)

       3,958        4,170,721   

Series 2013-2, Class B, 5.60%, 7/15/20 (a)

       868        872,709   

Series 2015-2, Class A, 4.00%, 9/22/27

       1,500        1,498,125   

Series 2015-2, Class AA, 3.60%, 9/22/27

       1,500        1,518,750   

Continental Airlines Pass-Through Trust:

      

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

       570        588,436   

Series 2012-3, Class C, 6.13%, 4/29/18

       1,000        1,032,500   

United Airlines Pass-Through Trust:

      

4.30%, 2/15/27

       3,708        3,782,453   

Series 2014-2, Class B, 4.63%, 3/03/24

       2,750        2,763,750   
      

 

 

 
        18,092,444   
Corporate Bonds   

Par  

(000)

    Value  

Auto Components — 0.3%

      

Goodyear Tire & Rubber Co., 6.50%, 3/01/21

     USD        650      $ 684,534   

Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19

       530        491,575   

Schaeffler Holding Finance BV, (6.75% Cash), 6.75%, 11/15/22 (a)(d)

       950        1,007,000   
      

 

 

 
        2,183,109   

Automobiles — 0.8%

      

Ford Motor Co., 4.75%, 1/15/43 (c)

       4,255        3,906,294   

General Motors Co., 6.25%, 10/02/43

       2,506        2,451,896   
      

 

 

 
        6,358,190   

Banks — 2.8%

      

Barclays PLC, 3.65%, 3/16/25

       4,320        3,969,445   

CIT Group, Inc.:

      

5.50%, 2/15/19 (a)

       3,786        3,918,510   

5.38%, 5/15/20

       3,300        3,407,250   

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

       610        753,921   

Rabobank Nederland (c):

      

3.88%, 2/08/22

       2,780        2,928,722   

3.95%, 11/09/22

       1,500        1,493,358   

Santander Holdings USA, Inc., 4.50%, 7/17/25

       2,000        1,991,346   

Wells Fargo & Co., 3.50%, 3/08/22 (c)

       2,780        2,917,724   
      

 

 

 
        21,380,276   

Beverages — 0.2%

      

Anheuser-Busch InBev Finance, Inc., 4.90%, 2/01/46

             1,320        1,414,504   

Building Products — 0.3%

      

American Builders & Contractors Supply Co., Inc., 5.75%, 12/15/23 (a)

       97        99,910   

Building Materials Corp. of America, 6.00%, 10/15/25 (a)

       380        386,175   

CPG Merger Sub LLC, 8.00%, 10/01/21 (a)

       520        478,400   

Masonite International Corp., 5.63%, 3/15/23 (a)

       200        207,000   

Standard Industries, Inc. (a):

      

5.13%, 2/15/21

       94        95,880   

5.50%, 2/15/23

       153        154,912   

USG Corp., 9.75%, 1/15/18

       500        556,875   
      

 

 

 
        1,979,152   

Capital Markets — 2.4%

      

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

       5,890        7,453,695   

E*Trade Financial Corp.:

      

5.38%, 11/15/22

       480        498,907   

4.63%, 9/15/23

       275        269,500   

Goldman Sachs Group, Inc., 3.75%, 5/22/25 (c)

       8,965        9,077,959   

Morgan Stanley, 4.00%, 7/23/25

       905        933,598   
      

 

 

 
        18,233,659   

Chemicals — 0.5%

      

Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (a)

       302        320,875   

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

       700        739,469   

Huntsman International LLC, 4.88%, 11/15/20

       101        95,192   

Methanex Corp., 3.25%, 12/15/19

       1,650        1,559,263   

NOVA Chemicals Corp., 5.25%, 8/01/23 (a)

       23        22,655   

PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20

       322        332,465   

Platform Specialty Products Corp. (a):

      

10.38%, 5/01/21

       37        33,763   

6.50%, 2/01/22

       511        413,910   

WR Grace & Co-Conn (a):

      

5.13%, 10/01/21

       27        28,080   

5.63%, 10/01/24

       170        177,225   
      

 

 

 
        3,722,897   
 

 

See Notes to Financial Statements.

 

                
12    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Commercial Services & Supplies — 0.9%

      

ADS Waste Holdings, Inc., 8.25%, 10/01/20

     USD        166      $ 162,680   

ADT Corp., 3.50%, 7/15/22

       125        104,687   

Aviation Capital Group Corp. (a):

      

4.63%, 1/31/18

       1,300        1,319,604   

7.13%, 10/15/20

       1,800        1,971,900   

Iron Mountain, Inc., 6.00%, 10/01/20 (a)

       215        227,900   

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

       1,640        1,668,700   

United Rentals North America, Inc.:

      

7.38%, 5/15/20

       613        642,884   

7.63%, 4/15/22

       907        964,250   
      

 

 

 
        7,062,605   

Communications Equipment — 0.4%

      

Alcatel-Lucent USA, Inc., 6.45%, 3/15/29

       1,000        1,017,500   

CommScope Technologies Finance LLC, 6.00%, 6/15/25 (a)

       340        336,600   

CommScope, Inc., 4.38%, 6/15/20 (a)

       250        254,375   

Nokia OYJ, 6.63%, 5/15/39

       135        137,700   

Zayo Group LLC/Zayo Capital, Inc., 6.00%, 4/01/23

       1,045        1,029,325   
      

 

 

 
        2,775,500   

Construction & Engineering — 0.6%

      

BlueLine Rental Finance Corp., 7.00%, 2/01/19 (a)

       192        140,640   

ITR Concession Co. LLC, 4.20%, 7/15/25 (a)

       4,000        4,150,624   

Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a)

       505        511,312   
      

 

 

 
        4,802,576   

Construction Materials — 0.4%

      

American Tire Distributors, Inc., 10.25%, 3/01/22 (a)

       390        335,400   

Beacon Roofing Supply, Inc., 6.38%, 10/01/23 (a)

       53        55,915   

HD Supply, Inc.:

      

7.50%, 7/15/20

       988        1,039,870   

5.25%, 12/15/21 (a)

       1,170        1,225,575   

Lafarge SA, 7.13%, 7/15/36

       270        315,675   

PulteGroup, Inc., 5.50%, 3/01/26 (e)

       224        226,520   
      

 

 

 
        3,198,955   

Consumer Finance — 2.0%

      

Ally Financial, Inc.:

      

6.25%, 12/01/17

       320        333,200   

8.00%, 3/15/20

       900        1,001,250   

8.00%, 11/01/31

       2,150        2,367,688   

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

       1,935        2,083,186   

Corvias Campus Living LLC, 5.30%, 7/01/50

       5,700        6,000,960   

Ford Motor Credit Co. LLC:

      

8.13%, 1/15/20

       1,530        1,781,030   

4.25%, 9/20/22

       1,600        1,629,813   
      

 

 

 
        15,197,127   

Containers & Packaging — 0.4%

      

Ardagh Packaging Finance PLC, 9.13%, 10/15/20 (a)

       780        805,350   

Ball Corp.:

      

4.38%, 12/15/20

       152        158,840   

5.00%, 3/15/22

       250        260,312   

Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23

       80        81,600   

Sealed Air Corp. (a):

      

6.50%, 12/01/20

       480        537,600   

4.88%, 12/01/22

       55        56,650   

Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (a)

       820        847,060   
      

 

 

 
        2,747,412   
Corporate Bonds   

Par  

(000)

    Value  

Diversified Consumer Services — 0.1%

      

Service Corp. International:

      

4.50%, 11/15/20

     USD        410      $ 420,250   

5.38%, 5/15/24

       160        170,200   
      

 

 

 
        590,450   

Diversified Financial Services — 5.3%

      

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:

      

4.63%, 10/30/20

       435        442,069   

5.00%, 10/01/21

       500        513,125   

4.63%, 7/01/22

       230        230,288   

Aircastle Ltd., 6.25%, 12/01/19

       1,413        1,496,084   

Bank of America Corp.:

      

5.63%, 7/01/20 (c)

       2,200        2,434,835   

3.30%, 1/11/23

       10,000        9,974,680   

FMR LLC, 4.95%, 2/01/33 (a)(c)

       2,300        2,375,111   

General Electric Capital Corp.:

      

6.75%, 3/15/32 (c)

       2,500        3,332,290   

6.15%, 8/07/37 (c)

       2,150        2,776,299   

6.88%, 1/10/39

       135        189,175   

General Motors Financial Co., Inc., 4.25%, 5/15/23

       807        784,195   

IntercontinentalExchange Group, Inc., 4.00%, 10/15/23

       470        492,310   

International Lease Finance Corp., 8.25%, 12/15/20

       150        173,438   

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a)

       595        458,150   

Moody’s Corp., 4.50%, 9/01/22 (c)

       1,800        1,938,722   

MSCI, Inc., 5.75%, 8/15/25 (a)

       125        134,844   

Northern Trust Corp., 3.95%, 10/30/25 (c)

       8,000        8,579,672   

Reynolds Group Issuer, Inc.:

      

7.88%, 8/15/19

       1,120        1,167,600   

5.75%, 10/15/20

       194        199,335   

6.88%, 2/15/21

       1,935        2,002,725   
      

 

 

 
        39,694,947   

Diversified Telecommunication Services — 3.0%

  

 

AT&T, Inc., 4.75%, 5/15/46

       2,710        2,473,723   

CenturyLink, Inc.:

      

6.45%, 6/15/21

       80        81,250   

Series V, 5.63%, 4/01/20

       200        202,500   

Frontier Communications Corp.:

      

7.13%, 1/15/23

       50        43,485   

7.63%, 4/15/24

       200        175,000   

6.88%, 1/15/25

       596        502,130   

Level 3 Financing, Inc.:

      

5.38%, 8/15/22

       165        169,537   

5.63%, 2/01/23

       670        691,775   

5.13%, 5/01/23

       80        81,600   

5.38%, 1/15/24 (a)

       165        169,125   

Telecom Italia Capital SA:

      

6.38%, 11/15/33

       70        64,400   

6.00%, 9/30/34

       470        405,375   

7.20%, 7/18/36

       105        97,650   

Verizon Communications, Inc. (c):

      

3.50%, 11/01/21

       1,000        1,042,096   

6.40%, 2/15/38

       6,879        7,844,364   

6.55%, 9/15/43

       6,751        8,231,299   
      

 

 

 
        22,275,309   

Electric Utilities — 5.8%

      

AES Corp., 8.00%, 6/01/20

       150        164,625   

Berkshire Hathaway Energy Co.,
6.50%, 9/15/37 (c)

       5,515        6,878,032   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    13


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Electric Utilities (continued)

      

Cleveland Electric Illuminating Co., 5.95%, 12/15/36

     USD        434      $ 468,696   

CMS Energy Corp., 5.05%, 3/15/22 (c)

       1,832        2,027,315   

ComEd Financing III, 6.35%, 3/15/33

       300        314,003   

Duke Energy Carolinas LLC:

      

6.10%, 6/01/37

       640        794,351   

6.00%, 1/15/38 (c)

       1,675        2,128,691   

4.25%, 12/15/41 (c)

       750        781,700   

Duke Energy Florida LLC, 6.40%, 6/15/38 (c)

       770        1,019,058   

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

       3,100        3,570,769   

Electricite de France SA, 5.60%, 1/27/40 (a)(c)

       2,800        3,023,740   

Florida Power Corp., 6.35%, 9/15/37

       2,775        3,636,149   

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

       490        552,110   

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

       3,000        3,726,690   

PacifiCorp, 6.25%, 10/15/37 (c)

       1,225        1,577,437   

Public Service Co. of Colorado, Series 17, 6.25%, 9/01/37

       2,550        3,395,346   

Southern California Edison Co. (c):

      

5.63%, 2/01/36

       1,300        1,586,607   

Series A, 5.95%, 2/01/38

       2,175        2,760,980   

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

       3,920        4,888,017   
      

 

 

 
        43,294,316   

Electronic Equipment, Instruments & Components — 0.2%

  

 

CDW LLC/CDW Finance Corp.:

      

6.00%, 8/15/22

       480        510,000   

5.00%, 9/01/23

       780        799,500   
      

 

 

 
        1,309,500   

Energy Equipment & Services — 0.7%

      

Enterprise Products Operating LLC, 6.13%, 10/15/39 (c)

       1,400        1,332,323   

EOG Resources, Inc., 2.63%, 3/15/23

       3,800        3,429,766   

Genesis Energy LP/Genesis Energy Finance Corp.:

      

5.75%, 2/15/21

       142        117,150   

6.75%, 8/01/22

       65        54,275   

GrafTech International Ltd., 6.38%, 11/15/20

       600        348,000   
      

 

 

 
        5,281,514   

Food & Staples Retailing — 0.2%

      

Diamond Foods, Inc., 7.00%, 3/15/19 (a)

       410        424,350   

Rite Aid Corp.:

      

6.75%, 6/15/21

       258        273,480   

6.13%, 4/01/23 (a)

       905        966,088   
      

 

 

 
        1,663,918   

Food Products — 0.3%

      

Acosta, Inc., 7.75%, 10/01/22 (a)

       270        238,275   

Aramark Services, Inc., 5.13%, 1/15/24 (a)

       401        420,048   

Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.88%, 1/15/24 (a)

       42        44,310   

Post Holdings, Inc.:

      

6.75%, 12/01/21 (a)

       68        72,165   

7.38%, 2/15/22

       78        82,680   

7.75%, 3/15/24 (a)

       308        337,260   

8.00%, 7/15/25 (a)

       162        178,605   

Smithfield Foods, Inc., 5.88%, 8/01/21 (a)

       338        343,810   

TreeHouse Foods, Inc., 6.00%, 2/15/24 (a)

       94        98,935   

WhiteWave Foods Co., 5.38%, 10/01/22

       119        127,330   
      

 

 

 
        1,943,418   

Forest Products — 0.0%

      

JBS USA LLC/JBS USA Finance, Inc., 5.75%, 6/15/25 (a)

             325        279,500   
Corporate Bonds   

Par  

(000)

    Value  

Health Care Equipment & Supplies — 0.2%

      

Crimson Merger Sub, Inc., 6.63%, 5/15/22 (a)

     USD        185      $ 133,200   

DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (a)

       785        657,437   

Kinetic Concepts, Inc./KCI USA, Inc., 7.88%, 2/15/21 (a)

       73        75,190   

Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 5.63%, 10/15/23 (a)

       199        195,518   

Teleflex, Inc., 5.25%, 6/15/24

       170        172,125   
      

 

 

 
        1,233,470   

Health Care Providers & Services — 1.9%

      

Acadia Healthcare Co., Inc.:

      

5.63%, 2/15/23

       125        126,250   

6.50%, 3/01/24 (a)

       41        42,333   

Alere, Inc., 7.25%, 7/01/18

       650        680,875   

Amsurg Corp., 5.63%, 7/15/22

       680        700,400   

Centene Escrow Corp. (a):

      

5.63%, 2/15/21

       241        251,845   

6.13%, 2/15/24

       143        151,759   

CHS/Community Health Systems, Inc., 5.13%, 8/15/18

       500        501,875   

DaVita HealthCare Partners, Inc., 5.13%, 7/15/24

       860        875,050   

HCA, Inc.:

      

3.75%, 3/15/19

       264        268,924   

6.50%, 2/15/20

       652        722,220   

4.75%, 5/01/23

       2,322        2,359,732   

5.88%, 2/15/26

       284        292,520   

HealthSouth Corp.:

      

5.75%, 11/01/24 (a)

       122        123,220   

5.75%, 11/01/24

       434        438,340   

5.75%, 9/15/25 (a)

       181        179,643   

Hologic, Inc., 5.25%, 7/15/22 (a)

       580        607,492   

MEDNAX, Inc., 5.25%, 12/01/23 (a)

       134        138,858   

Tenet Healthcare Corp.:

      

6.25%, 11/01/18

       1,609        1,693,472   

6.00%, 10/01/20

       324        344,088   

4.50%, 4/01/21

       766        761,212   

4.38%, 10/01/21

       112        110,460   

8.13%, 4/01/22

       1,647        1,619,199   

UnitedHealth Group, Inc., 3.75%, 7/15/25

       1,375        1,462,865   
      

 

 

 
        14,452,632   

Hotels, Restaurants & Leisure — 2.6%

      

Boyd Gaming Corp., 6.88%, 5/15/23

       620        637,050   

Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20

       1,735        1,695,962   

ESH Hospitality, Inc., 5.25%, 5/01/25 (a)

       260        252,200   

McDonald’s Corp., 3.70%, 1/30/26

       510        530,977   

MGM Resorts International:

      

5.25%, 3/31/20

       55        56,100   

6.75%, 10/01/20

       110        117,700   

6.63%, 12/15/21

       870        924,375   

6.00%, 3/15/23

       295        302,375   

New Red Finance, Inc., 6.00%, 4/01/22 (a)

       640        667,200   

Pinnacle Entertainment, Inc., 6.38%, 8/01/21

       400        424,500   

RHP Hotel Properties LP / RHP Finance Corp.,
5.00%, 4/15/21

       420        422,100   

Sabre GLBL, Inc. (a):

      

5.38%, 4/15/23

       165        166,238   

5.25%, 11/15/23

       85        86,275   

Six Flags Entertainment Corp., 5.25%, 1/15/21 (a)

       334        341,465   

Station Casinos LLC, 7.50%, 3/01/21

       570        594,937   

Unique Pub Finance Co. PLC:

      

Series A3, 6.54%, 3/30/21

     GBP        2,844        4,030,452   

Series A4, 5.66%, 6/30/27

       1,152        1,576,249   
 

 

See Notes to Financial Statements.

 

                
14    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Hotels, Restaurants & Leisure (continued)

  

Unique Pub Finance Co. PLC (continued):

  

Series M, 7.40%, 3/28/24

     GBP        3,000      $ 4,101,439   

Series N, 6.46%, 3/30/32

       2,390        2,814,657   
      

 

 

 
        19,742,251   

Household Durables — 0.7%

      

Beazer Homes USA, Inc., 6.63%, 4/15/18

     USD        580        582,900   

Century Communities, Inc., 6.88%, 5/15/22

       460        408,250   

DR Horton, Inc., 4.00%, 2/15/20

       340        345,950   

Lennar Corp.:

      

4.88%, 12/15/23

       145        141,375   

4.75%, 5/30/25

       180        174,150   

Meritage Homes Corp., 4.50%, 3/01/18

       340        339,150   

Project Homestake Merger Co.,
8.88%, 3/01/23 (a)

       155        137,950   

PulteGroup, Inc., 6.38%, 5/15/33

       330        333,300   

Shea Homes LP/Shea Homes Funding Corp., 5.88%, 4/01/23 (a)

       250        244,375   

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

       2,100        2,189,250   

Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (a)

       182        169,260   

TRI Pointe Holdings, Inc.:

      

4.38%, 6/15/19

       10        9,650   

5.88%, 6/15/24

       250        237,500   

William Lyon Homes, Inc., 8.50%, 11/15/20

       240        238,800   
      

 

 

 
        5,551,860   

Household Products — 0.2%

      

Prestige Brands, Inc., 6.38%, 3/01/24 (a)

       89        91,670   

Spectrum Brands, Inc.:

      

6.38%, 11/15/20

       400        421,500   

6.63%, 11/15/22

       695        747,994   

5.75%, 7/15/25 (a)

       20        21,075   
      

 

 

 
        1,282,239   

Independent Power and Renewable Electricity Producers — 0.2%

  

 

Calpine Corp.:

      

6.00%, 1/15/22 (a)

       274        280,850   

5.88%, 1/15/24 (a)

       194        197,395   

5.50%, 2/01/24

       525        472,500   

5.75%, 1/15/25

       105        94,500   

Dynegy, Inc., 6.75%, 11/01/19

       470        435,631   

NRG Energy, Inc.:

      

6.25%, 7/15/22

       137        115,765   

6.25%, 5/01/24

       176        146,080   

NRG Yield Operating LLC, 5.38%, 8/15/24

       75        66,000   

QEP Resources, Inc., 5.25%, 5/01/23

       48        33,600   
      

 

 

 
        1,842,321   

Industrial Conglomerates — 0.0%

      

Smiths Group PLC, 3.63%, 10/12/22 (a)

             360        358,634   

Insurance — 2.4%

      

Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25

       1,495        1,497,371   

American International Group, Inc.,
3.75%, 7/10/25

       3,380        3,316,557   

Aon PLC, 3.88%, 12/15/25 (e)

       1,445        1,460,910   

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

     EUR        500        595,431   

Five Corners Funding Trust,
4.42%, 11/15/23 (a)(c)

     USD        2,050        2,121,469   

Hartford Financial Services Group, Inc., 5.13%, 4/15/22

       1,860        2,059,459   

HUB International Ltd., 9.25%, 2/15/21 (a)

       87        88,958   

Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a)(c)

       2,000        2,317,984   

Lincoln National Corp., 3.35%, 3/09/25 (c)

       1,045        993,515   
Corporate Bonds   

Par  

(000)

    Value  

Insurance (continued)

      

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

     EUR        400      $ 511,599   

Prudential Financial, Inc. (c):

      

5.90%, 3/17/36

     USD        500        551,198   

5.70%, 12/14/36

       1,625        1,745,612   

Trader Corp., 9.88%, 8/15/18 (a)

       680        707,200   

Wayne Merger Sub LLC, 8.25%, 8/01/23 (a)

       10        9,000   
      

 

 

 
        17,976,263   

Internet Software & Services — 0.1%

      

Blue Coat Holdings, Inc., 8.38%, 6/01/23 (a)

       176        174,240   

Equinix, Inc., 4.88%, 4/01/20

       173        179,488   

Netflix, Inc., 5.75%, 3/01/24

       250        262,187   
      

 

 

 
        615,915   

IT Services — 0.6%

      

Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (a)

       155        127,875   

First Data Corp. (a):

      

5.38%, 8/15/23

       671        697,840   

7.00%, 12/01/23

       1,306        1,306,000   

5.00%, 1/15/24

       577        586,019   

5.75%, 1/15/24

       1,489        1,498,306   
      

 

 

 
        4,216,040   

Life Sciences Tools & Services — 0.1%

      

Agilent Technologies, Inc., 3.20%, 10/01/22

             500        499,264   

Marine — 0.3%

      

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

             2,150        2,343,500   

Media — 6.3%

      

21st Century Fox America, Inc., 7.63%, 11/30/28

       385        506,533   

Altice US Finance I Corp., 5.38%, 7/15/23 (a)

       770        779,625   

Altice US Finance II Corp., 7.75%, 7/15/25 (a)

       400        373,000   

Altice US Finance SA, 7.75%, 7/15/25 (a)

       360        333,900   

AMC Networks, Inc., 4.75%, 12/15/22

       686        696,290   

CCO Holdings LLC/CCO Holdings Capital Corp.:

      

5.25%, 9/30/22

       740        748,325   

5.13%, 5/01/23 (a)

       100        99,250   

5.88%, 4/01/24 (a)

       524        535,135   

5.88%, 5/01/27 (a)

       770        770,000   

CCO Safari II LLC, 4.91%, 7/23/25 (a)

       4,000        4,103,604   

CCOH Safari LLC, 5.75%, 2/15/26 (a)

       258        258,679   

Cinemark USA, Inc., 5.13%, 12/15/22

       350        355,688   

Clear Channel International BV,
8.75%, 12/15/20 (a)

       284        286,840   

Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22

       5,260        5,018,137   

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

       2,600        3,635,460   

Comcast Corp. (c):

      

3.38%, 8/15/25

       4,500        4,725,310   

6.45%, 3/15/37

       790        998,884   

Cox Communications, Inc. (a):

      

6.95%, 6/01/38

       1,000        955,352   

8.38%, 3/01/39 (c)

       3,475        3,792,295   

CSC Holdings LLC, 5.25%, 6/01/24

       480        410,400   

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:

      

6.38%, 3/01/41

       520        558,562   

5.15%, 3/15/42

       1,400        1,298,440   

Discovery Communications LLC:

      

3.25%, 4/01/23

       1,850        1,698,960   

3.45%, 3/15/25

       210        188,954   

DISH DBS Corp.:

      

5.13%, 5/01/20

       220        217,800   

6.75%, 6/01/21

       365        371,844   

5.88%, 11/15/24

       335        301,014   

Gray Television, Inc., 7.50%, 10/01/20

       506        531,932   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    15


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

      

iHeartCommunications, Inc.:

      

9.00%, 12/15/19

     USD        371      $ 261,555   

9.00%, 3/01/21

       9        6,131   

Intelsat Jackson Holdings SA:

      

7.25%, 10/15/20

       95        65,550   

5.50%, 8/01/23

       575        373,750   

Interpublic Group of Cos., Inc., 3.75%, 2/15/23

       2,000        1,955,490   

Lamar Media Corp., 5.75%, 2/01/26 (a)

       50        51,781   

Live Nation Entertainment, Inc.,
7.00%, 9/01/20 (a)

       218        228,628   

Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (a)

       340        343,400   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a)

       117        118,170   

Neptune Finco Corp. (a):

      

10.13%, 1/15/23

       300        322,875   

6.63%, 10/15/25

       512        540,160   

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (a)

       685        693,562   

Numericable Group SA (a):

      

6.00%, 5/15/22

       790        782,100   

6.25%, 5/15/24

       200        195,000   

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.25%, 2/15/22

       415        424,338   

Sirius XM Radio, Inc. (a):

      

4.25%, 5/15/20

       893        906,395   

5.38%, 4/15/25

       25        24,938   

TCI Communications, Inc., 7.88%, 2/15/26 (c)

       610        827,042   

TEGNA, Inc., 4.88%, 9/15/21 (a)

       50        51,250   

Time Warner, Inc.:

      

3.60%, 7/15/25 (c)

       750        737,191   

6.10%, 7/15/40

       830        874,606   

Tribune Media Co., 5.88%, 7/15/22 (a)

       514        514,000   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 (a)

       705        738,487   

Univision Communications, Inc.,
5.13%, 5/15/23 (a)

       1,176        1,167,180   

WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (a)

       520        495,300   

Ziggo Bond Finance BV, 5.88%, 1/15/25 (a)

       260        252,200   
      

 

 

 
        47,501,292   

Metals & Mining — 1.7%

      

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

       2,900        2,842,000   

ArcelorMittal, 6.13%, 6/01/18

       200        196,272   

Constellium NV (a):

      

8.00%, 1/15/23

       650        552,500   

5.75%, 5/15/24

       500        380,000   

Freeport-McMoRan Copper & Gold, Inc., 3.10%, 3/15/20

       50        36,110   

Freeport-McMoRan, Inc.:

      

2.30%, 11/14/17

       189        172,935   

2.38%, 3/15/18

       468        403,650   

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

       7,443        6,903,382   

Steel Dynamics, Inc.:

      

5.13%, 10/01/21

       380        370,500   

5.25%, 4/15/23

       295        276,562   

5.50%, 10/01/24

       48        45,000   

Teck Resources Ltd., 3.00%, 3/01/19

       114        86,925   

Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (a)

       371        311,640   
      

 

 

 
        12,577,476   

Multiline Retail — 0.6%

      

Dollar Tree Inc., 5.75%, 3/01/23 (a)

       1,640        1,744,550   

Dufry Finance SCA, 5.50%, 10/15/20 (a)

       2,520        2,627,100   
      

 

 

 
        4,371,650   
Corporate Bonds   

Par  

(000)

    Value  

Offshore Drilling & Other Services — 0.1%

      

Sensata Technologies BV, 5.00%, 10/01/25 (a)

     USD        420      $ 412,650   

Oil, Gas & Consumable Fuels — 2.4%

      

Anadarko Finance Co., Series B, 7.50%, 5/01/31

       24        21,509   

Anadarko Petroleum Corp., 3.45%, 7/15/24

       191        154,803   

Bonanza Creek Energy, Inc., 6.75%, 4/15/21

       31        9,223   

California Resources Corp., 8.00%, 12/15/22 (a)

       157        39,250   

Cenovus Energy, Inc.:

      

3.00%, 8/15/22

       25        18,257   

3.80%, 9/15/23

       35        25,426   

Concho Resources, Inc., 5.50%, 4/01/23

       350        325,500   

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

       685        652,060   

Continental Resources, Inc., 3.80%, 6/01/24

       460        311,773   

CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (a)

       610        521,550   

Denbury Resources, Inc.:

      

6.38%, 8/15/21

       17        5,440   

5.50%, 5/01/22

       22        6,875   

4.63%, 7/15/23

       627        181,830   

Diamondback Energy, Inc., 7.63%, 10/01/21

       328        331,280   

Energy Transfer Equity LP:

      

5.88%, 1/15/24

       27        22,275   

5.50%, 6/01/27

       28        21,140   

Freeport-McMoRan Oil & Gas LLC/FCX Oil & Gas, Inc.:

  

   

6.50%, 11/15/20

       50        36,875   

6.63%, 5/01/21

       50        36,875   

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

       1,010        1,233,841   

Marathon Petroleum Corp., 6.50%, 3/01/41 (c)

       2,049        1,608,002   

MEG Energy Corp. (a):

      

6.50%, 3/15/21

       560        270,200   

7.00%, 3/31/24

       880        404,800   

Memorial Resource Development Corp., 5.88%, 7/01/22

       526        357,680   

MidAmerican Energy Co., 5.80%, 10/15/36 (c)

       1,500        1,871,952   

MidAmerican Energy Holdings Co., 5.95%, 5/15/37 (c)

       1,750        2,052,671   

Newfield Exploration Co., 5.63%, 7/01/24

       77        69,878   

NGPL PipeCo LLC (a):

      

7.12%, 12/15/17

       140        130,550   

7.77%, 12/15/37

       107        75,970   

Noble Energy, Inc., 5.63%, 5/01/21

       309        279,038   

ONEOK, Inc., 7.50%, 9/01/23

       90        77,850   

PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20

       94        95,128   

PDC Energy, Inc., 7.75%, 10/15/22

       520        483,600   

Range Resources Corp.:

      

5.75%, 6/01/21

       213        179,985   

5.00%, 8/15/22

       53        44,255   

Rockies Express Pipeline LLC, 5.63%, 4/15/20 (a)

       530        472,429   

RSP Permian, Inc., 6.63%, 10/01/22 (a)

       59        52,805   

Sabine Pass Liquefaction LLC:

      

5.63%, 2/01/21

       948        904,747   

6.25%, 3/15/22

       796        758,190   

5.63%, 4/15/23

       937        864,382   

Seven Generations Energy Ltd.,
8.25%, 5/15/20 (a)

       700        670,250   

SM Energy Co., 6.13%, 11/15/22

       540        234,900   

Weatherford International LLC, 6.35%, 6/15/17

       125        118,125   

Weatherford International Ltd., 6.00%, 3/15/18

       54        46,170   

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

       1,425        1,220,069   

Whiting Petroleum Corp.:

      

1.25%, 4/01/20 (a)(f)

       881        321,014   

6.25%, 4/01/23

       1        458   

Williams Cos., Inc.:

      

3.70%, 1/15/23

       67        49,580   

4.55%, 6/24/24

       38        28,500   
      

 

 

 
        17,698,960   
 

 

See Notes to Financial Statements.

 

                
16    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Paper & Forest Products — 0.1%

      

International Paper Co., 6.00%, 11/15/41

     USD        870      $ 848,742   

Unifrax I LLC/Unifrax Holding Co.,
7.50%, 2/15/19 (a)

       180        138,600   
      

 

 

 
        987,342   

Pharmaceuticals — 2.0%

      

AbbVie, Inc., 3.60%, 5/14/25

       870        888,195   

Actavis Funding SCS, 4.55%, 3/15/35

       2,140        2,152,861   

Actavis, Inc., 3.25%, 10/01/22

       4,000        4,016,316   

DPx Holdings BV, 7.50%, 2/01/22 (a)

       75        71,625   

Endo Finance LLC, 5.75%, 1/15/22 (a)

       255        257,550   

Endo Finance LLC/Endo Finco, Inc. (a):

      

5.88%, 1/15/23

       440        437,800   

6.00%, 7/15/23

       720        727,200   

Forest Laboratories, Inc., 5.00%, 12/15/21 (a)

       758        831,760   

Grifols Worldwide Operations Ltd., 5.25%, 4/01/22

       200        206,750   

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (a)

       653        666,060   

Valeant Pharmaceuticals International, Inc. (a):

      

6.75%, 8/15/18

       2,643        2,550,495   

5.38%, 3/15/20

       270        244,350   

6.38%, 10/15/20

       1,150        1,055,125   

5.63%, 12/01/21

       754        645,138   
      

 

 

 
        14,751,225   

Real Estate — 0.2%

      

AvalonBay Communities, Inc., 3.45%, 6/01/25 (c)

       1,535        1,566,038   

Prologis LP, 3.75%, 11/01/25

       315        321,014   
      

 

 

 
        1,887,052   

Real Estate Investment Trusts (REITs) — 1.6%

      

ERP Operating LP:

      

3.38%, 6/01/25

       1,245        1,266,342   

4.50%, 6/01/45

       1,155        1,180,165   

FelCor Lodging LP:

      

5.63%, 3/01/23

       494        502,645   

6.00%, 6/01/25

       150        153,750   

HCP, Inc. (c):

      

3.88%, 8/15/24

       3,000        2,817,171   

4.00%, 6/01/25

       2,000        1,890,250   

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, 10/15/21

       955        990,813   

Simon Property Group LP, 4.75%, 3/15/42 (c)

       1,670        1,785,126   

Ventas Realty LP, 4.13%, 1/15/26

       870        882,031   

Ventas Realty LP/Ventas Capital Corp.,
4.75%, 6/01/21

       550        591,981   
      

 

 

 
        12,060,274   

Real Estate Management & Development — 0.7%

  

 

Lennar Corp., 4.75%, 11/15/22

       430        424,625   

Northwest Florida Timber Finance LLC, 4.75%, 3/04/29 (a)(c)

       4,600        4,147,599   

Realogy Group LLC/Realogy Co-Issuer Corp., 5.25%, 12/01/21 (a)

       863        877,024   
      

 

 

 
        5,449,248   

Road & Rail — 1.1%

      

Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (a):

      

5.13%, 6/01/22

       55        51,425   

5.25%, 3/15/25

       545        482,325   

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

       1,890        2,221,334   

Hertz Corp.:

      

5.88%, 10/15/20

       460        446,200   

7.38%, 1/15/21

       150        148,875   

Lima Metro Line 2 Finance Ltd., 5.88%, 7/05/34 (a)

       5,000        4,712,500   
      

 

 

 
        8,062,659   
Corporate Bonds   

Par  

(000)

    Value  

Semiconductors & Semiconductor Equipment — 0.8%

  

 

Analog Devices, Inc., 3.90%, 12/15/25

     USD        470      $ 494,781   

Applied Materials, Inc., 3.90%, 10/01/25

       1,155        1,198,681   

NXP BV/NXP Funding LLC (a):

      

4.13%, 6/15/20

       420        424,767   

5.75%, 2/15/21

       940        977,600   

QUALCOMM, Inc., 3.45%, 5/20/25

       1,950        1,962,273   

Seagate HDD Cayman, 4.88%, 6/01/27 (a)

       1,000        693,315   
      

 

 

 
        5,751,417   

Software — 0.4%

      

ACI Worldwide, Inc., 6.38%, 8/15/20 (a)

       320        326,800   

Ensemble S Merger Sub, Inc., 9.00%, 9/30/23 (a)

       210        194,250   

Informatica LLC, 7.13%, 7/15/23 (a)

       325        299,000   

Nuance Communications, Inc.,
5.38%, 8/15/20 (a)

       160        163,600   

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

       1,575        1,803,841   

Solera LLC/Solera Finance, Inc.,
10.50%, 3/01/24 (a)

       459        436,050   
      

 

 

 
        3,223,541   

Specialty Retail — 0.5%

      

Asbury Automotive Group, Inc., 6.00%, 12/15/24

       320        316,800   

Home Depot, Inc., 5.88%, 12/16/36 (c)

       1,660        2,071,214   

L Brands, Inc., 6.88%, 11/01/35 (a)

       332        352,750   

Michaels Stores, Inc., 5.88%, 12/15/20 (a)

       250        257,500   

Party City Holdings, Inc., 6.13%, 8/15/23 (a)

       90        88,200   

Penske Automotive Group, Inc., 5.38%, 12/01/24

       186        180,420   

Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23

       160        167,200   
      

 

 

 
        3,434,084   

Technology Hardware, Storage & Peripherals — 0.4%

  

Hewlett Packard Enterprise Co.,
4.90%, 10/15/25 (a)

             2,995        2,842,387   

Textiles, Apparel & Luxury Goods — 0.1%

  

Levi Strauss & Co., 5.00%, 5/01/25

       90        90,009   

Springs Industries, Inc., 6.25%, 6/01/21

       806        795,925   

William Carter Co., 5.25%, 8/15/21

       77        78,540   
      

 

 

 
        964,474   

Thrifts & Mortgage Finance — 0.0%

      

Radian Group, Inc., 5.25%, 6/15/20

             260        245,700   

Tobacco — 1.4%

      

Altria Group, Inc.:

      

9.95%, 11/10/38

       516        844,849   

10.20%, 2/06/39

       894        1,504,526   

5.38%, 1/31/44 (c)

       4,030        4,550,402   

BAT International Finance PLC, 3.95%, 6/15/25 (a)

       2,000        2,145,628   

Reynolds American, Inc.:

      

4.45%, 6/12/25

       635        689,527   

7.00%, 8/04/41

       1,000        1,146,515   
      

 

 

 
        10,881,447   

Transportation Infrastructure — 0.3%

      

I 595 Express LLC, 3.31%, 12/31/31

       1,609        1,634,419   

Transurban Finance Co., 4.13%, 2/02/26 (a)

       580        582,439   
      

 

 

 
        2,216,858   

Wireless Telecommunication Services — 2.3%

      

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

       1,595        1,601,925   

Communications Sales & Leasing, Inc./CSL Capital LLC, 8.25%, 10/15/23

       80        71,400   

Crown Castle International Corp., 5.25%, 1/15/23

       930        984,637   

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

       3,155        3,476,704   

Digicel Ltd., 6.00%, 4/15/21 (a)

       1,550        1,326,800   

Equinix, Inc., 5.88%, 1/15/26

       350        365,750   

Rogers Communications, Inc., 7.50%, 8/15/38 (c)

       2,325        3,022,377   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    17


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Corporate Bonds   

Par  

(000)

    Value  

Wireless Telecommunication Services (continued)

  

SBA Communications Corp., 4.88%, 7/15/22

     USD        765      $ 778,388   

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

       720        728,205   

Sprint Capital Corp.:

      

6.90%, 5/01/19

       140        119,350   

6.88%, 11/15/28

       565        409,625   

8.75%, 3/15/32

       110        84,700   

Sprint Communications, Inc.:

      

9.00%, 11/15/18 (a)

       1,360        1,411,816   

7.00%, 3/01/20 (a)

       236        231,870   

7.00%, 8/15/20

       280        219,800   

Sprint Corp.:

      

7.25%, 9/15/21

       240        180,600   

7.13%, 6/15/24

       123        87,638   

T-Mobile USA, Inc.:

      

6.63%, 4/28/21

       570        595,650   

6.73%, 4/28/22

       130        135,993   

6.84%, 4/28/23

       40        41,600   

6.50%, 1/15/24

       240        246,600   

6.38%, 3/01/25

       555        560,550   

6.50%, 1/15/26

       444        449,936   
      

 

 

 
        17,131,914   
Total Corporate Bonds - 62.8%        472,167,281   
      
                          
Floating Rate Loan Interests (b)               

Chemicals — 0.0%

  

MacDermid, Inc., Term Loan B3, 5.50%, 6/07/20

             104        94,274   

Commercial Services & Supplies — 0.0%

      

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 12/01/18

             120        110,119   

Diversified Financial Services — 0.0%

      

Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18

             144        143,593   

Energy Equipment & Services — 0.0%

      

MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20

             58        41,096   

Food & Staples Retailing — 0.0%

      

US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19

             209        206,053   

Health Care Equipment & Supplies — 0.0%

      

Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18

             25        24,335   

Health Care Providers & Services — 0.1%

      

Envision Healthcare Corp., Term Loan:

      

5.13%, 7/01/22 (a)

       115        115,575   

B2, 4.50%, 10/28/22

       112        111,328   

Vizient, Inc., 1st Lien Term Loan, 6.25%, 2/13/23

       145        144,094   
      

 

 

 
        370,997   

Hotels, Restaurants & Leisure — 0.1%

      

Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20

             385        349,068   

Media — 0.0%

      

Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19

             111        99,052   

Pharmaceuticals — 0.0%

      

DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21

             23        22,171   

Semiconductors & Semiconductor Equipment — 0.2%

  

Avago Technologies Cayman Ltd., 2016 Term Loan B1, 4.25%, 11/06/22

       1,008        993,354   

Microsemi Corp., 2015 Term Loan B, 5.25%, 1/15/23

       63        62,983   
Floating Rate Loan Interests (b)   

Par  

(000)

    Value  

Semiconductors & Semiconductor Equipment (continued)

  

NXP BV, 2015 Term Loan B, 3.75%, 10/30/20

     USD        305      $ 304,095   
      

 

 

 
        1,360,432   

Software — 0.0%

      

Solera Holdings, Inc., Term Loan B, 5.75%, 2/10/23

             268        261,635   

Specialty Retail — 0.0%

      

CNT Holdings III Corp., Term Loan B, 5.25%, 1/22/23

             121        120,092   

Wireless Telecommunication Services — 0.1%

      

T-Mobile USA, Inc., Term Loan B, 3.50%, 10/30/22

             304        304,192   
Total Floating Rate Loan Interests — 0.5%        3,507,109   
      
                          
Foreign Agency Obligations                      

Cyprus Government International Bond, 4.63%, 2/03/20 (a)

     EUR        1,210        1,368,872   

Iceland Government International Bond, 5.88%, 5/11/22

     USD        3,555        4,068,285   

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

       2,925        3,368,950   

Portugal Government International Bond, 5.13%, 10/15/24 (a)

       5,870        5,778,440   

Slovenia Government International Bond, 5.85%, 5/10/23 (a)

             864        987,120   
Total Foreign Agency Obligations — 2.1%        15,571,667   
      
                          
Municipal Bonds                      

City of Detroit Michigan, GO, Financial Recovery (b):

      

Series B-1, 4.00%, 4/01/44

       251        115,324   

Series B-2, 4.00%, 4/01/44

       80        35,581   

City of New York New York Municipal Water Finance Authority, Refunding RB, 2nd General Resolution:

      

Series EE, 5.50%, 6/15/43

       930        1,094,684   

Series GG, Build America Bonds, 5.72%, 6/15/42

       1,390        1,829,059   

Water & Sewer System, Series EE, 5.38%, 6/15/43

       770        901,932   

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

       1,900        2,494,149   

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

       2,535        3,332,764   

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

       1,295        1,958,662   

Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, Series A, 7.06%, 4/01/57

       2,000        2,267,320   

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

      

5.63%, 3/15/39

       1,100        1,363,527   

5.60%, 3/15/40

       1,900        2,393,753   

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

       780        987,917   

State of California, GO, Build America Bonds, Various Purposes:

      

7.55%, 4/01/39

       280        417,234   

7.63%, 3/01/40

       1,720        2,555,782   

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

       2,000        1,862,580   

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

             885        1,110,657   
Total Municipal Bonds — 3.3%        24,720,925   
 

 

See Notes to Financial Statements.

 

                
18    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Collateralized Mortgage Obligations — 0.9%

  

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

     USD        1,005      $ 859,248   

Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.50%, 4/01/18

       6        6   

Countrywide Alternative Loan Trust:

      

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

       1,663        1,584,862   

Series 2006-OA21, Class A1, 0.62%, 3/20/47 (b)

       1,241        877,722   

Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1,
2.78%, 7/27/36 (a)(b)

       1,254        1,247,106   

GMAC Mortgage Corp. Loan Trust,
Series 2005-AR3, Class 5A1,
3.18%, 6/19/35 (b)

       780        767,231   

GSR Mortgage Loan Trust:

      

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

       138        127,924   

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

       313        281,019   

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

       114        96,818   

Merrill Lynch Mortgage Investors, Inc.,
Series 2006-A3, Class 3A1,
2.90%, 5/25/36 (b)

       837        667,971   

WaMu Mortgage Pass-Through Certificates,
Series 2007-OA4, Class 1A,
1.09%, 5/25/47 (b)

       268        220,495   
      

 

 

 
        6,730,402   

Commercial Mortgage-Backed Securities — 14.1%

  

Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 4/14/33 (a)(b)

       4,170        4,076,875   

Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2007-2, Class A4, 5.61%, 4/10/49 (b)

       1,500        1,521,328   

Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class B,
5.10%, 9/10/46 (b)

       7,183        7,738,563   

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

       2,193        2,210,658   

Commercial Mortgage Loan Trust, Series 2008-LS1, Class A4B, 6.10%, 12/10/49 (b)

       1,026        1,074,297   

Commercial Mortgage Trust:

      

Series 2006-C7, Class AM, 5.87%, 6/10/46 (b)

       3,500        3,517,178   

Series 2013-CR11, Class B,
5.16%, 10/10/46 (b)

       7,000        7,636,686   

Series 2013-LC6, Class B, 3.74%, 1/10/46

       1,390        1,388,598   

Series 2013-LC6, Class D, 4.29%, 1/10/46 (a)(b)

       1,670        1,450,266   

Series 2015-3BP, Class A, 3.18%, 2/10/35 (a)

       7,570        7,609,800   

Series 2015-CR22, Class C,
4.13%, 3/10/48 (b)

       5,000        4,321,241   

Series 2015-LC19, Class C,
4.26%, 2/10/48 (b)

       3,500        3,129,900   

Core Industrial Trust, Series 2015-TEXW, Class D, 3.85%, 2/10/34 (a)(b)

       4,585        4,396,275   

Credit Suisse Commercial Mortgage Trust:

      

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

       2,000        2,010,166   

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

       3,500        3,549,814   
Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

  

Credit Suisse Commercial Mortgage Trust (continued):

  

Series 2010-RR2, Class 2A, 5.95%, 9/15/39 (a)(b)

     USD        1,116      $ 1,151,469   

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

       22        22,121   

CSAIL Commercial Mortgage Trust, Series 2015-C1:

      

Class B, 4.04%, 4/15/50

       1,110        1,101,847   

Class C, 4.30%, 4/15/50 (b)

       1,000        924,663   

Class D, 3.80%, 4/15/50 (a)(b)

       1,000        739,013   

DBRR Trust, Series 2011-C32, Class A3A, 5.72%, 6/17/49 (a)(b)

       730        750,707   

GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX, 3.38%, 12/15/19 (a)(b)

       6,170        5,834,430   

Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.89%, 7/10/38 (b)

       646        647,102   

GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (a)

       2,505        2,458,474   

Hilton USA Trust, Series 2013- HLT, 4.41%, 11/05/30 (a)

       5,900        5,882,204   

JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.08%, 11/15/45 (a)(b)

       1,600        1,435,798   

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-LN2, Class A2, 5.12%, 7/15/41

       45        44,826   

LB-UBS Commercial Mortgage Trust (b):

      

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

       8,136        8,314,372   

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

       2,148        2,262,494   

Morgan Stanley Capital I Trust (b):

      

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

       8,000        8,150,922   

Series 2014-CPT, Class G, 3.45%, 7/13/29 (a)

       3,200        2,890,946   

RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (a)

       610        615,099   

Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.95%, 2/15/51 (b)

       4,196        4,333,354   

WF-RBS Commercial Mortgage Trust, Series 2012-C8:

      

Class B, 4.31%, 8/15/45

       1,395        1,426,729   

Class C, 4.87%, 8/15/45 (b)

       1,795        1,821,241   
      

 

 

 
        106,439,456   

Interest Only Collateralized Mortgage Obligations — 0.0%

  

GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b)

             1,153        12   

Interest Only Commercial Mortgage-Backed Securities — 0.3%

  

Commercial Mortgage Loan Trust, Series 2015-LC21, Class XA, 0.88%, 7/10/48 (b)

       19,569        1,017,853   

WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class XA,
2.16%, 8/15/45 (a)(b)

       11,561        951,175   
      

 

 

 
        1,969,028   
Total Non-Agency Mortgage-Backed Securities — 15.3%        115,138,898   
      
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    19


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Preferred Securities   

Par  

(000)

    Value  
Capital Trusts                      

Banks — 4.9%

      

BNP Paribas SA, 7.20% (a)(b)(g)

     USD        2,000      $ 2,150,000   

Capital One Financial Corp., Series E, 5.55% (b)(g)

       3,500        3,386,250   

Citigroup, Inc.,:

      

Series D, 5.95% (b)(g)

       2,100        1,974,000   

Series M, 6.30% (b)(g)

       4,000        3,740,000   

Series Q, 5.95% (b)(g)

       100        94,000   

Series R, 6.13% (b)(g)

       605        595,925   

Credit Agricole SA:

      

6.63% (a)(b)(g)

       1,400        1,233,503   

7.88% (a)(b)(g)

       1,000        880,998   

JPMorgan Chase & Co.:

      

Series 1, 7.90% (b)(g)

       7,000        6,982,500   

Series Q, 5.15% (b)(g)

       3,000        2,805,960   

Series U, 6.13% (b)(g)

       500        497,500   

Series V, 5.00% (b)(g)

       6,710        6,273,850   

Nordea Bank AB, 6.13% (a)(b)(g)

       2,960        2,641,800   

Wells Fargo & Co.:

      

Series S, 5.90% (b)(g)

       3,390        3,398,475   

Series U, 5.88% (b)(g)

       530        561,164   
      

 

 

 
        37,215,925   

Capital Markets — 0.7%

      

Goldman Sachs Group, Inc., Series L, 5.70% (b)(g)

       792        758,340   

Morgan Stanley, Series H, 5.45% (b)(g)

       2,627        2,456,245   

State Street Capital Trust IV,
1.63%, 6/15/37 (b)

       140        98,000   

State Street Corp., Series F, 5.25% (b)(g)

       2,000        1,987,600   
      

 

 

 
        5,300,185   

Diversified Financial Services — 2.5%

      

Bank of America Corp.:

      

Series V, 5.13% (b)(g)

       385        356,125   

Series X, 6.25% (b)(g)

       3,570        3,453,975   

Bank of New York Mellon Corp.:

      

Series D, 4.50% (b)(c)(g)

       8,400        7,434,000   

Series E, 4.95% (b)(g)

       2,000        1,956,000   

Macquarie Bank Ltd., 10.25%, 6/20/57 (b)

       1,800        1,882,566   

Societe Generale SA:

      

6.00% (a)(b)(g)

  

    3,000        2,526,744   

7.88% (a)(b)(g)

  

    1,000        890,000   
      

 

 

 
        18,499,410   

Electric Utilities — 0.5%

      

Electricite de France SA, 5.25% (a)(b)(g)

             4,200        3,648,750   

Industrial Conglomerates — 0.3%

      

General Electric Co., Series D, 5.00% (b)(g)

             2,131        2,162,965   

Insurance — 2.4%

      

Allstate Corp:

      

5.75%, 8/15/53 (b)

       2,000        1,992,500   

6.50%, 5/15/57 (b)

       4,100        4,407,500   

Liberty Mutual Group, Inc.,
7.00%, 3/07/67 (a)(b)

       1,950        1,725,750   

MetLife, Inc., 6.40%, 12/15/36

       5,585        5,461,907   

Voya Financial, Inc., 5.65%, 5/15/53 (b)

       4,500        4,179,105   
      

 

 

 
        17,766,762   
Total Capital Trusts — 11.3%        84,593,997   
Preferred Stocks          

Shares

    Value  

Banks — 1.3%

      

U.S. Bancorp, 6.00% (b)(g)

       300,000      $ 7,923,000   

Wells Fargo & Co., 5.85% (b)(g)

       75,000        1,911,750   
      

 

 

 
        9,834,750   

Capital Markets — 0.4%

      

Goldman Sachs Group, Inc., Series J, 5.50% (b)(g)

  

    92,000        2,267,800   

SCE Trust III, 5.75% (b)(g)

       25,314        668,543   
      

 

 

 
        2,936,343   

Thrifts & Mortgage Finance — 0.0%

      

Fannie Mae, Series S, 8.25% (b)(g)

             10,000        31,200   
Total Preferred Stocks — 1.7%        12,802,293   
      
                          
Trust Preferred — 0.1%                      

Banks — 0.1%

      

Citigroup Capital XIII, 6.99%

             29,583        750,653   
Total Preferred Securities — 13.1%        98,146,943   
      
                          
U.S. Government Sponsored Agency Securities   

Par  

(000)

        

Agency Obligations — 1.6%

      

Fannie Mae, 5.63%, 7/15/37 (c)

     USD        1,600        2,244,200   

Federal Home Loan Bank (c):

      

5.25%, 12/09/22

       1,375        1,682,335   

5.37%, 9/09/24

       2,175        2,732,287   

Resolution Funding Corp., 0.00%,
7/15/18 - 4/15/30 (h)

       7,105        5,098,290   
      

 

 

 
        11,757,112   

Collateralized Mortgage Obligations — 0.0%

      

Fannie Mae Mortgage-Backed Securities:

      

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

       270        283,684   

Series 1991-87, Class S,
25.53%, 8/25/21 (b)

       6        8,576   

Series G-49, Class S,
989.48%, 12/25/21 (b)

       (i)      84   

Series G-17, Class S,
1,036.08%, 6/25/21 (b)

       22        257   

Series G-33, Class PV,
1,078.42%, 10/25/21

       19        100   

Series G-07, Class S,
1,095.42%, 3/25/21 (b)

       (i)      424   

Series 1991-46, Class S,
2,419.20%, 5/25/21 (b)

       18        795   

Freddie Mac Mortgage-Backed Securities:

      

Series 0173, Class R,
9.00%, 11/15/21

       2        2   

Series 0173, Class RS,
9.95%, 11/15/21 (b)

       (i)      2   

Series 1057, Class J,
1,008.00%, 3/15/21

       14        129   

Series 0019, Class R,
15,954.13%, 3/15/20 (b)

       1        111   
      

 

 

 
        294,164   

Commercial Mortgage-Backed Securities — 0.8%

  

Freddie Mac Mortgage-Backed Securities:

      

Series 2013-K24, Class B,
3.50%, 11/25/45 (a)(b)

       3,500        3,427,789   
 

 

See Notes to Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

U.S. Government Sponsored Agency Securities   

Par  

(000)

    Value  

Commercial Mortgage-Backed Securities (continued)

  

Freddie Mac Mortgage-Backed Securities (continued):

  

Series K013, Class A2,
3.97%, 1/25/21

     USD        1,870      $ 2,065,478   

Series 2012-K706, Class C,
4.03%, 11/25/44 (a)(b)

       335        340,266   
      

 

 

 
        5,833,533   

Interest Only Collateralized Mortgage Obligations — 1.2%

  

Fannie Mae Mortgage-Backed Securities:

      

Series 1997-50, Class SI,
1.20%, 4/25/23 (b)

       57        1,723   

Series 2012-96, Class DI,
4.00%, 2/25/27

       8,271        687,831   

Series 2012-M9, Class X1,
4.02%, 12/25/17 (b)

       17,523        824,520   

Series 2012-47, Class NI,
4.50%, 4/25/42

       7,220        1,120,770   

Series 089, Class 2,
8.00%, 10/25/18

       (i)      15   

Series 007, Class 2,
8.50%, 4/25/17

       (i)      9   

Series G92-05, Class H,
9.00%, 1/25/22

       2        117   

Series 094, Class 2,
9.50%, 8/25/21

       (i)      56   

Series 1990-136, Class S,
19.64%, 11/25/20 (b)

       1,912        2,567   

Series 1991-139, Class PT,
648.35%, 10/25/21

       36        532   

Series 1991-099, Class L,
930.00%, 8/25/21

       16        115   

Series G-10, Class S,
1,059.73%, 5/25/21 (b)

       81        1,311   

Series G-12, Class S,
1,124.81%, 5/25/21 (b)

       52        721   

Freddie Mac Mortgage-Backed Securities:

      

Series K707, Class X1,
1.54%, 12/25/18 (b)

       4,823        177,131   

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

       877        59,296   

Series 1254, Class Z,
8.50%, 4/15/22

       25        5,230   

Series 1043, Class H,
43.04%, 2/15/21 (b)

       1,734        2,781   

Series 1054, Class I,
843.43%, 3/15/21 (b)

       12        169   

Series 0176, Class M,
1,010.00%, 7/15/21

       5        97   

Series 1056, Class KD,
1,084.50%, 3/15/21

       9        104   

Series 1148, Class E,
1,145.42%, 10/15/21 (b)

       11        140   

Series 0200, Class R,
192,309.80%, 12/15/22 (b)

       (i)      171   

Ginnie Mae Mortgage-Backed Securities (b):

      

Series 2009-78, Class SD,
5.77%, 9/20/32

       7,268        1,459,747   

Series 2009-116, Class KS, 6.04%, 12/16/39

       3,080        510,704   

Series 2011-52, Class NS, 6.24%, 4/16/41

       19,725        3,951,410   
      

 

 

 
        8,807,267   
U.S. Government Sponsored Agency Securities  

Par  

(000)

    Value  

Mortgage-Backed Securities — 6.1%

     

Fannie Mae Mortgage-Backed Securities:

     

3.00%, 8/01/43

    USD        12,284      $ 12,623,391   

4.00%, 12/01/41 - 12/01/43

      7,743        8,329,313   

4.50%, 7/01/41 - 4/01/42 (c)

      17,005        18,521,567   

5.00%, 8/01/34

      2,831        3,150,188   

5.50%, 7/01/16 - 6/01/38

      1,523        1,724,976   

6.00%, 3/01/16 - 12/01/38

      1,266        1,444,917   

Freddie Mac Mortgage-Backed Securities, 6.00%, 6/1/16 - 12/1/18

      85        86,582   

Ginnie Mae Mortgage-Backed Securities:

     

5.50%, 8/15/33

      60        67,186   

8.00%, 7/15/24

      (i)      255   
     

 

 

 
        45,948,375   

Principal Only Collateralized Mortgage Obligations — 0.0%

  

 

Fannie Mae Mortgage-Backed Securities, 0.00%, 2/25/23 - 6/25/23 (h)

            19        17,224   
Total U.S. Government Sponsored Agency Securities — 9.7%        72,657,675   
     
                         
U.S. Treasury Obligations                

U.S. Treasury Bonds, 3.00%, 11/15/44 (c)

      65,500        70,732,336   

U.S. Treasury Notes, 2.25%, 11/15/25 (c)

            34,500        36,036,320   
Total U.S. Treasury Obligations — 14.2%        106,768,656   
Total Long-Term Investments
(Cost — $995,969,544) — 133.4%
        1,002,108,592   
     
                         
Short-Term Securities — 1.3%     Shares         

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.37% (j)(k)

            9,946,997        9,946,997   
Total Short-Term Securities
(Cost — $9,946,997) — 1.3%
        9,946,997   
Options Purchased
(Cost — $4,351,992) — 0.6%
        4,667,410   
Total Investments Before Options Written
(Cost — $1,010,268,533) — 135.3%
        1,016,722,999   
     
           
     
Options Written
(Premiums Received — $10,264,926) — (1.6)%
        (11,871,655
Total Investments, Net of Options Written
(Cost — $1,000,003,607) — 133.7%
        1,004,851,344   
Liabilities in Excess of Other Assets — (33.7)%        (253,054,668
     

 

 

 

Net Assets — 100.0%

  

  $ 751,796,676   
     

 

 

 
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    21


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

 

Notes to Schedule of Investments

 

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

 

(b)   Variable rate security. Rate as of period end.

 

(c)   All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

 

(d)   Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

 

(e)   When-issued security.

 

(f)   Convertible security.

 

(g)   Perpetual security with no stated maturity date.

 

(h)   Zero-coupon bond.

 

(i)   Amount is less than $500.

 

(j)   During the period ended February 29, 2016, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
       Shares Held
at February 29,
2016
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

       9,920,365           26,632           9,946,997         $ 12,895   

 

(k)   Current yield as of period end.

 

 

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

Reverse Repurchase Agreements

 

Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
       Type of
Underlying Collateral
   Remaining
Contractual
Maturity of
the Agreements

BNP Paribas Securities Corp.

    0.10     5/07/15        Open      $ 67,112,500      $ 67,168,054         U.S. Treasury Obligations    Open/Demand1

Merrill Lynch, Pierce, Fenner & Smith, Inc.

    0.22     6/02/15        Open        1,323,000        1,325,199         U.S. Government Sponsored Agency Obligations    Open/Demand1

Merrill Lynch, Pierce, Fenner & Smith, Inc.

    0.22     6/02/15        Open        830,000        831,380         U.S. Government Sponsored Agency Obligations    Open/Demand1

BNP Paribas Securities Corp.

    0.21     6/10/15        Open        1,366,000        1,368,104         U.S. Government Sponsored Agency Obligations    Open/Demand1

BNP Paribas Securities Corp.

    0.21     6/10/15        Open        807,000        808,243         U.S. Government Sponsored Agency Obligations    Open/Demand1

BNP Paribas Securities Corp.

    0.21     6/10/15        Open        1,128,000        1,129,737         U.S. Government Sponsored Agency Obligations    Open/Demand1

BNP Paribas Securities Corp.

    0.21     6/10/15        Open        839,000        840,292         U.S. Government Sponsored Agency Obligations    Open/Demand1

Barclays Capital, Inc.

    0.55     12/17/15        Open        546,875        547,493         Corporate Bonds    Open/Demand1

Barclays Capital, Inc.

    0.55     12/17/15        Open        518,150        518,736         Corporate Bonds    Open/Demand1

Barclays Capital, Inc.

    0.55     12/17/15        Open        994,500        995,624         Corporate Bonds    Open/Demand1

Barclays Capital, Inc.

    0.55     12/17/15        Open        355,781        356,183         Corporate Bonds    Open/Demand1

Barclays Capital, Inc.

    0.55     12/17/15        Open        1,014,125        1,015,271         Corporate Bonds    Open/Demand1

Barclays Capital, Inc.

    0.55     12/17/15        Open        971,438        972,536         Corporate Bonds    Open/Demand1

Barclays Capital, Inc.

    0.55     12/17/15        Open        4,831,250        4,836,712         Corporate Bonds    Open/Demand1

Barclays Capital, Inc.

    0.55     12/17/15        Open        718,875        719,688         Corporate Bonds    Open/Demand1

Barclays Capital, Inc.

    0.55     12/17/15        Open        2,973,750        2,977,112         Corporate Bonds    Open/Demand1

Credit Suisse Securities (USA) LLC

    0.65     12/17/15        Open        950,950        952,221         Corporate Bonds    Open/Demand1

Credit Suisse Securities (USA) LLC

    0.65     12/17/15        Open        1,454,375        1,456,318         Corporate Bonds    Open/Demand1

Credit Suisse Securities (USA) LLC

    0.65     12/17/15        Open        1,104,688        1,106,163         Corporate Bonds    Open/Demand1

Credit Suisse Securities (USA) LLC

    0.75     12/17/15        Open        1,509,269        1,511,596         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        1,713,750        1,716,004         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        3,131,250        3,135,369         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        1,228,500        1,230,116         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        2,028,510        2,031,179         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        1,693,125        1,695,352         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        1,435,225        1,437,113         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        2,019,250        2,021,906         Corporate Bonds    Open/Demand1

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Reverse Repurchase Agreements (concluded)

 

Counterparty   Interest
Rate
    Trade
Date
    Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
       Type of
Underlying Collateral
   Remaining
Contractual
Maturity of
the Agreements

RBC Capital Markets LLC

    0.64     12/17/15        Open      $ 2,175,000      $ 2,177,861         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        2,002,725        2,005,360         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        1,448,563        1,450,468         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        4,725,000        4,731,216         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        4,342,500        4,348,213         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        1,822,500        1,824,898         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        2,036,475        2,039,154         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        1,909,860        1,912,372         Corporate Bonds    Open/Demand1

RBC Capital Markets LLC

    0.64     12/17/15        Open        1,835,000        1,837,414         Corporate Bonds    Open/Demand1

HSBC Securities (USA), Inc.

    0.65     12/18/15        Open        7,342,000        7,351,412         Capital Trusts    Open/Demand1

HSBC Securities (USA), Inc.

    0.65     12/18/15        Open        3,698,000        3,702,741         Corporate Bonds    Open/Demand1

HSBC Securities (USA), Inc.

    0.65     12/18/15        Open        4,884,000        4,890,261         Corporate Bonds    Open/Demand1

HSBC Securities (USA), Inc.

    0.65     12/18/15        Open        3,995,000        4,000,121         Corporate Bonds    Open/Demand1

HSBC Securities (USA), Inc.

    0.65     12/18/15        Open        2,857,000        2,860,662         Corporate Bonds    Open/Demand1

HSBC Securities (USA), Inc.

    0.65     12/18/15        Open        3,930,000        3,935,038         Corporate Bonds    Open/Demand1

HSBC Securities (USA), Inc.

    0.65     12/18/15        Open        3,529,000        3,533,524         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        1,746,000        1,748,546         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        3,680,000        3,685,367         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        874,000        875,275         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        1,409,000        1,411,055         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        1,038,000        1,039,514         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        479,000        479,698         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        784,000        785,143         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        2,024,000        2,026,952         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        3,799,000        3,804,540         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        1,379,000        1,381,011         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        2,212,000        2,215,226         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        783,000        784,142         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        4,650,000        4,656,781         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        953,000        954,390         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        934,000        935,362         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        4,631,000        4,637,754         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        1,158,000        1,159,689         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        2,720,000        2,723,967         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        2,463,000        2,466,592         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        2,615,000        2,618,814         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        1,680,000        1,682,450         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        479,000        479,698         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        1,158,000        1,159,689         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        953,000        954,390         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        1,846,000        1,848,692         Corporate Bonds    Open/Demand1

BNP Paribas Securities Corp.

    0.75     12/21/15        Open        2,024,000        2,026,952         Corporate Bonds    Open/Demand1

UBS Ltd.

    0.75     2/02/16        Open        2,856,450        2,858,063         Corporate Bonds    Open/Demand1

UBS Ltd.

    0.75     2/02/16        Open        2,780,000        2,781,570         Corporate Bonds    Open/Demand1

UBS Ltd.

    0.75     2/02/16        Open        2,176,875        2,178,104         Corporate Bonds    Open/Demand1

UBS Ltd.

    0.75     2/02/16        Open        2,610,000        2,611,474         Corporate Bonds    Open/Demand1

UBS Ltd.

    0.75     2/02/16        Open        2,323,000        2,324,312         Corporate Bonds    Open/Demand1

UBS Ltd.

    0.75     2/02/16        Open        7,670,085        7,674,416         Corporate Bonds    Open/Demand1

UBS Ltd.

    0.75     2/02/16        Open        2,682,125        2,683,639         Corporate Bonds    Open/Demand1

UBS Ltd.

    0.75     2/02/16        Open        1,729,125        1,730,101         Corporate Bonds    Open/Demand1

UBS Ltd.

    0.75     2/02/16        Open        626,775        627,129         Corporate Bonds    Open/Demand1

UBS Ltd.

    0.75     2/02/16        Open        6,979,650        6,983,591         Corporate Bonds    Open/Demand1

UBS Ltd.

    0.75     2/02/16        Open        2,912,000        2,913,644         Corporate Bonds    Open/Demand1

HSBC Securities (USA), Inc.

    0.59     2/10/16        3/14/16        13,044,000        13,048,062         U.S. Government Sponsored Agency Obligations    Up to 30 Days

BNP Paribas Securities Corp.

    0.40     2/11/16        Open        21,225,000        21,229,481         U.S. Treasury Obligations    Open/Demand1

RBC Capital Markets LLC

    0.64     2/11/16        Open        687,375        687,595         Corporate Bonds    Open/Demand1
UBS Ltd.     0.75     2/12/16        Open        1,464,375        1,464,924         Corporate Bonds    Open/Demand1

Total

        $ 277,369,594      $ 277,642,210           
       

 

 

   

 

 

         

1    Certain agreements have no stated maturity and can be terminated by either party at any time.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    23


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Long (Short)
    Issue            Expiration          Notional Value     Unrealized
Appreciation
(Depreciation)
      
  (110)      90-Day Euro-Dollar         March 2016         USD         27,317,813      $ (106,563  
  396      2-Year U.S. Treasury Note         June 2016         USD         86,544,563        (75,861  
  581      5-Year U.S. Treasury Note         June 2016         USD         70,291,922        (17,165  
  (534)      10-Year U.S. Treasury Note         June 2016         USD         69,695,344        (11,763  
  (58)      10-Year U.S. Ultra Long Treasury Note         June 2016         USD         8,184,344        5,191     
  (42)      Long U.S. Treasury Bond         June 2016         USD         6,910,312        33,392     
  475      Ultra Long U.S. Treasury Bond         June 2016         USD         82,249,219        (115,831  
  143      90-Day Euro-Dollar         September 2016         USD         35,469,363        (18,105  
  (43)      90-Day Euro Future         December 2016         USD         10,660,238        2,618     
  (100)      90-Day Euro-Dollar         December 2017         USD         24,745,000        (187,880  
  4      90-Day Euro-Dollar           March 2018           USD         989,300        (1,917    
  Total                                 $ (493,884  
                    

 

 

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
           Currency
Sold
     Counterparty    Settlement
Date
     Unrealized
Appreciation
(Depreciation)
      
GBP      1,302,500          USD      1,834,953       Northern Trust Co.      3/01/16       $ (22,068  
EUR      524,000          USD      581,426       Morgan Stanley & Co. International PLC      3/03/16         (11,378  
USD      380,394          EUR      340,000       Citibank N.A.      3/03/16         10,516     
USD      335,468          EUR      307,000       UBS AG      3/03/16         1,490     
USD      12,032,550          GBP      8,423,000       UBS AG      3/03/16         308,982     
SEK      16,096,223          USD      1,892,500       Citibank N.A.      3/07/16         (12,196  
SEK      16,196,144          USD      1,892,500       Morgan Stanley & Co. International PLC      3/07/16         (523  
USD      3,785,000          SEK      32,068,223       Morgan Stanley & Co. International PLC      3/07/16         38,903     
EUR      1,660,000          USD      1,842,617       BNP Paribas Securities Corp.      3/08/16         (36,515  
EUR      3,410,000          USD      3,734,594       BNP Paribas Securities Corp.      3/08/16         (24,469  
EUR      1,660,000          USD      1,848,689       UBS AG      3/08/16         (42,587  
USD      3,846,139          EUR      3,410,000       BNP Paribas Securities Corp.      3/08/16         136,014     
AUD      1,592,660          EUR      1,035,000       Goldman Sachs Bank USA      3/15/16         9,756     
USD      11,661,723          GBP      8,416,000       Royal Bank of Scotland PLC      4/05/16         (53,637  
SEK      16,034,785          CHF      1,860,000       Morgan Stanley & Co. International PLC      4/12/16         9,157     
SEK      15,717,600          CHF      1,820,000       Royal Bank of Scotland PLC      4/12/16         12,195     
SEK      15,730,450          EUR      1,660,000       Morgan Stanley & Co. International PLC      4/12/16         32,112     
SEK      15,786,685            EUR      1,680,000       Morgan Stanley & Co. International PLC      4/12/16         16,907       
Total                      $ 372,659     
                    

 

 

OTC Interest Rate Swaptions Purchased

 

Description    Counterparty    Put/
Call
   Exercise
Rate
     Pay/Receive
Exercise Rate
   Floating Rate
Index
   Expiration
Date
     Notional
Amount
(000)
     Value  

10-Year Interest Rate Swap

   JPMorgan Chase Bank N.A.    Call      2.25    Receive    3-Month LIBOR      2/17/17         USD         3,000       $ 188,017   

2-Year Interest Rate Swap

   Citibank N.A.    Call      1.55    Receive    3-Month LIBOR      1/25/18         USD         40,000         511,856   

10-Year Interest Rate Swap

   JPMorgan Chase Bank N.A.    Call      1.80    Receive    3-Month LIBOR      2/08/18         USD         2,000         83,574   

10-Year Interest Rate Swap

   UBS AG    Call      1.75    Receive    3-Month LIBOR      2/09/18         USD         2,000         79,247   

10-Year Interest Rate Swap

   Barclays Bank PLC    Call      1.65    Receive    3-Month LIBOR      1/07/19         USD         4,920         194,885   

10-Year Interest Rate Swap

   Deutsche Bank AG    Call      1.65    Receive    3-Month LIBOR      1/07/19         USD         4,920         194,885   

30-Year Interest Rate Swap

   Goldman Sachs Bank USA    Call      2.47    Receive    3-Month LIBOR      1/22/19         USD         1,300         193,896   

10-Year Interest Rate Swap

   Citibank N.A.    Call      1.50    Receive    3-Month LIBOR      2/04/19         USD         5,000         173,611   

30-Year Interest Rate Swap

   JPMorgan Chase Bank N.A.    Call      3.12    Receive    3-Month LIBOR      9/17/20         USD         800         198,545   

30-Year Interest Rate Swap

   Deutsche Bank AG    Call      3.12    Receive    3-Month LIBOR      9/17/20         USD         800         198,545   

30-Year Interest Rate Swap

   Goldman Sachs Bank USA    Call      2.40    Receive    3-Month LIBOR      2/08/21         USD         670         103,448   

30-Year Interest Rate Swap

   JPMorgan Chase Bank N.A.    Call      2.42    Receive    3-Month LIBOR      2/08/21         USD         670         104,919   

30-Year Interest Rate Swap

   Deutsche Bank AG    Call      2.40    Receive    3-Month LIBOR      2/09/21         USD         1,000         154,437   

10-Year Interest Rate Swap

   JPMorgan Chase Bank N.A.    Call      3.03    Receive    3-Month LIBOR      12/10/25         USD         2,000         209,840   

10-Year Interest Rate Swap

   Barclays Bank PLC    Call      2.83    Receive    3-Month LIBOR      1/13/26         USD         2,000         190,889   

30-Year Interest Rate Swap

   JPMorgan Chase Bank N.A.    Put      3.30    Pay    3-Month LIBOR      9/21/16         USD         4,020         14,445   

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Purchased (concluded)

 

Description    Counterparty    Put/
Call
     Exercise
Rate
     Pay/Receive
Exercise Rate
     Floating Rate
Index
     Expiration
Date
     Notional
Amount
(000)
    Value  

10-Year Interest Rate Swap

   JPMorgan Chase Bank N.A.      Put         1.80      Pay         3-Month LIBOR         2/08/18         USD         2,000      $ 98,930   

10-Year Interest Rate Swap

   UBS AG      Put         1.75      Pay         3-Month LIBOR         2/09/18         USD         2,000        103,875   

10-Year Interest Rate Swap

   Barclays Bank PLC      Put         3.65      Pay         3-Month LIBOR         1/07/19         USD         4,920        57,786   

10-Year Interest Rate Swap

   Deutsche Bank AG      Put         3.65      Pay         3-Month LIBOR         1/07/19         USD         4,920        57,786   

30-Year Interest Rate Swap

   Goldman Sachs Bank USA      Put         2.47      Pay         3-Month LIBOR         1/22/19         USD         1,300        128,045   

10-Year Interest Rate Swap

   Citibank N.A.      Put         3.00      Pay         3-Month LIBOR         2/04/19         USD         5,000        111,319   

30-Year Interest Rate Swap

   JPMorgan Chase Bank N.A.      Put         3.12      Pay         3-Month LIBOR         9/17/20         USD         800        56,273   

30-Year Interest Rate Swap

   Deutsche Bank AG      Put         3.12      Pay         3-Month LIBOR         9/17/20         USD         800        56,273   

10-Year Interest Rate Swap

   Bank of America N.A.      Put         3.50      Pay         3-Month LIBOR         2/01/21         USD         4,000        121,099   

30-Year Interest Rate Swap

   Goldman Sachs Bank USA      Put         2.40      Pay         3-Month LIBOR         2/08/21         USD         670        91,309   

30-Year Interest Rate Swap

   JPMorgan Chase Bank N.A.      Put         2.42      Pay         3-Month LIBOR         2/08/21         USD         670        89,873   

30-Year Interest Rate Swap

   Deutsche Bank AG      Put         2.40      Pay         3-Month LIBOR         2/09/21         USD         1,000        136,327   

10-Year Interest Rate Swap

   JPMorgan Chase Bank N.A.      Put         3.03      Pay         3-Month LIBOR         12/10/25         USD         2,000        114,649   

10-Year Interest Rate Swap

   Barclays Bank PLC      Put         2.83      Pay         3-Month LIBOR         1/13/26         USD         2,000        127,367   

Total

                          $ 4,145,950   
                         

 

 

 

OTC Options Purchased

 

Description      Put/
Call
     Counterparty      Expiration
Date
       Strike
Price
       Notional
Amount
(000)
    Value  

USD Currency

     Call      Citibank N.A.        3/03/2016           SEK        8.75           USD        7,520      $ 1,429   

EUR Currency

     Call      HSBC Bank PLC        3/04/2016           USD        1.13           EUR        6,810        156   

EUR Currency

     Call      Credit Suisse International        3/11/2016           AUD        1.53           EUR        3,630        39,734   

EUR Currency

     Call      Deutsche Bank AG        3/11/2016           AUD        1.60           EUR        3,630        4,707   

USD Currency

     Put      Citibank N.A.        3/03/2016           SEK        8.46           USD        7,520        3,888   

EUR Currency

     Put      HSBC Bank PLC        3/04/2016           USD        1.10           EUR        6,810        67,319   

EUR Currency

     Put      Deutsche Bank AG        3/11/2016           AUD        1.44           EUR        3,630        963   

EUR Currency

     Put      Citibank N.A.        4/01/2016           JPY        121.30           EUR        6,925        90,325   

NZD Currency

     Put      Deutsche Bank AG        4/28/2016           USD        0.65           NZD        11,220        124,392   

USD Currency

     Put      UBS AG        4/28/2016           NOK        8.39           USD        7,420        49,818   

AUD Currency

     Put      HSBC Bank PLC        6/01/2016           USD        0.70           AUD        10,465        138,729   

Total

                               $ 521,460   
                              

 

 

 

Exchange-Traded Options Written

 

Description   Put/
Call
  Expiration
Date
    Strike
Price
    Contracts     Value       

90-Day Euro Future

  Call     12/19/16      USD     99.25        110      $ (39,187  

90-Day Euro Future

  Put     12/19/16      USD     99.25        110        (62,563    

Total

            $ (101,750  
           

 

 

OTC Interest Rate Swaptions Written

 

Description   Counterparty   Put/
Call
    Exercise
Rate
    Pay/Receive
Exercise Rate
 

Floating Rate

Index

  Expiration
Date
    Notional
Amount
(000)
    Market
Value
 

10-Year Interest Rate Swap

  Deutsche Bank AG     Call        2.50   Pay   3-Month LIBOR     3/17/16      USD     12,000      $ (1,038,150

10-Year Interest Rate Swap

  Deutsche Bank AG     Call        2.60   Pay   3-Month LIBOR     3/17/16      USD     12,000        (1,152,051

5-Year Interest Rate Swap

  Barclays Bank PLC     Call        0.23   Pay   3-Month LIBOR     7/27/16      EUR     6,900        (100,347

10-Year Interest Rate Swap

  Barclays Bank PLC     Call        1.40   Pay   3-Month LIBOR     8/30/16      USD     5,000        (68,875

5-Year Interest Rate Swap

  Deutsche Bank AG     Call        2.10   Pay   3-Month LIBOR     12/05/16      USD     6,700        (285,252

10-Year Interest Rate Swap

  Credit Suisse International     Call        2.35   Pay   3-Month LIBOR     1/09/17      USD     2,500        (174,282

10-Year Interest Rate Swap

  Citibank N.A.     Call        2.10   Pay   3-Month LIBOR     1/27/17      USD     4,400        (231,745

5-Year Interest Rate Swap

  Barclays Bank PLC     Call        0.01   Pay   3-Month LIBOR     2/10/17      EUR     39,800        (310,219

10-Year Interest Rate Swap

  Deutsche Bank AG     Call        2.35   Pay   3-Month LIBOR     2/13/17      USD     6,900        (481,908

5-Year Interest Rate Swap

  Barclays Bank PLC     Call        0.01   Pay   3-Month LIBOR     2/17/17      EUR     4,500        (35,302

10-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Call        1.50   Pay   3-Month LIBOR     2/17/17      USD     4,500        (101,549

10-Year Interest Rate Swap

  Deutsche Bank AG     Call        2.10   Pay   3-Month LIBOR     3/06/17      USD     1,800        (95,420

5-Year Interest Rate Swap

  Citibank N.A.     Call        0.50   Pay   3-Month LIBOR     10/23/17      EUR     3,340        (78,102

5-Year Interest Rate Swap

  UBS AG     Call        0.10   Pay   3-Month LIBOR     10/26/17      EUR     6,200        (67,167

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    25


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

OTC Interest Rate Swaptions Written (continued)

 

Description   Counterparty   Put/
Call
    Exercise
Rate
    Pay/Receive
Exercise Rate
 

Floating Rate

Index

  Expiration
Date
    Notional
Amount
(000)
    Market
Value
 

5-Year Interest Rate Swap

  Goldman Sachs Bank USA     Call        0.50   Pay   3-Month LIBOR     10/30/17      EUR     7,000      $ (163,363

10-Year Interest Rate Swap

  Goldman Sachs Bank USA     Call        0.15   Pay   3-Month LIBOR     12/04/17      EUR     10,000        (120,789

2-Year Interest Rate Swap

  Barclays Bank PLC     Call        1.95   Pay   3-Month LIBOR     12/15/17      USD     39,800        (736,284

10-Year Interest Rate Swap

  Deutsche Bank AG     Call        2.58   Pay   3-Month LIBOR     12/18/17      USD     9,100        (777,845

2-Year Interest Rate Swap

  Credit Suisse International     Call        2.02   Pay   3-Month LIBOR     12/18/17      USD     19,900        (387,640

2-Year Interest Rate Swap

  Barclays Bank PLC     Call        1.88   Pay   3-Month LIBOR     1/08/18      USD     8,200        (142,801

2-Year Interest Rate Swap

  Citibank N.A.     Call        1.05   Pay   3-Month LIBOR     1/25/18      USD     60,000        (433,457

10-Year Interest Rate Swap

  Goldman Sachs Bank USA     Call        1.40   Pay   3-Month LIBOR     2/09/18      USD     8,200        (217,504

2-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Call        1.25   Pay   3-Month LIBOR     2/09/18      USD     10,000        (92,404

2-Year Interest Rate Swap

  Barclays Bank PLC     Call        1.24   Pay   3-Month LIBOR     2/12/18      USD     17,600        (161,040

10-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Call        2.51   Pay   3-Month LIBOR     4/09/18      USD     2,400        (194,417

10-Year Interest Rate Swap

  Barclays Bank PLC     Call        2.50   Pay   3-Month LIBOR     1/07/19      USD     4,100        (327,199

10-Year Interest Rate Swap

  Deutsche Bank AG     Call        2.50   Pay   3-Month LIBOR     1/07/19      USD     4,100        (327,199

10-Year Interest Rate Swap

  Citibank N.A.     Call        2.15   Pay   3-Month LIBOR     2/04/19      USD     4,000        (244,283

7-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put        0.70   Receive   3-Month LIBOR     3/10/16      EUR     3,000          

10-Year Interest Rate Swap

  Citibank N.A.     Put        2.70   Receive   3-Month LIBOR     3/21/16      USD     5,000        (1

5-Year Interest Rate Swap

  Citibank N.A.     Put        0.50   Receive   3-Month LIBOR     3/21/16      EUR     5,000        (6

5-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Put        0.60   Receive   3-Month LIBOR     4/26/16      EUR     15,000        (1,003

5-Year Interest Rate Swap

  Barclays Bank PLC     Put        1.70   Receive   3-Month LIBOR     7/15/16      USD     4,000        (11,383

5-Year Interest Rate Swap

  Barclays Bank PLC     Put        0.23   Receive   3-Month LIBOR     7/27/16      EUR     6,900        (19,816

10-Year Interest Rate Swap

  Barclays Bank PLC     Put        1.90   Receive   3-Month LIBOR     8/30/16      USD     5,000        (70,736

5-Year Interest Rate Swap

  Deutsche Bank AG     Put        1.70   Receive   3-Month LIBOR     8/31/16      USD     53,700        (231,523

5-Year Interest Rate Swap

  Deutsche Bank AG     Put        0.75   Receive   3-Month LIBOR     9/02/16      EUR     10,400        (5,751

5-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Put        2.45   Receive   3-Month LIBOR     9/21/16      USD     16,900        (15,470

5-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put        2.00   Receive   3-Month LIBOR     10/03/16      USD     1,000        (2,775

5-Year Interest Rate Swap

  Deutsche Bank AG     Put        2.10   Receive   3-Month LIBOR     12/05/16      USD     6,700        (22,917

10-Year Interest Rate Swap

  Credit Suisse International     Put        2.75   Receive   3-Month LIBOR     1/09/17      USD     2,500        (12,761

5-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Put        2.20   Receive   3-Month LIBOR     1/09/17      USD     3,600        (12,360

10-Year Interest Rate Swap

  Citibank N.A.     Put        2.10   Receive   3-Month LIBOR     1/27/17      USD     4,400        (77,309

10-Year Interest Rate Swap

  Barclays Bank PLC     Put        2.75   Receive   3-Month LIBOR     1/30/17      USD     6,800        (38,616

10-Year Interest Rate Swap

  Deutsche Bank AG     Put        2.75   Receive   3-Month LIBOR     1/30/17      USD     4,000        (22,715

10-Year Interest Rate Swap

  Deutsche Bank AG     Put        2.75   Receive   3-Month LIBOR     1/30/17      USD     2,000        (11,358

10-Year Interest Rate Swap

  Deutsche Bank AG     Put        2.75   Receive   3-Month LIBOR     1/30/17      USD     2,000        (11,358

5-Year Interest Rate Swap

  Barclays Bank PLC     Put        0.50   Receive   3-Month LIBOR     2/10/17      EUR     49,800        (205,927

10-Year Interest Rate Swap

  Deutsche Bank AG     Put        2.90   Receive   3-Month LIBOR     2/13/17      USD     6,900        (32,062

10-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Put        3.50   Receive   3-Month LIBOR     2/17/17      USD     3,000        (5,080

5-Year Interest Rate Swap

  Barclays Bank PLC     Put        0.51   Receive   3-Month LIBOR     2/17/17      EUR     6,000        (25,044

5-Year Interest Rate Swap

  Deutsche Bank AG     Put        0.45   Receive   3-Month LIBOR     2/23/17      EUR     14,200        (70,797

5-Year Interest Rate Swap

  Barclays Bank PLC     Put        0.45   Receive   3-Month LIBOR     2/23/17      EUR     12,100        (60,327

10-Year Interest Rate Swap

  Deutsche Bank AG     Put        3.10   Receive   3-Month LIBOR     3/06/17      USD     1,800        (6,571

5-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put        1.15   Receive   3-Month LIBOR     9/11/17      EUR     10,800        (31,012

5-Year Interest Rate Swap

  Royal Bank of Scotland PLC     Put        1.10   Receive   3-Month LIBOR     9/25/17      EUR     10,000        (33,251

5-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put        2.20   Receive   3-Month LIBOR     10/02/17      USD     1,200        (10,607

5-Year Interest Rate Swap

  Citibank N.A.     Put        1.00   Receive   3-Month LIBOR     10/23/17      EUR     6,670        (29,378

5-Year Interest Rate Swap

  UBS AG     Put        0.50   Receive   3-Month LIBOR     10/26/17      EUR     6,200        (64,763

5-Year Interest Rate Swap

  UBS AG     Put        1.00   Receive   3-Month LIBOR     10/26/17      EUR     12,300        (54,966

5-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put        1.00   Receive   3-Month LIBOR     10/30/17      EUR     14,000        (63,287

5-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put        0.65   Receive   3-Month LIBOR     12/04/17      EUR     10,000        (90,444

2-Year Interest Rate Swap

  Barclays Bank PLC     Put        1.95   Receive   3-Month LIBOR     12/15/17      USD     39,800        (134,843

10-Year Interest Rate Swap

  Deutsche Bank AG     Put        2.58   Receive   3-Month LIBOR     12/18/17      USD     9,100        (177,750

2-Year Interest Rate Swap

  Credit Suisse International     Put        2.02   Receive   3-Month LIBOR     12/18/17      USD     19,900        (62,771

2-Year Interest Rate Swap

  Barclays Bank PLC     Put        1.88   Receive   3-Month LIBOR     1/08/18      USD     8,200        (32,231

5-Year Interest Rate Swap

  UBS AG     Put        1.00   Receive   3-Month LIBOR     1/08/18      EUR     7,200        (41,358

2-Year Interest Rate Swap

  Citibank N.A.     Put        2.30   Receive   3-Month LIBOR     1/25/18      USD     20,000        (49,939

10-Year Interest Rate Swap

  Goldman Sachs Bank USA     Put        2.40   Receive   3-Month LIBOR     2/09/18      USD     8,200        (214,793

2-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Put        1.25   Receive   3-Month LIBOR     2/09/18      USD     10,000        (86,336

2-Year Interest Rate Swap

  Barclays Bank PLC     Put        1.24   Receive   3-Month LIBOR     2/12/18      USD     17,600        (153,997

10-Year Interest Rate Swap

  JPMorgan Chase Bank N.A.     Put        2.51   Receive   3-Month LIBOR     4/09/18      USD     2,400        (60,308

10-Year Interest Rate Swap

  Barclays Bank PLC     Put        2.80   Receive   3-Month LIBOR     1/07/19      USD     4,100        (107,166

10-Year Interest Rate Swap

  Deutsche Bank AG     Put        2.80   Receive   3-Month LIBOR     1/07/19      USD     4,100        (107,166

10-Year Interest Rate Swap

  Citibank N.A.     Put        2.35   Receive   3-Month LIBOR     2/04/19      USD     4,000        (163,332

10-Year Interest Rate Swap

  Bank of America N.A.     Put        5.50   Receive   3-Month LIBOR     2/01/21      USD     10,000        (124,481

Total

                  $ (11,414,439
                 

 

 

 

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

OTC Options Written

 

Description   Put/
Call
  Counterparty   Expiration
Date
    Strike
Price
    Notional
Amount
(000)
    Value  

EUR Currency

  Call   Deutsche Bank AG     3/11/2016      AUD     1.53      EUR     3,630      $ (39,734

AUD Currency

  Call   HSBC Bank PLC     6/01/2016      USD     0.74      AUD     10,465        (63,789

EUR Currency

  Put   Credit Suisse International     3/11/2016      AUD     1.44      EUR     3,630        (963

EUR Currency

  Put   Deutsche Bank AG     3/11/2016      AUD     1.48      EUR     3,630        (6,859

EUR Currency

  Put   Citibank N.A.     4/01/2016      JPY     119.00      EUR     10,390        (76,407

NZD Currency

  Put   Deutsche Bank AG     4/28/2016      USD     0.63      NZD     22,440        (131,356

USD Currency

  Put   UBS AG     4/28/2016      NOK     8.14      USD     14,840        (36,358

Total

                $ (355,466
               

 

 

 

Centrally Cleared Interest Rate Swaps

 

Fixed Rate   Floating
Rate
  Effective
Date
  Expiration
Date
    Notional
Amount
    Unrealized
Appreciation
(Depreciation)

0.77%1

  3-Month LIBOR   N/A     2/05/18      USD     107,000      $ 159,892     

1.40%1

  Overnight USD LIBOR   4/05/162     5/31/20      USD     10,590        (281,268  

1.48%1

  Overnight USD LIBOR   4/05/162     5/31/20      USD     10,030        (300,137  

1.09%1

  3-Month LIBOR   7/06/162     8/31/20      USD     23,590        36,726     

1.37%1

  3-Month LIBOR   N/A     1/19/21      USD     1,300        (14,275  

2.11%3

  3-Month LIBOR   N/A     1/08/26      USD     2,700        136,178     

2.13%3

  3-Month LIBOR   N/A     1/08/26      USD     1,100        57,490     

2.07%3

  3-Month LIBOR   N/A     1/11/26      USD     1,600        74,968     

2.08%3

  3-Month LIBOR   N/A     1/11/26      USD     1,600        75,043     

2.08%3

  3-Month LIBOR   N/A     1/11/26      USD     1,300        61,095     

2.09%3

  3-Month LIBOR   N/A     1/11/26      USD     1,000        48,450     

2.04%3

  3-Month LIBOR   N/A     1/13/26      USD     1,300        56,678     

1.85%3

  3-Month LIBOR   N/A     1/19/26      USD     2,000        50,654     

1.89%3

  3-Month LIBOR   N/A     1/19/26      USD     1,300        37,690     

1.91%3

  3-Month LIBOR   N/A     1/19/26      USD     1,000        31,389     

1.94%3

  3-Month LIBOR   N/A     1/19/26      USD     2,100        70,852     

1.90%3

  3-Month LIBOR   N/A     1/29/26      USD     500        15,054     

1.89%3

  3-Month LIBOR   N/A     2/01/26      USD     1,500        44,512     

1.92%3

  3-Month LIBOR   N/A     2/01/26      USD     7,000        222,240     

1.83%3

  3-Month LIBOR   N/A     2/02/26      USD     450        10,678     

1.84%3

  3-Month LIBOR   N/A     2/02/26      USD     700        17,303     

1.78%3

  3-Month LIBOR   N/A     2/04/26      USD     2,000        36,930     

1.79%3

  3-Month LIBOR   N/A     2/04/26      USD     2,600        52,179     

1.72%3

  3-Month LIBOR   N/A     2/05/26      USD     1,000        12,888     

1.73%3

  3-Month LIBOR   N/A     2/05/26      USD     1,000        14,115     

1.78%3

  3-Month LIBOR   N/A     2/05/26      USD     1,000        18,975     

1.77%3

  3-Month LIBOR   N/A     2/08/26      USD     500        8,989     

1.67%3

  3-Month LIBOR   N/A     2/10/26      USD     800        7,311     

1.69%3

  3-Month LIBOR   N/A     2/10/26      USD     800        8,750     

1.60%3

  3-Month LIBOR   N/A     2/12/26      USD     500        1,109     

1.62%3

  3-Month LIBOR   N/A     2/12/26      USD     500        1,747     

1.41%3

  3-Month LIBOR   N/A     2/16/26      USD     1,000        (16,121  

1.43%3

  3-Month LIBOR   N/A     2/16/26      USD     1,000        (14,560  

1.46%3

  3-Month LIBOR   N/A     2/16/26      USD     1,000        (11,217  

1.47%3

  3-Month LIBOR   N/A     2/16/26      USD     1,000        (10,017  

1.48%3

  3-Month LIBOR   N/A     2/16/26      USD     1,500        (14,812  

1.48%3

  3-Month LIBOR   N/A     2/16/26      USD     750        (7,371  

1.48%3

  3-Month LIBOR   N/A     2/16/26      USD     750        (7,335  

1.71%1

  3-Month LIBOR   N/A     2/19/26      USD     1,000        (11,957  

1.71%1

  3-Month LIBOR   N/A     2/19/26      USD     1,000        (12,667  

1.66%3

  3-Month LIBOR   N/A     2/22/26      USD     500        3,718     

1.60%3

  3-Month LIBOR   N/A     2/23/26      USD     500        890     

1.61%1

  3-Month LIBOR   N/A     2/26/26      USD     1,000        (2,379  

1.61%1

  3-Month LIBOR   N/A     3/01/26      USD     500        (1,322  

1.62%1

  3-Month LIBOR   N/A     3/01/26      USD     500        (1,773  

2.08%1

  3-Month LIBOR   6/30/162     8/15/41      USD     4,590        (43,032  

2.41%1

  3-Month LIBOR   N/A     1/19/46      USD     300        (22,911  

2.33%1

  3-Month LIBOR   N/A     1/25/46      USD     300        (17,454  

2.25%1

  3-Month LIBOR   N/A     2/05/46      USD     400        (16,118  

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    27


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

Centrally Cleared Interest Rate Swaps (concluded)

 

Fixed Rate   Floating
Rate
  Effective
Date
  Expiration
Date
    Notional
Amount
    Unrealized
Appreciation
(Depreciation)

2.06%1

  3-Month LIBOR   N/A     2/12/46      USD     200      $ 1,297     

2.16%1

  3-Month LIBOR   N/A     2/12/46      USD     500        (9,450  

1.95%1

  3-Month LIBOR   N/A     2/16/46      USD     200        6,284     

1.99%1

  3-Month LIBOR   N/A     2/16/46      USD     200        4,469     

2.04%1

  3-Month LIBOR   N/A     2/16/46      USD     200        1,984     

2.05%1

  3-Month LIBOR   N/A     2/28/46      USD     50        388     

2.10%1

  3-Month LIBOR   N/A     3/02/46      USD     100        (434    

Total

              $572,305     
           

 

 

 

1    Trust pays the fixed rate and receives the floating rate.

       

 

2   Forward swap.

      

 

3   Trust pays the floating rate and receives the fixed rate.

      

 

OTC Interest Rate Swaps

 

Fixed Rate   Floating
Rate
  Counterparty   Effective
Date
    Expiration
Date
    Notional Amount
(000)
    Value     Premiums
Paid
(Received)
    Unrealized
Appreciation
      

0.00%1

  3-Month LIBOR   JPMorgan Chase Bank N.A.     9/26/17 2      9/26/19      USD     21,000      $ 58,052             $ 58,052     

0.00%1

  3-Month LIBOR   JPMorgan Chase Bank N.A.     5/19/25 2      5/19/35      USD     5,000        30,387               30,387     

0.00%1

  3-Month LIBOR   JPMorgan Chase Bank N.A.     5/21/25 2      5/21/35      USD     2,500        23,289               23,289     

0.00%1

  3-Month LIBOR   Citibank, N.A.     6/09/25 2      6/09/35      USD     1,500        14,456               14,456     

0.00%1

  3-Month LIBOR   Citibank N.A.     6/09/25 2      6/09/35      USD     1,500        14,805               14,805       

Total

              $ 140,989             $ 140,989     
             

 

 

1   Trust pays the floating rate and receives the fixed rate.

      

           

2    Forward swap.

       

           

OTC Credit Default Swaps — Buy Protection

 

Issuer/Index    Pay Fixed Rate      Counterparty      Expiration
Date
   Notional
Amount
(000)
       Value      Premiums
Paid
     Unrealized
Depreciation
      

New York Times Co.

   1.00%      Barclays Bank PLC      12/20/16    USD      3,600         $ (26,461    $ 40,661       $ (67,122  

Australia & New Zealand Banking Group Ltd.

   1.00%      Deutsche Bank AG      9/20/17    USD      1          (3 )      5        (8 )  

Westpac Banking Corp.

   1.00%      Deutsche Bank AG      9/20/17    USD      1          (2 )      5        (7 )    

Total

                        $ (26,466    $ 40,671       $ (67,137 )  
                       

 

 

OTC Credit Default Swaps — Sell Protection

 

Issuer/Index   Receive
Fixed Rate
    Counterparty   Expiration
Date
  Credit
Rating1
  Notional
Amount
(000)2
    Value     Premiums
Received
    Unrealized
Appreciation
(Depreciation)
      

MetLife, Inc.

    1.00   Credit Suisse International   9/20/16   A-   USD     1,080      $ 4,271      $ (11,022   $ 15,293     

MetLife, Inc.

    1.00   Morgan Stanley Capital Services LLC   9/20/16   A-   USD     1,810        7,158        (16,563     23,721     

MetLife, Inc.

    1.00   Deutsche Bank AG   9/20/16   A-   USD     1,460        5,774        (13,624     19,398     

MetLife, Inc.

    1.00   Morgan Stanley Capital Services LLC   9/20/16   A-   USD     550        2,175        (4,489     6,664     

MetLife, Inc.

    1.00   Goldman Sachs Bank USA   9/20/16   A-   USD     1,000        3,956        (9,082     13,038     

MetLife, Inc.

    1.00   Citibank N.A.   12/20/16   A-   USD     575        3,161        (7,382     10,543     

MetLife, Inc.

    1.00   Citibank N.A.   12/20/16   A-   USD     595        3,269        (6,997 )     10,266    

Markit CMBX North America, Series 8

    3.00 %   Barclays Bank PLC   10/17/57   NR   USD     5,000       (1,307,465 )     (531,296     (776,169 )  

Markit CMBX North America, Series 8

    3.00   Credit Suisse International   10/17/57   NR   USD     2,500        (653,733     (262,465     (391,268    

Total

              $ (1,931,434 )   $ (862,920 )   $ (1,068,514 )  
             

 

 

1    Using Standard & Poor’s (“S&P’s”) rating 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.

       

 

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

 

Transactions in Options Written for the Period Ended February 29, 2016
        Calls  
              Notional (000)        
          Contracts     AUD     EUR     NZD     USD    

Premiums

Received

 

Outstanding options, beginning of period

      449               16,350               173,900      $ 2,666,359   

Options written

      110        10,465        97,570               205,100        3,888,209   

Options exercised

                                           

Options expired

                                  (27,700     (246,530

Options closed

      (449            (32,550            (108,100     (1,908,346
   

 

 

 

Outstanding options, end of period

      110        10,465        81,370               243,200      $ 4,399,692   
   

 

 

 
        Puts  
              Notional (000)        
          Contracts     AUD     EUR     NZD     USD     Premiums
Received
 

Outstanding options, beginning of period

                    56,000               208,200      $ 4,126,898   

Options written

      110               197,850        22,440        341,440        5,634,503   

Options exercised

                                           

Options expired

                                  (44,700     (647,068

Options closed

                    (36,630            (202,200     (3,249,099
   

 

 

 

Outstanding options, end of period

      110               217,220        22,440        302,740      $ 5,865,234   
   

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

 

As   of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

                Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest Rate
Contracts
    Other
Contracts
    Total  
Assets — Derivative Financial Instruments                                            

Financial futures contracts

     Net unrealized appreciation1                               $ 41,201             $ 41,201   

Forward foreign currency exchange contracts

    

Unrealized appreciation on forward foreign currency exchange contracts

                       $ 576,032                      576,032   

Options purchased

     Investments at value — unaffiliated2                          521,460        4,145,950               4,667,410   

Swaps — Centrally cleared

     Net unrealized appreciation1                                 1,388,915               1,388,915   

Swaps — OTC

     Unrealized appreciation on OTC derivatives; Swaps premiums paid          $ 139,594                      140,989               280,583   

Total

              $ 139,594             $ 1,097,492      $ 5,717,055             $ 6,954,141   
      

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
                  
Liabilities — Derivative Financial Instruments                                            

Financial futures contracts

     Net unrealized depreciation1                               $ 535,085             $ 535,085   

Forward foreign currency exchange contracts

    

Unrealized depreciation on forward foreign currency exchange contracts

                       $ 203,373                      203,373   

Options written

     Options written at value           355,466        11,516,189               11,871,655   

Swaps — Centrally cleared

     Net unrealized depreciation1                                 816,610               816,610   

Swaps — OTC

     Unrealized depreciation on OTC derivatives; Swaps premiums received          $ 2,097,494                                    2,097,494   

Total

              $ 2,097,494             $ 558,839      $ 12,867,884             $ 15,524,217   
      

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

1    Includes cumulative appreciation (depreciation) on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

        

2    Includes options purchased at value as reported in the Schedule of Investments.

       

       

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    29


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

For the period ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

     Commodity
Contracts
       Credit
Contracts
       Equity
Contracts
       Foreign
Currency
Exchange
Contracts
       Interest
Rate
Contracts
       Other
Contracts
       Total  

Net Realized Gain (Loss) from:

                               

Financial futures contracts

                                          $ 3,002,352                   $ 3,002,352   

Forward foreign currency exchange contracts

                                $ 583,135                               583,135   

Options purchased1

                                  (91,673        (39,184                  (130,857

Options written

                                  12,858           2,366,782                     2,379,640   

Swaps

            $ 111,459                               (2,276,092                  (2,164,633
 

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total

            $ 111,459                   $ 504,320         $ 3,053,858                   $ 3,669,637   
 

 

 

 

1    Options purchased are in included in net realized gain (loss) from investments.

       

              
                               
     Commodity
Contracts
       Credit
Contracts
       Equity
Contracts
       Foreign
Currency
Exchange
Contracts
       Interest
Rate
Contracts
       Other
Contracts
       Total  

Net Change in Unrealized Appreciation (Depreciation) on:

                               

Financial futures contracts

                                          $ 703,370                   $ 703,370   

Forward foreign currency exchange contracts

                                $ 176,277                               176,277   

Options purchased1

                                  (241,102        610,912                     369,810   

Options written

                                  198,923           (2,925,520                  (2,726,597

Swaps

            $ (1,223,253                            840,132                     (383,121
 

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total

            $ (1,223,253                $ 134,098         $ (771,106                $ (1,860,261
 

 

 

 

1    Options purchased are in included in net change in unrealized appreciation (depreciation) on investments.

       

              

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:

          

Average notional value of contracts — long

     $ 337,310,426   

Average notional value of contracts — short

     $ 209,791,441   
Forward foreign currency exchange contracts:     

Average amounts purchased — in USD

     $ 39,423,888   

Average amounts sold — in USD

     $ 15,902,855   
Options:     

Average value of option contracts purchased

     $ 260,730   

Average value of option contracts written

     $ 228,608   

Average notional value of swaption contracts purchased

     $ 63,200,000   

Average notional value of swaption contracts written

     $ 636,136,317   
Credit default swaps:     

Average notional value — buy protection

     $ 3,601,000   

Average notional value — sell protection

     $ 10,820,000   
Interest rate swaps:     

Average notional value — pays fixed rate

     $ 123,125,000   

Average notional value — receives fixed rate

     $ 65,148,529   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

     Assets      Liabilities  
Derivative Financial Instruments:     

Financial futures contracts

  $ 267,392       $ 103,750   

Forward foreign currency exchange contracts

    576,032         203,373   

Options

    4,667,410 1       11,871,655   

Swaps — Centrally cleared

    93,883         68,360   

Swaps — OTC2

    280,583         2,097,494   
 

 

 

 

Total derivative assets and liabilities in the Statement of Assets and Liabilities

  $ 5,885,300       $ 14,344,632   
 

 

 

 

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

    (361,275      (273,860
 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 5,524,025       $ 14,070,772   
 

 

 

 

1    Includes options purchased at value which is included in Investments at value—unaffiliated in the Statement of Assets and Liabilities and reported in the Schedule of Investments.

        

2    Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statement of Assets and Liabilities.

       

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the Trust:

 

Counterparty   Derivative Assets
Subject to an MNA
by  Counterparty
     Derivatives
Available for
Offset1
    Non-cash Collateral
Received
    Cash Collateral
Received
    Net
Amount of
Derivative
Assets2
      

Bank of America N.A.

  $ 121,099       $ (121,099                       

Barclays Bank PLC

    611,588         (611,588                       

BNP Paribas Securities Corp.

    136,014         (60,984                 $ 75,030     

Citibank N.A.

    953,014         (953,014                       

Credit Suisse International

    55,027         (55,027                       

Deutsche Bank AG

    947,723         (947,723                       

Goldman Sachs Bank USA

    539,492         (539,492                       

HSBC Bank PLC

    206,204         (63,789                   142,415     

JPMorgan Chase Bank N.A.

    1,270,793         (568,927          $ (520,000     181,866     

Morgan Stanley & Co. International PLC

    97,079         (11,901                   85,178     

Morgan Stanley Capital Services LLC

    30,385         (21,052                   9,333     

Royal Bank of Scotland PLC

    12,195         (12,195                       

UBS AG

    543,412         (307,199                   236,213     
 

 

 

Total

  $ 5,524,025       $ (4,273,990          $ (520,000   $ 730,035     
 

 

 

 

Counterparty   Derivative Liabilities
Subject to an MNA
by Counterparty
     Derivatives
Available for
Offset
    Non-cash Collateral
Pledged
    Cash Collateral
Pledged3
    Net
Amount of
Derivative
Liabilities4
      

Bank of America N.A.

  $ 124,481       $ (121,099                 $ 3,382     

Barclays Bank PLC

    4,116,740         (611,588          $ (3,250,000     255,152     

BNP Paribas Securities Corp.

    60,984         (60,984                       

Citibank N.A.

    1,410,534         (953,014            (457,520         

Credit Suisse International

    1,303,172         (55,027            (1,040,000     208,145     

Deutsche Bank AG

    5,049,381         (947,723            (3,720,000     381,658     

Goldman Sachs Bank USA

    923,656         (539,492            (384,164         

HSBC Bank PLC

    63,789         (63,789                       

JPMorgan Chase Bank N.A.

    568,927         (568,927                       

Morgan Stanley & Co. International PLC

    11,901         (11,901                       

Morgan Stanley Capital Services LLC

    21,052         (21,052                       

Northern Trust Co.

    22,068                              22,068     

Royal Bank of Scotland PLC

    86,888         (12,195                   74,693     

UBS AG

    307,199         (307,199                       
 

 

 

Total

  $ 14,070,772       $ (4,273,990          $ (8,851,684   $ 945,098     
 

 

 

1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

       

 

2    Net amount represents the net amount receivable from the counterparty in the event of default.

       

 

3    Excess of collateral pledged from the individual counterparty is not shown for financial reporting purposes.

       

 

4    Net amount represents the net amount payable due to the counterparty in the event of default.

       

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments:

                

Asset-Backed Securities

            $ 75,148,691         $ 18,280,747         $ 93,429,438   

Corporate Bonds

              464,531,902           7,635,379           472,167,281   

Floating Rate Loan Interests

              3,245,474           261,635           3,507,109   

Foreign Agency Obligations

              15,571,667                     15,571,667   

Municipal Bonds

              24,720,925                     24,720,925   

Non-Agency Mortgage-Backed Securities

              115,138,892           6           115,138,898   

Preferred Securities

  $ 13,552,946           84,593,997                     98,146,943   

U.S. Government Sponsored Agency Securities

              72,657,389           286           72,657,675   

U.S. Treasury Obligations

              106,768,656                     106,768,656   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    31


Schedule of Investments (continued)

  

BlackRock Core Bond Trust (BHK)

 

     Level 1        Level 2        Level 3        Total  

Assets (concluded):

                
Investments (concluded):                 

Short-Term Securities:

                

Money Market Funds

  $ 9,946,997                             $ 9,946,997   

Options Purchased

            $ 4,667,410                     4,667,410   
 

 

 

 

Total

  $ 23,499,943         $ 967,045,003         $ 26,178,053         $ 1,016,722,999   
 

 

 

 
                
     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments1                 

Assets:

                

Credit contracts

            $ 98,923                   $ 98,923   

Foreign currency exchange contracts

              576,032                     576,032   

Interest rate contracts

  $ 41,201           1,529,904                     1,571,105   

Liabilities:

                

Credit contracts

              (1,234,574                  (1,234,574

Foreign currency exchange contracts

              (558,839                  (558,839

Interest rate contracts

    (636,835        (12,231,049                  (12,867,884
 

 

 

 

Total

  $ (595,634      $ (11,819,603                $ (12,415,237
 

 

 

 

1    Derivative financial instruments are swaps, financial futures contracts, forward foreign currency exchange contracts and options written. Swaps, financial futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

        

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash

  $ 184,051                             $ 184,051   

Cash pledged:

                

Collateral — OTC derivatives

    9,130,000                               9,130,000   

Financial futures contracts

    2,600,970                               2,600,970   

Centrally cleared swaps

    551,940                               551,940   

Foreign currency at value

    370,110                               370,110   

Liabilities:

                

Cash received as collateral for centrally cleared swaps

            $ (520,000                  (520,000

Reverse repurchase agreements

              (277,642,210                  (277,642,210
 

 

 

 

Total

  $ 12,837,071         $ (278,162,210                $ (265,325,139
 

 

 

 

During the six months ended February 29, 2016, there were no transfers between Level 1 and Level 2.

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-Backed
Securities
     Corporate
Bonds
     Floating
Rate Loan
Interests
     Non-Agency
Mortgage-Backed
Securities
     U.S. Government
Sponsored Agency
Securities
     Total  

Assets:

                

Opening Balance, as of August 31, 2015

  $ 22,613,310       $ 5,716,325               $ 8       $ 357       $ 28,330,000   

Transfers into Level 3

                                              

Transfers out of Level 3

                                              

Accrued discounts/premiums

    (96,783                                      (96,783

Net realized gain (loss)

    (179,515                      5         1         (179,509

Net change in unrealized appreciation (depreciation)1,2

    (591,059      310,374       $ 1,675         (2      (71      (279,083

Purchases

            1,621,622         259,960                         1,881,582   

Sales

    (3,465,206      (12,942              (5      (1      (3,478,154 )

Closing Balance, as of February 29, 2016

  $ 18,280,747       $ 7,635,379       $ 261,635      $ 6       $ 286       $ 26,178,053   
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at February 29, 20162

  $ (526,184    $ 310,374       $ 1,675      $ (2    $ (71    $ (214,208 )
 

 

 

 

1    Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations.

       

 

2    Any difference between Net change in unrealized appreciation (depreciation) and Net change in unrealized appreciation (depreciation) on investments held as of February 29, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

        

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (concluded)

  

BlackRock Core Bond Trust (BHK)

 

The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $18,542,674. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

 

     Value        Valuation Techniques      Unobservable Inputs      Range of
Unobservable Inputs
Utilized
    

Weighted

Average of
Unobservable Inputs

Assets:

                     

Corporate Bonds

  $ 7,635,379         Yield Analysis      Credit Spread1      162.0 – 256.0      235.88
            T-Bond Reference Rate1      1.92% – 2.75%      2.57%
                      Weighted Average Life1      6.4 – 24.4 years      20.57

Total

  $ 7,635,379                       
 

 

 

                     

1    Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease in value.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    33


Consolidated Schedule of Investments February 29, 2016 (Unaudited)

 

BlackRock Corporate High Yield Fund, Inc. (HYT)

(Percentages shown are based on Net Assets)

 

Common Stocks   

Shares

    Value  

Capital Markets — 1.9%

  

American Capital Ltd. (a)

       1,522,327      $ 20,840,657   

E*Trade Financial Corp. (a)

       169,584        3,978,451   

Uranium Participation Corp. (a)

       176,860        643,127   
      

 

 

 
        25,462,235   

Chemicals — 0.1%

  

Advanced Emissions Solutions, Inc. (a)

  

    168,580        800,755   

Consumer Finance — 1.5%

  

Ally Financial, Inc.

       1,101,275        19,360,415   

Ally Financial, Inc. (a)

       25,002        439,535   
      

 

 

 
        19,799,950   

Diversified Financial Services — 0.0%

  

Concrete Investments II S.C.A.

       4,997          

Kcad Holdings I Ltd. (a)

       2,223,465,984        22,235   
      

 

 

 
        22,235   

Diversified Telecommunication Services — 0.0%

  

Broadview Networks Holdings, Inc. (a)

  

    192,400        269,359   

Energy Equipment & Services — 0.1%

  

Laricina Energy Ltd. (a)(b)

       211,764        18,782   

Osum Oil Sands Corp. (a)(b)

       400,000        1,040,591   
      

 

 

 
        1,059,373   

Hotels, Restaurants & Leisure — 0.4%

  

Amaya, Inc.

       118,172        1,709,258   

Amaya, Inc. (a)

       259,108        3,747,778   
      

 

 

 
        5,457,036   

Media — 0.1%

  

Time Warner Cable, Inc.

             7,968        1,520,772   

Metals & Mining — 0.1%

  

African Minerals Ltd. (a)

       225,302        3   

Peninsula Energy Ltd. (a)

       2,051,920        1,200,937   
      

 

 

 
        1,200,940   

Oil, Gas & Consumable Fuels — 0.4%

  

Gener8 Maritime Corp.

             965,338        5,994,749   

Real Estate Investment Trusts (REITs) — 0.0%

  

Ovation Acquisition I, LLC (Acquired 12/29/15, cost $187,463) (c)

             12,175        12,175   

Semiconductors & Semiconductor Equipment — 0.0%

  

SunPower Corp. (a)

             1,025        24,210   

Wireless Telecommunication Services — 0.1%

  

T-Mobile U.S., Inc. (a)

             59,550        2,209,305   
Total Common Stocks — 4.7%        63,833,094   
      
                          
Asset-Backed Securities (d) — 2.4%   

Par  

(000)

        

ALM Loan Funding, Series 2013-7RA (e):

      

Class C, 4.07%, 4/24/24

     USD        2,340        2,112,126   

Class D, 5.62%, 4/24/24

       2,360        2,159,347   

ALM XII Ltd., Series 2015-12A (e):

      

Class C1, 4.37%, 4/16/27

       1,500        1,361,250   

Class D, 6.12%, 4/16/27

       250        178,769   

ALM XIV Ltd., Series 2014-14A, Class C, 4.07%, 7/28/26 (e)

       500        418,201   

AMMC CLO Ltd., Series 2014-15A (e):

      

Class C1, 3.94%, 12/09/26

       1,000        987,500   

Class D, 4.68%, 12/09/26

       1,000        927,500   

Apidos CLO XVIII, Series 2014-18A, Class C, 4.27%, 7/22/26 (e)

       550        459,015   
Asset-Backed Securities (d) — 2.4%   

Par  

(000)

    Value  

Atlas Senior Loan Fund V Ltd., Series 2014-1A (e):

      

Class C, 3.62%, 7/16/26

     USD        250      $ 234,359   

Class D, 4.07%, 7/16/26

       250        198,246   

Avalon IV Capital Ltd., Series 2012-1AR, Class CR, 3.14%, 4/17/23 (e)

       850        835,691   

Benefit Street Partners CLO, Ltd., Series 2014-IVA, Class C, 4.12%, 7/20/26 (e)

       500        409,156   

BlueMountain CLO Ltd. (e):

      

Series 2014-1A, Class C, 3.37%, 4/30/26

       1,000        950,767   

Series 2015-1A, Class D, 6.07%, 4/13/27

       750        566,675   

Carlyle Global Market Strategies CLO Ltd., Series 2014-5A, Class C, 4.77%, 10/16/25 (e)

       1,000        842,047   

Cedar Funding, Ltd., Series 2014-3A, Class D, 4.17%, 5/20/26 (e)

       535        431,035   

CIFC Funding Ltd. (e):

      

Series 2011-1A, Class D, 5.62%, 1/19/23

       750        717,944   

Series 2014-2A, Class A3L, 3.47%, 5/24/26

       500        463,349   

Series 2014-3A, Class C1, 3.42%, 7/22/26

       500        461,669   

Dryden Senior Loan Fund, Series 2014-36A, Class D, 4.37%, 11/09/25 (e)

       1,000        831,479   

Highbridge Loan Management Ltd., Series 4A-2014, Class B, 3.62%, 7/28/25 (e)

       570        533,690   

LCM X LP, Series 10AR, Class ER, 5.82%, 4/15/22 (e)

       1,000        832,341   

LCM XIII LP, Series 13A, Class D, 4.42%, 1/19/23 (e)

       500        422,756   

Madison Park Funding Ltd. (e):

      

Series 2012-8AR, Class CR, 3.10%, 4/22/22

       500        499,531   

Series 2012-8AR, Class DR, 4.15%, 4/22/22

       250        235,398   

Series 2014-14A, Class D, 4.22%, 7/20/26

       500        422,914   

Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class D, 4.17%, 8/04/25 (e)

       500        391,802   

Neuberger Berman CLO XVIII Ltd.,
Series 2014-18A (e):

      

Class B, 3.77%, 11/14/25

       500        486,970   

Class C, 4.37%, 11/14/25

       1,500        1,211,517   

Oaktree EIF II Ltd., Series 2014-A2, Class C, 3.82%, 11/15/25 (e)

       2,000        1,858,483   

Octagon Investment Partners XII Ltd., Series 2012-1AR, Class ER, 5.78%, 5/05/23 (e)

       1,200        986,039   

Octagon Investment Partners XXII Ltd., Series 2014-1A (e):

      

Class C1, 3.87%, 11/25/25

       1,000        953,180   

Class D1, 4.52%, 11/25/25

       1,000        801,053   

OneMain Financial Issuance Trust, Series 2015-2A:

      

Class C, 4.32%, 7/18/25

       200        194,430   

Class D, 5.64%, 7/18/25

       200        194,792   

OZLM Funding IV Ltd., Series 2013-4A, Class C, 3.82%, 7/22/25 (e)

       250        202,841   

OZLM Funding IX Ltd., Series 2014-9A, Class C, 4.22%, 1/20/27 (e)

       1,250        1,020,376   

OZLM Funding XII Ltd., Series 2015-12A, Class D, 6.02%, 4/30/27 (e)

       250        175,824   

Palmer Square CLO Ltd., Series 2014-1A, Class C, 4.47%, 10/17/22 (e)

       845        757,188   

Sound Point CLO Ltd., Series 2014-3A, Class D, 4.22%, 1/23/27 (e)

       1,250        996,203   

TICP CLO III Ltd., Series 2014-3A, Class C, 3.87%, 1/20/27 (e)

       750        680,036   

Venture XIII CLO Ltd., Series 2013-13A, Class D, 4.04%, 6/10/25 (e)

       1,000        825,231   

Venture XIX CLO Ltd., Series 2014-19A, Class C, 3.92%, 1/15/27 (e)

       1,000        988,604   

Voya CLO Ltd., Series 2014-4A, Class C, 4.62%, 10/14/26 (e)

             1,750        1,488,337   
Total Asset-Backed Securities — 2.4%        32,705,661   
 

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Corporate Bonds   

Par  

(000)

    Value  

Aerospace & Defense — 1.5%

      

Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (d)

     USD        2,285      $ 1,639,488   

Bombardier, Inc. (d):

      

5.50%, 9/15/18

       923        830,700   

7.50%, 3/15/25

       1,450        1,018,625   

Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (d)

       1,140        1,214,100   

TransDigm, Inc.:

      

5.50%, 10/15/20

       2,490        2,433,975   

6.00%, 7/15/22

       7,563        7,373,925   

6.50%, 7/15/24

       5,828        5,682,300   
      

 

 

 
        20,193,113   

Air Freight & Logistics — 0.7%

      

Air Medical Merger Sub Corp., 6.38%, 5/15/23 (d)

       1,321        1,149,270   

National Air Cargo Group, Inc.:

      

11.88%, 5/02/18

       696        696,121   

11.88%, 5/08/18

       715        714,729   

XPO Logistics, Inc.:

      

7.88%, 9/01/19 (d)

       2,958        3,054,135   

5.75%, 6/15/21

     EUR        150        148,505   

6.50%, 6/15/22 (d)

     USD        4,105        3,884,356   
      

 

 

 
        9,647,116   

Airlines — 2.1%

      

American Airlines Pass-Through Trust,
Series 2013-2, Class C, 6.00%, 1/15/17 (d)

       6,336        6,462,637   

Continental Airlines Pass-Through Trust, Series 1997-4, Class B, 6.90%, 7/02/18

       106        107,899   

Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18

       742        783,050   

US Airways Pass-Through Trust:

      

Series 2012-2, Class C, 5.45%, 6/03/18

       5,720        5,698,550   

Series 2013-1, Class B, 5.38%, 5/15/23

       4,917        4,881,628   

Virgin Australia Trust, Series 2013-1 (d):

      

Class C, 7.13%, 10/23/18

       5,527        5,554,956   

Class D, 8.50%, 10/23/16

       4,049        4,119,735   
      

 

 

 
        27,608,455   

Auto Components — 2.2%

      

Affinia Group, Inc., 7.75%, 5/01/21

       1,854        1,909,620   

Dakar Finance SA, 9.00%, 11/15/20 (f)

     EUR        525        530,366   

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

     USD        200        203,000   

Fiat Chrysler Finance Europe, 4.75%, 7/15/22

     EUR        907        1,030,339   

Goodyear Tire & Rubber Co., 6.50%, 3/01/21

     USD        1,110        1,168,974   

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

4.88%, 3/15/19

       3,012        2,793,630   

5.88%, 2/01/22

       2,797        2,440,383   

Jaguar Land Rover Automotive PLC, 5.00%, 2/15/22

     GBP        753        1,016,621   

Schaeffler Finance BV, 4.75%, 5/15/23 (d)

     USD        1,440        1,407,600   

Schaeffler Holding Finance BV (f):

      

(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21

     EUR        600        683,714   

(6.25% Cash), 6.25%, 11/15/19 (d)

     USD        2,130        2,217,863   

(6.75% Cash), 6.75%, 11/15/22 (d)

       6,753        7,158,180   

(6.88% Cash or 7.63% PIK), 6.88%, 8/15/18 (d)

       2,400        2,460,000   

(6.88% Cash), 6.88%, 8/15/18

     EUR        1,360        1,521,790   

UCI International, Inc., 8.63%, 2/15/19

     USD        7,080        1,416,000   

ZF North America Capital, Inc.:

      

4.50%, 4/29/22 (d)

       321        316,586   

2.75%, 4/27/23

     EUR        900        915,426   
      

 

 

 
        29,190,092   
Corporate Bonds   

Par  

(000)

    Value  

Banks — 1.5%

      

Allied Irish Banks PLC, 4.13%, 11/26/25 (e)

     EUR        325      $ 321,732   

Banca Monte dei Paschi di Siena SpA, 3.63%, 4/01/19

       120        124,994   

Banco Espirito Santo SA (g):

      

4.75%, 1/15/18

     USD        1,900        599,405   

4.00%, 1/21/19

       1,100        347,024   

Bankia SA, 4.00%, 5/22/24 (e)

       1,000        1,003,814   

CIT Group, Inc.:

      

5.25%, 3/15/18

       4,320        4,444,200   

6.63%, 4/01/18 (d)

       1,400        1,471,750   

5.50%, 2/15/19 (d)

       6,919        7,161,165   

5.00%, 8/01/23

       560        560,000   

6.00%, 4/01/36

       2,800        2,576,000   

HSH Nordbank AG, 0.62%, 2/14/17 (e)

     EUR        1,265        1,195,032   

Ibercaja Banco SA, 5.00%, 7/28/25 (e)

       600        557,965   
      

 

 

 
        20,363,081   

Beverages — 0.1%

      

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6.75%, 1/31/21 (d)

     USD        1,258        1,180,947   

Horizon Holdings I SASU, 7.25%, 8/01/23

     EUR        467        516,282   

Hydra Dutch Holdings 2BV, 5.36%, 4/15/19 (e)

       167        168,969   
      

 

 

 
        1,866,198   

Biotechnology — 0.1%

      

Rapid Holding GmbH, 6.63%, 11/15/20

             700        780,152   

Building Products — 2.0%

      

American Builders & Contractors Supply Co., Inc. (d):

      

5.63%, 4/15/21

     USD        1,315        1,344,588   

5.75%, 12/15/23

       982        1,011,460   

Builders FirstSource, Inc., 7.63%, 6/01/21 (d)

       1,152        1,169,280   

Building Materials Corp. of America, 6.00%, 10/15/25 (d)

       4,118        4,184,917   

Cemex SAB de CV, 4.38%, 3/05/23

     EUR        345        318,074   

CPG Merger Sub LLC, 8.00%, 10/01/21 (d)

     USD        4,330        3,983,600   

Masonite International Corp., 5.63%, 3/15/23 (d)

       2,950        3,053,250   

Ply Gem Industries, Inc., 6.50%, 2/01/22

       3,921        3,357,356   

Standard Industries, Inc. (d):

      

5.13%, 2/15/21

       949        967,980   

5.50%, 2/15/23

       1,576        1,595,700   

USG Corp.:

      

9.75%, 1/15/18

       3,935        4,382,606   

5.50%, 3/01/25 (d)

       1,234        1,258,680   
      

 

 

 
        26,627,491   

Capital Markets — 2.1%

      

American Capital Ltd., 6.50%, 9/15/18 (d)

       3,840        3,916,800   

Blackstone CQP Holdco LP, 9.30%, 3/19/19

       18,948        17,811,072   

E*Trade Financial Corp.:

      

5.38%, 11/15/22

       2,857        2,969,537   

4.63%, 9/15/23

       2,784        2,728,320   

Series A, 0.00%, 8/31/19 (h)(i)

       373        850,254   
      

 

 

 
        28,275,983   

Chemicals — 1.1%

      

Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (d)

       1,760        1,870,000   

Chemours Co., 7.00%, 5/15/25 (d)

       1,041        754,725   

Huntsman International LLC:

      

4.88%, 11/15/20

       286        269,555   

5.13%, 4/15/21

     EUR        1,779        1,751,434   

5.13%, 11/15/22 (d)

     USD        1,254        1,147,410   

Ineos Finance PLC, 4.00%, 5/01/23

     EUR        248        252,183   

Momentive Performance Materials, Inc., 3.88%, 10/24/21

     USD        3,738        2,541,840   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    35


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Corporate Bonds   

Par  

(000)

    Value  

Chemicals (continued)

      

Montichem Holdco 3 SA, 5.25%, 6/15/21

     EUR        311      $ 321,432   

NOVA Chemicals Corp. (d):

      

5.25%, 8/01/23

     USD        184        181,240   

5.00%, 5/01/25

       415        406,700   

Platform Specialty Products Corp. (d):

      

10.38%, 5/01/21

       468        427,050   

6.50%, 2/01/22

       5,892        4,772,520   

PSPC Escrow Corp., 6.00%, 2/01/23

     EUR        394        320,817   

WR Grace & Co-Conn, 5.13%, 10/01/21 (d)

     USD        232        241,280   
      

 

 

 
        15,258,186   

Commercial Services & Supplies — 1.9%

      

AA Bond Co., Ltd., 5.50%, 7/31/43

     GBP        500        638,511   

ADS Waste Holdings, Inc., 8.25%, 10/01/20

     USD        1,341        1,314,180   

ADT Corp., 3.50%, 7/15/22

       984        824,100   

ARAMARK Corp., 5.75%, 3/15/20

       3,123        3,224,497   

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.50%, 4/01/23

       720        682,200   

Bilbao Luxembourg SA, (10.50% Cash or 11.25% PIK), 10.50%, 12/01/18 (f)

     EUR        428        386,846   

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

     USD        2,040        2,075,700   

Mustang Merger Corp., 8.50%, 8/15/21 (d)

     USD        2,688        2,735,040   

Silk Bidco AS, 7.50%, 2/01/22

     EUR        347        378,428   

United Rentals North America, Inc.:

      

7.38%, 5/15/20

     USD        1,890        1,982,138   

8.25%, 2/01/21

       1,001        1,051,050   

7.63%, 4/15/22

       5,555        5,905,632   

6.13%, 6/15/23

       1,055        1,081,913   

5.75%, 11/15/24

       3,154        3,074,519   

Verisure Holding AB, 6.00%, 11/01/22

     EUR        775        864,161   
      

 

 

 
        26,218,915   

Communications Equipment — 2.4%

      

Alcatel-Lucent USA, Inc., 6.45%, 3/15/29

     USD        6,018        6,123,315   

CommScope Technologies Finance LLC, 6.00%, 6/15/25 (d)

       2,125        2,103,750   

CommScope, Inc. (d):

      

4.38%, 6/15/20

       2,278        2,317,865   

5.50%, 6/15/24

       2,169        2,103,930   

Nokia OYJ, 6.63%, 5/15/39

       3,596        3,667,920   

Zayo Group LLC/Zayo Capital, Inc.:

      

10.13%, 7/01/20

       7,677        8,233,582   

6.00%, 4/01/23

       5,615        5,530,775   

6.38%, 5/15/25

       2,765        2,640,575   
      

 

 

 
        32,721,712   

Construction & Engineering — 0.7%

      

AECOM Technology Corp.:

      

5.75%, 10/15/22

       716        723,160   

5.88%, 10/15/24

       2,662        2,648,690   

Aldesa Financial Services SA, 7.25%, 4/01/21

     EUR        960        715,370   

BlueLine Rental Finance Corp.,
7.00%, 2/01/19 (d)

     USD        2,187        1,601,977   

Novafives SAS, 4.50%, 6/30/21

     EUR        120        104,695   

Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (d)

     USD        2,412        2,442,150   

Swissport Investments SA, 6.75%, 12/15/21

     EUR        927        1,038,285   

Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23

     USD        862        802,738   
      

 

 

 
                       10,077,065   

Construction Materials — 2.7%

      

American Tire Distributors, Inc.,
10.25%, 3/01/22 (d)

       4,335        3,728,100   

Beacon Roofing Supply, Inc.,
6.38%, 10/01/23 (d)

       566        597,130   
Corporate Bonds   

Par  

(000)

    Value  

Construction Materials (continued)

      

HD Supply, Inc.:

      

7.50%, 7/15/20

     USD        16,335      $ 17,192,587   

5.25%, 12/15/21 (d)

       10,967        11,487,932   

Officine MaccaFerri SpA, 5.75%, 6/01/21

     EUR        675        613,013   

PulteGroup, Inc., 5.50%, 3/01/26

     USD        2,278        2,303,628   
      

 

 

 
                       35,922,390   

Consumer Finance — 1.9%

      

Ally Financial, Inc.:

      

5.13%, 9/30/24

       1,636        1,648,270   

4.63%, 3/30/25

       2,029        1,968,130   

8.00%, 11/01/31

       19,553        21,532,741   

Navient Corp.:

      

5.50%, 1/25/23

       165        136,538   

6.13%, 3/25/24

       165        138,088   

5.88%, 10/25/24

       280        226,800   
      

 

 

 
                       25,650,567   

Containers & Packaging — 1.3%

      

Ardagh Packaging Finance PLC, 9.13%, 10/15/20 (d)

       825        851,813   

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

      

6.25%, 1/31/19 (d)

       1,504        1,470,160   

6.00%, 6/30/21 (d)

       1,752        1,603,080   

4.25%, 1/15/22

     EUR        955        1,023,418   

Ball Corp.:

      

4.38%, 12/15/20

     USD        843        880,935   

4.00%, 11/15/23

       1,374        1,336,215   

4.38%, 12/15/23

     EUR        577        643,382   

Beverage Packaging Holdings Luxembourg II SA (d):

      

5.63%, 12/15/16

     USD        978        976,778   

6.00%, 6/15/17

       1,642        1,635,842   

Crown European Holdings SA:

      

4.00%, 7/15/22

     EUR        758        849,345   

3.38%, 5/15/25

       503        513,673   

JH-Holding Finance SA, (8.25% Cash), 8.25%, 12/01/22 (f)

       300        334,285   

Sealed Air Corp.:

      

4.88%, 12/01/22 (d)

     USD        709        730,270   

4.50%, 9/15/23

     EUR        560        628,995   

5.13%, 12/01/24 (d)

     USD        3,431        3,559,662   

SGD Group SAS, 5.63%, 5/15/19

     EUR        205        217,947   
      

 

 

 
                       17,255,800   

Diversified Consumer Services — 0.3%

      

Cognita Financing PLC, 7.75%, 8/15/21

     GBP        225        311,601   

Laureate Education, Inc., 9.25%, 9/01/19 (d)

     USD        1,205        614,550   

Service Corp. International, 5.38%, 5/15/24

       2,450        2,606,187   
      

 

 

 
                       3,532,338   

Diversified Financial Services — 3.4%

      

AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust:

      

4.63%, 10/30/20

       3,053        3,102,611   

4.50%, 5/15/21

       780        785,850   

5.00%, 10/01/21

       4,340        4,453,925   

4.63%, 7/01/22

       691        691,864   

Aircastle Ltd.:

      

7.63%, 4/15/20

       128        140,160   

5.13%, 3/15/21

       1,572        1,575,930   

5.50%, 2/15/22

       2,040        2,037,450   

DFC Finance Corp., 10.50%, 6/15/20 (d)

       2,045        1,273,012   

Gala Group Finance PLC, 8.88%, 9/01/18

     GBP        681        852,536   

Garfunkelux Holdco 3 SA, 8.50%, 11/01/22

       325        428,151   

HRG Group, Inc., 7.88%, 7/15/19 (j)

     USD        2,745        2,861,662   
 

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Corporate Bonds   

Par  

(000)

    Value  

Diversified Financial Services (continued)

      

HSH Nordbank AG, 0.66%, 2/14/17 (e)

     EUR        103      $ 97,281   

International Lease Finance Corp.:

      

5.88%, 4/01/19

     USD        160        169,000   

8.25%, 12/15/20

       150        173,438   

4.63%, 4/15/21

       687        693,870   

5.88%, 8/15/22

       4,010        4,265,637   

Jarden Corp., 1.88%, 9/15/18 (i)

       100        169,063   

Jefferies Finance LLC/JFIN Co-Issuer Corp. (d):

      

7.38%, 4/01/20

       2,695        2,075,150   

6.88%, 4/15/22

       2,552        1,799,160   

Lehman Brother Holding Escrow, 1.00%, 9/22/18

       430        33,755   

Lehman Brothers Holdings, Inc.:

      

5.38%, 10/17/16

     EUR        350        39,979   

4.75%, 1/16/17

       1,890        215,884   

1.00%, 2/05/17

       3,950        429,701   

1.00%, 12/31/49

     USD        1,535        120,037   

Mercury Bondco PLC, (8.25% Cash or 9.00% PIK), 8.25%, 5/30/21 (f)

     EUR        1,803        1,909,770   

MSCI, Inc., 5.75%, 8/15/25 (d)

     USD        1,667        1,798,276   

Pershing Square Holdings, Ltd.,
5.50%, 7/15/22 (d)

       2,100        1,831,515   

ProGroup AG, 5.13%, 5/01/22

     EUR        206        229,980   

Reynolds Group Issuer, Inc.:

      

8.50%, 5/15/18

     USD        1,700        1,700,000   

9.88%, 8/15/19

       899        925,970   

5.75%, 10/15/20

       6,454        6,631,485   

8.25%, 2/15/21

       1,681        1,651,582   

UniCredit SpA, 6.95%, 10/31/22

     EUR        475        570,412   
      

 

 

 
                       45,734,096   

Diversified Telecommunication Services — 3.7%

  

CenturyLink, Inc.:

      

6.45%, 6/15/21

     USD        2,678        2,719,830   

Series V, 5.63%, 4/01/20

       3,867        3,915,337   

Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (d)

       1,025        940,438   

Consolidated Communications, Inc., 6.50%, 10/01/22

       1,020        831,300   

Frontier Communications Corp.:

      

8.50%, 4/15/20

       2,275        2,314,813   

6.25%, 9/15/21

       3,005        2,663,181   

7.13%, 1/15/23

       1,330        1,156,688   

7.63%, 4/15/24

       1,927        1,686,125   

6.88%, 1/15/25

       3,871        3,261,318   

Level 3 Financing, Inc.:

      

7.00%, 6/01/20

       1,647        1,727,291   

5.63%, 2/01/23

       2,617        2,702,053   

5.13%, 5/01/23

       3,232        3,296,640   

5.38%, 1/15/24 (d)

       1,771        1,815,275   

5.38%, 5/01/25

       7,872        8,009,760   

SoftBank Group Corp., 4.75%, 7/30/25

     EUR        200        204,929   

Telecom Italia Capital SA:

      

6.38%, 11/15/33

     USD        745        685,400   

6.00%, 9/30/34

       2,890        2,492,625   

7.20%, 7/18/36

       690        641,700   

Telecom Italia Finance SA, 7.75%, 1/24/33

     EUR        380        503,793   

Telecom Italia SpA:

      

6.38%, 6/24/19

     GBP        900        1,337,909   

3.25%, 1/16/23

     EUR        300        324,051   

5.88%, 5/19/23

     GBP        1,900        2,773,838   

Telenet Finance V Luxembourg SCA:

      

6.25%, 8/15/22

     EUR        1,362        1,568,699   

6.75%, 8/15/24

       1,982        2,328,609   
      

 

 

 
                       49,901,602   
Corporate Bonds   

Par  

(000)

    Value  

Electric Utilities — 0.1%

      

Homer City Generation LP, (8.14% Cash), 8.14%, 10/01/19 (f)

     USD        689      $ 447,691   

Texas Competitive Electric Holdings Co., 10.50%, 11/01/16 (a)(g)

       379        16,108   

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series A,
10.25%, 11/01/15 (a)(g)

       568        24,140   

Viridian Group FundCo II Ltd., 7.50%, 3/01/20

     EUR        624        705,971   
      

 

 

 
                       1,193,910   

Electrical Equipment — 0.3%

  

Areva SA, 4.88%, 9/23/24

       50        42,426   

Belden, Inc., 5.50%, 4/15/23

       672        700,149   

International Wire Group Holdings, Inc., 8.50%, 10/15/17 (d)

     USD        1,421        1,406,790   

Trionista Holdco GmbH, 5.00%, 4/30/20

     EUR        1,405        1,566,641   

Trionista TopCo GmbH, 6.88%, 4/30/21

       418        474,727   
      

 

 

 
                       4,190,733   

Electronic Equipment, Instruments & Components — 0.8%

  

CDW LLC/CDW Finance Corp.:

      

5.00%, 9/01/23

     USD        4,354        4,462,850   

5.50%, 12/01/24

       6,477        6,687,503   
      

 

 

 
                       11,150,353   

Energy Equipment & Services — 0.4%

  

Gates Global LLC/Gates Global Co., 5.75%, 7/15/22

     EUR        110        86,756   

Genesis Energy LP/Genesis Energy Finance Corp.:

      

5.75%, 2/15/21

     USD        283        233,475   

6.75%, 8/01/22

       811        677,185   

MEG Energy Corp., 6.38%, 1/30/23 (d)

       575        271,688   

Transocean, Inc.:

      

3.00%, 10/15/17

       1,914        1,722,600   

6.00%, 3/15/18

       2,520        2,028,600   

6.50%, 11/15/20

       1,019        601,210   
      

 

 

 
                       5,621,514   

Environmental, Maintenance, & Security Service — 0.0%

  

Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18

     EUR        300        298,615   

Food & Staples Retailing — 1.6%

  

Bakkavor Finance 2 PLC:

      

8.25%, 2/15/18

     GBP        503        1,168,527   

8.75%, 6/15/20

       665        973,017   

Brakes Capital, 7.13%, 12/15/18

       830        1,199,539   

Dollar Tree Inc., 5.25%, 3/01/20 (d)

     USD        817        857,850   

Family Dollar Stores, Inc., 5.00%, 2/01/21

       1,434        1,499,333   

Labeyrie Fine Foods SAS, 5.63%, 3/15/21

     EUR        540        604,769   

R&R Ice Cream PLC:

      

4.75%, 5/15/20

       745        822,605   

(9.25% Cash or 10.00% PIK), 9.25%, 5/15/18 (f)

       823        894,757   

Rite Aid Corp.:

      

9.25%, 3/15/20

     USD        2,080        2,194,400   

6.75%, 6/15/21

       1,091        1,156,460   

6.13%, 4/01/23 (d)

       9,022        9,630,985   
      

 

 

 
                       21,002,242   

Food Products — 1.3%

  

Acosta, Inc., 7.75%, 10/01/22 (d)

       3,385        2,987,263   

Aramark Services, Inc., 5.13%, 1/15/24 (d)

       1,712        1,793,320   

Boparan Finance PLC:

      

4.38%, 7/15/21

     EUR        249        236,338   

5.50%, 7/15/21

     GBP        422        507,920   

Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.88%, 1/15/24 (d)

     USD        445        469,475   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    37


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Corporate Bonds   

Par  

(000)

    Value  

Food Products (continued)

  

Post Holdings, Inc. (d):

      

7.75%, 3/15/24

     USD        4,599      $ 5,035,905   

8.00%, 7/15/25

       1,826        2,013,165   

Smithfield Foods, Inc.:

      

5.88%, 8/01/21 (d)

       891        906,316   

6.63%, 8/15/22

       1,516        1,599,380   

TreeHouse Foods, Inc., 6.00%, 2/15/24 (d)

       976        1,027,240   

WhiteWave Foods Co., 5.38%, 10/01/22

       1,255        1,342,850   
      

 

 

 
                       17,919,172   

Forest Products — 0.1%

  

JBS USA LLC/JBS USA Finance, Inc., 5.75%, 6/15/25 (d)

             1,610        1,384,600   

Health Care Equipment & Supplies — 1.0%

  

Crimson Merger Sub, Inc., 6.63%, 5/15/22 (d)

       3,373        2,428,560   

DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (d)

       6,387        5,349,112   

Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (d)

       1,580        1,706,400   

IDH Finance PLC:

      

6.00%, 12/01/18

     GBP        414        568,159   

6.00%, 12/01/18 (d)

       200        274,473   

Kinetic Concepts, Inc./KCI USA, Inc., 7.88%, 2/15/21 (d)

     USD        767        790,010   

Mallinckrodt International Finance SA (d):

      

4.88%, 4/15/20

       980        970,200   

5.75%, 8/01/22

       1,250        1,234,375   
      

 

 

 
                       13,321,289   

Health Care Providers & Services — 7.7%

  

Acadia Healthcare Co., Inc.:

      

5.13%, 7/01/22

       1,145        1,135,268   

5.63%, 2/15/23

       1,825        1,843,250   

6.50%, 3/01/24 (d)

       434        448,105   

Alere, Inc.:

      

7.25%, 7/01/18

       2,449        2,565,327   

6.38%, 7/01/23 (d)

       2,013        2,209,268   

Amsurg Corp., 5.63%, 7/15/22

       6,938        7,146,140   

Care UK Health & Social Care PLC, 5.59%, 7/15/19 (e)

     GBP        531        625,440   

Centene Corp., 4.75%, 5/15/22

     USD        2,427        2,445,202   

Centene Escrow Corp. (d):

      

5.63%, 2/15/21

       2,516        2,629,220   

6.13%, 2/15/24

       1,484        1,574,895   

CHS/Community Health Systems, Inc.:

      

5.13%, 8/15/18

       2,125        2,132,969   

6.88%, 2/01/22

       3,948        3,385,410   

DaVita HealthCare Partners, Inc.:

      

5.13%, 7/15/24

       2,991        3,043,342   

5.00%, 5/01/25

       6,156        6,140,610   

ExamWorks Group, Inc., 5.63%, 4/15/23

       1,741        1,749,705   

HCA Holdings, Inc., 6.25%, 2/15/21

       1,805        1,908,788   

HCA, Inc.:

      

3.75%, 3/15/19

       2,911        2,965,290   

6.50%, 2/15/20

       4,735        5,244,959   

7.50%, 2/15/22

       4,261        4,814,078   

5.88%, 3/15/22

       2,105        2,257,612   

4.75%, 5/01/23

       1,487        1,511,164   

5.88%, 5/01/23

       4,096        4,300,800   

5.00%, 3/15/24

       1,955        1,994,100   

5.38%, 2/01/25

       6,690        6,815,437   

5.88%, 2/15/26

       3,125        3,218,750   

HealthSouth Corp.:

      

5.13%, 3/15/23

       2,840        2,797,400   

5.75%, 11/01/24

       1,282        1,294,820   

5.75%, 11/01/24 (d)

       1,428        1,442,280   
Corporate Bonds   

Par  

(000)

    Value  

Health Care Providers & Services (continued)

  

HealthSouth Corp. (continued):

      

5.75%, 9/15/25 (d)

     USD        2,065      $ 2,049,513   

Hologic, Inc., 5.25%, 7/15/22 (d)

       2,620        2,744,188   

MEDNAX, Inc., 5.25%, 12/01/23 (d)

       1,134        1,175,108   

MPH Acquisition Holdings LLC, 6.63%, 4/01/22 (d)

       1,280        1,289,600   

Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (d)

       424        398,560   

Surgical Care Affiliates, Inc., 6.00%, 4/01/23 (d)

       2,641        2,568,372   

Tenet Healthcare Corp.:

      

6.25%, 11/01/18

       1,308        1,376,670   

4.75%, 6/01/20

       1,805        1,823,050   

4.01%, 6/15/20 (d)(e)

       1,432        1,410,520   

6.00%, 10/01/20

       3,835        4,072,770   

4.50%, 4/01/21

       74        73,538   

4.38%, 10/01/21

       525        517,781   

8.13%, 4/01/22

       1,933        1,900,371   

Voyage Care Bondco PLC, 6.50%, 8/01/18

     GBP        686        931,035   

WellCare Health Plans, Inc., 5.75%, 11/15/20

     USD        1,066        1,095,315   
      

 

 

 
                       103,066,020   

Health Care Technology — 0.1%

  

IMS Health, Inc., 6.00%, 11/01/20 (d)

             795        822,157   

Hotels, Restaurants & Leisure — 4.0%

      

Boyd Gaming Corp., 6.88%, 5/15/23

       3,726        3,828,465   

Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20

       4,810        4,701,775   

Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (d)(f)

       654        568,980   

Cedar Fair LP/Canada’s Wonderland Co., 5.38%, 6/01/24

       1,070        1,102,100   

Cirsa Funding Luxembourg SA, 5.88%, 5/15/23

     EUR        656        660,108   

CPUK Finance Ltd., 7.00%, 2/28/42

     GBP        375        525,858   

Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (i)

       400        423,679   

ESH Hospitality, Inc., 5.25%, 5/01/25 (d)

     USD        1,268        1,229,960   

Gala Electric Casinos PLC, 11.50%, 6/01/19

     GBP        426        617,448   

International Game Technology PLC:

      

6.25%, 2/15/22 (d)

     USD        400        377,750   

4.75%, 2/15/23

     EUR        310        320,962   

Intralot Capital Luxembourg SA, 6.00%, 5/15/21

       201        188,811   

Intralot Finance Luxembourg SA, 9.75%, 8/15/18

       1,370        1,509,134   

MGM Resorts International:

      

6.75%, 10/01/20

     USD        5,110        5,467,700   

6.63%, 12/15/21

       1,130        1,200,625   

6.00%, 3/15/23

       5,212        5,342,300   

New Red Finance, Inc., 6.00%, 4/01/22 (d)

       4,455        4,644,338   

Pinnacle Entertainment, Inc., 6.38%, 8/01/21

       2,405        2,552,306   

PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20

     EUR        339        370,598   

Regal Entertainment Group, 5.75%, 2/01/25

     USD        489        474,330   

RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/23

       1,032        1,029,420   

Sabre GLBL, Inc. (d):

      

5.38%, 4/15/23

       1,516        1,527,370   

5.25%, 11/15/23

       807        819,105   

Six Flags Entertainment Corp., 5.25%, 1/15/21 (d)

       3,247        3,319,570   

Snai SpA, 7.63%, 6/15/18

     EUR        866        927,947   

Station Casinos LLC, 7.50%, 3/01/21

     USD        6,110        6,377,313   

Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/16 (a)(g)

       1,850          

Unique Pub Finance Co. PLC:

      

Series A3, 6.54%, 3/30/21

     GBP        823        1,166,710   

Series A4, 5.66%, 6/30/27

       796        1,089,326   

Series N, 6.46%, 3/30/32

       1,000        1,177,681   

Vougeot Bidco PLC, 7.88%, 7/15/20

       320        455,191   
      

 

 

 
                       53,996,860   
 

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Corporate Bonds   

Par  

(000)

    Value  

Household Durables — 2.5%

  

Beazer Homes USA, Inc., 6.63%, 4/15/18

     USD        215      $ 216,075   

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (d)

       1,604        1,339,340   

DR Horton, Inc., 4.00%, 2/15/20

       2,408        2,450,140   

K. Hovnanian Enterprises, Inc.,
7.25%, 10/15/20 (d)

       387        301,860   

Lennar Corp.:

      

4.50%, 11/15/19

       2,482        2,557,999   

4.75%, 4/01/21

       1,909        1,918,545   

4.88%, 12/15/23

       1,728        1,684,800   

Project Homestake Merger Co.,
8.88%, 3/01/23 (d)

       1,502        1,336,780   

PulteGroup, Inc., 6.38%, 5/15/33

       2,805        2,833,050   

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

       1,160        1,247,000   

Shea Homes LP/Shea Homes Funding Corp., 5.88%, 4/01/23 (d)

       2,283        2,231,632   

Standard Pacific Corp.:

      

10.75%, 9/15/16

       3,420        3,565,350   

8.38%, 1/15/21

       4,270        4,867,800   

5.88%, 11/15/24

       1,480        1,550,300   

Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (d)

       366        340,380   

TRI Pointe Holdings, Inc.:

      

4.38%, 6/15/19

       1,060        1,022,900   

5.88%, 6/15/24

       1,540        1,463,000   

William Lyon Homes, Inc., 8.50%, 11/15/20

       2,304        2,292,480   
      

 

 

 
                       33,219,431   

Household Products — 0.6%

  

 

Prestige Brands, Inc., 6.38%, 3/01/24 (d)

       896        922,880   

Spectrum Brands, Inc.:

      

6.38%, 11/15/20

       2,125        2,239,219   

6.63%, 11/15/22

       1,385        1,490,606   

6.13%, 12/15/24

       1,290        1,364,175   

5.75%, 7/15/25

       2,521        2,656,504   
      

 

 

 
                       8,673,384   

Independent Power and Renewable Electricity Producers — 1.4%

  

Calpine Corp.:

      

6.00%, 1/15/22 (d)

       991        1,015,775   

5.38%, 1/15/23

       629        586,543   

5.88%, 1/15/24 (d)

       1,999        2,033,982   

5.50%, 2/01/24

       1,985        1,786,500   

5.75%, 1/15/25

       2,301        2,070,900   

Dynegy, Inc.:

      

6.75%, 11/01/19

       4,240        3,929,950   

7.38%, 11/01/22

       476        397,460   

MPM Escrow LLC, 8.88%, 10/15/20

       3,738          

NRG Energy, Inc.:

      

7.88%, 5/15/21

       760        717,250   

6.25%, 7/15/22

       1,129        954,005   

6.25%, 5/01/24

       1,801        1,494,830   

NRG Yield Operating LLC, 5.38%, 8/15/24

       645        567,600   

QEP Resources, Inc.:

      

5.38%, 10/01/22

       1,528        1,039,040   

5.25%, 5/01/23

       2,005        1,403,500   

TerraForm Power Operating LLC,
6.13%, 6/15/25 (d)

       709        521,115   
      

 

 

 
        18,518,450   

Insurance — 0.8%

      

HUB International Ltd. (d):

      

9.25%, 2/15/21

       874        893,665   

7.88%, 10/01/21

       3,920        3,508,400   

Pension Insurance Corp. PLC, 6.50%, 7/03/24

     GBP        775        956,784   

TMF Group Holding BV, 9.88%, 12/01/19

     EUR        570        660,504   
Corporate Bonds   

Par  

(000)

    Value  

Insurance (continued)

      

Trader Corp., 9.88%, 8/15/18 (d)

     USD        3,650      $ 3,796,000   

UNIQA Insurance Group AG, 6.00%, 7/27/46 (e)

     EUR        200        201,413   

Wayne Merger Sub LLC, 8.25%, 8/01/23 (d)

     USD        95        85,500   
      

 

 

 
        10,102,266   

Internet Software & Services — 0.5%

      

Blue Coat Holdings, Inc., 8.38%, 6/01/23 (d)

       2,707        2,679,930   

Equinix, Inc.:

      

5.38%, 1/01/22

       1,110        1,151,625   

5.75%, 1/01/25

       1,172        1,213,020   

Netflix, Inc., 5.50%, 2/15/22

       1,992        2,091,600   
      

 

 

 
        7,136,175   

IT Services — 3.5%

      

Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (d)

       1,349        1,112,925   

First Data Corp. (d):

      

5.38%, 8/15/23

       6,630        6,895,200   

7.00%, 12/01/23

       14,344        14,344,000   

5.00%, 1/15/24

       4,285        4,351,975   

5.75%, 1/15/24

       16,685        16,789,281   

WEX, Inc., 4.75%, 2/01/23 (d)

       4,804        4,203,500   
      

 

 

 
        47,696,881   

Media — 15.3%

      

Altice Financing SA:

      

6.50%, 1/15/22 (d)

       1,945        1,959,588   

5.25%, 2/15/23

     EUR        385        401,232   

Altice SA:

      

7.25%, 5/15/22

       1,358        1,407,129   

7.75%, 5/15/22 (d)

     USD        2,525        2,442,938   

6.25%, 2/15/25

     EUR        742        690,143   

7.63%, 2/15/25 (d)

     USD        2,576        2,357,040   

Altice US Finance I Corp., 5.38%, 7/15/23 (d)

       7,360        7,452,000   

Altice US Finance II Corp., 7.75%, 7/15/25 (d)

       2,704        2,521,480   

Altice US Finance SA, 7.75%, 7/15/25 (d)

       3,325        3,083,937   

AMC Networks, Inc.:

      

7.75%, 7/15/21

       480        507,600   

4.75%, 12/15/22

       1,613        1,637,195   

CCO Holdings LLC/CCO Holdings Capital Corp.:

      

5.25%, 9/30/22

       1,505        1,521,931   

5.88%, 4/01/24 (d)

       5,213        5,323,776   

5.88%, 5/01/27 (d)

       6,267        6,267,000   

CCOH Safari LLC, 5.75%, 2/15/26 (d)

       2,400        2,406,312   

Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (g)

       3,439          

Clear Channel International BV, 8.75%, 12/15/20 (d)

       3,146        3,177,460   

Clear Channel Worldwide Holdings, Inc.:

      

6.50%, 11/15/22

       14,509        13,895,793   

Series B, 7.63%, 3/15/20

       5,090        4,479,200   

Columbus International, Inc., 7.38%, 3/30/21 (d)

       2,647        2,747,586   

CSC Holdings LLC, 5.25%, 6/01/24

       4,895        4,185,225   

DISH DBS Corp.:

      

4.25%, 4/01/18

       3,209        3,233,067   

5.13%, 5/01/20

       74        73,260   

6.75%, 6/01/21

       155        157,906   

5.00%, 3/15/23

       5,022        4,444,470   

5.88%, 11/15/24

       3,338        2,999,360   

DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (d)

       541        543,705   

Gray Television, Inc., 7.50%, 10/01/20

       1,318        1,385,548   

Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (d)

       4,510        4,729,862   

iHeartCommunications, Inc.:

      

9.00%, 12/15/19

       1,749        1,233,045   

9.00%, 3/01/21

       241        164,181   

9.00%, 9/15/22

       3,845        2,576,150   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    39


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

      

Intelsat Jackson Holdings SA:

      

7.25%, 10/15/20

     USD        945      $ 652,050   

6.63%, 12/15/22

       595        298,988   

5.50%, 8/01/23

       5,865        3,812,250   

Lamar Media Corp., 5.75%, 2/01/26 (d)

       526        544,736   

LGE HoldCo VI BV, 7.13%, 5/15/24

     EUR        300        350,473   

Live Nation Entertainment, Inc.,
7.00%, 9/01/20 (d)

     USD        987        1,035,116   

Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (d)

       3,901        3,940,010   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (d)

       2,039        2,059,390   

Neptune Finco Corp. (d):

      

10.13%, 1/15/23

       4,515        4,859,269   

6.63%, 10/15/25

       4,158        4,386,690   

10.88%, 10/15/25

       880        950,400   

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (d)

       5,232        5,297,400   

Numericable Group SA:

      

5.38%, 5/15/22

     EUR        280        304,415   

6.00%, 5/15/22 (d)

     USD        9,615        9,518,850   

5.63%, 5/15/24

     EUR        894        960,382   

6.25%, 5/15/24 (d)

     USD        2,275        2,218,125   

Outfront Media Capital LLC/Outfront Media Capital Corp.:

      

5.25%, 2/15/22

       650        664,625   

5.63%, 2/15/24

       1,064        1,107,220   

Play Finance 2 SA, 5.25%, 2/01/19

     EUR        1,070        1,188,153   

Radio One, Inc., 7.38%, 4/15/22 (d)

     USD        805        710,413   

RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (d)

       1,130        1,090,450   

Sirius XM Radio, Inc. (d):

      

4.25%, 5/15/20

       2,204        2,237,060   

5.75%, 8/01/21

       1,811        1,878,913   

4.63%, 5/15/23

       345        336,375   

6.00%, 7/15/24

       1,400        1,470,000   

5.38%, 4/15/25

       770        768,075   

Sterling Entertainment Corp., 9.75%, 12/15/19

       4,810        4,713,800   

TEGNA, Inc.:

      

5.13%, 10/15/19

       857        908,420   

4.88%, 9/15/21 (d)

       1,827        1,872,675   

5.50%, 9/15/24 (d)

       1,308        1,340,700   

Townsquare Media, Inc., 6.50%, 4/01/23 (d)

       517        483,395   

Tribune Media Co., 5.88%, 7/15/22 (d)

       3,434        3,434,000   

Unitymedia GmbH, 3.75%, 1/15/27

     EUR        100        92,685   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

      

5.50%, 1/15/23 (d)

     USD        4,302        4,506,345   

5.63%, 4/15/23

     EUR        166        189,356   

4.00%, 1/15/25

       2,311        2,400,891   

5.00%, 1/15/25 (d)

     USD        1,354        1,358,224   

4.63%, 2/15/26

     EUR        100        107,425   

3.50%, 1/15/27

       100        98,252   

Univision Communications, Inc. (d):

      

8.50%, 5/15/21

     USD        1,597        1,604,985   

5.13%, 5/15/23

       11,242        11,157,685   

5.13%, 2/15/25

       9,535        9,332,381   

UPCB Finance IV Ltd., 4.00%, 1/15/27

     EUR        400        401,961   

Virgin Media Finance PLC, 5.75%, 1/15/25 (d)

     USD        2,405        2,392,975   

Virgin Media Secured Finance PLC:

      

6.00%, 4/15/21

     GBP        4,952        6,978,317   

6.25%, 3/28/29

       829        1,097,594   

WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (d)

     USD        4,428        4,217,670   

Wind Acquisition Finance SA, 7.00%, 4/23/21

     EUR        100        103,346   
Corporate Bonds   

Par  

(000)

    Value  

Media (continued)

      

Ziggo Bond Finance BV:

      

4.63%, 1/15/25

     EUR        902      $ 919,914   

5.88%, 1/15/25 (d)

     USD        3,233        3,136,010   
      

 

 

 
        205,493,953   

Metals & Mining — 3.6%

  

 

Alcoa, Inc.:

      

6.15%, 8/15/20

       1,330        1,343,300   

5.13%, 10/01/24

       4,589        4,147,309   

5.90%, 2/01/27

       215        195,650   

6.75%, 1/15/28

       477        432,878   

5.95%, 2/01/37

       264        205,920   

Anglo American Capital PLC:

      

1.75%, 11/20/17

     EUR        100        104,156   

2.88%, 11/20/20

       200        175,323   

ArcelorMittal, 6.13%, 6/01/18

     USD        1,742        1,709,529   

Constellium NV (d):

      

8.00%, 1/15/23

       6,525        5,546,250   

5.75%, 5/15/24

       5,916        4,496,160   

First Quantum Minerals Ltd. (d):

      

7.00%, 2/15/21

       392        201,880   

7.25%, 5/15/22

       1,883        932,085   

Freeport-McMoRan Copper & Gold, Inc., 3.10%, 3/15/20

       390        281,654   

Freeport-McMoRan, Inc.:

      

2.30%, 11/14/17

       1,337        1,223,355   

2.38%, 3/15/18

       4,958        4,276,275   

Kaiser Aluminum Corp., 8.25%, 6/01/20

       1,240        1,289,600   

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

       11,642        10,797,955   

Ovako AB, 6.50%, 6/01/19

     EUR        296        194,812   

Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17

     USD        1,070        823,900   

Steel Dynamics, Inc.:

      

5.13%, 10/01/21

       3,085        3,007,875   

6.38%, 8/15/22

       1,345        1,345,000   

5.25%, 4/15/23

       949        889,688   

5.50%, 10/01/24

       295        276,563   

Teck Resources Ltd., 3.00%, 3/01/19

       1,213        924,912   

Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (d)

       4,160        3,494,400   
      

 

 

 
        48,316,429   

Multi-Utilities — 0.0%

  

 

CE Energy AS, 7.00%, 2/01/21

     EUR        532        564,268   

Multiline Retail — 1.5%

  

 

CST Brands, Inc., 5.00%, 5/01/23

     USD        653        646,470   

Dollar Tree, Inc., 5.75%, 3/01/23 (d)

       13,489        14,348,924   

Dufry Finance SCA, 5.50%, 10/15/20 (d)

       1,927        2,008,897   

Hema Bondco I BV, 6.25%, 6/15/19

     EUR        592        421,864   

Neiman Marcus Group Ltd., 8.00%, 10/15/21 (d)

     USD        4,467        3,148,788   
      

 

 

 
        20,574,943   

Offshore Drilling & Other Services — 0.4%

  

 

Sensata Technologies BV (d):

      

5.63%, 11/01/24

       903        930,090   

5.00%, 10/01/25

       3,923        3,854,348   
      

 

 

 
        4,784,438   

Oil, Gas & Consumable Fuels — 7.2%

  

 

Anadarko Finance Co., Series B, 7.50%, 5/01/31

       247        221,358   

Anadarko Petroleum Corp., 3.45%, 7/15/24

       1,978        1,603,145   

Bonanza Creek Energy, Inc., 6.75%, 4/15/21

       314        93,415   

California Resources Corp., 8.00%, 12/15/22 (d)

       6,723        1,680,750   

Carrizo Oil & Gas, Inc., 6.25%, 4/15/23

       952        675,920   

Cenovus Energy, Inc.:

      

3.00%, 8/15/22

       252        184,035   

3.80%, 9/15/23

       340        246,991   
 

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

  

 

Concho Resources, Inc.:

      

6.50%, 1/15/22

     USD        222      $ 213,120   

5.50%, 10/01/22

       946        876,824   

5.50%, 4/01/23

       1,542        1,434,060   

CONSOL Energy, Inc., 5.88%, 4/15/22

       7,447        4,859,167   

Continental Resources, Inc., 3.80%, 6/01/24

       4,375        2,965,235   

CrownRock LP/CrownRock Finance, Inc. (d):

      

7.13%, 4/15/21

       3,208        2,742,840   

7.75%, 2/15/23

       1,064        915,040   

Denbury Resources, Inc.:

      

6.38%, 8/15/21

       496        158,720   

5.50%, 5/01/22

       647        202,188   

4.63%, 7/15/23

       196        56,840   

Diamondback Energy, Inc., 7.63%, 10/01/21

       1,770        1,787,700   

Energy Transfer Equity LP:

      

7.50%, 10/15/20

       635        581,025   

5.88%, 1/15/24

       5,228        4,313,100   

5.50%, 6/01/27

       215        162,325   

Freeport-McMoRan Oil & Gas LLC/FCX Oil & Gas, Inc.:

      

6.50%, 11/15/20

       390        287,625   

6.63%, 5/01/21

       390        287,625   

Genesis Energy LP/Genesis Energy Finance Corp., 6.00%, 5/15/23

       428        329,560   

Gulfport Energy Corp., 7.75%, 11/01/20

       1,517        1,425,980   

Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (d)

       1,758        1,195,440   

MEG Energy Corp. (d):

      

6.50%, 3/15/21

       4,781        2,306,832   

7.00%, 3/31/24

       8,520        3,919,200   

Memorial Production Partners LP/Memorial Production Finance Corp.:

      

7.63%, 5/01/21

       635        146,050   

6.88%, 8/01/22

       1,212        260,580   

Memorial Resource Development Corp., 5.88%, 7/01/22

       7,210        4,902,800   

Newfield Exploration Co., 5.63%, 7/01/24

       670        608,025   

NGPL PipeCo LLC (d):

      

7.12%, 12/15/17

       3,383        3,154,647   

9.63%, 6/01/19

       891        837,540   

7.77%, 12/15/37

       1,783        1,265,930   

ONEOK, Inc., 7.50%, 9/01/23

       1,215        1,050,975   

Parsley Energy LLC/Parsley Finance Corp., 7.50%, 2/15/22 (d)

       3,361        3,268,572   

PDC Energy, Inc., 7.75%, 10/15/22

       995        925,350   

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

       1,522        943,640   

Range Resources Corp.:

      

5.75%, 6/01/21

       568        479,960   

5.00%, 8/15/22

       530        442,550   

Rockies Express Pipeline LLC (d):

      

6.00%, 1/15/19

       2,044        1,911,140   

6.88%, 4/15/40

       2,350        1,645,000   

RSP Permian, Inc.:

      

6.63%, 10/01/22

       1,419        1,270,005   

6.63%, 10/01/22 (d)

       646        578,170   

Sabine Pass Liquefaction LLC:

      

5.63%, 2/01/21

       2,148        2,049,998   

6.25%, 3/15/22

       301        286,703   

5.63%, 4/15/23

       3,087        2,847,757   

5.75%, 5/15/24

       6,844        6,300,723   

5.63%, 3/01/25

       1,203        1,091,723   

Sanchez Energy Corp., 6.13%, 1/15/23

       6,365        2,259,575   

Seven Generations Energy Ltd. (d):

      

8.25%, 5/15/20

       6,541        6,263,007   

6.75%, 5/01/23

       765        657,900   
Corporate Bonds   

Par  

(000)

    Value  

Oil, Gas & Consumable Fuels (continued)

  

 

SM Energy Co.:

      

6.13%, 11/15/22

     USD        4,045      $ 1,759,575   

6.50%, 1/01/23

       951        378,023   

5.00%, 1/15/24

       23        9,143   

Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.38%, 8/01/22

       3,593        3,089,980   

Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.25%, 10/15/22 (d)

       3,154        2,901,680   

Weatherford International LLC, 6.35%, 6/15/17

       1,290        1,219,050   

Weatherford International Ltd., 6.00%, 3/15/18

       663        566,865   

Whiting Petroleum Corp.:

      

1.25%, 4/01/20 (d)(i)

       9,388        3,420,752   

6.25%, 4/01/23

       623        285,023   

Williams Cos., Inc.:

      

3.70%, 1/15/23

       529        391,460   

4.55%, 6/24/24

       2,118        1,588,500   
      

 

 

 
        96,784,431   

Paper & Forest Products — 0.3%

  

 

Norbord, Inc., 6.25%, 4/15/23 (d)

       1,605        1,538,794   

Pfleiderer GmbH, 7.88%, 8/01/19

     EUR        430        477,122   

Unifrax I LLC/Unifrax Holding Co.,
7.50%, 2/15/19 (d)

     USD        2,865        2,206,050   
      

 

 

 
        4,221,966   

Pharmaceuticals — 5.0%

  

 

Concordia Healthcare Corp., 7.00%, 4/15/23 (d)

       504        438,480   

DPx Holdings BV, 7.50%, 2/01/22 (d)

       2,670        2,549,850   

Endo Finance LLC/Endo Finco, Inc. (d):

      

7.75%, 1/15/22

       696        722,100   

6.00%, 7/15/23

       4,074        4,114,740   

6.00%, 2/01/25

       5,806        5,776,970   

Ephios Bondco PLC, 6.25%, 7/01/22

     EUR        1,185        1,311,662   

Ephios Holdco II PLC, 8.25%, 7/01/23

       259        269,074   

Grifols Worldwide Operations Ltd., 5.25%, 4/01/22

     USD        4,047        4,183,586   

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (d)

       6,841        6,977,820   

PRA Holdings, Inc., 9.50%, 10/01/23 (d)

       453        502,830   

Valeant Pharmaceuticals International, Inc.:

      

6.75%, 8/15/18 (d)

       1,443        1,392,495   

5.38%, 3/15/20 (d)

       5,597        5,065,285   

7.00%, 10/01/20 (d)

       5,123        4,828,428   

6.38%, 10/15/20 (d)

       9,183        8,425,403   

7.50%, 7/15/21 (d)

       2,110        1,988,675   

6.75%, 8/15/21 (d)

       2,793        2,541,630   

5.50%, 3/01/23 (d)

       2,372        1,974,690   

4.50%, 5/15/23

     EUR        1,884        1,640,428   

5.88%, 5/15/23 (d)

     USD        5,567        4,697,156   

6.13%, 4/15/25 (d)

       8,725        7,323,547   
      

 

 

 
        66,724,849   

Professional Services — 0.2%

  

Truven Health Analytics, Inc., 10.63%, 6/01/20

             2,840        3,042,350   

Real Estate Investment Trusts (REITs) — 0.8%

  

Aroundtown Property Holdings PLC, 3.00%, 12/09/21

     EUR        1,200        1,260,384   

Corrections Corp. of America, 4.63%, 5/01/23

     USD        1,550        1,557,750   

FelCor Lodging LP, 6.00%, 6/01/25

       1,416        1,451,400   

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, 10/15/21

       4,911        5,095,162   

iStar Financial, Inc.:

      

4.00%, 11/01/17

       685        648,181   

5.00%, 7/01/19

       480        447,000   
      

 

 

 
        10,459,877   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    41


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Corporate Bonds   

Par  

(000)

    Value  

Real Estate Management & Development — 1.1%

  

Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (d)

     USD        1,731      $ 1,713,690   

Lennar Corp., 4.75%, 11/15/22

       158        156,025   

Punch Taverns Finance B Ltd., Series A6, 5.94%, 9/30/22

     GBP        532        689,928   

Punch Taverns Finance PLC, Series M3, 6.09%, 10/15/27 (d)(e)

       1,202        1,419,975   

Realogy Group LLC/Realogy Co-Issuer Corp. (d):

      

4.50%, 4/15/19

     USD        1,646        1,691,265   

5.25%, 12/01/21

       6,327        6,429,814   

Rialto Holdings LLC/Rialto Corp.,
7.00%, 12/01/18 (d)

       1,065        1,049,025   

Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (d)

       1,195        1,015,750   
      

 

 

 
        14,165,472   

Road & Rail — 1.1%

      

Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (d):

      

5.13%, 6/01/22

       470        439,450   

5.25%, 3/15/25

       1,810        1,601,850   

EC Finance PLC, 5.13%, 7/15/21

     EUR        675        757,429   

Florida East Coast Holdings Corp., 6.75%, 5/01/19 (d)

     USD        2,037        2,039,546   

Hertz Corp.:

      

7.50%, 10/15/18

       3,220        3,260,250   

5.88%, 10/15/20

       370        358,900   

7.38%, 1/15/21

       2,360        2,342,300   

6.25%, 10/15/22

       1,490        1,417,363   

United Rentals North America, Inc., 5.50%, 7/15/25

       1,225        1,162,219   

Watco Cos. LLC/Watco Finance Corp.,
6.38%, 4/01/23 (d)

       1,093        1,032,885   
      

 

 

 
        14,412,192   

Semiconductors & Semiconductor Equipment — 0.7%

  

Advanced Micro Devices, Inc.:

      

7.50%, 8/15/22

       665        432,250   

7.00%, 7/01/24

       440        275,000   

Micron Technology, Inc., 5.25%, 1/15/24 (d)

       775        651,000   

NXP BV/NXP Funding LLC (d):

      

4.13%, 6/15/20

       2,685        2,715,475   

5.75%, 2/15/21

       2,065        2,147,600   

4.63%, 6/15/22

       1,319        1,315,702   

5.75%, 3/15/23

       2,180        2,256,300   
      

 

 

 
        9,793,327   

Software — 1.5%

      

Audatex North America, Inc., 6.13%, 11/01/23 (d)

       3,360        3,393,600   

Ensemble S Merger Sub, Inc., 9.00%, 9/30/23 (d)

       1,553        1,436,525   

Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (d)(f)

       3,246        2,280,315   

Infor US, Inc., 6.50%, 5/15/22 (d)

       4,033        3,498,628   

Informatica LLC, 7.13%, 7/15/23 (d)

       1,659        1,526,280   

Nuance Communications, Inc.,
5.38%, 8/15/20 (d)

       2,430        2,484,675   

Solera LLC/Solera Finance, Inc.,
10.50%, 3/01/24 (d)

       4,713        4,477,350   

SS&C Technologies Holdings, Inc.,
5.88%, 7/15/23 (d)

       1,619        1,708,045   
      

 

 

 
        20,805,418   

Specialty Retail — 1.6%

  

Asbury Automotive Group, Inc., 6.00%, 12/15/24

       1,168        1,156,320   

Douglas GmbH, 6.25%, 7/15/22

     EUR        565        629,362   
Corporate Bonds   

Par  

(000)

    Value  

Specialty Retail (continued)

  

L Brands, Inc.:

      

8.50%, 6/15/19

     USD        3,925      $ 4,597,156   

6.88%, 11/01/35 (d)

       3,749        3,983,312   

Magnolia BC SA, 9.00%, 8/01/20

     EUR        652        749,814   

New Look Secured Issuer PLC, 6.50%, 7/01/22

     GBP        1,070        1,452,048   

Party City Holdings, Inc., 6.13%, 8/15/23 (d)

     USD        1,020        999,600   

Penske Automotive Group, Inc.:

      

5.75%, 10/01/22

       3,575        3,575,000   

5.38%, 12/01/24

       1,757        1,704,290   

Sally Holdings LLC/Sally Capital, Inc., 5.75%, 6/01/22

       1,599        1,682,948   

THOM Europe SAS, 7.38%, 7/15/19

     EUR        1,090        1,221,330   
      

 

 

 
        21,751,180   

Textiles, Apparel & Luxury Goods — 0.5%

  

Levi Strauss & Co.:

      

6.88%, 5/01/22

     USD        2,430        2,606,175   

5.00%, 5/01/25

       1,456        1,456,146   

Springs Industries, Inc., 6.25%, 6/01/21

       1,744        1,722,200   

William Carter Co., 5.25%, 8/15/21

       788        803,760   
      

 

 

 
        6,588,281   

Thrifts & Mortgage Finance — 0.1%

  

Radian Group, Inc., 5.25%, 6/15/20

             991        936,495   

Trading Companies & Distributors — 0.1%

  

Ashtead Capital, Inc., 5.63%, 10/01/24 (d)

       559        553,410   

Travis Perkins PLC, 4.38%, 9/15/21

     GBP        329        454,085   
      

 

 

 
        1,007,495   

Transportation Infrastructure — 0.2%

  

JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (d)(f)

     USD        2,663        1,438,261   

Onorato Armatori SpA, 7.75%, 2/15/23

     EUR        1,000        1,063,374   
      

 

 

 
        2,501,635   

Wireless Telecommunication Services — 5.5%

  

Communications Sales & Leasing, Inc./CSL Capital LLC, 8.25%, 10/15/23

     USD        2,515        2,244,637   

Crown Castle International Corp.:

      

4.88%, 4/15/22

       215        224,675   

5.25%, 1/15/23

       3,571        3,780,796   

Digicel Group Ltd., 7.13%, 4/01/22 (d)

       2,085        1,490,775   

Digicel Ltd., 6.00%, 4/15/21 (d)

       7,184        6,149,504   

Equinix, Inc., 5.88%, 1/15/26

       2,567        2,682,515   

Geo Group, Inc.:

      

5.88%, 1/15/22

       350        352,625   

5.88%, 10/15/24

       2,030        1,994,475   

SBA Communications Corp., 4.88%, 7/15/22

       4,749        4,832,107   

Sprint Capital Corp.:

      

6.90%, 5/01/19

       640        545,600   

6.88%, 11/15/28

       2,550        1,848,750   

8.75%, 3/15/32

       408        314,160   

Sprint Communications, Inc.:

      

9.00%, 11/15/18 (d)

       17,517        18,184,398   

7.00%, 3/01/20 (d)

       927        910,778   

7.00%, 8/15/20

       1,270        996,950   

Sprint Corp.:

      

7.25%, 9/15/21

       922        693,805   

7.13%, 6/15/24

       5,862        4,176,675   

7.63%, 2/15/25

       1,620        1,158,300   

T-Mobile USA, Inc.:

      

6.63%, 4/28/21

       2,535        2,649,075   

6.13%, 1/15/22

       367        377,093   

6.73%, 4/28/22

       1,227        1,283,565   

6.00%, 3/01/23

       2,244        2,311,320   

6.50%, 1/15/24

       2,638        2,710,545   
 

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Corporate Bonds   

Par  

(000)

    Value  

Wireless Telecommunication Services (continued)

  

T-Mobile USA, Inc. (continued):

      

6.38%, 3/01/25

     USD        4,045      $ 4,085,450   

6.50%, 1/15/26

       4,881        4,946,259   

Wind Acquisition Finance SA, 4.00%, 7/15/20

     EUR        2,674        2,814,372   
      

 

 

 
        73,759,204   
Total Corporate Bonds — 105.1%        1,412,826,607   
      
                          
Floating Rate Loan Interests (e)                

Air Freight & Logistics — 0.2%

      

CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21

     USD        1,149        884,492   

CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21

       1,190        916,413   

CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21

       205        158,002   

CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21

       1,642        1,264,019   
      

 

 

 
        3,222,926   

Airlines — 1.0%

      

Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18

       2,319        2,314,896   

Gol LuxCo SA, 1st Lien Term Loan, 6.50%, 8/31/20

       3,885        3,865,575   

Northwest Airlines, Inc.:

      

2.39%, 3/10/17

       2,658        2,631,090   

1.77%, 9/10/18

       4,871        4,724,870   
      

 

 

 
        13,536,431   

Auto Components — 0.5%

      

Gates Global, Inc., Term Loan B, 4.25%, 7/05/21

             7,366        6,473,147   

Building Products — 0.0%

      

Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 3/13/22

             82        74,081   

Capital Markets — 0.2%

      

American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17

             2,953        2,923,698   

Chemicals — 0.1%

      

Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20

       223        220,181   

MacDermid, Inc., Term Loan B3, 5.50%, 6/07/20

       1,154        1,048,795   
      

 

 

 
        1,268,976   

Commercial Services & Supplies — 0.3%

      

Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20

             3,769        3,467,594   

Communications Equipment — 0.0%

      

CommScope, Inc., Term Loan B5, 3.83%, 12/29/22

             589        583,128   

Diversified Consumer Services — 0.1%

      

AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.75%, 10/21/22

             1,232        1,178,100   

Diversified Financial Services — 0.1%

      

Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18

             1,421        1,415,178   

Diversified Telecommunication Services — 0.2%

  

 

Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19

       1,414        1,395,560   

Level 3 Financing, Inc., 2019 Term Loan, 4.00%, 8/01/19

       1,785        1,782,394   
      

 

 

 
        3,177,954   
Floating Rate Loan Interests (e)   

Par  

(000)

    Value  

Electrical Equipment — 0.4%

      

Texas Competitive Electric Holdings Co. LLC, DIP Term Loan, 3.75%, 11/07/16

     USD        5,613      $ 5,559,935   

Energy Equipment & Services — 0.1%

      

Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20

       920        861,619   

MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20

       467        331,111   
      

 

 

 
        1,192,730   

Food & Staples Retailing — 0.2%

      

Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20

       600        598,998   

US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19

       1,682        1,658,237   
      

 

 

 
        2,257,235   

Health Care Equipment & Supplies — 0.2%

      

Alere, Inc., 2015 Term Loan B, 4.25%, 6/18/22

       746        743,993   

Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18

       296        293,550   

DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20

       2,099        2,018,096   
      

 

 

 
        3,055,639   

Health Care Providers & Services — 0.5%

      

Air Medical Group Holdings, Inc., Term Loan B, 4.25%, 4/28/22

       1,662        1,578,568   

Envision Healthcare Corp., Term Loan:

      

5.13%, 7/01/22 (d)

       835        839,175   

B2, 4.50%, 10/28/22

       1,213        1,205,722   

Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22

       444        426,132   

Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20

       956        925,387   

Vizient, Inc., 1st Lien Term Loan, 6.25%, 2/13/23

       1,423        1,414,106   
      

 

 

 
        6,389,090   

Hotels, Restaurants & Leisure — 1.7%

      

Amaya Holdings BV:

      

1st Lien Term Loan, 5.00%, 8/01/21

       3,960        3,661,843   

2nd Lien Term Loan, 8.00%, 8/01/22

       1,022        1,001,061   

Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20

       1,959        1,947,847   

Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20

       5,531        3,097,357   

Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20

       9,331        8,459,770   

MGM Resorts International, Term Loan B, 3.50%, 12/20/19

       1,747        1,730,208   

Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20

       762        760,296   

Station Casinos LLC, Term Loan B, 4.25%, 3/02/20

       1,870        1,842,061   
      

 

 

 
        22,500,443   

Independent Power and Renewable Electricity Producers — 0.4%

  

Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 12/19/16

             5,103        5,075,791   

IT Services — 0.5%

      

Blue Coat Holdings, Inc., 2015 Term Loan, 4.50%, 5/20/22

       554        524,548   

First Data Corp.:

      

2018 Extended Term Loan, 3.93%, 3/24/18

       6,322        6,237,137   

2018 Term Loan, 3.93%, 9/24/18

       200        196,964   
      

 

 

 
        6,958,649   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    43


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Floating Rate Loan Interests (e)   

Par  

(000)

    Value  

Machinery — 0.4%

      

Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20

     USD        2,850      $ 2,723,329   

Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19

       3,298        2,678,014   
      

 

 

 
        5,401,343   

Media — 1.1%

      

Cengage Learning Acquisitions, Inc., Term Loan:

      

1st Lien, 7.00%, 3/31/20

       4,001        3,837,414   

0.00%, 7/03/16 (a)(g)

       8,692        1   

0.00%, 7/03/16 (a)(g)(h)

       1,777          

Clear Channel Communications, Inc., Term Loan D, 7.19%, 1/30/19

       6,191        4,050,221   

Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21

       3,373        3,276,075   

Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19

       1,171        1,040,853   

Tribune Media Co., Term Loan, 3.75%, 12/27/20

       224        221,831   

Univision Communications, Inc.:

      

Term Loan C3, 4.00%, 3/01/20

       25        24,260   

Term Loan C4, 4.00%, 3/01/20

       1,824        1,771,325   
      

 

 

 
        14,221,980   

Metals & Mining — 0.1%

      

Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22

             1,571        1,462,315   

Oil, Gas & Consumable Fuels — 0.2%

      

CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18

             2,947        2,899,378   

Pharmaceuticals — 0.6%

      

DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21

       205        193,859   

Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22

       4,190        4,084,294   

Valeant Pharmaceuticals International, Inc.:

      

Series C2 Term Loan B, 3.75%, 12/11/19

       703        659,152   

Series E Term Loan B, 3.75%, 8/05/20

       1,050        979,787   

Term Loan B F1, 4.00%, 4/01/22

       1,498        1,398,342   
      

 

 

 
        7,315,434   

Professional Services — 0.3%

      

Advantage Sales & Marketing, Inc.:

      

2014 1st Lien Term Loan, 4.25%, 7/23/21

       1,679        1,591,522   

2014 2nd Lien Term Loan, 7.50%, 7/25/22

       2,495        2,070,850   
      

 

 

 
        3,662,372   

Real Estate Management & Development — 0.0%

  

Realogy Corp., Extended Letter of Credit, 2.43%, 10/10/16

             226        223,048   

Road & Rail — 0.2%

  

Hertz Corp., Term Loan B2, 3.00%, 3/11/18

             3,335        3,267,006   

Semiconductors & Semiconductor Equipment — 1.1%

  

Avago Technologies Cayman Ltd., 2016 Term Loan B1, 4.25%, 2/01/23

       11,450        11,283,631   

Microsemi Corp., 2015 Term Loan B, 5.25%, 1/15/23

       727        725,757   

NXP BV, 2015 Term Loan B, 3.75%, 12/07/20

       3,320        3,310,809   
      

 

 

 
                       15,320,197   

Software — 1.0%

  

Epicor Software Corp., 1st Lien Term Loan, 4.75%, 6/01/22

       2,072        1,818,251   

GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 11/01/20

       260        256,750   

Infor US, Inc., Term Loan B5, 3.75%, 6/03/20

       2,678        2,466,419   

Informatica Corp., Term Loan, 4.50%, 8/05/22

       3,025        2,841,381   
Floating Rate Loan Interests (e)   

Par  

(000)

    Value  

Software (continued)

  

Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20

     USD        3,444      $ 3,330,664   

Solera Holdings, Inc., Term Loan B, 5.75%, 2/25/23

       2,736        2,671,020   
      

 

 

 
        13,384,485   

Specialty Retail — 0.2%

  

CNT Holdings III Corp., Term Loan B, 5.25%, 1/22/23

       1,337        1,326,973   

Party City Holdings, Inc., 2015 Term Loan B, 4.25%, 8/19/22

       1,540        1,475,839   
      

 

 

 
        2,802,812   

Textiles, Apparel & Luxury Goods — 0.4%

  

Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18

             6,040        5,475,339   

Wireless Telecommunication Services — 1.7%

  

New Lightsquared LLC, 2015 2nd Lien Term Loan, 13.50%, 12/07/20

             32,368        22,333,968   
Total Floating Rate Loan Interests — 14.0%        188,080,402   
      
                          
Investment Companies    Shares         

United States — 1.3%

  

iShares iBoxx $ High Yield Corporate Bond ETF (k)

       38,500        3,083,080   

SPDR Barclays High Yield Bond ETF

             413,000        13,802,460   
Total Investment Companies — 1.3%                      16,885,540   
      
                          
Non-Agency Mortgage-Backed Securities   

Par  

(000)

        

Collateralized Mortgage Obligations — 0.2%

  

Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (d)(e)

             2,882        2,866,815   

Commercial Mortgage-Backed Securities — 0.1%

  

GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class FFX, 3.38%, 12/15/19 (d)(e)

             1,925        1,731,831   
Total Non-Agency Mortgage-Backed Securities — 0.3%        4,598,646   
      
                          
Other Interests — 0.0% (l)    Beneficial
Interest
(000)
        

Auto Components — 0.0%

      

Lear Corp. Escrow, 0.00%

     USD        1,250        10,938   
      
                          
Preferred Securities   

Par  

(000)

        
Capital Trusts               

Banks — 3.5%

      

ABN AMRO Bank NV, 5.75% (e)(m)

     EUR        700        708,172   

Banco Bilbao Vizcaya Argentaria SA: (e)(m)

      

6.75%

       400        383,115   

7.00%

       1,000        968,274   

Banco Popular Espanol SA, 8.25% (e)(m)

       800        652,710   
 

 

See Notes to Financial Statements.

 

                
44    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Capital Trusts   

Par  

(000)

    Value  

Banks (continued)

      

Bank of America Corp.: (e)(m)

      

Series AA, 6.10%

     USD        5,121      $ 4,967,370   

Series V, 5.13%

       2,205        2,039,625   

Series Z, 6.50%

       2,791        2,846,820   

Bank of Ireland, 7.38% (e)(m)

     EUR        250        250,216   

BNP Paribas SA, 7.38% (d)(e)(m)

     USD        725        677,875   

Citigroup, Inc.: (e)(m)

      

5.88%

       2,405        2,239,656   

5.95%

       2,675        2,527,875   

Series D, 5.95%

       3,582        3,367,080   

Series Q, 5.95%

       1,165        1,095,100   

Series R, 6.13%

       615        605,775   

Cooperatieve Rabobank UA, 5.50% (e)(m)

       600        621,707   

Intesa Sanpaolo SpA: (e)(m)

      

7.00%

       375        377,169   

7.70% (d)

       200        174,000   

JPMorgan Chase & Co.: (e)(m)

      

6.75%

       5,324        5,643,440   

Series Q, 5.15%

       850        795,022   

Series U, 6.13%

       4,228        4,206,860   

Series V, 5.00%

       4,555        4,258,925   

Santander UK Group Holdings PLC, 7.38% (e)(m)

       450        559,002   

Wells Fargo & Co.: (e)(m)

      

Series S, 5.90%

       3,310        3,318,275   

Series U, 5.88%

       3,875        4,102,850   
      

 

 

 
                       47,386,913   

Capital Markets — 0.9%

  

Goldman Sachs Group, Inc., Series L, 5.70% (e)(m)

       6,658        6,375,035   

Morgan Stanley: (e)(m)

      

Series H, 5.45%

       3,309        3,093,915   

Series J, 5.55%

       440        426,800   

UBS Group AG: (e)(m)

      

5.75%

       800        858,314   

7.00%

       725        717,750   
      

 

 

 
                       11,471,814   

Consumer Finance — 0.3%

  

American Express Co., Series C, 4.90% (e)(m)

             4,017        3,504,832   

Diversified Financial Services — 0.7%

  

Bank of America Corp., Series X, 6.25% (e)(m)

       6,174        5,973,345   

Barclays PLC, 7.88% (e)(m)

       350        410,164   

Orange SA, 4.00% (e)(m)

       1,225        1,299,301   

Telefonica Europe BV, 4.20% (e)(m)

       1,500        1,516,073   
      

 

 

 
                       9,198,883   

Electric Utilities — 0.0%

  

Enel SpA, 6.50%, 1/10/74 (e)

             577        657,823   

Food & Staples Retailing — 0.0%

  

Casino Guichard Perrachon SA, 4.87% (e)(m)

             200        177,124   

Media — 0.0%

      

NBCUniversal Enterprise, Inc., 5.25% (d)(m)

             400        412,000   

Oil, Gas & Consumable Fuels — 0.0%

  

Repsol International Finance BV, 4.50%, 3/25/75 (e)

             100        79,348   
Total Capital Trusts        72,888,737   
      
                          
Preferred Stocks    Shares         

Banks — 0.2%

  

RBS Capital Funding Trust, Series F (m)

             93,975        2,230,966   
Preferred Stocks   

Shares

    Value  

Capital Markets — 0.1%

  

CF-B L2 (D) LLC (acquired 4/08/15, cost $629,122) (c)

         633,461      $ 675,808   

Consumer Finance — 0.0%

  

Ally Financial, Inc., Series A (e)(m)

         17,386        438,475   

Diversified Financial Services — 0.0%

  

Concrete Investments II

         4,997        592,523   

Hotels, Restaurants & Leisure — 1.2%

  

Amaya, Inc.

         19,851        15,566,823   

Media — 0.0%

  

Emmis Communications Corp., Series A (i)(m)

         10,300        10,300   
Total Preferred Stocks        19,514,895   
      
                      
Trust Preferreds                    

Banks — 0.2%

      

RBS Capital Funding Trust VII

         107,071        2,506,175   

Diversified Financial Services — 0.5%

      

GMAC Capital Trust I, Series 2, 8.13%

         256,246        6,193,395   
Total Trust Preferreds        8,699,570   
Total Preferred Securities — 7.6%        101,103,202   
      
                      
Warrants                    

Metals & Mining — 0.0%

      

Peninsula Energy Ltd. (Expires 12/31/17)

       288,820        4,309   

Peninsula Energy Ltd. (Expires 12/31/18)

       515,378        66,213   
      

 

 

 
        70,522   

Software — 0.0%

  

HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27), 0.00%

         6,494        21,417   
Total Warrants — 0.0%        91,939   
Total Long-Term Investments
(Cost — $2,010,163,436) — 135.4%
        1,820,136,029   
      
                      
Short-Term Securities              

Money Market Funds

      

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.37% (k)(n)

         3,168,928        3,168,928   
Total Short-Term Securities
(Cost — $3,168,928) — 0.2%
        3,168,928   
      
                      
Options Purchased
(Cost — $38,133) — 0.0%
          
Total Investments (Cost — $2,013,370,497) — 135.6%        1,823,304,957   
Liabilities in Excess of Other Assets — (35.6)%        (478,429,082
      

 

 

 
Net Assets — 100.0%        $ 1,344,875,875   
      

 

 

 
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    45


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

 

Notes to Consolidated Schedule of Investments

 

(a)   Non-income producing security.

 

(b)   All or a portion of security is held by a wholly owned subsidiary. See Note 1 of the Notes to Consolidated Financial Statements for details on the wholly owned subsidiary.

 

(c)   Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $687,983 and an original cost of $816,585 which was 0.05% of its net assets.

 

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

 

(e)   Variable rate security. Rate as of period end.

 

(f)   Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

 

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

 

(h)   Zero-coupon bond.

 

(i)   Convertible security.

 

(j)   When-issued security.

 

(k)   During the period ended February 29, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares/
Beneficial
Interest Held at
August 31,  2015
    Shares/
Beneficial
Interest
Purchased
    Shares/
Beneficial
Interest
Sold
    Shares/
Beneficial
Interest Held at
February 29,  2016
    Value at
February 29, 2016
    Income     Realized
Loss
 

BlackRock Liquidity Funds, TempFund, Institutional Class

           3,168,928 1             3,168,928      $ 3,168,928      $ 1,248          

iShares iBoxx $ High Yield Corporate Bond ETF

           1,019,443        (980,943     38,500      $ 3,083,080      $ 710,205      $ (2,564,875

1    Represents net shares purchased.

       

 

(l)   Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

(m)   Perpetual security with no stated maturity date.

 

(n)   Current yield as of period end.

 

 

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

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Short
    Issue    Expiration    Notional Value     Unrealized
Appreciation
(Depreciation)
      
  (41   German Euro BOBL Futures    March 2016      USD         5,946,767      $ (66,816  
  (18   German Euro-Bund Futures    March 2016      USD         3,261,854        (125,309  
  (106   Russell 2000 Mini Index    March 2016      USD         10,936,020        802,490     
  (1,538   S&P 500 E-Mini Index    March 2016      USD         148,378,550        416,103     
  (12   10-Year U.S. Treasury Note    June 2016      USD         1,566,188        (1,365    
  Total                 $ 1,025,103     
            

 

 

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
    Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
      
CAD        1,893,000         USD        1,345,214      Royal Bank of Scotland PLC     3/03/16      $ 53,896     
EUR        1,154,000         USD        1,297,394      Citibank N.A.     3/03/16        (41,983  
EUR        1,000,000         USD        1,092,143      Morgan Stanley & Co. International PLC     3/03/16        (4,265  
EUR        2,500,000         USD        2,826,929      Morgan Stanley & Co. International PLC     3/03/16        (107,235  
EUR        200,000         USD        223,859      State Street Bank and Trust Company     3/03/16        (6,283  
GBP        250,000         USD        365,031      Citibank N.A.     3/03/16        (17,068  
USD        1,135,545         AUD        1,605,000      Standard Chartered Bank     3/03/16        (9,971  
USD        1,311,005         CAD        1,809,000      Morgan Stanley & Co. International PLC     3/03/16        (26,021  
USD        19,204,025         CAD        27,024,000      Toronto-Dominion Bank     3/03/16        (769,325  
USD        1,566,007         EUR        1,400,000      Morgan Stanley & Co. International PLC     3/03/16        42,978     
USD        413,322         EUR        375,000      Morgan Stanley & Co. International PLC     3/03/16        5,368     
USD        2,609,944         EUR        2,321,000      State Street Bank and Trust Company     3/03/16        84,980     
USD        55,902         EUR        50,000      State Street Bank and Trust Company     3/03/16        1,508     

 

See Notes to Financial Statements.

 

                
46    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Forward Foreign Currency Exchange Contracts (concluded)

 

Currency
Purchased
       Currency
Sold
    Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
      
USD        1,002,954         EUR        900,000      State Street Bank and Trust Company     3/03/16      $ 23,864     
USD        443,861         EUR        400,000      State Street Bank and Trust Company     3/03/16        8,710     
USD        76,089,045         EUR        69,632,000      UBS AG     3/03/16        337,953     
USD        535,783         GBP        370,000      Morgan Stanley & Co. International PLC     3/03/16        20,798     
USD        34,287,697         GBP        24,002,000      UBS AG     3/03/16        880,469     
USD        1,145,877         AUD        1,605,000      UBS AG     4/05/16        2,078     
USD        19,888,377         CAD        26,940,000      Westpac Group     4/05/16        (23,487  
USD        75,836,236         EUR        69,591,000      Morgan Stanley & Co. International PLC     4/05/16        55,484     
USD        33,394,430         GBP        24,100,000      Royal Bank of Scotland PLC     4/05/16        (153,595    
Total                      $ 358,853     
                    

 

 

OTC Options Purchased

 

Description      Put/
Call
     Counterparty        Expiration
Date
       Strike
Price
       Contracts        Value  

Marsico Parent Superholdco LLC

     Call        Goldman Sachs & Co.           12/14/19           USD    942.86           39             

Centrally Cleared Credit Default Swaps — Sell Protection

 

Index      Pay
Fixed Rate
     Expiration
Date
      

Credit

Rating1

       Notional
Amount (000)
       Unrealized
Appreciation
 

Dow Jones CDX North America High Yield Index, Series 25, Version 2

     5.00%        12/20/20           B           USD    48,670         $ 643,637   

1    Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

       

OTC Credit Default Swaps — Sell Protection

 

Issuer   Receive
Fixed Rate
    Counterparty   Expiration
Date
  Credit
Rating1
  Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
    Unrealized
Appreciation
      

CCO Holdings LLC

    8.00   Deutsche Bank AG   9/20/17   BB-   USD     8,180      $ 959,809             $ 959,809       

1    Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

OTC Total Return Swaps

 

Reference Entity    Fixed Rate
Floating Rate
   Counterparty    Expiration
Date
   Notional
Amount
(000)
     Value    

Premiums
Paid

(Received)

     Unrealized
Depreciation
      

iShares iBoxx High Yield Corporate Bond ETF

   3-month LIBOR    JPMorgan Chase Bank N.A.    6/20/16    USD     1,000       $ (54,514           $ (54,514    

 

Transactions in Options Written for the Period Ended February 29, 2016

 

        Calls         Puts  
          Contracts     Notional
(000)
    Premiums
Received
         Contracts     Notional
(000)
    Premiums
Received
 

Outstanding options, beginning of period

                                             

Options written

                                  $ 800      $ 81,566   

Options expired

                                   

Options closed

                                    (800     (81,566
   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

 

Outstanding options, end of period

                                             
   

 

 

     

 

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    47


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Consolidated Statement of Assets and Liabilities were as follows:

 

          Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  
Assets — Derivative Financial Instruments                                                 

Financial futures contracts

  Net unrealized appreciation1                 $ 1,218,593                           $ 1,218,593   

Forward foreign currency exchange contracts

  Unrealized appreciation on forward foreign currency exchange contracts                        $ 1,518,086                      1,518,086   

Swaps — centrally cleared

  Net unrealized appreciation1          $ 643,637                                    643,637   

Swaps — OTC

  Unrealized appreciation on OTC swaps            959,809                                    959,809   

Total

           $ 1,603,446      $ 1,218,593      $ 1,518,086                    $ 4,340,125   
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
               
Liabilities — Derivative Financial Instruments                                                 

Financial futures contracts

  Net unrealized depreciation1                               $ 193,490             $ 193,490   

Forward foreign currency exchange contracts

  Unrealized depreciation on forward foreign currency exchange contracts                        $ 1,159,233                      1,159,233   

Swaps — OTC

  Unrealized depreciation on OTC swaps                   $54,514                             54,514   

Total

                    $54,514      $ 1,159,233      $ 193,490             $ 1,407,237   
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

1    Includes cumulative appreciation (depreciation) on financial futures contracts and centrally cleared swaps, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities.

        

 

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:

 

     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                   

Financial futures contracts

                  $ 7,401,252               $ (432,862            $ 6,968,390   

Forward foreign currency exchange contracts

                          $ 3,785,211                         3,785,211   

Options purchased1

                    (493,776                              (493,776

Options written

                    28,734                                 28,734   

Swaps

          $ 425,599         (23,114              (504,387              (101,902
 

 

 

 

Total

          $ 425,599       $ 6,913,096       $ 3,785,211       $ (937,249            $ 10,186,657   
 

 

 

 

 

     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Change in Unrealized Appreciation (Depreciation) on:

                   

Financial futures contracts

                  $ (4,996,777            $ (289,064            $ (5,285,841

Forward foreign currency exchange contracts

                          $ 488,509                         488,509   

Swaps

          $ 575,361         274,248                 163,186                 1,012,795   
 

 

 

 

Total

          $ 575,361       $ (4,722,529    $ 488,509       $ (125,878            $ (3,784,537
 

 

 

 

1    Options purchased are included in net realized gain (loss) from investments.

       

        

 

See Notes to Financial Statements.

 

                
48    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments
Financial futures contracts:     

Average notional value of contracts — short

     $ 146,367,882   
Forward foreign currency exchange contracts:     

Average amounts purchased — in USD

     $ 295,111,294   

Average amounts sold — in USD

     $ 6,643,121   
Options:     

Average value of options contracts purchased

     $ 0   

Average value of options contracts written

     $ 44,800 1 
Credit default swaps:     

Average notional value — buy protection

     $ 245,751 1 

Average notional value — sell protection

     $ 33,773,958   
Total return rate swaps:     

Average notional value

     $ 7,480,000   

1    Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

       

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

     Assets      Liabilities  
Derivative Financial Instruments:     

Financial futures contracts

  $ 1,055,360       $ 22,930   

Forward foreign currency exchange contracts

    1,518,086         1,159,233   

Options

              

Swaps — Centrally cleared

    120,182           

Swaps — OTC1

    959,809         54,514   
 

 

 

 

Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities

  $ 3,653,437       $ 1,236,677   
 

 

 

 

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

    (1,175,542      (22,930
 

 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 2,477,895       $ 1,213,747   
 

 

 

 

1    Includes unrealized appreciation (depreciation) on OTC swaps in the Consolidated Statement of Assets and Liabilities.

       

The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received by the Trust:

 

Counterparty   Derivative Assets
Subject to an MNA
by  Counterparty
     Derivatives
Available for
Offset1
    Non-cash Collateral
Received
    Cash Collateral
Received2
    Net
Amount of
Derivative
Assets3
 

Deutsche Bank AG

  $ 959,809                     $ (959,809       

Morgan Stanley & Co. International PLC

    124,628       $ (124,628                     

State Street Bank and Trust Company

    119,062         (6,283                 $ 112,779   

Royal Bank of Scotland PLC

    53,896         (53,896                     

UBS AG

    1,220,500                              1,220,500   
 

 

 

 

Total

  $ 2,477,895       $ (184,807          $ (959,809   $ 1,333,279   
 

 

 

 

 

Counterparty   Derivative Liabilities
Subject to an MNA
by  Counterparty
    Derivatives
Available for
Offset1
    Non-cash Collateral
Pledged
    Cash Collateral
Pledged
   

Net

Amount of
Derivative
Liabilities4

 

Citibank N.A.

  $ 59,051                           $ 59,051   

JPMorgan Chase Bank N.A.

    54,514                             54,514   

Morgan Stanley & Co. International PLC

    137,521      $ (124,628                   12,893   

Standard Chartered Bank

    9,971                             9,971   

State Street Bank and Trust Company

    6,283        (6,283                     

Royal Bank of Scotland PLC

    153,595        (53,896                   99,699   

Toronto-Dominion Bank

    769,325                             769,325   

Westpac Group

    23,487                             23,487   
 

 

 

 

Total

  $ 1,213,747      $ (184,807                 $ 1,028,940   
 

 

 

 

1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

       

 

2    Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

       

 

3    Net amount represents the net amount receivable from the counterparty in the event of default.

       

 

4    Net amount represents the net amount payable due to the counterparty in the event of default.

       

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    49


Consolidated Schedule of Investments (continued)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

 

Fair Value Hierarchy as of Period End      

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments:

                

Asset-Backed Securities

            $ 27,953,837         $ 4,751,824         $ 32,705,661   

Common Stocks

  $ 35,674,886           27,064,422           1,093,786           63,833,094   

Corporate Bonds

              1,388,890,885           23,935,722           1,412,826,607   

Floating Rate Loan Interests

              146,945,731           41,134,671           188,080,402   

Investment Companies

    16,885,540                               16,885,540   

Non-Agency Mortgage-Backed Securities

              4,598,646                     4,598,646   

Other Interests

                        10,938           10,938   

Preferred Securities

    11,369,011           72,899,037           16,159,346           100,427,394   

Warrants

    66,213                     25,726           91,939   

Short-Term Securities:

                

Money Market Funds

    3,168,928                               3,168,928   
 

 

 

 

Subtotal

  $ 67,164,578         $ 1,668,352,558         $ 87,112,013         $ 1,822,629,149   
 

 

 

 

Investments Valued at NAV1

                   675,808   
                

 

 

 

Total Investments

                 $ 1,823,304,957   
                

 

 

 

1    As of February 29, 2016, certain of the Trust’s investments were fair valued using net asset value (“NAV”) per share as no quoted market value is available and have been excluded from the fair value hierarchy.

        

 

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments 1                 

Assets:

                

Credit contracts

            $ 1,603,446                   $ 1,603,446   

Equity contracts

  $ 1,218,593                               1,218,593   

Forward foreign currency contracts

              1,518,086                     1,518,086   

Liabilities:

                

Equity contracts

              (54,514                  (54,514

Forward foreign currency contracts

              (1,159,233                  (1,159,233

Interest rate contracts

    (193,490                            (193,490
 

 

 

 

Total

  $ 1,025,103         $ 1,907,785                   $ 2,932,888   
 

 

 

 

1    Derivative financial instruments are swaps, financial futures contracts and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

        

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash

  $ 397,085                             $ 397,085   

Cash pledged:

                

Centrally cleared swaps

    2,268,000                               2,268,000   

Financial futures contracts

    8,000,150                               8,000,150   

Foreign currency at value

    955,543                               955,543   

Liabilities:

                

Loans payable

            $ (506,000,000                  (506,000,000

Cash received as collateral for OTC derivatives

              (1,500,000                  (1,500,000
 

 

 

 

Total

  $ 11,620,778         $ (507,500,000                $ (495,879,222
 

 

 

 

During the six months ended February 29, 2016, there were no transfers between Level 1 and Level 2.

 

See Notes to Financial Statements.

 

                
50    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Consolidated Schedule of Investments (concluded)

  

BlackRock Corporate High Yield Fund, Inc. (HYT)

 

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-
Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
    Other
Interests
    Preferred
Securities
    Warrants     Total  

Assets:

               

Opening Balance, as of August 31, 20151

  $ 5,936,098      $ 3,739,028      $ 25,160,883      $ 25,557,215      $ 10,978      $ 20,459,861      $ 74,732      $ 80,938,795   

Transfers into Level 3

                         4,783,763                             4,783,763   

Transfers out of Level 3

    (249,997                   (7,467,044                          (7,717,041

Accrued discounts/premiums

    5,507               (1,482     193,027                             197,052   

Net realized gain (loss)

    (5,339            9,715        175,812        (400                   179,788   

Net change in unrealized appreciation (depreciation)2,3

    (209,755     (2,832,704     (804,108     (9,498,356     360        (4,300,515     (49,006     (17,694,084

Purchases

           187,462        873,167        33,267,440                             34,328,069   

Sales

    (724,690            (1,302,453     (5,877,186                          (7,904,329

Closing Balance, as of February 29, 2016

  $ 4,751,824      $ 1,093,786      $ 23,935,722      $ 41,134,671      $ 10,938      $ 16,159,346      $ 25,726      $ 87,112,013   
 

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at February 29, 20163

  $ (209,755   $ (2,832,704   $ (804,108   $ (9,424,166          $ (4,300,515   $ (49,006   $ (17,620,254
 

 

 

   

 

 

 

1    The opening balance of preferred securities has been adjusted to exclude certain investments amounting to $555,106 that were valued using NAV per share as no quoted market value is available. The fair value of those investments have been excluded from the fair value hierarchy due to the adoption of the Accounting Standard Update related to Fair Value Measurement: Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

          

 

2    Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement of Operations.

       

 

3    Any difference between net change in unrealized appreciation (depreciation) on investments still held at February 29, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

        

 

The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $62,109,915. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

 

     Value     Valuation Techniques   Unobservable Inputs  

Range of

Unobservable Inputs
Utilized

 

Weighted

Average of
Unobservable
Inputs

Assets:

         

Common Stocks

  $ 1,040,650      Market Comparables   2P (Proved and Probable) Reserves +    
      2C (Contingent) Resources Multiple1   $0.066x - $0.794x  
      PV-10 Multiple1,2   0.04x - 0.155x  

Corporate Bonds3

    23,935,722      Discounted Cash Flow   Internal Rate of Return4   10.68% - 11.89%   11.64%
    Estimated Recovery Value      

Warrants

    25,726      Last Dealer Mark — Adjusted   Delta Adjustment Based on Daily Movement in the Common Equity4   80.00%  
    Black-Scholes   Implied Volatility4   45.30%  
 

 

 

 

 

Total

  $ 25,002,098           
 

 

 

         

1    Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

2    Present value of estimated future oil and gas revenues, net of estimated direct expenses discounted at an annual discount rate of 10%.

3    For the period ended February 29, 2016, the valuation technique for an investment classified as Corporate Bonds changed to an income approach. The investment was previously valued utilizing the Last Transaction Price. An income approach was considered to be a more relevant measure of fair value for this investment.

4    Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    51


Schedule of Investments February 29, 2016 (Unaudited)

  

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Asset-Backed Securities   

Par  

(000)

    Value  

Asset-Backed Securities — 0.4%

    

Securitized Asset Backed Receivables LLC Trust,
Series 2005-OP2, Class M1,
0.87%, 10/25/35 (a)

   $ 1,875      $ 1,678,669   

Small Business Administration Participation Certificates, Class 1:

    

Series 1996-20E, 7.60%, 5/01/16

     8        8,581   

Series 1996-20G, 7.70%, 7/01/16

     8        7,939   

Series 1996-20H, 7.25%, 8/01/16

     9        9,614   

Series 1996-20K, 6.95%, 11/01/16

     33        33,989   

Series 1997-20C, 7.15%, 3/01/17

     16        16,048   
    

 

 

 
        1,754,840   

Interest Only Asset-Backed Securities — 0.1%

    

Small Business Administration Participation Certificates, Series 2000-1, 1.00%, 3/15/21

     439        3,842   

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

     1,937        137,438   

Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29

     5,144        353,654   
    

 

 

 
        494,934   
Total Asset-Backed Securities — 0.5%        2,249,774   
    
                  
Non-Agency Mortgage-Backed Securities               

Collateralized Mortgage Obligations — 0.6%

    

Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.49%, 4/01/18

     12        13   

Deutsche Securities, Inc. Mortgage Alternate Loan Trust, Series 2006-AR5, Class 22A,
5.50%, 10/25/21

     282        271,836   

Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.71%, 10/25/35 (a)

     1,872        1,707,294   

Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 15.81%, 8/25/23 (a)

     38        43,804   

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.65%, 8/25/34 (a)

     862        850,659   
    

 

 

 
        2,873,606   

Commercial Mortgage-Backed Securities — 0.6%

    

Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)

     2,420        2,467,983   

Interest Only Collateralized Mortgage Obligations — 0.5%

  

Bank of America Mortgage Securities, Inc., Series 2003-3, Class 1A, 0.00%, 5/25/33 (a)

     17,139        65,299   

CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37

     508        136,163   

GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b)

     2,293        24   

IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37

     53,141        53,842   

MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3AX, 0.48%, 4/25/34 (c)

     5,931        118,630   

MASTR Alternative Loans Trust, Series 2003-9,
Class 15X2, 6.00%, 1/25/19

     139        9,920   

Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19

     123        4,103   

Sequoia Mortgage Trust, Series 2005-2, Class XA, 0.79%, 3/20/35 (a)

     27,426        754,226   

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 3.89%, 8/25/36 (a)

     12,088        1,087,951   

Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 5/15/29 (a)

     29,546        30   
    

 

 

 
        2,230,188   
Non-Agency Mortgage-Backed Securities   

Par  

(000)

    Value  

Principal Only Collateralized Mortgage Obligations — 0.1%

  

Countrywide Home Loan Mortgage Pass-Through Trust:

    

Series 2003-J5, 0.00%, 7/25/33

   $ 97      $ 88,322   

Series 2003-J8, 0.00%, 9/25/23

     51        49,280   

Drexel Burnham Lambert CMO Trust, Series K, Class 1, 0.00%, 9/23/17

     (d)      115   

Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 0.00%, 2/25/36

     386        259,898   

Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 0.00%, 4/25/24

     5        4,523   

Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP,
0.00%, 11/25/35

     149        105,768   
    

 

 

 
        507,906   
Total Non-Agency Mortgage-Backed Securities — 1.8%        8,079,683   
    
                  
U.S. Government Sponsored Agency Securities               

Agency Obligations — 2.6%

    

Federal Housing Administration:

    

USGI Projects, Series 99, 7.43%, 6/01/21 - 10/01/23

     2,907        2,783,614   

Reilly Projects, Series 41, 8.28%, 3/01/20

     40        38,612   

Resolution Funding Corp., 0.00%, 4/15/30 (e)

     13,000        8,749,884   
    

 

 

 
        11,572,110   

Collateralized Mortgage Obligations — 65.4%

    

Fannie Mae Mortgage-Backed Securities:

    

Series 2011-142, Class PE,
3.50%, 8/25/43

     15,567        16,955,631   

Series 2014-28, Class BD, 3.50%, 1/25/42

     7,138        7,659,748   

Series 2011-117, Class CP,
4.00%, 11/25/41

     14,350        16,279,670   

Series 2010-136, Class CY,
4.00%, 12/25/40

  

 

3,060

  

 

 

3,398,147

  

Series 2011-99, Class CB, 4.50%, 10/25/41

     43,000        50,631,300   

Series 2010-47, Class JB, 5.00%, 5/25/30

     10,000        11,195,002   

Series 2003-135, Class PB, 6.00%, 1/25/34

     11,992        12,922,338   

Series 2004-31, Class ZG, 7.50%, 5/25/34

     4,440        5,523,068   

Series 1993-247, Class SN,
10.00%, 12/25/23 (a)

     132        166,671   

Series 2005-73, Class DS, 16.42%, 8/25/35 (a)

     825        1,043,870   

Series 1991-87, Class S, 25.53%, 8/25/21 (a)

     14        18,738   

Series G-49, Class S, 989.48%, 12/25/21 (a)

     (d)      181   

Series G-17, Class S, 1,036.08%, 6/25/21 (a)

     47        550   

Series G-33, Class PV, 1,078.42%, 10/25/21

     42        215   

Series G-07, Class S, 1,095.42%, 3/25/21 (a)

     (d)      911   

Series 1991-46, Class S,
2,419.20%, 5/25/21 (a)

     39        1,707   

Freddie Mac Mortgage-Backed Securities:

    

Series T-11, Class A9, 2.86%, 1/25/28 (a)

     993        1,040,968   

Series K048, Class A2, 3.28%, 6/25/25 (a)

     1,600        1,703,980   

Series 4242, Class PA, 3.50%, 5/15/41

     7,278        7,743,798   

Series 4016, Class BX,
4.00%, 11/15/40 - 9/15/41

     26,292        29,813,207   

Series 3688, Class PB,
4.50%, 8/15/32

     10,000        10,844,318   

Series 4316, Class VB,
4.50%, 3/15/34

     10,787        12,182,599   

Series 3856, Class PB, 5.00%, 5/15/41

     10,000        11,836,785   

Series 2927, Class BZ,
5.50%, 5/15/23 - 2/15/35

     10,313        11,038,330   

Series 2542, Class UC, 6.00%, 12/15/22

     2,203        2,395,041   

Series 0040, Class K, 6.50%, 8/17/24

     129        147,735   
 

 

See Notes to Financial Statements.

 

                
52    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Income Trust, Inc. (BKT)

 

U.S. Government Sponsored Agency Securities   

Par  

(000)

    Value  

Collateralized Mortgage Obligations (continued)

  

Freddie Mac Mortgage-Backed Securities (continued):

  

Series 2218, Class Z,
8.50%, 3/15/20 - 3/15/30

   $ 2,343      $ 2,732,268   

Series 0173, Class R, 9.00%, 11/15/21

     3        3   

Series 0173, Class RS, 9.66%, 11/15/21 (a)

     (d)      3   

Series 2861, Class AX, 10.16%, 9/15/34 (a)

     4        4,416   

Series 1160, Class F, 38.35%, 10/15/21 (a)

     6        10,827   

Series 1057, Class J, 1,008.00%, 3/15/21

     30        278   

Series 0192, Class U, 1,009.03%, 2/15/22 (a)

     1        15   

Series 0019, Class R,
15,964.69%, 3/15/20 (a)

     1        239   

Ginnie Mae Mortgage-Backed Securities:

    

Series 2010-099, Class JM, 3.75%, 12/20/38

     19,300        20,359,049   

Series 2011-80, Class PB, 4.00%, 10/20/39

     11,489        12,402,501   

Series 2010-112, Class TL, 4.00%, 1/20/39

     15,000        15,979,854   

Series 2011-88, Class PY, 4.00%, 6/20/41

     15,402        16,855,488   

Series 2012-16, Class HD, 4.00%, 9/20/40

     10,000        10,989,530   

Series 2004-89, Class PE, 6.00%, 10/20/34

     198        206,487   
    

 

 

 
        294,085,466   

Interest Only Collateralized Mortgage Obligations — 2.4%

  

Fannie Mae Mortgage-Backed Securities:

    

Series 1997-50, Class SI, 1.20%, 4/25/23 (a)

     114        3,446   

Series G92-60, Class SB, 1.60%, 10/25/22 (a)

     67        2,367   

Series 2012-96, Class D1, 4.00%, 2/25/27

     5,250        436,588   

Series 2013-45, Class EI, 4.00%, 4/25/43

     10,634        949,619   

Series 2010-74, Class DI, 5.00%, 12/25/39

     6,988        377,427   

Series 1997-90, Class M, 6.00%, 1/25/28

     1,781        266,947   

Series 2011-124, Class GS, 6.26%, 3/25/37 (a)

     11,198        1,233,198   

Series 1999-W4, 6.50%, 12/25/28

     141        14,174   

Series 1993-199, Class SB,
7.06%, 10/25/23 (a)

     63        2,010   

Series 089, Class 2, 8.00%, 10/25/18

     1        31   

Series 007, Class 2, 8.50%, 4/25/17

     1        18   

Series G92-05, Class H, 9.00%, 1/25/22

     6        300   

Series 094, Class 2, 9.50%, 8/25/21

     1        120   

Series 1990-136, Class S,
19.64%, 11/25/20 (a)

     4,104        5,512   

Series 1991-139, Class PT, 648.35%, 10/25/21

     78        1,142   

Series 1991-099, Class L, 930.00%, 8/25/21

     35        248   

Series 1990-123, Class M,
1,009.50%, 10/25/20

     7        64   

Series G92-12, Class C, 1,016.90%, 2/25/22

     51        240   

Series G-10, Class S, 1,059.73%, 5/25/21 (a)

     175        2,814   

Series G-12, Class S, 1,124.81%, 5/25/21 (a)

     111        1,548   

Freddie Mac Mortgage-Backed Securities:

    

Series 2559, 0.86%, 8/15/30 (a)

     48        341   

Series 3745, Class 1N, 4.00%, 1/15/35

     17,991        732,573   

Series 3744, Class PI,
4.00%, 1/15/35 - 6/15/39

     11,027        1,100,371   

Series 4026, 4.50%, 4/15/32

     3,796        468,346   

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

     800        54,112   

Series 1043, Class H, 43.08%, 2/15/21 (a)

     3,723        5,971   

Series 1054, Class I, 844.23%, 3/15/21 (a)

     25        362   

Series 0176, Class M, 1,010.00%, 7/15/21

     11        208   

Series 1056, Class KD, 1,084.50%, 3/15/21

     19        224   

Series 1148, Class E, 1,146.50%, 10/15/21 (a)

     24        301   

Series 0200, Class R,
192,257.14%, 12/15/22 (a)

     (d)      367   

Ginnie Mae Mortgage-Backed Securities (a):

    

Series 2009-116, Class KS, 6.04%, 12/16/39

     1,785        295,955   

Series 2011-52, Class MJ, 6.22%, 4/20/41

     11,646        2,388,182   

Series 2011-52, Class NS, 6.24%, 4/16/41

     13,008        2,605,743   
    

 

 

 
        10,950,869   

Mortgage-Backed Securities — 61.4%

  

 

Fannie Mae Mortgage-Backed Securities:

    

3.00%, 1/01/43 (f)

     24,264        24,927,739   

3.50%, 10/01/42 - 10/01/45 (f)

     30,057        31,592,722   
U.S. Government Sponsored Agency Securities   

Par  

(000)

    Value  

Mortgage-Backed Securities (continued)

  

 

Fannie Mae Mortgage-Backed Securities (continued):

    

4.00%, 1/01/41 - 9/01/42 (f)

   $ 25,505      $ 27,290,436   

4.50%, 8/01/25 - 4/01/46 (f)(g)

     73,465        80,430,691   

5.00%, 1/01/23 - 10/01/41 (f)

     45,275        50,554,070   

5.50%, 11/01/16 - 10/01/39 (f)

     22,594        25,122,356   

5.97%, 8/01/16 (a)

     2,860        2,892,463   

6.00%, 3/01/46 (g)

     21,800        24,846,042   

6.50%, 12/01/37 - 10/01/39

     6,630        7,670,327   

7.50%, 2/01/22

     (d)      41   

9.50%, 1/01/19 - 9/01/19

     1        1,300   

Freddie Mac Mortgage-Backed Securities:

    

2.80%, 10/01/34 (a)

     104        106,484   

2.86%, 1/01/35 (a)

     174        178,376   

3.14%, 11/01/17 (a)

     1        840   

5.00%, 2/01/22 - 4/01/22

     204        218,554   

9.00%, 9/01/20

     8        8,482   

Ginnie Mae Mortgage-Backed Securities:

    

7.50%, 8/15/21 - 12/15/23

     95        99,259   

8.00%, 10/15/22 - 8/15/27

     44        46,860   

9.00%, 4/15/20 - 9/15/21

     3        2,637   
    

 

 

 
        275,989,679   

Principal Only Collateralized Mortgage Obligations — 0.2%

  

Fannie Mae Mortgage-Backed Securities (e):

    

Series 2002-13, Class PR,
0.00%, 6/25/23 - 3/25/32

     201        189,585   

Series 1993-70, Class A,
0.00%, 2/25/21 - 5/25/23

     104        98,935   

Freddie Mac Mortgage-Backed Securities:

    

Series 1691, Class B, 0.00%, 3/15/24

     329        304,192   

Series T-8, Class A10, 0.00%, 11/15/28

     41        40,601   

Series 1571, Class G,
0.00%, 11/15/22 - 8/15/23

     198        189,630   
    

 

 

 
        822,943   
Total U.S. Government Sponsored Agency
Securities — 132.0%
       593,421,067   
    
                  
U.S. Treasury Obligations               

U.S. Treasury Bonds, 2.50%, 2/15/46

     5,000        4,879,100   

U.S. Treasury Notes:

    

1.00%, 11/30/19 (f)

     2,965        2,955,041   

1.38%, 8/31/20

     4,045        4,076,919   

1.63%, 11/15/22

     780        786,550   

2.00%, 8/15/25

     2,860        2,923,343   

2.25%, 11/15/25 (f)

     6,500        6,789,452   

1.63%, 2/15/26

     2,000        1,979,062   
Total U.S. Treasury Obligations — 5.4%        24,389,467   
Total Long-Term Investments
(Cost — $620,185,790) — 139.7%
        628,139,991   
    
                  
Short-Term Securities    Shares         

Money Market Funds — 0.8%

  

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.37% (j)(k)

     3,646,880        3,646,880   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    53


Schedule of Investments (continued)

  

BlackRock Income Trust, Inc. (BKT)

 

Short-Term Securities   

Par  

(000)

    Value  

Borrowed Bond Agreement (h)(i) — 0.2%

  

Credit Suisse Securities (USA) LLC, 0.01%, Open (Purchased on 11/19/15 to be repurchased at $868,025. Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair value of $917,000 and $948,522, respectively)

   $ 868      $ 868,000   
Total Short-Term Securities
(Cost — $4,514,880) — 1.0%
        4,514,880   
Total Investments Before Borrowed Bonds and TBA Sale Commitments
(Cost — $624,700,670) — 140.7%
         632,654,871   
Borrowed Bonds   

Par  

(000)

    Value  

U.S. Treasury Bonds, 2.75%, 11/15/42

   $ (917   $ (948,522
Total Borrowed Bonds
(Proceeds — $842,347) — (0.2)%
        (948,522
    
                  
TBA Sale Commitments               

Fannie Mae Mortgage-Backed Securities (g):

    

4.50% 3/01/31 - 3/01/46

     5,300        (5,623,597

5.00% 3/01/31 - 3/01/46

     13,100        (14,491,666
Total TBA Sale Commitments
(Proceeds — $20,052,372) — (4.5)%
        (20,115,263
Total Investments, Net of Borrowed Bonds and
TBA Sale Commitments
(Cost — $603,805,951) — 136.0%
         611,591,086   
Liabilities in Excess of Other Assets — (36.0)%        (161,902,752
    

 

 

 
Net Assets — 100.0%      $ 449,688,334   
    

 

 

 
 
Notes to Schedule of Investments

 

(a)   Variable rate security. Rate as of period end.

 

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

 

(c)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(d)   Amount is less than $500.

 

(e)   Zero-coupon bond.

 

(f)   All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

 

(g)   Represents or includes a TBA transaction. Unsettled TBA transactions as of February 29, 2016 were as follows:

 

Counterparty      Value        Unrealized
Appreciation
(Depreciation)
 

Barclays Bank PLC

     $ (6,433,770      $ (29,295

Credit Suisse Securities (USA) LLC

     $ (5,326,409      $ (22,956

Goldman Sachs & Co.

     $ 30,691         $ 2,525   

JPMorgan Securities, Inc.

     $ 22,321,258         $ 206,858   

 

(h)   Certain agreements have no stated maturity and can be terminated by either party at any time.

 

(i)   The amount to be repurchased assumes the maturity will be the day after the period end.

 

(j)   During the period ended February 29, 2016, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at August 31,
2015
       Net
Activity
       Shares Held
at February 29,
2016
       Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

       24,634,500           (20,987,620        3,646,880         $ 9,817   

 

(k)   Current yield as of period end.

 

 

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

 

See Notes to Financial Statements.

 

                
54    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Income Trust, Inc. (BKT)

 

Reverse Repurchase Agreements

 

Counterparty   Interest
Rate
    Trade
Date
  Maturity
Date1
  Face Value     Face Value
Including
Accrued
Interest
    Type of Underlying Collateral   Remaining Contractual
Maturity of the Agreements

BNP Paribas Securities Corp.

    0.44   6/10/15   Open   $ 2,880,000      $ 2,883,910      U.S. Treasury Obligations   Open/Demand1

Credit Suisse Securities (USA) LLC

    0.17   11/19/15   Open     13,196,277        13,202,634      U.S. Government Sponsored Agency Securities   Open/Demand1

Credit Suisse Securities (USA) LLC

    0.05   11/23/15   Open     6,475,625        6,476,515      U.S. Treasury Obligations   Open/Demand1

HSBC Securities (USA), Inc.

    0.59   2/10/16   3/14/16     132,948,000        132,989,399      U.S. Government Sponsored Agency Securities   Up to 30 Days

Total

        $ 155,499,902      $ 155,552,458       
       

 

 

     

1   Certain agreements have no stated maturity and can be terminated by either party at any time.

 

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Long (Short)
    Issue   Expiration   Notional Value     Unrealized
Appreciation
(Depreciation)
      
  (12   90-Day Euro-Dollar   March 2016   $ 2,980,125      $ (9,023  
  105      2-Year U.S. Treasury Note   June 2016   $ 22,947,422        (34,212  
  (112   5-Year U.S. Treasury Note   June 2016   $ 13,550,250        16,906     
  (266   10-Year U.S. Treasury Note   June 2016   $ 34,717,156        (5,469  
  (79   10-Year U.S. Ultra Long Treasury Note   June 2016   $ 11,147,641        11,333     
  (766   Long U.S. Treasury Bond   June 2016   $ 126,030,938        86,868     
  287      Ultra Long U.S. Treasury Bond   June 2016   $ 49,695,844        (118,745    
  Total            $ (52,342  
       

 

 

OTC Interest Rate Swaps

 

Fixed Rate   Floating
Rate
  Counterparty   Expiration
Date
  Notional
Amount
(000)
    Value     Premiums
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
      

5.72%1

  3-Month LIBOR   JPMorgan Chase Bank N.A.   7/14/16   $ 5,400      $ 98,522             $ 98,522     

4.31%2

  3-Month LIBOR   Deutsche Bank AG   10/01/18   $ 60,000        (5,213,538            (5,213,538  

3.43%1

  3-Month LIBOR   JPMorgan Chase Bank N.A.   3/28/21   $ 6,000        676,133      $ (142,249     818,382     

5.41%1

  3-Month LIBOR   JPMorgan Chase Bank N.A.   8/15/22   $ 9,565        2,474,404               2,474,404       

Total

  

  $ (1,964,479   $ (142,249   $ (1,822,230  
         

 

 

1    Trust pays the floating rate and receives the fixed rate.

2    Trust pays the fixed rate and receives the floating rate.

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

           Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  
Assets — Derivative Financial Instruments   

Financial futures contracts

   Net unrealized appreciation1                               $ 115,107             $ 115,107   

Swaps — OTC

   Unrealized appreciation on OTC swaps                                 3,391,308               3,391,308   
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

                                 $ 3,506,415             $ 3,506,415   
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    55


Schedule of Investments (continued)

  

BlackRock Income Trust, Inc. (BKT)

 

 

           Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  
Liabilities — Derivative Financial Instruments   

Financial futures contracts

   Net unrealized depreciation1                               $ 167,449             $ 167,449   

Swaps — OTC

   Unrealized depreciation on OTC Swaps; Swap premiums received                                 5,355,787               5,355,787   
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

                                 $ 5,523,236             $ 5,523,236   
    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  1   

Includes cumulative appreciation (depreciation) on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operation was as follows:

 

     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  
Net Realized Gain (Loss) from:   

Financial futures contracts

                                  $ (4,108,534            $ (4,108,534

Swaps

                                    (363,484              (363,484
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

                                  $ (4,472,018            $ (4,472,018
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
                   
Net Change in Unrealized Appreciation (Depreciation) on:   

Financial futures contracts

                                  $ (2,241,398            $ (2,241,398

Swaps

                                    389,056                 389,056   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

                                  $ (1,852,342            $ (1,852,342
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Financial futures contracts:

    

Average notional value of contracts — long

     $ 60,962,109   

Average notional value of contracts — short

     $ 159,210,355   
Interest rate swaps:     

Average notional value — pays fixed rate

     $ 60,000,000   

Average notional value — receives fixed rate

     $ 33,715,000   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Derivative Financial Instruments — Offsetting as of Period End

The Trust’s derivative assets and liabilities (by type) were as follows:

 

     Assets        Liabilities       
Derivative Financial Instruments:         

Financial futures contracts

  $ 119,875         $ 265,445     

Swaps — OTC1

    3,391,308           5,355,787     
 

 

 

Total derivative assets and liabilities in the Statement of Assets and Liabilities

    3,511,183           5,621,232     
 

 

 

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

    (119,875        (265,445  
 

 

 

Total derivative assets and liabilities subject to an MNA

  $ 3,391,308         $ 5,355,787     
 

 

 

1    Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities.

       

 

 

See Notes to Financial Statements.

 

                
56    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Schedule of Investments (continued)

  

BlackRock Income Trust, Inc. (BKT)

 

The following table presents the Trust’s derivative assets and liabilities by counterparty net of amounts available for offset under an Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the Trust:

 

Counterparty        Derivative Assets
Subject to an MNA
by Counterparty
    Derivatives
Available for
Offset1
    Non-cash Collateral
Received
  Cash Collateral
Received2
    Net
Amount of
Derivative
Assets3
 

JPMorgan Chase Bank N.A.

    $ 3,391,308      $ (142,249       $(3,249,059)          
   

 

 

 
           
Counterparty        Derivative Liabilities
Subject to an MNA
by Counterparty
    Derivatives
Available for
Offset1
    Non-cash Collateral
Pledged
  Cash Collateral
Pledged4
    Net
Amount of
Derivative
Liabilities5
 

Deutsche Bank AG

    $ 5,213,538               $ (5,213,538       

JPMorgan Chase Bank N.A.

      142,249      $ (142,249                
   

 

 

 

Total

    $ 5,355,787      $ (142,249     $ (5,213,538       
   

 

 

 

1    The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

       

2    Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

   

3    Net amount represents the net amount receivable from the counterparty in the event of default.

       

4    Excess of collateral pledged from the individual counterparty is not shown for financial reporting purposes.

       

5   Net amount represents the net amount payable due to the counterparty in the event of default.

      

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments:

                

Asset-Backed Securities

            $ 1,754,840         $ 494,934         $ 2,249,774   

Non-Agency Mortgage-Backed Securities

              6,118,863           1,960,820           8,079,683   

U.S. Government Sponsored Agency Securities

              590,598,229           2,822,838           593,421,067   

U.S. Treasury Obligations

              24,389,467                     24,389,467   

Short-Term Securities:

                

Money Market Funds

  $ 3,646,880                               3,646,880   

Borrowed Bond Agreement

              868,000                     868,000   

Liabilities:

                
Investments:                 

Borrowed Bonds

              (948,522                  (948,522

TBA Sale Commitments

              (20,115,263                  (20,115,263
 

 

 

 

Total

  $ 3,646,880         $ 602,665,614         $ 5,278,592         $ 611,591,086   
 

 

 

 
                
     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments1                 

Assets:

                

Interest rate contracts

  $ 115,107         $ 3,391,308                   $ 3,506,415   

Liabilities:

                

Interest rate contracts

    (167,449        (5,213,538                  (5,380,987
 

 

 

 

Total

  $ (52,342      $ (1,822,230                $ (1,874,572
 

 

 

 

1    Derivative financial instruments are financial futures contracts and swaps, which are valued at the unrealized appreciation (depreciation) on the instrument.

       

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    57


Schedule of Investments (concluded)

  

BlackRock Income Trust, Inc. (BKT)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face amount, including accrued interest, for financial statement purposes. As of February 29, 2016, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

   

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash

  $ 245,711                             $ 245,711   

Cash pledged :

                

Collateral — OTC derivatives

    6,040,000                               6,040,000   

Financial futures contracts

    2,669,260                               2,669,260   

Liabilities:

                

Cash received :

                

Collateral — OTC derivatives

            $ (3,330,000                  (3,330,000

Collateral — Reverse repurchase agreements

              (231                  (231

Reverse repurchase agreements

              (155,552,458                  (155,552,458
 

 

 

 

Total

  $ 8,954,971         $ (158,882,689                $ (149,927,718
 

 

 

 

During the six months ended February 29, 2016, there were no transfers between Level 1 and Level 2.

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-Backed
Securities
     Non-Agency
Mortgage-Backed
Securities
     U.S. Government
Sponsored Agency
Securities
     Total  

Assets:

          

Opening Balance, as of August 31, 2015

  $ 522,965       $ 2,114,419       $ 3,072,791       $ 5,710,175   

Transfers into Level 3

                              

Transfers out of Level 3

                              

Accrued discounts/premiums

    (69,358              (5,496      (74,854

Net realized gain (loss)

    (118,374      4         (5,510      (123,880

Net change in unrealized appreciation (depreciation)1,2

    159,701         (153,600      (15,323      (9,222

Purchases

                              

Sales

            (3      (223,624      (223,627

 

 

Closing Balance, as of February 29, 2016

  $ 494,934       $ 1,960,820       $ 2,822,838       $ 5,278,592   
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments held as of February 29, 20162

  $ 159,701       $ (153,600    $ (15,323    $ (9,222
 

 

 

 

1    Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

       

2    Any difference between Net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments held as of February 29, 2016 is generally due to investments no longer held or categorized as level 3 at period end.

        

Certain of the Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.

 

See Notes to Financial Statements.

 

                
58    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Statements of Assets and Liabilities     

 

February 29, 2016 (Unaudited)   BlackRock
Core Bond
Trust
(BHK)
    BlackRock
Corporate
High Yield
Fund, Inc.
(HYT)1
    BlackRock
Income
Trust, Inc.
(BKT)
 
     
Assets                        

Investments at value — unaffiliated2

  $ 1,006,776,002      $ 1,817,052,949      $ 629,007,991   

Investments at value — affiliated3

    9,946,997        6,252,008        3,646,880   

Cash

    184,051        397,085        245,711   
Cash pledged:      

Collateral — OTC derivatives

    9,130,000               6,040,000   

Financial futures contracts

    2,600,970        8,000,150        2,669,260   

Centrally cleared swaps

    551,940        2,268,000          

Foreign currency at value4

    370,110        955,543          
Receivables:      

Dividends

    27,422                 

Interest

    10,798,260        29,147,179        2,212,712   

Investments sold

    8,346,012        26,867,572        41,724   

Options written

    334,946                 

Swaps

    23,696        133,946        208,550   

Variation margin on financial futures contracts

    267,392        1,055,360        119,875   

Variation margin on centrally cleared swaps

    93,883        120,182          

Principal paydowns

    4,829                 

TBA sale commitments

                  20,052,372   

Swap premiums paid

    40,671                 
Unrealized appreciation on:      

Forward foreign currency exchange contracts

    576,032        1,518,086          

OTC derivatives

    239,912        959,809        3,391,308   

Prepaid expenses

    38,698        84,047        31,032   

Other assets

    10,886               1,482   
 

 

 

 

Total assets

    1,050,362,709        1,894,811,916        667,668,897   
 

 

 

 
     
Liabilities                        

Bank borrowings

           506,000,000          
Cash received:      

Collateral — OTC derivatives

    520,000        1,500,000        3,330,000   

Collateral — Reverse repurchase agreements

                  231   

Borrowed bonds at value5

                  948,522   

Options written at value6

    11,871,655                 

TBA sale commitments at value7

                  20,115,263   

Reverse repurchase agreements

    277,642,210               155,552,458   
Payables:      

Administration fees

                  53,493   

Investments purchased

    4,454,189        37,883,419        30,646,553   

Investment advisory fees

    409,142        861,366        231,300   

Income dividends

    92,099        398,795        55,299   

Interest expense

           638,693        7,413   

Officer’s and Trustees’ fees

    174,046        428,043        153,366   

Options written

    381,015                 

Swaps

    13,143        39,706        1,104,891   

Variation margin on financial futures contracts

    103,750        22,930        265,445   

Variation margin on centrally cleared swaps

    68,360                 

Other accrued expenses

    283,357        696,917        160,542   

Swap premiums received

    862,920               142,249   
Unrealized depreciation on:      

Forward foreign currency exchange contracts

    203,373        1,159,233          

OTC derivatives

    1,234,574        54,514        5,213,538   

Other liabilities

    252,200        252,425          

Commitments and contingencies

    8      8        
 

 

 

 

Total liabilities

    298,566,033        549,936,041        217,980,563   
 

 

 

 

Net Assets

  $ 751,796,676      $ 1,344,875,875      $ 449,688,334   
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    59


Statements of Assets and Liabilities (concluded)     

 

February 29, 2016 (Unaudited)   BlackRock
Core Bond
Trust
(BHK)
    BlackRock
Corporate
High Yield
Fund,  Inc.
(HYT)1
    BlackRock
Income
Trust, Inc.
(BKT)
 
     
Net Assets Consist of                        

Paid-in capital9,10,11

  $ 761,161,052      $ 1,782,827,848      $ 478,262,054   

Undistributed (distributions in excess of) net investment income

    (1,464,342     2,988,226        4,376,153   

Accumulated net realized loss

    (12,350,318     (253,860,362     (38,861,918

Net unrealized appreciation (depreciation)

    4,450,284        (187,079,837     5,912,045   
 

 

 

 

Net Assets

  $ 751,796,676      $ 1,344,875,875      $ 449,688,334   
 

 

 

 

Net asset value, offering and redemption price per share

  $ 13.94      $ 10.62      $ 7.03   
 

 

 

 

1    Consolidated Statement of Assets and Liabilities

     

2    Investments at cost — unaffiliated

  $ 1,000,321,536      $ 2,007,293,860      $ 621,053,790   

3    Investments at cost — affiliated

  $ 9,946,997      $ 6,076,637      $ 3,646,880   

4    Foreign currency at cost

  $ 375,149      $ 968,839          

5    Proceeds received from borrowed bonds

                $ 842,347   

6    Premiums received

  $ 10,264,926                 

7    Proceeds from TBA sale commitments

                $ 20,052,372   

8    See Note 4 and Note 12 of the Notes to Financial Statements for details of commitments and contingencies

     

9    Par value

  $ 0.001      $ 0.100      $ 0.010   

10  Shares Outstanding

    53,935,126        126,599,668        63,942,535   

11  Shares Authorized

    Unlimited        200 million        200 million   

 

 

See Notes to Financial Statements.      
                
60    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Statements of Operations     

 

Six Months Ended February 29, 2016 (Unaudited)   BlackRock
Core Bond
Trust
(BHK)
    BlackRock
Corporate
High Yield
Fund, Inc.
(HYT)1
    BlackRock
Income
Trust, Inc.
(BKT)
 
     
Investment Income                        

Interest

  $ 24,964,450      $ 61,404,707      $ 11,540,998   

Dividends — unaffiliated

    361,289        249,647          

Dividends — affiliated

    12,895        711,453        9,817   

Foreign taxes withheld

           (2,051       
 

 

 

 

Total income

    25,338,634        62,363,756        11,550,815   
 

 

 

 
     
Expenses                        

Investment advisory

    2,630,093        5,989,285        1,451,660   

Administration

                  334,999   

Professional

    67,884        167,428        50,704   

Accounting services

    51,474        108,448        33,115   

Custodian

    44,799        101,200        20,058   

Transfer agent

    52,447        71,888        34,804   

Officer and Trustees

    37,908        58,828        18,474   

Printing

    2,912        20,735        6,888   

Registration

    6,413        14,742        8,102   

Miscellaneous

    71,040        113,387        26,300   
 

 

 

 

Total expenses excluding interest expense and income tax

    2,964,970        6,645,941        1,985,104   

Interest expense

    604,945        3,013,261        347,466   

Income tax

           14,860          
 

 

 

 

Total expenses

    3,569,915        9,674,062        2,332,570   

Less fees waived by the Manager

    (3,810     (428     (2,962
 

 

 

 

Total expenses after fees waived

    3,566,105        9,673,634        2,329,608   
 

 

 

 

Net investment income

    21,772,529        52,690,122        9,221,207   
 

 

 

 
     
Realized and Unrealized Gain (Loss)                        
Net realized gain (loss) from:      

Investments — unaffiliated

    (12,682,373     (83,778,489     79,776   

Investments — affiliated

           (2,564,875       

Financial futures contracts

    3,002,352        6,968,390        (4,108,534

Foreign currency transactions

    1,197,264        7,026,677          

Options written

    2,379,640        28,734          

Swaps

    (2,164,633     (101,902     (363,484
 

 

 

 
    (8,267,750     (72,421,465     (4,392,242
 

 

 

 
Net change in unrealized appreciation (depreciation) on:      

Investments — unaffiliated

    (7,236,302     (86,973,518     6,055,309   

Investments — affiliated

           175,371          

Financial futures contracts

    703,370        (5,285,841     (2,241,398

Foreign currency translations

    331,583        543,688          

Options written

    (2,726,597              

Swaps

    (383,121     1,012,795        389,056   

Borrowed bonds

                  (66,304
 

 

 

 
    (9,311,067     (90,527,505     4,136,663   
 

 

 

 

Net realized and unrealized loss

    (17,578,817     (162,948,970     (255,579
 

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

  $ 4,193,712      $ (110,258,848   $ 8,965,628   
 

 

 

 

1    Consolidated Statement of Operations.

     

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    61


Statements of Changes in Net Assets    BlackRock Core Bond Trust (BHK)

 

Increase (Decrease) in Net Assets:   Six Months Ended
February 29, 2016
(Unaudited)
   

Year Ended

August 31,
2015

 
   
Operations                

Net investment income

  $ 21,772,529      $ 42,093,223   

Net realized gain (loss)

    (8,267,750     19,284,069   

Net change in unrealized appreciation (depreciation)

    (9,311,067     (53,137,205
 

 

 

 

Net increase in net assets resulting from operations

    4,193,712        8,240,087   
 

 

 

 
   
Distributions to Shareholders1                

From net investment income

    (23,219,073     (47,657,688

In excess of net investment income

           (1,743,768
 

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (23,219,073     (49,401,456
 

 

 

 
   
Capital Share Transactions                

Net proceeds from the issuance of shares due to reorganization

           399,906,769   

Cost of shares redeemed

           (1,775
 

 

 

 

Net increase in net assets derived from capital transactions

           399,904,994   
 

 

 

 
   
Net Assets                

Total increase (decrease) in net assets

    (19,025,361     358,743,625   

Beginning of period

    770,822,037        412,078,412   
 

 

 

 

End of period

  $ 751,796,676      $ 770,822,037   
 

 

 

 

Undistributed net investment loss, end of period

  $ (1,464,342   $ (17,798
 

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
62    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Consolidated Statements of Changes in Net Assets    BlackRock Corporate High Yield Fund, Inc. (HYT)

 

Increase (Decrease) in Net Assets:   Six Months Ended
February 29, 2016
(Unaudited)
   

Year Ended

August 31,
2015

 
   
Operations                

Net investment income

  $ 52,690,122      $ 110,710,853   

Net realized gain (loss)

    (72,421,465     3,532,873   

Net change in unrealized appreciation (depreciation)

    (90,527,505     (169,304,412
 

 

 

 

Net decrease in net assets resulting from operations

    (110,258,848     (55,060,686
 

 

 

 
   
Distributions to Shareholders1                

From net investment income

    (72,171,812     (123,054,879
 

 

 

 
   
Net Assets                

Total decrease in net assets

    (182,430,660     (178,115,565

Beginning of period

    1,527,306,535        1,705,422,100   
 

 

 

 

End of period

  $ 1,344,875,875      $ 1,527,306,535   
 

 

 

 

Undistributed net investment income, end of period

  $ 2,988,226      $ 22,469,916   
 

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    63


Statements of Changes in Net Assets    BlackRock Income Trust, Inc. (BKT)

 

Increase (Decrease) in Net Assets:   Six Months Ended
February 29, 2016
(Unaudited)
    Year Ended
August 31,
2015
 
   
Operations                

Net investment income

  $ 9,221,207      $ 20,490,679   

Net realized loss

    (4,392,242     (6,803,051

Net change in unrealized appreciation (depreciation)

    4,136,663        (682,875
 

 

 

 

Net increase in net assets resulting from operations

    8,965,628        13,004,753   
 

 

 

 
   
Distributions to Shareholders1                

From net investment income

    (11,893,312     (25,321,248
 

 

 

 
   
Net Assets                

Total decrease in net assets

    (2,927,684     (12,316,495

Beginning of period

    452,616,018        464,932,513   
 

 

 

 

End of period

  $ 449,688,334      $ 452,616,018   
 

 

 

 

Undistributed net investment income, end of period

  $ 4,376,153      $ 7,048,258   
 

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
64    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Statements of Cash Flows     

 

Six Months Ended February 29, 2016 (Unaudited)   BlackRock
Core Bond
Trust
(BHK)
    BlackRock
Corporate
High Yield
Fund, Inc.
(HYT)1
    BlackRock
Income
Trust, Inc.
(BKT)
 
     
Cash Provided by (Used for) Operating Activities                        

Net increase (decrease) in net assets resulting from operations

  $ 4,193,712      $ (110,258,848   $ 8,965,628   

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used for) operating activities:

     

Proceeds from sales of long term investments and principal paydowns

    182,641,274        638,950,980        542,879,818   

Purchases of long term investments

    (157,547,366     (502,623,098     (539,572,587

Net proceeds from sales of short-term securities

    (26,632     (3,168,928       

Net purchases of short-term securities

                  20,966,620   

Amortization of premium and accretion of discount on investments

    2,383,185        584,552        2,540,569   

Premiums paid on closing options written

    (3,289,298     (52,832       

Premiums received from options written

    9,187,766        81,566          

Net realized (gain) loss on investments, options written, borrowed bonds and short sales

    10,325,917        85,887,062        393,623   

Net unrealized loss on investments, options written, swaps, borrowed bonds, foreign currency translations and short sales

    10,888,281        86,033,443        (6,379,813
(Increase) decrease in assets:      
Cash Pledged:      

Collateral — OTC derivatives

    (3,470,000     80,000        460,000   

Collateral — reverse repurchase agreements

    2,140,000               1,166,000   

Financial futures contracts

    (1,165,920     (2,445,760     (677,950

Centrally cleared swaps

    (442,790     (1,745,250       
Receivables:      

Dividends

           5,087          

Interest

    788,427        4,325,144        85,522   

Swaps

    (8,598     90,298        40,248   

Variation margin on financial futures contracts

    (176,104     137,760        285,057   

Variation margin on centrally cleared swaps

    (57,822     (120,182       

Swap premiums paid

    25,057        100,409          

Prepaid expenses

    (28,041     (59,135     (21,156

Other assets

    13,563               1,752   
Increase (decrease) in liabilities:      
Cash received:      

Collateral — reverse repurchase agreements

                  231   

Collateral — OTC derivatives

    520,000        (100,000     (640,000
Payables:   

Swaps

    5,633        39,706        (6,517

Administration fees

                  (61,992

Interest expense

    (78,284     119,964        11,120   

Investment advisory fees

    (526,049     (1,393,460     (267,634

Officer’s and Trustees’ fees

    (9,951     7,174        (1,442

Other accrued expenses

    (12,716     (10,654     (22,058

Variation margin on financial futures contracts

    (158,012     22,857        164,976   

Variation margin on centrally cleared swaps

    48,916        (24,343       

Swap premiums received

    735,629        (51,384     (13,935

Other liabilities

    11,440        252,425          
 

 

 

 

Net cash provided by (used for) operating activities

    56,911,217        194,664,553        30,296,080   
 

 

 

 

1    Consolidated Statement of Cash Flows.

     

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    65


Statements of Cash Flows (concluded)     

 

Six Months Ended February 29, 2016 (Unaudited)   BlackRock
Core Bond
Trust
(BHK)
    BlackRock
Corporate
High Yield
Fund, Inc.
(HYT)1
    BlackRock
Income
Trust, Inc.
(BKT)
 
     
Cash Provided by (Used for) Financing Activities                        

Cash dividends paid to Common Shareholders

  $ (23,207,783   $ (72,275,359   $ (11,893,779

Payments on bank borrowings

           (437,000,000       

Proceeds from bank borrowings

           312,000,000          

Decrease in bank overdraft

                  (2,492

Net borrowing of reverse repurchase agreements

    (33,523,032            (18,154,098
 

 

 

 

Net cash used for financing activities

    (56,730,815     (197,275,359     (30,050,369
 

 

 

 
     
Cash Impact from Foreign Exchange Fluctuations                        

Cash impact from foreign exchange fluctuations

  $ 2,313      $ (13,184       
 

 

 

 
     
Cash and Foreign Currency                        

Net increase (decrease) in cash and foreign currency at value

    182,715        (2,623,990     245,711   

Cash and foreign currency at value at beginning of period

    371,446        3,976,618          
 

 

 

 

Cash and foreign currency at value at end of period

  $ 554,161      $ 1,352,628      $ 245,711   
 

 

 

 
     
Supplemental Disclosure of Cash Flow Information                        

Cash paid during the period for interest expenese

  $ 683,229      $ 2,893,297      $ 336,346   
 

 

 

 

1    Consolidated Statement of Cash Flows.

     

 

 

See Notes to Financial Statements.      
                
66    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Financial Highlights    BlackRock Core Bond Trust (BHK)

 

    Six Months Ended
February 29,
2016
(Unaudited)
    Year Ended August 31,  
    2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 14.29      $ 15.24      $ 14.05      $ 15.21      $ 13.78      $ 14.19   
 

 

 

 

Net investment income1

    0.40        0.86        0.87        0.89        0.88        0.83   

Net realized and unrealized gain (loss)

    (0.32     (0.73     1.23        (1.11     1.37        (0.36
 

 

 

 

Net increase (decrease) from investment operations

    0.08        0.13        2.10        (0.22     2.25        0.47   
 

 

 

 

Distributions:2

           

From net investment income

    (0.43     (1.04     (0.91     (0.94     (0.82     (0.88

In excess of net investment income3

           (0.04                            
 

 

 

 

Total distributions

    (0.43     (1.08     (0.91     (0.94     (0.82     (0.88
 

 

 

 

Net asset value, end of period

  $ 13.94      $ 14.29      $ 15.24      $ 14.05      $ 15.21      $ 13.78   
 

 

 

 

Market price, end of period

  $ 12.96      $ 12.63      $ 13.64      $ 12.50      $ 15.41      $ 12.69   
 

 

 

 
           
Total Return4                                    

Based on net asset value

    0.86% 5      1.62%        16.09% 6      (1.42 )%      17.06%        4.02%   
 

 

 

 

Based on market price

    6.09% 5      0.35%        16.78%        (13.43 )%      28.78%        (2.35)%   
 

 

 

 
           
Ratios to Average Net Assets                                   

Total expenses

    0.94% 7      0.95% 8      1.06% 8      1.03%        0.95%        1.02%   
 

 

 

 

Total expenses after fees waived and paid indirectly

    0.94% 7      0.95% 8      1.02% 8      0.98%        0.94%        1.02%   
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

    0.78% 7      0.82% 8      0.91% 8      0.86%        0.86%        0.93%   
 

 

 

 

Net investment income

    5.75% 7      5.83%        5.94%        5.92%        6.13%        6.05%   
 

 

 

 
           
Supplemental Data                                   

Net assets, end of period (000)

  $  751,797      $  770,822      $  412,078      $  379,913      $  411,136      $  372,295   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 277,642      $ 303,651      $ 168,301      $ 172,537      $ 182,679      $ 152,301   
 

 

 

 

Portfolio turnover rate

    15%        55% 9      82% 9      100% 9      290% 9      824% 9 
 

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Taxable distribution.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Includes proceeds received from a settlement of litigation, which impacted the Trust’s total return. Excluding these proceeds, the total return would have been 16.01%.

 

  7   

Annualized.

 

  8   

Includes reorganization costs associated with the Trust’s merger. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 0.94%, 0.94% and 0.82% for the year ended August 31, 2015 and 1.00%, 0.96% and 0.85% for the year ended August 31, 2014, respectively.

 

  9   

Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

 

    Year Ended August 31,  
    2015     2014     2013     2012     2011  
         

Portfolio turnover (excluding MDRs )

    51%        48%        63%        237%        544%   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    67


Financial Highlights    BlackRock Corporate High Yield Fund, Inc. (HYT)

 

    Six Months Ended
February 29,
20161
(Unaudited)
    Year Ended August 31,  
    20151     20141     20131     20121     2011  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 12.06      $ 13.47      $ 12.62      $ 12.32      $ 11.49      $ 11.38   
 

 

 

 

Net investment income2

    0.42        0.87        0.98        1.00        1.04        1.06   

Net realized and unrealized gain (loss)

    (1.29     (1.31     0.91        0.41        0.83        0.05   
 

 

 

 

Net increase (decrease) from investment operations

    (0.87     (0.44     1.89        1.41        1.87        1.11   
 

 

 

 

Distributions from net investment income3

    (0.57     (0.97     (1.04     (1.11     (1.04     (1.00
 

 

 

 

Net asset value, end of period

  $ 10.62      $ 12.06 4    $ 13.47      $ 12.62      $ 12.32      $ 11.49   
 

 

 

 

Market price, end of period

  $ 9.77      $ 9.97      $ 12.07      $ 11.37      $ 12.96      $ 11.21   
 

 

 

 
           
Total Return5                                    

Based on net asset value

    (6.75)% 6      (2.40)% 4      16.21%        11.90%        17.14%        9.95%   
 

 

 

 

Based on market price

    3.77% 6      (9.96)%        15.58%        (4.16)%        26.30%        9.09%   
 

 

 

 
           
Ratios to Average Net Assets                                   

Total expenses

    1.36% 7,8      1.37%        1.35% 9      1.54% 10      1.51%        1.41%   
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.36% 7,8      1.37%        1.35% 9      1.54% 10      1.51%        1.41%   
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense and income tax

    0.94% 7,8      0.96%        0.98% 9      1.16% 10,11      1.19% 12      1.12%   
 

 

 

 

Net investment income

    7.42% 7      6.88%        7.40%        7.83%        8.84%        8.80%   
 

 

 

 
           
Supplemental Data                                   

Net assets, end of period (000)

  $  1,344,876      $  1,527,307      $  1,705,422      $    446,847      $    435,955      $    405,697   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 506,000      $ 631,000      $ 723,000      $ 191,000      $ 181,000      $ 130,000   
 

 

 

 

Asset coverage, end of period $1,000 of bank borrowings

  $ 3,658      $ 3,419      $ 3,359      $ 3,340      $ 3,409      $ 4,121   
 

 

 

 

Portfolio turnover rate

    27%        57%        64%        77%        61%        87%   
 

 

 

 

 

  1   

Consolidated Financial Highlights.

 

  2   

Based on average shares outstanding.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

For financial reporting purposes, the market value of certain total return swaps were adjusted as of report date. Accordingly, the net asset value (“NAV”) per share and total return performance based on net asset value presented herein are different than the information previously published on August 31, 2015.

 

  5   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  6   

Aggregate total return.

 

  7   

Annualized.

 

  8   

Excludes expenses incurred indirectly as a result of investments in underlying funds of approximately 0.04% for the six months ending February 29, 2016.

 

  9   

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.34%, 1.34% and 0.97%, respectively.

 

  10  

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.50%, 1.50% and 1.12%, respectively.

 

  11  

For the year ended August 31, 2013, the total expense ratio after fees waived and paid indirectly and excluding interest expense, borrowing costs and income tax was 1.15%.

 

  12  

For the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.09%.

 

 

See Notes to Financial Statements.      
                
68    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Financial Highlights    BlackRock Income Trust, Inc. (BKT)

 

    Six Months Ended
February 29,
2016
(Unaudited)
    Year ended August 31,  
    2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 7.08      $ 7.27      $ 7.32      $ 7.94      $ 7.96      $ 7.76   
 

 

 

 

Net investment income1

    0.14        0.32        0.35        0.32        0.39        0.35   

Net realized and unrealized gain (loss)

    0.00 2      (0.11     0.03        (0.46     0.06        0.19   
 

 

 

 

Net increase (decrease) from investment operations

    0.14        0.21        0.38        (0.14     0.45        0.54   
 

 

 

 
Distributions:3            

From net investment income

    (0.19     (0.40     (0.43     (0.48     (0.27     (0.34

From net realized gain

                                (0.20       
 

 

 

 

Total distributions

    (0.19     (0.40     (0.43     (0.48     (0.47     (0.34
 

 

 

 

Net asset value, end of period

  $ 7.03      $ 7.08      $ 7.27      $ 7.32      $ 7.94      $ 7.96   
 

 

 

 

Market price, end of period

  $ 6.54      $ 6.30      $ 6.42      $ 6.40      $ 7.63      $ 7.18   
 

 

 

 
           
Total Return4                                    

Based on net asset value

    2.20% 5      3.56%        6.05%        (1.45 )%      6.24%        7.70%   
 

 

 

 

Based on market price

    6.84% 5      4.35%        7.12%        (10.34 )%      13.19%        8.47%   
 

 

 

 
           
Ratios to Average Net Assets                                   

Total expenses

    1.04% 6      0.99% 7      1.02% 7      1.00%        0.97%        1.06%   
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.04% 6      0.99% 7      1.02% 7      1.00%        0.97%        1.05%   
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

    0.89% 6      0.90% 7      0.96% 7      0.90%        0.90%        0.94%   
 

 

 

 

Net investment income

    4.13% 6      4.48%        4.74%        4.18%        4.86%        4.43%   
 

 

 

 
           
Supplemental Data                                   

Net assets, end of period (000)

  $  449,688      $  452,616      $  464,933      $  467,948      $  507,852      $  508,765   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 155,552      $ 173,695      $ 205,415      $ 148,344      $ 119,706      $ 233,676   
 

 

 

 

Portfolio turnover rate8

    85%        191%        256%        358%        487%        899%   
 

 

 

 

 

  1   

Based on average shares outstanding.

 

  2   

Amount is less than $0.005.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 0.99%, 0.99% and 0.89% for the year ended August 31, 2015 and 0.97%, 0.97% and 0.90% for the year ended August 31, 2014, respectively.

 

  8   

Includes MDRs. Additional information regarding portfolio turnover rate is as follows:

 

   

Six Months Ended
February 29,

2016

    Year Ended August 31,  
      2015     2014     2013     2012     2011  
           

Portfolio turnover (excluding MDRs)

    38%        78%        125%        196%        230%        387%   
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    69


Notes to Financial Statements (Unaudited)     

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually, a “Trust”:

 

Trust Name   Herein Referred To As     Organized     Diversification Classification  

BlackRock Core Bond Trust

    BHK        Delaware        Diversified   

BlackRock Corporate High Yield Fund, Inc.

    HYT        Maryland        Diversified   

BlackRock Income Trust, Inc.

    BKT        Maryland        Diversified   

The Boards of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Trustees.” The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Reorganizations: The Board and shareholders of BHK and the Board and shareholders of BlackRock Income Opportunity Trust, Inc. (“BNA” or the “BHK Target Fund”) approved the reorganization of the BHK Target Fund into BHK. As a result BHK acquired substantially all of the assets and assumed substantially all of the liabilities of the BHK Target Fund in exchange for an equal aggregate value of newly-issued Common Shares of BHK. The purpose of this transaction was to combine two funds managed by the Manager with the same or substantially similar (but not identical) investment objectives, investment policies, strategies, risks and restrictions. The reorganization was a tax-free event and was effective on November 10, 2014.

Each Common Shareholder of the Target Fund received Common Shares of BHK in an amount equal to the aggregate net asset value of such Common Shareholder’s Target Fund Common Shares, as determined at the close of business on November 7, 2014, less the costs of the Target Fund’s reorganization. Cash was distributed for any fractional shares.

The reorganization was accomplished by a tax-free exchange of Common Shares of BHK in the following amount and at the following conversion ratio:

 

Target Fund   Shares Prior to
Reorganization
     Conversion
Ratio
    

Shares of

BHK

 

BNA

    34,456,370         0.78050585         26,893,279   

The Target Fund’s net assets and composition of net assets on November 7, 2014, the valuation date of the reorganization, was as follows:

 

     BNA  

Net assets

  $ 399,906,040   

Paid-in capital

  $ 384,183,492   

Distributions in excess of net investment income

  $ (65,119

Accumulated net realized loss

  $ (14,090,276

Net unrealized appreciation (depreciation)

  $ 29,877,943   

For financial reporting purposes, assets received and shares issued by BHK were recorded at fair value. However, the cost basis of the investments received from BHK Target Fund was carried forward to align ongoing reporting of BHK’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The net assets of BHK before the acquisition were $402,115,685. The aggregate net assets of BHK immediately after the acquisition amounted to $802,021,725. The following key components of BNA prior to the reorganization were as follows:

 

Target Fund  

Fair Value of

Investments and
Derivative Financial
Instruments

    

Cost of

Investments

 

BNA

  $ 587,550,335       $ 557,681,213   

In connection with the reorganization, BHK’s investment advisory fee was reduced by 5 basis points, from 0.55% of BHK’s average weekly net assets to 0.50% of BHK’s average weekly net assets as defined in Note 6. In addition to this reduction, BHK’s contractual investment advisory fee waiver of 0.03%, as a percentage of average weekly net assets, was discontinued in connection with the reorganization.

Assuming the acquisition had been completed on September 1, 2014, the beginning of the fiscal reporting period of BHK, the pro forma results of operations for the year ended August 31, 2015, are as follows:

 

 

Net investment income/loss: $46,563,761

 

 

Net realized and change in unrealized gain/loss on investments: $(39,413,545)

 

 

Net increase/decrease in net assets resulting from operations: $7,150,216

 

                
70    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of BHK Target Fund that have been included in BHK’s Statement of Operations since November 10, 2014.

Reorganization costs incurred in connection with the reorganization were expensed by BHK.

Basis of Consolidation: The accompanying consolidated financial statements of HYT include the accounts of BLK HYT (Luxembourg) Investments, S.a.r.l., BLK HYV (Luxembourg) Investments, S.a.r.l., BLK COY (Luxembourg) Investments, S.a.r.l. and BLK CYE (Luxembourg) Investments, S.a.r.l. (the “Taxable Subsidiaries”), which are wholly owned taxable subsidiaries of HYT which hold shares of private Canadian companies, Laricina Energy Ltd. and Osum Oil Sands Corp. Such shares are held in the Taxable Subsidiaries in order to realize benefits under the Double Tax Avoidance Convention between Canada and Luxembourg, the result of which is gains on the sale of such shares will not be subject to capital gains taxes in Canada. Income earned on the investment held by the Taxable Subsidiary may be taxable to such subsidiary in Luxembourg. A tax provision, if any, is included in expenses in the Consolidated Statement of Operations for HYT. The net assets of the Taxable Subsidiary as of period end were $867,648 which is 0.1% of HYT’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to HYT.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Foreign Currency: Each Trust’s books and records are maintained in U.S. dollars. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Trust does not isolate changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Trust reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, forward foreign currency exchange contracts, options written, swaps and short sales) or certain borrowings (e.g., reverse repurchase transactions and treasury roll transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trust may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

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 date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date. Portions of return of capital distributions under U.S. GAAP may be taxed at ordinary income rates. The character of distributions is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, as measured on a tax basis, constitute a non-taxable return of capital. Realized net capital gains can be offset by capital losses carried forward from prior years. However, certain Trusts have capital loss carryforwards from pre-2012 tax years that offset realized net capital gains but do not offset current and accumulated earnings and profits. Consequently, if distributions in any tax year are less than the Trust’s current earnings and profits but greater than net investment income and net realized capital gains (taxable income), distributions in excess of taxable income are not treated as non-taxable return of capital, but rather may be taxable to shareholders at ordinary income rates. Under certain circumstances, taxable excess distributions could be significant.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    71


Notes to Financial Statements (continued)     

 

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in officer’s and trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standard: In April 2015, the Financial Accounting Standards Board issued “Fair Value Measurement: Disclosures for Investments in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent)” which eliminates the requirement to categorize investments within the fair value hierarchy when fair value is based on the NAV per share and no quoted market value is available. The new guidance also requires revised disclosures regarding these investments. As of February 29, 2016, certain investments of HYT were valued using NAV per share for fair value and have been excluded from the fair value hierarchy due to the adoption of this accounting standard.

Indemnifications: In the normal course of business, each Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective October 2015, the custodian is imposing fees on certain uninvested cash balances.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Trusts for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

 

Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official close 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 may be valued at the last available bid (long positions) or ask (short positions) price.

 

 

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Trusts’ net assets. Each business day, the Trusts use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of business on the NYSE, which follows the close of the local markets.

 

 

Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche.

 

                
72    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

 

 

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

 

 

To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services.

 

 

Financial futures contracts traded on exchanges are valued at their last sale price.

 

 

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

 

Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of business on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

 

 

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

 

 

Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Trusts’ pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

 

 

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes,

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    73


Notes to Financial Statements (continued)     

 

the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each Trust’s investments and derivative financial instruments has been included in the Schedules of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations are typically 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 will have the effect of shortening the maturity of the security. In addition, the Trusts may subsequently have to reinvest the proceeds at lower interest rates. 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.

For mortgage pass-through securities (the “Mortgage Assets”), there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”) include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), which are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. 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 a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”). The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, the Trusts’ initial investment in the IOs may not fully recoup.

 

                
74    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. The Trusts also may invest in stripped mortgage-backed securities that are privately issued.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or in the case of trust preferred securities, 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. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of the trust preferred securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stock: 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.

Warrants: Warrants entitle a Trust to purchase a specified 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 of the warrants, if any. If the price of the underlying stock does not rise above the exercise price before the warrant expires, the warrant generally expires without any value and a Trust will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. A Trust may invest in obligations of borrowers who are in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result to proceeds from the sale to not be readily available for a Trust to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a Trust’s investment policies.

When a Trust purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a Trust may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Trusts upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A Trust may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A Trust may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a Trust having a contractual relationship only with the lender, not with the borrower. A Trust has 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, a Trust generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A Trust may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a Trust assumes the credit risk of both the borrower and the lender that is selling the Participation. A Trust’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a Trust may

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    75


Notes to Financial Statements (continued)     

 

be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a Trust having a direct contractual relationship with the borrower, and a Trust may enforce compliance by the borrower with the terms of the loan agreement.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Trust may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Trust may be required to pay more at settlement than the security is worth. In addition, a Trust is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Trust assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trust’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a Trust may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.

In order to better define contractual rights and to secure rights that will help a Trust mitigate their counterparty risk, TBA commitments may be entered into by the Trusts under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a Trust and the counterparty. Cash collateral that has been pledged to cover the obligations of a Trust and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a Trust, if any, is noted in the Schedules of Investments. Typically, a Trust is permitted to sell, repledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a Trust are not fully collateralized, contractually or otherwise, a Trust bears the risk of loss from counterparty non-performance.

Mortgage Dollar Roll Transactions: Certain Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a Trust is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated 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 a Trust is required to purchase may decline below the agreed upon repurchase price of those securities.

Borrowed Bond Agreements: Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a Trust borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a Trust at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a Trust and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A Trust may also experience delays in gaining access to the collateral.

Commitments: Commitments are agreements to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Such agreements may obligate HYT to make future cash payments. As of February 29, 2016, HYT had outstanding commitments of $67,300,000 in connection with the Chapter 11 cases of Energy Future Holdings Corp., et al. The commitment is not included in the net assets of HYT as of February 29, 2016.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a Trust sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A Trust receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a Trust continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Trust may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a Trust suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a Trust would still be required to pay the full repurchase price. Further, a Trust remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a Trust would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

 

                
76    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a Trust to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a Trust may receive a fee for use of the security by the counterparty, which may result in interest income to a Trust.

Treasury Roll Transactions: In a treasury roll transaction, a Trust sells a Treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. A Trust receives cash from the sale of the Treasury security to use for other investment purposes. The difference between the sale price and repurchase price represents net interest income or net interest expense reflective of an agreed upon rate between a Trust and the counterparty over the term of the borrowing. For U.S. GAAP purposes, a treasury roll transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, interest income from the Treasury security and the related interest expense on the secured borrowing is recorded by a Trust on an accrual basis. A Trust will benefit from the transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense incurred by a Trust. If the interest expense exceeds the income earned, a Trust’s net investment income and dividends to shareholders may be adversely impacted. Treasury roll transactions involve leverage risk. If a Trust suffers a loss on its investment of the transaction proceeds from a Treasury roll transaction, a Trust would be required to pay the full repurchase price. Further, a Trust remains subject to the risk that the market value of the Treasury securities that a Trust is required to repurchase may decline below the agreed upon repurchase price of those securities. In such cases, a Trust would need to return a portion of the cash received from the transaction or provide additional Treasury securities to the counterparty.

For the six months ended February 29, 2016, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rates were as follows:

 

    

Average

Amount

Outstanding

    

Daily
Weighted

Average

Interest Rate

 

BHK

  $ 298,288,280         0.41%   

BKT

  $ 160,541,671         0.44%   

Borrowed bond agreements and reverse repurchase transactions are entered into by a Trust under Master Repurchase Agreements (each, an “MRA”), which permit a Trust, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Trust. With borrowed bond agreements and reverse repurchase transactions, typically a Trust and the counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Trust receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Trust upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Trust is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of period end, the following table is a summary of the Trusts’ open borrowed bond agreements and reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

 

BHK                                    
Counterparty   Reverse Repurchase
Agreements
    

Fair Value of Non-cash

Collateral Pledged
Including

Accrued Interest1

     Cash Collateral
Pledged
     Net Amount       

Barclays Capital, Inc.

  $ 12,939,355       $ (12,939,355                  

BNP Paribas Securities Corp.

    141,085,600         (141,085,600                  

Credit Suisse Securities (USA) LLC

    5,026,298         (5,026,298                  

HSBC Securities (USA), Inc.

    43,321,821         (43,321,821                  

Merrill Lynch, Pierce, Fenner & Smith, Inc

    2,156,579         (2,156,579                  

RBC Capital Markets, LLC

    36,281,590         (36,281,590                  

UBS Ltd.

    36,830,967         (36,830,967                  
 

 

 

Total

  $ 277,642,210       $ (277,642,210                  
 

 

 

 

  1   

Net collateral with a value of $285,103,010 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    77


Notes to Financial Statements (continued)     

 

 

BKT                                                                           
Counterparty        Borrowed
Bonds
Agreements1
    Reverse
Repurchase
Agreements
    Borrowed
Bonds at
Value
including
Accrued
Interest2
    Net Amount
before Collateral
    Non-cash
Collateral
Received
    Cash
Collateral
Received
    Non-cash
Collateral
Pledged
    Cash
Collateral
Pledged
    Net  Collateral
(Received)/
Pledged3
    Net Exposure
Due (to)/from
Counterparty3
 

BNP Paribas Securities Corp

           $ (2,883,910          $ (2,883,910                 $ 2,883,910             $ 2,883,910          

Credit Suisse Securities (USA) LLC

    $ 868,000        (19,679,149   $ (955,934     (19,767,083          $ (231     19,767,314               19,767,083          

HSBC Securities (USA) LLC

             (132,989,399            (132,989,399                   132,989,399               132,989,399          
   

 

 

 

Total

    $ 868,000      $ (155,552,458   $ (955,934   $ (155,640,392          $ (231   $ 155,640,623             $ 155,640,392          
   

 

 

 

 

  1   

Included in Investments at value-unaffiliated in the Statements of Assets and Liabilities.

 

  2   

Includes accrued interest on borrowed bonds in the amount of $7,413 which is shown as interest expense payable in the Statements of Assets and Liabilities.

 

  3   

Net collateral with a value of $160,504,646 has been pledged in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a Trust’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Trust’s obligation to repurchase the securities.

Short Sale Transactions: In short sale transactions, a Trust sells a security it does not hold in anticipation of a decline in the market price of that security. When a Trust makes a short sale, it will borrow the security sold short (borrowed bond) and deliver the security to the counterparty to which it sold the security short. An amount equal to the proceeds received by a Trust is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. A Trust is required to repay the counterparty interest on the security sold short, which, if applicable, is shown as interest expense in the Statements of Operations. A Trust is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain is limited to the price at which a Trust sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that a Trust will be able to close out a short position at a particular time or at an acceptable price.

5. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage economically their exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: Certain Trusts invest in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. 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 variation margin. Variation margin is recorded by the Trusts as unrealized appreciation (depreciation) and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Forward Foreign Currency Exchange Contracts: Certain Trusts enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). A forward 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.

 

                
78    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

Forward foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currencies in which some of the investments held by the Trusts are denominated. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded by the Trusts as an unrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: Certain Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments including equity risk, interest rate risk and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Trusts purchase (write) an option, an amount equal to the premium paid (received) by the Trusts are reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Trusts enter into a closing transaction), the Trusts realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Trusts write a call option, such option is “covered,” meaning that the Trusts hold the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

Options on swaps (“swaptions”) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swaptions is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

Certain Trusts also purchase or sell listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold (receipts from the foreign currency purchased). Such transactions may be effected with respect to hedges on non-U.S. dollar denominated instruments owned by the Trusts but not yet delivered, or committed or anticipated to be purchased by the Trusts.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Trusts may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: Certain Trusts enter into swap agreements in which the Trusts and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).

For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the OTC swap. Payments received or made by the Trusts for OTC swaps are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Trusts will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trusts’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Trusts’ counterparty on the swap agreement becomes the CCP. The Trusts are required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statements of Operations.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    79


Notes to Financial Statements (continued)     

 

 

 

Credit default swaps — Certain Trusts enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Trusts may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. As a buyer, if an underlying credit event occurs, the Trusts will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Trusts will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

 

Interest rate swaps — Certain Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex swaps, the notional principal amount may decline (or amortize) over time.

 

 

Forward interest rate swaps — Certain Trusts enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Trust and the counterparty agree to make either periodic net payments beginning on a specified future effective date or a net payment at termination, unless terminated earlier.

 

 

Total return swaps — Certain Trusts enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trusts will receive a payment from or make a payment to the counterparty.

Master Netting Arrangements: In order to better define the Trusts’ contractual rights and to secure rights that will help them mitigate their counterparty risk, the Trusts may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Trust may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Trusts’ net assets decline by a stated percentage or the Trusts fail to meet the terms of their ISDA Master Agreements. The result would cause the Trusts to accelerate payment of any net liability owed to the counterparty.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Trusts and the counterparty.

Cash collateral that has been pledged to cover obligations of the Trusts and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Trusts, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (typically either $250,000 or $500,000) before a transfer is required, which is determined at the close of business of the Trusts. Any additional required collateral is delivered to/pledged by the Trusts on the next business day. Typically, the Trusts’ counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Trusts generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, the Trusts may pay interest pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Trusts from their counterparties are not fully collateralized, the Trusts bear the risk of loss from counterparty non-performance. Likewise, to the extent the Trusts have delivered collateral to a counterparty and stand ready

 

                
80    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

to perform under the terms of their agreement with such counterparty, the Trusts bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Trusts do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory Fees

Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services and administration services for BHK and HYT. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

Each Trust pays the Manager a monthly fee, which is determined by calculating a percentage of a Trust’s average daily net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage, based on the following annual rates:

 

     BHK      HYT      BKT  

Investment advisory fees

    0.50%         0.60%         0.65%   

BKT has an Administration Agreement with the Manager. The administration fee paid to the Manager is computed weekly and payable monthly based on an annual rate of 0.15% of BKT’s average net assets.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. These amounts are included in fees waived by the Manager in the Statements of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investments in other affiliated investment companies, if any. For the six months ended February 29, 2016, the amounts waived were as follows:

 

     BHK      HYT      BKT  

Amounts waived

  $ 3,810       $ 428       $ 2,962   

The Manager provides investment management and other services to the Taxable Subsidiaries. The Manager does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, HYT pays the Manager based on HYT’s net assets, which includes the assets of the Taxable Subsidiaries.

Officers and Trustees Fees

Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

Distribution Fees

HYT has entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of HYT’s Common Shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, HYT will compensate BRIL with respect to sales of Common Shares at a commission rate of 1.00% of the gross proceeds of the sale of HYT’s Common Shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL.

Other Transactions

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment advisor, common officers, or common trustees. For the six months ended February 29, 2016, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act for HYT are $1,744,815 and $532,987, respectively.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    81


Notes to Financial Statements (continued)     

 

7. Purchases and Sales:

For the six months ended February 29, 2016, purchases and sales of investments including paydowns, mortgage dollar rolls and TBA transactions and excluding short-term securities were as follows:

 

Purchases                       
     BHK      HYT      BKT  

Non-U.S. Government Securities

  $ 143,948,582       $ 535,727,056       $ 480,867,354   

U.S. Government Securities

    13,392,722                 35,339,014   
 

 

 

 

Total Purchases

  $ 157,341,304       $ 535,727,056       $ 516,206,368   
 

 

 

 
Sales                       
     BHK      HYT      BKT  

Total Sales

  $ 190,156,736       $ 658,292,065       $ 530,221,873   
 

 

 

 

For the six months ended February 29, 2016, purchases and sales related to mortgage dollar rolls for BKT were $282,417,226 and $282,506,393, respectively.

8. Income Tax Information:

It is the Trusts’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required, except with respect to any taxes related to the Taxable Subsidiaries.

The Trusts file U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Trusts’ U.S. federal tax returns remains open for each of the four years ended August 31, 2015. The statutes of limitations on the Trusts’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of February 29, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

As of February 29, 2016, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires   BHK      HYT      BKT  

No expiration date1

          $ 21,747,079       $ 32,236,680   

2016

            4,056,597           

2017

  $ 5,617,079         95,246,388           

2018

            55,665,607           
 

 

 

 

Total

  $ 5,617,079       $ 176,715,671       $ 32,236,680   
 

 

 

 

 

  1   

Must be utilized prior to losses subject to expiration.

As of February 29, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

     BHK      HYT      BKT  

Tax cost

  $ 1,009,923,476       $ 2,019,928,751       $ 624,744,535   
 

 

 

 

Gross unrealized appreciation

  $ 40,839,140       $ 25,388,551       $ 30,154,639   

Gross unrealized depreciation

    (34,039,617      (222,012,345      (22,244,303
 

 

 

 

Net unrealized appreciation (depreciation)

  $ 6,799,523       $ (196,623,794    $ 7,910,336   
 

 

 

 

9. Bank Borrowings:

HYT is party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to HYT. As of period end, HYT has not received any notice to terminate. HYT has granted a security interest in substantially all of their assets to SSB.

The SSB Agreement allows for the following maximum commitment of $798,000,000 for HYT.

Advances will be made by SSB to the HYT, at HYT’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

 

 

                
82    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Notes to Financial Statements (continued)     

 

In addition, HYT paid a facility fee and may pay a commitment fee (based on the daily unused portion of the commitments). The commitment fees are waived if HYT meet certain conditions. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to HYT as of February 29, 2016 are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

HYT 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%.

For the six months ended February 29, 2016, the average amount of bank borrowings and the daily weighted average interest rates for HYT with loans under the revolving credit agreements were $579,956,044 and 1.04%.

10. Principal Risks:

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Fund’s ability to buy or sell bonds. As a result, a Fund may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Fund needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.

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 to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers of securities owned by the Trusts. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

Counterparty Credit Risk: Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

The Trusts’ risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Trusts.

For OTC options purchased, the Trusts bear the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Trusts should the counterparty fail to perform under the contracts. Options written by the Trusts do not typically give rise to counterparty credit risk, as options written generally obligate the Trusts, and not the counterparty, to perform, though the Trusts may be exposed to counterparty credit risk with respect to options written to the extent the Trusts deposit collateral with its counterparty to a written option.

With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Trusts do not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    83


Notes to Financial Statements (concluded)     

 

Concentration Risk: Certain Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

Certain Trusts may invest in municipal bonds below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.

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. Investment percentages in these securities are presented in the Schedules of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

11. Capital Share Transactions:

HYT filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing it is issue an additional 10,425,000 Common Shares through an equity shelf program (a “Shelf Offering”). Under the Shelf Offering, HYT, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above HYT’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). HYT has not issued any Common Shares through the Shelf Offering. Please see Additional Information — Shelf Offering Program for additional information about the Shelf Offering. Costs incurred by HYT in connection with the Shelf Offering are recorded as a deferred charge and amortized over 12 months.

BHK is authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. BKT is authorized to issue 200 million shares, par value $0.01, all of which were initially classified as Common Shares. HYT is authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued shares to Preferred Shares without approval of Common Shareholders.

For the six months ended February 29, 2016, shares issued and outstanding remained constant for BHK, HYT and BKT. For the year ended August 31, 2015, shares issued and outstanding increased by 26,893,279 for BHK due to the reorganization for BHK and remained constant for HYT and BKT.

12. Contingencies:

In May 2015, the Motors Liquidation Company Avoidance Action Trust, as the Trust Administrator and Trustee of the General Motors bankruptcy estate, began serving amended complaints on defendants, which include former holders of certain General Motors debt (the “Debt”), in an adversary proceeding in the United States Bankruptcy Court for the Southern District of New York. In addition to HYT, the lawsuit also names over five hundred other institutional investors as defendants, some of which are also managed by BlackRock Advisors, LLC or its affiliates. The plaintiffs are seeking an order that HYT and other defendants return proceeds received in 2009 in full payment of the principal and interest on the Debt. The holders received a full repayment of a term loan pursuant to a court order in the General Motors bankruptcy proceeding with the understanding that the Debt was fully secured at the time of repayment. The plaintiffs contend that HYT and other defendants were not secured creditors at the time of the 2009 payments and therefore not entitled to the payments in full. HYT cannot predict the outcome of the lawsuit, or the effect, if any, on HYT’s net asset value. As such, no liability for litigation related to this matter is reflected in the financial statements. Management cannot determine the amount of loss that will be realized by HYT but does not expect the loss to exceed the payment received in 2009. The amount of the proceeds received in 2009 is $3,528,671.

13. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Trusts paid a net investment income dividend in the following amounts per share on March 31, 2016 to shareholders of record on March 15, 2016:

 

    

Common
Dividend

Per Share

 

BHK

  $ 0.0710   

HYT

  $ 0.0700   

BKT

  $ 0.0265   

Additionally, the Trusts declared a net investment income dividend on April 1, 2016 payable to Common Shareholders of record on April 15, 2016 for the same amounts noted above.

 

                
84    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Officers and Trustees     

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chair of the Board, Chair of the Audit Committee and Trustee

Michael J. Castellano, Trustee and Member of the Audit Committee

Frank J. Fabozzi, Trustee and Member of the Audit Committee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee and Member of the Audit Committee

Barbara G. Novick, Interested Trustee

John M. Perlowski, Interested Trustee, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Effective December 31, 2015, Kathleen F. Feldstein and James T. Flynn retired as Trustees of the Trusts.

Effective March 1, 2016, Catherine A. Lynch was appointed to serve as a Trustee and a Member of the Audit Committee of the Trusts.

Effective April 1, 2016, Cynthia L. Egan was appointed to serve as a Trustee of the Trusts.

Effective April 29, 2016, Ron Sion and Matthew Kraeger became portfolio managers of BKT. The other portfolio managers are Akiva Dickstein and Thomas Musmanno.

 

       

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Accounting Agent and Custodian

State Street Bank and
Trust Company

Boston, MA 02110

 

Distributor

BlackRock Investments,  LLC1
New York, NY, 10022

  Address of the Trusts 100 Bellevue Parkway Wilmington, DE 19809
Transfer Agent
Computershare Trust
Company, N.A.
Canton, MA 02021
 

Legal Counsel

Skadden, Arps, Slate,

Meagher & Flom LLP

Boston, MA 02116

 

Independent Registered
Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116

 

 

  1  

For HYT.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    85


Additional Information     

 

Trust Certification

The Trusts are listed for trading on the 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 its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

BHK and BKT do not make available copies of their respective Statements of Additional Information because each of BHK and BKT’s shares are not continuously offered, which means that BHK and BKT’s respective Statements of Additional Information have not been updated after the completion of BHK and BKT’s respective offerings and the information contained in BHK and BKT’s Statements of Additional Information may have become outdated.

HYT’s Statement of Additional Information includes additional information about its Board and is available, without charge upon request by calling (800) 882-0052.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charter or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the Trusts’ electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

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 upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

 

                
86    SEMI-ANNUAL REPORT    FEBRUARY 29, 2016   


Additional Information (concluded)     

 

 

General Information (concluded)      

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052; and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

Shelf Offering Program

From time-to-time, each Trust may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Trust may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Trust’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Trust to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market. Each Trust, other than HYT, has not filed a registration statement with respect to any Shelf Offerings. This report is not an offer to sell Trust Common Shares and is not a solicitation of an offer to buy Trust Common Shares. If a Trust files a registration statement with respect to any Shelf Offering, the prospectus contained therein will contain more complete information about the Trust and should be read carefully before investing.

HYT has filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus are not offers to sell HYT Common Shares or solicitations of an offer to buy HYT Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus contains important information about HYT, including its investment objectives, risks, charges and expenses. Investors are urged to read the prospectus of HYT carefully and in its entirety before investing. A copy of the final prospectus for HYT can be obtained from BlackRock at http://www.blackrock.com.

 

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.

 

                
   SEMI-ANNUAL REPORT    FEBRUARY 29, 2016    87


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

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Item 2 –   Code of Ethics – Not Applicable to this semi-annual report
Item 3 –   Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 –   Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 –   Audit Committee of Listed Registrants – Not Applicable to this semi-annual report
Item 6 –   Investments
  (a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
  (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 –   Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 –   Portfolio Managers of Closed-End Management Investment Companies
 

(a) Not Applicable to this semi-annual report

 

(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

Item 9 –   Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
Item 10 –   Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 –   Controls and Procedures
  (a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by
Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
  (b) – There were no changes in the registrant’s internal control over financial reporting (as defined in
Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 –   Exhibits attached hereto
  (a)(1) – Code of Ethics – Not Applicable to this semi-annual report
  (a)(2) – Certifications – Attached hereto
  (a)(3) – Not Applicable
  (b) – Certifications – Attached hereto

 

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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Core Bond Trust

 

By:    

/s/ John M. Perlowski

 
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of 
  BlackRock Core Bond Trust
Date: May 2, 2016  

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:    

/s/ John M. Perlowski

 
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of 
  BlackRock Core Bond Trust
Date: May 2, 2016  
By:    

/s/ Neal J. Andrews

 
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of 
  BlackRock Core Bond Trust
Date: May 2, 2016  

 

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