UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

 

Investment Company Act file number 811-10543

 

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: 08/31/2013

 

Date of reporting period: 11/30/2012

 

Item 1 – Schedule of Investments

 
  

Schedule of Investments November 30, 2012 (Unaudited) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

    Par
(000)		   Value  
Asset-Backed Securities  
 
Asset-Backed Securities — 5.7%  
321 Henderson Receivables I LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (a) USD 740 $ 788,013  
AH Mortgage Advance Co. Ltd., Series SART-3, Class 1A1, 2.98%, 3/13/43 (a)   630   633,212  
AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17   400   423,500  
CarMax Auto Owner Trust, Series 2012-1:  
  Class B, 1.76%, 8/15/17   210   215,095  
  Class C, 2.20%, 10/16/17   125   128,170  
  Class D, 3.09%, 8/15/18   155   159,102  
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25   1,105   1,199,899  
Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.36%, 1/25/37 (b)   1,046   903,503  
Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a)   1,980   1,996,240  
DT Auto Owner, Trust Class C, (a):  
 

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

   1,500   1,500,717  
 

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

   255   258,213  
Ford Credit Floorplan Master Owner Trust:  
  Series 2012-1, Class B, 1.11%, 1/15/16 (b)   180   180,409  
  Series 2012-1, Class C, 1.71%, 1/15/16 (b)   475   477,691  
  Series 2012-1, Class D, 2.31%, 1/15/16 (b)   445   447,512  
  Series 2012-2, Class B, 2.32%, 1/15/19   245   252,435  
  Series 2012-2, Class C, 2.86%, 1/15/19   105   109,049  
  Series 2012-2, Class D, 3.50%, 1/15/19   200   207,578  
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.32%, 7/25/37 (b)   51   50,542  
Nelnet Student Loan Trust (b):  
  Series 2006-1, Class A5, 0.42%, 8/23/27   525   499,480  
  Series 2008-3, Class A4, 1.96%, 11/25/24   615   645,259  
PFS Financing Corp., Series 2012-AA, Class A, 1.41%, 2/15/16 (a)(b)   480   483,993  
    Par
(000)		   Value  
Asset-Backed Securities  
 
Asset-Backed Securities (concluded)  
Santander Consumer Acquired Receivables Trust (a):  
  Series 2011-S1A, Class B, 1.66%, 8/15/16 USD 488 $ 492,270  
  Series 2011-S1A, Class C, 2.01%, 8/15/16   337   338,955  
  Series 2011-S1A, Class D, 3.15%, 8/15/16   351   353,884  
  Series 2011-WO, Class C, 3.19%, 10/15/15   580   595,392  
Santander Drive Auto Receivables Trust:  
  Series 2010-2, Class B, 2.24%, 12/15/14   860   866,155  
  Series 2010-2, Class C, 3.89%, 7/17/17   1,010   1,046,265  
  Series 2010-B, Class B, 2.10%, 9/15/14 (a)   700   702,524  
  Series 2010-B, Class C, 3.02%, 10/17/16 (a)   740   754,298  
  Series 2011-1, Class D, 4.01%, 2/15/17   940   983,688  
  Series 2011-S1A, Class B, 1.48%, 5/15/17 (a)   231   231,552  
  Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)   251   252,116  
  Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)   596   601,019  
  Series 2012-1, Class B, 2.72%, 5/16/16   240   245,593  
  Series 2012-1, Class C, 3.78%, 11/15/17   325   340,429  
SLM Student Loan Trust:  
  Series 2004-B, Class A2, 0.59%, 6/15/21 (b)   181   176,764  
  Series 2008-5, Class A3, 1.62%, 1/25/18 (b)   515   525,143  
  Series 2008-5, Class A4, 2.02%, 7/25/23 (b)   615   648,505  
  Series 2012-A, Class A1, 1.61%, 8/15/25 (a)(b)   314   317,211  
  Series 2012-A, Class A2, 3.83%, 1/17/45 (a)   345   373,142  
Small Business Administration, Class 1:  
  Series 2003-P10B, 5.14%, 8/10/13   110   113,121  
  Series 2004-P10B, 4.75%, 8/10/14   99   101,923  
Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32   1,276   1,255,212  
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22   1,180   1,202,490  
  24,077,263  
 
                         
BLACKROCK CORE BOND TRUSTNOVEMBER 30, 20121
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
Asset-Backed Securities  
 
Interest Only Asset-Backed Securities — 0.2%  

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

 USD 3,737 $ 293,129  
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29 (a)   5,754   436,969  
  730,098  
 
Total Asset-Backed Securities – 5.9%   24,807,361  

 

  
   
Shares		      
Common Stocks (c)  
 
Software — 0.0%  
Bankruptcy Management Solutions, Inc.   135   3  

 

  
    Par
(000)		      
Corporate Bonds  
 
Aerospace & Defense — 0.6%  
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 USD 260   281,125  
United Technologies Corp.:  
  4.88%, 5/01/15 (d)   1,125   1,236,782  
  6.13%, 7/15/38   700   949,419  
  2,467,326  
 
Airlines — 0.6%  
Continental Airlines, Inc. Pass-Through Trust, Series 2010-1, Class B, 6.00%, 7/12/20   622   635,494  
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15   1,673   1,739,920  
  2,375,414  
 
Auto Components — 1.0%  
Icahn Enterprises LP (b)(e):  
  4.00%, 8/15/13   1,455   1,464,166  
  4.00%, 8/15/13 (a)   2,900   2,918,270  
  4,382,436  
 
Beverages — 0.1%  
Crown European Holdings SA, 7.13%, 8/15/18 (a) EUR 287   410,584  
 
Building Products — 0.1%  
Momentive Performance Materials, Inc., 8.88%, 10/15/20 (a) USD 255   253,087  
 
    Par
(000)		   Value  
Corporate Bonds  
Capital Markets — 4.7%  
CDP Financial, Inc., 5.60%, 11/25/39 (a)(d) USD 2,935 $ 3,739,833  
E*Trade Financial Corp., 12.50%, 11/30/17   1,570   1,766,800  
The Goldman Sachs Group, Inc.:  
  5.38%, 3/15/20   1,220   1,397,306  
  5.25%, 7/27/21 (d)   3,165   3,619,095  
  5.75%, 1/24/22 (d)   1,800   2,136,569  
Morgan Stanley:  
  2.81%, 5/14/13 (b)   1,890   1,905,848  
  4.20%, 11/20/14   490   512,526  
  4.00%, 7/24/15   410   428,878  
  6.25%, 8/28/17   1,930   2,173,610  
Murray Street Investment Trust I, 4.65%, 3/09/17   1,650   1,771,460  
  19,451,925  
 
Chemicals — 1.0%  
The Dow Chemical Co., 4.13%, 11/15/21   350   381,173  
Huntsman International LLC, 4.88%, 11/15/20 (a)   727   719,730  
Nufarm Australia Ltd., 6.38%, 10/15/19 (a)   245   253,575  
Rockwood Specialties Group, Inc., 4.63%, 10/15/20   1,390   1,421,275  
Tronox Finance LLC, 6.38%, 8/15/20 (a)   1,285   1,265,725  
  4,041,478  
 
Commercial Banks — 4.0%  
CIT Group, Inc.:  
  5.38%, 5/15/20   1,650   1,761,375  
  5.00%, 8/15/22   360   377,448  
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands:  
  3.88%, 2/08/22 (d)   1,390   1,509,421  
  3.95%, 11/09/22   1,500   1,520,166  
Depfa ACS Bank, 5.13%, 3/16/37 (a)   3,775   2,968,611  
Eksportfinans ASA, 5.50%, 6/26/17   950   998,925  
HSBC Bank Brasil SA - Banco Multiplo, 4.00%, 5/11/16 (a)(d)   1,400   1,443,750  
HSBC Bank Plc, 3.10%, 5/24/16 (a)(d)   700   744,531  
HSBC Holdings Plc, 6.10%, 1/14/42 (d)   305   407,474  
Wachovia Corp., 5.25%, 8/01/14 (d)   3,425   3,669,240  
Wells Fargo & Co., 3.50%, 3/08/22 (d)   1,390   1,497,533  
  16,898,474  
 
                   
BLACKROCK CORE BOND TRUSTNOVEMBER 30, 20122
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
Corporate Bonds  
Commercial Services & Supplies — 0.4%  
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a) USD 246 $ 257,070  
Clean Harbors, Inc., 5.25%, 8/01/20   391   401,752  
HDTFS, Inc. (a):  
  5.88%, 10/15/20   305   314,913  
  6.25%, 10/15/22   385   398,956  
Mobile Mini, Inc., 7.88%, 12/01/20   320   347,600  
  1,720,291  
 
Communications Equipment — 1.2%  
ADC Telecommunications, Inc., 3.50%, 7/15/15 (e)   4,330   4,332,165  
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20   530   579,025  
  4,911,190  
 
Computers & Peripherals — 0.0%  
NCR Corp., 5.00%, 7/15/22 (a)   120   121,500  
 
Construction & Engineering — 0.3%  
ABB Finance USA, Inc., 4.38%, 5/08/42   192   214,742  
URS Corp., 5.00%, 4/01/22 (a)   975   1,014,212  
  1,228,954  
 
Construction Materials — 0.5%  
HD Supply, Inc. (a):  
  8.13%, 4/15/19   570   642,675  
  11.50%, 7/15/20   1,030   1,125,275  
Lafarge SA, 7.13%, 7/15/36   135   137,700  
  1,905,650  
 
Consumer Finance — 1.0%  
Discover Financial Services, 3.85%, 11/21/22 (a)   250   251,935  
Ford Motor Credit Co. LLC:  
  8.13%, 1/15/20   1,265   1,607,637  
  4.25%, 9/20/22   800   830,766  
SLM Corp.:  
  6.25%, 1/25/16   661   717,185  
  Series A, 0.62%, 1/27/14 (b)   550   541,885  
Toll Brothers Finance Corp., 5.88%, 2/15/22   345   391,125  
  4,340,533  
 
Containers & Packaging — 0.9%  
Ardagh Packaging Finance Plc (a):  
  7.38%, 10/15/17 EUR 425   590,320  
  7.38%, 10/15/17 USD 200   217,750  
Sealed Air Corp., 6.50%, 12/01/20 (a)   775   809,875  
Smurfit Kappa Acquisitions (a):  
  7.25%, 11/15/17 EUR 725   1,013,617  
  4.88%, 9/15/18 USD 410   413,075  
    Par
(000)		   Value  
Corporate Bonds  
Containers & Packaging (concluded)  
Smurfit Kappa Acquisitions (concluded) (a):  
  7.75%, 11/15/19 EUR 410 $ 588,654  
  3,633,291  
 
Diversified Consumer Services — 1.2%  
313 Group, Inc., 6.38%, 12/01/19 (a) USD 636   626,460  
Service Corp. International, 4.50%, 11/15/20   1,243   1,258,537  
The Unique Pub Finance Co. Plc:  
  First Lein Series A4, 5.66%, 6/30/27 GBP 1,039   1,448,232  
  Second Lein Series M, 7.40%, 3/28/24 459   584,633  
  Third Lein Series N, 6.46%, 3/30/32 1,195   1,177,461  
  5,095,323  
 
Diversified Financial Services — 8.9%  
Aircastle Ltd., 6.25%, 12/01/19 (a) USD 708   718,620  
Ally Financial, Inc.:  
  8.30%, 2/12/15   1,500   1,676,250  
  5.50%, 2/15/17   1,500   1,597,500  
  6.25%, 12/01/17   160   176,726  
  8.00%, 3/15/20   560   688,800  
  8.00%, 11/01/31   300   381,000  
Bank of America Corp., 5.63%, 7/01/20 (d)   1,100   1,298,678  
Capital One Financial Corp., 4.75%, 7/15/21   960   1,109,803  
Citigroup, Inc.:  
  5.00%, 9/15/14   285   300,108  
  4.59%, 12/15/15 (d)   6,390   6,987,248  
General Electric Capital Corp. (d):  
  6.15%, 8/07/37   2,150   2,690,142  
  6.88%, 1/10/39   135   183,165  
JPMorgan Chase & Co.:  
  7.90% (b)(f)   3,500   3,953,950  
  3.70%, 1/20/15 (d)   3,425   3,609,864  
  6.30%, 4/23/19 (d)   2,000   2,471,564  
JPMorgan Chase Bank NA, Series BKNT, 6.00%, 10/01/17 (d)   2,050   2,427,897  
Moody's Corp., 4.50%, 9/01/22   900   962,655  
Reynolds Group Issuer, Inc.:  
  7.75%, 10/15/16 EUR 550   740,338  
  7.88%, 8/15/19 USD 560   616,000  
  5.75%, 10/15/20 (a)   1,000   1,022,500  
  6.88%, 2/15/21   680   732,700  
Spirit Issuer Plc, 5.86%, 12/28/21 GBP GBP 1,620   2,361,891  
WMG Acquisition Corp., 11.50%, 10/01/18 USD 562   635,060  
  37,342,459  
 
                   

BLACKROCK CORE BOND TRUSTNOVEMBER 30, 20123
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

  Par
(000)		 Value  
Corporate Bonds  
Diversified Telecommunication Services — 2.2%  
Level 3 Financing, Inc.:  
  8.13%, 7/01/19 USD 698 $ 746,860  
  8.63%, 7/15/20   650   706,875  
Telecom Italia Capital SA:  
  4.95%, 9/30/14   1,075   1,115,312  
  6.00%, 9/30/34   1,550   1,429,875  
Verizon Communications, Inc.:  
  3.50%, 11/01/21   500   549,922  
  6.40%, 2/15/38 (d)   3,483   4,720,343  
Windstream Corp., 7.88%, 11/01/17 40   44,300  
  9,313,487  
 
Electric Utilities — 6.3%  
The Cleveland Electric Illuminating Co.:  
  8.88%, 11/15/18   121   162,543  
  5.95%, 12/15/36   217   251,330  
CMS Energy Corp., 5.05%, 3/15/22   915   1,016,029  
Duke Energy Carolinas LLC:  
  6.10%, 6/01/37   315   400,900  
  6.00%, 1/15/38 (d)   825   1,094,376  
  4.25%, 12/15/41 (d)   375   398,358  
E.ON International Finance BV, 6.65%, 4/30/38 (a)   1,525   2,116,988  
EDF SA, 5.60%, 1/27/40 (a)(d)   1,400   1,630,142  
Florida Power Corp. (d):  
  6.35%, 9/15/37   1,325   1,814,149  
  6.40%, 6/15/38   430   590,698  
Hydro-Quebec (d):  
  8.40%, 1/15/22   730   1,056,290  
  8.05%, 7/07/24   1,900   2,820,157  
  9.40%, 2/01/21   390   582,777  
Jersey Central Power & Light Co., 7.35%, 2/01/19   245   317,978  
Nisource Finance Corp.:  
  6.40%, 3/15/18   280   337,928  
  5.25%, 2/15/43   500   536,164  
Ohio Power Co., Series D, 6.60%, 3/01/33   1,500   2,014,743  
PacifiCorp., 6.25%, 10/15/37 (d)   575   784,288  
Public Service Co. of Colorado, 6.25%, 9/01/37 (d)   1,200   1,683,251  
Southern California Edison Co.:  
  5.63%, 2/01/36   625   806,409  
  Series 08-A, 5.95%, 2/01/38 (d)   1,075   1,460,065  
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14 EUR 1,000   1,313,108  
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 USD 2,000   2,680,968  
  25,869,639  
 
Electrical Equipment — 0.1%  
GrafTech International Ltd., 6.38%, 11/15/20 (a)   580   597,400  
 
  Par
(000)		 Value  
Corporate Bonds  
Energy Equipment & Services — 2.8%  
Calfrac Holdings LP, 7.50%, 12/01/20 (a)(d) USD 565 $ 553,700  
Ensco Plc:  
  3.25%, 3/15/16   160   170,600  
  4.70%, 3/15/21   1,745   1,986,173  
EOG Resources, Inc., 2.63%, 3/15/23 1,902   1,930,998  
FTS International Services LLC/FTS International Services, Inc., 8.13%, 11/15/18 (a)   807   831,210  
Noble Holding International Ltd., 5.25%, 3/15/42   350   379,833  
Peabody Energy Corp., 6.25%, 11/15/21   2,600   2,697,500  
Seadrill Ltd., 5.63%, 9/15/17 (a)   1,940   1,940,000  
Transocean, Inc.:  
  5.05%, 12/15/16   850   946,249  
  6.50%, 11/15/20   350   421,566  
  11,857,829  
 
Food Products — 1.4%  
Darling International, Inc., 8.50%, 12/15/18   335   383,994  
Kraft Foods Group, Inc. (a):  
  5.38%, 2/10/20   1,570   1,899,833  
  5.00%, 6/04/42   997   1,118,429  
Mondelez International, Inc., 5.38%, 2/10/20   1,430   1,739,964  
Post Holdings, Inc., 7.38%, 2/15/22 (a)   749   800,494  
  5,942,714  
 
Gas Utilities — 0.5%  
CenterPoint Energy Resources Corp., 5.85%, 1/15/41   1,600   2,051,931  
 
Health Care Equipment & Supplies — 0.6%  
Boston Scientific Corp., 6.25%, 11/15/15   1,251   1,412,936  
DJO Finance LLC, 7.75%, 4/15/18   735   685,387  
Fresenius Medical Care US Finance, Inc., 6.50%, 9/15/18 (a) 152   170,620  
Teleflex, Inc., 6.88%, 6/01/19   385   414,838  
  2,683,781  
 
Health Care Providers & Services — 4.2%  
Aviv Healthcare Properties LP, 7.75%, 2/15/19   175   183,750  
CHS/Community Health Systems, Inc., 5.13%, 8/15/18   400   421,000  
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a) EUR 494   693,870  
HCA, Inc.:  
  6.50%, 2/15/20 USD 1,990   2,233,775  
  7.88%, 2/15/20   135   151,706  
  4.75%, 5/01/23   2,265   2,287,650  
 
             
BLACKROCK CORE BOND TRUSTNOVEMBER 30, 20124
  

 

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
Corporate Bonds  
Health Care Providers & Services (concluded)  
IASIS Healthcare LLC, 8.38%, 5/15/19 USD 1,000 $ 945,000  
INC Research LLC, 11.50%, 7/15/19 (a)   545   550,450  
inVentiv Health, Inc., 10.00%, 8/15/18 (a)   40   34,800  
Omnicare, Inc., 7.75%, 6/01/20   805   890,531  
Symbion, Inc., 8.00%, 6/15/16   455   468,650  
Tenet Healthcare Corp.:  
  10.00%, 5/01/18   200   228,000  
  8.88%, 7/01/19   1,150   1,288,000  
  4.75%, 6/01/20 (a)   785   790,888  
UnitedHealth Group, Inc., 2.88%, 3/15/22 (d)   2,000   2,060,922  
WellPoint, Inc., 4.65%, 1/15/43 (d)   4,005   4,204,205  
  17,433,197  
 
Health Care Technology — 0.6%  
Amgen, Inc. (d):  
  6.40%, 2/01/39   750   962,243  
  5.15%, 11/15/41   1,500   1,710,755  
  2,672,998  
 
Hotels, Restaurants & Leisure — 0.1%  
El Dorado Resorts LLC, 8.63%, 6/15/19 (a)   180   173,700  
MGM Resorts International, 11.13%, 11/15/17   265   290,837  
  464,537  
 
Household Durables — 0.8%  
Beazer Homes USA, Inc., 6.63%, 4/15/18 (a)   580   617,700  
Standard Pacific Corp., 10.75%, 9/15/16   2,100   2,572,500  
  3,190,200  
 
Household Products — 0.2%  
Ontex IV SA, 7.50%, 4/15/18 (a) EUR 190   259,460  
Spectrum Brands Escrow Corp. (a):  
  6.38%, 11/15/20 USD 200   207,500  
  6.63%, 11/15/22   275   288,062  
  755,022  
 
Independent Power Producers & Energy Traders — 0.7%  
Calpine Corp., 7.50%, 2/15/21 (a)   157   173,485  
Energy Future Holdings Corp., 10.00%, 1/15/20   890   945,625  
Energy Future Intermediate Holding Co. LLC, 10.00%, 12/01/20   922   1,028,030  
GenOn REMA LLC, Series C, 9.68%, 7/02/26   415   444,050  
    Par
(000)		   Value  
Corporate Bonds  
Independent Power Producers & Energy Traders (concluded)  
NRG Energy, Inc., 6.63%, 3/15/23 (a) USD 435 $ 450,225  
  3,041,415  
 
Industrial Conglomerates — 0.8%  
The ADT Corp., 4.88%, 7/15/42 (a)   539   544,470  
Sequa Corp. (a):  
  11.75%, 12/01/15   690   714,150  
  13.50%, 12/01/15   1,940   2,018,008  
Smiths Group Plc, 3.63%, 10/12/22 (a)   180   181,019  
  3,457,647  
 
Insurance — 4.3%  
Allianz Finance II BV, 5.75%, 7/08/41 (b) EUR 500   699,665  
American International Group, Inc.:  
  3.80%, 3/22/17 (d) USD 5,580   6,009,878  
  5.45%, 5/18/17   800   916,538  
AXA SA, 5.25%, 4/16/40 (b) EUR 250   311,700  
Hartford Financial Services Group, Inc.:  
  6.00%, 1/15/19 USD 345   401,215  
  5.13%, 4/15/22   930   1,058,783  
Hartford Life Global Funding Trusts, 0.57%, 6/16/14 (b)   425   424,351  
Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a)   1,000   1,107,262  
Lincoln National Corp., 6.25%, 2/15/20   630   750,077  
Manulife Financial Corp., 3.40%, 9/17/15   1,630   1,715,370  
Metropolitan Life Global Funding I, 5.13%, 6/10/14 (a)(d)   775   826,552  
Montpelier Re Holdings Ltd., 4.70%, 10/15/22   450   462,271  
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)   340   317,050  
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b) EUR 200   292,671  
Prudential Financial, Inc. (d):  
  7.38%, 6/15/19 USD 250   319,413  
  5.38%, 6/21/20   250   293,485  
  4.50%, 11/15/20   450   503,941  
  5.70%, 12/14/36   675   767,337  
  Series D, 5.90%, 3/17/36   500   585,122  
  17,762,681  
 
IT Services — 0.6%  
First Data Corp. (a):  
  7.38%, 6/15/19   775   796,312  
  6.75%, 11/01/20   670   675,025  
  8.25%, 1/15/21   55   54,863  
                   
BLACKROCK CORE BOND TRUSTNOVEMBER 30, 20125
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
Corporate Bonds  
IT Services (concluded)  
SunGard Data Systems, Inc., 7.38%, 11/15/18 USD 1,080 $ 1,151,550  
  2,677,750  
 
Life Sciences Tools & Services — 0.1%  
Agilent Technologies, Inc., 3.20%, 10/01/22   250   252,963  
 
Machinery — 0.3%  
UR Merger Sub Corp. (a):  
  5.75%, 7/15/18   194   209,035  
  7.38%, 5/15/20   495   540,787  
  7.63%, 4/15/22   452   500,590  
  1,250,412  
 
Marine — 0.3%  
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(d)   1,050   1,286,250  
 
Media — 8.0%  
Affinion Group, Inc., 7.88%, 12/15/18   1,045   836,000  
AMC Networks, Inc., 7.75%, 7/15/21   320   363,200  
Clear Channel Communications, Inc., 9.00%, 12/15/19 (a)   305   276,406  
Clear Channel Worldwide Holdings, Inc. (a):  
  6.50%, 11/15/22   674   670,630  
  6.50%, 11/15/22   1,821   1,830,105  
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22   600   898,132  
Comcast Corp., 6.45%, 3/15/37   790   1,025,824  
Cox Communications, Inc., 8.38%, 3/01/39 (a)   1,740   2,648,283  
Cox Enterprises, Inc.:  
  Loan Close 2, 12.00%, 8/15/18   983   982,740  
  Loan Close 3, 4.00%, 8/15/18   1,124   1,123,554  
  Shares Loan, 12.00%, 8/15/18   1,159   1,158,780  
DIRECTV Holdings LLC:  
  6.38%, 3/01/41   260   300,670  
  5.15%, 3/15/42   2,100   2,109,334  
Intelsat Luxembourg SA:  
  11.25%, 2/04/17   750   795,000  
  11.50%, 2/04/17 (g)   415   440,419  
Interactive Data Corp., 10.25%, 8/01/18   1,330   1,489,600  
NBC Universal Media LLC:  
  5.15%, 4/30/20   1,983   2,360,282  
  4.38%, 4/01/21   1,015   1,152,589  
The New York Times Co., 6.63%, 12/15/16   1,800   1,962,000  
News America, Inc., 7.63%, 11/30/28   385   503,392  
    Par
(000)		   Value  
Corporate Bonds  
Media (concluded)  
Omnicom Group, Inc., 3.63%, 5/01/22 USD 2,355 $ 2,467,703  
TCI Communications, Inc., 7.88%, 2/15/26   610   877,443  
Time Warner Cable, Inc.:  
  7.30%, 7/01/38   930   1,241,703  
  5.88%, 11/15/40   465   538,290  
  5.50%, 9/01/41   920   1,022,849  
Time Warner, Inc.:  
  4.70%, 1/15/21   350   401,885  
  6.10%, 7/15/40   215   264,735  
Unitymedia Hessen GmbH & Co. KG (a):  
  8.13%, 12/01/17   2,822   3,061,870  
  5.50%, 1/15/23 (h)   255   255,000  
Virgin Media Secured Finance Plc, 6.50%, 1/15/18   525   569,625  
  33,628,043  
 
Metals & Mining — 4.0%  
Alcoa, Inc., 5.40%, 4/15/21   1,450   1,531,119  
ArcelorMittal:  
  9.50%, 2/15/15   410   456,680  
  4.25%, 2/25/15   335   338,366  
  4.25%, 8/05/15   285   287,908  
  4.25%, 3/01/16   175   175,763  
Barrick Gold Corp., 2.90%, 5/30/16   1,690   1,780,753  
Corp. Nacional del Cobre de Chile, 3.00%, 7/17/22 (a)(d)   1,565   1,583,805  
Falconbridge Ltd., 6.20%, 6/15/35   1,250   1,330,355  
Freeport-McMoRan Copper & Gold, Inc., 3.55%, 3/01/22   540   549,327  
New Gold, Inc. (a):  
  7.00%, 4/15/20   105   111,563  
  6.25%, 11/15/22   440   449,900  
New World Resources NV, 7.88%, 5/01/18 EUR 165   219,419  
Newcrest Finance Property Ltd., 4.45%, 11/15/21 (a) USD 475   500,577  
Novelis, Inc., 8.75%, 12/15/20   4,120   4,614,400  
Teck Resources Ltd., 5.38%, 10/01/15   2,359   2,602,206  
  16,532,141  
 
Multiline Retail — 0.2%  
Dufry Finance SCA, 5.50%, 10/15/20 (a)   650   667,875  
 
Oil, Gas & Consumable Fuels — 10.9%  
Access Midstream Partners LP, 6.13%, 7/15/22   400   424,000  
Anadarko Petroleum Corp., 5.95%, 9/15/16   1,916   2,222,365  
                             
BLACKROCK CORE BOND TRUSTNOVEMBER 30, 20126
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
Corporate Bonds  
Oil, Gas & Consumable Fuels (continued)  
BP Capital Markets Plc, 3.13%, 10/01/15 (d) USD 330 $ 351,252  
Burlington Resources Finance Co., 7.40%, 12/01/31 (d)   875   1,277,104  
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20   400   406,000  
Cenovus Energy, Inc., 6.75%, 11/15/39   750   1,001,852  
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 (d)   535   695,391  
Continental Resources, Inc., 5.00%, 9/15/22   580   614,800  
Denbury Resources, Inc., 8.25%, 2/15/20   530   598,900  
Devon Energy Corp., 7.95%, 4/15/32   625   918,421  
El Paso Natural Gas Co. LLC, 8.38%, 6/15/32   275   396,906  
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20   240   292,091  
Energy Transfer Partners LP, 6.50%, 2/01/42   500   584,577  
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17   540   608,850  
Enterprise Products Operating LLC:  
  4.05%, 2/15/22   1,250   1,383,755  
  6.13%, 10/15/39   700   850,025  
  5.95%, 2/01/41   500   584,800  
  Series L, 6.30%, 9/15/17   575   700,798  
KeySpan Gas East Corp., 5.82%, 4/01/41 (a)(d)   505   660,846  
Kinder Morgan Energy Partners LP:  
  5.95%, 2/15/18   1,300   1,564,709  
  6.50%, 9/01/39   3,000   3,700,461  
  6.55%, 9/15/40   110   138,360  
  6.38%, 3/01/41   150   184,963  
Linn Energy LLC, 6.25%, 11/01/19 (a)   405   406,519  
Marathon Petroleum Corp., 6.50%, 3/01/41   997   1,239,215  
MarkWest Energy Partners LP, 5.50%, 2/15/23   160   168,400  
MidAmerican Energy Co., 5.80%, 10/15/36   700   906,603  
MidAmerican Energy Holdings Co.:  
  5.95%, 5/15/37   800   1,014,067  
  6.50%, 9/15/37   1,900   2,572,423  
Newfield Exploration Co., 5.63%, 7/01/24   710   759,700  
Nexen, Inc., 7.50%, 7/30/39   1,000   1,442,752  
Offshore Group Investments Ltd., 11.50%, 8/01/15   163   179,300  
PBF Holding Co. LLC, 8.25%, 2/15/20 (a)   145   152,250  
    Par
(000)		   Value  
Corporate Bonds  
Oil, Gas & Consumable Fuels (concluded)  
PDC Energy, Inc., 7.75%, 10/15/22 (a) USD 300 $ 303,000  
Petrobras International Finance Co.:  
  3.88%, 1/27/16   1,340   1,419,837  
  5.75%, 1/20/20   1,725   1,970,611  
Pioneer Natural Resources Co., 3.95%, 7/15/22   350   372,371  
Plains Exploration & Production Co., 6.88%, 2/15/23   950   978,500  
Premier Oil Plc, 5.00%, 6/09/18   1,900   1,947,500  
Range Resources Corp., 5.75%, 6/01/21   935   993,437  
Sabine Pass Liquified Natural Gas LP:  
  7.50%, 11/30/16   1,475   1,593,000  
  6.50%, 11/01/20 (a)   475   475,000  
SandRidge Energy, Inc.:  
  7.50%, 3/15/21   275   286,688  
  7.50%, 2/15/23   625   650,000  
Tennessee Gas Pipeline Co. LLC, 7.50%, 4/01/17   1,040   1,295,081  
Western Gas Partners LP:  
  5.38%, 6/01/21   710   814,334  
  4.00%, 7/01/22   200   209,564  
The Williams Cos., Inc., Series A, 7.50%, 1/15/31   2,500   3,088,345  
  45,399,723  
 
Paper & Forest Products — 1.1%  
Boise Paper Holdings LLC:  
  9.00%, 11/01/17   180   196,200  
  8.00%, 4/01/20   155   168,562  
Clearwater Paper Corp., 10.63%, 6/15/16   620   680,450  
Domtar Corp., 6.25%, 9/01/42   2,000   2,177,746  
International Paper Co.:  
  7.50%, 8/15/21   75   98,862  
  4.75%, 2/15/22   420   476,367  
  6.00%, 11/15/41   435   529,480  
NewPage Corp., 11.38%, 12/31/14 (c)(i)   430   206,400  
  4,534,067  
 
Pharmaceuticals — 0.4%  
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a) EUR 200   293,924  
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a) USD 520   585,000  
Valeant Pharmaceuticals International, 6.38%, 10/15/20 (a)   575   610,938  
  1,489,862  
                     
BLACKROCK CORE BOND TRUSTNOVEMBER 30, 20127
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
Corporate Bonds  
Real Estate Investment Trusts (REITs) — 0.6%  
Simon Property Group LP, 4.75%, 3/15/42 USD 835 $ 899,536  
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21   275   305,539  
Vornado Realty LP, 5.00%, 1/15/22   1,185   1,312,268  
  2,517,343  
 
Real Estate Management & Development — 0.8%  
Lennar Corp., 4.75%, 11/15/22 (a)   440   425,700  
Mattamy Group Corp., 6.50%, 11/15/20 (a)   395   395,000  
Punch Taverns Finance Plc, Series A2R, 6.82%, 7/15/20 GBP 722   1,127,209  
Realogy Corp. (a)(d):  
  7.88%, 2/15/19 USD 374   396,440  
  7.63%, 1/15/20   520   579,800  
WEA Finance LLC, 4.63%, 5/10/21 (a)   305   340,564  
  3,264,713  
 
Road & Rail — 0.4%  
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40   950   1,195,574  
The Hertz Corp., 7.38%, 1/15/21   545   592,688  
  1,788,262  
 
Semiconductors & Semiconductor Equipment — 0.1%  
Spansion LLC, 7.88%, 11/15/17   390   391,950  
 
Software — 0.4%  
Nuance Communications, Inc., 5.38%, 8/15/20 (a)   555   571,650  
Oracle Corp., 5.38%, 7/15/40 (d)   775   979,471  
  1,551,121  
 
Specialty Retail — 0.5%  
The Home Depot, Inc., 5.88%, 12/16/36   830   1,101,368  
QVC, Inc. (a):  
  7.50%, 10/01/19   85   93,614  
  7.38%, 10/15/20   35   38,801  
  5.13%, 7/02/22   965   1,022,561  
  2,256,344  
 
Thrifts & Mortgage Finance — 0.3%  
Radian Group, Inc., 5.38%, 6/15/15   1,400   1,158,500  
 
Tobacco — 1.1%  
Altria Group, Inc.:  
  9.95%, 11/10/38   800   1,322,682  
  10.20%, 2/06/39   1,388   2,338,763  
Reynolds American, Inc., 4.75%, 11/01/42   1,050   1,065,121  
  4,726,566  
 
    Par
(000)		   Value  
Corporate Bonds  
Wireless Telecommunication Services — 2.2%  
America Movil SAB de CV, 2.38%, 9/08/16 USD 795 $ 830,625  
Crown Castle International Corp., 5.25%, 1/15/23 (a)   465   485,925  
Crown Castle Towers LLC, 6.11%, 1/15/40 (a)   1,560   1,897,829  
Digicel Group Ltd. (a):  
  8.25%, 9/01/17   150   160,875  
  8.25%, 9/30/20   905   961,562  
MetroPCS Wireless, Inc., 6.63%, 11/15/20   750   793,125  
Rogers Communications, Inc., 7.50%, 8/15/38   1,150   1,669,913  
SBA Tower Trust, 5.10%, 4/15/42 (a)   360   407,676  
Sprint Capital Corp., 6.88%, 11/15/28   570   587,100  
Sprint Nextel Corp. (a):  
  9.00%, 11/15/18   530   653,225  
  7.00%, 3/01/20   770   891,275  
  9,339,130  
 
Total Corporate Bonds – 84.4%   352,387,408  

 

  
Foreign Agency Obligations  
 
Italy Government International Bond, 5.38%, 6/15/33   455   448,421  
 
Total Foreign Agency Obligations – 0.1%   448,421  

 

  
Municipal Bonds  
 
City of Detroit Michigan, GO, Taxable Capital Improvement, Limited Tax, Series A-2, 8.00%, 4/01/14   1,525   1,462,795  
District of Columbia, Refunding RB, Howard University, Series B, 7.63%, 10/01/35   1,000   1,247,010  
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40   950   1,296,418  
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40   1,275   1,714,199  
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39   625   923,463  
                         
BLACKROCK CORE BOND TRUSTNOVEMBER 30, 20128
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
Municipal Bonds  
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, 7.06%, 4/01/57 USD 1,000 $ 1,125,320  
New York City Municipal Water Finance Authority, Refunding RB, Water & Sewer System, Second General Resolution:  
  Series EE, 5.38%, 6/15/43   385   473,931  
  Series EE, 5.50%, 6/15/43   465   580,641  
  Build America Bonds, Series GG, 5.72%, 6/15/42   700   934,801  
New York State Dormitory Authority, RB, Build America Bonds :  
  5.63%, 3/15/39   550   687,654  
  5.60%, 3/15/40   950   1,202,862  
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29   385   490,602  
State of California, GO, Build America Bonds:  
  7.63%, 3/01/40   860   1,249,425  
  Various Purpose, 7.55%, 4/01/39   140   203,505  
State of Illinois, GO, Taxable-Pension, 5.10%, 6/01/33   1,000   1,014,620  
University of California, RB, Build America Bonds, 5.95%, 5/15/45   445   554,483  
   
Total Municipal Bonds – 3.6%   15,161,729  

 

  
Non-Agency Mortgage-Backed Securities  
Collateralized Mortgage Obligations — 2.5%  
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37   993   858,947  
Countrywide Alternative Loan Trust:  
  Series 2005-64CB, Class 1A15, 5.50%, 12/25/35   1,391   1,204,846  
  Series 2006-OA21, Class A1, 0.40%, 3/20/47 (b)   775   499,998  
  Series 2007-HY4, Class 4A1, 5.13%, 6/25/47 (b)   728   586,419  
Countrywide Home Loan Mortgage Pass-Through Trust:  
  Series 2006-OA5, Class 2A1, 0.41%, 4/25/46 (b)   311   201,122  
  Series 2007-10, Class A22, 6.00%, 7/25/37   572   501,501  
    Par
(000)		   Value  
Non-Agency Mortgage-Backed Securities  
 
Collateralized Mortgage Obligations (concluded)  
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.62%, 7/27/36 (a)(b) USD 1,241 $ 1,221,570  
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.20%, 6/19/35 (b)   959   974,528  
GSR Mortgage Loan Trust:  
  Series 2006-4F, Class 1A1, 5.00%, 5/25/36   532   500,166  
  Series 2007-4F, Class 3A1, 6.00%, 7/25/37   685   637,402  
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.39%, 12/25/36 (b)   581   441,538  
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37   819   693,141  
JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 8/25/36   249   223,230  
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.97%, 5/25/36 (b)   646   482,385  
Monastery BV, Series 2004-I, Class A2, 0.59%, 3/17/37 (b) EUR 993   1,073,941  
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-10, Class 1A21, 6.00%, 7/25/37 USD 46   43,905  
  10,144,639  
   
Commercial Mortgage-Backed Securities — 11.9%  
Banc of America Merrill Lynch Commercial Mortgage, Inc., Class A4:  
  Series 2007-1, 5.45%, 1/15/49   500   579,583  
  Series 2007-2, 5.80%, 4/10/49 (b)   750   876,733  
Bear Stearns Commercial Mortgage Securities, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42   800   880,404  
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.26%, 12/10/49 (b)   1,370   1,659,032  
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48   1,093   1,209,414  
Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class AM, 5.97%, 6/10/46 (b)   1,750   1,900,356  
                                     
BLACKROCK CORE BOND TRUSTNOVEMBER 30, 20129
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
Non-Agency Mortgage-Backed Securities  
 
Commercial Mortgage-Backed Securities (continued)  
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37 USD 705 $ 710,373  
Credit Suisse Mortgage Capital Certificates:  
  Series 2006-C3, Class AM, 6.00%, 6/15/38 (b)   1,000   1,096,192  
  Series 2006-C5, Class AM, 5.34%, 12/15/39   1,750   1,862,646  
  Series 2010-RR2, Class 2A, 5.95%, 9/15/39 (a)(b)   1,010   1,172,400  
DBRR Trust, Series 2011-C32, Class A3A, 5.92%, 6/17/49 (a)(b)   365   423,363  

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

  
  Class A, 2.95%, 11/05/27   481   481,408  
  Class B, 4.22%, 11/05/27   2,000   2,005,630  
  Class D, 5.50%, 11/05/27   210   210,566  
Greenwich Capital Commercial Funding Corp., Class A4:  
  Series 2006-GG7, 6.06%, 7/10/38 (b)   1,165   1,344,499  
  Series 2007-GG9, 5.44%, 3/10/39   2,190   2,525,823  
GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.98%, 8/10/45 (b)(d)   435   498,977  
JPMorgan Chase Commercial Mortgage Securities Corp.:  
  Series 2004-CB8, Class A1A, 4.16%, 1/12/39 (a)   2,262   2,335,058  
  Series 2004-LN2, Class A2, 5.12%, 7/15/41   820   867,355  
  Series 2006-CB14, Class AM, 5.64%, 12/12/44 (b)   330   356,978  
  Series 2006-CB16, Class AJ, 5.62%, 5/12/45   730   651,588  
LB-UBS Commercial Mortgage Trust (b):  
  Series 2004-C8, Class C, 4.93%, 12/15/39   1,385   1,467,536  
  Series 2007-C6, Class A4, 5.86%, 7/15/40   5,201   6,221,030  
  Series 2007-C7, Class A3, 5.87%, 9/15/45   1,460   1,751,521  
Merrill Lynch Mortgage Trust, Series 2004-KEY2, Class A4, 4.86%, 8/12/39 (b)   1,000   1,064,499  
    Par
(000)		   Value  
Non-Agency Mortgage-Backed Securities  
 
Commercial Mortgage-Backed Securities (concluded)  
Morgan Stanley Capital I:  
  Series 2004-HQ4, Class A7, 4.97%, 4/14/40 USD 1,000 $ 1,055,122  
  Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (b)   4,000   4,646,368  
  Series 2007-XLC1, Class A2, 0.56%, 7/17/17   346   331,524  
RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (a)   990   995,445  
Wachovia Bank Commercial Mortgage Trust:  
  Series 2006-C28, Class A2, 5.50%, 10/15/48   4,271   4,290,426  
  Series 2007-C33, Class A4, 6.12%, 2/15/51 (b)   2,185   2,585,952  

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

  
  Class B, 4.31%, 8/15/45   695   753,092  
  Class C, 5.04%, 8/15/45 (b)   895   967,354  
  
  49,778,247  
   
Interest Only Commercial Mortgage-Backed Securities — 1.5%  
Morgan Stanley Bank of America Merrill Lynch Trust, 2.10%, 8/15/45 (a)(b)   15,899   1,807,140  
Morgan Stanley Capital I, Series 2012-C4, Class XA, 2.88%, 3/15/45 (a)(b)   9,584   1,420,867  
Morgan Stanley Reremic Trust, Series 2011, Class A, 2.50%, 3/23/51 (a)   699   706,425  
WF-RBS Commercial Mortgage Trust, Class XA (a)(b):  
  Series 2012-C8, 2.42%, 8/15/45   6,082   834,795  
  Series 2012-C9, 2.45%, 11/15/45   10,900   1,578,843  
  
  6,348,070  
   
Total Non-Agency Mortgage-Backed Securities – 15.9%   66,270,956  

 

  
Preferred Securities  
Capital Trusts  
   
Capital Markets — 0.0%  
State Street Capital Trust IV, 1.39%, 6/01/77 (b)   70   54,075  
   
                               

BLACKROCK CORE BOND TRUSTNOVEMBER 30, 201210
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
Capital Trusts  
Commercial Banks — 0.1%  
Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b) USD 505 $ 506,263  
 
Consumer Finance — 0.2%  
Capital One Capital VI, 8.88%, 5/15/40   690   693,795  
 
Insurance — 2.2%  
The Allstate Corp., 6.50%, 5/15/67 (b)   1,950   2,059,687  
American International Group, Inc., 8.18%, 5/15/68 (b)   195   243,750  
Lincoln National Corp., 6.05%, 4/20/67 (b)   675   664,875  
MetLife Capital Trust IV, 7.88%, 12/15/67 (a)   640   780,800  
MetLife, Inc., 6.40%, 12/15/66   3,500   3,718,281  
Swiss Re Capital I LP, 6.85% (a)(b)(f)   1,060   1,107,700  
XL Group Plc, Series E, 6.50% (b)(f)   815   738,390  
  
  9,313,483  
 
Total Capital Trusts – 2.5%   10,567,616  

 

  
   
Shares		      
Preferred Stocks  
 
Commercial Banks — 1.0%  
US Bancorp, Series G, 6.00% (b)   150,000   4,137,000  

 

  
Trust Preferreds  
 
Commercial Banks — 0.1%  
Citigroup Capital XIII, 7.88%, 10/30/40 (b)   14,773   411,059  
 
Total Preferred Securities – 3.6%   15,115,675  

 

  
    Par
(000)		      
US Government Sponsored Agency Securities  
Agency Obligations — 3.3%  
Fannie Mae:  
  1.83%, 10/09/19 (d)(j)   7,055   6,227,448  
  5.63%, 7/15/37 (k)   775   1,131,402  
Federal Home Loan Bank (d):  
  5.25%, 12/09/22   675   885,787  
  5.37%, 9/09/24   1,075   1,447,828  
    Par
(000)		   Value  
US Government Sponsored Agency Securities  
Agency Obligations (concluded)  
Resolution Funding Corp. (j):  
  1.13%, 7/15/18 USD 525 $ 492,686  
  1.19%, 10/15/18   525   489,670  
Tennessee Valley Authority, 5.25%, 9/15/39 (d)   2,355   3,167,209  
  
  13,842,030  
   
Collateralized Mortgage Obligations — 0.5%  
Fannie Mae Mortgage-Backed Securities, Series 2005-5, Class PK, 5.00%, 12/25/34   527   567,535  
Freddie Mac Mortgage-Backed Securities:  
  Series 2825, Class VP, 5.50%, 6/15/15   500   519,479  
  Series K013, Class A2, 3.97%, 1/25/21 (l)   940   1,084,403  
  
  2,171,417  
   
Commercial Mortgage-Backed Securities — 0.1%  
Freddie Mac Mortgage-Backed Securities, Series K706, Class C, 4.02%, 11/25/44 (a)(b)   165   162,118  
   
Interest Only Collateralized Mortgage Obligations — 2.8%  
Fannie Mae Mortgage-Backed Securities:  
  Series 2010-126, Class UI, 5.50%, 10/25/40   5,630   869,706  
  Series 2012-47, Class NI, 4.50%, 4/25/42   5,945   888,705  
  Series 2012-96, Class DI, 4.00%, 2/25/27   9,249   743,928  
  Series 2012-M9, Class X1, 4.25%, 12/25/17 (b)   13,316   2,266,985  
Freddie Mac Mortgage-Backed Securities:  
  Series 2579, Class HI, 5.00%, 8/15/17   47   177  
  Series 2611, Class QI, 5.50%, 9/15/32   1,432   167,956  
  Series K021, Class X1, 1.51%, 6/25/22 (b)   7,090   798,837  
  Series K707, Class XI, 1.70%, 12/25/18 (b)   2,506   201,406  
  Series K710, Class XI, 1.92%, 5/25/19 (b)   8,645   837,591  
Ginnie Mae Mortgage-Backed Securities (b):  
  Series 2009-78, Class SD, 5.99%, 9/20/32   7,264   1,464,473  
  Series 2011-52, Class NS, 6.46%, 4/16/41   19,983   3,466,404  
  11,706,168  
                                     
BLACKROCK CORE BOND TRUSTNOVEMBER 30, 201211
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
US Government Sponsored Agency Securities  
Mortgage-Backed Securities — 12.9%  
Fannie Mae Mortgage-Backed Securities:  
  3.00%, 12/15/42 (m) USD 16,300 $ 17,150,656  
  3.50%, 3/01/42   1,339   1,434,389  
  4.00%, 12/01/41   4,513   4,842,517  
  4.50%, 7/01/41 (d)   6,123   6,630,412  
  5.00%, 8/01/34   4,381   4,784,744  
  5.50%, 6/01/38   2,944   3,219,656  
  6.00%, 12/01/38 - 12/15/42 (m) 13,769   15,101,674  

Freddie Mac Mortgage-Backed Securities, 6.00%, 2/01/13 - 12/01/18 (d)

 USD 493   531,141  
Ginnie Mae Mortgage-Backed Securities, 5.50%, 8/15/33   84   94,497  
  53,789,686  
 
Total US Government Sponsored Agency Securities – 19.6%   81,671,419  

 

  
US Treasury Obligations  
 
US Treasury Bonds (d):  
  8.13%, 8/15/21   1,550   2,423,206  
  6.25%, 8/15/23   5,085   7,389,141  
  3.50%, 2/15/39   330   381,975  
  4.25%, 5/15/39   6,045   7,893,446  
  4.38%, 5/15/40   6,375   8,495,682  
  4.75%, 2/15/41   1,630   2,299,829  
  4.38%, 5/15/41   800   1,067,249  
  3.13%, 11/15/41   20,915   22,460,744  
  3.13%, 2/15/42   6,268   6,726,347  
  3.00%, 5/15/42   2,730   2,855,411  
  2.75%, 8/15/42   6,895   6,840,054  
US Treasury Inflation Indexed Bonds, 0.75%, 2/15/42 (d)   4,306   4,820,027  
US Treasury Notes:  
  0.63%, 1/31/13 (k)   200   200,172  
  2.25%, 7/31/18   495   535,837  
  2.00%, 2/15/22 (d)   1,826   1,909,454  
  1.75%, 5/15/22   156   159,169  
  1.63%, 8/15/22 (d)   5,120   5,146,798  
 
Total US Treasury Obligations – 19.5%   81,604,541  
 
                         

 

 

   
Shares		   Value  
Warrants (n)  
Software — 0.0%  
Bankruptcy Management Solutions, Inc. (Expires 9/28/17)   90 $ —  
   
Total Long-Term Investments
(Cost – $592,299,373) – 152.6% 		  637,467,513  

 

  
Short-Term Securities  
 
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (o)(p)   378,109   378,109  
 
Total Short-Term Securities
(Cost – $378,109) – 0.1% 		  378,109  

 

  
 
Options Purchased   Notional
Amount
(000)		      
 
Over-the-Counter Interest Rate Call Swaptions — 0.1%  
Receive a fixed rate of 1.39% and pay a floating rate based on 3-month LIBOR, Expires 10/06/14, Broker JPMorgan Chase & Co. USD 21,700   280,825  
   
Over-the-Counter Interest Rate Put Swaptions — 0.0%  
Pay a fixed rate of 3.75% and receive a floating rate based on 3-month LIBOR, Expires 6/03/13, Broker JPMorgan Chase & Co.   2,400   4,832  
Pay a fixed rate of 4.50% and receive a floating rate based on 3-month LIBOR, Expires 3/16/17, Broker Deutsche Bank AG   6,300   137,398  
 
  142,230  
 
Total Options Purchased
(Cost – $610,795) – 0.1% 		  423,055  
 
Total Investments Before TBA Sale Commitments and Options Written
(Cost – $593,288,277*) – 152.8% 		  638,268,677  
 
                                             

BLACKROCK CORE BOND TRUSTNOVEMBER 30, 201212
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

    Par
(000)		   Value  
TBA Sale Commitments (m)  
Fannie Mae Mortgage-Backed Securities, 6.00%, 12/01/99 USD 11,200 $ (12,278,000)  
   
Total TBA Sale Commitments
(Proceeds – $12,330,891) – (2.9)% 		  (12,278,000)  

 

  
Options Written   Notional
Amount
(000)		      
Over-the-Counter Interest Rate Call Swaptions — (0.7)%  
Pay a fixed rate of 2.06% and receive a floating rate based on 3-month LIBOR, Expires 4/09/14, Broker JPMorgan Chase & Co. USD 16,100   (727,894)  
Pay a fixed rate of 1.15% and receive a floating rate based on 3-month LIBOR, Expires 6/09/14, Broker Deutsche Bank AG   9,300   (99,193)  
Pay a fixed rate of 1.15% and receive a floating rate based on 3-month LIBOR, Expires 6/09/14, Broker BNP Paribas SA   30,300   (323,178)  
Pay a fixed rate of 1.20% and receive a floating rate based on 3-month LIBOR, Expires 6/18/14, Broker Deutsche Bank AG   12,500   (148,655)  
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker Bank of America Corp.   9,000   (63,415)  
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker JPMorgan Chase & Co.   15,500   (109,215)  
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 7/21/14, Broker Deutsche Bank AG   9,700   (68,201)  
Pay a fixed rate of 1.48% and receive a floating rate based on 3-month LIBOR, Expires 7/31/14, Broker JPMorgan Chase & Co.   10,000   (196,117)  
Pay a fixed rate of 1.00% and receive a floating rate based on 3-month LIBOR, Expires 8/01/14, Broker Deutsche Bank AG   9,700   (67,608)  
Pay a fixed rate of 2.75% and receive a floating rate based on 3-month LIBOR, Expires 9/22/14, Broker Deutsche Bank AG   9,100   (669,311)  
Pay a fixed rate of 3.65% and receive a floating rate based on 3-month LIBOR, Expires 3/27/17, Broker JPMorgan Chase & Co.   1,100   (114,636)  
Options Written   Notional
Amount
(000)		   Value  
 
Over-the-Counter Interest Rate Call Swaptions (concluded)
Pay a fixed rate of 3.60% and receive a floating rate based on 3-month LIBOR, Expires 4/03/17, Broker Goldman Sachs & Co. USD 3,200 $ (323,833)  
  
  (2,911,256)  
   
Over-the-Counter Interest Rate Put Swaptions — (0.6)%  
Receive a fixed rate of 2.06% and pay a floating rate based on 3-month LIBOR, Expires 4/09/14, Broker JPMorgan Chase & Co.   16,100 $ (61,873)  
Receive a fixed rate of 2.15% and pay a floating rate based on 3-month LIBOR, Expires 6/09/14, Broker BNP Paribas SA   30,300   (139,211)  
Receive a fixed rate of 2.15% and pay a floating rate based on 3-month LIBOR, Expires 6/09/14, Broker Deutsche Bank AG   9,300   (42,728)  
Receive a fixed rate of 2.20% and pay a floating rate based on 3-month LIBOR, Expires 6/18/14, Broker Deutsche Bank AG   12,500   (56,285)  
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker Bank of America Corp.   9,000   (56,627)  
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 7/11/14, Broker JPMorgan Chase & Co.   15,500   (97,524)  
Receive a fixed rate of 1.95% and pay a floating rate based on 3-month LIBOR, Expires 7/16/14, Broker Deutsche Bank AG   24,800   (167,790)  
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 7/21/14, Broker Deutsche Bank AG   9,700   (63,030)  
Receive a fixed rate of 1.48% and pay a floating rate based on 3-month LIBOR, Expires 7/31/14, Broker JPMorgan Chase & Co.   10,000   (127,404)  
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 8/01/14, Broker JPMorgan Chase & Co.   11,200   (76,214)  
Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, Expires 8/01/14, Broker Deutsche Bank AG   9,700   (66,007)  
Receive a fixed rate of 2.75% and pay a floating rate based on 3-month LIBOR, Expires 9/22/14, Broker Deutsche Bank AG   9,100   (195,452)  
                               
BLACKROCK CORE BOND TRUSTNOVEMBER 30, 201213
  

 

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  (Percentages shown are based on Net Assets)

 

Options Written   Notional
Amount
(000)		   Value  
 
Over-the-Counter Interest Rate Put Swaptions (concluded)  
Receive a fixed rate of 2.40% and pay a floating rate based on 3-month LIBOR, Expires 10/03/14, Broker JPMorgan Chase & Co. USD   50,000 $ (667,093)  
Receive a fixed rate of 2.39% and pay a floating rate based on 3-month LIBOR, Expires 10/06/14, Broker JPMorgan Chase & Co.   21,700   (293,754)  
Receive a fixed rate of 6.00% and pay a floating rate based on 3-month LIBOR, Expires 3/16/17, Broker Deutsche Bank AG   12,600   (125,377)  
Receive a fixed rate of 3.65% and pay a floating rate based on 3-month LIBOR, Expires 3/27/17, Broker JPMorgan Chase & Co.   1,100   (40,391)  
Receive a fixed rate of 3.60% and pay a floating rate based on 3-month LIBOR, Expires 4/03/17, Broker Goldman Sachs Group, Inc.   3,200   (121,587)  
  
  (2,398,347)  
   
Total Options Written
(Premiums Received – $6,539,161) – (1.3)%		   (5,309,603)  
   
Total Investments, Net of TBA Sale Commitments and Options Written (Cost - $574,418,225) – 148.6% 620,681,074  
Liabilities in Excess of Other Assets – (48.6)%   (203,029,759)  
  
Net Assets – 100.0% $ 417,651,315  
  
   
                     

 

* As of November 30, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

  Tax cost $ 594,100,300  
  Gross unrealized appreciation $ 49,611,667  
  Gross unrealized depreciation   (5,443,290)  
  Net unrealized appreciation $ 44,168,377  

 

(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 shown is as of report date.
(c) Non-income producing security.
(d) All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.
(e) Convertible security.
(f) Security is perpetual in nature and has no stated maturity date.
(g) Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(h) When-issued security. Unsettled when-issued transactions were as follows:

 

   
  Counterparty   Value    Unrealized Appreciation  
   
  JPMorgan Chase & Co.   $ 255,000   —  
 
                 

 

(i) Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(j) Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(k) All or a portion of security has been pledged as collateral in connection with open financial futures contracts.
(l) Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.
(m) Represents or includes a TBA transaction. Unsettled TBA transactions as of November 30, 2012 were as follows:

   
  Counterparty   Value  

Unrealized Appreciation

(Depreciation)

  
   
  Citigroup Inc.     — $ 4,250  
  Credit Suisse Group AG     — $ (48,125)  
  Deutsche Bank AG     — $ 12,281  
  Goldman Sachs Group, Inc.   $ 17,150,656 $ 111,938  
  JPMorgan Chase & Co.     — $ 141  
  Royal Bank of Scotland Group Plc     — $ (94)  
 
                   

 

(n) Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.  
(o) Investments in issuers considered to be an affiliate of the Trust during the period ended November 30, 2012, 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, 2012		   Net
Activity		   Shares
Held at
November 30, 2012		   Income  
 
  BlackRock Liquidity Funds, TempFund, Institutional Class   534,025   (155,916)   378,109 $ 644  
                                       
 
(p) Represents the current yield as of report date.  

 

BLACKROCK CORE BOND TRUSTNOVEMBER 30, 201214
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)

 

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:
CAD Canadian Dollar
EUR Euro
GBP British Pound
GO General Obligation Bonds
LIBOR London Interbank Offered Rate
RB Revenue Bonds
TBA To Be Announced
USD US Dollar

 

• For Trust compliance purposes, the Trust's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
• Reverse repurchase agreements outstanding as of November 30, 2012 were as follows:

 

 
  Counterparty   Interest
Rate		   Trade
Date		   Maturity
Date1		   Face Value   Face Value
Including
Accrued
Interest		  
 
  Deutsche Bank Securities, Inc.   0.11%   4/24/12   Open $ 2,186,237 $ 2,187,713  
  UBS Securities LLC   (0.25)%   4/26/12   Open   488,725   487,982  
  Bank of America Merrill Lynch   0.22%   5/07/12   Open   863,156   864,253  
  Deutsche Bank Securities, Inc.   0.21%   5/07/12   Open   5,688,094   5,694,996  
  BNP Paribas Securities Corp.   0.19%   5/09/12   Open   367,950   368,350  
  BNP Paribas Securities Corp.   0.18%   5/09/12   Open   1,039,000   1,040,070  
  UBS Securities LLC   0.28%   5/10/12   Open   3,492,650   3,498,192  
  Bank of America Merrill Lynch   0.25%   6/05/12   Open   1,431,094   1,432,873  
  BNP Paribas Securities Corp.   0.23%   6/05/12   Open   23,163,363   23,189,853  
  UBS Securities LLC   0.32%   6/06/12   Open   13,803,750   13,825,591  
  Credit Suisse Securities (USA) LLC   0.30%   6/20/12   Open   793,406   794,490  
  UBS Securities LLC   0.32%   6/29/12   Open   2,488,625   2,492,054  
  BNP Paribas Securities Corp.   0.17%   7/18/12   Open   7,051,500   7,056,029  
  Credit Suisse Securities (USA) LLC   0.21%   7/25/12   Open   2,528,438   2,530,326  
  Credit Suisse Securities (USA) LLC   0.23%   7/25/12   Open   3,161,588   3,164,173  
  Bank of America Securities   0.18%   7/26/12   Open   22,098,513   22,112,656  
  Bank of America Securities   0.17%   7/26/12   Open   7,671,994   7,676,631  
  UBS Securities LLC   0.33%   7/30/12   Open   2,395,062   2,397,784  
  UBS Securities LLC   0.34%   7/31/12   Open   1,496,275   1,498,013  
  UBS Securities LLC   0.35%   7/31/12   Open   883,125   884,181  
  Credit Suisse Securities (USA) LLC   0.35%   8/02/12   Open   5,138,813   5,144,858  
  UBS Securities LLC   0.34%   8/07/12   Open   3,425,000   3,428,752  
  Credit Suisse Securities (USA) LLC   0.35%   8/08/12   Open   1,504,356   1,506,038  
  Barclays Capital, Inc.   0.35%   8/09/12   Open   4,342,543   4,347,356  
  Credit Suisse Securities (USA) LLC   0.35%   8/09/12   Open   1,718,681   1,720,586  
  UBS Securities LLC   0.34%   8/13/12   Open   2,869,999   2,872,981  
  Credit Suisse Securities (USA) LLC   0.35%   8/15/12   Open   1,648,500   1,650,231  
  Credit Suisse Securities (USA) LLC   0.35%   8/17/12   Open   748,937   749,709  
  Barclays Capital, Inc.   0.35%   8/21/12   Open   5,635,800   5,641,389  
  BNP Paribas Securities Corp.   0.11%   8/21/12   Open   2,791,425   2,792,295  
  Credit Suisse Securities (USA) LLC   0.25%   9/06/12   Open   1,903,605   1,904,742  
                                 

 

BLACKROCK CORE BOND TRUSTNOVEMBER 30, 201215
  

 

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
   

 

  Counterparty   Interest
Rate		   Trade
Date		   Maturity
Date1		   Face Value   Face Value
Including
Accrued
Interest		  
 
  Credit Suisse Securities (USA) LLC   0.35%   9/10/12   Open $ 6,637,613 $ 6,642,905  
  Barclays Capital, Inc.   0.35%   9/18/12   Open   3,346,988   3,349,396  
  UBS Securities LLC   0.34%   9/28/12   Open   2,572,562   2,574,117  
  Credit Suisse Securities (USA) LLC   0.35%   10/05/12   Open   2,020,500   2,021,620  
  UBS Securities LLC   (0.50)%   10/16/12   Open   496,600   496,283  
  Credit Suisse Securities (USA) LLC   0.35%   10/18/12   Open   1,317,750   1,318,314  
  Credit Suisse Securities (USA) LLC   0.35%   10/19/12   Open   1,232,000   1,232,515  
  Deutsche Bank Securities, Inc.   (0.13)%   10/22/12   Open   451,856   451,793  
  UBS Securities LLC   0.34%   10/23/12   Open   4,608,009   4,609,706  
  Deutsche Bank Securities, Inc.   (0.63)%   10/24/12   12/31/22   345,482   345,254  
  Credit Suisse Securities (USA) LLC   0.35%   11/08/12   Open   3,954,938   3,955,822  
  Morgan Stanley & Co. LLC   0.34%   11/13/12   12/12/12   23,466,040   23,469,808  
  Deutsche Bank Securities, Inc.   0.22%   11/20/12   Open   6,912,238   6,912,703  
  Deutsche Bank Securities, Inc.   0.18%   11/20/12   Open   5,158,400   5,158,684  
 
  Total $ 197,341,180 $ 197,494,067  
 
                                   

 

1 Certain agreements have no stated maturity and can be terminated by either party at any time.
• Financial futures contracts purchased as of November 30, 2012 were as follows:  

 

 
Contracts   Issue   Exchange   Expiration   Notional
Value		 Unrealized Appreciation  
 
  324   30-Year US Treasury Bond   Chicago Board of Trade   March 2013 USD 48,620,250 $ 188,496  
  250   2-Year US Treasury Note   Chicago Board of Trade   March 2013 USD 55,113,281   13,247  
  53   5-Year US Treasury Note   Chicago Board of Trade   March 2013 USD 6,610,094   21,477  
 
  Total $ 223,220  
 
                                               

 

• Financial futures contracts sold as of November 30, 2012 were as follows:

   
Contracts   Issue   Exchange   Expiration   Notional
Value		 Unrealized Depreciation
   
  15   90-Day Euro-Dollar   Chicago Mercantile   December 2012 USD 3,738,188 $ (4,426)  
  15   90-Day Euro-Dollar   Chicago Board of Trade   March 2013 USD 3,738,000   (5,101)  
  566   10-Year US Treasury Note   Chicago Board of Trade   March 2013 USD 75,640,594   (144,298)  
  31   Ultra Long US Treasury Bond   Chicago Mercantile   March 2013 USD 5,144,063   (27,486)  
  12   90-Day Euro-Dollar   Chicago Mercantile   June 2013 USD 2,989,950   (3,030)  
  12   90-Day Euro-Dollar   Chicago Mercantile   September 2013 USD 2,989,500   (6,459)  
  16   90-Day Euro-Dollar   Chicago Mercantile   December 2013 USD 3,985,200   (12,742)  
  12   90-Day Euro-Dollar   Chicago Mercantile   March 2014 USD 2,988,300   (9,054)  
  9   90-Day Euro-Dollar   Chicago Mercantile   June 2014 USD 2,240,438   (5,235)  
  9   90-Day Euro-Dollar   Chicago Mercantile   September 2014 USD 2,239,650   (9,125)  
  9   90-Day Euro-Dollar   Chicago Mercantile   December 2014 USD 2,238,638   (10,636)  
  49   90-Day Euro-Dollar   Chicago Mercantile   March 2015 USD 12,182,625   (69,671)  
  40   90-Day Euro-Dollar   Chicago Mercantile   June 2015 USD 9,938,500   (60,283)  
  40   90-Day Euro-Dollar   Chicago Mercantile   September 2015 USD 9,930,500   (71,610)  
  40   90-Day Euro-Dollar   Chicago Mercantile   December 2015 USD 9,920,000   (76,110)  
   
  Total $ (515,266)  
   
                                               

BLACKROCK CORE BOND TRUSTNOVEMBER 30, 201216
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
   

 

• Foreign currency exchange contracts as of November 30, 2012 were as follows:  
 

 

  Currency Purchased Currency Sold Counterparty Settlement Date Unrealized
Appreciation
(Depreciation)		  
   
  USD   6,013,859   GBP   3,752,000   Goldman Sachs Group, Inc.   1/16/13 $ 3,099  
  EUR   4,158,000   USD   5,393,945   BNP Paribas SA   1/23/13   16,502  
  USD   1,215,703   EUR   950,000   Deutsche Bank AG   1/23/13   (20,450)  
  USD   12,435,555   EUR   9,468,000   UBS AG   1/23/13   115,664  
 
  Total $ 114,815  
• Credit default swaps on single-name issues - buy protection outstanding as of November 30, 2012 were as follows:  
                                   

   
  Issuer   Pay
Fixed
Rate		   Counterparty   Expiration
Date		   Notional
Amount
(000)		   Unrealized Appreciation (Depreciation)  
 
  Radian Group, Inc.   5.00%   Citigroup, Inc.   6/20/15   USD   1,400 $ 159,326  
  The New York Times Co.   1.00%   Barclays Plc   12/20/16   USD   1,800   (20,511)  
  Hillshire Brands Co.   1.00%   JPMorgan Chase & Co.   3/20/17   USD   202   2,464  
  Australia & New Zealand Banking Group Ltd.   1.00%   Deutsche Bank AG   9/20/17   USD   1,023   (27,963)  
  Commonwealth Bank of Australia   1.00%   Deutsche Bank AG   9/20/17   USD   2,000   (54,560)  
  National Australia Bank Ltd.   1.00%   Deutsche Bank AG   9/20/17   USD   2,000   (52,681)  
  Westpac Banking Corp.   1.00%   Deutsche Bank AG   9/20/17   USD   1,023   (26,248)  
 
  Total $ (20,173)  
                                   

 

• Credit default swaps on single-name issues - sold protection outstanding as of November 30, 2012 were as follows:

   
  Issuer   Receive
Fixed
Rate		   Counterparty   Expiration
Date		   Issuer Credit Rating1   Notional
Amount
(000)2		   Unrealized Appreciation  
 
  MetLife, Inc.   1.00%   Credit Suisse Group AG   9/20/16   A-   USD   535 $ 25,129  
  MetLife, Inc.   1.00%   Deutsche Bank AG   9/20/16   A-   USD   730   29,936  
  MetLife, Inc.   1.00%   Goldman Sachs Group, Inc.   9/20/16   A-   USD   500   19,649  
  MetLife, Inc.   1.00%   Morgan Stanley   9/20/16   A-   USD   900   35,797  
  MetLife, Inc.   1.00%   Morgan Stanley   9/20/16   A-   USD   275   9,079  
  MetLife, Inc.   1.00%   Citigroup, Inc.   12/20/16   A-   USD   298   9,749  
  MetLife, Inc.   1.00%   Citigroup, Inc.   12/20/16   A-   USD   285   10,755  
 
  Total $ 140,094  
                                   

 

1 Using Standard & Poor’s (S&P's) rating.      
2 The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.  
• Credit default swaps on traded indexes - sold protection outstanding as of November 30, 2012 were as follows:  

 

 
  Index   Receive
Fixed
Rate		   Counterparty   Expiration
Date		   Credit Rating1   Notional
Amount
(000)2		   Unrealized Appreciation  
 
  Markit CMBX North America AAA Index Series 3   0.08%   Morgan Stanley   12/13/49   AA+   USD   525 $ 32,946  
  Markit CMBX North America AAA Index Series 4   0.35%   Morgan Stanley   2/17/51   A   USD   525   34,217  
 
  Total $ 67,163  

 

1 Using S&P's rating of the underlying securities.
2 The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

 

 

 

 

 

 

 

BLACKROCK CORE BOND TRUSTNOVEMBER 30, 201217
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
  

 

• Interest rate swaps outstanding as of November 30, 2012 were as follows:

 

 
  Fixed
Rate		   Floating
Rate		   Counterparty   Expiration
Date		   Notional
Amount
(000)		   Unrealized Appreciation (Depreciation)  
 
  1.26%3   3-month CBA   JPMorgan Chase & Co.   6/25/14   CAD   29,600 $ (12,249)  
  1.27%3   3-month CBA   Deutsche Bank AG   7/03/14   CAD   13,600   (4,684)  
  1.33%3   3-month CBA   Deutsche Bank AG   7/05/14   CAD   13,600   3,573  
  1.22%3   3-month CBA   Deutsche Bank AG   7/09/14   CAD   13,600   (11,396)  
  1.24%3   3-month CBA   Deutsche Bank AG   7/11/14   CAD   13,600   (8,844)  
  1.50%3   3-month CBA   Deutsche Bank AG   9/09/14   CAD   23,100   37,742  
  1.54%3   3-month CBA   Deutsche Bank AG   9/13/14   CAD   22,800   45,884  
  0.40%4   3-month LIBOR   JPMorgan Chase & Co.   9/13/14   USD   29,500   (15,138)  
  0.37%4   3-month LIBOR   JPMorgan Chase & Co.   10/02/14   USD   29,700   3,222  
  0.39%4   3-month LIBOR   JPMorgan Chase & Co.   10/12/14   USD   29,200   (9,767)  
  0.36%4   3-month LIBOR   JPMorgan Chase & Co.   10/19/14   USD   23,200   4,929  
  0.38%4   3-month LIBOR   Credit Suisse Group AG   11/15/14   USD   9,000   (503)  
  0.39%4   3-month LIBOR   JPMorgan Chase & Co.   11/29/14   USD   50,000   (14,941)  
  1.66%4   3-month CBA   JPMorgan Chase & Co.   6/25/16   CAD   15,000   (14,990)  
  1.64%4   3-month CBA   Deutsche Bank AG   7/03/16   CAD   13,600   (7,781)  
  1.70%4   3-month CBA   Deutsche Bank AG   7/05/16   CAD   13,600   (23,327)  
  1.79%4   3-month CBA   Deutsche Bank AG   9/08/16   CAD   11,800   (31,121)  
  1.86%4   3-month CBA   Deutsche Bank AG   9/15/16   CAD   11,800   (47,377)  
  1.20%3   3-month LIBOR   JPMorgan Chase & Co.   8/30/18   USD   7,900   82,669  
  1.51%3   3-month LIBOR   Deutsche Bank AG   7/13/19   USD   5,900   57,199  
  1.20%3   3-month LIBOR   Deutsche Bank AG   9/28/19   USD   600   3,366  
  1.18%4   3-month LIBOR   JPMorgan Chase & Co.   10/05/19   USD   15,800   (60,595)  
  1.89%4   3-month LIBOR   JPMorgan Chase & Co.   10/08/21   USD   11,900   (78,577)  
  2.04%3   3-month LIBOR   Morgan Stanley   5/04/22   USD   10,600   445,954  
  1.89%3   6-month EURIBOR   Citigroup, Inc.   6/27/22   EUR   1,800   55,009  
  2.58%4   6-month EURIBOR   Deutsche Bank AG   11/11/41   EUR   350   (27,494)  
  2.68%4   6-month EURIBOR   Deutsche Bank AG   11/18/41   EUR   745   (79,591)  
  3.07%4   3-month LIBOR   Barclays Plc   3/21/42   USD   4,200   (460,988)  
  2.15%4   6-month EURIBOR   Citigroup, Inc.   6/27/42   EUR   770   32,267  
  2.41%4   3-month LIBOR   JPMorgan Chase & Co.   7/02/42   USD   1,400   46,609  
  2.49%4   3-month LIBOR   Deutsche Bank AG   7/05/42   USD   4,500   75,569  
  2.52%4   3-month LIBOR   Citigroup, Inc.   9/04/42   USD   5,100   47,593  
  2.52%4   3-month LIBOR   Goldman Sachs Group, Inc.   9/04/42   USD   5,100   49,585  
 
  Total $ 81,807  
                                 

 

3 Trust pays the floating rate and receives the fixed rate.
4 Trust pays the fixed rate and receives the floating rate.
• Total return swaps outstanding as of November 30, 2012 were as follows:  
   
       

 

  Reference Entity     Fixed Rate   Counterparty   Expiration
Date		   Notional
Amount
(000)		   Unrealized Depreciation
 
  Change in Return of the Consumer Price Index for All Urban Consumers     2.18%5   Bank of America Corp.   10/06/21 USD 1,880 $ (86,614)  
 
5 Trust pays the total return of the reference entity and receives the fixed rate. Net payment made at termination.
                                 

  

BLACKROCK CORE BOND TRUSTNOVEMBER 30, 201218
  

Schedule of Investments (continued) BlackRock Core Bond Trust (BHK)
   

 

 
• Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:
   
  • Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Trust has the ability to access
   
  • Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
   
  • Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust's own assumptions used in determining the fair value of investments and derivative financial instruments)
       

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
 
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust's policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust's policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Trust's most recent financial statements as contained in its annual report.

 

The following tables summarize the Trust's investments and derivative financial instruments categorized in the disclosure hierarchy as of November 30, 2012:

 

  Level 1   Level 2   Level 3   Total
Assets:
Investments:

Long Term

Investments:

 

Asset-Backed

Securities

   — $ 23,723,379 $ 1,083,982 $ 24,807,361
 

Common

Stocks

  —   —   3   3
 

Corporate

Bonds

   —   342,842,669   9,544,739   352,387,408
 

Foreign

Agency

Obligations

   —   448,421   —   448,421
 

Municipal

Bonds

   —   15,161,729   —   15,161,729
 

Non-Agency

Mortgage-

Backed

Securities

   —   64,943,987   1,326,969   66,270,956
 

Preferred

Securities

 $ 4,548,059   10,567,616   —   15,115,675
 

US

Government

Sponsored

Agency

Securities

   —   81,671,419   —   81,671,419
 

US Treasury

Obligations

   —   81,604,541   —   81,604,541

Short-Term

Securities

   378,109   —   —   378,109
Total $ 4,926,168 $ 620,963,761 $ 11,955,693 $ 637,845,622
                                   

 

    Level 1   Level 2   Level 3   Total
Derivative Financial Instruments1:
Assets:
  Credit contracts     — $ 792,102   — $ 792,102
  Foreign currency contracts     —   135,265   —   135,265
  Interest rate contracts   $ 223,220   991,170   —   1,214,390
Liabilities
  Credit contracts     —   (181,963)   —   (181,963)
  Foreign currency contracts     —   (20,450)   —   (20,450)
  Interest rate contracts     (515,266)   (6,218,966)   —   (6,734,232)
  Other contracts         (86,614)   —   (86,614)
  Total   $ (292,046) $ (4,589,456)   —   (4,881,502)
                                   

1 Derivative financial instruments are swaps, financial futures contracts and foreign currency exchange contracts. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

 

 

BLACKROCK CORE BOND TRUSTNOVEMBER 30, 201219
  

Schedule of Investments (concluded) BlackRock Core Bond Trust (BHK)
   

 

Certain of the Trust’s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial reporting purposes. As of November 30, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

  Level 1   Level 2   Level 3   Total
Assets:
  Foreign currency at value $    286,111   —   —   $      286,111  
  Cash pledged as collateral for reverse repurchase agreements 1,870,883     — —   1,870,883  
  Cash pledged as collateral for swaps 6,090,000   —   —   6,090,000  
Liabilities:
  Cash received as collateral for swaps — $   (1,200,000)   — (1,200,000)  
  Cash received as collateral for reverse repurchase agreements —       (1,410,475)       —   (1,410,475)  
  Reverse repurchase agreements —       (197,341,180)       —     (197,341,180)
Total $ 8,246,994       $(199,951,655)     —     $(191,704,661)
                                 

 

There were no transfers between Level 1 and Level 2 during the period ended November 30, 2012.

 

Certain of the Trust's investments are categorized as Level 3 and were valued utilizing transaction prices from recent transactions or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in the unobservable inputs could result in a significantly lower or higher value of such Level 3 investments.

 

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

 Non-Agency Mortgage-Backed Securities

 

Total

Assets:          
Opening Balance, as of August 31, 2012 $ 1,505,315 $ 1 $ 5,224,808 $    511,457 $   7,241,581
Transfers into Level 31 — — 4,421,623 — 4,421,623
Transfers out of Level 31 (365,529) — — — (365,529)
Accrued discounts/premiums (112,047) — (6,411) 1,447 (117,011)
Net realized gain (loss) 3 — — 13,369 13,372
Net change in unrealized appreciation/depreciation2 86,439 2 (95,281) 8,560 (280)
Purchases — — — 990,000 990,000
Sales (30,199) — — (197,864) (228,063)
Closing Balance, as of November 30, 2012 $ 1,083,982 $ 3 $ 9,544,739 $ 1,326,969 $ 11,955,693

1 Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period. As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of November 30, 2012, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $4,421,623 transferred from Level 2 to Level 3 in the disclosure hierarchy.

2 The change in unrealized appreciation/depreciation on investments still held as of November 30, 2012 was $(562).

 

BLACKROCK CORE BOND TRUSTNOVEMBER 30, 201220
  

Item 2 – Controls and Procedures

2(a) – The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the ″1940 Act″)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

2(b) – There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

BlackRock Core Bond Trust

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Core Bond Trust

 

Date: January 23, 2013

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Core Bond Trust

 

Date: January 23, 2013

 

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Core Bond Trust

 

Date: January 23, 2013