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: 08/31/2013

 

Date of reporting period: 08/31/2013

 

Item 1 – Report to Stockholders

 
 

AUGUST 31, 2013

ANNUAL REPORT

BlackRock Core Bond Trust (BHK)

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

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

BlackRock High Income Shares (HIS)

BlackRock High Yield Trust (BHY)

BlackRock Income Opportunity Trust, Inc. (BNA)

BlackRock Income Trust, Inc. (BKT)

BlackRock Strategic Bond Trust (BHD)

Not FDIC Insured • May Lose Value • No Bank Guarantee
      
 
  

Table of Contents

 
            Page    
Dear Shareholder
            3    
Annual Report:
                 
Trust Summaries
            4    
The Benefits and Risks of Leveraging
           20    
Derivative Financial Instruments
            20    
Financial Statements:
                     
Schedules of Investments
           21    
Statements of Assets and Liabilities
           118    
Statements of Operations
           122    
Statements of Changes in Net Assets
           124    
Statements of Cash Flows
           126    
Financial Highlights
           128    
Notes to Financial Statements
           136    
Report of Independent Registered Public Accounting Firm
            151    
Important Tax Information
            152    
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
           153    
Automatic Dividend Reinvestment Plans
            157    
Officers and Trustees
           158    
Additional Information
            161    
2 ANNUAL REPORT AUGUST 31, 2013
 
  
Dear Shareholder 

Though we’ve seen spates of volatility over the past year, riskier asset classes generally outperformed lower-risk investments. Financial markets rallied last fall after the European Central Bank and the US Federal Reserve announced aggressive monetary stimulus programs, substantially increasing global liquidity. But markets weakened later in the year amid slowing global trade as many European countries fell into recession and growth continued to decelerate in China. In the United States, investors became increasingly concerned about the “fiscal cliff” of tax increases and spending cuts that had been scheduled to take effect at the beginning of 2013. High levels of global market volatility persisted through year-end due to fears that bipartisan gridlock would preclude a timely resolution, putting the US economy at risk for recession.

The worst of the fiscal cliff was averted with a last-minute tax deal, allowing markets to get off to a good start in 2013. Money that had been pulled to the sidelines amid year-end tax-rate uncertainty poured back into the markets in January. Key indicators signaling modest but broad-based improvements in the world’s major economies coupled with the absence of negative headlines from Europe created an aura of comfort for investors. Global equities surged, while rising US Treasury yields pressured high quality fixed income assets. (Bond prices move in the opposite direction of yields.)

February brought a slowdown in global economic momentum and the pace of the rally moderated. In the months that followed, US equities outperformed international markets, as the US economic recovery showed greater stability compared to most other regions. Slow, but positive, growth in the United States was sufficient to support corporate earnings, while uncomfortably high unemployment reinforced investors’ expectations that the US Federal Reserve would keep interest rates low. International markets experienced higher levels of volatility given a resurgence of political instability in Italy and a severe banking crisis in Cyprus, while a poor outlook for European economies also dampened sentiment for overseas investment. Emerging markets significantly lagged the rest of the world as growth in these economies (particularly China and Brazil) fell short of expectations.

After peaking in late May, equity markets broadly sold off due to concerns about the US Federal Reserve reducing monetary stimulus. Volatility picked up considerably as investors abruptly retreated from risk assets and a sharp and dramatic rise in US Treasury yields resulted in tumbling prices for higher-quality fixed income investments. The downswing bottomed out in late June as a more dovish tone from the US central bank served to quell the extreme level of volatility in interest rates. Improving economic data and a positive outlook for corporate earnings helped financial markets regain strength in July, with major US equity indices hitting new record highs. However, markets slumped again in August as investors became more wary amid a number of unknowns. Mixed economic data spurred heightened uncertainty about the future of global growth and investors grew anxious about the timing and extent to which the US Federal Reserve would scale back on its asset-purchase program. Meanwhile, escalating political turmoil in Egypt and Syria renewed concerns about the impact of the broader issue of growing unrest in many countries across the Middle East-North Africa region.

On the whole, developed market equities generated strong returns for the 6- and 12-month periods ended August 31, 2013. Emerging markets, in contrast, suffered the impact of slowing growth and concerns about a shrinking global money supply. Extraordinary levels of interest rate volatility in the latter part of the period resulted in poor performance for most fixed income assets, especially US Treasury bonds and other higher quality sectors such as tax-exempt municipals and investment grade corporate bonds. Conversely, high yield bonds posted gains as the sector continued to benefit from investors’ ongoing search for income in the low-rate environment. Short-term interest rates remained near zero, keeping yields on money market securities near historical lows.

Markets remain volatile, and investors continue to face a number of uncertainties in the current environment. At BlackRock, we believe investors need to think globally and extend their scope across a broader 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 www.blackrock.com for further insight about investing in today’s world.

Sincerely,

  

Rob Kapito
President, BlackRock Advisors, LLC

 
“Though we’ve seen spates of volatility over the past year, riskier asset classes generally outperformed lower-risk investments.”

Rob Kapito
President, BlackRock Advisors, LLC

Total Returns as of August 31, 2013

         6-month      12-month
US large cap equities (S&P 500® Index)
            8.95 %           18.70 %  
US small cap equities (Russell 2000® Index)
            11.73            26.27   
International equities (MSCI Europe, Australasia, Far East Index)
            3.71            18.66   
Emerging market equities (MSCI Emerging Markets Index)
            (10.29 )           0.54   
3-month Treasury bill (BofA Merrill Lynch 3-Month US Treasury
Bill Index)
            0.05            0.11   
US Treasury securities (BofA Merrill Lynch
10-Year US Treasury Index)
            (6.10 )           (7.51 )  
US investment grade bonds (Barclays US Aggregate Bond Index)
            (2.61 )           (2.47 )  
Tax-exempt municipal bonds (S&P Municipal Bond Index)
            (5.99 )           (3.74 )  
US high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index)
            0.84            7.56   

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 August 31, 2013 BlackRock Core Bond Trust

Trust Overview

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

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

Portfolio Management Commentary

How did the Trust perform?

•For the 12-month period ended August 31, 2013, the Trust returned (13.43)% based on market price and (1.42)% based on net asset value (“NAV”). For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of (6.88)% based on market price and 3.69% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•Fixed income markets experienced two trends over the 12-month period. In the first half of the period, riskier assets rallied as investors sought higher-yielding investments amid historically low yields. Prices moved higher and spreads tightened across most fixed income sectors. However, a new trend took hold in May when US Federal Reserve Chairman Bernanke alluded to a potential tapering of the central bank’s bond-buying stimulus program toward the end of 2013, triggering a sharp decline in fixed income markets. Spreads widened rapidly across fixed income sectors as yields rose and volatility increased.
•The Trust’s long duration bias (greater sensitivity to interest rate movements) and yield curve positioning detracted from performance as interest rates began to rise in the latter part of the period. (Bond prices fall as rates rise.) The Trust’s holdings of US Treasury securities particularly suffered in the rising rate environment. Exposure to 30-year agency pass-through mortgage-backed securities (“MBS”) and US agency debentures hurt results as both sectors were impacted by uncertainty around the US Federal Reserve’s stance on monetary policy.
•The Trust’s holdings in the euro and British pound sterling positions had a positive impact on returns, as did exposure to commercial mortgage-backed securities (“CMBS”), non-agency residential MBS and agency collateralized mortgage obligations (“CMOs”). Also contributing positively were the Trust’s holdings in asset-backed securities (“ABS”) and agency interest-only issues.
•The Trust uses interest rate derivatives including futures, options, swaps and swaptions, mainly for the purpose of managing duration, convexity and yield curve positioning. During the period, the Trust held short positions on US Treasuries in order to manage the duration profile of the portfolio. These positions were beneficial to the Trust’s performance during certain periods of rising interest rates. For the period as a whole, the Trust’s derivatives holdings had a negative impact on returns.

Describe recent portfolio activity.

•During the 12-month period, the Trust only made slight changes to its overall asset allocation. The Trust slightly increased exposure to high yield credit, particularly in financials and industrials, and reduced exposure to agency MBS, mostly within 30-year pass-through issues.

Describe portfolio positioning at period end.

•At period end, the Trust maintained diversified exposure to non-government sectors including investment grade credit, high yield credit, CMBS, ABS and non-agency MBS. The Trust also held exposure to government-related sectors including US Treasury securities, agency debt and agency MBS.

 
   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 ANNUAL REPORT AUGUST 31, 2013
 
  
  BlackRock Core Bond Trust

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 August 31, 2013 ($12.50)1
     
7.25%
Current Monthly Distribution per Common Share2
      
$0.0755
Current Annualized Distribution per Common Share2
      
$0.9060
Economic Leverage as of August 31, 20133
      
31%
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. See the financial highlights for the actual sources and character of distributions. Past performance does not guarantee future results.
2   The distribution rate is not constant and is subject to change.
3   Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

Market Price and Net Asset Value Per Share Summary
   
 8/31/13
    
 8/31/12
    
 Change
    
 High
    
 Low
Market Price
        $ 12.50         $ 15.41            (18.88 )%        $ 16.24         $ 12.27   
Net Asset Value
         $ 14.05         $ 15.21            (7.63 )%        $ 15.69         $ 13.81   

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



 

Overview of the Trust’s Long-Term Investments

Portfolio Composition
   
 8/31/13
    
 8/31/12
Corporate Bonds
            58 %           52 %  
Non-Agency Mortgage-Backed Securities
           11             11    
US Government Sponsored Agency Securities
           10             13    
US Treasury Obligations
           8             14    
Preferred Securities
            5             2    
Asset-Backed Securities
            5             5    
Taxable Municipal Bonds
            2             2    
Foreign Agency Obligations
           1             1    

Credit Quality Allocation4
   
 8/31/13
    
 8/31/12
AAA/Aaa5
                14 %           36 %  
AA/Aa
            15             3    
A
            21             20    
BBB/Baa
            23             23    
BB/Ba
            12             7    
B
            13             9    
CCC/Caa
            1             2    
Not Rated
           1             —    
4   Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.
5   Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor.
ANNUAL REPORT AUGUST 31, 2013 5
 
  
Trust Summary as of August 31, 2013 BlackRock Corporate High Yield Fund V, Inc.

Trust Overview

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

On June 5, 2013, the Board of the Trust approved the reorganization of the Trust with BlackRock Corporate High Yield Fund VI, Inc., with BlackRock Corporate High Yield Fund VI, Inc. continuing as the surviving fund after the reorganization. On October 11, 2013, the shareholders of the Trust and BlackRock Corporate High Yield Fund VI, Inc. approved the reorganization, which is expected to be completed in late 2013.

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

Portfolio Management Commentary

How did the Trust perform?

•For the 12-month period ended August 31, 2013, the Trust returned (4.96)% based on market price and 12.51% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.68)% based on market price and 10.20% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•The Trust benefited from a tactical allocation to equities, which rallied during the period. In fixed income, security selection within the automotive, gaming and non-captive diversified (consumer credit-related businesses) industries boosted results.
•Detracting from performance was the Trust’s exposure to names in the metals, media non cable and wireless industries. An allocation to senior secured floating rate loan interests (bank loans) generated positive results on an absolute basis, however, the allocation represented an opportunity cost to the Trust as the sector underperformed high yield during the period.

Describe recent portfolio activity.

•The Trust actively managed risk throughout the period. The Trust began the period with a riskier stance, but gradually reduced risk in the middle of the period by taking advantage of market strength to sell its higher-beta holdings (securities with greater sensitivity to market movements). The Trust scaled back its risk exposure more aggressively when financial markets began to correct in mid-May.
•The Trust’s focus on income-oriented credits with strong asset bases and good earnings visibility remained paramount to the investment selection process. While continuing to find value within credit sectors, during the period, the Trust tactically added to select positions in equity and equity-like assets with compelling total return opportunities. Given upward pressure on interest rates in the latter part of the period, the Trust reduced duration (sensitivity to interest rate movements) in its credit allocation. The Trust added to positions in floating rate loan interests as a means of lowering the Trust’s duration profile and hedging against the risk of further interest rate volatility. Over the 12-month period, the Trust increased exposure to the technology and building materials industries, while decreasing risk within independent energy.

Describe portfolio positioning at period end.

•At period end, the Trust held 76% of its total portfolio in corporate bonds, 14% in floating rate loan interests and 7% in common stocks, with the remainder invested in preferred stocks and ABS. The Trust’s highest-conviction holdings included HD Supply, Inc. (building materials), Caesars Entertainment Corp. (gaming) and Dana Holding Corp. (automotive). The Trust held limited exposure to segments with minimal cash flow visibility and/or challenged industry dynamics.

 
   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 ANNUAL REPORT AUGUST 31, 2013
 
  
  BlackRock Corporate High Yield Fund V, Inc.

Trust Information

Symbol on NYSE
      
HYV
Initial Offering Date
      
November 30, 2001
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($11.72)1
      
8.75%
Current Monthly Distribution per Common Share2
      
$ 0.0855
Current Annualized Distribution per Common Share2
      
$ 1.0260
Economic Leverage as of August 31, 20133
      
30%
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. See the financial highlights for the actual sources and character of distributions. Past performance does not guarantee future results.
2   The distribution rate is not constant and is subject to change.
3   Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

Market Price and Net Asset Value Per Share Summary
   
 8/31/13
    
 8/31/12
    
 Change
    
 High
    
 Low
Market Price
        $ 11.72         $ 13.51            (13.25 )%        $ 13.59         $ 11.40   
Net Asset Value
         $ 12.97         $ 12.63            2.69 %        $ 13.72         $ 12.60   

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



 

Overview of the Trust’s Long-Term Investments

Portfolio Composition
   
 8/31/13
    
 8/31/12
   
Corporate Bonds
                76 %           75 %  
Floating Rate Loan Interests
            14             17    
Common Stocks
            7             6    
Preferred Stocks
            2             2    
Asset-Backed Securities
           1             —    

Credit Quality Allocation4
   
 8/31/13
    
 8/31/12
   
A
                1 %           1 %  
BBB/Baa
            5             6    
BB/Ba
            31             35    
B
            50             43    
CCC/Caa
            11             13    
Not Rated
            2             2    
4   Using the higher of S&P’s or Moody’s ratings.
ANNUAL REPORT AUGUST 31, 2013 7
 
  
Trust Summary as of August 31, 2013 BlackRock Corporate High Yield Fund VI, Inc.

Trust Overview

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

On June 5, 2013, the Board of the Trust approved the reorganization of the Trust with each of BlackRock High Yield Trust, BlackRock Corporate High Yield Fund, Inc., BlackRock Corporate High Yield Fund III, Inc., BlackRock High Income Shares and BlackRock Corporate High Yield Fund V, Inc. (each a “Target Fund”), with the Trust continuing as the surviving fund after the reorganizations. On October 11, 2013, the shareholders of the Trust and each Target Fund approved their respective reorganization, which is expected to be completed in late 2013.

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

Portfolio Management Commentary

How did the Trust perform?

•For the 12-month period ended August 31, 2013, the Trust returned (4.16)% based on market price and 11.90% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.68)% based on market price and 10.20% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•The Trust benefited from a tactical allocation to equities, which rallied during the period. In fixed income, security selection within the automotive, gaming and non-captive diversified (consumer credit-related businesses) industries boosted results.
•Detracting from performance was the Trust’s exposure to names in the metals, media non cable and wireless industries. An allocation to senior secured floating rate loan interests (bank loans) generated positive results on an absolute basis, however, the allocation represented an opportunity cost to the Trust as the sector underperformed high yield during the period.

Describe recent portfolio activity.

•The Trust actively managed risk throughout the period. The Trust began the period with a riskier stance, but gradually reduced risk in the middle of the period by taking advantage of market strength to sell its higher-beta holdings (securities with greater sensitivity to market movements). The Trust scaled back its risk exposure more aggressively when financial markets began to correct in mid-May.
•The Trust’s focus on income-oriented credits with strong asset bases and good earnings visibility remained paramount to the investment selection process. While continuing to find value within credit sectors, during the period, the Trust tactically added to select positions in equity and equity-like assets with compelling total return opportunities. Given upward pressure on interest rates in the latter part of the period, the Trust reduced duration (sensitivity to interest rate movements) in its credit allocation. The Trust added to positions in floating rate loan interests as a means of lowering the Trust’s duration profile and hedging against the risk of further interest rate volatility. Over the 12-month period, the Trust increased exposure to the technology and building materials industries, while decreasing risk within independent energy.

Describe portfolio positioning at period end.

•At period end, the Trust held 76% of its total portfolio in corporate bonds, 14% in floating rate loan interests and 7% in common stocks, with the remainder invested in preferred stocks and ABS. The Trust’s highest-conviction holdings included HD Supply, Inc. (building materials), Caesars Entertainment Corp. (gaming) and Level 3 Financing, Inc. (wirelines). The Trust held limited exposure to segments with minimal cash flow visibility and/or challenged industry dynamics.

 
   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 ANNUAL REPORT AUGUST 31, 2013
 
  
  BlackRock Corporate High Yield Fund VI, Inc.

Trust Information

Symbol on NYSE
      
HYT
Initial Offering Date
      
May 30, 2003
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($11.37)1
      
8.50%
Current Monthly Distribution per Common Share2
      
$0.0805
Current Annualized Distribution per Common Share2
      
$0.9660
Economic Leverage as of August 31, 20133
      
30%
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. See the financial highlights for the actual sources and character of distributions. Past performance does not guarantee future results.
2   The distribution rate is not constant and is subject to change.
3   Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

Market Price and Net Asset Value Per Share Summary
   
 8/31/13
    
 8/31/12
    
 Change
    
 High
    
 Low
Market Price
        $ 11.37         $ 12.96            (12.27 )%        $ 13.37         $ 11.15   
Net Asset Value
         $ 12.62         $ 12.32            2.44 %        $ 13.37         $ 12.28   

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



 

Overview of the Trust’s Long-Term Investments

Portfolio Composition
   
 8/31/13
    
 8/31/12
   
Corporate Bonds
            76 %           75 %  
Floating Rate Loan Interests
            14             17    
Common Stocks
            7             6    
Preferred Stocks
            2             2    
Asset-Backed Securities
           1             —    

Credit Quality Allocation4
   
 8/31/13
    
 8/31/12
A
            —             1 %  
BBB/Baa
            5 %           6    
BB/Ba
            30             35    
B
            51             43    
CCC/Caa
            12             14    
Not Rated
            2             1    
4   Using the higher of S&P’s or Moody’s ratings.
ANNUAL REPORT AUGUST 31, 2013 9
 
  
Trust Summary as of August 31, 2013 BlackRock High Income Shares

Trust Overview

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

On June 5, 2013, the Board of the Trust approved the reorganization of the Trust with BlackRock Corporate High Yield Fund VI, Inc., with BlackRock Corporate High Yield Fund VI, Inc. continuing as the surviving fund after the reorganization. On October 11, 2013, the shareholders of the Trust and BlackRock Corporate High Yield Fund VI, Inc. approved the reorganization, which is expected to be completed in late 2013.

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

Portfolio Management Commentary

How did the Trust perform?

•For the 12-month period ended August 31, 2013, the Trust returned (9.23)% based on market price and 8.45% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.68)% based on market price and 10.20% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•The Trust benefited from a tactical allocation to equities, which rallied during the period. In fixed income, security selection within the automotive, building materials and technology industries boosted results.
•Detracting from performance was the Trust’s exposure to names in the metals, media non cable and wireless industries. An allocation to senior secured floating rate loan interests (bank loans) generated positive results on an absolute basis, however, the allocation represented an opportunity cost to the Trust as the sector underperformed high yield during the period.

Describe recent portfolio activity.

•The Trust actively managed risk throughout the period. The Trust began the period with a riskier stance, but gradually reduced risk in the middle of the period by taking advantage of market strength to sell its higher-beta holdings (securities with greater sensitivity to market movements). The Trust scaled back its risk exposure more aggressively when financial markets began to correct in mid-May.
•The Trust’s focus on income-oriented credits with strong asset bases and good earnings visibility remained paramount to the investment selection process. While continuing to find value within credit sectors, during the period, the Trust tactically added to select positions in equity and equity-like assets with compelling total return opportunities. Given upward pressure on interest rates in the latter part of the period, the Trust reduced duration (sensitivity to interest rate movements) in its credit allocation. The Trust added to positions in floating rate loan interests as a means of lowering the Trust’s duration profile and hedging against the risk of further interest rate volatility. Over the 12-month period, the Trust increased exposure to the technology and building materials industries, while decreasing risk within independent energy.

Describe portfolio positioning at period end.

•At period end, the Trust held 81% of its total portfolio in corporate bonds and 16% in floating rate loan interests, with the remainder invested in preferred securities and common stocks. The Trust’s highest-conviction holdings included HD Supply, Inc. (building materials), GMAC Capital Trust I (non-captive diversified) and Biomet, Inc. (healthcare). The Trust held limited exposure to segments with minimal cash flow visibility and/or challenged industry dynamics.

 
   The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
10 ANNUAL REPORT AUGUST 31, 2013
 
  
  BlackRock High Income Shares

Trust Information

Symbol on NYSE
      
HIS
Initial Offering Date
      
August 10, 1988
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($2.00)1
      
8.52%
Current Monthly Distribution per Common Share2
      
$0.0142
Current Annualized Distribution per Common Share2
      
$0.1704
Economic Leverage as of August 31, 20133
      
23%

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. See the financial highlights for the actual sources and character of distributions. Past performance does not guarantee future results.
2   The distribution rate is not constant and is subject to change.
3   Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

Market Price and Net Asset Value Per Share Summary
   
 8/31/13
    
 8/31/12
    
 Change
    
 High
    
 Low
Market Price
        $ 2.00         $ 2.40            (16.67 )%        $ 2.49         $ 1.96   
Net Asset Value
         $ 2.25         $ 2.26            (0.44 )%        $ 2.40         $ 2.21   

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



 

Overview of the Trust’s Long-Term Investments

Portfolio Composition
   
 8/31/13
    
 8/31/12
Corporate Bonds
            81 %           79 %  
Floating Rate Loan Interests
            16             18    
Preferred Securities
            2             2    
Common Stocks
            1             1    

Credit Quality Allocation4
   
 8/31/13
    
 8/31/12
A
            —             1 %  
BBB/Baa
            6 %           7    
BB/Ba
            31             34    
B
            51             43    
CCC/Caa
            11             14    
Not Rated
            1             1    
4   Using the higher of S&P’s or Moody’s ratings.
ANNUAL REPORT AUGUST 31, 2013 11
 
  
Trust Summary as of August 31, 2013 BlackRock High Yield Trust

Trust Overview

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

On June 5, 2013, the Board of the Trust approved the reorganization of the Trust with BlackRock Corporate High Yield Fund VI, Inc., with BlackRock Corporate High Yield Fund VI, Inc. continuing as the surviving fund after the reorganization. On October 11, 2013, the shareholders of the Trust and BlackRock Corporate High Yield Fund VI, Inc. approved the reorganization, which is expected to be completed in late 2013.

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

Portfolio Management Commentary

How did the Trust perform?

•For the 12-month period ended August 31, 2013, the Trust returned (9.60)% based on market price and 9.72% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.68)% based on market price and 10.20% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•The Trust benefited from a tactical allocation to equities, which rallied during the period. In fixed income, security selection within the automotive, building materials and non-captive diversified (consumer credit-related businesses) industries boosted results.
•Detracting from performance was the Trust’s exposure to names in the paper, media non cable and wireless industries. An allocation to senior secured floating rate loan interests (bank loans) generated positive results on an absolute basis, however, the allocation represented an opportunity cost to the Trust as the sector underperformed high yield during the period.

Describe recent portfolio activity.

•The Trust actively managed risk throughout the period. The Trust began the period with a riskier stance, but gradually reduced risk in the middle of the period by taking advantage of market strength to sell its higher-beta holdings (securities with greater sensitivity to market movements). The Trust scaled back its risk exposure more aggressively when financial markets began to correct in mid-May.
•The Trust’s focus on income-oriented credits with strong asset bases and good earnings visibility remained paramount to the investment selection process. While continuing to find value within credit sectors, during the period, the Trust tactically added to select positions in equity and equity-like assets with compelling total return opportunities. Given upward pressure on interest rates in the latter part of the period, the Trust reduced duration (sensitivity to interest rate movements) in its credit allocation. The Trust added to positions in floating rate loan interests as a means of lowering the Trust’s duration profile and hedging against the risk of further interest rate volatility. Over the 12-month period, the Trust increased exposure to the technology and building materials industries, while decreasing risk within independent energy.

Describe portfolio positioning at period end.

•At period end, the Trust held 79% of its total portfolio in corporate bonds, 13% in floating rate loan interests and 6% in common stocks, with the remainder invested in preferred securities. The Trust’s highest-conviction holdings included HD Supply, Inc. (building materials), Caesars Entertainment Corp. (gaming) and Level 3 Financing, Inc. (wirelines). The Trust held limited exposure to segments with minimal cash flow visibility and/or challenged industry dynamics.

 
   The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
12 ANNUAL REPORT AUGUST 31, 2013
 
  
  BlackRock High Yield Trust

Trust Information

Symbol on NYSE
      
BHY
Initial Offering Date
      
December 23, 1998
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($6.77)1
      
7.59%
Current Monthly Distribution per Common Share2
      
$0.0428
Current Annualized Distribution per Common Share2
      
$0.5136
Economic Leverage as of August 31, 20133
      
28%
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. See the financial highlights for the actual sources and character of distributions. Past performance does not guarantee future results.
2   The distribution rate is not constant and is subject to change.
3   Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

Market Price and Net Asset Value Per Share Summary
   
 8/31/13
    
 8/31/12
    
 Change
    
 High
    
 Low
Market Price
        $ 6.77         $ 8.04            (15.80 )%        $ 8.54         $ 6.63   
Net Asset Value
         $ 7.45         $ 7.29            2.19 %        $ 7.90         $ 7.26   

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



 

Overview of the Trust’s Long-Term Investments

Portfolio Composition
   
 8/31/13
    
 8/31/12
Corporate Bonds
            79 %           78 %  
Floating Rate Loan Interests
            13             17    
Common Stocks
            6             3    
Preferred Securities
            2             2    

Credit Quality Allocation4
   
 8/31/13
    
 8/31/12
A
            1 %           1 %  
BBB/Baa
            5             7    
BB/Ba
            30             35    
B
            51             44    
CCC/Caa
            11             12    
Not Rated
            2             1    
4   Using the higher of S&P’s or Moody’s ratings.
ANNUAL REPORT AUGUST 31, 2013 13
 
  
Trust Summary as of August 31, 2013 BlackRock Income Opportunity Trust, Inc.

Trust Overview

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

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

Portfolio Management Commentary

How did the Trust perform?

•For the 12-month period ended August 31, 2013, the Trust returned (11.39)% based on market price and (1.47)% based on NAV. For the same period, the closed-end Lipper Corporate BBB-Rated Debt Funds (Leveraged) category posted an average return of (6.88)% based on market price and 3.69% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•Fixed income markets experienced two trends over the 12-month period. In the first half of the period, riskier assets rallied as investors sought higher-yielding investments amid historically low yields. Prices moved higher and spreads tightened across most fixed income sectors. However, a new trend took hold in May when US Federal Reserve Chairman Bernanke alluded to a potential tapering of the central bank’s bond-buying stimulus program toward the end of 2013, triggering a sharp decline in fixed income markets. Spreads widened rapidly across fixed income sectors as yields rose and volatility increased.
•The Trust’s long duration bias (greater sensitivity to interest rate movements) and yield curve positioning detracted from performance as interest rates began to rise in the latter part of the period. (Bond prices fall as rates rise.) The Trust’s holdings of US Treasury securities particularly suffered in the rising rate environment. Exposure to 30-year agency pass-through MBS and US agency debentures hurt results as both sectors were impacted by uncertainty around the US Federal Reserve’s stance on monetary policy. Additionally, positions in corporate and municipal bonds had a slight negative impact on returns.
•The Trust’s holdings denominated in the euro and British pound sterling had a positive impact on returns, as did exposure to CMBS, non-agency residential MBS and CMOs. Also contributing positively were the Trust’s holdings in foreign sovereign debt and agency interest-only issues.
•The Trust uses interest rate derivatives including futures, options, swaps and swaptions, mainly for the purpose of managing duration, convexity and yield curve positioning. During the period, the Trust held short positions on US Treasuries in order to manage the duration profile of the portfolio. These positions were beneficial to the Trust’s performance during certain periods of rising interest rates. For the period as a whole, the Trust’s derivatives holdings had a negative impact on returns.

Describe recent portfolio activity.

•During the 12-month period, the Trust only made slight changes to its overall asset allocation. The Trust slightly increased exposure to high yield credit, particularly in financials and industrials, and reduced exposure to agency MBS, mostly within 30-year pass-through issues.

Describe portfolio positioning at period end.

•At period end, the Trust maintained diversified exposure to non-government sectors including investment grade credit, high yield credit, CMBS, ABS and non-agency MBS. The Trust also held exposure to government-related sectors including US Treasury securities, agency debt and agency MBS.

 
   The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
14 ANNUAL REPORT AUGUST 31, 2013
 
  
  BlackRock Income Opportunity Trust, Inc.

Trust Information

Symbol on NYSE
      
BNA
Initial Offering Date
      
December 20, 1991
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($9.64)1
      
7.41%
Current Monthly Distribution per Common Share2
      
$0.0595
Current Annualized Distribution per Common Share2
      
$0.7140
Economic Leverage as of August 31, 20133
      
31%

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. See the financial highlights for the actual sources and character of distributions. Past performance does not guarantee future results.
2   The distribution rate is not constant and is subject to change.
3   Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

Market Price and Net Asset Value Per Share Summary
   
 8/31/13
    
 8/31/12
    
 Change
    
 High
    
 Low
Market Price
        $ 9.64         $ 11.58            (16.75 )%        $ 12.07         $ 9.48   
Net Asset Value
         $ 10.96         $ 11.84            (7.43 )%        $ 12.26         $ 10.78   

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



 

Overview of the Trust’s Long-Term Investments

Portfolio Composition
   
 8/31/13
    
 8/31/12
Corporate Bonds
            58 %           51 %  
Non-Agency Mortgage-Backed Securities
            11             11    
US Government Sponsored Agency Securities
           10             14    
US Treasury Obligations
            7             15    
Preferred Securities
            6             2    
Asset-Backed Securities
           5             4    
Taxable Municipal Bonds
            2             2    
Foreign Agency Obligations
           1             1    

Credit Quality Allocation4
   
 8/31/13
    
 8/31/12
AAA/Aaa5
            24 %           37 %  
AA/Aa
            4             3    
A
            21             19    
BBB/Baa
            24             23    
BB/Ba
            13             6    
B
            12             9    
CCC/Caa
            1             2    
Not Rated
            1             1    
4   Using the higher of S&P’s or Moody’s ratings.
5   Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor.
ANNUAL REPORT AUGUST 31, 2013 15
 
  
Trust Summary as of August 31, 2013 BlackRock Income Trust, Inc.

Trust Overview

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

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

Portfolio Management Commentary

How did the Trust perform?

•For the 12-month period ended August 31, 2013, the Trust returned (10.34)% based on market price and (1.45)% based on NAV. For the same period, the closed-end Lipper US Mortgage Funds category posted an average return of (4.73)% based on market price and 5.49% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•Fixed income markets experienced two trends over the 12-month period. In the first half of the period, riskier assets rallied as investors sought higher-yielding investments amid historically low yields. Prices moved higher and spreads tightened across most fixed income sectors. However, a new trend took hold in May when US Federal Reserve Chairman Bernanke alluded to a potential tapering of the central bank’s bond-buying stimulus program toward the end of 2013, triggering a sharp decline in fixed income markets. Spreads widened rapidly across fixed income sectors as yields rose and volatility increased.
•The increase in interest rates in the latter part of the period had a negative impact on the Trust’s performance. (Bond prices fall as rates rise.) In particular, the Trust’s holdings of 15- and 30-year agency pass-through MBS and US Treasury securities detracted from performance.
•Contributing positively to performance was the Trust’s exposure to securitized assets. Specifically, agency CMOs and agency mortgage derivatives (including interest-only and principal-only securities) added to performance. Given improvements in the US housing market, the Trust also benefited from exposure to Alt-A (riskier than prime, but less risky than subprime) and prime non-agency residential MBS and CMBS. The Trust’s allocation to the ABS sector also contributed positively to performance.
•The Trust uses interest rate derivatives including futures, options, swaps and swaptions, mainly for the purpose of managing duration, convexity and yield curve positioning. During the period, the Trust held short positions on US Treasuries in order to manage the duration profile of the portfolio. These positions were beneficial to the Trust’s performance during certain periods of rising interest rates. For the period as a whole, the Trust’s derivatives holdings had a positive impact on returns.

Describe recent portfolio activity.

•During the 12-month period, the Trust increased exposure to agency MBS, especially within agency CMO as these securities offered strong income. The Trust maintained a reduced exposure to 30- and 15-year agency pass-through MBS securities and mortgage derivatives. The Trust also retained its small allocations to ABS, CMBS and non-agency MBS as they continued to benefit from improving underlying fundamentals.

Describe portfolio positioning at period end.

•As of period end, the Trust maintained exposure to high quality agency MBS with varying maturities and coupon rates. The Trust continued to hold small allocations to non-agency MBS and 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.
16 ANNUAL REPORT AUGUST 31, 2013
 
  
  BlackRock Income Trust, Inc.

Trust Information

Symbol on NYSE
      
BKT
Initial Offering Date
      
July 22, 1988
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($6.40)1
      
6.94%
Current Monthly Distribution per Common Share2
      
$0.037
Current Annualized Distribution per Common Share2
      
$0.444
Economic Leverage as of August 31, 20133
      
24%

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. See the financial highlights for the actual sources and character of distributions. Past performance does not guarantee future results.
2   The distribution rate is not constant and is subject to change.
3   Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 20.

Market Price and Net Asset Value Per Share Summary
   
 8/31/13
    
 8/31/12
    
 Change
    
 High
    
 Low
Market Price
        $ 6.40         $ 7.63            (16.12 )%        $ 7.74         $ 6.33   
Net Asset Value
         $ 7.32         $ 7.94            (7.81 )%        $ 7.96         $ 7.27   

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



 

Overview of the Trust’s Long-Term Investments

Portfolio Composition
   
 8/31/13
    
 8/31/12
US Government Sponsored Agency Securities
           96 %           86 %  
Non-Agency Mortgage-Backed Securities
            2             2    
US Treasury Obligations
            1             11    
Asset-Backed Securities
           1             1    

Credit Quality Allocation4
   
 8/31/13
    
 8/31/12
AAA/Aaa5
            100 %           100 %  
4   Using the higher of S&P’s or Moody’s ratings.
5   Includes US Government Sponsored Agency Securities, which were deemed AAA/Aaa by the investment advisor.
ANNUAL REPORT AUGUST 31, 2013 17
 
  
Trust Summary as of August 31, 2013 BlackRock Strategic Bond Trust

Trust Overview

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

On July 19, 2013, the Board of the Trust approved the reorganization of the Trust with BlackRock Debt Strategies Fund, Inc., with BlackRock Debt Strategies Fund, Inc. continuing as the surviving fund after the reorganization. On October 25, 2013, the shareholders of the Trust and BlackRock Debt Strategies Fund, Inc. approved the reorganization, which is expected to be completed in late 2013.

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

Portfolio Management Commentary

How did the Trust perform?

•For the 12-month period ended August 31, 2013, the Trust returned (6.29)% based on market price and 5.45% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.68)% based on market price and 10.20% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•Detracting from performance was the Trust’s exposure to names in the paper, media cable and wireless industries. An allocation to senior secured floating rate loan interests (bank loans) generated positive results on an absolute basis, however, the allocation represented an opportunity cost to the Trust as the sector underperformed high yield during the period.
•The Trust benefited from a tactical allocation to equities, which rallied during the period. In fixed income, exposure to select sovereign issuers and investment grade credits had a positive impact on performance. From an industry perspective, security selection within gaming, wirelines and non-captive diversified (consumer credit-related businesses) boosted results.

Describe recent portfolio activity.

•The Trust actively managed risk throughout the period. The Trust began the period with a riskier stance, but gradually reduced risk in the middle of the period by taking advantage of market strength to sell its higher-beta holdings (securities with greater sensitivity to market movements). The Trust scaled back its risk exposure more aggressively when financial markets began to correct in mid-May.
•The Trust’s focus on income-oriented credits with strong asset bases and good earnings visibility remained paramount to the investment selection process. While continuing to find value within credit sectors, during the period, the Trust tactically added to select positions in equity and equity-like assets with compelling total return opportunities. Given upward pressure on interest rates in the latter part of the period, the Trust reduced duration (sensitivity to interest rate movements) in its credit allocation. The Trust added to positions in floating rate loan interests as a means of lowering the Trust’s duration profile and hedging against the risk of further interest rate volatility. Over the 12-month period, the Trust increased exposure to the healthcare and building materials industries, while decreasing risk within chemicals and independent energy.

Describe portfolio positioning at period end.

•At period end, the Trust held 83% of its total portfolio in corporate bonds and 14% in floating rate loan interests, with the remainder invested in US Treasury obligations and preferred securities. The Trust’s highest-conviction holdings included HD Supply, Inc. (building materials), Caesars Entertainment Corp. (gaming) and Biomet, Inc. (healthcare). The Trust held limited exposure to segments with minimal cash flow visibility and/or challenged industry dynamics.

 
   The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
18 ANNUAL REPORT AUGUST 31, 2013
 
  
  BlackRock Strategic Bond Trust

Trust Information

Symbol on NYSE
     
BHD
Initial Offering Date
      
February 26, 2002
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($12.68)1
      
7.38%
Current Monthly Distribution per Common Share2
      
$0.078
Current Annualized Distribution per Common Share2
      
$0.936
Economic Leverage as of August 31, 20133
      
22%

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. See the financial highlights for the actual sources and character of distributions. Past performance does not guarantee future results.
2   The distribution rate is not constant and is subject to change.
3   Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 20.

Market Price and Net Asset Value Per Share Summary
   
 8/31/13
    
 8/31/12
    
 Change
    
 High
    
 Low
Market Price
        $ 12.68         $ 14.52            (12.67 )%        $ 16.01         $ 12.41   
Net Asset Value
         $ 14.15         $ 14.40            (1.74 )%        $ 15.08         $ 13.93   

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



 

Overview of the Trust’s Long-Term Investments

Portfolio Composition
   
 8/31/13
    
 8/31/12
Corporate Bonds
            83 %           79 %  
Floating Rate Loan Interests
            14             17    
US Treasury Obligations
            2             1    
Preferred Securities
            1             2    
Common Stocks
           —             1    

Credit Quality Allocation4
   
 8/31/13
    
 8/31/12
AAA/Aaa
            —             —    
AA/Aa
            1 %           1 %  
A
            12             12    
BBB/Baa
            16             21    
BB/Ba
            30             26    
B
            36             32    
CCC/Caa
            4             7    
Not Rated
            1             1    
4   Using the higher of S&P’s or Moody’s ratings.
ANNUAL REPORT AUGUST 31, 2013 19
 
  
The Benefits and Risks of Leveraging    

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

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

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

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

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

Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts’ debt securities does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively in addition to the impact on Trust performance from leverage from borrowings discussed above.

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Trusts are permitted to issue senior securities representing indebtedness up to 331⁄3% of their total managed assets (each Trust’s net assets plus the proceeds of any outstanding borrowings). If the Trusts segregate liquid assets having a value not less than the repurchase price (including accrued interest), a reverse repurchase agreement will not be considered a senior security and therefore will not be subject to this limitation. In addition, each Trust voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of August 31, 2013, the Trusts had aggregate economic leverage from reverse repurchase agreements, treasury roll transactions and/or borrowings through a credit facility as a percentage of their total managed assets as follows:

          Percent of
Economic
Leverage
BHK
            31 %  
HYV
            30 %  
HYT
            30 %  
HIS
            23 %  
BHY
            28 %  
BNA
            31 %  
BKT
            24 %  
BHD
            22 %  

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps, as specified in Note 4 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such 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 hedge market, equity, credit, interest rate, foreign currency exchange rate and/or other risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in lower dividends paid to shareholders or may cause a Trust to hold an investment that it might otherwise sell. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

20 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments August 31, 2013 BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)
Asset-Backed Securities                  Par
(000)		      Value
Asset-Backed Securities — 7.5%
                                                             
321 Henderson Receivables I LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (a)
      
USD
         673          $      687,269     
ACAS CLO Ltd., Series 2013-1A, Class C, 3.24%, 4/20/25 (a)(b)
      
 
         500             480,000   
AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17
      
 
         400             415,284   
Apidos CDO XI, Series 2012-11A, Class D, 4.52%, 1/17/23 (a)(b)
      
 
         600             596,100   
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (a)(b)
      
 
         750             712,875   
Babson CLO Ltd., Series 2012-1X, Class B, 2.77%, 4/15/22 (b)
      
 
         500             492,500   
Brookside Mill CLO Ltd., Series 2013-1A, Class C1, 2.92%, 4/17/25 (a)(b)
      
 
         500             474,400   
CarMax Auto Owner Trust:
                                                             
Series 2012-1, Class B, 1.76%, 8/15/17
      
 
         210             212,091   
Series 2012-1, Class C, 2.20%, 10/16/17
      
 
         125             126,935   
Series 2012-1, Class D, 3.09%, 8/15/18
      
 
         155             158,933   
Cavalry CLO Ltd. (a)(b):
                                                             
Series 2A, Class C, 3.12%, 1/17/24
      
 
         1,035            991,012   
Series 2A, Class D, 4.27%, 1/17/24
      
 
         770             748,825   
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25
      
 
         1,105            1,061,320   
CIFC Funding Ltd. (a)(b):
                                                             
Series 2012-1A, Class B1L, 5.51%, 8/14/24
      
 
         750             752,812   
Series 2013-1A, Class B, 3.09%, 4/16/25
      
 
         500             495,450   
Series 2013-1A, Class C, 3.88%, 4/16/25
      
 
         500             502,400   
Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2, 0.33%, 1/25/37 (b)
      
 
         984             852,236   
Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a)
      
 
         1,028            1,028,961   
DT Auto Owner Trust, Series 2011-3A, Class C, 4.03%, 2/15/17 (a)
      
 
         255             256,222   
Duane Street CLO IV Ltd., Series 2007-4A, Class D, 2.51%, 11/14/21 (a)(b)
      
 
         500             479,750   
Figueroa CLO Ltd., Series 2013-1A, Class C, 3.91%, 3/21/24 (a)(b)
      
 
         500             481,550   
Ford Credit Floorplan Master Owner Trust:
                                                             
Series 2012-1, Class B, 1.08%, 1/15/16 (b)
      
 
         180             180,255   
Series 2012-1, Class C, 1.68%, 1/15/16 (b)
      
 
         475             476,545   
Series 2012-1, Class D, 2.28%, 1/15/16 (b)
      
 
         445             447,383   
Series 2012-2, Class B, 2.32%, 1/15/19
      
 
         245             248,906   
Series 2012-2, Class C, 2.86%, 1/15/19
      
 
         105             107,272   
Series 2012-2, Class D, 3.50%, 1/15/19
      
 
         200             205,550   
Galaxy CLO Ltd., Series 2013-15A, Class C, 2.88%, 4/15/25 (a)(b)
      
 
         500             476,250   
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.29%, 7/25/37 (b)
      
 
         4             3,973   
ING IM CLO Ltd., Series 2012-2A, Class C, 3.72%, 10/15/22 (a)(b)
      
 
         750             754,500   
Nelnet Student Loan Trust (b):
                                                             
Series 2006-1, Class A5, 0.37%, 8/23/27
      
 
         525             510,692   
Series 2008-3, Class A4, 1.91%, 11/25/24
      
 
         615             646,712   
                         
Asset-Backed Securities                  Par
(000)		      Value
Asset-Backed Securities (concluded)
                                                             
OZLM Funding III Ltd., Series 2013-3A, Class C, 4.17%, 1/22/25 (a)(b)
      
USD
         500          $      488,750     
OZLM Funding Ltd., Series 2013-3A, Class B, 3.37%, 1/22/25 (a)(b)
      
 
         750             731,400   
PFS Financing Corp., Series 2012-AA, Class A, 1.38%, 2/15/16 (a)(b)
      
 
         480             480,969     
Santander Consumer Acquired Receivables Trust (a):
                                                             
Series 2011-S1A, Class B, 1.66%, 8/15/16
      
 
         407             408,876   
Series 2011-S1A, Class C, 2.01%, 8/15/16
      
 
         263             263,591   
Series 2011-S1A, Class D, 3.15%, 8/15/16
      
 
         276             277,412   
Series 2011-WO, Class C, 3.19%, 10/15/15
      
 
         580             587,024   
Santander Drive Auto Receivables Trust:
                                                             
Series 2010-2, Class B, 2.24%, 12/15/14
      
 
         250             250,807   
Series 2010-2, Class C, 3.89%, 7/17/17
      
 
         1,010            1,031,759   
Series 2010-B, Class C, 3.02%, 10/17/16 (a)
      
 
         609             614,684   
Series 2011-1, Class D, 4.01%, 2/15/17
      
 
         940             965,559   
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a)
      
 
         137             137,726   
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)
      
 
         26             25,903   
Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)
      
 
         362             364,260   
Series 2012-1, Class B, 2.72%, 5/16/16
      
 
         240             243,836   
Series 2012-1, Class C, 3.78%, 11/15/17
      
 
         325             332,170   
SLM Student Loan Trust:
                                                             
Series 2004-B, Class A2, 0.47%, 6/15/21 (b)
      
 
         149             146,910   
Series 2008-5, Class A3, 1.57%, 1/25/18 (b)
      
 
         515             520,582   
Series 2008-5, Class A4, 1.97%, 7/25/23 (b)
      
 
         615             646,387   
Series 2012-A, Class A1, 1.58%, 8/15/25 (a)(b)
      
 
         260             261,875   
Series 2012-A, Class A2, 3.83%, 1/17/45 (a)
      
 
         345             361,920   
Small Business Administration, Class 1, Series 2004-P10B, 4.75%, 8/10/14
      
 
         74             75,748   
Structured Asset Securities Corp., Series 2002-AL1, Class A2, 3.45%, 2/25/32
      
 
         1,136            1,130,106   
Symphony CLO VII Ltd., Series 2011-7A, Class E, 3.86%, 7/28/21 (a)(b)
      
 
         750             717,660   
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22
      
 
         1,180            1,227,888   
 
      
 
                       28,358,765   
Interest Only Asset-Backed Securities — 0.1%
                                                             
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a)
      
 
         3,140            221,786   
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (a)
      
 
         5,330            353,124   
 
      
 
                       574,910   
Total Asset-Backed Securities — 7.6%
      
 
                       28,933,675   
Common Stocks
      
 
         Shares                  
Paper & Forest Products — 0.0%
                                                             
NewPage Corp. (c)
      
 
         1,720            137,600   

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list: AUD Australian Dollar LIBOR London Interbank Offered Rate
CAD Canadian Dollar MSCI Morgan Stanley Capital International
EAFE Europe Australasia and Far East PIK Payment-in-Kind
ETF Exchange-Traded Fund RB Revenue Bonds
EUR Euro S&P Standard and Poor’s
EURIBOR Euro Interbank Offered Rate SPDR Standard and Poor’s Depositary Receipts
FKA Formerly Known As TBA To Be Announced
GBP British Pound USD US Dollar
GO General Obligation Bonds    

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 21
 
  
Schedule of Investments (continued)   BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Aerospace & Defense — 0.6%
                                                             
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21
      
USD
         230          $      248,400     
United Technologies Corp. (d):
                                                             
4.88%, 5/01/15
      
 
         1,125            1,203,841   
6.13%, 7/15/38
      
 
         700             852,952   
 
      
 
                       2,305,193   
Airlines — 1.7%
                                                             
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 1/15/23 (a)
      
 
         2,000            1,980,000   
Continental Airlines Pass-Through Trust:
                                                             
Series 2010-1, Class B, 6.00%, 7/12/20
      
 
         521             534,172   
Series 2012-3, Class C, 6.13%, 4/29/18
      
 
         500             507,250   
United Airlines 2013-1 Class A Pass Through Trust, 4.30%, 2/15/27
      
 
         2,000            1,965,000   
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15
      
 
         1,552            1,613,895   
 
      
 
                       6,600,317   
Auto Components — 0.4%
                                                             
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18
      
 
         1,450            1,526,125   
Automobiles — 0.5%
                                                             
Ford Motor Co., 4.75%, 1/15/43
      
 
         1,995            1,763,630   
Building Products — 0.2%
                                                             
Cemex SAB de CV, 5.88%, 3/25/19 (a)
      
 
         200             189,500   
Momentive Performance Materials, Inc., 8.88%, 10/15/20
      
 
         255             264,563   
Texas Industries, Inc., 9.25%, 8/15/20
      
 
         324             353,970   
 
      
 
                       808,033   
Capital Markets — 3.7%
                                                             
CDP Financial, Inc., 5.60%, 11/25/39 (a)(d)
      
 
         2,935            3,352,333   
The Goldman Sachs Group, Inc. (d):
                                                             
5.38%, 3/15/20
      
 
         1,220            1,327,273   
5.25%, 7/27/21
      
 
         3,165            3,382,002   
5.75%, 1/24/22
      
 
         1,800            1,976,843   
KCG Holdings, Inc., 8.25%, 6/15/18 (a)
      
 
         185             181,762   
Morgan Stanley:
                                                             
4.20%, 11/20/14
      
 
         490             508,518   
4.00%, 7/24/15
      
 
         410             428,256   
6.25%, 8/28/17 (d)
      
 
         1,930            2,179,665   
Murray Street Investment Trust I, 4.65%, 3/09/17
      
 
         825             875,403   
 
      
 
                       14,212,055   
Chemicals — 1.3%
                                                             
Axiall Corp., 4.88%, 5/15/23 (a)
      
 
         152             140,980   
The Dow Chemical Co., 4.13%, 11/15/21
      
 
         350             355,832   
Huntsman International LLC, 4.88%, 11/15/20
      
 
         298             283,845   
Methanex Corp., 3.25%, 12/15/19
      
 
         2,074            2,018,944   
Nufarm Australia Ltd., 6.38%, 10/15/19 (a)
      
 
         245             245,000   
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (a)
      
 
         161             155,767   
Rockwood Specialties Group, Inc., 4.63%, 10/15/20
      
 
         1,486            1,459,995   
Tronox Finance LLC, 6.38%, 8/15/20 (a)
      
 
         182             173,810   
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV, 7.38%, 5/01/21 (a)
      
 
         151             154,397   
 
      
 
                       4,988,570   
Commercial Banks — 3.1%
                                                             
CIT Group, Inc.:
                                                             
5.50%, 2/15/19 (a)
      
 
         398             407,950   
5.38%, 5/15/20
      
 
         1,650            1,658,250   
Depfa ACS Bank, 5.13%, 3/16/37 (a)
      
 
         3,775            3,137,969   
HSBC Bank Brasil SA — Banco Multiplo, 4.00%, 5/11/16 (a)
      
 
         1,400            1,433,600   
HSBC Bank PLC, 3.10%, 5/24/16 (a)(d)
      
 
         700             733,458   
HSBC Holdings PLC, 6.10%, 1/14/42
      
 
         305             360,482   
                         
Corporate Bonds                 Par
(000)		      Value
Commercial Banks (concluded)
                                                             
Rabobank Nederland (d):
                                                             
3.88%, 2/08/22
      
USD
         1,390         $    1,379,692     
3.95%, 11/09/22
      
 
         1,500            1,429,470   
Wells Fargo & Co., 3.50%, 3/08/22 (d)
      
 
         1,390            1,380,983   
 
      
 
                       11,921,854   
Commercial Services & Supplies — 1.4%
                                                             
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a)
      
 
         246             259,530   
The ADT Corp., 4.88%, 7/15/42
      
 
         539             394,091   
Aviation Capital Group Corp. (a):
                                                             
4.63%, 1/31/18
      
 
         650             648,706   
7.13%, 10/15/20
      
 
         900             979,228   
The Hertz Corp., 4.25%, 4/01/18 (a)
      
 
         236             231,280   
Interactive Data Corp., 10.25%, 8/01/18
      
 
         1,330            1,481,354   
Mobile Mini, Inc., 7.88%, 12/01/20
      
 
         320             348,800   
UR Merger Sub Corp.:
                                                             
5.75%, 7/15/18
      
 
         194             207,095   
7.38%, 5/15/20
      
 
         385             414,838   
7.63%, 4/15/22
      
 
         452             485,900   
 
      
 
                       5,450,822   
Communications Equipment — 1.3%
                                                             
ADC Telecommunications, Inc., 3.50%, 7/15/15 (e)
      
 
         4,330            4,384,125   
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20
      
 
         530             575,050   
 
      
 
                       4,959,175   
Construction & Engineering — 0.1%
                                                             
ABB Finance USA, Inc., 4.38%, 5/08/42
      
 
         192             180,633   
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a)
      
 
         200             201,000   
 
      
 
                       381,633   
Construction Materials — 1.0%
                                                             
HD Supply, Inc.:
                                                             
8.13%, 4/15/19
      
 
         1,815            2,019,187   
7.50%, 7/15/20 (a)
      
 
         1,544            1,613,480   
Lafarge SA, 7.13%, 7/15/36
      
 
         135             140,400   
 
      
 
                       3,773,067   
Consumer Finance — 0.9%
                                                             
Discover Financial Services, 3.85%, 11/21/22
      
 
         250             235,873   
Ford Motor Credit Co. LLC:
                                                             
8.13%, 1/15/20
      
 
         1,265            1,538,045   
4.25%, 9/20/22
      
 
         800             779,514   
SLM Corp., 6.25%, 1/25/16
      
 
         661             703,965   
 
      
 
                       3,257,397   
Containers & Packaging — 0.8%
                                                             
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21
      
 
         91             95,550   
Sealed Air Corp. (a):
                                                             
6.50%, 12/01/20
      
 
         550             583,000   
8.38%, 9/15/21
      
 
         225             254,531   
Smurfit Kappa Acquisitions (a):
                                                             
7.25%, 11/15/17
      
EUR
         725             999,686   
4.88%, 9/15/18
      
USD
         410             410,000   
7.75%, 11/15/19
      
EUR
         410             586,625   
 
      
 
                       2,929,392   
Diversified Consumer Services — 0.3%
                                                             
APX Group, Inc., 6.38%, 12/01/19 (a)
      
USD
         636             599,430   
Rent-A-Center, Inc., 4.75%, 5/01/21 (a)
      
 
         431             398,675   
 
      
 
                       998,105   
Diversified Financial Services — 8.0%
                                                             
Aircastle Ltd., 6.25%, 12/01/19
      
 
         708             738,090   
Ally Financial, Inc.:
                                                             
8.30%, 2/12/15
      
 
         1,500            1,620,000   
5.50%, 2/15/17
      
 
         1,500            1,581,193   
6.25%, 12/01/17
      
 
         160             171,565   
8.00%, 3/15/20
      
 
         560             644,700   
8.00%, 11/01/31
      
 
         300             345,000   

See Notes to Financial Statements.

22 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Diversified Financial Services (concluded)
                                                             
Bank of America Corp. (d):
                                                             
5.63%, 7/01/20
      
USD
         1,100         $    1,210,623     
3.30%, 1/11/23
      
 
         4,990            4,612,916   
Citigroup, Inc., Series D, 5.35% (b)(f)
      
 
         1,050            931,875   
FMR LLC, 4.95%, 2/01/33 (a)(d)
      
 
         1,150            1,121,248   
General Electric Capital Corp. (d):
                                                             
6.15%, 8/07/37
      
 
         2,150            2,413,358   
6.88%, 1/10/39
      
 
         135             163,697   
General Motors Financial Co., Inc., 4.25%, 5/15/23 (a)
      
 
         401             360,900   
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a)
      
 
         500             495,000   
Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (a)
      
 
         626             615,045   
JPMorgan Chase & Co.:
                                                             
3.70%, 1/20/15 (d)
      
 
         3,425            3,551,735   
6.30%, 4/23/19 (d)
      
 
         2,000            2,324,180   
Series Q 5.15%(b)(f)
      
 
         1,500            1,320,000   
JPMorgan Chase Bank NA, 6.00%, 10/01/17
      
 
         800             908,500   
Macquarie Bank Ltd., 10.25%, 6/20/57 (b)
      
 
         900             994,500   
Moody’s Corp., 4.50%, 9/01/22
      
 
         900             890,226   
Reynolds Group Issuer, Inc.:
                                                             
7.13%, 4/15/19
      
 
         200             212,750   
7.88%, 8/15/19
      
 
         560             616,000   
5.75%, 10/15/20
      
 
         1,000            991,250   
6.88%, 2/15/21
      
 
         680             717,400   
WMG Acquisition Corp., 11.50%, 10/01/18
      
 
         562             647,705   
 
      
 
                       30,199,456   
Diversified Telecommunication Services — 2.0%
                                                             
CenturyLink, Inc., Series V, 5.63%, 4/01/20
      
 
         400             392,000   
Level 3 Financing, Inc.:
                                                             
8.13%, 7/01/19
      
 
         698             738,135   
8.63%, 7/15/20
      
 
         650             695,500   
Telecom Italia Capital SA, 6.00%, 9/30/34
      
 
         1,550            1,341,514   
Verizon Communications, Inc. (d):
                                                             
3.50%, 11/01/21
      
 
         500             489,577   
6.40%, 2/15/38
      
 
         3,483            3,919,253   
Windstream Corp., 7.88%, 11/01/17
      
 
         40             44,400   
 
      
 
                       7,620,379   
Electric Utilities — 6.0%
                                                             
The Cleveland Electric Illuminating Co.:
                                                             
8.88%, 11/15/18
      
 
         121             154,429   
5.95%, 12/15/36
      
 
         217             221,806   
CMS Energy Corp., 5.05%, 3/15/22
      
 
         915             983,891   
Duke Energy Carolinas LLC:
                                                             
6.10%, 6/01/37
      
 
         315             367,424   
6.00%, 1/15/38 (d)
      
 
         825             978,879   
4.25%, 12/15/41
      
 
         375             354,048   
E.ON International Finance BV, 6.65%, 4/30/38 (a)(d)
      
 
         1,525            1,865,507   
Electricite de France SA, 5.60%, 1/27/40 (a)(d)
      
 
         1,400            1,464,350   
Florida Power Corp. (d):
                                                             
6.35%, 9/15/37
      
 
         1,325            1,625,737   
6.40%, 6/15/38
      
 
         430             528,684   
Hydro-Quebec (d):
                                                             
9.40%, 2/01/21
      
 
         390             534,052   
Series HY 8.40%, 1/15/22
      
 
         730             973,567   
Series IO 8.05%, 7/07/24
      
 
         1,900            2,561,513   
Jersey Central Power & Light Co., 7.35%, 2/01/19
      
 
         245             290,713   
Nisource Finance Corp.:
                                                             
6.40%, 3/15/18
      
 
         280             323,259   
5.25%, 2/15/43
      
 
         500             483,036   
Ohio Power Co., Series D, 6.60%, 3/01/33
      
 
         1,500            1,781,007   
PacifiCorp., 6.25%, 10/15/37 (d)
      
 
         575             709,908   
Public Service Co. of Colorado, Series 17, 6.25%, 9/01/37 (d)
      
 
         1,200            1,509,281   
                         
Corporate Bonds                 Par
(000)		      Value
Electric Utilities (concluded)
                                                             
Southern California Edison Co. (d):
                                                             
5.63%, 2/01/36
      
USD
         625          $      718,268     
Series 08-A, 5.95%, 2/01/38
      
 
         1,075            1,285,570   
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14
      
EUR
         650             857,557   
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (d)
      
USD
         2,000            2,383,490   
 
      
 
                       22,955,976   
Energy Equipment & Services — 3.0%
                                                             
Calfrac Holdings LP, 7.50%, 12/01/20 (a)(d)
      
 
         565             569,237   
Ensco PLC:
                                                             
3.25%, 3/15/16
      
 
         160             166,609   
4.70%, 3/15/21 (d)
      
 
         1,745            1,845,896   
EOG Resources, Inc., 2.63%, 3/15/23 (d)
      
 
         1,902            1,739,193   
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)
      
 
         497             530,547   
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21
      
 
         71             69,935   
GrafTech International Ltd., 6.38%, 11/15/20
      
 
         580             580,000   
Noble Holding International Ltd., 5.25%, 3/15/42
      
 
         350             321,252   
Peabody Energy Corp.:
                                                             
6.00%, 11/15/18
      
 
         1,251            1,244,745   
6.25%, 11/15/21
      
 
         1,239            1,195,635   
Seadrill Ltd., 5.63%, 9/15/17 (a)
      
 
         1,590            1,601,925   
Tervita Corp., 8.00%, 11/15/18 (a)
      
 
         381             380,048   
Transocean, Inc.:
                                                             
5.05%, 12/15/16
      
 
         850             929,661   
6.50%, 11/15/20
      
 
         350             386,947   
 
      
 
                       11,561,630   
Food & Staples Retailing — 0.1%
                                                             
Rite Aid Corp., 6.75%, 6/15/21 (a)
      
 
         279             282,488   
Food Products — 1.3%
                                                             
Barry Callebaut Services NV, 5.50%, 6/15/23 (a)
      
 
         593             596,433   
Kraft Foods Group, Inc.:
                                                             
5.38%, 2/10/20
      
 
         1,570            1,762,248   
5.00%, 6/04/42
      
 
         997             978,284   
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (a)
      
 
         224             208,320   
Post Holdings, Inc., 7.38%, 2/15/22
      
 
         749             790,195   
Sun Merger Sub, Inc. (a):
                                                             
5.25%, 8/01/18
      
 
         329             330,234   
5.88%, 8/01/21
      
 
         169             168,578   
 
      
 
                       4,834,292   
Gas Utilities — 0.6%
                                                             
CenterPoint Energy Resources Corp., 5.85%, 1/15/41
      
 
         1,600            1,842,218   
Suburban Propane Partners LP/Suburban Energy Finance Corp., 7.50%, 10/01/18
      
 
         380             407,550   
 
      
 
                       2,249,768   
Health Care Equipment & Supplies — 0.7%
                                                             
Boston Scientific Corp., 6.25%, 11/15/15
      
 
         1,251            1,380,966   
DJO Finance LLC/DJO Finance Corp., 7.75%, 4/15/18
      
 
         735             722,138   
Teleflex, Inc., 6.88%, 6/01/19
      
 
         385             404,250   
 
      
 
                       2,507,354   
Health Care Providers & Services — 3.8%
                                                             
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19
      
 
         175             187,250   
CHS/Community Health Systems, Inc., 5.13%, 8/15/18
      
 
         400             409,000   
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)
      
EUR
         494             695,333   
HCA, Inc.:
                                                             
6.50%, 2/15/20
      
USD
         2,118            2,274,202   
7.25%, 9/15/20
      
 
         350             381,063   
4.75%, 5/01/23
      
 
         1,161            1,084,084   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 23
 
  
Schedule of Investments (continued)   BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Health Care Providers & Services (concluded)
                                                             
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19
      
USD
         75          $       78,563     
inVentiv Health, Inc., 9.00%, 1/15/18 (a)
      
 
         310             316,200   
Symbion, Inc., 8.00%, 6/15/16
      
 
         455             477,750   
Tenet Healthcare Corp.:
                                                             
6.25%, 11/01/18
      
 
         859             907,319   
4.50%, 4/01/21
      
 
         383             352,360   
4.38%, 10/01/21 (a)
      
 
         1,765            1,601,737   
UnitedHealth Group, Inc., 2.88%, 3/15/22 (d)
      
 
         2,000            1,884,586   
WellPoint, Inc., 4.65%, 1/15/43 (d)
      
 
         4,005            3,706,163   
 
      
 
                       14,355,610   
Hotels, Restaurants & Leisure — 1.9%
                                                             
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20
      
 
         398             382,080   
MCE Finance Ltd., 5.00%, 2/15/21 (a)
      
 
         935             857,862   
Playa Resorts Holding BV, 8.00%, 8/15/20 (a)
      
 
         150             153,000   
PNK Finance Corp., 6.38%, 8/01/21 (a)
      
 
         524             522,690   
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a)
      
 
         865             817,425   
The Unique Pub Finance Co. PLC:
                                                             
Series A3 6.54%, 3/30/21
      
GBP
         900             1,405,191   
Series A4 5.66%, 6/30/27
      
 
         1,327            1,922,783   
Series N 6.46%, 3/30/32
      
 
         1,195            1,328,733   
 
      
 
                       7,389,764   
Household Durables — 0.9%
                                                             
Beazer Homes USA, Inc., 6.63%, 4/15/18
      
USD
         580             611,175   
Standard Pacific Corp., 10.75%, 9/15/16
      
 
         2,100            2,493,750   
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (a)
      
 
         372             351,540   
 
      
 
                       3,456,465   
Household Products — 0.2%
                                                             
Ontex IV SA, 7.50%, 4/15/18 (a)
      
EUR
         190             263,709   
Spectrum Brands Escrow Corp. (a):
                                                             
6.38%, 11/15/20
      
USD
         200             207,000   
6.63%, 11/15/22
      
 
         275             281,875   
 
      
 
                       752,584   
Independent Power Producers & Energy Traders — 0.4%
                                                             
Calpine Corp., 7.50%, 2/15/21 (a)
      
 
         78             82,680   
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.00%, 12/01/20 (a)
      
 
         890             935,613   
GenOn REMA LLC, Series C, 9.68%, 7/02/26
      
 
         415             439,900   
 
      
 
                       1,458,193   
Industrial Conglomerates — 0.0%
                                                             
Smiths Group PLC, 3.63%, 10/12/22 (a)
      
 
         180             166,186   
Insurance — 5.3%
                                                             
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a)
      
 
         613             626,792   
Allianz Finance II BV, 5.75%, 7/08/41 (b)
      
EUR
         500             724,059   
The Allstate Corp., 5.75%, 8/15/53 (b)
      
USD
         1,000            985,000   
American International Group, Inc.:
                                                             
3.80%, 3/22/17 (d)
      
 
         5,580            5,905,035   
5.45%, 5/18/17 (d)
      
 
         800             888,101   
8.18%, 5/15/68 (b)
      
 
         970             1,137,325   
AXA SA, 5.25%, 4/16/40 (b)
      
EUR
         250             343,081   
Hartford Financial Services Group, Inc.:
                                                             
6.00%, 1/15/19
      
USD
         345             392,091   
5.13%, 4/15/22
      
 
         930             1,012,675   
Hartford Life Global Funding Trusts, 0.45%,
6/16/14 (b)
      
 
         425             424,771   
Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a)
      
 
         1,000            1,102,383   
Lincoln National Corp., 6.25%, 2/15/20
      
 
         630             729,594   
Manulife Financial Corp., 3.40%, 9/17/15 (d)
      
 
         1,630            1,706,742   
MetLife Global Funding I, 5.13%, 6/10/14 (a)(d)
      
 
         775             802,599   
Montpelier Re Holdings Ltd., 4.70%, 10/15/22
      
 
         450             437,017   
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)
      
 
         340             350,200   
                         
Corporate Bonds                 Par
(000)		      Value
Insurance (concluded)
                                                             
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)
      
EUR
         200          $      297,866     
Prudential Financial, Inc. (d):
                                                             
7.38%, 6/15/19
      
USD
         250             306,456   
5.38%, 6/21/20
      
 
         250             280,537   
4.50%, 11/15/20
      
 
         450             480,770   
5.90%, 3/17/36
      
 
         500             545,780   
5.70%, 12/14/36
      
 
         675             719,721   
 
      
 
                       20,198,595   
Internet Software & Services — 0.1%
                                                             
Equinix, Inc., 4.88%, 4/01/20
      
 
         86             82,775   
VeriSign, Inc., 4.63%, 5/01/23 (a)
      
 
         345             322,575   
 
      
 
                       405,350   
IT Services — 0.8%
                                                             
Ceridian Corp., 11.00%, 3/15/21 (a)
      
 
         440             508,200   
First Data Corp. (a):
                                                             
7.38%, 6/15/19
      
 
         775             804,062   
6.75%, 11/01/20
      
 
         680             695,300   
SunGard Data Systems, Inc., 7.38%, 11/15/18
      
 
         1,080            1,147,500   
 
      
 
                       3,155,062   
Life Sciences Tools & Services — 0.1%
                                                             
Agilent Technologies, Inc., 3.20%, 10/01/22
      
 
         250             231,312   
Machinery — 0.1%
                                                             
Navistar International Corp., 8.25%, 11/01/21
      
 
         379             376,631   
Marine — 0.3%
                                                             
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)
      
 
         1,050            1,102,500   
Media — 5.7%
                                                             
AMC Networks, Inc.:
                                                             
7.75%, 7/15/21
      
 
         320             353,600   
4.75%, 12/15/22
      
 
         343             321,562   
Cinemark USA, Inc., 5.13%, 12/15/22
      
 
         175             163,625   
Clear Channel Communications, Inc., 9.00%, 12/15/19
      
 
         305             293,563   
Clear Channel Worldwide Holdings, Inc., Series B:
                                                             
6.50%, 11/15/22
      
 
         674             668,945   
6.50%, 11/15/22
      
 
         1,821            1,821,000   
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 (d)
      
 
         600             840,666   
Comcast Corp., 6.45%, 3/15/37 (d)
      
 
         790             941,866   
Cox Communications, Inc., 8.38%, 3/01/39 (a)
      
 
         1,740            2,080,528   
DIRECTV Holdings LLC:
                                                             
6.38%, 3/01/41
      
 
         260             259,998   
5.15%, 3/15/42
      
 
         2,100            1,807,871   
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (a)
      
 
         109             113,360   
Lynx I Corp., 5.38%, 4/15/21 (a)
      
 
         395             385,125   
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a)
      
 
         292             295,650   
NBC Universal Media LLC (d):
                                                             
5.15%, 4/30/20
      
 
         1,983            2,235,882   
4.38%, 4/01/21
      
 
         1,015            1,085,515   
The New York Times Co., 6.63%, 12/15/16
      
 
         1,070            1,185,025   
News America, Inc., 7.63%, 11/30/28
      
 
         385             468,661   
Omnicom Group, Inc., 3.63%, 5/01/22 (d)
      
 
         2,355            2,274,235   
Sirius XM Radio, Inc. (a):
                                                             
4.25%, 5/15/20
      
 
         559             511,485   
4.63%, 5/15/23
      
 
         275             242,688   
TCI Communications, Inc., 7.88%, 2/15/26
      
 
         610             791,627   
Time Warner, Inc.:
                                                             
4.70%, 1/15/21
      
 
         350             371,684   
6.10%, 7/15/40
      
 
         215             231,866   
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 (a)
      
 
         255             232,050   

See Notes to Financial Statements.

24 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Media (concluded)
                                                             
Univision Communications, Inc., 5.13%, 5/15/23 (a)
      
USD
         1,153         $    1,088,144     
Virgin Media Secured Finance PLC, 6.50%, 1/15/18
      
 
         525             547,312   
 
      
 
                       21,613,533   
Metals & Mining — 3.9%
                                                             
Alcoa, Inc., 5.40%, 4/15/21
      
 
         1,450            1,432,211     
ArcelorMittal:
                                                             
9.50%, 2/15/15
      
 
         410             449,975   
4.25%, 2/25/15
      
 
         174             178,568   
4.25%, 8/05/15
      
 
         173             178,190   
4.25%, 3/01/16
      
 
         175             178,500   
5.00%, 2/25/17
      
 
         213             217,793   
6.13%, 6/01/18
      
 
         313             322,390   
Commercial Metals Co., 4.88%, 5/15/23
      
 
         534             483,270   
Corp. Nacional del Cobre de Chile, 3.00%,
7/17/22 (a)
      
 
         1,565            1,384,397   
Freeport-McMoRan Copper & Gold, Inc.:
                                                             
3.55%, 3/01/22
      
 
         540             481,903   
5.45%, 3/15/43 (a)
      
 
         450             388,031   
New Gold, Inc., 6.25%, 11/15/22 (a)
      
 
         440             421,300   
Newcrest Finance Property Ltd., 4.45%,
11/15/21 (a)
      
 
         475             407,073   
Novelis, Inc., 8.75%, 12/15/20
      
 
         4,120            4,480,500   
Teck Resources Ltd., 5.38%, 10/01/15
      
 
         2,359            2,541,105   
Xstrata Canada Corp., 6.20%, 6/15/35
      
 
         1,250            1,126,697   
 
      
 
                       14,671,903   
Multiline Retail — 0.8%
                                                             
Dollar General Corp., 3.25%, 4/15/23
      
 
         2,000            1,821,376   
Dufry Finance SCA, 5.50%, 10/15/20 (a)
      
 
         1,260            1,285,894   
 
      
 
                       3,107,270   
Oil, Gas & Consumable Fuels — 11.4%
                                                             
Access Midstream Partners LP/ACMP Finance Corp., 6.13%, 7/15/22
      
 
         400             411,000   
Anadarko Petroleum Corp., 5.95%, 9/15/16
      
 
         1,916            2,148,882   
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a)
      
 
         159             160,590   
Bonanza Creek Energy, Inc., 6.75%, 4/15/21
      
 
         59             60,033   
BP Capital Markets PLC, 3.13%, 10/01/15 (d)
      
 
         330             345,433   
Burlington Resources Finance Co., 7.40%, 12/01/31 (d)
      
 
         875             1,152,515   
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20
      
 
         400             422,000   
Cenovus Energy, Inc., 6.75%, 11/15/39
      
 
         750             898,759   
Chesapeake Energy Corp., 5.75%, 3/15/23
      
 
         615             611,925   
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36 (d)
      
 
         535             619,907   
Continental Resources, Inc.:
                                                             
5.00%, 9/15/22
      
 
         486             490,860   
4.50%, 4/15/23
      
 
         113             111,023   
Denbury Resources, Inc., 4.63%, 7/15/23
      
 
         623             556,027   
El Paso Natural Gas Co. LLC, 8.38%, 6/15/32
      
 
         275             360,814   
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20
      
 
         240             275,126   
Energy Transfer Partners LP, 7.50%, 7/01/38
      
 
         500             585,646   
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17
      
 
         455             506,187   
Enterprise Products Operating LLC:
                                                             
4.05%, 2/15/22 (d)
      
 
         1,250            1,279,716   
6.13%, 10/15/39
      
 
         700             783,786   
Series L, 6.30%, 9/15/17
      
 
         575             663,050   
KeySpan Gas East Corp., 5.82%, 4/01/41 (a)(d)
      
 
         505             570,198   
Kinder Morgan Energy Partners LP:
                                                             
5.95%, 2/15/18
      
 
         1,300            1,488,265   
6.50%, 9/01/39 (d)
      
 
         3,000            3,343,026   
6.55%, 9/15/40
      
 
         110             123,550   
6.38%, 3/01/41
      
 
         150             165,646   
                         
Corporate Bonds                 Par
(000)		      Value
Oil, Gas & Consumable Fuels (concluded)
                                                             
Kodiak Oil & Gas Corp.:
                                                             
8.13%, 12/01/19
      
USD
         110          $      120,450     
5.50%, 2/01/22 (a)
      
 
         106             102,290   
Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/01/19 (a)
      
 
         355             326,600   
Marathon Petroleum Corp., 6.50%, 3/01/41
      
 
         997             1,098,146   
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.25%, 6/15/22
      
 
         98             102,410   
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21
      
 
         212                  204,580     
MidAmerican Energy Co., 5.80%, 10/15/36
      
 
         700             801,908   
MidAmerican Energy Holdings Co.:
                                                             
5.95%, 5/15/37
      
 
         800             894,609   
6.50%, 9/15/37
      
 
         1,900            2,255,657   
Nexen, Inc., 7.50%, 7/30/39
      
 
         1,000            1,227,145   
Offshore Group Investment Ltd., 7.13%, 4/01/23
      
 
         232             223,300   
Pacific Drilling SA, 5.38%, 6/01/20 (a)
      
 
         368             355,120   
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20
      
 
         47             48,058   
PDC Energy, Inc., 7.75%, 10/15/22
      
 
         300             315,000   
Petrobras International Finance Co.:
                                                             
3.88%, 1/27/16
      
 
         1,340            1,375,096   
5.75%, 1/20/20
      
 
         1,725            1,746,035   
Pioneer Natural Resources Co., 3.95%, 7/15/22
      
 
         350             345,628   
Premier Oil PLC, 5.00%, 6/09/18
      
 
         1,900            1,900,000   
Range Resources Corp.:
                                                             
5.75%, 6/01/21 (d)
      
 
         847             887,232   
5.00%, 8/15/22
      
 
         88             86,020   
Regency Energy Partners LP, 4.50%, 11/01/23 (a)
      
 
         249             222,232   
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a)
      
 
         168             168,000   
Rosetta Resources, Inc., 5.63%, 5/01/21
      
 
         239             230,635   
Sabine Pass Liquefaction LLC (a):
                                                             
5.63%, 2/01/21
      
 
         1,787            1,706,585   
5.63%, 4/15/23
      
 
         468             434,070   
Sabine Pass LNG LP:
                                                             
7.50%, 11/30/16
      
 
         1,475            1,624,344   
6.50%, 11/01/20 (a)
      
 
         475             477,375   
SandRidge Energy, Inc.:
                                                             
8.75%, 1/15/20
      
 
         35             36,575   
7.50%, 2/15/23
      
 
         382             369,585   
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (a)
      
 
         386             391,790   
Tennessee Gas Pipeline Co. LLC, 7.50%, 4/01/17
      
 
         1,040            1,225,300   
Western Gas Partners LP:
                                                             
5.38%, 6/01/21
      
 
         710             767,209   
4.00%, 7/01/22
      
 
         200             194,995   
The Williams Cos., Inc., Series A, 7.50%, 1/15/31
      
 
         2,500            2,803,765   
 
      
 
                       43,201,708   
Paper & Forest Products — 0.4%
                                                             
Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20
      
 
         155             166,237   
Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17
      
 
         180             189,450   
International Paper Co.:
                                                             
7.50%, 8/15/21
      
 
         75             92,316   
4.75%, 2/15/22
      
 
         420             441,560   
6.00%, 11/15/41
      
 
         435             471,913   
NewPage Corp., 11.38%, 12/31/14 (c)(g)
      
 
         397             —    
 
      
 
                       1,361,476   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 25
 
  
Schedule of Investments (continued)   BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Pharmaceuticals — 0.8%
                                                             
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)
      
EUR
         200          $      292,084     
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a)
      
USD
         520             587,600   
Valeant Pharmaceuticals International, 6.38%, 10/15/20 (a)
      
 
         575             584,344   
VPII Escrow Corp., 6.75%, 8/15/18 (a)
      
 
         1,321            1,398,609   
 
      
 
                       2,862,637   
Real Estate Investment Trusts (REITs) — 0.7%
                                                             
Felcor Lodging LP, 5.63%, 3/01/23
      
 
         247             229,710   
Simon Property Group LP, 4.75%, 3/15/42
      
 
         835             796,736   
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21
      
 
         275             286,799   
Vornado Realty LP, 5.00%, 1/15/22
      
 
         1,185            1,238,519   
 
      
 
                       2,551,764   
Real Estate Management & Development — 0.9%
                                                             
Lennar Corp., 4.75%, 11/15/22 (a)
      
 
         440                  403,700     
Punch Taverns Finance PLC, Series A2R, 6.82%, 7/15/20
      
GBP
         669             1,046,804   
Realogy Corp. (a)(d):
                                                             
7.88%, 2/15/19
      
USD
         374             406,725   
7.63%, 1/15/20
      
 
         520             582,400   
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a)
      
 
         476             472,430   
WEA Finance LLC, 4.63%, 5/10/21 (a)
      
 
         305             317,501   
 
      
 
                       3,229,560   
Road & Rail — 0.6%
                                                             
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40
      
 
         950             1,038,645   
The Hertz Corp.:
                                                             
5.88%, 10/15/20
      
 
         230             236,038   
7.38%, 1/15/21
      
 
         620             669,600   
6.25%, 10/15/22
      
 
         385             391,737   
 
      
 
                       2,336,020   
Semiconductors & Semiconductor Equipment — 0.1%
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (a)
      
 
         470             470,000   
Software — 0.6%
                                                             
IAC/InterActiveCorp, 4.75%, 12/15/22
      
 
         598             551,655   
Nuance Communications, Inc., 5.38%, 8/15/20 (a)
      
 
         1,085            1,033,462   
Oracle Corp., 5.38%, 7/15/40 (d)
      
 
         775             849,905   
 
      
 
                       2,435,022   
Specialty Retail — 0.7%
                                                             
The Home Depot, Inc., 5.88%, 12/16/36 (d)
      
 
         830             956,119   
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (a)(h)
      
 
         244             250,710   
QVC, Inc. (a):
                                                             
7.50%, 10/01/19
      
 
         395             425,841   
7.38%, 10/15/20
      
 
         975             1,059,384   
 
      
 
                       2,692,054   
Textiles, Apparel & Luxury Goods — 0.3%
                                                             
PVH Corp., 4.50%, 12/15/22
      
 
         490             453,863   
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (a)
      
 
         402             396,975   
The William Carter Co., 5.25%, 8/15/21 (a)
      
 
         328             329,640   
 
      
 
                       1,180,478   
Thrifts & Mortgage Finance — 0.4%
                                                             
Radian Group, Inc., 5.38%, 6/15/15
      
 
         1,400            1,449,000   
Tobacco — 1.2%
                                                             
Altria Group, Inc.:
                                                             
9.95%, 11/10/38
      
 
         800             1,183,177     
10.20%, 2/06/39
      
 
         1,388            2,107,132   
Lorillard Tobacco Co., 7.00%, 8/04/41
      
 
         500             515,256   
Reynolds American, Inc., 4.75%, 11/01/42
      
 
         1,050            917,650   
 
      
 
                       4,723,215   
                         
Corporate Bonds                 Par
(000)		      Value
Wireless Telecommunication Services — 2.4%
                                                             
America Movil SAB de CV, 2.38%, 9/08/16
      
USD
         795          $     805,838     
Crown Castle International Corp., 5.25%, 1/15/23
      
 
         465             439,425   
Crown Castle Towers LLC, 6.11%, 1/15/40 (a)
      
 
         1,560            1,758,980   
Digicel Group Ltd., 8.25%, 9/30/20 (a)
      
 
         460             487,600   
Digicel Ltd., 6.00%, 4/15/21 (a)
      
 
         750             723,750   
MetroPCS Wireless, Inc., 6.63%, 11/15/20
      
 
         504             522,900   
Rogers Communications, Inc., 7.50%, 8/15/38
      
 
         1,150            1,472,202   
SBA Tower Trust, 5.10%, 4/15/42 (a)
      
 
         360             386,299   
Softbank Corp., 4.50%, 4/15/20 (a)
      
 
         550             519,992   
Sprint Capital Corp., 6.88%, 11/15/28
      
 
         464             418,760   
Sprint Communications, Inc. (FKA Sprint Nextel Corp.) (a):
                                                             
9.00%, 11/15/18
      
 
         530             618,775   
7.00%, 3/01/20
      
 
         888             954,600   
 
      
 
                       9,109,121   
Total Corporate Bonds — 83.8%
      
 
                       318,129,724   
Foreign Agency Obligations
Italy Government International Bond, 5.38%, 6/15/33
      
 
         455             455,955   
Slovenia Government Bond, Series RS65, 4.38%, 4/02/14
      
EUR
         1,600            2,129,337   
Slovenia Government International Bond, 5.85%, 5/10/23 (a)
      
USD
         432             406,080   
Total Foreign Agency Obligations — 0.8%
      
 
                       2,991,372   
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 2.0%
                                                             
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37
      
 
         846             743,080   
Countrywide Alternative Loan Trust:
                                                             
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35
      
 
         1,212            1,056,486   
Series 2006-OA21, Class A1, 0.37%,
3/20/47 (b)(d)
      
 
         728             495,744   
Series 2007-HY4, Class 4A1, 4.87%,
6/25/47 (b)
      
 
         589             467,778   
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2006-OA5, Class 2A1, 0.38%,
4/25/46 (b)
      
 
         294             216,808   
Series 2007-10, Class A22, 6.00%, 7/25/37
      
 
         463             403,370   
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.63%, 7/27/36 (a)(b)
      
 
         1,121            1,117,004   
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.19%, 6/19/35 (b)
      
 
         793             783,118   
GSR Mortgage Loan Trust:
                                                             
Series 2006-4F, Class 1A1, 5.00%, 5/25/36
      
 
         374             352,706   
Series 2007-4F, Class 3A1, 6.00%, 7/25/37
      
 
         565             520,803   
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.36%, 12/25/36 (b)
      
 
         522             431,947   
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37
      
 
         670             574,704   
JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 8/25/36
      
 
         206             178,129   

See Notes to Financial Statements.

26 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)
Non-Agency Mortgage-Backed Securities                 Par
(000)		      Value
Collateralized Mortgage Obligations (concluded)
                                                             
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.91%, 5/25/36 (b)
      
USD
         580          $      466,765     
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-10, Class 1A21, 6.00%, 7/25/37
      
 
         37             34,963   
 
      
 
                       7,843,405   
Commercial Mortgage-Backed Securities — 12.2%
                                                             
Banc of America Commercial Mortgage Trust:
                                                             
Series 2007-1, Class A4, 5.45%, 1/15/49
      
 
         500             542,152   
Series 2007-2, Class A4, 5.79%, 4/10/49 (b)
      
 
         750             833,602   
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class A4A,
4.87%, 9/11/42
      
 
         800             846,269   
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.34%, 12/10/49 (b)
      
 
         1,370            1,535,351   
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM,
5.65%, 10/15/48
      
 
         1,093            1,185,740   
Commercial Mortgage Pass-Through Certificates:
                                                             
Series 2006-C7, Class AM, 5.97%, 6/10/46 (b)
      
 
         1,750            1,870,773   
Series 2013-LC6, Class B, 3.74%, 1/10/46
      
 
         695             640,929   
Series 2013-LC6, Class D, 4.43%,
1/10/46 (a)(b)
      
 
         835             685,330   
Credit Suisse Mortgage Capital Certificates:
                                                             
Series 2006-C3, Class AM, 5.99%, 6/15/38 (b)
      
 
         1,000            1,082,354   
Series 2006-C5, Class AM, 5.34%, 12/15/39
      
 
         1,750            1,854,505   
Series 2010-RR2, Class 2A, 5.95%, 9/15/39 (a)(b)
      
 
         1,010            1,107,708   
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37
      
 
         705             731,934   
DBRR Trust, Series 2011-C32, Class A3A, 5.92%, 6/17/49 (a)(b)
      
 
         365             403,267   
Greenwich Capital Commercial Funding Corp.:
                                                             
Series 2006-GG7, Class A4, 6.06%,
7/10/38 (b)
      
 
         1,165            1,279,129   
Series 2007-GG9, Class A4, 5.44%, 3/10/39
      
 
         2,190            2,403,945   
GS Mortgage Securities Trust:
                                                             
Series 2007-GG10, Class A4, 6.00%,
8/10/45 (b)(d)
      
 
         435             478,911   
Series 2013-GC10, Class B, 3.68%,
2/10/46 (a)
      
 
         1,250            1,142,999   
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CB8, Class A1A, 4.16%, 1/12/39 (a)
      
 
         1,267            1,280,917   
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2004-LN2, Class A2, 5.12%, 7/15/41
      
 
         820             839,603   
Series 2006-CB14, Class AM, 5.63%,
12/12/44 (b)
      
 
         330             356,008   
LB-UBS Commercial Mortgage Trust (b):
                                                             
Series 2004-C8, Class C, 4.93%, 12/15/39
      
 
         1,385            1,422,074   
Series 2007-C6, Class A4, 5.86%, 7/15/40
      
 
         5,201            5,693,748   
Series 2007-C7, Class A3, 5.87%, 9/15/45
      
 
         1,400            1,534,739   
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (b)
      
 
         4,000            4,413,436   
Morgan Stanley Reremic Trust, Series 2011, Class A, 2.50%, 3/23/51 (a)
      
 
         384             384,137   
RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (a)
      
 
         916             913,440   
Titan Europe PLC, Series 2007-1X, Class A, 0.76%, 1/20/17 (b)
      
GBP
         1,607            2,142,216   
Wachovia Bank Commercial Mortgage Trust:
                                                             
Series 2006-C28, Class A2, 5.50%, 10/15/48
      
USD
         4,049            4,075,696   
Series 2007-C33, Class A4, 6.12%,
2/15/51 (b)
      
 
         2,185            2,384,320   
                         
Non-Agency Mortgage-Backed Securities                 Par
(000)		      Value
Commercial Mortgage-Backed Securities (concluded)
WF-RBS Commercial Mortgage Trust:
                                                             
Series 2012-C8, Class B, 4.31%, 8/15/45
      
USD
         695          $      682,050     
Series 2012-C8, Class C, 5.04%, 8/15/45 (b)
      
 
         895             867,651   
Series 2013-C11, Class D, 4.32%,
3/15/45 (a)(b)
      
 
         800             643,526   
 
      
 
                       46,258,459   
Interest Only Commercial Mortgage-Backed Securities — 1.3%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA, 2.05%, 8/15/45 (a)(b)
      
 
         15,750            1,562,518   
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA, 2.86%, 3/15/45 (a)(b)
      
 
         9,480            1,224,905   
WF-RBS Commercial Mortgage Trust (a)(b):
                                                             
Series 2012-C8, Class XA, 2.40%, 8/15/45
      
 
         6,026            734,324   
Series 2012-C9, Class XA, 2.43%, 11/15/45
      
 
         10,745            1,384,456   
 
      
 
                       4,906,203   
Total Non-Agency Mortgage-Backed Securities — 15.5%
                    59,008,067   
Preferred Securities
 
Capital Trusts
Capital Markets — 0.4%
                                                             
The Bank of New York Mellon Corp., Series D,
4.50% (b)(f)
      
 
         1,698            1,519,710   
State Street Capital Trust IV, 1.27%, 6/01/77 (b)
      
 
         70             56,700   
 
      
 
                       1,576,410   
Commercial Banks — 0.9%
                                                             
BNP Paribas SA, 7.20% (a)(b)(f)
      
 
         1,000            987,500   
BPCE SA, 12.50% (a)(b)(f)
      
 
         800             996,000   
Fifth Third Capital Trust IV, 6.50%, 4/15/67 (b)
      
 
         505             501,213   
Wachovia Capital Trust III, 5.57% (b)(f)
      
 
         1,025            968,625   
 
      
 
                       3,453,338   
Diversified Financial Services — 1.5%
                                                             
Capital One Financial Corp., 4.75%, 7/15/21
      
 
         960             1,010,155   
General Electric Capital Corp., Series B, 6.25% (b)(f)
      
 
         900             913,500   
JPMorgan Chase & Co., Series 1, 7.90% (b)(f)
      
 
         3,500            3,858,750   
 
      
 
                       5,782,405   
Electric Utilities — 0.5%
                                                             
Electricite de France SA, 5.25% (a)(b)(f)
      
 
         2,100            1,968,750   
Insurance — 3.2%
                                                             
The Allstate Corp., 6.50%, 5/15/67 (b)(d)
      
 
         1,950            2,067,000   
AXA SA, 6.46% (a)(b)(f)
      
 
         1,025            1,019,875   
Genworth Holdings, Inc., 6.15%, 11/15/66 (b)
      
 
         1,150            1,000,500   
Liberty Mutual Group, Inc., 7.00%, 3/07/67 (a)(b)
      
 
         975             989,625   
Lincoln National Corp., 6.05%, 4/20/67 (b)
      
 
         675             668,250   
MetLife Capital Trust IV, 7.88%, 12/15/67 (a)
      
 
         640             726,400   
MetLife, Inc., 6.40%, 12/15/66
      
 
         3,500            3,517,500   
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             788,512   
 
      
 
                       11,885,362   
Total Capital Trusts — 6.5%
      
 
                       24,666,265   
Preferred Stocks
      
 
         Shares                  
Capital Markets — 0.3%
                                                             
The Goldman Sachs Group, Inc., Series J, 5.50% (b)
      
 
         46,000            1,041,900   
Commercial Banks — 1.0%
                                                             
US Bancorp, Series G, 6.00% (b)
      
 
         150,000            4,023,000   
Total Preferred Stocks — 1.3%
      
 
                       5,064,900   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 27
 
  
Schedule of Investments (continued)   BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)
Trust Preferreds                     
Shares 		     Value
Commercial Banks — 0.1%
                                                             
Citigroup Capital XIII, 7.88%, 10/30/40 (b)
      
 
         14,773         $      403,673     
Total Trust Preferreds — 0.1%
      
 
                       403,673   
Total Preferred Securities — 7.9%
      
 
                       30,134,838   
Municipal Bonds
      
 
         Par
(000		 )                
City of Detroit Michigan, GO, Taxable Capital Improvement, Limited Tax, Series A-2, 8.00%, 4/01/14 (c)(g)
      
USD
         1,525            610,000   
District of Columbia, Refunding RB, Howard University, Series B, 7.63%, 10/01/35
      
 
         1,000            1,096,800   
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40
      
 
         950             1,095,749   
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40
      
 
         1,275            1,474,461   
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39
      
 
         625             823,531   
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, 7.06%, 4/01/57
      
 
         1,000            1,000,470   
New York City Municipal Water Finance Authority, Second General Resolution, Refunding RB:
                                                             
Build America Bonds, Series GG, 5.72%, 6/15/42
      
 
         700             790,797   
Series EE, 5.38%, 6/15/43
      
 
         385             400,858   
Series EE, 5.50%, 6/15/43
      
 
         465             489,464   
New York State Dormitory Authority, RB, Build American Bonds:
                                                             
5.63%, 3/15/39
      
 
         550             595,188   
5.60%, 3/15/40
      
 
         950             1,025,905   
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29
      
 
         385             445,053   
State of California, GO:
                                                             
Build America Bonds, 7.63%, 3/01/40
      
 
         860             1,114,835   
Various Purpose, 7.55%, 4/01/39
      
 
         140             181,472   
State of Illinois, GO, Taxable-Pension, 5.10%, 6/01/33
      
 
         1,000            876,150   
University of California, RB, Build America Bonds, 5.95%, 5/15/45
      
 
         445             482,144   
Total Taxable Municipal Bonds — 3.3%
      
 
                       12,502,877   
US Government Sponsored Agency Securities
Agency Obligations — 2.6%
                                                             
Fannie Mae (d):
                                                             
2.95%, 10/09/19 (i)
      
 
         7,055            5,899,497   
5.63%, 7/15/37 (j)
      
 
         775             949,917   
Federal Home Loan Bank (d):
                                                             
5.25%, 12/09/22
      
 
         675             783,107   
5.37%, 9/09/24
      
 
         1,075            1,244,024   
Resolution Funding Corp. (i):
                                                             
1.86%, 7/15/18
      
 
         525             479,617   
1.81%, 10/15/18
      
 
         525             478,648   
 
      
 
                       9,834,810   
Collateralized Mortgage Obligations — 0.2%
                                                             
Fannie Mae Mortgage-Backed Securities, Series 2005-5, Class PK, 5.00%, 12/25/34
      
 
         390             415,459   
Freddie Mac Mortgage-Backed Securities, Series 2825, Class VP, 5.50%, 6/15/15
      
 
         361             364,981   
 
      
 
                       780,440   
                         
US Government Sponsored Agency Securities                 Par
(000)		      Value
Commercial Mortgage-Backed Securities — 0.7%
                                                             
Freddie Mac Mortgage-Backed Securities (b):
                                                             
Series 2012-K706, Class C, 4.16%,
11/25/44 (a)
      
USD
         165          $      154,321     
Series 2013-K24, Class B, 3.62%,
11/25/45 (a)
      
 
         1,750            1,532,653   
Series K013, Class A2, 3.97%, 1/25/21
      
 
         940             996,563   
 
      
 
                       2,683,537   
Interest Only Collateralized Mortgage Obligations — 2.5%
Fannie Mae Mortgage-Backed Securities:
                                                             
Series 2012-47, Class NI, 4.50%, 4/25/42
      
 
         5,347            1,095,114   
Series 2012-96, Class DI, 4.00%, 2/25/27
      
 
         7,557            889,513   
Series 2012-M9, Class X1, 4.25%,
12/25/17 (b)
      
 
         13,208            1,876,808   
Freddie Mac Mortgage-Backed Securities:
                                                             
Series 2611, Class QI, 5.50%, 9/15/32
      
 
         1,127            123,609   
Series K707, Class X1, 1.69%, 12/25/18 (b)
      
 
         2,497            172,706   
Series K710, Class X1, 1.91%, 5/25/19 (b)
      
 
         8,616            723,937   
Ginnie Mae Mortgage-Backed Securities (b):
                                                             
Series 2009-116, Class KS, 6.29%, 12/16/39
      
 
         3,759            507,721   
Series 2009-78, Class SD, 6.02%, 9/20/32
      
 
         5,973            968,805   
Series 2011-52, Class NS, 6.49%, 4/16/41
      
 
         16,285            3,156,347   
 
      
 
                       9,514,560   
Mortgage-Backed Securities — 8.1%
                                                             
Fannie Mae Mortgage-Backed Securities:
                                                             
3.00%, 9/15/42 (k)
      
 
         16,300            15,630,808   
4.00%, 12/01/41 (d)
      
 
         3,302            3,413,009   
4.50%, 7/01/41 (d)
      
 
         4,186            4,426,122   
5.00%, 8/01/34 (d)
      
 
         2,839            3,054,733   
5.50%, 6/01/38 (d)
      
 
         1,766            1,915,121   
6.00%, 12/01/38 (d)
      
 
         1,545            1,688,059   
Freddie Mac Mortgage-Backed Securities, 6.00%, 11/01/13–12/01/18
      
 
         368             391,158   
Ginnie Mae Mortgage-Backed Securities, 5.50%, 8/15/33
      
 
         65             71,399   
 
      
 
                       30,590,409   
Total US Government Sponsored Agency Securities — 14.1%
      53,403,756   
US Treasury Obligations
US Treasury Bonds:
                                                             
8.13%, 8/15/21 (d)
      
 
         1,550            2,202,210   
6.25%, 8/15/23 (d)
      
 
         5,085            6,664,528   
3.50%, 2/15/39 (d)
      
 
         330             324,019   
4.25%, 5/15/39 (d)
      
 
         6,045            6,720,341   
4.38%, 5/15/40 (d)
      
 
         6,375            7,223,672   
4.75%, 2/15/41 (d)
      
 
         1,630            1,957,273   
4.38%, 5/15/41 (d)
      
 
         800             906,250   
3.13%, 11/15/41 (d)
      
 
         9,930            8,977,336   
3.13%, 2/15/42 (d)
      
 
         6,268            5,657,848   
3.00%, 5/15/42 (d)
      
 
         2,730            2,398,136   
3.13%, 2/15/43
      
 
         2,337            2,098,833   
US Treasury Notes:
                                                             
2.25%, 7/31/18 (d)
      
 
         495             510,817   
1.75%, 5/15/22
      
 
         156             145,665   
Total US Treasury Obligations — 12.1%
      
 
                       45,786,928   
Total Long-Term Investments
(Cost — $544,491,691) — 145.1%
      
 
                       551,028,837   
Short-Term Securities
      
 
   
Shares
              
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (l)(m)
      
 
         5,335,491            5,335,491   
Total Short-Term Securities
                                                             
(Cost — $5,335,491) — 1.4%
      
 
                       5,335,491   

See Notes to Financial Statements.

28 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)
Options Purchased                        Value
(Cost — $1,198,937) — 0.4%
      
 
                  $ 1,600,620     
Total Investments Before Options Written
                                                             
(Cost — $551,026,119) — 146.9%
      
 
                       557,964,948   
                         
Options Written                        Value
(Premiums Received — $802,073) — (0.4)%
      
 
                   $ (1,332,765 )   
Total Investments, Net of Options Written — 146.5%
                    556,632,183   
Liabilities in Excess of Other Assets — (46.5)%
      
 
                       (176,719,580 )  
Net Assets — 100.0%
      
 
                   $ 379,912,603   

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 shown is as of report date.
(c)      
Non-income producing security.
(d)      
All or a portion of securities with an aggregate market value of $165,853,735 have been pledged as collateral for open reverse repurchase agreements.
(e)      
Convertible security.
(f)      
Security is perpetual in nature and has no stated maturity date.
(g)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(h)      
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(i)      
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(j)      
All or a portion of security has been pledged in connection with open financial futures contracts.
(k)      
Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2013 were as follows:

Counterparty
   
 Value
    
 Unrealized
Depreciation
J.P. Morgan Securities LLC
         $ 15,630,808         $ (12,098 )  

(l)      
Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate
   
 Shares
Held at
August 31, 2012
   
 Net
Activity
    
 Shares
Held at
August 31, 2013
    
 Income
    
 Realized
Gain
BlackRock Liquidity Funds, TempFund, Institutional Class
            534,025       4,801,466           5,335,491         $ 2,396       $72

(m)      
Represents the current yield as of report date.
•      
For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or 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 August 31, 2013 were as follows:

Counterparty
   
 Interest
Rate
    
 Trade
Date
    
 Maturity
Date
    
 Face Value
    
 Face Value
Including
Accrued
Interest
Deutsche Bank Securities, Inc.
      
(0.63%)
   
10/24/12
   
Open
      $     345,482         $     343,611     
BNP Paribas Securities Corp.
      
0.35%
   
1/11/13
   
Open
         4,741,000            4,751,740   
Credit Suisse Securities (USA) LLC
      
0.35%
   
1/14/13
   
Open
         2,166,425            2,171,269   
UBS Securities LLC
      
(0.25%)
   
1/15/13
   
Open
         484,487            483,720   
UBS Securities LLC
      
0.28%
   
1/15/13
   
Open
         3,529,338            3,535,597   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         2,375,000            2,379,813   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         2,622,000            2,627,314   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         1,438,650            1,441,566   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         2,606,875            2,612,158   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         1,571,500            1,574,685   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         1,421,275            1,424,155   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         985,500            987,497   
UBS Securities LLC
      
0.33%
   
1/15/13
   
Open
         1,223,250            1,225,807   
UBS Securities LLC
      
0.33%
   
1/15/13
   
Open
         707,000            708,478   
UBS Securities LLC
      
0.33%
   
1/15/13
   
Open
         170,100            170,455   
UBS Securities LLC
      
0.33%
   
1/15/13
   
Open
         382,775            383,575   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         762,500            764,142   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         733,125            734,704   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         904,812            906,760   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         784,687            786,377   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         602,212            603,509   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         1,179,063            1,181,602   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         334,950            335,671   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 29
 
  
Schedule of Investments (continued)   BlackRock Core Bond Trust (BHK)

 Reverse repurchase agreements outstanding as of August 31, 2013 were as follows (concluded):

Counterparty
   
 Interest
Rate
    
 Trade
Date
    
 Maturity
Date
    
 Face Value
    
 Face Value
Including
Accrued
Interest
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
      $ 1,473,750         $ 1,476,923     
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         561,600            562,809   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         4,466,948            4,476,567   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         1,950,000            1,954,199   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         871,500            873,377   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         1,181,250            1,183,794   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         1,354,500            1,357,417   
UBS Securities LLC
      
(0.50%)
   
1/15/13
   
Open
         496,600            495,027   
BNP Paribas Securities Corp.
      
0.35%
   
1/22/13
   
Open
         883,000            884,906   
BNP Paribas Securities Corp.
      
0.35%
   
1/22/13
   
Open
         1,243,000            1,245,683   
Credit Suisse Securities (USA) LLC
      
0.35%
   
2/01/13
   
Open
         1,875,750            1,879,616   
Credit Suisse Securities (USA) LLC
      
0.35%
   
2/01/13
   
Open
         1,797,390            1,801,095   
Credit Suisse Securities (USA) LLC
      
0.10%
   
2/07/13
   
Open
         2,418,000            2,419,377   
Deutsche Bank Securities, Inc.
      
0.15%
   
2/07/13
   
Open
         2,194,388            2,196,262   
Deutsche Bank Securities, Inc.
      
0.16%
   
2/07/13
   
Open
         6,155,488            6,161,096   
UBS Securities LLC
      
0.34%
   
2/07/13
   
Open
         642,000            643,249   
UBS Securities LLC
      
0.34%
   
2/07/13
   
Open
         1,095,375            1,097,506   
BNP Paribas Securities Corp.
      
0.32%
   
2/08/13
   
Open
         1,968,000            1,971,586   
BNP Paribas Securities Corp.
      
0.32%
   
2/08/13
   
Open
         505,000            505,920   
BNP Paribas Securities Corp.
      
0.15%
   
2/14/13
   
Open
         9,942,413            9,950,657   
BNP Paribas Securities Corp.
      
0.33%
   
2/14/13
   
Open
         1,020,000            1,021,861   
BNP Paribas Securities Corp.
      
0.34%
   
2/28/13
   
Open
         2,269,000            2,272,964   
BNP Paribas Securities Corp.
      
0.34%
   
2/28/13
   
Open
         1,109,000            1,110,938   
BNP Paribas Securities Corp.
      
0.33%
   
3/07/13
   
Open
         1,884,000            1,887,074   
BNP Paribas Securities Corp.
      
0.33%
   
3/07/13
   
Open
         1,228,000            1,230,004   
BNP Paribas Securities Corp.
      
0.33%
   
3/07/13
   
Open
         2,313,000            2,316,774   
BNP Paribas Securities Corp.
      
0.33%
   
3/11/13
   
Open
         879,000            880,402   
BNP Paribas Securities Corp.
      
0.33%
   
3/11/13
   
Open
         983,000            984,568   
Merrill Lynch, Pierce, Fenner & Smith Inc.
      
0.20%
   
4/02/13
   
Open
         7,563,806            7,570,193   
Merrill Lynch, Pierce, Fenner & Smith Inc.
      
0.22%
   
4/02/13
   
Open
         1,097,844            1,098,864   
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
         369,609            370,152   
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
         280,250            280,661   
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
         553,137            553,949   
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
         480,937            481,643   
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
         995,363            996,824   
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
         544,530            545,329   
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
         304,000            304,446   
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
         5,725,080            5,733,485   
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
         727,819            728,887   
BNP Paribas Securities Corp.
      
0.20%
   
4/02/13
   
Open
         533,362            533,812   
BNP Paribas Securities Corp.
      
0.19%
   
4/02/13
   
Open
         2,719,763            2,721,945   
Merrill Lynch, Pierce, Fenner & Smith Inc.
      
0.20%
   
4/02/13
   
Open
         7,246,125            7,252,244   
Merrill Lynch, Pierce, Fenner & Smith Inc.
      
0.22%
   
4/02/13
   
Open
         875,812            876,626   
BNP Paribas Securities Corp.
      
0.19%
   
4/03/13
   
Open
         851,537            852,216   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,648,500            1,650,904   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         3,437,844            3,442,858   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         2,020,500            2,023,447   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,700,969            1,703,450   
UBS Securities LLC
      
0.32%
   
4/11/13
   
Open
         1,630,000            1,632,072   
UBS Securities LLC
      
0.40%
   
4/11/13
   
Open
         4,055,063            4,061,506   
Merrill Lynch, Pierce, Fenner & Smith Inc.
      
0.14%
   
4/25/13
   
Open
         8,430,938            8,435,167   
BNP Paribas Securities Corp.
      
0.00%
   
4/29/13
   
Open
         1,039,000            1,039,000   
BNP Paribas Securities Corp.
      
0.00%
   
4/29/13
   
Open
         377,850            377,850   
BNP Paribas Securities Corp.
      
0.34%
   
5/24/13
   
Open
         1,342,000            1,343,267   
Barclays Capital, Inc.
      
0.60%
   
6/03/13
   
Open
         3,258,750            3,263,584   
Citigroup Global Markets, Inc.
      
0.00%
   
6/06/13
   
Open
         443,156            443,156   
Barclays Capital, Inc.
      
0.35%
   
6/24/13
   
Open
         3,334,398            3,336,635   
BNP Paribas Securities Corp.
      
0.07%
   
6/24/13
   
Open
         5,876,250            5,877,038   
BNP Paribas Securities Corp.
      
0.16%
   
8/08/13
   
9/12/13
         14,179,000            14,180,260   
Deutsche Bank Securities, Inc.
      
0.34%
   
8/29/13
   
Open
         1,850,000            1,850,035   
Total
      
 
   
 
   
 
      $ 172,326,150         $ 172,537,361   
 
      
 
   
 
   
 
                            

See Notes to Financial Statements.

30 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Core Bond Trust (BHK)

•      
Financial futures contracts as of August 31, 2013 were as follows:

Contracts
Purchased
(Sold)
   
 Issue
    
 Exchange
    
 Expiration
    
 Notional
Value
    
 Unrealized
Appreciation
(Depreciation)
    
 270      
2-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
         59,332,500       $     23,559     
     5      
5-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
         598,398            (264 )  
(544)      
10-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
         67,609,000            (196,940 )  
 251      
30-Year US Treasury Bond
   
Chicago Board of Trade
   
December 2013
   
USD
         33,108,469            252,657   
   78      
Ultra Long US Treasury Bond
   
Chicago Board of Trade
   
December 2013
   
USD
         11,066,250            129,675   
 150      
90-Day Euribor Future
   
NYSE Liffe
   
December 2014
   
USD
         49,262,024            (23,168 )  
(197)      
90-Day Euro-Dollar
   
Chicago Mercantile
   
December 2014
   
USD
         48,907,713            42,419   
Total
      
 
   
 
   
 
   
 
                  $ 227,938   

•      
Foreign currency exchange contracts as of August 31, 2013 were as follows:

Currency Purchased
         Currency Sold
 Counterparty
    
 Settlement
Date
    
 Unrealized
Appreciation
(Depreciation)
    
USD
            7,746,217        
EUR
      5,765,000      
UBS AG
   
9/25/13
    $    126,421     
USD
            467,323        
GBP
      300,000      
BNP Paribas S.A.
   
10/22/13
         2,587   
USD
            7,439,482        
GBP
      4,933,000      
Deutsche Bank AG
   
10/22/13
         (202,326 )  
Total
                    
 
                 
 
   
 
    $ (73,318 )  

•      
Over-the-counter interest rate swaptions purchased as of August 31, 2013 were as follows:

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
  
JPMorgan Chase Bank N.A.
   
Call
   
2.11%
   
Receive
   
3-month LIBOR
   
9/03/13
   
USD
    5,200    $ 1
10-Year Interest Rate Swap
  
Deutsche Bank AG
   
Put
   
4.10%
   
Pay
   
3-month LIBOR
   
2/22/16
   
USD
    2,500       120,133
10-Year Interest Rate Swap
  
Goldman Sachs Bank USA
   
Put
   
4.00%
   
Pay
   
3-month LIBOR
   
3/14/16
   
USD
    15,000       789,419
10-Year Interest Rate Swap
  
Deutsche Bank AG
   
Put
   
4.50%
   
Pay
   
3-month LIBOR
   
3/16/17
   
USD
    6,300       322,292
10-Year Interest Rate Swap
  
Deutsche Bank AG
   
Put
   
4.50%
   
Pay
   
3-month LIBOR
   
5/22/18
   
USD
    6,000       368,775
Total
  
 
   
 
   
 
   
 
   
 
   
 
   
 
        $  1,600,620

•      
Over-the-counter interest rate swaptions written as of August 31, 2013 were as follows:

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
  
Barclays Bank PLC
   
Call
   
1.35%
   
Pay
   
3-month LIBOR
   
4/08/14
   
USD
    15,200    $ (20,815 )
5-Year Interest Rate Swap
  
JPMorgan Chase Bank N.A.
   
Call
   
1.35%
   
Pay
   
3-month LIBOR
   
7/11/14
   
USD
    15,500       (23,989 )
5-Year Interest Rate Swap
  
JPMorgan Chase Bank N.A.
   
Put
   
2.00%
   
Receive
   
3-month LIBOR
   
4/08/14
   
USD
    15,200       (292,132 )
5-Year Interest Rate Swap
  
JPMorgan Chase Bank N.A.
   
Put
   
2.00%
   
Receive
   
3-month LIBOR
   
7/11/14
   
USD
    15,500       (417,132 )
10-Year Interest Rate Swap
  
Deutsche Bank AG
   
Put
   
6.00%
   
Receive
   
3-month LIBOR
   
3/16/17
   
USD
    12,600       (255,618 )
10-Year Interest Rate Swap
  
Deutsche Bank AG
   
Put
   
6.00%
   
Receive
   
3-month LIBOR
   
5/22/18
   
USD
    12,000       (323,079 )
Total
  
 
   
 
   
 
   
 
   
 
   
 
   
 
        $ (1,332,765 )

•      
Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows:

Issuer    Pay
Fixed
Rate 		   Counterparty    Expiration
Date 		   Notional
Amount
(000) 		   Market
Value 		   Premiums
Paid 		   Unrealized
Depreciation
Radian Group, Inc.
  
5.00%
   
Citibank N.A.
   
6/20/15
   
USD
   
1,400
   
$(81,904)
   
$29,242
    $   (111,146 )
The New York Times Co.
  
1.00%
   
Barclays Bank PLC
   
12/20/16
   
USD
   
1,800
   
11,384 
   
82,977
       (71,593 )
Australia & New Zealand Banking Group Ltd.
  
1.00%
   
Deutsche Bank AG
   
9/20/17
   
USD
   
1
   
(2)
   
13
       (15 )
Westpac Banking Corp.
  
1.00%
   
Deutsche Bank AG
   
9/20/17
   
USD
   
1
   
(2)
   
13
       (15 )
Total
  
 
   
 
   
 
   
 
   
 
   
$(70,524)
   
$112,245
    $ (182,769 )  

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 31
 
  
Schedule of Investments (continued)   BlackRock Core Bond Trust (BHK)

•      
Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows:

Issuer
Receive
Fixed
Rate
Counterparty
Expiration
Date
Credit
Rating1
Notional
Amount
(000)2
Market
Value
Premiums
Received
Unrealized
Appreciation
MetLife, Inc.
  
1.00%
   
Credit Suisse AG
   
9/20/16
   
A-
   
USD
   
535
   
$  5,380
    $ (29,963 )      $ 35,343
MetLife, Inc.
  
1.00%
   
Deutsche Bank AG
   
9/20/16
   
A-
   
USD
   
730
   
7,342
       (37,387 )         44,729
MetLife, Inc.
  
1.00%
   
Goldman Sachs Bank USA
   
9/20/16
   
A-
   
USD
   
500
   
5,028
       (24,922 )         29,950
MetLife, Inc.
  
1.00%
   
Morgan Stanley Capital Services LLC
   
9/20/16
   
A-
   
USD
   
900
   
9,051
       (45,202 )         54,253
MetLife, Inc.
  
1.00%
   
Morgan Stanley Capital Services LLC
   
9/20/16
   
A-
   
USD
   
275
   
2,765
       (12,319 )         15,084
MetLife, Inc.
  
1.00%
   
Citibank N.A.
   
12/20/16
   
A-
   
USD
   
298
   
2,563
       (14,302 )         16,865
MetLife, Inc.
  
1.00%
   
Citibank N.A.
   
12/20/16
   
A-
   
USD
   
285
   
2,451
       (14,855 )         17,306
Total
  
 
   
 
   
 
   
 
   
 
   
 
   
$34,580
    $ (178,950 )      $ 213,530
1   Using 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.

•      
Interest rate swaps outstanding as of August 31, 2013 were as follows:

Fixed
Rate
   
 Floating
Rate
    
 Counterparty/
Clearinghouse
    
 Effective
Date
    
 Expiration
Date
    
 Notional
Amount
(000)
    
 Market
Value
    
 Unrealized
Appreciation
(Depreciation)
0.56%3
      
3-month LIBOR
   
Chicago Mercantile
   
N/A
   
6/25/15
   
USD
         20,900       $ (15,973 )        $ (16,201 )  
0.48%3
      
3-month LIBOR
   
Chicago Mercantile
   
N/A
   
8/01/15
   
USD
         50,000            55,825            55,253   
0.68%3
      
3-month LIBOR
   
Chicago Mercantile
   
2/03/145
   
2/01/16
   
USD
         20,800            53,235            52,995   
1.56%3
      
3-month LIBOR
   
Chicago Mercantile
   
N/A
   
8/01/18
   
USD
         2,100            17,267            17,239   
1.25%4
      
6-Month Euribor
   
Chicago Mercantile
   
N/A
   
8/23/18
   
EUR
         5,000            (34,650 )           (7,884 )  
1.05%4
      
6-Month Euribor
   
Chicago Mercantile
   
N/A
   
8/28/18
   
EUR
         5,000            (100,256 )           (79,184 )  
1.89%4
      
3-month LIBOR
   
Chicago Mercantile
   
2/03/145
   
2/01/19
   
USD
         8,500            (64,497 )           (64,611 )  
2.42%3
      
3-month LIBOR
   
Chicago Mercantile
   
N/A
   
8/22/20
   
USD
         7,500            (21,164 )           (21,274 )  
2.06%4
      
3-month LIBOR
   
Deutsche Bank AG
   
N/A
   
2/25/23
   
USD
         3,400            (234,323 )           (234,323 )  
2.11%4
      
3-month LIBOR
   
Goldman Sachs & Co.
   
N/A
   
3/14/23
   
USD
         300             (19,664 )           (19,664 )  
2.63%3
      
3-month LIBOR
   
Chicago Mercantile
   
N/A
   
6/24/23
   
USD
         900             22,241            22,226   
4.27%4
      
3-month LIBOR
   
Chicago Mercantile
   
8/23/165
   
8/23/26
   
USD
         4,800            69,702            69,623   
3.05%3
      
3-month LIBOR
   
Deutsche Bank AG
   
N/A
   
2/07/43
   
USD
         4,800            567,479            567,479   
3.04%3
      
3-month LIBOR
   
Deutsche Bank AG
   
N/A
   
3/28/43
   
USD
         600             72,932            72,932   
Total
      
 
   
 
   
 
   
 
   
 
                  $ 368,154         $ 414,606   
3   Fund pays the fixed rate and receives the floating rate.
4   Fund pays the floating rate and receives the fixed rate.
5   Forward interest rate swap.

•      
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 statement purposes as follows:
•      
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or 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 fair value hierarchy classification 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 instruments 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, please refer to the Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.

32 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Core Bond Trust (BHK)
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013:

 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                                                 
Investments:
                                                                                 
Long-Term Investments:
                                                                                 
Asset-Backed Securities
            —          $ 17,982,531         $ 10,951,144         $ 28,933,675     
Common Stocks
            —             —             137,600            137,600   
Corporate Bonds
            —             311,845,599            6,284,125            318,129,724   
Foreign Agency Obligations
            —             2,991,372            —             2,991,372   
Non-Agency Mortgage-Backed Securities
            —             59,008,067            —             59,008,067   
Preferred Securities
         $ 5,468,573              24,666,265            —             30,134,838   
Municipal Bonds
            —             12,502,877            —             12,502,877   
US Government Sponsored Agency Securities
           —             53,403,756            —             53,403,756   
US Treasury Obligations
            —             45,786,928            —             45,786,928   
Short-Term Securities
            5,335,491            —             —             5,335,491   
Options Purchased:
                                                                                 
Interest Rate Contracts
            —             1,600,620            —             1,600,620   
Total
         $ 10,804,064         $  529,788,015         $ 17,372,869         $  557,964,948   
                                     
 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Derivative Financial Instruments1
                                                                                 
Assets:
                                                                           
Credit contracts
            —          $     213,530            —          $      213,530   
Foreign currency exchange contracts
           —             129,008            —             129,008   
Interest rate contracts
         $    448,310            857,747            —             1,306,057   
Liabilities:
                                                                           
Credit contracts
            —             (182,769 )           —             (182,769 )  
Foreign currency exchange contracts
           —             (202,326 )           —             (202,326 )  
Interest rate contracts
            (220,372 )           (1,775,906 )           —             (1,996,278 )  
Total
         $    227,938         $ (960,716 )           —          $ (732,778 )  
                                     
1   Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options written. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value.
                                     
Certain of the Trust’s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
                                     
 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                                                 
Foreign currency at value
        $     52,785            —             —          $ 52,785   
Cash pledged for financial futures contracts
            287,000            —             —             287,000   
Cash pledged for centrally cleared swaps
            420,000            —             —             420,000   
Cash pledged as collateral for reverse repurchase agreements
            5,147,000            —             —             5,147,000   
Cash pledged as collateral for over-the-counter swaps
            690,000            —             —             690,000   
Liabilities:
                                                                                 
Bank overdraft
            —          $ (157,427 )           —             (157,427 )  
Reverse repurchase agreements
           —             (172,537,361 )           —             (172,537,361 )  
Cash received as collateral for over-the-counter for swaps
           —             (1,400,000 )           —             (1,400,000 )  
Total
         $    6,596,785         $ (174,094,788 )           —          $ (167,498,003 )  

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2013.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 33
 
  
Schedule of Investments (concluded)   BlackRock Core Bond Trust (BHK)
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 year 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
          —             —             4,712,948            —           4,712,948   
Transfers out of Level 31
          (745,445 )           —             —             —           (745,445 )
Accrued discounts/premiums
          (417,197 )           —             (11,673 )           2,575          (426,295 )
Net realized gain (loss)
          —             (1,586 )           1,476            34,906          34,796   
Net change in unrealized appreciation/depreciation2
          228,445            139,186            (344,957 )           (4,835 )         17,839   
Purchases
          10,380,026            —             —             —           10,380,026   
Sales
          —             (1 )           (3,298,477 )           (544,103 )         (3,842,581 )
Closing Balance, as of August 31, 2013
       $ 10,951,144         $ 137,600         $ 6,284,125            —        $ 17,372,869  
1   As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2013, 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 $4,712,948 transferred from Level 2 to Level 3 in the disclosure hierarchy.
2   Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2013 was $23,822.

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.

34 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments August 31, 2013 BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)
Asset-Backed Securities                 Par
(000) 		     Value
ALM Loan Funding (a)(b)(c):  
                                                             
Series 2013-7R2A, Class B, 2.86%, 4/24/24
      
USD
         575          $      549,125     
Series 2013-7RA, Class C, 3.71%, 4/24/24
      
 
         1,600            1,510,080     
Series 2013-7RA, Class D, 5.26%, 4/24/24
      
 
         710             652,135   
Total Asset-Backed Securities — 0.6%
      
 
                       2,711,340     
 
Common Stocks
      
 
         Shares                   
Auto Components — 0.8%  
Dana Holding Corp.
      
 
         9,157            191,931     
Delphi Automotive PLC
      
 
         13,100            720,762     
The Goodyear Tire & Rubber Co. (d)
      
 
         125,547            2,526,005     
Lear Corp.
      
 
         653             44,894   
 
      
 
                       3,483,592     
Automobiles — 1.5%  
General Motors Co. (d)
      
 
         184,063            6,272,867     
Biotechnology — 0.0%
Ironwood Pharmaceuticals, Inc. (d)
      
 
         10,590            123,374     
Capital Markets — 1.9%
American Capital Ltd. (d)
      
 
         545,247            6,804,682     
E*Trade Financial Corp. (d)
      
 
         72,200            1,013,688     
Uranium Participation Corp. (d)
      
 
         53,140            245,192   
 
      
 
                       8,063,562     
Chemicals — 0.4%
Advanced Emissions Solutions, Inc. (d)
      
 
         9,890            386,205     
Huntsman Corp.
      
 
         68,400            1,197,000   
 
      
 
                       1,583,205     
Communications Equipment — 0.3%
Loral Space & Communications Ltd.
      
 
         19,132            1,264,817     
Diversified Financial Services — 0.5%
Kcad Holdings I Ltd. (d)
      
 
         422,854,200            2,135,414     
Diversified Telecommunication Services — 0.3%
Broadview Networks Holdings, Inc. (d)
      
 
         49,725            313,268     
Level 3 Communications, Inc. (d)
      
 
         33,620            751,743   
 
      
 
                       1,065,011     
Electrical Equipment — 0.0%
Medis Technologies Ltd. (d)
      
 
         109,685            1     
Energy Equipment & Services — 0.9%
Laricina Energy Ltd. (d)
      
 
         70,588            2,371,028     
Osum Oil Sands Corp. (d)
      
 
         120,000            1,443,463   
 
      
 
                       3,814,491     
Hotels, Restaurants & Leisure — 0.7%
Caesars Entertainment Corp. (d)
      
 
         68,974            1,480,872     
Pinnacle Entertainment, Inc. (d)
      
 
         13,261            314,020     
Travelport LLC/Travelport Holdings, Inc. (d)
      
 
         1,440,364            1,274,722   
 
      
 
                       3,069,614     
Insurance — 0.6%
American International Group, Inc. (d)
      
 
         59,082            2,744,950     
Media — 0.2%
Cablevision Systems Corp., Class A
      
 
         48,526            860,366     
Clear Channel Outdoor Holdings, Inc., Class A (d)
      
 
         14,202            107,367     
 
      
 
                       967,733     
Metals & Mining — 0.1%
African Minerals Ltd. (d)
      
 
         65,551            193,543     
Peninsula Energy Ltd. (d)
      
 
         11,250,902            258,308   
 
      
 
                       451,851     
Oil, Gas & Consumable Fuels — 0.0%
African Petroleum Corp. Ltd. (d)
      
 
         294,600            31,465   
Common Stocks                     
    
Shares		      Value
Paper & Forest Products — 0.9%
Ainsworth Lumber Co. Ltd. (a)
      
 
         208,741         $      605,349     
Ainsworth Lumber Co. Ltd. (a)(d)
      
 
         728,451            2,005,609     
NewPage Corp. (d)
      
 
         12,520            1,001,600     
Western Forest Products, Inc. (d)
      
 
         74,889            101,100     
Western Forest Products, Inc. (d)
      
 
         74,936            101,025   
 
      
 
                       3,814,683     
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp. (d)
      
 
         200             4,298     
Software — 0.2%
HMH Holdings/EduMedia (d)
      
 
         30,127            907,565     
Trading Companies & Distributors — 0.3%
HD Supply Holdings, Inc. (d)
      
 
         62,760            1,427,162     
Wireless Telecommunication Services — 0.5%
Crown Castle International Corp. (d)
      
 
         14,451            1,003,188     
SBA Communications Corp., Class A (d)
      
 
         14,451            1,083,825   
 
      
 
                       2,087,013     
Total Common Stocks — 10.1%
      
 
                       43,312,668     
 
Corporate Bonds
      
 
         Par
(000		 )                 
Aerospace & Defense — 0.7%
Bombardier, Inc., 4.25%, 1/15/16 (a)
      
USD
         720             744,300     
Huntington Ingalls Industries, Inc.:  
                                                             
6.88%, 3/15/18
      
 
         240             258,600     
7.13%, 3/15/21
      
 
         375             405,000     
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17
      
 
         1,244            1,343,520     
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (a)
      
 
         285             290,315   
 
      
 
                       3,041,735     
Air Freight & Logistics — 0.2%
National Air Cargo Group, Inc.:  
                                                             
Series 1, 12.38%, 9/02/15
      
 
         507             507,143     
Series 2, 12.38%, 8/16/15
      
 
         514             513,989   
 
      
 
                       1,021,132     
Airlines — 2.3%
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (a)
      
 
         599             596,964     
Continental Airlines Pass-Through Trust:  
                                                             
Series 1997-4, Class B, 6.90%, 7/02/18
      
 
         17             17,110     
Series 2010-1, Class B, 6.00%, 7/12/20
      
 
         521             534,172     
Series 2012-3, Class C, 6.13%, 4/29/18
      
 
         1,370            1,389,865     
Delta Air Lines Pass-Through Trust:  
                                                             
Series 2002-1, Class G-1, 6.72%, 7/02/24
      
 
         867             944,597     
Series 2009-1, Class B, 9.75%, 6/17/18
      
 
         247             270,808     
Series 2010-1, Class B, 6.38%, 7/02/17
      
 
         800             830,000     
US Airways Group, Inc., 6.13%, 6/01/18
      
 
         485             440,138     
US Airways Pass-Through Trust:  
                                                             
Series 2011-1, Class C, 10.88%, 10/22/14
      
 
         682             719,540     
Series 2012-1, Class C, 9.13%, 10/01/15
      
 
         622             646,389     
Series 2012-2, Class B, 6.75%, 12/03/22
      
 
         600             619,500     
Series 2012-2, Class C, 5.45%, 6/03/18
      
 
         1,525            1,422,063     
Series 2013-1, Class B, 5.38%, 5/15/23
      
 
         1,400            1,330,000   
 
      
 
                       9,761,146     
Auto Components — 3.0%
Affinia Group, Inc., 7.75%, 5/01/21 (a)
      
 
         991             1,018,252     
Brighthouse Group PLC, 7.88%, 5/15/18
      
GBP
         100             156,520     
Continental Rubber of America Corp., 4.50%, 9/15/19 (a)
      
USD
         300             303,150     
Dana Holding Corp., 6.75%, 2/15/21
      
 
         660             700,425     
Delphi Corp., 6.13%, 5/15/21
      
 
         115             125,638     
GKN Holdings PLC, 5.38%, 9/19/22
      
GBP
         290             457,494   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 35
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Auto Components (concluded)
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18
      
USD
         4,455         $    4,688,887     
IDQ Holdings, Inc., 11.50%, 4/01/17 (a)
      
 
         585             647,887     
Jaguar Land Rover Automotive PLC (FKA Jaguar Land Rover PLC), 8.25%, 3/15/20
      
GBP
         610             1,047,412   
Schaeffler Finance BV, 4.25%, 5/15/18
      
EUR
         193             255,129     
Schaeffler Holding Finance BV (e):  
                                                             
6.88%, 8/15/18 (a)
      
USD
         715             743,600     
6.88%, 8/15/18
      
EUR
         495             672,208     
Servus Luxembourg Holdings SCA, 7.75%, 6/15/18
      
 
         428             574,264     
Titan International, Inc.:  
                                                             
7.88%, 10/01/17 (a)
      
USD
         725             768,500     
7.88%, 10/01/17
      
 
         685             726,100   
 
      
 
                       12,885,466     
Building Products — 1.5%
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (a)
      
 
         690             669,300     
Builders FirstSource, Inc., 7.63%, 6/01/21 (a)
      
 
         592             592,000     
Building Materials Corp. of America (a):  
                                                             
7.00%, 2/15/20
      
 
         810             860,625     
6.75%, 5/01/21
      
 
         1,170            1,240,200     
Cemex SAB de CV, 5.88%, 3/25/19 (a)
      
 
         340             322,150     
Momentive Performance Materials, Inc., 8.88%, 10/15/20
      
 
         1,120            1,162,000     
Texas Industries, Inc., 9.25%, 8/15/20
      
 
         347             379,098     
USG Corp., 9.75%, 1/15/18
      
 
         1,045            1,204,362   
 
      
 
                       6,429,735     
Capital Markets — 0.3%
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (a)(f)(g)
      
 
         356             483,270     
KCG Holdings, Inc., 8.25%, 6/15/18 (a)
      
 
         336             330,120     
Nuveen Investments, Inc., 9.13%, 10/15/17 (a)
      
 
         313             308,305   
 
      
 
                       1,121,695     
Chemicals — 3.0%
Axiall Corp., 4.88%, 5/15/23 (a)
      
 
         160             148,400     
Basell Finance Co. BV, 8.10%, 3/15/27 (a)
      
 
         610             771,448     
Celanese US Holdings LLC, 5.88%, 6/15/21
      
 
         1,072            1,098,800     
Huntsman International LLC, 8.63%, 3/15/21
      
 
         250             278,750     
INEOS Finance PLC, 7.50%, 5/01/20 (a)
      
 
         570             609,900     
INEOS Group Holdings SA:  
                                                             
6.13%, 8/15/18 (a)
      
 
         445             430,538     
6.50%, 8/15/18
      
EUR
         463             594,851     
Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19
      
USD
         185             187,775     
LSB Industries, Inc., 7.75%, 8/01/19 (a)
      
 
         350             362,250     
LyondellBasell Industries NV, 5.75%, 4/15/24 (h)
      
 
         3,870            4,291,938     
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18
      
 
         135             134,325     
Nufarm Australia Ltd., 6.38%, 10/15/19 (a)
      
 
         335             335,000     
Orion Engineered Carbons Bondco GmbH (FKA Kinove German Bondco GmbH), 10.00%, 6/15/18
      
EUR
         505             744,875     
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (a)
      
USD
         252             243,810     
PolyOne Corp., 7.38%, 9/15/20
      
 
         320             352,800     
Rockwood Specialties Group, Inc., 4.63%, 10/15/20
      
 
         1,370            1,346,025     
Tronox Finance LLC, 6.38%, 8/15/20 (a)
      
 
         366             349,530     
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV:  
                                                             
5.75%, 2/01/21
      
EUR
         100             130,513     
7.38%, 5/01/21 (a)
      
USD
         525             536,812   
 
      
 
                       12,948,340     
                         
Corporate Bonds                 Par
(000)		      Value
Commercial Banks — 1.1%
CIT Group, Inc.:  
                                                             
5.25%, 3/15/18
      
USD
         830          $      856,975     
6.63%, 4/01/18 (a)
      
 
         340             367,200     
5.50%, 2/15/19 (a)
      
 
         2,428            2,488,700     
6.00%, 4/01/36
      
 
         810             775,361     
Lloyds TSB Bank PLC, 11.88%, 12/16/21 (b)
      
EUR
         60             97,538   
 
      
 
                       4,585,774     
Commercial Services & Supplies — 3.6% Value
AA Bond Co. Ltd., 9.50%, 7/31/19
      
GBP
         270             446,662     
ACCO Brands Corp., 6.75%, 4/30/20
      
USD
         112             110,600     
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a)
      
 
         412             434,660     
ARAMARK Corp., 5.75%, 3/15/20 (a)
      
 
         962             981,240     
Aviation Capital Group Corp., 6.75%, 4/06/21 (a)
      
 
         800             842,410     
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)
      
 
         210             217,102     
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)
      
 
         38             40,708     
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18
      
 
         749             758,362     
Covanta Holding Corp., 6.38%, 10/01/22
      
 
         940             953,815     
EC Finance PLC, 9.75%, 8/01/17
      
EUR
         518             746,162     
Interactive Data Corp., 10.25%, 8/01/18
      
 
         1,990            2,216,462     
Mobile Mini, Inc., 7.88%, 12/01/20
      
USD
         545             594,050     
Mustang Merger Corp., 8.50%, 8/15/21 (a)
      
 
         777             765,345     
TransUnion LLC/TransUnion Financing Corp., 11.38%, 6/15/18
      
 
         95             105,688     
UR Merger Sub Corp.:  
                                                             
5.75%, 7/15/18
      
 
         379             404,582     
7.38%, 5/15/20
      
 
         505             544,137     
8.25%, 2/01/21
      
 
         686             758,030     
7.63%, 4/15/22
      
 
         3,386            3,639,950     
6.13%, 6/15/23
      
 
         280             275,800     
Verisure Holding AB:  
                                                             
8.75%, 9/01/18
      
EUR
         174             251,814     
8.75%, 12/01/18
      
 
         234             327,049     
West Corp., 8.63%, 10/01/18
      
USD
         205             221,913   
 
      
 
                       15,636,541     
Communications Equipment — 1.7%
Alcatel-Lucent USA, Inc.:  
                                                             
8.88%, 1/01/20 (a)
      
 
         1,220            1,244,400     
6.50%, 1/15/28
      
 
         85             64,600     
6.45%, 3/15/29
      
 
         279             214,830     
Avaya, Inc. (a):  
                                                             
7.00%, 4/01/19
      
 
         400             366,000     
10.50%, 3/01/21
      
 
         1,237            955,582     
CommScope Holding Co., Inc., 6.63%, 6/01/20 (a)(e)
      
 
         705             697,950     
Zayo Group LLC/Zayo Capital, Inc.:  
                                                             
8.13%, 1/01/20
      
 
         1,340            1,453,900     
10.13%, 7/01/20
      
 
         2,190            2,485,650   
 
      
 
                       7,482,912     
Computers & Peripherals — 0.1%
EMC Corp., Series B, 1.75%, 12/01/13 (g)
      
 
         298             478,476     
Construction & Engineering — 0.3%
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (a)
      
 
         275             222,750     
H&E Equipment Services, Inc., 7.00%, 9/01/22
      
 
         654             694,875     
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a)
      
 
         347             348,735     
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (a)
      
 
         230             223,100   
 
      
 
                       1,489,460     

See Notes to Financial Statements.

36 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Construction Materials — 3.4%
Buzzi Unicem SpA, 6.25%, 9/28/18
      
EUR
         201          $      282,914     
HD Supply, Inc.:  
                                                             
8.13%, 4/15/19
      
USD
         4,929            5,483,512     
11.00%, 4/15/20
      
 
         2,881            3,442,795     
7.50%, 7/15/20 (a)
      
 
         5,086            5,314,870     
HeidelbergCement Finance Luxembourg SA, 7.50%, 4/03/20
      
EUR
         81             126,323   
 
      
 
                       14,650,414     
Consumer Finance — 0.3%
Credit Acceptance Corp., 9.13%, 2/01/17
      
USD
         660             704,550     
IVS F. SpA, 7.13%, 4/01/20
      
EUR
         320             421,871     
Springleaf Finance, 6.90%, 12/15/17
      
USD
         155             157,906   
 
      
 
                       1,284,327   
Containers & Packaging — 1.5%
Ardagh Packaging Finance PLC:  
                                                             
7.38%, 10/15/17
      
EUR
         200             281,379     
9.13%, 10/15/20 (a)
      
USD
         459             489,983     
9.13%, 10/15/20 (a)
      
 
         590             626,875     
7.00%, 11/15/20 (a)
      
 
         357             347,183     
5.00%, 11/15/22
      
EUR
         320             408,405     
Berry Plastics Corp., 9.75%, 1/15/21
      
USD
         270             312,525     
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16
      
EUR
         867             1,145,916     
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21
      
USD
         24             25,200     
GCL Holdings SCA, 9.38%, 4/15/18 (a)
      
EUR
         394             562,388     
Graphic Packaging International, Inc., 7.88%, 10/01/18
      
USD
         550             598,125     
OI European Group BV, 4.88%, 3/31/21
      
EUR
         221             294,947     
Pactiv LLC, 7.95%, 12/15/25
      
USD
         691             611,535     
Tekni-Plex, Inc., 9.75%, 6/01/19 (a)
      
 
         590             660,800   
 
      
 
                       6,365,261     
Distributors — 0.5%
VWR Funding, Inc., 7.25%, 9/15/17
      
 
         2,030            2,111,200     
Diversified Consumer Services — 1.0%
APX Group, Inc. (a):  
                                                             
6.38%, 12/01/19
      
 
         1,456            1,372,280     
8.75%, 12/01/20
      
 
         882             868,770     
Laureate Education, Inc., 9.25%, 9/01/19 (a)
      
 
         1,845            1,992,600   
 
      
 
                       4,233,650     
Diversified Financial Services — 5.7%
Aircastle Ltd.:  
                                                             
6.75%, 4/15/17
      
 
         550             583,000     
6.25%, 12/01/19
      
 
         481             501,443     
Ally Financial, Inc.:  
                                                             
7.50%, 12/31/13
      
 
         460             468,050     
8.00%, 3/15/20
      
 
         447             514,609     
7.50%, 9/15/20
      
 
         303             340,875     
8.00%, 11/01/31
      
 
         5,137            5,907,550     
8.00%, 11/01/31
      
 
         300             340,125     
CNG Holdings, Inc., 9.38%, 5/15/20 (a)
      
 
         162             151,875     
Co-Operative Group Ltd. (i):  
                                                             
6.88%, 7/08/20
      
GBP
         250             367,085     
7.50%, 7/08/26
      
 
         100             144,897     
DPL, Inc.:  
                                                             
6.50%, 10/15/16
      
USD
         450             474,750     
7.25%, 10/15/21
      
 
         1,275            1,300,500     
Gala Group Finance PLC, 8.88%, 9/01/18
      
GBP
         706             1,165,204     
General Motors Financial Co., Inc.:  
                                                             
6.75%, 6/01/18
      
USD
         460             512,325     
4.25%, 5/15/23 (a)
      
 
         357             321,300     
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a)
      
 
         750             742,500     
Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (a)
      
 
         857             842,003     
                         
Corporate Bonds                 Par
(000)		      Value
Diversified Financial Services (concluded)
Lehman Brothers Holdings, Inc. (d)(j):  
                                                             
5.38%, 10/17/13
      
EUR
         200          $       70,047     
4.75%, 1/16/14
      
 
         1,130            395,768     
1.00%, 2/05/14
      
 
         2,350            807,528     
1.00%, 9/22/18
      
USD
         255             65,025     
1.00%, 12/31/49
      
 
         915             233,325     
Leucadia National Corp., 8.13%, 9/15/15
      
 
         1,148            1,280,020     
Reynolds Group Issuer, Inc.:  
                                                             
7.13%, 4/15/19
      
 
         565             601,019     
9.00%, 4/15/19
      
 
         860             887,950     
7.88%, 8/15/19
      
 
         189             207,900     
9.88%, 8/15/19
      
 
         696             739,500     
5.75%, 10/15/20
      
 
         3,360            3,330,600     
WMG Acquisition Corp., 11.50%, 10/01/18
      
 
         1,128            1,300,020   
 
      
 
                       24,596,793   
Diversified Telecommunication Services — 3.4%
Broadview Networks Holdings, Inc., 10.50%, 11/15/17
      
 
         765             757,350     
CenturyLink, Inc., Series V, 5.63%, 4/01/20
      
 
         2,037            1,996,260     
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (a)
      
 
         630             579,600     
Consolidated Communications Finance Co., 10.88%, 6/01/20
      
 
         515             592,250     
Frontier Communications Corp., 8.50%, 4/15/20
      
 
         775             846,687     
Level 3 Communications, Inc., 8.88%, 6/01/19
      
 
         475             507,063     
Level 3 Financing, Inc.:  
                                                             
8.13%, 7/01/19
      
 
         2,269            2,399,467     
7.00%, 6/01/20
      
 
         639             643,793     
8.63%, 7/15/20
      
 
         2,572            2,752,040     
Telenet Finance V Luxembourg SCA:  
                                                             
6.25%, 8/15/22
      
EUR
         431             571,340     
6.75%, 8/15/24
      
 
         520             695,849     
tw telecom holdings, Inc.:  
                                                             
5.38%, 10/01/22 (a)
      
USD
         380             361,950     
5.38%, 10/01/22
      
 
         440             419,100     
Windstream Corp.:  
                                                             
7.88%, 11/01/17
      
 
         630             699,300     
7.75%, 10/15/20
      
 
         230             235,175     
6.38%, 8/01/23
      
 
         356             321,735   
 
      
 
                       14,378,959     
Electric Utilities — 0.6%
Homer City Generation LP (e):  
                                                             
8.14%, 10/01/19
      
 
         225             226,125     
8.73%, 10/01/26
      
 
         330             334,950     
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17
      
 
         344             361,364     
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14
      
EUR
         1,200            1,583,182   
 
      
 
                       2,505,621     
Electrical Equipment — 0.9%
Belden, Inc.:  
                                                             
5.50%, 9/01/22 (a)
      
 
         550             533,500     
5.50%, 4/15/23
      
 
         180             228,381     
General Cable Corp., 5.75%, 10/01/22 (a)
      
USD
         890             856,625     
International Wire Group Holdings, Inc., 8.50%, 10/15/17 (a)
      
 
         411             427,440     
Rexel SA, 5.13%, 6/15/20
      
EUR
         388             520,492     
Techem GmbH:  
                                                             
6.13%, 10/01/19 (a)
      
 
         105             149,062     
6.13%, 10/01/19
      
 
         633             898,630     
7.88%, 10/01/20
      
 
         105             150,916     
Trionista TopCo GmbH, 6.88%, 4/30/21
      
 
         106             141,502   
 
      
 
                       3,906,548     
Electronic Equipment, Instruments & Components — 0.1%
Jabil Circuit, Inc., 8.25%, 3/15/18
      
USD
         350             412,125     

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 37
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Energy Equipment & Services — 3.8%
Atwood Oceanics, Inc., 6.50%, 2/01/20
      
USD
         205          $      219,350     
Calfrac Holdings LP, 7.50%, 12/01/20 (a)
      
 
         497             500,728     
CGG (FKA Compagnie Generale de Geophysique, Veritas):  
                                                             
7.75%, 5/15/17
      
 
         365             374,125     
6.50%, 6/01/21
      
 
         1,855            1,878,187     
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)
      
 
         988             1,054,690     
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21
      
 
         75             73,875     
Gulfmark Offshore, Inc., 6.38%, 3/15/22
      
 
         230             232,875     
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20
      
 
         465             470,813     
MEG Energy Corp., 6.50%, 3/15/21 (a)
      
 
         2,124            2,161,170     
Oil States International, Inc.:  
                                                             
6.50%, 6/01/19
      
 
         986             1,040,230     
5.13%, 1/15/23 (a)
      
 
         510             557,175     
Parker Drilling Co., 7.50%, 8/01/20 (a)
      
 
         575             564,937   
Peabody Energy Corp.:  
                                                             
6.00%, 11/15/18
      
 
         992             987,040     
6.25%, 11/15/21
      
 
         978             943,770     
7.88%, 11/01/26
      
 
         555             553,612     
4.75%, 12/15/66 (g)
      
 
         630             487,463     
Precision Drilling Corp.:  
                                                             
6.63%, 11/15/20
      
 
         115             121,038     
6.50%, 12/15/21
      
 
         265             276,925     
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (a)
      
 
         349             349,000     
Seadrill Ltd., 5.63%, 9/15/17 (a)
      
 
         2,009            2,024,067     
Tervita Corp., 8.00%, 11/15/18 (a)
      
 
         404             402,990     
Trionista Holdco GmbH, 5.00%, 4/30/20
      
EUR
         615             820,943   
 
      
 
                       16,095,003     
Food & Staples Retailing — 0.6%
Bakkavor Finance 2 PLC:  
                                                             
8.25%, 2/15/18
      
GBP
         393             634,916     
8.75%, 6/15/20
      
 
         200             323,887     
R&R Ice Cream PLC, 9.25%, 5/15/18 (e)
      
EUR
         205             277,712     
Rite Aid Corp.:  
                                                             
9.25%, 3/15/20
      
 
         555             627,844     
6.75%, 6/15/21 (a)
      
USD
         608             615,600     
Zobele Holding SpA, 7.88%, 2/01/18
      
EUR
         140             192,432   
 
      
 
                       2,672,391     
Food Products — 0.9%
Darling International, Inc., 8.50%, 12/15/18
      
USD
         170             187,000     
Findus Bondco SA:  
                                                             
9.13%, 7/01/18
      
EUR
         249             346,401     
9.50%, 7/01/18
      
GBP
         126             204,850     
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (a)
      
USD
         576             535,680     
Post Holdings, Inc., 7.38%, 2/15/22
      
 
         840             886,200     
Smithfield Foods, Inc., 6.63%, 8/15/22
      
 
         702             719,550     
Sun Merger Sub, Inc. (a):  
                                                             
5.25%, 8/01/18
      
 
         824             827,090     
5.88%, 8/01/21
      
 
         257             256,357   
 
      
 
                       3,963,128     
Health Care Equipment & Supplies — 2.3%
Biomet, Inc.:  
                                                             
6.50%, 8/01/20
      
 
         2,655            2,721,375     
6.50%, 10/01/20
      
 
         3,076            3,068,310     
DJO Finance LLC/DJO Finance Corp.:  
                                                             
8.75%, 3/15/18
      
 
         560             606,200     
7.75%, 4/15/18
      
 
         155             152,287     
9.88%, 4/15/18
      
 
         844             886,200     
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (a)
      
 
         420             428,400     
                         
Corporate Bonds                 Par
(000)		      Value
Health Care Equipment & Supplies (concluded)
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)
      
 
         800          $      891,000     
IDH Finance PLC:  
                                                             
6.00%, 12/01/18
      
GBP
         150             231,874     
6.00%, 12/01/18 (a)
      
 
         100             154,583     
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19
      
USD
         343             357,149     
Teleflex, Inc., 6.88%, 6/01/19
      
 
         435             456,750   
 
      
 
                       9,954,128     
Health Care Providers & Services — 5.7%
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19
      
 
         845             904,150     
CHS/Community Health Systems, Inc.:  
                                                             
5.13%, 8/15/18
      
USD
         1,180            1,206,550     
8.00%, 11/15/19
      
 
         159             166,950     
7.13%, 7/15/20
      
 
         1,020            1,030,200     
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)
      
EUR
         517             727,707     
Crown Newco 3 PLC:  
                                                             
7.00%, 2/15/18
      
GBP
         100             158,224     
7.00%, 2/15/18 (a)
      
 
         547             865,488     
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22
      
USD
         1,319            1,305,810   
HCA Holdings, Inc., 6.25%, 2/15/21
      
 
         1,079            1,081,697     
HCA, Inc.:  
                                                             
8.50%, 4/15/19
      
 
         200             216,000     
6.50%, 2/15/20
      
 
         2,161            2,320,374     
7.88%, 2/15/20
      
 
         405             436,894     
7.25%, 9/15/20
      
 
         2,045            2,226,494     
5.88%, 3/15/22
      
 
         865             893,113     
4.75%, 5/01/23
      
 
         541             505,159     
Health Management Associates, Inc., 7.38%, 1/15/20
      
 
         305             340,838     
Hologic, Inc., 6.25%, 8/01/20
      
 
         1,817            1,894,222     
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19
      
 
         140             146,650     
inVentiv Health, Inc., 9.00%, 1/15/18 (a)
      
 
         930             948,600     
Omnicare, Inc., 3.75%, 4/01/42 (g)
      
 
         426             590,276     
Symbion, Inc., 8.00%, 6/15/16
      
 
         510             535,500     
Tenet Healthcare Corp.:  
                                                             
6.25%, 11/01/18
      
 
         1,741            1,838,931     
6.75%, 2/01/20
      
 
         775             759,500     
4.38%, 10/01/21 (a)
      
 
         1,122            1,018,215     
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/01/19
      
 
         1,594            1,705,580     
Voyage Care Bondco PLC, 6.50%, 8/01/18
      
GBP
         270             415,490   
 
      
 
                       24,238,612     
Health Care Technology — 1.0%
IMS Health, Inc. (a):  
                                                             
12.50%, 3/01/18
      
USD
         3,290            3,882,200     
6.00%, 11/01/20
      
 
         212             217,565   
 
      
 
                       4,099,765     
Hotels, Restaurants & Leisure — 3.2%
Carlson Wagonlit BV, 6.88%, 6/15/19 (a)
      
 
         485             492,275     
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18
      
EUR
         680             912,203     
Diamond Resorts Corp., 12.00%, 8/15/18
      
USD
         1,983            2,201,130     
Enterprise Inns PLC, 6.50%, 12/06/18
      
GBP
         477             741,055     
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19
      
EUR
         657             890,032     
Intralot Finance Luxembourg SA, 9.75%, 8/15/18
      
 
         640             875,461     
Isle of Capri Casinos, Inc.:  
                                                             
7.75%, 3/15/19
      
USD
         75             77,438     
5.88%, 3/15/21
      
 
         322             297,850     
Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (a)
      
 
         433             424,340     
MCE Finance Ltd., 5.00%, 2/15/21 (a)
      
 
         998             915,665     
MTR Gaming Group, Inc., 11.50%, 8/01/19 (e)
      
 
         412             434,765     
Playa Resorts Holding BV, 8.00%, 8/15/20 (a)
      
 
         150             153,000     

See Notes to Financial Statements.

38 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Hotels, Restaurants & Leisure (concluded)
PNK Finance Corp., 6.38%, 8/01/21 (a)
      
USD
         765          $      763,087     
Regal Entertainment Group, 5.75%, 2/01/25
      
 
         130             119,600     
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a)
      
 
         882             833,490     
Station Casinos LLC, 7.50%, 3/01/21
      
 
         2,080            2,142,400     
Travelport LLC/Travelport Holdings, Inc. (a):  
                                                             
6.40%, 3/01/16 (b)
      
 
         122             118,061     
11.88%, 9/01/16
      
 
         50             48,478     
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (d)(j)
      
 
         475             —      
The Unique Pub Finance Co. PLC, Series A3, 6.54%, 3/30/21
      
GBP
         500             780,662     
Vougeot Bidco PLC, 7.88%, 7/15/20
      
 
         252             401,264     
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22
      
USD
         111             109,612   
 
      
 
                       13,731,868     
Household Durables — 2.7%
Algeco Scotsman Global Finance PLC, 9.00%, 10/15/18
      
EUR
         205             279,744     
Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (a)
      
USD
         336             332,640     
Beazer Homes USA, Inc., 6.63%, 4/15/18
      
 
         55             57,956   
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (a)
      
 
         605             618,612     
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (a)
      
 
         427             421,663     
Jarden Corp., 7.50%, 1/15/20
      
EUR
         447             623,306     
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (a)
      
USD
         1,400            1,477,000     
Libbey Glass, Inc., 6.88%, 5/15/20
      
 
         427             456,356     
Pulte Group, Inc., 6.38%, 5/15/33
      
 
         280             250,600     
RPG Byty Sro, 6.75%, 5/01/20
      
EUR
         383             488,475     
The Ryland Group, Inc., 6.63%, 5/01/20
      
USD
         500             518,750     
Spie BondCo 3 SCA, 11.00%, 8/15/19
      
EUR
         339             499,564     
Standard Pacific Corp.:  
                                                             
10.75%, 9/15/16
      
USD
         2,050            2,434,375     
8.38%, 1/15/21
      
 
         1,450            1,624,000     
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a):  
                                                             
7.75%, 4/15/20
      
 
         440             480,700     
5.25%, 4/15/21
      
 
         395             373,275     
William Lyon Homes, Inc., 8.50%, 11/15/20
      
 
         445             471,700   
 
      
 
                       11,408,716     
Household Products — 0.8%
Ontex IV SA:  
                                                             
7.50%, 4/15/18
      
EUR
         100             138,794     
7.50%, 4/15/18 (a)
      
 
         220             305,348     
9.00%, 4/15/19
      
 
         321             440,159     
Spectrum Brands Escrow Corp. (a):  
                                                             
6.38%, 11/15/20
      
USD
         568             587,880     
6.63%, 11/15/22
      
 
         370             379,250     
Spectrum Brands, Inc.:  
                                                             
9.50%, 6/15/18
      
 
         1,395            1,534,500     
6.75%, 3/15/20
      
 
         142             149,810   
 
      
 
                       3,535,741     
Independent Power Producers & Energy Traders — 3.9%
Calpine Corp., 7.50%, 2/15/21 (a)
      
 
         67             71,020     
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:  
                                                             
6.88%, 8/15/17 (a)
      
 
         611             617,874     
11.25%, 12/01/18 (a)(e)
      
 
         949             744,651     
10.00%, 12/01/20
      
 
         4,766            5,022,172     
10.00%, 12/01/20 (a)
      
 
         2,645            2,780,556     
12.25%, 3/01/22 (a)
      
 
         1,897            2,110,413     
                         
Corporate Bonds                 Par
(000)		      Value
Independent Power Producers & Energy Traders (concluded)
GenOn REMA LLC:  
                                                             
Series B, 9.24%, 7/02/17
      
USD
         133          $      136,752     
Series C, 9.68%, 7/02/26
      
 
         662             701,720     
Laredo Petroleum, Inc.:  
                                                             
9.50%, 2/15/19
      
 
         730             812,125     
7.38%, 5/01/22
      
 
         550             580,250     
NRG Energy, Inc., 7.63%, 1/15/18
      
 
         2,336            2,587,120     
QEP Resources, Inc., 5.38%, 10/01/22
      
 
         488             466,040   
 
      
 
                       16,630,693     
Industrial Conglomerates — 0.2%
Sequa Corp., 7.00%, 12/15/17 (a)
      
 
         680             680,000     
Insurance — 0.8%
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a)
      
 
         1,661            1,698,372     
CNO Financial Group, Inc., 6.38%, 10/01/20 (a)
      
 
         332             346,940     
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)
      
 
         968             997,040     
TMF Group Holding BV, 9.88%, 12/01/19
      
EUR
         270             372,925   
 
      
 
                       3,415,277     
Internet Software & Services — 0.3%
Bankrate, Inc., 6.13%, 8/15/18 (a)
      
USD
         430             425,163     
Cerved Technologies SpA:  
                                                             
6.38%, 1/15/20
      
EUR
         200             267,026     
8.00%, 1/15/21
      
 
         100             132,495     
VeriSign, Inc., 4.63%, 5/01/23 (a)
      
USD
         410             383,350   
 
      
 
                       1,208,034     
IT Services — 4.7%
Ceridian Corp.:  
                                                             
11.25%, 11/15/15
      
 
         185             187,313     
8.88%, 7/15/19 (a)
      
 
         2,480            2,790,000     
11.00%, 3/15/21 (a)
      
 
         3,859            4,457,145     
Epicor Software Corp., 8.63%, 5/01/19
      
 
         820             865,100     
First Data Corp. (a):  
                                                             
7.38%, 6/15/19
      
 
         3,519            3,650,962     
8.88%, 8/15/20
      
 
         795             858,600     
6.75%, 11/01/20
      
 
         1,989            2,033,752     
10.63%, 6/15/21
      
 
         1,088            1,081,200     
11.75%, 8/15/21
      
 
         530             495,550     
SunGard Data Systems, Inc.:  
                                                             
7.38%, 11/15/18
      
 
         810             860,625     
6.63%, 11/01/19
      
 
         2,209            2,242,135     
WEX, Inc., 4.75%, 2/01/23 (a)
      
 
         726             660,660   
 
      
 
                       20,183,042     
Machinery — 0.4%
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (a)
      
 
         500             530,000     
DH Services Luxembourg Sarl, 7.75%, 12/15/20 (a)
      
 
         137             141,453     
Navistar International Corp., 8.25%, 11/01/21
      
 
         541             537,619     
SPX Corp., 6.88%, 9/01/17
      
 
         260             287,950     
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (a)
      
 
         269             262,947   
 
      
 
                       1,759,969     
Media — 10.0%
AMC Networks, Inc.:  
                                                             
7.75%, 7/15/21
      
 
         330             364,650     
4.75%, 12/15/22
      
 
         430             403,125     
Cablevision Systems Corp., 5.88%, 9/15/22
      
 
         820             783,100     
CCO Holdings LLC/CCO Holdings Capital Corp.:  
                                                             
5.25%, 9/30/22
      
 
         870             793,875     
5.13%, 2/15/23
      
 
         1,105            991,737     
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(d)(j)
      
 
         942             690,015     
Checkout Holding Corp., 9.92%, 11/15/15 (a)(f)
      
 
         675             545,063     
Cinemark USA, Inc., 5.13%, 12/15/22
      
 
         374             349,690     

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 39
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Media (concluded)
Clear Channel Communications, Inc.:  
                                                             
9.00%, 12/15/19
      
USD
         995          $      957,687     
9.00%, 3/01/21
      
 
         1,801            1,710,950     
Clear Channel Worldwide Holdings, Inc., Series B:  
                                                             
7.63%, 3/15/20
      
 
         1,425            1,428,562     
6.50%, 11/15/22
      
 
         916             909,130     
6.50%, 11/15/22
      
 
         2,827            2,827,000     
DISH DBS Corp.:  
                                                             
4.25%, 4/01/18
      
 
         775             763,375     
5.13%, 5/01/20
      
 
         1,326            1,282,905     
5.88%, 7/15/22
      
 
         1,505            1,474,900     
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (a)
      
 
         259             266,123     
Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (a)
      
 
         1,335            1,448,475     
Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (a)
      
 
         1,209            1,121,347     
Intelsat Luxembourg SA, 6.75%, 6/01/18 (a)
      
 
         1,865            1,930,275     
Live Nation Entertainment, Inc. (a):  
                                                             
8.13%, 5/15/18
      
 
         1,130            1,234,536     
7.00%, 9/01/20
      
 
         285             296,400     
Lynx I Corp., 6.00%, 4/15/21
      
GBP
         1,676            2,603,791     
The McClatchy Co., 9.00%, 12/15/22
      
USD
         820             865,100     
Midcontinent Communications & Finance Corp., 6.25%, 8/01/21 (a)
      
 
         1,378            1,381,445     
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)
      
 
         660             714,912     
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a)
      
 
         580             587,250     
Nara Cable Funding Ltd.:  
                                                             
8.88%, 12/01/18
      
EUR
         200             278,406   
8.88%, 12/01/18 (a)
      
USD
         200             204,500     
Nielsen Finance LLC/Nielsen Finance Co.:  
                                                             
11.63%, 2/01/14
      
 
         91             94,758     
7.75%, 10/15/18
      
 
         1,779            1,934,662     
Odeon & UCI Finco PLC, 9.00%, 8/01/18 (a)
      
GBP
         308             491,627     
ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (a)
      
USD
         270             271,350     
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (a)
      
 
         385             381,150     
Sirius XM Radio, Inc. (a):  
                                                             
4.25%, 5/15/20
      
 
         759             694,485     
5.75%, 8/01/21
      
 
         523             512,540     
4.63%, 5/15/23
      
 
         373             329,173     
Sterling Entertainment Corp., 10.00%, 12/15/19
      
 
         1,275            1,275,000     
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
                                                             
7.50%, 3/15/19
      
 
         1,249            1,786,927     
5.50%, 1/15/23 (a)
      
 
         760             691,600     
5.63%, 4/15/23
      
EUR
         104             133,328     
Unitymedia KabelBW GmbH, 9.50%, 3/15/21
      
 
         518             776,867     
Univision Communications, Inc. (a):  
                                                             
8.50%, 5/15/21
      
USD
         426             461,145     
6.75%, 9/15/22
      
 
         176             182,600     
5.13%, 5/15/23
      
 
         1,037            978,669     
UPCB Finance II Ltd.:  
                                                             
6.38%, 7/01/20
      
EUR
         114             158,028     
6.38%, 7/01/20 (a)
      
 
         1,218            1,688,407     
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (a)
      
USD
         531             549,585   
 
      
 
                       42,600,225     
                         
Corporate Bonds                 Par
(000)		      Value
Metals & Mining — 3.6%
ArcelorMittal:  
                                                             
9.50%, 2/15/15
      
USD
         445          $      488,387     
4.25%, 8/05/15
      
 
         436             449,080     
4.25%, 3/01/16
      
 
         175             178,500     
5.00%, 2/25/17
      
 
         545             557,262     
6.13%, 6/01/18
      
 
         489             503,670     
Eco-Bat Finance PLC, 7.75%, 2/15/17
      
EUR
         585             788,629     
FMG Resources August 2006 Property Ltd. (a):  
                                                             
6.38%, 2/01/16
      
 
         1,496            1,533,400     
6.00%, 4/01/17
      
USD
         2,003            2,038,052     
Global Brass & Copper, Inc., 9.50%, 6/01/19 (a)
      
 
         445             485,050     
Kaiser Aluminum Corp., 8.25%, 6/01/20
      
 
         330             367,950     
New Gold, Inc., 6.25%, 11/15/22 (a)
      
 
         445             426,088     
Novelis, Inc., 8.75%, 12/15/20
      
 
         4,560            4,959,000     
Peninsula Energy Ltd., 11.00%, 12/14/14
      
 
         800             800,000     
Perstorp Holding AB, 8.75%, 5/15/17 (a)
      
 
         285             291,413     
Steel Dynamics, Inc., 6.38%, 8/15/22
      
 
         355             370,088     
Taseko Mines Ltd., 7.75%, 4/15/19
      
 
         605             595,925     
Vedanta Resources PLC, 8.25%, 6/07/21 (a)
      
 
         415             390,100   
 
      
 
                       15,222,594     
Multiline Retail — 0.4%
Dollar General Corp., 4.13%, 7/15/17
      
 
         1,169            1,227,577     
Dufry Finance SCA, 5.50%, 10/15/20 (a)
      
 
         455             464,351   
 
      
 
                       1,691,928     
Oil, Gas & Consumable Fuels — 9.1%
Access Midstream Partners LP/ACMP Finance Corp.:
                                                             
5.88%, 4/15/21
      
 
         436             447,990     
6.13%, 7/15/22
      
 
         405             416,137     
4.88%, 5/15/23
      
 
         655             609,150     
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (g)
      
 
         1,335            1,224,028     
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a)
      
 
         281             283,810     
Aurora USA Oil & Gas, Inc. (a):  
                                                             
9.88%, 2/15/17
      
 
         990             1,044,450   
7.50%, 4/01/20
      
 
         490             485,100     
Bonanza Creek Energy, Inc., 6.75%, 4/15/21
      
 
         126             128,205     
BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, 4/15/22
      
 
         375             371,250     
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20
      
 
         354             373,470     
Chaparral Energy, Inc., 7.63%, 11/15/22
      
 
         325             325,813     
Chesapeake Energy Corp.:  
                                                             
7.25%, 12/15/18
      
 
         180             203,850     
6.63%, 8/15/20
      
 
         121             129,773     
6.88%, 11/15/20
      
 
         399             431,917     
6.13%, 2/15/21
      
 
         122             126,880     
Concho Resources, Inc.:  
                                                             
7.00%, 1/15/21
      
 
         125             137,188     
6.50%, 1/15/22
      
 
         436             462,160     
5.50%, 10/01/22
      
 
         536             523,940     
5.50%, 4/01/23
      
 
         109             105,730     
CONSOL Energy, Inc.:  
                                                             
8.00%, 4/01/17
      
 
         621             655,155     
8.25%, 4/01/20
      
 
         460             487,600     
Continental Resources, Inc., 7.13%, 4/01/21
      
 
         545             596,775     
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18
      
 
         225             239,063     
Crown Oil Partners IV LP, 15.00%, 3/07/15
      
 
         922             960,555     
CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (a)
      
 
         503             497,970     
Denbury Resources, Inc., 4.63%, 7/15/23
      
 
         1,132            1,010,310     
Energy XXI Gulf Coast, Inc.:  
                                                             
9.25%, 12/15/17
      
 
         695             773,187     
7.75%, 6/15/19
      
 
         795             826,800     
EP Energy LLC/EP Energy Finance, Inc., 9.38%, 5/01/20
      
 
         315             346,500     

See Notes to Financial Statements.

40 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Oil, Gas & Consumable Fuels (continued)
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
      
USD
         510          $      541,875     
EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19
      
 
         215             215,000     
Halcon Resources Corp., 8.88%, 5/15/21
      
 
         616             617,540     
Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (a)
      
 
         392             417,480     
Holly Energy Partners LP/Holly Energy Finance Corp., 6.50%, 3/01/20
      
 
         230             236,900     
Kodiak Oil & Gas Corp.:  
                                                             
8.13%, 12/01/19
      
 
         510             558,450     
5.50%, 2/01/22 (a)
      
 
         238             229,670     
Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21 (a)
      
 
         225             213,750     
Lightstream Resources Ltd. (FKA PetroBakken Energy Ltd.), 8.63%, 2/01/20 (a)
      
 
         380             361,000     
Linn Energy LLC/Linn Energy Finance Corp.:  
                                                             
6.50%, 5/15/19
      
 
         66             62,040     
6.25%, 11/01/19 (a)
      
 
         1,055            970,600     
8.63%, 4/15/20
      
 
         1,160            1,165,800     
7.75%, 2/01/21
      
 
         95             92,150     
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:  
                                                             
6.25%, 6/15/22
      
 
         246             257,070     
4.50%, 7/15/23
      
 
         365             332,150     
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21
      
 
         289             278,885     
Newfield Exploration Co., 6.88%, 2/01/20
      
 
         1,150            1,204,625     
Northern Oil & Gas, Inc., 8.00%, 6/01/20
      
 
         460             466,900     
Oasis Petroleum, Inc.:  
                                                             
7.25%, 2/01/19
      
 
         295             312,700     
6.50%, 11/01/21
      
 
         430             451,500     
Offshore Group Investment Ltd., 7.13%, 4/01/23
      
 
         622             598,675     
Pacific Drilling SA, 5.38%, 6/01/20 (a)
      
 
         598             577,070     
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20
      
 
         140             143,150     
PDC Energy, Inc., 7.75%, 10/15/22
      
 
         310             325,500     
Penn Virginia Corp., 8.50%, 5/01/20
      
 
         294             294,000   
Petrobras Global Finance BV, 3.00%, 1/15/19
      
 
         514             472,782     
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (a)
      
 
         850             930,750     
Range Resources Corp.:  
                                                             
8.00%, 5/15/19
      
 
         515             553,625     
6.75%, 8/01/20
      
 
         177             190,718     
5.75%, 6/01/21
      
 
         1,439            1,507,352     
5.00%, 8/15/22
      
 
         473             462,357     
5.00%, 3/15/23
      
 
         230             224,825     
Regency Energy Partners LP/Regency Energy Finance Corp., 6.88%, 12/01/18
      
 
         166             178,035     
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a)
      
 
         187             187,000     
Rosetta Resources, Inc., 5.63%, 5/01/21
      
 
         393             379,245     
Sabine Pass Liquefaction LLC (a):  
                                                             
5.63%, 2/01/21
      
 
         1,721            1,643,555     
5.63%, 4/15/23
      
 
         498             461,895     
Sabine Pass LNG LP:  
                                                             
7.50%, 11/30/16
      
 
         2,565            2,824,706     
6.50%, 11/01/20 (a)
      
 
         480             482,400     
SandRidge Energy, Inc.:  
                                                             
8.75%, 1/15/20
      
 
         45             47,025     
7.50%, 2/15/23
      
 
         433             418,927     
SESI LLC, 6.38%, 5/01/19
      
 
         301             316,803     
Seven Generations Energy Ltd., 8.25%, 5/15/20 (a)
      
 
         148             151,700     
SM Energy Co.:  
                                                             
6.63%, 2/15/19
      
 
         315             329,175     
6.50%, 11/15/21
      
 
         390             409,500     
6.50%, 1/01/23
      
 
         455             468,650     
                         
Corporate Bonds                 Par
(000)		      Value
Oil, Gas & Consumable Fuels (concluded)
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (a)
      
USD
         420          $      426,300     
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (a)
      
 
         229             228,428     
Vanguard Natural Resources LLC/VNR Finance Corp., 7.88%, 4/01/20
      
 
         400             405,000   
 
      
 
                       38,849,989     
Paper & Forest Products — 0.6%
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (a)
      
 
         468             493,740     
Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20
      
 
         180             193,050     
Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17
      
 
         85             89,463     
Clearwater Paper Corp.:  
                                                             
7.13%, 11/01/18
      
 
         865             929,875     
4.50%, 2/01/23
      
 
         65             58,825     
NewPage Corp., 11.38%, 12/31/14 (d)(j)
      
 
         2,887            —      
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (a)
      
 
         200             209,000     
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (a)
      
 
         385             385,962   
 
      
 
                       2,359,915     
Pharmaceuticals — 2.2%
Capsugel Finance Co. SCA:  
                                                             
9.88%, 8/01/19 (a)
      
EUR
         300             438,127     
9.88%, 8/01/19
      
 
         100             146,042     
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a)
      
USD
         1,002            1,132,260     
Valeant Pharmaceuticals International (a):  
                                                             
6.88%, 12/01/18
      
 
         1,343            1,423,580     
6.38%, 10/15/20
      
 
         402             408,533     
6.75%, 8/15/21
      
 
         673             693,190     
VPII Escrow Corp. (a):  
                                                             
6.75%, 8/15/18
      
 
         3,610            3,822,087     
7.50%, 7/15/21
      
 
         218             233,260     
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18
      
 
         905             988,713   
 
      
 
                       9,285,792     
Professional Services — 0.3%
La Financiere Atalian SA, 7.25%, 1/15/20
      
EUR
         324             417,509   
Truven Health Analytics, Inc., 10.63%, 6/01/20
      
USD
         760             807,500   
 
      
 
                       1,225,009     
Real Estate Investment Trusts (REITs) — 0.7%
Cantor Commercial Real Estate Co. LP/CCRE Finanace Corp., 7.75%, 2/15/18 (a)
      
 
         417             426,383     
Felcor Lodging LP:  
                                                             
6.75%, 6/01/19
      
 
         1,507            1,578,582     
5.63%, 3/01/23
      
 
         379             352,470     
Host Hotels & Resorts LP, 2.50%, 10/15/29 (a)(g)
      
 
         180             245,250     
iStar Financial, Inc., 4.88%, 7/01/18
      
 
         602             583,940   
 
      
 
                       3,186,625     
Real Estate Management & Development — 2.5%
CBRE Services, Inc., 6.63%, 10/15/20
      
 
         500             531,250     
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (a)
      
 
         1,270            1,365,250     
IVG Finance BV, 1.75%, 3/29/17 (g)
      
EUR
         400             343,629     
Realogy Corp. (a):  
                                                             
7.88%, 2/15/19
      
USD
         3,425            3,724,687     
7.63%, 1/15/20
      
 
         750             840,000     
9.00%, 1/15/20
      
 
         485             560,175     
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a)
      
 
         498             494,265     

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 41
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Real Estate Management & Development (concluded)
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19
      
USD
         2,005         $    2,200,488     
Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (a)
      
 
         665             661,675   
 
      
 
                       10,721,419     
Road & Rail — 0.7%
The Hertz Corp.:  
                                                             
7.50%, 10/15/18
      
 
         820             885,600     
6.75%, 4/15/19
      
 
         430             458,487     
5.88%, 10/15/20
      
 
         95             97,494     
7.38%, 1/15/21
      
 
         645             696,600     
6.25%, 10/15/22
      
 
         395             401,913     
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (a)
      
 
         290             286,375   
 
      
 
                       2,826,469     
Semiconductors & Semiconductor Equipment — 0.3%
NXP BV/NXP Funding LLC (a):  
                                                             
3.75%, 6/01/18
      
 
         635             613,569     
9.75%, 8/01/18
      
 
         100             110,500     
5.75%, 2/15/21
      
 
         500             500,000   
 
      
 
                       1,224,069     
Software — 1.9%
BMC Software Finance, Inc., 8.13%, 7/15/21 (a)
      
 
         1,065            1,078,312     
Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (a)(e)
      
 
         495             502,425     
IAC/InterActiveCorp, 4.75%, 12/15/22
      
 
         621             572,872     
Igloo Holdings Corp., 8.25%, 12/15/17 (a)(e)
      
 
         436             445,810     
Infor US, Inc., 9.38%, 4/01/19
      
 
         3,040            3,382,000     
Interface Security Systems Holdings, Inc./Interface Security Systems LLC, 9.25%, 1/15/18 (a)
      
 
         219             226,118     
Nuance Communications, Inc., 5.38%, 8/15/20 (a)
      
 
         1,380            1,314,450     
Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (a)
      
 
         645             699,825   
 
      
 
                       8,221,812     
Specialty Retail — 3.1%
Asbury Automotive Group, Inc., 8.38%, 11/15/20
      
 
         540             596,700     
Claire’s Stores, Inc. (a):  
                                                             
9.00%, 3/15/19
      
 
         1,288            1,434,510     
7.75%, 6/01/20
      
 
         488             485,560     
CST Brands, Inc., 5.00%, 5/01/23 (a)
      
 
         557             529,150     
House of Fraser Funding PLC:  
                                                             
8.88%, 8/15/18 (a)
      
GBP
         420             688,918     
8.88%, 8/15/18
      
 
         321             526,530     
Limited Brands, Inc., 8.50%, 6/15/19
      
USD
         1,170            1,382,062   
Magnolia BC SA, 9.00%, 8/01/20
      
EUR
         446             596,883     
Michaels FinCo Holdings LLC/Michaels FinCo, Inc., 7.50%, 8/01/18 (a)(e)
      
USD
         865             865,000     
Michaels Stores, Inc., 7.75%, 11/01/18
      
 
         346             372,382     
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (a)(e)
      
 
         319             327,773     
Party City Holdings, Inc., 8.88%, 8/01/20 (a)
      
 
         1,500            1,606,875     
PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75%, 8/15/19 (a)(e)
      
 
         421             416,264     
Penske Automotive Group, Inc., 5.75%, 10/01/22
      
 
         476             471,240     
QVC, Inc. (a):  
                                                             
7.50%, 10/01/19
      
 
         920             991,832     
7.38%, 10/15/20
      
 
         440             478,081     
Sally Holdings LLC/Sally Capital, Inc.:  
                                                             
6.88%, 11/15/19
      
 
         805             877,450     
5.75%, 6/01/22
      
 
         753             753,941   
 
      
 
                       13,401,151     
                         
Corporate Bonds                 Par
(000)		      Value
Textiles, Apparel & Luxury Goods — 0.5%
Levi Strauss & Co., 6.88%, 5/01/22
      
USD
         645          $      685,313     
PVH Corp., 4.50%, 12/15/22
      
 
         373             345,491     
Quiksilver, Inc./QS Wholesale, Inc., 7.88%, 8/01/18 (a)
      
 
         176             181,500     
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (a)
      
 
         743             733,712     
The William Carter Co., 5.25%, 8/15/21 (a)
      
 
         374             375,870   
 
      
 
                       2,321,886     
Thrifts & Mortgage Finance — 0.1%
MGIC Investment Corp., 2.00%, 4/01/20 (g)
      
 
         75             94,313     
Radian Group, Inc. (g):  
                                                             
3.00%, 11/15/17
      
 
         88             121,825     
2.25%, 3/01/19
      
 
         211             301,730   
 
      
 
                       517,868     
Trading Companies & Distributors — 0.7%
Air Lease Corp., 4.50%, 1/15/16
      
 
         880             915,200     
Ashtead Capital, Inc., 6.50%, 7/15/22 (a)
      
 
         735             777,262     
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust (a):  
                                                             
Series 2012-1, Class A, 5.13%, 11/30/24
      
 
         892             878,722     
Series 2012-1, Class B, 6.50%, 5/30/21
      
 
         289             291,725   
 
      
 
                       2,862,909     
Transportation Infrastructure — 0.5%
Aguila 3 SA (a):  
                                                             
7.88%, 1/31/18
      
 
         632             662,020     
Series 144, 7.88%, 1/31/18
      
 
         470             492,325     
Jack Cooper Holdings Corp., 9.25%, 6/01/20 (a)
      
 
         1,085            1,112,125   
 
      
 
                       2,266,470     
Wireless Telecommunication Services — 4.6%
Crown Castle International Corp., 5.25%, 1/15/23
      
 
         1,658            1,566,810     
Digicel Group Ltd., 8.25%, 9/30/20 (a)
      
 
         1,430            1,515,800     
Digicel Ltd., 6.00%, 4/15/21 (a)
      
 
         2,296            2,215,640     
MetroPCS Wireless, Inc., 6.63%, 11/15/20
      
 
         773             801,988     
NII Capital Corp., 7.63%, 4/01/21
      
 
         517             395,505     
Phones4u Finance PLC:  
                                                             
9.50%, 4/01/18
      
GBP
         200             320,788     
9.50%, 4/01/18 (a)
      
 
         545             874,147     
Softbank Corp., 4.50%, 4/15/20 (a)
      
USD
         1,155            1,091,983     
Sprint Capital Corp., 6.88%, 11/15/28
      
 
         1,503            1,356,458     
Sprint Communications, Inc. (FKA Sprint Nextel Corp.) (a):  
                                                             
9.00%, 11/15/18
      
 
         5,339            6,233,282     
7.00%, 3/01/20
      
 
         2,777            2,985,275     
T-Mobile USA, Inc., 5.25%, 9/01/18 (a)
      
 
         550             555,500   
 
      
 
                       19,913,176     
Total Corporate Bonds — 108.3%
      
 
                       463,602,983     
Floating Rate Loan Interests (b)
Airlines — 1.0%
Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18
      
 
         644             645,181     
Northwest Airlines, Inc., Term Loan:  
                                                             
2.30%, 3/10/17
      
 
         943             872,897   
2.30%, 3/10/17
      
 
         945             874,542   
1.68%, 9/10/18
      
 
         799             707,450   
1.68%, 9/10/18
      
 
         793             701,771   
1.68%, 9/10/18
      
 
         787             696,903   
 
      
 
                       4,498,744     

See Notes to Financial Statements.

42 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)                 Par
(000)		      Value
Auto Components — 1.2%
Federal-Mogul Corp.:  
                                                             
Term Loan B, 2.12% – 2.13%, 12/29/14
      
USD
         3,093         $    3,011,878     
Term Loan C, 2.12% – 2.13%, 12/28/15
      
 
         1,439            1,400,759     
Schaeffler AG, Term Loan C, 4.25%, 1/27/17
      
 
         915             916,418   
 
      
 
                       5,329,055     
Building Products — 0.1%
Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19
      
 
         622             616,564     
Capital Markets — 0.8%
American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16
      
 
         2,082            2,088,431     
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17
      
 
         525             522,706     
Nuveen Investments, Inc.:  
                                                             
2nd Lien Term Loan, 6.50%, 2/28/19
      
 
         505             502,056     
Term Loan, 4.18%, 5/15/17
      
 
         192             191,327   
 
      
 
                       3,304,520     
Chemicals — 0.2%
MacDermid, Inc., 2nd Lien Term Loan, 7.75%, 12/07/20
      
 
         160             161,600     
OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20
      
 
         415             413,834     
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20
      
 
         80             80,319   
 
      
 
                       655,753     
Commercial Services & Supplies — 0.5%
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16
      
 
         594             593,971     
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17
      
 
         380             381,190     
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18
      
 
         608             606,815     
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
      
 
         380             380,357   
 
      
 
                       1,962,333     
Communications Equipment — 1.3%
Alcatel-Lucent USA, Inc.:  
                                                             
Term Loan C, 5.75%, 1/30/19
      
 
         2,070            2,078,023     
Term Loan D, 6.25%, 1/30/19
      
EUR
         806             1,067,580     
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18
      
USD
         184             174,070     
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.50%, 7/02/19
      
 
         2,158            2,164,083   
 
      
 
                       5,483,756     
Construction Materials — 0.3%
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17
      
 
         1,294            1,297,308     
Containers & Packaging — 0.1%
Tekni-Plex, Inc., Term Loan B, 5.50% – 6.50%, 8/25/19
      
 
         395             393,025     
Diversified Consumer Services — 0.2%
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18
      
 
         212             210,962     
ServiceMaster Co.:  
                                                             
Extended Term Loan, 4.44%, 1/31/17
      
 
         245             237,990     
Term Loan, 4.25%, 1/31/17
      
 
         677             655,964   
 
      
 
                       1,104,916   
Diversified Telecommunication Services — 0.4%
Level 3 Financing, Inc.:  
                                                             
2016 Term Loan B, 4.00%, 1/15/20
      
 
         585             584,514     
2019 Term Loan B, 4.00%, 8/01/19
      
 
         405             404,243     
Term Loan, 4.75%, 8/01/19
      
 
         690             689,276   
 
      
 
                       1,678,033     
Energy Equipment & Services — 0.1%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
      
 
         265             263,232     
                         
Floating Rate Loan Interests (b)                 Par
(000)		      Value
Food & Staples Retailing — 0.0%
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
      
USD
         160        $      163,950     
Food Products — 0.1%
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17
      
 
         318             321,087     
Health Care Equipment & Supplies — 0.3%
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19
      
 
         1,106            1,101,894     
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18
      
 
         411             406,742   
 
      
 
                       1,508,636     
Health Care Providers & Services — 0.2%
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17
      
 
         345             354,571     
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16
      
 
         576             561,564   
 
      
 
                       916,135     
Hotels, Restaurants & Leisure — 4.3%
Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20
      
 
         680             678,728     
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
      
 
         645             645,800     
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20
      
 
         1,770            1,765,575     
Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14
      
 
         10,632            10,115,967     
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
      
 
         794             790,459     
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
      
 
         825             827,054     
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19
      
 
         960             962,803     
Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20
      
 
         1,372            1,380,711     
Travelport LLC/Travelport Holdings, Inc.:  
                                                             
2nd Lien PIK Term Loan 2, 8.38%, 12/01/16 (e)
      
 
         651             650,549     
2nd Lien Term Loan 1, 9.50%, 1/29/16
      
 
         144             149,355     
Refinancing Term Loan, 6.25%, 6/26/19
      
 
         425             429,038   
 
      
 
                       18,396,039     
Industrial Conglomerates — 0.2%
Sequa Corp., Term Loan B, 5.25%, 6/19/17
      
 
         856             858,605     
Insurance — 0.1%
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19
      
 
         498             499,057     
IT Services — 0.4%
Ceridian Corp., Term Loan B, 4.43%, 5/09/17
      
 
         455             454,527     
First Data Corp., Extended 2018 Term Loan B, 4.18%, 3/23/18
      
 
         1,160            1,147,750   
 
      
 
                       1,602,277     
Life Sciences Tools & Services — 0.1%
Patheon, Inc., Term Loan, 7.25%, 12/06/18
      
 
         303             304,983     
Machinery — 1.3%
Gardner Denver, Inc., Term Loan:  
                                                             
4.25%, 7/30/20
      
 
         1,820            1,809,516   
4.75%, 7/30/20
      
EUR
         1,992            2,625,326     
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20
      
USD
         1,058            1,046,355   
 
      
 
                       5,481,197     

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 43
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)                 Par
(000)		      Value
Media — 1.6%
Cengage Learning Acquisitions, Inc.:  
                                                             
Non-Extended Term Loan, 4.75%, 7/03/14
      
USD
         477          $      340,746     
Tranche 1 Incremental, 6.00%, 7/03/14
      
 
         2,285            1,614,114     
Clear Channel Communications, Inc.:  
                                                             
Term Loan B, 3.83%, 1/29/16
      
 
         198             184,709     
Term Loan C, 3.83%, 1/29/16
      
 
         147             134,746     
Term Loan D, 6.93%, 1/30/19
      
 
         2,204            2,021,206     
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18
      
 
         630             632,291     
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
      
 
         69             66,392     
Harron Communications Corp., Refinancing Term Loan B, 3.50%, 6/19/20
      
 
         875             875,726     
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20
      
 
         330             338,250     
Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20
      
 
         369             367,674     
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/08/20
      
 
         175             174,120   
 
      
 
                       6,749,974     
Metals & Mining — 0.8%
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20
      
 
         1,317            1,346,326     
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17
      
 
         2,098            2,105,231   
 
      
 
                       3,451,557     
Multiline Retail — 0.4%
HEMA Holding BV, Mezzanine, 8.63%, 7/05/17
      
EUR
         1,518            1,805,247     
Oil, Gas & Consumable Fuels — 1.5%
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17
      
USD
         3,255            3,314,664     
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
      
 
         1,008            1,008,083     
Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18
      
 
         345             346,511     
Vantage Drilling Co.:  
                                                             
Term Loan, 6.25%, 10/26/17
      
 
         1,277            1,286,266     
Term Loan B, 5.75%, 3/22/19
      
 
         539             542,690   
 
      
 
                       6,498,214     
Pharmaceuticals — 0.7%
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17
      
 
         1,463            1,465,249     
Par Pharmaceutical, Refinancing Term Loan B, 4.25%, 9/30/19
      
 
         1,052            1,046,477     
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18
      
 
         458             457,094   
 
      
 
                       2,968,820     
Real Estate Investment Trusts (REITs) — 0.3%
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17
      
 
         1,421            1,421,436     
Real Estate Management & Development — 0.2%
Realogy Corp.:  
                                                             
Extended Letter of Credit, 4.45%, 10/10/16
      
 
         136             136,402     
Extended Term Loan, 4.50%, 3/05/20
      
 
         673             677,016   
 
      
 
                       813,418     
Road & Rail — 0.1%
Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17
      
 
         403             401,745     
Software — 0.4%
BMC Software, Inc., Term Loan, 5.00%, 8/07/20
      
 
         205             204,574     
GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20
      
 
         85             86,275     
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18
      
 
         747             750,700     
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
      
 
         760             785,650   
 
      
 
                       1,827,199     
                         
Floating Rate Loan Interests (b)                 Par
(000)		      Value
Specialty Retail — 0.3%
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19
      
USD
         796          $      800,171     
Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19
      
 
         385             383,964   
 
      
 
                       1,184,135     
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
      
 
         1,620            1,550,671     
Thrifts & Mortgage Finance — 0.2%
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18
      
 
         898             906,279     
Total Floating Rate Loan Interests — 20.1%
      
 
                       86,217,900     
 
Investment Companies — 0.2%
      
 
         Shares                   
Exchange-Traded Fund — 0.2%  
iShares MSCI EAFE Index Fund (l)
      
 
         17,990            1,064,468     
 
Other Interests (m)
         
Beneficial Interest
(000)
              
Auto Components — 0.0%
Lear Corp. Escrow
      
USD
         790             3,950     
Chemicals — 0.0%
Wellman Holdings, Inc., Litigation Trust Certificate (d)
      
 
         4,650            47     
Hotels, Restaurants & Leisure — 0.0%
Buffets, Inc. (d)
      
 
         970             10     
Media — 0.0%  
Adelphia Escrow (d)
      
 
         1,250            12     
Adelphia Recovery Trust (d)
      
 
         1,568            15,677     
 
      
 
                       15,689     
Total Other Interests — 0.0%
      
 
                       19,696     
 
Preferred Securities
     
 
         Par
(000		 )                 
Capital Trusts — 0.0%
      
 
                             
Media — 0.0%
NBCUniversal Enterprise, Inc., 5.25% (a)(k)
      
 
         100             97,921     
 
Preferred Stocks — 2.0%
      Shares                  
Auto Components — 2.0%
Dana Holding Corp., 4.00% (a)(g)
      
 
         47,370            8,322,317     
 
Trust Preferreds — 1.4%
Diversified Financial Services — 1.4%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)
      
 
         225,570            5,956,951     
Total Preferred Securities — 3.4%
      
 
                       14,377,189     

See Notes to Financial Statements.

44 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)
(Percentages shown are based on Net Assets)
Warrants (n)                     
Shares 		     Value 
Containers & Packaging — 0.1%
MDP Acquisitions PLC (Issued/Exercisable 12/31/02, 3 Shares for 1 Warrant, Expires 10/01/13, Strike Price EUR 0.001)
      
 
         1,100       $      116,011   
Health Care Providers & Services — 0.0%
HealthSouth Corp. (Expires 1/16/14)
      
 
         52,465            1     
Media — 0.0%
New Vision Holdings LLC:  
                                                             
(Expires 9/30/14)
      
 
         22,194            33,934     
(Expires 9/30/14)
      
 
         3,995            7,343   
 
      
 
                       41,277     
Metals & Mining — 0.0%
Peninsula Energy Ltd. (Expires 12/31/17) (d)
      
 
         3,455,851            23,684     
Peninsula Minerals Ltd. (Expires 12/31/15) (d)
      
 
         5,850,469            57,280   
 
      
 
                       80,964     
Software — 0.0%
HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)
      
 
         1,736            —      
Total Warrants — 0.1%
      
 
                       238,253     
Total Long-Term Investments
(Cost — $606,641,350) — 142.7%
      
 
                       611,544,497     
Short-Term Securities                     
    
Shares		      Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (l)(o)
      
 
         1,683,977       $    1,683,977     
Total Short-Term Securities
(Cost — $1,683,977) — 0.4%
      
 
                       1,683,977     
 
Options Purchased  
(Cost — $1,664,859) — 0.5%
      
 
                       1,928,050     
Total Investments Before Options Written
(Cost — $609,990,186) — 143.7%
      
 
                       615,156,524     
 
Options Written  
(Premiums Received — $421,361) — (0.1)%
      
 
                       (445,000 )  
Total Investments, Net of Options Written — 143.6%
                    614,711,524     
Liabilities in Excess of Other Assets — (43.6)%
      
 
                       (186,583,193 )  
Net Assets — 100.0%
      
 
                  $ 428,128,331   

Notes to Consolidated 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 shown is as of report date.
(c)      
When-issued security. Unsettled when-issued transactions were as follows:

Counterparty
   
 Value
    
 Unrealized
Appreciation
(Depreciation)
J.P. Morgan Securities LLC
       $ 2,711,340            —    

(d)      
Non-income producing security.
(e)      
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(f)      
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(g)      
Convertible security.
(h)      
All or a portion of security has been pledged as collateral in connection with swaps.
(i)      
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.
(j)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(k)      
Security is perpetual in nature and has no stated maturity date.
(l)      
Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate
 
 Shares
Held at
August 31, 2012
  
 Shares
Purchased
  
 Shares
Sold
  
 Shares
Held at
August 31, 2013
  
 Value at
August 31, 2013
  
 Income
  
 Realized
Gain (Loss)
BlackRock Liquidity Funds, TempFund,
  Institutional Class
         —       1,683,9771       —       1,683,977      $ 1,683,977      $ 1,320      $ 114  
iShares iBoxx $ High Yield Corporate
  Bond ETF2
         —       39,471       (39,471 )      —       —      $ 18,910      $ (54,141 ) 
iShares MSCI EAFE Index Fund
         —       17,990       —       17,990     $ 1,064,468       —       —  
1   Represents net shares purchased.
2   No longer held by the Trust as of report date.

(m)      
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(n)      
Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.
(o)      
Represents the current yield as of report date.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 45
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)
•      
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 Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
•      
Financial futures contracts as of August 31, 2013 were as follows:

Contracts
Purchased
(Sold)
   
 Issue
    
 Exchange
    
 Expiration
    
 Notional
Value
    
 Unrealized
Appreciation
(Depreciation)
    
(18)
      
2-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
         3,955,500      
$(256)
(48)
      
5-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
         5,744,625      
7,062
(32)
      
10-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
         3,977,000      
(2,050)
Total
$4,756 

•      
Foreign currency exchange contracts as of August 31, 2013 were as follows:

Currency Purchased
Currency Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
(Depreciation)
USD
    2,634,974   
EUR
    1,974,000   
Barclays Bank PLC
   
9/25/13
    $   25,858  
USD
    32,419,901   
EUR
    24,128,000   
UBS AG
   
9/25/13
       528,935  
USD
    680,492   
AUD
    747,000   
UBS AG
   
10/22/13
       17,739  
USD
    6,858,484   
CAD
    7,137,000   
JPMorgan Chase Bank N.A.
   
10/22/13
       90,700  
USD
    189,961   
GBP
    126,000   
Bank of America N.A.
   
10/22/13
       (5,229 )
USD
    317,860   
GBP
    205,000   
Bank of America N.A.
   
10/22/13
       289  
USD
    109,924   
GBP
    71,000   
Barclays Bank PLC
   
10/22/13
       (63 )
USD
    13,344,336   
GBP
    8,849,000   
Deutsche Bank AG
   
10/22/13
       (363,876 )
USD
    231,143   
GBP
    152,000   
Deutsche Bank AG
   
10/22/13
       (4,324 )
USD
    47,346   
GBP
    30,443   
Deutsche Bank AG
   
10/22/13
       186
Total
         
 
         
 
     
 
      $ 290,215

•      
Exchange-traded options purchased as of August 31, 2013 were as follows:

Description
   
 Put/
Call
    
 Strike
Price
    
 Expiration
Date
    
 Contracts
    
 Market
Value
    
SPDR S&P 500 ETF Trust
      
Put
   
USD
   
165.00
   
9/21/13
   
450
      $ 151,200     
SPDR S&P 500 ETF Trust
      
Put
   
USD
   
164.00
   
9/21/13
   
1,500
         425,250   
SPDR S&P 500 ETF Trust
      
Put
   
USD
   
161.00
   
10/19/13
   
1,732
         519,600   
SPDR S&P 500 ETF Trust
      
Put
   
USD
   
164.00
   
10/19/13
   
2,000
         832,000   
Total
      
 
   
 
   
 
   
 
   
 
    $ 1,928,050   

•      
Exchange-traded options written as of August 31, 2013 were as follows:

Description
   
 Put/
Call
    
 Strike
Price
    
 Expiration
Date
    
 Contracts
    
 Market
Value
    
SPDR S&P 500 ETF Trust
      
Put
   
USD
   
156.00
   
9/21/13
   
1,500
      $  (105,000 )  
SPDR S&P 500 ETF Trust
      
Put
   
USD
   
156.00
   
10/19/13
   
2,000
         (340,000 )  
Total
      
 
   
 
   
 
   
 
   
 
    $ (445,000 )  

•      
Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows:

Issuer
   
 Pay
Fixed
Rate
    
 Counterparty
    
 Expiration
Date
    
 Notional
Amount
(000)
    
 Market
Value
    
 Premiums
Paid
    
 Unrealized
Appreciation
(Depreciation)
RadioShack Corp.
      
5.00%
   
Deutsche Bank AG
   
9/20/18
   
USD
   
98
   
$24,594
      $ 30,452         $    (5,858 )  
RadioShack Corp.
      
5.00%
   
Deutsche Bank AG
   
9/20/18
   
USD
   
98
   
24,595
         29,985            (5,390 )  
RadioShack Corp.
      
5.00%
   
Deutsche Bank AG
   
9/20/18
   
USD
   
98
   
24,594
         27,169            (2,575 )  
Total
      
 
   
 
   
 
   
 
   
 
   
$73,783
      $ 87,606         $ (13,823 )  

See Notes to Financial Statements.

46 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)

•      
Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows:

Issuer/Index
 
 Receive
Fixed
Rate
  
 Counterparty
  
 Expiration
Date
  
 Credit
Rating1
  
 Notional
Amount
(000)2
  
 Market
Value
  
 Premiums
Received
  
 Unrealized
Appreciation
(Depreciation)
  
RadioShack Corp.
      
5.00%
  
Deutsche Bank AG
  
9/20/15
  
CCC
  
USD
  
98
  
$(10,437)
    $ (15,218 )     $  4,781  
RadioShack Corp.
      
5.00%
  
Deutsche Bank AG
  
9/20/15
  
CCC
  
USD
  
98
  
(10,437)
     (15,238 )      4,801  
RadioShack Corp.
      
5.00%
  
Deutsche Bank AG
  
9/20/15
  
CCC
  
USD
  
98
  
(10,437)
     (12,478 )      2,041  
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
JPMorgan Chase Bank N.A.
  
12/20/15
  
CCC-
  
USD
  
403
  
(76,799)
     (116,072 )      39,273  
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
JPMorgan Chase Bank N.A.
  
12/20/15
  
CCC-
  
USD
  
112
  
(21,294)
     (27,899 )      6,605  
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
Goldman Sachs International
  
3/20/16
  
CCC-
  
USD
  
483
  
(108,676)
     (110,210 )      1,534  
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
Goldman Sachs International
  
3/20/16
  
CCC-
  
USD
  
118
  
(26,577)
     (25,631 )      (946 ) 
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
Goldman Sachs International
  
3/20/16
  
CCC-
  
USD
  
558
  
(125,539)
     (97,766 )      (27,773 ) 
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
Goldman Sachs International
  
3/20/16
  
CCC-
  
USD
  
163
  
(36,735)
     (39,086 )      2,351  
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
Goldman Sachs International
  
3/20/16
  
CCC-
  
USD
  
163
  
(36,735)
     (39,086 )      2,351  
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
JPMorgan Chase Bank N.A.
  
3/20/16
  
CCC-
  
USD
  
68
  
(15,359)
     (13,987 )      (1,372 ) 
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
Goldman Sachs International
  
6/20/16
  
CCC-
  
USD
  
331
  
(86,110)
     (82,861 )      (3,249 ) 
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
Goldman Sachs International
  
6/20/16
  
CCC-
  
USD
  
630
  
(164,134)
     (152,963 )      (11,171 ) 
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
Goldman Sachs International
  
6/20/16
  
CCC-
  
USD
  
1,132
  
(294,976)
     (278,718 )      (16,258 ) 
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
Goldman Sachs International
  
6/20/16
  
CCC-
  
USD
  
182
  
(47,390)
     (37,197 )      (10,193 ) 
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
Goldman Sachs International
  
3/20/17
  
CCC-
  
USD
  
299
  
(106,005)
     (82,770 )      (23,235 ) 
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
Goldman Sachs International
  
3/20/17
  
CCC-
  
USD
  
355
  
(125,935)
     (110,507 )      (15,428 ) 
Caesars Entertainment Operating Co., Inc.
      
5.00%
  
Goldman Sachs International
  
3/20/17
  
CCC-
  
USD
  
207
  
(73,435)
     (60,981 )      (12,454 ) 
Crown Castle International Corp.
      
7.25%
  
Deutsche Bank AG
  
3/20/17
  
B
  
USD
  
690
  
112,258
     —       112,258  
CCO Holdings LLC
      
8.00%
  
Deutsche Bank AG
  
9/20/17
  
BB-
  
USD
  
2,400
  
490,360
     —       490,360  
Level 3 Communications, Inc.
      
5.00%
  
Goldman Sachs International
  
6/20/19
  
B
  
USD
  
1,500
  
31,152
     (133,551 )      164,703  
Markit CMBX North America AAA Index Series 3
      
0.50%
  
Citibank N.A.
  
12/13/49
  
BBB-
  
USD
  
115
  
(13,080)
     (10,815 )      (2,265 ) 
Markit CMBX North America AAA Index Series 3
      
0.50%
  
Citibank N.A.
  
12/13/49
  
BBB-
  
USD
  
225
  
(25,592)
     (21,301 )      (4,291 ) 
 
      
 
  
 
  
 
  
 
  
 
  
 
  
 
                
Total
      
 
  
 
  
 
  
 
  
 
  
 
  
$(781,912)
    $ (1,484,335 )     $ 702,423  
1   Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.
2   The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.

•      
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 statement purposes as follows:
•      
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or 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 fair value hierarchy classification 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 instruments 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, please refer to Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 47
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)

       
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013:

 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                                                 
Investments:
                                                                                 
Long-Term Investments:
                                                                                 
Asset-Backed Securities
            —             —          $ 2,711,340         $    2,711,340   
Common Stocks
        $ 32,808,407         $    3,239,487            7,264,774            43,312,668   
Corporate Bonds
            —             459,121,956            4,481,027            463,602,983   
Floating Rate Loan Interests
           —             73,752,994            12,464,906            86,217,900   
Investment Companies
            1,064,468            —             —             1,064,468   
Other Interests
            15,677            —             4,019            19,696   
Preferred Securities
           5,956,951            8,420,238            —             14,377,189   
Warrants
            173,292            —             64,961            238,253   
Short-Term Securities
           1,683,977            —             —             1,683,977   
Options Purchased:
                                                                                 
Equity Contracts
            1,928,050            —             —             1,928,050   
Unfunded Loan Commitments
           —             11,909            —             11,909   
 
         $ 43,630,822         $ 544,546,584         $ 26,991,027         $ 615,168,433   
                                     
 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Derivative Financial Instruments1
                                                                                 
Assets:
                                                                                 
Interest rate contracts
         $      7,062            —          $    602,618         $        7,062   
Foreign currency exchange contracts
           —          $      663,707            —             663,707   
Credit contracts
            —             228,440            —             831,058   
Liabilities:
                                                                                 
Interest rate contracts
            (2,306 )           —             —             (2,306 )  
Equity contracts
            (445,000 )           —             —             (445,000 )  
Foreign currency exchange contracts
           —             (373,492 )           —             (373,492 )  
Credit contracts
            —             (142,458 )           —             (142,458 )  
Total
         $ (440,244 )        $ 376,197         $ 602,618         $ 538,571   
                                     
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 and options are shown at value.
                                     
Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
 
 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                                                 
Cash
         $        178             —             —          $ 178    
Foreign currency at value
           14,803            —             —             14,803   
Cash pledged for financial futures contracts
            120,000            —             —             120,000   
Liabilities:
                                                                                 
Cash received as collateral for over-the-counter swaps
           —          $ (700,000 )           —             (700,000 )  
Loan payable
            —             (186,000,000 )           —             (186,000,000 )  
Total
         $ 134,981         $ (186,700,000 )           —          $ (186,565,019 )  

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2013.

See Notes to Financial Statements.

48 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund V, Inc. (HYV)

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets. 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
  
 Warrants
  
 Total
Assets:
                                                            
Opening Balance, as of August 31, 2012
         —      $ 6,755,302      $ 6,576,954      $ 19,411,992      $ 8,463      $ 1      $ 32,752,712  
Transfers into Level 3
         —       329       2,120,575       1,620,899       —       —       3,741,803  
Transfers out of Level 3
         —       —       —       (2,707,741 )      —       —       (2,707,741 ) 
Accrued discounts/premiums
         —       —       5,414       104,443       —       —       109,857  
Net realized gain (loss)
         —       (8,657 )      10,758       193,694       —       (6 )      195,789  
Net change in unrealized appreciation/ depreciation1
         —       (241,656 )      (1,651,001 )      807,868       (4,444 )      63,313       (1,025,920 ) 
Purchases
        $ 2,711,340       759,460       2,111,376       9,539,934       —       1,653       15,123,763  
Sales
        —       (4 )      (4,693,049 )      (16,506,183 )      —       —       (21,199,236 ) 
Closing Balance, as of August 31, 2013
        $ 2,711,340      $ 7,264,774      $ 4,481,027      $ 12,464,906      $ 4,019      $ 64,961      $ 26,991,027  
1   Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2013 was $(2,034,675).

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

 
   
 Credit
Contracts
Assets:
                 
Opening Balance, as of August 31, 2012
        $ 829,910   
Transfers into Level 3
            —    
Transfers out of Level 3
           —    
Accrued discounts/premiums
           —    
Net realized gain (loss)
           —    
Net change in unrealized appreciation/depreciation2
           (227,292 )  
Purchases
           —    
Issues3
           —    
Sales
           —    
Settlements4
           —    
Closing Balance, as of August 31, 2013
       $ 602,618   

2   Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held as of August 31, 2013 was $397,267.
3   Issues represent upfront cash received on certain derivative financial instruments.
4   Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 49
 
  
Consolidated Schedule of Investments (concluded)   BlackRock Corporate High Yield Fund V, Inc. (HYV)

The following table summarizes the valuation techniques used and unobservable inputs developed by the BlackRock Global Valuation Methodologies Committee (“Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments and derivative financial instruments as of August 31, 2013. The table does not include Level 3 investments and derivative financial instruments with values derived based upon unadjusted third party pricing information. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments and derivative financial instruments. The value of Level 3 investments and derivative financial instruments derived using third party pricing information is $16,606,206.

 
   
 Value
    
 Valuation Techniques
    
 Unobservable Inputs1
    
 Range of
Unobservable
Inputs Utilized
Assets:
                                                                           
Common Stocks2
        $  3,814,491      
Market Comparable Companies 
   
2P (Proved and Probable) Reserves
+ 2C (Contingent) Resources Multiple
   
CAD3 $0.35x—$0.53x
 
                    
 
   
PV-10 Multiple4
   
0.13x — 0.21x
 
            313,268      
Market Comparable Companies
   
Forecasted EBITDA Multiple
   
3.50x
 
            2,135,414      
Market Comparable Companies
   
Offshore EBITDA Multiple
   
8.25x
 
                    
 
   
Onshore EBITDA Multiple
   
4.75x
 
                    
 
   
Implied Last 12 Months EBITDA Multiple
   
6.95x
Corporate Bonds5
            960,555      
Discounted Cash Flow
   
Yield
   
12.00%
 
            1,021,132      
Market Comparable Companies
   
Yield
   
12.10%
 
            1,275,000      
Market Comparable Companies
   
Last 12 Months EBITDA Multiple
   
10.00x
 
            800,000      
Cost6
   
N/A
   
—
Warrant7
            41,277      
Estimated Recovery Value
   
Distribution Rate
   
$1.36—$1.63
 
            23,684      
Black-Scholes
   
Implied Volatility
   
67.605%
Total
       $ 10,384,821                                                             
1   A change to the unobservable input may result in a significant change to the value of the investment as follows:
Unobservable Input
   
 Impact to
Value if Input Increases
    
 Impact to
Value if Input Decreases
2P (Proved and Probable) Reserves + 2C (Contingent) Resources Multiple
      
Increase
   
Decrease
PV-10 Multiple
     
Increase
   
Decrease
Forecasted EBITDA Multiple
     
Increase
   
Decrease
Offshore EBITDA Multiple
      
Increase
   
Decrease
Onshore EBITDA Multiple
     
Increase
   
Decrease
Implied Last 12 Months EBITDA Multiple
      
Increase
   
Decrease
Yield
      
Decrease
   
Increase
Last 12 Months EBITDA Multiple
      
Increase
   
Decrease
Distribution Rate
      
Decrease
   
Increase
Implied Volatility
      
Increase
   
Decrease
2   For the year ended August 31, 2013, the valuation technique for certain investments classified as common stocks changed to a market approach. The investment was previously valued utilizing the company’s financial restructuring plan. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment.
3   Canadian Dollar.
4   Present value of estimated future oil and gas revenues, net of estimated direct expenses, discounted at an annual discount rate of 10%.
5   For the year ended August 31, 2013, the valuation technique for certain investments classified as corporate bonds changed to a market approach. The investment was previously valued using acquisition cost. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment.
6   The Trust fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.
7   For the year ended August 31, 2013, the valuation technique for certain investments classified as warrants changed to a estimated recovery value approach. The investment was previously valued using a discounted vendor price. The estimated recovery value is considered to be a more relevant measure of fair value for this investment.

See Notes to Financial Statements.

50 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments August 31, 2013 BlackRock Corporate High Yield Fund VI, Inc. (HYT)
(Percentages shown are based on Net Assets)
Asset-Backed Securities                 Par
(000)		      Value
ALM Loan Funding (a)(b)(c):  
                                                             
Series 2013-7R2A, Class B, 2.86%, 4/24/24
      
USD
         600          $      573,000     
Series 2013-7RA, Class C, 3.71%, 4/24/24
      
 
         1,680            1,585,584     
Series 2013-7RA, Class D, 5.26%, 4/24/24
      
 
         725             665,913   
Total Asset-Backed Securities — 0.6%
      
 
                       2,824,497     
Common Stocks  
      
 
         Shares                   
Auto Components — 0.8%  
Dana Holding Corp.
      
 
         9,558            226,520     
Delphi Automotive PLC
      
 
         13,700            753,774     
The Goodyear Tire & Rubber Co. (d)
      
 
         130,904            2,633,788   
 
      
 
                       3,614,082     
Automobiles — 1.5%  
General Motors Co. (d)
      
 
         193,621            6,598,604     
Biotechnology — 0.0%  
Ironwood Pharmaceuticals, Inc. (d)
      
 
         11,018            128,360     
Capital Markets — 1.9%  
American Capital Ltd. (d)
      
 
         562,613            7,021,410     
E*Trade Financial Corp. (d)
      
 
         76,600            1,075,464     
Uranium Participation Corp. (d)
      
 
         54,600            251,928   
 
      
 
                       8,348,802     
Chemicals — 0.4%  
Advanced Emissions Solutions, Inc. (d)
      
 
         10,410            380,327     
Huntsman Corp.
      
 
         71,500            1,251,250   
 
      
 
                       1,631,577     
Communications Equipment — 0.3%  
Loral Space & Communications Ltd.
      
 
         21,531            1,423,414     
Diversified Financial Services — 0.5%  
Kcad Holdings I Ltd.
      
 
         461,295,490            2,329,542     
Diversified Telecommunication Services — 0.3%  
Broadview Networks Holdings, Inc. (d)
      
 
         54,600            343,980     
Level 3 Communications, Inc. (d)
      
 
         34,800            778,128   
 
      
 
                       1,122,108     
Electrical Equipment — 0.0%  
Medis Technologies Ltd. (d)
      
 
         116,910            1     
Energy Equipment & Services — 0.9%  
Laricina Energy Ltd. (d)
      
 
         70,588            2,371,028     
Osum Oil Sands Corp. (d)
      
 
         124,000            1,491,579   
 
      
 
                       3,862,607     
Hotels, Restaurants & Leisure — 0.7%  
Caesars Entertainment Corp. (d)
      
 
         69,602            1,494,355     
Pinnacle Entertainment, Inc. (d)
      
 
         14,058            332,893     
Travelport LLC/Travelport Holdings, Inc. (d)
      
 
         1,507,583            1,334,211   
 
      
 
                       3,161,459     
Insurance — 0.7%  
American International Group, Inc. (d)
      
 
         64,081            2,977,203     
Media — 0.2%  
Cablevision Systems Corp., Class A
      
 
         50,740            899,620     
Clear Channel Outdoor Holdings, Inc., Class A (d)
      
 
         14,553            110,021   
 
      
 
                       1,009,641     
Metals & Mining — 0.1%  
African Minerals Ltd. (d)
      
 
         72,301            213,474     
Peninsula Energy Ltd. (d)
      
 
         11,756,996            269,927   
 
      
 
                       483,401     
Oil, Gas & Consumable Fuels — 0.0%  
African Petroleum Corp. Ltd. (d)
      
 
         307,100            32,800     
Paper & Forest Products — 0.9%  
Ainsworth Lumber Co. Ltd. (a)(d)
      
 
         221,591            642,614     
Ainsworth Lumber Co. Ltd. (d)
      
 
         773,706            2,130,207     
Comon Stocks                  
Shares		      Value
Paper & Forest Products (concluded)
NewPage Corp. (d)
      
 
         13,400         $    1,072,000     
Western Forest Products, Inc. (d)
      
 
         78,039            105,208   
 
      
 
                       3,950,029     
Semiconductors & Semiconductor Equipment — 0.0%  
SunPower Corp. (d)
      
 
         431             9,262     
Software — 0.2%  
HMH Holdings/EduMedia (d)
      
 
         31,742            956,234     
Trading Companies & Distributors — 0.3%  
HD Supply Holdings, Inc. (d)
      
 
         65,450            1,488,333     
Wireless Telecommunication Services — 0.5%  
Crown Castle International Corp. (d)
      
 
         15,414            1,070,040     
SBA Communications Corp., Class A (d)
      
 
         15,414            1,156,050   
 
      
 
                       2,226,090     
Total Common Stocks — 10.2%
      
 
                       45,353,549   
Corporate Bonds  
      
 
         Par
(000		 )                
Aerospace & Defense — 0.7%  
Bombardier, Inc., 4.25%, 1/15/16 (a)
      
USD
         750             775,312     
Huntington Ingalls Industries, Inc.:  
                                                             
6.88%, 3/15/18
      
 
         260             280,150     
7.13%, 3/15/21
      
 
         410             442,800     
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17
      
 
         1,274            1,375,920     
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (a)
      
 
         284             289,297   
 
      
 
                       3,163,479     
Airlines — 2.3%  
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (a)
      
 
         623             620,882     
Continental Airlines Pass-Through Trust:  
                                                             
Series 1997-4, Class B, 6.90%, 7/02/18
      
 
         265             273,762     
Series 2010-1, Class B, 6.00%, 7/12/20
      
 
         521             534,172     
Series 2012-3, Class C, 6.13%, 4/29/18
      
 
         1,435            1,455,807     
Delta Air Lines Pass-Through Trust:  
                                                             
Series 2002-1, Class G-1, 6.72%, 7/02/24
      
 
         904             985,274     
Series 2009-1, Class B, 9.75%, 6/17/18
      
 
         262             287,057     
Series 2010-1, Class B, 6.38%, 7/02/17
      
 
         900             933,750     
US Airways Group, Inc., 6.13%, 6/01/18
      
 
         510             462,825     
US Airways Pass-Through Trust:  
                                                             
Series 2011-1, Class C, 10.88%, 10/22/14
      
 
         715             754,812     
Series 2012-1, Class C, 9.13%, 10/01/15
      
 
         650             675,487     
Series 2012-2, Class B, 6.75%, 12/03/22
      
 
         600             619,500     
Series 2012-2, Class C, 5.45%, 6/03/18
      
 
         1,540            1,436,050     
Series 2013-1, Class B, 5.38%, 5/15/23
      
 
         1,465            1,391,750   
 
      
 
                       10,431,128   
Auto Components — 3.0%  
Affinia Group, Inc., 7.75%, 5/01/21 (a)
      
 
         1,046            1,074,765     
Brighthouse Group PLC, 7.88%, 5/15/18
      
GBP
         100             156,520     
Continental Rubber of America Corp., 4.50%, 9/15/19 (a)
      
USD
         300             303,150     
Dana Holding Corp., 6.75%, 2/15/21
      
 
         700             742,875     
Delphi Corp., 6.13%, 5/15/21
      
 
         115             125,637     
GKN Holdings PLC, 5.38%, 9/19/22
      
GBP
         310             489,045     
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18
      
USD
         4,690            4,936,225     
IDQ Holdings, Inc., 11.50%, 4/01/17 (a)
      
 
         595             658,962     
Jaguar Land Rover Automotive PLC (FKA Jaguar Land Rover PLC), 8.25%, 3/15/20
      
GBP
         638             1,095,489     
Schaeffler Finance BV, 4.25%, 5/15/18
      
EUR
         202             267,027     
Schaeffler Holding Finance BV (e):  
                                                             
6.88%, 8/15/18 (a)
      
USD
         750             780,000     
6.88%, 8/15/18
      
EUR
         520             706,158     
Servus Luxembourg Holdings SCA, 7.75%, 6/15/18
      
 
         438             587,682     

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 51
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Auto Components (concluded)  
Titan International, Inc.:  
                                                             
7.88%, 10/01/17
      
USD
         720          $ 763,200     
7.88%, 10/01/17 (a)
      
 
         760             805,600   
 
      
 
                       13,492,335   
Building Products — 1.5%  
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (a)
      
 
         715             693,550     
Builders FirstSource, Inc., 7.63%, 6/01/21 (a)
      
 
         623             623,000     
Building Materials Corp. of America (a):  
                                                             
7.00%, 2/15/20
      
 
         840             892,500     
6.75%, 5/01/21
      
 
         1,220            1,293,200     
Cemex SAB de CV, 5.88%, 3/25/19 (a)
      
 
         355             336,362     
Momentive Performance Materials, Inc., 8.88%, 10/15/20
      
 
         1,174            1,218,025     
Texas Industries, Inc., 9.25%, 8/15/20
      
 
         362             395,485     
USG Corp., 9.75%, 1/15/18
      
 
         1,100               1,267,750   
 
      
 
                       6,719,872     
Capital Markets — 0.3%  
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (a)(f)(g)
      
 
         380             515,850     
KCG Holdings, Inc., 8.25%, 6/15/18 (a)
      
 
         351             344,858     
Nuveen Investments, Inc., 9.13%, 10/15/17 (a)
      
 
         326             321,110   
 
      
 
                       1,181,818     
Chemicals — 3.0%  
Axiall Corp., 4.88%, 5/15/23 (a)
      
 
         167             154,893     
Basell Finance Co. BV, 8.10%, 3/15/27 (a)
      
 
         645             815,712     
Celanese US Holdings LLC, 5.88%, 6/15/21
      
 
         1,132            1,160,300     
Huntsman International LLC, 8.63%, 3/15/21
      
 
         265             295,475     
INEOS Finance PLC, 7.50%, 5/01/20 (a)
      
 
         590             631,300     
INEOS Group Holdings SA:  
                                                             
6.13%, 8/15/18 (a)
      
 
         470             454,725     
6.50%, 8/15/18
      
EUR
         463             594,851     
Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19
      
USD
         195             197,925     
LSB Industries, Inc., 7.75%, 8/01/19 (a)
      
 
         366             378,810     
LyondellBasell Industries NV, 5.75%, 4/15/24
      
 
         4,050            4,491,563     
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18
      
 
         145             144,275     
Nufarm Australia Ltd., 6.38%, 10/15/19 (a)
      
 
         350             350,000     
Orion Engineered Carbons Bondco GmbH (FKA Kinove German Bondco GmbH), 10.00%, 6/15/18
      
EUR
         532             784,708     
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (a)
      
USD
         264             255,420     
PolyOne Corp., 7.38%, 9/15/20
      
 
         335             369,337     
Rockwood Specialties Group, Inc., 4.63%, 10/15/20
      
 
         1,425            1,400,062     
Tronox Finance LLC, 6.38%, 8/15/20 (a)
      
 
         384             366,720     
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV:  
                                                             
5.75%, 2/01/21
      
EUR
         100             130,513     
7.38%, 5/01/21 (a)
      
USD
         550             562,375   
 
      
 
                       13,538,964     
Commercial Banks — 1.1%  
CIT Group, Inc.:  
                                                             
5.25%, 3/15/18
      
 
         860             887,950     
6.63%, 4/01/18 (a)
      
 
         355             383,400     
5.50%, 2/15/19 (a)
      
 
         2,552            2,615,800     
6.00%, 4/01/36
      
 
         850             813,650     
Lloyds TSB Bank PLC, 11.88%, 12/16/21 (c)
      
EUR
         60             97,538   
 
      
 
                       4,798,338     
Commercial Services & Supplies — 3.6%  
AA Bond Co. Ltd., 9.50%, 7/31/19
      
GBP
         280             463,205     
ACCO Brands Corp., 6.75%, 4/30/20
      
USD
         117             115,537     
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a)
      
 
         431             454,705     
                         
Corporate Bonds                 Par
(000)		      Value
Commercial Services & Supplies (concluded)  
ARAMARK Corp., 5.75%, 3/15/20 (a)
      
USD
         1,005         $ 1,025,100     
Aviation Capital Group Corp., 6.75%, 4/06/21 (a)
      
 
         840             884,531     
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)
      
 
         134             138,442     
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)
      
 
         43             46,064     
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18
      
 
         782             791,775     
Covanta Holding Corp., 6.38%, 10/01/22
      
 
         985             999,477     
EC Finance PLC, 9.75%, 8/01/17
      
EUR
         625             900,291     
Interactive Data Corp., 10.25%, 8/01/18
      
 
         2,080            2,316,704     
Mobile Mini, Inc., 7.88%, 12/01/20
      
USD
         570             621,300     
Mustang Merger Corp., 8.50%, 8/15/21 (a)
      
 
         810             797,850     
TransUnion LLC/TransUnion Financing Corp., 11.38%, 6/15/18
      
 
         99             110,137     
UR Merger Sub Corp.:  
                                                             
5.75%, 7/15/18
      
 
         398             424,865     
7.38%, 5/15/20
      
 
         520             560,300     
8.25%, 2/01/21
      
 
         718             793,390     
7.63%, 4/15/22
      
 
         3,359            3,610,925     
6.13%, 6/15/23
      
 
         295             290,575     
Verisure Holding AB:  
                                                             
8.75%, 9/01/18
      
EUR
         163             235,895     
8.75%, 12/01/18
      
 
         239             334,037     
West Corp., 8.63%, 10/01/18
      
USD
         210             227,325   
 
      
 
                         16,142,430   
Communications Equipment — 1.8%  
Alcatel-Lucent USA, Inc.:  
                                                             
8.88%, 1/01/20 (a)
      
 
         1,476            1,505,520     
6.50%, 1/15/28
      
 
         90             68,400     
6.45%, 3/15/29
      
 
         288             221,760     
Avaya, Inc. (a):  
                                                             
7.00%, 4/01/19
      
 
         420             384,300     
10.50%, 3/01/21
      
 
         1,296            1,001,160     
CommScope Holding Co., Inc., 6.63%, 6/01/20 (a)(e)
      
 
         740             732,600     
Zayo Group LLC/Zayo Capital, Inc.:  
                                                             
8.13%, 1/01/20
      
 
         1,410            1,529,850     
10.13%, 7/01/20
      
 
         2,285            2,593,475   
 
      
 
                       8,037,065     
Computers & Peripherals — 0.1%  
EMC Corp., Series B, 1.75%, 12/01/13 (g)
      
 
         307             492,927     
Construction & Engineering — 0.4%  
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (a)
      
 
         300             243,000     
H&E Equipment Services, Inc., 7.00%, 9/01/22
      
 
         687             729,938     
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a)
      
 
         363             364,815     
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (a)
      
 
         240             232,800   
 
      
 
                       1,570,553     
Construction Materials — 3.4%  
Buzzi Unicem SpA, 6.25%, 9/28/18
      
EUR
         213             299,804     
HD Supply, Inc.:  
                                                             
8.13%, 4/15/19
      
USD
         5,183            5,766,088     
11.00%, 4/15/20
      
 
         3,024            3,613,680     
7.50%, 7/15/20 (a)
      
 
         5,327            5,566,715     
HeidelbergCement Finance Luxembourg SA, 7.50%, 4/03/20
      
EUR
         83             129,442   
 
      
 
                       15,375,729     
Consumer Finance — 0.3%  
Credit Acceptance Corp., 9.13%, 2/01/17
      
USD
         710             757,925     
IVS F. SpA, 7.13%, 4/01/20
      
EUR
         330             435,054     
Springleaf Finance, 6.90%, 12/15/17
      
USD
         160             163,000   
 
      
 
                       1,355,979     

See Notes to Financial Statements.

52 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Containers & Packaging — 1.5%  
Ardagh Packaging Finance PLC:  
                                                             
7.38%, 10/15/17
      
EUR
         200          $ 281,379     
9.13%, 10/15/20 (a)
      
USD
         470             501,725     
9.13%, 10/15/20 (a)
      
 
         615             653,438     
7.00%, 11/15/20 (a)
      
 
         374             363,715     
5.00%, 11/15/22
      
EUR
         360             459,455     
Berry Plastics Corp., 9.75%, 1/15/21
      
USD
         280             324,100     
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16
      
EUR
         882                1,165,742     
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21
      
USD
         26             27,300     
GCL Holdings SCA, 9.38%, 4/15/18 (a)
      
EUR
         414             590,936     
Graphic Packaging International, Inc., 7.88%, 10/01/18
      
USD
         580             630,750     
OI European Group BV, 4.88%, 3/31/21
      
EUR
         330             440,419     
Pactiv LLC, 7.95%, 12/15/25
      
USD
         722             638,970     
Tekni-Plex, Inc., 9.75%, 6/01/19 (a)
      
 
         614             687,680   
 
      
 
                       6,765,609     
Distributors — 0.5%  
VWR Funding, Inc., 7.25%, 9/15/17
      
 
         2,126            2,211,040   
Diversified Consumer Services — 1.0%  
APX Group, Inc. (a):  
                                                             
6.38%, 12/01/19
      
 
         1,527            1,439,198     
8.75%, 12/01/20
      
 
         924             910,140     
Laureate Education, Inc., 9.25%, 9/01/19 (a)
      
 
         1,930            2,084,400   
 
      
 
                       4,433,738     
Diversified Financial Services — 5.5%  
Aircastle Ltd.:  
                                                             
6.75%, 4/15/17
      
 
         575             609,500     
6.25%, 12/01/19
      
 
         500             521,250     
Ally Financial, Inc.:  
                                                             
7.50%, 12/31/13
      
 
         700             712,250     
8.00%, 3/15/20
      
 
         467             537,634     
7.50%, 9/15/20
      
 
         317             356,625     
8.00%, 11/01/31 (h)
      
 
         5,380            6,187,000     
8.00%, 11/01/31
      
 
         310             351,462     
CNG Holdings, Inc., 9.38%, 5/15/20 (a)
      
 
         166             155,625     
Co-Operative Group Ltd. (i):  
                                                             
6.88%, 7/08/20
      
GBP
         370             543,286     
7.50%, 7/08/26
      
 
         100             144,897     
DPL, Inc.:  
                                                             
6.50%, 10/15/16
      
USD
         470             495,850     
7.25%, 10/15/21
      
 
         1,345            1,371,900     
Gala Group Finance PLC, 8.88%, 9/01/18
      
GBP
         802             1,323,646     
General Motors Financial Co., Inc.:  
                                                             
6.75%, 6/01/18
      
USD
         460             512,325     
4.25%, 5/15/23 (a)
      
 
         383             344,700     
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a)
      
 
         785             777,150     
Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (a)
      
 
         902             886,215     
Leucadia National Corp., 8.13%, 9/15/15
      
 
         1,232            1,373,680     
Reynolds Group Issuer, Inc.:  
                                                             
7.13%, 4/15/19
      
 
         585             622,294     
9.00%, 4/15/19
      
 
         900             929,250     
7.88%, 8/15/19
      
 
         189             207,900     
9.88%, 8/15/19
      
 
         716             760,750     
5.75%, 10/15/20
      
 
         3,515            3,484,244     
WMG Acquisition Corp., 11.50%, 10/01/18
      
 
         1,186            1,366,865   
 
      
 
                       24,576,298   
Diversified Telecommunication Services — 3.4%  
Broadview Networks Holdings, Inc., 10.50%, 11/15/17
      
 
         840             831,600     
CenturyLink, Inc., Series V, 5.63%, 4/01/20
      
 
         2,128            2,085,440   
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (a)
      
 
         655             602,600     
                         
Corporate Bonds                 Par
(000)		      Value
Diversified Telecommunication Services (concluded)  
Consolidated Communications Finance Co., 10.88%, 6/01/20
      
USD
         530          $ 609,500     
Frontier Communications Corp., 8.50%, 4/15/20
      
 
         805             879,462     
Level 3 Communications, Inc., 8.88%, 6/01/19
      
 
         495             528,413     
Level 3 Financing, Inc.:  
                                                             
8.13%, 7/01/19
      
 
         2,374               2,510,505     
7.00%, 6/01/20
      
 
         660             664,950     
8.63%, 7/15/20
      
 
         2,690            2,878,300     
Telenet Finance V Luxembourg SCA:  
                                                             
6.25%, 8/15/22
      
EUR
         444             588,573     
6.75%, 8/15/24
      
 
         645             863,120     
tw telecom holdings, Inc.:  
                                                             
5.38%, 10/01/22 (a)
      
USD
         400             381,000     
5.38%, 10/01/22
      
 
         460             438,150     
Windstream Corp.:  
                                                             
7.88%, 11/01/17
      
 
         627             695,970     
7.75%, 10/15/20
      
 
         246             251,535     
6.38%, 8/01/23
      
 
         371             335,291   
 
      
 
                       15,144,409   
Electric Utilities — 0.6%  
Homer City Generation LP (e):  
                                                             
8.14%, 10/01/19
      
 
         240             241,200     
8.73%, 10/01/26
      
 
         345             350,175     
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17
      
 
         361             378,905     
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14
      
EUR
         1,250            1,649,148   
 
      
 
                       2,619,428     
Electrical Equipment — 0.9%  
Belden, Inc.:  
                                                             
5.50%, 9/01/22 (a)
      
 
         570             552,900     
5.50%, 4/15/23
      
 
         190             241,069     
General Cable Corp., 5.75%, 10/01/22 (a)
      
USD
         950             914,375     
International Wire Group Holdings, Inc., 8.50%, 10/15/17 (a)
      
 
         428             445,120     
Rexel SA, 5.13%, 6/15/20
      
EUR
         406             544,639     
Techem GmbH:  
                                                             
6.13%, 10/01/19 (a)
      
 
         105             149,062     
6.13%, 10/01/19
      
 
         644             914,246     
7.88%, 10/01/20
      
 
         105             150,916     
Trionista TopCo GmbH, 6.88%, 4/30/21
      
 
         112             149,511   
 
      
 
                       4,061,838     
Electronic Equipment, Instruments & Components — 0.1%  
Jabil Circuit, Inc., 8.25%, 3/15/18
      
USD
         365             429,788     
Energy Equipment & Services — 3.8%  
Atwood Oceanics, Inc., 6.50%, 2/01/20
      
 
         215             230,050     
Calfrac Holdings LP, 7.50%, 12/01/20 (a)
      
 
         518             521,885     
CGG (FKA Compagnie Generale de Geophysique, Veritas):  
                                                             
7.75%, 5/15/17
      
 
         395             404,875     
6.50%, 6/01/21
      
 
         1,945            1,969,313     
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)
      
 
         1,042            1,112,335     
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21
      
 
         79             77,815     
Gulfmark Offshore, Inc., 6.38%, 3/15/22
      
 
         245             248,063     
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20
      
 
         490             496,125     
MEG Energy Corp., 6.50%, 3/15/21 (a)
      
 
         2,213            2,251,727     
Oil States International, Inc.:  
                                                             
6.50%, 6/01/19
      
 
         1,035            1,091,925     
5.13%, 1/15/23 (a)
      
 
         530             579,025     
Parker Drilling Co., 7.50%, 8/01/20 (a)
      
 
         600             589,500     
Peabody Energy Corp.:  
                                                             
6.00%, 11/15/18
      
 
         1,046            1,040,770     
6.25%, 11/15/21
      
 
         1,034            997,810     
7.88%, 11/01/26
      
 
         580             578,550     
4.75%, 12/15/66 (g)
      
 
         659             509,901     

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 53
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Energy Equipment & Services (concluded)  
Precision Drilling Corp.:  
                                                             
6.63%, 11/15/20
      
USD
         120          $ 126,300     
6.50%, 12/15/21
      
 
         280             292,600     
Rain CII Carbon LLC/CII Carbon Corp., 8.25%, 1/15/21 (a)
      
 
         364             364,000     
Seadrill Ltd., 5.63%, 9/15/17 (a)
      
 
         2,107               2,122,802     
Tervita Corp., 8.00%, 11/15/18 (a)
      
 
         425             423,938     
Trionista Holdco GmbH, 5.00%, 4/30/20
      
EUR
         618             824,947   
 
      
 
                       16,854,256   
Food & Staples Retailing — 0.7%  
Bakkavor Finance 2 PLC:  
                                                             
8.25%, 2/15/18
      
GBP
         502             811,013     
8.75%, 6/15/20
      
 
         300             485,831     
R&R Ice Cream PLC, 9.25%, 5/15/18 (e)
      
EUR
         205             277,712     
Rite Aid Corp.:  
                                                             
9.25%, 3/15/20
      
 
         580             656,125     
6.75%, 6/15/21 (a)
      
USD
         636             643,950     
Zobele Holding SpA, 7.88%, 2/01/18
      
EUR
         140             192,432   
 
      
 
                       3,067,063     
Food Products — 0.9%  
Darling International, Inc., 8.50%, 12/15/18
      
USD
         180             198,000     
Findus Bondco SA:  
                                                             
9.13%, 7/01/18
      
EUR
         260             361,704     
9.50%, 7/01/18
      
GBP
         139             225,985     
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (a)
      
USD
         603             560,790     
Post Holdings, Inc., 7.38%, 2/15/22
      
 
         875             923,125     
Smithfield Foods, Inc., 6.63%, 8/15/22
      
 
         729             747,225     
Sun Merger Sub, Inc. (a):  
                                                             
5.25%, 8/01/18
      
 
         857             860,214     
5.88%, 8/01/21
      
 
         269             268,327   
 
      
 
                       4,145,370     
Health Care Equipment & Supplies — 2.4%  
Biomet, Inc.:  
                                                             
6.50%, 8/01/20
      
 
         2,779            2,848,475     
6.50%, 10/01/20
      
 
         3,220            3,211,950     
DJO Finance LLC/DJO Finance Corp.:  
                                                             
8.75%, 3/15/18
      
 
         586             634,345     
7.75%, 4/15/18
      
 
         160             157,200     
9.88%, 4/15/18
      
 
         884             928,200     
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (a)
      
 
         440             448,800     
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)
      
 
         850             946,687     
IDH Finance PLC:  
                                                             
6.00%, 12/01/18
      
GBP
         258             398,823     
6.00%, 12/01/18 (a)
      
 
         100             154,583     
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19
      
USD
         355             369,644     
Teleflex, Inc., 6.88%, 6/01/19
      
 
         455             477,750   
 
      
 
                       10,576,457   
Health Care Providers & Services — 5.7%  
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19
      
 
         880             941,600     
CHS/Community Health Systems, Inc.:  
                                                             
5.13%, 8/15/18
      
 
         1,180            1,206,550     
8.00%, 11/15/19
      
 
         167             175,350     
7.13%, 7/15/20
      
 
         1,066            1,076,660     
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)
      
EUR
         522             734,745     
Crown Newco 3 PLC:  
                                                             
7.00%, 2/15/18
      
GBP
         100             158,224     
7.00%, 2/15/18 (a)
      
 
         575             909,790     
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22
      
USD
         1,376            1,362,240     
HCA Holdings, Inc., 6.25%, 2/15/21
      
 
         1,128            1,130,820     
                         
Corporate Bonds                 Par
(000)		      Value
Health Care Providers & Services (concluded)
HCA, Inc.:  
                                                             
8.50%, 4/15/19
      
USD
         205          $ 221,400     
6.50%, 2/15/20
      
 
         2,288            2,456,740     
7.88%, 2/15/20
      
 
         430             463,863     
7.25%, 9/15/20
      
 
         2,140            2,329,925     
5.88%, 3/15/22
      
 
         900             929,250     
4.75%, 5/01/23
      
 
         610             569,588     
Health Management Associates, Inc., 7.38%, 1/15/20
      
 
         320             357,600     
Hologic, Inc., 6.25%, 8/01/20
      
 
         1,901            1,981,792     
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19
      
 
         137             143,508     
inVentiv Health, Inc., 9.00%, 1/15/18 (a)
      
 
         970             989,400     
Omnicare, Inc., 3.75%, 4/01/42 (g)
      
 
         447             619,374     
Symbion, Inc., 8.00%, 6/15/16
      
 
         535             561,750     
Tenet Healthcare Corp.:  
                                                             
6.25%, 11/01/18
      
 
         1,826            1,928,712     
6.75%, 2/01/20
      
 
         810             793,800     
4.38%, 10/01/21 (a)
      
 
         1,173            1,064,498     
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/01/19
      
 
         1,671            1,787,970     
Voyage Care Bondco PLC, 6.50%, 8/01/18
      
GBP
         280             430,879   
 
      
 
                         25,326,028   
Health Care Technology — 1.0%  
IMS Health, Inc. (a):  
                                                             
12.50%, 3/01/18
      
USD
         3,480            4,106,400     
6.00%, 11/01/20
      
 
         221             226,801   
 
      
 
                       4,333,201     
Hotels, Restaurants & Leisure — 3.2%  
Carlson Wagonlit BV, 6.88%, 6/15/19 (a)
      
 
         510             517,650     
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18
      
EUR
         714             957,813     
Diamond Resorts Corp., 12.00%, 8/15/18
      
USD
         2,089            2,318,790     
Enterprise Inns PLC, 6.50%, 12/06/18
      
GBP
         501             778,341     
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19
      
EUR
         670             907,643     
Intralot Finance Luxembourg SA, 9.75%, 8/15/18
      
 
         665             909,659     
Isle of Capri Casinos, Inc.:  
                                                             
7.75%, 3/15/19
      
USD
         80             82,600     
5.88%, 3/15/21
      
 
         337             311,725     
Little Traverse Bay Bands of Odawa Indians, 9.00%, 8/31/20 (a)
      
 
         441             432,180     
MCE Finance Ltd., 5.00%, 2/15/21 (a)
      
 
         1,044            957,870     
MTR Gaming Group, Inc., 11.50%, 8/01/19 (e)
      
 
         431             454,863     
Playa Resorts Holding BV, 8.00%, 8/15/20 (a)
      
 
         150             153,000     
PNK Finance Corp., 6.38%, 8/01/21 (a)
      
 
         794             792,015     
Regal Entertainment Group, 5.75%, 2/01/25
      
 
         138             126,960     
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a)
      
 
         918             867,510     
Station Casinos LLC, 7.50%, 3/01/21
      
 
         2,176            2,241,280     
Travelport LLC/Travelport Holdings, Inc. (a):  
                                                             
6.40%, 3/01/16 (c)
      
 
         117             113,025     
11.88%, 9/01/16
      
 
         52             50,740     
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (d)(j)
      
 
         515             —       
The Unique Pub Finance Co. PLC, Series A3, 6.54%, 3/30/21
      
GBP
         500             780,662     
Vougeot Bidco PLC, 7.88%, 7/15/20
      
 
         261             415,595     
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22
      
USD
         117             115,537   
 
      
 
                       14,285,458   
Household Durables — 2.6%  
Algeco Scotsman Global Finance PLC, 9.00%, 10/15/18
      
EUR
         206             281,108     
Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (a)
      
USD
         352             348,480     
Beazer Homes USA, Inc., 6.63%, 4/15/18
      
 
         55             57,956     

See Notes to Financial Statements.

54 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Household Durables (concluded)  
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (a)
      
USD
         635          $ 649,288     
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (a)
      
 
         447             441,413     
Jarden Corp., 7.50%, 1/15/20
      
EUR
         455             634,461     
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (a)
      
USD
         1,465            1,545,575     
Libbey Glass, Inc., 6.88%, 5/15/20
      
 
         447             477,731     
Pulte Group, Inc., 6.38%, 5/15/33
      
 
         290             259,550     
RPG Byty Sro, 6.75%, 5/01/20
      
EUR
         393             501,229     
The Ryland Group, Inc., 6.63%, 5/01/20
      
USD
         525             544,688     
Spie BondCo 3 SCA, 11.00%, 8/15/19
      
EUR
         264             389,041     
Standard Pacific Corp.:  
                                                             
10.75%, 9/15/16
      
USD
         2,185            2,594,687     
8.38%, 1/15/21
      
 
         1,510            1,691,200     
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a):  
                                                             
7.75%, 4/15/20
      
 
         460             502,550     
5.25%, 4/15/21
      
 
         413             390,285     
William Lyon Homes, Inc., 8.50%, 11/15/20
      
 
         470             498,200   
 
      
 
                         11,807,442   
Household Products — 0.8%  
Ontex IV SA:  
                                                             
7.50%, 4/15/18
      
EUR
         100             138,794     
7.50%, 4/15/18 (a)
      
 
         220             305,348     
9.00%, 4/15/19
      
 
         316             433,303     
Spectrum Brands Escrow Corp. (a):  
                                                             
6.38%, 11/15/20
      
USD
         592             612,720     
6.63%, 11/15/22
      
 
         385             394,625     
Spectrum Brands, Inc.:  
                                                             
9.50%, 6/15/18
      
 
         1,470            1,617,000     
6.75%, 3/15/20
      
 
         148             156,140   
 
      
 
                       3,657,930     
Independent Power Producers & Energy Traders — 4.0%  
Calpine Corp., 7.50%, 2/15/21 (a)
      
 
         72             76,320     
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:  
                                                             
6.88%, 8/15/17 (a)
      
 
         641             648,211     
11.25%, 12/01/18 (a)(e)
      
 
         1,102            865,293     
10.00%, 12/01/20
      
 
         5,180            5,458,425     
10.00%, 12/01/20 (a)
      
 
         2,810            2,954,012     
12.25%, 3/01/22 (a)
      
 
         1,902            2,115,975     
GenOn REMA LLC:  
                                                             
Series B, 9.24%, 7/02/17
      
 
         140             143,676     
Series C, 9.68%, 7/02/26
      
 
         688             729,280     
Laredo Petroleum, Inc.:  
                                                             
9.50%, 2/15/19
      
 
         765             851,063     
7.38%, 5/01/22
      
 
         575             606,625     
NRG Energy, Inc., 7.63%, 1/15/18
      
 
         2,439            2,701,192     
QEP Resources, Inc., 5.38%, 10/01/22
      
 
         513             489,915   
 
      
 
                       17,639,987   
Industrial Conglomerates — 0.2%  
Sequa Corp., 7.00%, 12/15/17 (a)
      
 
         710             710,000     
Insurance — 0.8%  
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a)
      
 
         1,731            1,769,947     
CNO Financial Group, Inc., 6.38%, 10/01/20 (a)
      
 
         346             361,570     
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)
      
 
         1,015            1,045,450     
TMF Group Holding BV, 9.88%, 12/01/19
      
EUR
         270             372,925   
 
      
 
                       3,549,892     
                         
Corporate Bonds                 Par
(000)		      Value
Internet Software & Services — 0.3%  
Bankrate, Inc., 6.13%, 8/15/18 (a)
      
USD
         449          $ 443,949     
Cerved Technologies SpA:  
                                                             
6.38%, 1/15/20
      
EUR
         201             268,361     
8.00%, 1/15/21
      
 
         100             132,495     
VeriSign, Inc., 4.63%, 5/01/23 (a)
      
USD
         435             406,725   
 
      
 
                       1,251,530     
IT Services — 4.7%  
Ceridian Corp.:  
                                                             
11.25%, 11/15/15
      
 
         195             197,438     
8.88%, 7/15/19 (a)
      
 
         2,595            2,919,375     
11.00%, 3/15/21 (a)
      
 
         4,025            4,648,875     
Epicor Software Corp., 8.63%, 5/01/19
      
 
         860             907,300     
First Data Corp. (a):  
                                                             
7.38%, 6/15/19
      
 
         3,698            3,836,675     
8.88%, 8/15/20
      
 
         830             896,400     
6.75%, 11/01/20
      
 
         2,079            2,125,777     
10.63%, 6/15/21
      
 
         1,138            1,130,887     
11.75%, 8/15/21
      
 
         552             516,120     
SunGard Data Systems, Inc.:  
                                                             
7.38%, 11/15/18
      
 
         840             892,500     
6.63%, 11/01/19
      
 
         2,304            2,338,560     
WEX, Inc., 4.75%, 2/01/23 (a)
      
 
         759             690,690   
 
      
 
                         21,100,597   
Machinery — 0.4%  
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (a)
      
 
         500             530,000     
DH Services Luxembourg Sarl, 7.75%, 12/15/20 (a)
      
 
         144             148,680     
Navistar International Corp., 8.25%, 11/01/21
      
 
         566             562,462     
SPX Corp., 6.88%, 9/01/17
      
 
         275             304,563     
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (a)
      
 
         281             274,678   
 
      
 
                       1,820,383     
Media — 9.9%  
AMC Networks, Inc.:  
                                                             
7.75%, 7/15/21
      
 
         350             386,750     
4.75%, 12/15/22
      
 
         449             420,938     
Cablevision Systems Corp., 5.88%, 9/15/22
      
 
         855             816,525     
CCO Holdings LLC/CCO Holdings Capital Corp.:  
                                                             
5.25%, 9/30/22
      
 
         915             834,938     
5.13%, 2/15/23
      
 
         1,150            1,032,125     
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(d)(j)
      
 
         1,026            751,545     
Checkout Holding Corp., 9.92%, 11/15/15 (a)(f)
      
 
         710             573,325     
Cinemark USA, Inc., 5.13%, 12/15/22
      
 
         391             365,585     
Clear Channel Communications, Inc.:  
                                                             
9.00%, 12/15/19
      
 
         1,041            1,001,962   
9.00%, 3/01/21
      
 
         1,884            1,789,800     
Clear Channel Worldwide Holdings, Inc., Series B:  
                                                             
7.63%, 3/15/20
      
 
         1,490            1,493,725     
6.50%, 11/15/22
      
 
         2,959            2,959,000     
6.50%, 11/15/22
      
 
         959             951,807     
DISH DBS Corp.:  
                                                             
4.25%, 4/01/18
      
 
         810             797,850     
5.13%, 5/01/20
      
 
         1,382            1,337,085     
5.88%, 7/15/22
      
 
         1,575            1,543,500     
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (a)
      
 
         274             281,535     
Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (a)
      
 
         1,410            1,529,850     
Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (a)
      
 
         1,271            1,178,852     
Intelsat Luxembourg SA, 6.75%, 6/01/18 (a)
      
 
         1,950            2,018,250     
Live Nation Entertainment, Inc. (a):  
                                                             
8.13%, 5/15/18
      
 
         1,170            1,278,237     
7.00%, 9/01/20
      
 
         298             309,920     
Lynx I Corp., 6.00%, 4/15/21
      
GBP
         1,876            2,914,506     
The McClatchy Co., 9.00%, 12/15/22
      
USD
         858             905,190     

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 55
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Media (concluded)  
Midcontinent Communications & Finance Corp., 6.25%, 8/01/21 (a)
      
USD
         1,442         $ 1,445,605     
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)
      
 
         812             879,558     
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a)
      
 
         607             614,588     
Nara Cable Funding Ltd.:  
                                                             
8.88%, 12/01/18
      
EUR
         190             264,485     
8.88%, 12/01/18 (a)
      
USD
         200             204,500     
Nielsen Finance LLC/Nielsen Finance Co.:  
                                                             
11.63%, 2/01/14
      
 
         147             153,071     
7.75%, 10/15/18
      
 
         1,825            1,984,687     
Odeon & UCI Finco PLC, 9.00%, 8/01/18 (a)
      
GBP
         324             517,166     
ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (a)
      
USD
         281             282,405     
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (a)
      
 
         405             400,950     
Sirius XM Radio, Inc. (a):  
                                                             
4.25%, 5/15/20
      
 
         474             433,710     
5.75%, 8/01/21
      
 
         550             539,000     
Sterling Entertainment Corp., 10.00%, 12/15/19
      
 
         1,335            1,335,000     
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
                                                             
7.50%, 3/15/19
      
EUR
         1,313            1,878,491     
5.50%, 1/15/23 (a)
      
USD
         795             723,450     
5.63%, 4/15/23
      
EUR
         104             133,328     
Unitymedia KabelBW GmbH, 9.50%, 3/15/21
      
 
         548             821,859     
Univision Communications, Inc. (a):  
                                                             
8.50%, 5/15/21
      
USD
         445             481,713     
6.75%, 9/15/22
      
 
         184             190,900     
5.13%, 5/15/23
      
 
         1,084            1,023,025     
UPCB Finance II Ltd.:  
                                                             
6.38%, 7/01/20 (a)
      
EUR
         1,273            1,764,649     
6.38%, 7/01/20
      
 
         114             158,028     
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (a)
      
USD
         555             574,425   
 
      
 
                         44,277,393   
Metals & Mining — 3.6%  
ArcelorMittal:  
                                                             
9.50%, 2/15/15
      
 
         470             515,825     
4.25%, 8/05/15
      
 
         453             466,590     
4.25%, 3/01/16
      
 
         200             204,000     
5.00%, 2/25/17
      
 
         568             580,780     
6.13%, 6/01/18
      
 
         505             520,150     
Eco-Bat Finance PLC, 7.75%, 2/15/17
      
EUR
         610             822,331     
FMG Resources August 2006 Property Ltd. (a):  
                                                             
6.38%, 2/01/16
      
 
         1,554            1,593,157     
6.00%, 4/01/17
      
USD
         2,099            2,135,732     
Global Brass & Copper, Inc., 9.50%, 6/01/19 (a)
      
 
         460             501,400     
Kaiser Aluminum Corp., 8.25%, 6/01/20
      
 
         345             384,675     
New Gold, Inc., 6.25%, 11/15/22 (a)
      
 
         465             445,237     
Novelis, Inc., 8.75%, 12/15/20
      
 
         4,760            5,176,500     
Peninsula Energy Ltd., 11.00%, 12/14/14
      
 
         900             900,000     
Perstorp Holding AB, 8.75%, 5/15/17 (a)
      
 
         295             301,638     
Steel Dynamics, Inc., 6.38%, 8/15/22
      
 
         375             390,938     
Taseko Mines Ltd., 7.75%, 4/15/19
      
 
         650             640,250     
Vedanta Resources PLC, 8.25%, 6/07/21 (a)
      
 
         435             408,900   
 
      
 
                       15,988,103   
Multiline Retail — 0.4%  
Dollar General Corp., 4.13%, 7/15/17
      
 
         1,225            1,286,383     
Dufry Finance SCA, 5.50%, 10/15/20 (a)
      
 
         466             475,577   
 
      
 
                       1,761,960     
                         
Corporate Bonds                 Par
(000)		      Value
Oil, Gas & Consumable Fuels — 9.1%  
Access Midstream Partners LP/ACMP Finance Corp.:
                                                             
5.88%, 4/15/21
      
USD
         456          $ 468,540     
6.13%, 7/15/22
      
 
         425             436,688     
4.88%, 5/15/23
      
 
         684             636,120     
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (g)
      
 
         1,381            1,266,204     
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a)
      
 
         294             296,940     
Aurora USA Oil & Gas, Inc. (a):  
                                                             
9.88%, 2/15/17
      
 
         1,005            1,060,275     
7.50%, 4/01/20
      
 
         510             504,900     
Bonanza Creek Energy, Inc., 6.75%, 4/15/21
      
 
         131             133,293     
BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, 4/15/22
      
 
         400             396,000     
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20
      
 
         367             387,185     
Chaparral Energy, Inc., 7.63%, 11/15/22
      
 
         340             340,850     
Chesapeake Energy Corp.:  
                                                             
7.25%, 12/15/18
      
 
         190             215,175     
6.63%, 8/15/20
      
 
         125             134,063     
6.88%, 11/15/20
      
 
         420             454,650     
6.13%, 2/15/21
      
 
         130             135,200     
Concho Resources, Inc.:  
                                                             
7.00%, 1/15/21
      
 
         130             142,675     
6.50%, 1/15/22
      
 
         458             485,480     
5.50%, 10/01/22
      
 
         561             548,377     
5.50%, 4/01/23
      
 
         113             109,610     
CONSOL Energy, Inc.:  
                                                             
8.00%, 4/01/17
      
 
         647             682,585     
8.25%, 4/01/20
      
 
         485             514,100     
Continental Resources, Inc., 7.13%, 4/01/21
      
 
         575             629,625     
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18
      
 
         235             249,688     
Crown Oil Partners IV LP, 15.00%, 3/07/15
      
 
         967             1,006,734     
CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (a)
      
 
         526             520,740     
Denbury Resources, Inc., 4.63%, 7/15/23
      
 
         1,187               1,059,397   
Energy XXI Gulf Coast, Inc.:  
                                                             
9.25%, 12/15/17
      
 
         725             806,562     
7.75%, 6/15/19
      
 
         830             863,200     
EP Energy LLC/EP Energy Finance, Inc., 9.38%, 5/01/20
      
 
         325             357,500     
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
      
 
         535             568,437     
EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19
      
 
         220             220,000     
Halcon Resources Corp., 8.88%, 5/15/21
      
 
         645             646,612     
Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (a)
      
 
         408             434,520     
Holly Energy Partners LP/Holly Energy Finance Corp., 6.50%, 3/01/20
      
 
         245             252,350     
Kodiak Oil & Gas Corp.:  
                                                             
8.13%, 12/01/19
      
 
         540             591,300     
5.50%, 2/01/22 (a)
      
 
         249             240,285     
Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21 (a)
      
 
         235             223,250     
Lightstream Resources Ltd. (FKA PetroBakken Energy Ltd.), 8.63%, 2/01/20 (a)
      
 
         397             377,150     
Linn Energy LLC/Linn Energy Finance Corp.:  
                                                             
6.50%, 5/15/19
      
 
         66             62,040     
6.25%, 11/01/19 (a)
      
 
         1,105            1,016,600     
8.63%, 4/15/20
      
 
         1,202            1,208,010     
7.75%, 2/01/21
      
 
         100             97,000     
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:  
                                                             
6.25%, 6/15/22
      
 
         253             264,385     
4.50%, 7/15/23
      
 
         380             345,800     
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21
      
 
         305             294,325     

See Notes to Financial Statements.

56 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Oil, Gas & Consumable Fuels (concluded)  
Newfield Exploration Co., 6.88%, 2/01/20
      
USD
         1,205         $ 1,262,237     
Northern Oil & Gas, Inc., 8.00%, 6/01/20
      
 
         480             487,200     
Oasis Petroleum, Inc.:  
                                                             
7.25%, 2/01/19
      
 
         315             333,900     
6.50%, 11/01/21
      
 
         450             472,500     
Offshore Group Investment Ltd., 7.13%, 4/01/23
      
 
         650             625,625     
Pacific Drilling SA, 5.38%, 6/01/20 (a)
      
 
         625             603,125     
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20
      
 
         149             152,353     
PDC Energy, Inc., 7.75%, 10/15/22
      
 
         325             341,250     
Penn Virginia Corp., 8.50%, 5/01/20
      
 
         308             308,000     
Petrobras Global Finance BV, 3.00%, 1/15/19
      
 
         537             493,938     
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (a)
      
 
         901             986,595     
Range Resources Corp.:  
                                                             
8.00%, 5/15/19
      
 
         600             645,000     
6.75%, 8/01/20
      
 
         177             190,718     
5.75%, 6/01/21
      
 
         1,506               1,577,535     
5.00%, 8/15/22
      
 
         481             470,177     
5.00%, 3/15/23
      
 
         247             241,443     
Regency Energy Partners LP/Regency Energy Finance Corp., 6.88%, 12/01/18
      
 
         174             186,615     
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a)
      
 
         194             194,000     
Rosetta Resources, Inc., 5.63%, 5/01/21
      
 
         411             396,615     
Sabine Pass Liquefaction LLC (a):  
                                                             
5.63%, 2/01/21
      
 
         1,800            1,719,000     
5.63%, 4/15/23
      
 
         521             483,227     
Sabine Pass LNG LP:  
                                                             
7.50%, 11/30/16
      
 
         2,675            2,945,844     
6.50%, 11/01/20 (a)
      
 
         505             507,525     
SandRidge Energy, Inc.:  
                                                             
8.75%, 1/15/20
      
 
         48             50,160     
7.50%, 2/15/23
      
 
         461             446,018     
SESI LLC, 6.38%, 5/01/19
      
 
         318             334,695     
Seven Generations Energy Ltd., 8.25%, 5/15/20 (a)
      
 
         152             155,800     
SM Energy Co.:  
                                                             
6.63%, 2/15/19
      
 
         330             344,850     
6.50%, 11/15/21
      
 
         405             425,250     
6.50%, 1/01/23
      
 
         475             489,250     
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (a)
      
 
         436             442,540     
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (a)
      
 
         240             239,400     
Vanguard Natural Resources LLC/VNR Finance Corp., 7.88%, 4/01/20
      
 
         420             425,250   
 
      
 
                       40,662,055   
Paper & Forest Products — 0.5%  
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (a)
      
 
         491             518,005     
Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20
      
 
         180             193,050     
Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17
      
 
         90             94,725     
Clearwater Paper Corp.:  
                                                             
7.13%, 11/01/18
      
 
         885             951,375     
4.50%, 2/01/23
      
 
         70             63,350     
NewPage Corp., 11.38%, 12/31/14 (d)(j)
      
 
         3,090            —       
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (a)
      
 
         200             209,000     
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (a)
      
 
         405             406,013   
 
      
 
                       2,435,518     
Pharmaceuticals — 2.2%  
Capsugel Finance Co. SCA:  
                                                             
9.88%, 8/01/19
      
EUR
         105             153,344     
9.88%, 8/01/19 (a)
      
 
         300             438,127     
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a)
      
USD
         1,048            1,184,240     
                         
Corporate Bonds                 Par
(000)		      Value
Pharmaceuticals (concluded)
Valeant Pharmaceuticals International (a):  
                                                             
6.88%, 12/01/18
      
USD
         1,398         $ 1,481,880     
6.38%, 10/15/20
      
 
         419             425,809     
6.75%, 8/15/21
      
 
         701             722,030     
VPII Escrow Corp. (a):  
                                                             
6.75%, 8/15/18
      
 
         3,779            4,001,016     
7.50%, 7/15/21
      
 
         228             243,960     
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18
      
 
         945             1,032,413   
 
      
 
                       9,682,819     
Professional Services — 0.3%  
La Financiere Atalian SA, 7.25%, 1/15/20
      
EUR
         311             400,757     
Truven Health Analytics, Inc., 10.63%, 6/01/20
      
USD
         790             839,375   
 
      
 
                          1,240,132     
Real Estate Investment Trusts (REITs) — 0.7%  
Cantor Commercial Real Estate Co. LP/CCRE Finanace Corp., 7.75%, 2/15/18 (a)
      
 
         436             445,810     
Felcor Lodging LP:  
                                                             
6.75%, 6/01/19
      
 
         1,578            1,652,955     
5.63%, 3/01/23
      
 
         397             369,210     
Host Hotels & Resorts LP, 2.50%, 10/15/29 (a)(g)
      
 
         190             258,875     
iStar Financial, Inc., 4.88%, 7/01/18
      
 
         628             609,160   
 
      
 
                       3,336,010     
Real Estate Management & Development — 2.4%
CBRE Services, Inc., 6.63%, 10/15/20
      
 
         520             552,500     
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (a)
      
 
         1,330            1,429,750     
Realogy Corp. (a):  
                                                             
7.88%, 2/15/19
      
 
         3,610            3,925,875     
7.63%, 1/15/20
      
 
         785             879,200     
9.00%, 1/15/20
      
 
         510             589,050     
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a)
      
 
         521             517,093     
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19
      
 
         2,125            2,332,187     
Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (a)
      
 
         695             691,525   
 
      
 
                       10,917,180     
Road & Rail — 0.7%  
The Hertz Corp.:  
                                                             
7.50%, 10/15/18
      
 
         855             923,400     
6.75%, 4/15/19
      
 
         450             479,812     
5.88%, 10/15/20
      
 
         100             102,625     
7.38%, 1/15/21
      
 
         675             729,000     
6.25%, 10/15/22
      
 
         410             417,175     
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (a)
      
 
         305             301,188   
 
      
 
                       2,953,200     
Semiconductors & Semiconductor Equipment — 0.3%  
NXP BV/NXP Funding LLC (a):  
                                                             
3.75%, 6/01/18
      
 
         660             637,725     
9.75%, 8/01/18
      
 
         100             110,500     
5.75%, 2/15/21
      
 
         525             525,000   
 
      
 
                       1,273,225     
Software — 1.9%  
BMC Software Finance, Inc., 8.13%, 7/15/21 (a)
      
 
         1,110            1,123,875     
Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (a)(e)
      
 
         517             524,755     
IAC/InterActiveCorp, 4.75%, 12/15/22
      
 
         650             599,625     
Igloo Holdings Corp., 8.25%, 12/15/17 (a)(e)
      
 
         454             464,215     
Infor US, Inc., 9.38%, 4/01/19
      
 
         3,180            3,537,750     

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 57
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Software (concluded)  
Interface Security Systems Holdings, Inc./Interface Security Systems LLC, 9.25%, 1/15/18 (a)
      
USD
         229          $ 236,443     
Nuance Communications, Inc., 5.38%, 8/15/20 (a)
      
 
         1,445            1,376,362     
Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (a)
      
 
         666             722,610   
 
      
 
                       8,585,635     
Speciality Retail — 3.1%
Asbury Automotive Group, Inc., 8.38%, 11/15/20
      
 
         565             624,325     
Claire’s Stores, Inc. (a):  
                                                             
9.00%, 3/15/19
      
 
         1,348            1,501,335     
7.75%, 6/01/20
      
 
         510             507,450     
CST Brands, Inc., 5.00%, 5/01/23 (a)
      
 
         579             550,050     
House of Fraser Funding PLC:  
                                                             
8.88%, 8/15/18 (a)
      
GBP
         439             720,083     
8.88%, 8/15/18
      
 
         322             528,170     
Limited Brands, Inc., 8.50%, 6/15/19
      
USD
         1,255               1,482,469     
Magnolia BC SA, 9.00%, 8/01/20
      
EUR
         455             608,928     
Michaels FinCo Holdings LLC/Michaels FinCo, Inc., 7.50%, 8/01/18 (a)(e)
      
USD
         901             901,000     
Michaels Stores, Inc., 7.75%, 11/01/18
      
 
         362             389,603     
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (a)(e)
      
 
         334             343,185     
Party City Holdings, Inc., 8.88%, 8/01/20 (a)
      
 
         1,559            1,670,079     
PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75%, 8/15/19 (a)(e)
      
 
         438             433,072     
Penske Automotive Group, Inc., 5.75%, 10/01/22
      
 
         498             493,020     
QVC, Inc. (a):  
                                                             
7.50%, 10/01/19
      
 
         970             1,045,736     
7.38%, 10/15/20
      
 
         455             494,379     
Sally Holdings LLC/Sally Capital, Inc.:  
                                                             
6.88%, 11/15/19
      
 
         840             915,600     
5.75%, 6/01/22
      
 
         788             788,985   
 
      
 
                       13,997,469   
Textiles, Apparel & Luxury Goods — 0.5%  
Levi Strauss & Co., 6.88%, 5/01/22
      
 
         675             717,188     
PVH Corp., 4.50%, 12/15/22
      
 
         390             361,238     
Quiksilver, Inc./QS Wholesale, Inc., 7.88%, 8/01/18 (a)
      
 
         184             189,750     
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (a)
      
 
         773             763,337     
The William Carter Co., 5.25%, 8/15/21 (a)
      
 
         388             389,940   
 
      
 
                       2,421,453     
Thrifts & Mortgage Finance — 0.1%  
MGIC Investment Corp., 2.00%, 4/01/20 (g)
      
 
         78             98,085     
Radian Group, Inc. (g):  
                                                             
3.00%, 11/15/17
      
 
         92             127,363     
2.25%, 3/01/19
      
 
         110             157,300   
 
      
 
                       382,748     
Trading Companies & Distributors — 0.6%  
Air Lease Corp., 4.50%, 1/15/16
      
 
         920             956,800     
Ashtead Capital, Inc., 6.50%, 7/15/22 (a)
      
 
         765             808,987     
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust (a):
                                                             
Series 2012-1, Class A, 5.13%, 11/30/24
      
 
         761             749,779     
Series 2012-1, Class B, 6.50%, 5/30/21
      
 
         312             314,516   
 
      
 
                       2,830,082     
Transportation Infrastructure — 0.5%  
Aguila 3 SA (a):  
                                                             
7.88%, 1/31/18
      
 
         665             696,588     
Series 144, 7.88%, 1/31/18
      
 
         490             513,275     
Jack Cooper Holdings Corp., 9.25%, 6/01/20 (a)
      
 
         1,135            1,163,375   
 
      
 
                       2,373,238     
                         
Corporate Bonds                 Par
(000)		      Value
Wireless Telecommunication Services — 4.7%  
Crown Castle International Corp., 5.25%, 1/15/23
      
USD
         1,732         $ 1,636,740     
Digicel Group Ltd., 8.25%, 9/30/20 (a)
      
 
         1,520            1,611,200     
Digicel Ltd., 6.00%, 4/15/21 (a)
      
 
         2,576            2,485,840     
MetroPCS Wireless, Inc., 6.63%, 11/15/20
      
 
         812             842,450     
NII Capital Corp., 7.63%, 4/01/21
      
 
         539             412,335     
Phones4u Finance PLC:  
                                                             
9.50%, 4/01/18 (a)
      
GBP
         570             914,246     
9.50%, 4/01/18
      
 
         200             320,788     
Softbank Corp., 4.50%, 4/15/20 (a)
      
USD
         1,205            1,139,255     
Sprint Capital Corp., 6.88%, 11/15/28
      
 
         1,563            1,410,607     
Sprint Communications, Inc. (FKA Sprint Nextel Corp.) (a):  
                                                             
9.00%, 11/15/18
      
 
         5,566            6,498,305     
7.00%, 3/01/20
      
 
         2,922            3,141,150     
T-Mobile USA, Inc., 5.25%, 9/01/18 (a)
      
 
         575             580,750   
 
      
 
                       20,993,666   
Total Corporate Bonds — 108.0%
      
 
                       482,780,245   
Floating Rate Loan Interests (c)
Airlines — 1.0%  
Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18
      
 
         646             647,622     
Northwest Airlines, Inc., Term Loan:  
                                                             
2.30%, 3/10/17
      
 
         986             912,967     
2.30%, 3/10/17
      
 
         988             914,274     
1.68%, 9/10/18
      
 
         829             733,411     
1.68%, 9/10/18
      
 
         823             728,544     
1.68%, 9/10/18
      
 
         836             739,902   
 
      
 
                          4,676,720     
Auto Components — 1.2%  
Federal-Mogul Corp.:  
                                                             
Term Loan B, 2.12% – 2.13%, 12/29/14
      
 
         3,210            3,125,473     
Term Loan C, 2.12–2.13%, 12/28/15
      
 
         1,506            1,466,593     
Schaeffler AG, Term Loan C, 4.25%, 1/27/17
      
 
         950             951,472   
 
      
 
                       5,543,538     
Building Products — 0.1%  
Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19
      
 
         652             646,159     
Capital Markets — 0.8%  
American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16
      
 
         2,183            2,189,768     
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17
      
 
         550             547,597     
Nuveen Investments, Inc.:  
                                                             
2nd Lien Term Loan, 6.50%, 2/28/19
      
 
         525             521,939     
Term Loan, 4.18%, 5/15/17
      
 
         205             204,044   
 
      
 
                       3,463,348     
Chemicals — 0.2%  
MacDermid, Inc., 2nd Lien Term Loan, 7.75%, 12/07/20
      
 
         165             166,650     
OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20
      
 
         455             453,721     
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20
      
 
         80             80,319   
 
      
 
                       700,690     
Commercial Services & Supplies — 0.5%  
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16
      
 
         652             651,826     
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17
      
 
         400             401,252     
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18
      
 
         635             632,790     
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
      
 
         400             400,376   
 
      
 
                       2,086,244     

See Notes to Financial Statements.

58 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)                 Par
(000)		      Value
Communications Equipment — 1.3%  
Alcatel-Lucent USA, Inc.:  
                                                             
Term Loan C, 5.75%, 1/30/19
      
USD
         2,164         $ 2,172,933     
Term Loan D, 6.25%, 1/30/19
      
EUR
         841             1,113,710     
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18
      
USD
         194             183,354     
Zayo Group LLC/Zayo Capital Inc., Term Loan B,
4.50%, 7/02/19
      
 
         2,256            2,262,164   
 
      
 
                       5,732,161     
Construction Materials — 0.3%  
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17
      
 
         1,364            1,366,691     
Containers & Packaging — 0.1%  
Tekni-Plex, Inc., Term Loan B, 5.50% – 6.50%, 8/25/19
      
 
         410             407,950     
Diversified Consumer Services — 0.3%  
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18
      
 
         222             220,774     
ServiceMaster Co.:  
                                                             
Extended Term Loan, 4.44%, 1/31/17
      
 
         255             247,705     
Term Loan, 4.25%, 1/31/17
      
 
         706             684,903   
 
      
 
                       1,153,382     
Diversified Telecommunication Services — 0.4%  
Level 3 Financing, Inc.:  
                                                             
2016 Term Loan B, 4.00%, 1/15/20
      
 
         610             609,494     
2019 Term Loan B, 4.00%, 8/01/19
      
 
         420             419,214     
Term Loan, 4.75%, 8/01/19
      
 
         740             739,223   
 
      
 
                       1,767,931     
Energy Equipment & Services — 0.1%  
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
      
 
         280             278,132     
Food & Staples Retailing — 0.0%  
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
      
 
         165             169,074     
Food Products — 0.1%  
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17
      
 
         328             331,121     
Health Care Equipment & Supplies — 0.3%  
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19
      
 
         1,165            1,160,924     
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18
      
 
         431             426,344   
 
      
 
                          1,587,268     
Health Care Providers & Services — 0.2%  
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17
      
 
         366             376,070     
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16
      
 
         576             561,564   
 
      
 
                       937,634     
Hotels, Restaurants & Leisure — 4.3%  
Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20
      
 
         705             703,682     
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
      
 
         675             675,837     
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20
      
 
         1,850            1,845,375     
Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14
      
 
         11,050            10,514,075     
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
      
 
         833             829,985     
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
      
 
         860             862,141     
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19
      
 
         1,005            1,007,935     
Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20
      
 
         1,431            1,440,960     
                         
Floating Rate Loan Interests (c)                 Par
(000)		      Value
Hotels, Restaurants & Leisure (concluded)
Travelport LLC/Travelport Holdings, Inc.:  
                                                             
2nd Lien PIK Term Loan 2, 8.38%, 12/01/16 (e)
      
USD
         682          $ 680,908     
2nd Lien Term Loan 1, 9.50%, 1/29/16
      
 
         138             142,984     
Refinancing Term Loan, 6.25%, 6/26/19
      
 
         450             454,275   
 
      
 
                       19,158,157   
Industrial Conglomerates — 0.2%  
Sequa Corp., Term Loan B, 5.25%, 6/19/17
      
 
         890             893,346     
Insurance — 0.1%  
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19
      
 
         517             519,019     
IT Services — 0.4%  
Ceridian Corp., Term Loan B, 4.43%, 5/09/17
      
 
         475             474,506     
First Data Corp., Extended 2018 Term Loan B, 4.18%, 3/23/18
      
 
         1,220            1,207,117   
 
      
 
                       1,681,623     
Life Sciences Tools & Services — 0.1%  
Patheon, Inc., Term Loan, 7.25%, 12/06/18
      
 
         318             319,982     
Machinery — 1.3%  
Gardner Denver, Inc., Term Loan:  
                                                             
4.25%, 7/30/20
      
 
         1,898            1,887,654     
4.75%, 7/30/20
      
EUR
         2,081            2,742,528     
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20
      
USD
         1,106               1,093,917   
 
      
 
                       5,724,099     
Media — 1.6%  
Cengage Learning Acquisitions, Inc.:  
                                                             
Non-Extended Term Loan, 4.75%, 7/03/14
      
 
         492             351,284     
Tranche 1 Incremental, 6.00%, 7/03/14
      
 
         2,513            1,774,823     
Clear Channel Communications, Inc.:  
                                                             
Term Loan B, 3.83%, 1/29/16
      
 
         205             191,034     
Term Loan C, 3.83%, 1/29/16
      
 
         156             143,071     
Term Loan D, 6.93%, 1/30/19
      
 
         2,310            2,118,507     
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18
      
 
         670             672,120     
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
      
 
         74             71,348     
Harron Communications Corp., Refinancing Term Loan B, 3.50%, 6/19/20
      
 
         915             915,760     
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20
      
 
         345             353,625     
Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20
      
 
         385             383,574     
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/08/20
      
 
         185             184,070   
 
      
 
                       7,159,216     
Metals & Mining — 0.8%  
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20
      
 
         1,377            1,407,522     
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17
      
 
         2,192            2,199,538   
 
      
 
                       3,607,060     
Multiline Retail — 0.5%  
HEMA Holding BV, Mezzanine, 8.63%, 7/05/17
      
EUR
         1,821            2,166,297     
Oil, Gas & Consumable Fuels — 1.5%  
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17
      
USD
         3,435            3,497,963     
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
      
 
         1,058            1,058,197     
Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18
      
 
         360             361,577     
Vantage Drilling Co.:  
                                                             
Term Loan, 6.25%, 10/26/17
      
 
         1,330            1,339,383     
Term Loan B, 5.75%, 3/22/19
      
 
         564             567,814   
 
      
 
                       6,824,934     

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 59
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)                 Par
(000)		      Value
Pharmaceuticals — 0.7%  
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17
      
USD
         1,463         $ 1,465,249     
Par Pharmaceutical, Refinancing Term Loan B, 4.25%, 9/30/19
      
 
         1,102            1,095,839     
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18
      
 
         482             481,677   
 
      
 
                       3,042,765     
Real Estate Investment Trusts (REITs) — 0.3%
                                                             
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17
      
 
         1,492            1,491,620     
Real Estate Management & Development — 0.2%   
Realogy Corp.:  
                                                             
Extended Letter of Credit, 4.45%, 10/10/16
      
 
         138             138,343     
Extended Term Loan, 4.50%, 3/05/20
      
 
         718             722,150   
 
      
 
                       860,493     
Road & Rail — 0.1%  
Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17
      
 
         421             419,801     
Software — 0.4%  
BMC Software, Inc., Term Loan, 5.00%, 8/07/20
      
 
         215             214,553     
GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20
      
 
         90             91,350     
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18
      
 
         783             787,564     
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
      
 
         795             821,831   
 
      
 
                          1,915,298     
Specialty Retail — 0.3%  
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19
      
 
         831             835,178     
Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19
      
 
         405             403,911   
 
      
 
                       1,239,089     
Textiles, Apparel & Luxury Goods — 0.4%  
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
      
 
         1,728            1,654,680     
Thrifts & Mortgage Finance — 0.2%  
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18
      
 
         938             946,558     
Total Floating Rate Loan Interests — 20.3%
      
 
                       90,472,080   
Investment Companies — 0.3%  
      
 
         Shares                   
Exchange-Traded Fund — 0.3%
iShares MSCI EAFE Index Fund (l)
      
 
         18,790            1,111,804   
Other Interests (d)(m)  
      
 
   
Beneficial   Interest
  (000)
               
Chemicals — 0.0%  
Wellman Holdings, Inc., Litigation Trust Certificate
      
USD
         4,870            49     
Hotels, Restaurants & Leisure — 0.0%  
Buffets, Inc.
     
 
         950             9     
Media — 0.0%  
Adelphia Escrow
     
 
         1,300            13     
Adelphia Recovery Trust
     
 
         1,630            16,304   
 
      
 
                       16,317     
Total Other Interests — 0.0%
      
 
                       16,375     
         
    
Preferred Securities		                 Par
(000)		      Value
Capital Trusts — 0.0%  
      
 
                            
Media — 0.0%  
NBCUniversal Enterprise, Inc., 5.25% (a)(k)
      
 
         100        $       97,921     
Preferred Stocks — 1.6%  
      
 
         Shares                  
Auto Components — 1.6%  
Dana Holding Corp., 4.00% (a)(g)
      
 
         40,610            7,134,669     
Trust Preferreds — 1.4%
Diversified Financial Services — 1.4%  
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c)
      
 
         235,590            6,221,564     
Total Preferred Securities — 3.0%
      
 
                         13,454,154   
Warrants (n)  
      
 
                              
Health Care Providers & Services — 0.0%  
HealthSouth Corp. (Expires 1/16/14)
      
 
         54,577            1     
Media — 0.0%  
New Vision Holdings LLC:  
                                                             
(Expires 9/30/14)
      
 
         22,194            33,934     
(Expires 9/30/14)
      
 
         3,995            7,343   
 
      
 
                       41,277     
Metals & Mining — 0.0%  
Peninsula Energy Ltd. (Expires 12/31/17)
      
 
         3,611,304            24,750     
Peninsula Minerals Ltd. (Expires 12/31/15) (d)
      
 
         6,113,638            59,856   
 
      
 
                       84,606     
Software — 0.0%  
HMH Holdings/EduMedia, (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)
      
 
         1,835            —       
Total Warrants — 0.0%
      
 
                       125,884     
Total Long-Term Investments
(Cost — $632,362,664) — 142.4%
      
 
                       636,138,588     
Short-Term Securities
      
 
                              
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (l)(o)
      
 
         1,737,587            1,737,587   
Total Short-Term Securities
(Cost — $1,737,587) — 0.4%
      
 
                       1,737,587     
Options Purchased  
(Cost — $1,707,056) — 0.4%
      
 
                       1,975,830     
Total Investments Before Options Written
(Cost — $635,807,307) — 143.2%
      
 
                       639,852,005     
Options Written  
(Premiums Received — $432,862) — (0.1)%
      
 
                       (457,150 )  
Total Investments, Net of Options Written — 143.1%
                    639,394,855   
Liabilities in Excess of Other Assets — (43.1)%
      
 
                       (192,548,255 )  
Net Assets — 100.0%
      
 
                  $ 446,846,600   

See Notes to Financial Statements.

60 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
 

Notes to Consolidated 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)      
When-issued security. Unsettled when-issued transactions were as follows:

Counterparty
   
 Value
    
 Unrealized
Appreciation
(Depreciation)
JPMorgan Securities LLC
       $ 2,824,497            —    

(c)      
Variable rate security. Rate shown is as of report date.
(d)      
Non-income producing security.
(e)      
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(f)      
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(g)      
Convertible security.
(h)      
All or a portion of security has been pledged as collateral in connection with swaps.
(i)      
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.
(j)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(k)      
Security is perpetual in nature and has no stated maturity date.
(l)      
Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate
  
 Shares
Held at
August 31, 2012
   
 Shares
Purchased
   
 Shares
Sold
   
 Shares
Held at
August 31, 2013
   
 Value at
August 31, 2013
   
 Income
   
 Realized
Gain
BlackRock Liquidity Funds, TempFund,
    Institutional Class
         —        1,737,587 1      —        1,737,587      $ 1,737,587      $ 1,305      $ 110   
iShares iBoxx $ High Yield Corporate
    Bond ETF2
        —        41,177       (41,177 )      —        —       $ 19,727      $ (56,794 ) 
iShares MSCI EAFE Index Fund
         —        18,790       —        18,790     $ 1,111,804       —        —  
1   Represents net shares purchased.
2   No longer held by the Trust of report date.

(m)      
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(n)      
Warrants entitle the Trust to purchase a predetermined number of shares of comon 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)      
Represents the current yield as of report date.
•      
For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
•      
Financial futures contracts as of August 31, 2013 were as follows:

Contracts
Purchased
(Sold)
   
 Issue
    
 Exchange
    
 Expiration
    
 Notional
Value
    
 Unrealized
Appreciation
(Depreciation)
(19)
      
2-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
   
4,175,250
  
$  (270)
(50)
      
5-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
   
5,983,985
  
7,356 
(33)
      
10-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
   
4,101,281
  
(2,114)
Total
      
 
   
 
   
 
   
 
   
 
  
$4,972 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 61
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
 

•      
Foreign currency exchange contracts as of August 31, 2013 were as follows:

Currency Purchased
Currency Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
(Depreciation)
USD
      471,701   
EUR
    357,000   
Credit Suisse International
   
9/03/13
    $ (129 )
USD
      360,796   
GBP
    233,000   
Bank of America N.A.
   
9/03/13
       (284 )
EUR
      357,000   
USD
    471,734   
Credit Suisse International
   
9/25/13
       127  
USD
      2,752,440   
EUR
    2,062,000   
Barclays Bank PLC
   
9/25/13
       27,010  
USD
      33,736,691   
EUR
    25,108,000   
UBS AG
   
9/25/13
       550,419  
GBP
      233,000   
USD
    360,661   
Bank of America N.A.
   
10/22/13
       286  
GBP
      78,747   
USD
    122,640   
State Street Bank and Trust Co.
   
10/22/13
       (651 )
USD
      711,464   
AUD
    781,000   
UBS AG
   
10/22/13
       18,546  
USD
      6,991,098   
CAD
    7,275,000   
JPMorgan Chase Bank N.A.
   
10/22/13
       92,454  
USD
      209,560   
GBP
    139,000   
Bank of America N.A.
   
10/22/13
       (5,768 )
USD
      237,232   
GBP
    153,000   
Bank of America N.A.
   
10/22/13
       216  
USD
      103,870   
GBP
    68,000   
BNP Paribas S.A.
   
10/22/13
       (1,471 )
USD
      166,946   
GBP
    110,000   
Credit Suisse International
   
10/22/13
       (3,458 )
USD
      14,847,817   
GBP
    9,846,000   
Deutsche Bank AG
   
10/22/13
       (404,873 )
USD
      241,788   
GBP
    159,000   
Deutsche Bank AG
   
10/22/13
       (4,523 )
USD
      159,723   
GBP
    102,700   
Deutsche Bank AG
   
10/22/13
       628  
Total
           
 
         
 
   
 
    $ 268,529  

•      
Exchange-traded options purchased as of August 31, 2013 were as follows:

Description
   
 Put/
Call
    
 Strike
Price
    
 Expiration
Date
    
 Contracts
    
 Market
Value
    
SPDR S&P 500 ETF Trust
      
Put
   
USD
   
165.00
   
9/21/13
   
460
      $ 154,560     
SPDR S&P 500 ETF Trust
      
Put
   
USD
   
164.00
   
9/21/13
   
1,540
         436,590   
SPDR S&P 500 ETF Trust
      
Put
   
USD
   
161.00
   
10/19/13
   
1,766
         529,800   
SPDR S&P 500 ETF Trust
      
Put
   
USD
   
164.00
   
10/19/13
   
2,055
         854,880   
Total
      
 
   
 
   
 
   
 
   
 
    $ 1,975,830   

•      
Exchange-traded options written as of August 31, 2013 were as follows:

Description
   
 Put/
Call
    
 Strike
Price
    
 Expiration
Date
    
 Contracts
    
 Market
Value
    
SPDR S&P 500 ETF Trust
      
Put
   
USD
   
156.00
   
9/21/13
   
1,540
      $ (107,800 )   
SPDR S&P 500 ETF Trust
      
Put
   
USD
   
156.00
   
10/19/13
   
2,055
         (349,350 )  
Total
      
 
   
 
   
 
   
 
   
 
    $ (457,150 )  

•      
Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows:

Issuer
  
 Pay
Fixed
Rate
   
 Counterparty
   
 Expiration
Date
   
 Notional
Amount
(000)
   
 Market
Value
   
 Premiums
Paid
   
 Unrealized
Depreciation
   
RadioShack Corp.
      
5.00%
  
Deutsche Bank AG
  
9/20/18
  
USD
  
102
  
$ 25,774
  
$31,912
    $ (6,138 ) 
RadioShack Corp.
      
5.00%
  
Deutsche Bank AG
  
9/20/18
  
USD
  
102
  
25,773
  
31,423
     (5,649 ) 
RadioShack Corp.
      
5.00%
  
Deutsche Bank AG
  
9/20/18
  
USD
  
102
  
25,774
  
28,472
     (2,699 ) 
 
      
 
  
 
  
 
  
 
  
 
  
 
  
 
         
Total
      
 
  
 
  
 
  
 
  
 
  
$ 77,321
  
$ 91,807
    $ (14,486 ) 

See Notes to Financial Statements.

62 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
 

•      
Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows:

Issuer/Index
  
 Receive
Fixed
Rate
  
 Counterparty
  
 Expiration
Date
  
 Credit
Rating1
  
 Notional
Amount
(000)2
  
 Market
Value
  
  
 Premiums
Received
  
 Unrealized
Appreciation
(Depreciation)
  
RadioShack Corp.
  
5.00%
  
Deutsche Bank AG
  
9/20/15
  
CCC
  
USD
  
102
   $ (10,937 )     $ (15,948 )     $ 5,011  
RadioShack Corp.
  
5.00%
  
Deutsche Bank AG
  
9/20/15
  
CCC
  
USD
  
102
     (10,938 )      (15,969 )      5,031  
RadioShack Corp.
  
5.00%
  
Deutsche Bank AG
  
9/20/15
  
CCC
  
USD
  
102
     (10,938 )      (13,076 )      2,138  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
JPMorgan Chase Bank N.A.
  
12/20/15
  
CCC-
  
USD
  
422
     (80,416 )      (121,538 )      41,122  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
JPMorgan Chase Bank N.A.
  
12/20/15
  
CCC-
  
USD
  
117
     (22,296 )      (29,212 )      6,916  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
3/20/16
  
CCC-
  
USD
  
170
     (38,185 )      (40,628 )      2,443  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
3/20/16
  
CCC-
  
USD
  
170
     (38,185 )      (40,628 )      2,443  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
3/20/16
  
CCC-
  
USD
  
506
     (113,770 )      (115,376 )      1,606  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
3/20/16
  
CCC-
  
USD
  
113
     (25,514 )      (24,606 )      (908 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
3/20/16
  
CCC-
  
USD
  
558
     (125,616 )      (97,825 )      (27,791 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
3/20/16
  
CCC-
  
USD
  
66
     (14,744 )      (13,427 )      (1,317 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
6/20/16
  
CCC-
  
USD
  
345
     (89,775 )      (86,388 )      (3,387 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
6/20/16
  
CCC-
  
USD
  
660
     (171,950 )      (160,247 )      (11,703 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
6/20/16
  
CCC-
  
USD
  
1,184
     (308,561 )      (291,554 )      (17,007 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
6/20/16
  
CCC-
  
USD
  
190
     (49,579 )      (38,916 )      (10,663 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
3/20/17
  
CCC-
  
USD
  
312
     (110,535 )      (86,307 )      (24,228 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
3/20/17
  
CCC-
  
USD
  
$372
     (131,747 )      (115,607 )      (16,140 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs International
  
3/20/17
  
CCC-
  
USD
  
217
     (76,801 )      (63,777 )      (13,024 ) 
Crown Castle International Corp.
  
7.25%
  
Deutsche Bank AG
  
3/20/17
  
B
  
USD
  
720
     117,139       —       117,139  
CCO Holdings LLC
  
8.00%
  
Deutsche Bank AG
  
9/20/17
  
BB-
  
USD
  
2,400
     490,360       —       490,360  
Level 3 Communications, Inc.
  
5.00%
  
Goldman Sachs International
  
6/20/19
  
B
  
USD
  
1,600
     33,229       (142,456 )      175,685  
Markit CMBX North America AAA Index Series 3
  
0.50%
  
Citibank N.A.
  
12/13/49
  
BBB-
  
USD
  
120
     (13,649 )      (11,286 )      (2,363 ) 
Markit CMBX North America AAA Index Series 3
  
0.50%
  
Citibank N.A.
  
12/13/49
  
BBB-
  
USD
  
235
     (26,729 )      (22,247 )      (4,482 ) 
 
  
 
  
 
  
 
  
 
  
 
  
 
                        
Total
  
 
  
 
  
 
  
 
  
 
  
 
   $ (830,137 )     $ (1,547,018 )     $ 716,881  
1   Using S&P’s rating of the issuer or the underlying securities of the Index, as applicable.
2   The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of agreement.

•      
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 statement purposes as follows:
•      
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or 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 fair value hierarchy classification 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 instruments 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, please refer to Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 63
 
  
Consolidated Schedule of Investments (continued)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
 
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013:

 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                                                 
Investments:
                                                                                 
Long-Term Investments:
                                                                                 
Asset-Backed Securities
            —             —          $ 2,824,497         $ 2,824,497   
Common Stocks
         $ 34,328,959         $ 3,416,460            7,608,130            45,353,549   
Corporate Bonds
            —             479,106,330            3,673,915            482,780,245   
Floating Rate Loan Interests
            —             77,399,502            13,072,578            90,472,080   
Investment Companies
           1,111,804            —             —             1,111,804   
Other Interests
           16,304            —             71             16,375   
Preferred Securities
            6,221,564            7,232,590            —             13,454,154   
Warrants
           59,856            —             66,028            125,884   
Short-Term Securities
            1,737,587            —             —             1,737,587   
Options Purchased:
                                                                                 
Equity Contracts
           1,975,830            —             —             1,975,830   
Unfunded Loan Commitments
           —             12,443            —             12,443   
Total
         $   45,451,904         $  567,167,325         $   27,245,219         $  639,864,448   
                                     
 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Derivative Financial Instruments1
                                                                                 
Assets:
                                                                           
Credit contracts
            —          $ 242,395         $      607,499         $ 849,894   
Foreign currency exchange contracts
           —             689,686            —             689,686   
Interest rate contracts
         $ 7,356            —             —             7,356   
Liabilities:
                                                                           
Credit contracts
            —             (147,499 )           —             (147,499 )  
Equity contracts
            (457,150 )           —             —             (457,150 )  
Foreign currency exchange contracts
           (413 )           (420,744 )           —             (421,157 )  
Interest rate contracts
            (2,384 )           —             —             (2,384 )  
Total
         $     (452,591 )        $      363,838         $ 607,499         $      518,746   
                                     
1   Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options written. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value.
                                     
Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:
 
 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                                                 
Cash
         $ 238             —             —          $ 238    
Cash pledged for financial futures contracts
            125,000            —             —             125,000   
Foreign currency at value
            14,923            —             —             14,923   
Liabilities:
                                                                                 
Cash received as collateral for over-the-counter swaps
            —          $      (700,000 )           —             (700,000 )  
Loan payable
            —             (191,000,000 )           —             (191,000,000 )  
Total
         $      140,161         $ (191,700,000 )           —          $ (191,559,839 )  

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2013.
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year 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
   
 Warrants
   
 Total
Assets:
                                                             
Opening Balance, as of August 31, 2012
        —       $ 7,005,140      $ 4,924,921      $ 19,461,069      $ 71       $ 1       $ 31,391,202  
Transfers into Level 3
         —        351        2,269,625       1,729,618       —        —        3,999,594  
Transfers out of Level 3
         —        —        —        (3,067,208 )      —        —        (3,067,208 ) 
Accrued discounts/premiums
         —        —        5,469       95,293       (1 )      —        100,761  
Net realized gain (loss)
         —        (9,246 )      11,516       237,407       —        (6 )      239,671  
Net change in unrealized appreciation/ depreciation2
        —        (219,911 )      (1,958,951 )      940,806       1        64,305       (1,173,750 ) 
Purchases
       $ 2,824,497       831,800       2,273,154       9,973,485       —        1,728       15,904,664  
Sales
         —        (4 )      (3,851,819 )      (16,297,892 )      —        —        (20,149,715 ) 
Closing Balance, as of August 31, 2013
        $ 2,824,497      $ 7,608,130      $ 3,673,915      $ 13,072,578      $ 71      $ 66,028      $ 27,245,219  
2   Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2013 was $(2,118,337).

See Notes to Financial Statements.

64 ANNUAL REPORT AUGUST 31, 2013
 
  
Consolidated Schedule of Investments (concluded)   BlackRock Corporate High Yield Fund VI, Inc. (HYT)
 

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

 
   
 Credit Contracts
Assets:
                 
Opening Balance, as of August 31, 2012
         $ 869,356   
Transfers into Level 3
            —    
Transfers out of Level 3
            —    
Accrued discounts/premiums
            —    
Net realized gain (loss)
            —    
Net change in unrealized appreciation/depreciation1
            (261,857 )  
Purchases
            —    
Issues2
            —    
Sales
           —    
Settlements3
            —    
Closing Balance, as of August 31, 2013
         $ 607,499   

1   Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held as of August 31, 2013 was $401,720.
2   Issues represent upfront cash received on certain derivative financial instruments.
3   Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments and derivative financial instruments as of August 31, 2013. The table does not include Level 3 investments and derivative financial instruments with values derived based upon unadjusted third party pricing information. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments and derivative financial instruments. The value of Level 3 investments and derivative financial instruments derived using third party pricing information is $17,401,330.

 
   
 Value
    
 Valuation Techniques
    
 Unobservable Inputs4
    
 Range of
Unobservable
Inputs Utilized
Assets:
                                                                           
Common Stocks5
         $  3,862,607      
Market Comparable Companies 
   
2P (Proved and Probable) Reserves
+ 2C (Contingent) Resources Multiple
   
CAD6 $0.35x — $0.53x
 
                    
 
   
PV-10 Multiple7
   
0.13x — 0.21x
 
            343,980      
Market Comparable Companies
   
Forecasted EBITDA Multiple
   
3.50x
 
            2,329,542      
Market Comparable Companies
   
Offshore EBITDA Multiple
   
8.25x
 
                    
 
   
Onshore EBITDA Multiple
   
4.75x
 
                    
 
   
Implied Last 12 Months EBITDA Multiple
   
6.95x
Corporate Bonds8
            1,006,734      
Discounted Cash Flow
   
Yield
   
12.00%
 
            1,335,000      
Market Comparable Companies
   
Last 12 Months EBITDA Multiple
   
10.00x
 
            900,000      
Cost9
   
N/A
   
—
Warrant10
            41,276      
Estimated Recovery Value
   
Distribution Rate
   
$1.36 — $1.63
 
            24,750      
Black-Scholes
   
Implied Volatility
   
67.605%
Total
       $ 9,843,889                                                             
4   A change to the unobservable input may result in a significant change to the value of the investment as follows:
Unobservable Input
   
 Impact to
Value if Input Increases
    
 Impact to
Value if Input Decreases
2P (Proved and Probable) Reserves + 2C (Contingent) Resources Multiple
     
Increase
   
Decrease
PV-10 Multiple
     
Increase
   
Decrease
Forecasted EBITDA Multiple
     
Increase
   
Decrease
Offshore EBITDA Multiple
      
Increase
   
Decrease
Onshore EBITDA Multiple
     
Increase
   
Decrease
Implied Last 12 Months EBITDA Multiple
      
Increase
   
Decrease
Yield
      
Decrease
   
Increase
Last 12 Months EBITDA Multiple
      
Increase
   
Decrease
Distribution Rate
      
Decrease
   
Increase
Implied Volatility
      
Increase
   
Decrease
5   For the year ended August 31, 2013, the valuation technique for certain investments classified as common stocks changed to a market approach. The investment was previously valued utilizing the company’s financial restructuring plan. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment.
6   Canadian Dollar.
7   Present value of estimated future oil and gas revenues, net of estimated direct expenses, discounted at an annual discount rate of 100%.
8   For the year ended August 31, 2013, the valuation technique for certain investments classified as corporate bonds changed to a market approach. The investment was previously valued using acquisition cost. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment.
9   The Trust fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.
10   For the year ended August 31, 2013, the valuation technique for certain investments classified as warrants changed to a estimated recovery value approach. The investment was previously valued using a discounted vendor price. The estimated recovery value is considered to be a more relevant measure of fair value for this investment.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 65
 
  
Schedule of Investments August 31, 2013 BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)
Common Stocks (a)                  
Shares		      Value
Diversified Financial Services — 0.5%
Kcad Holdings I Ltd.
      
 
         128,137,634       $ 647,095     
Diversified Telecommunication Services — 0.1%
Broadview Networks Holdings, Inc.
      
 
         15,600            98,280   
Hotels, Restaurants & Leisure — 0.3%
Travelport LLC/Travelport Holdings, Inc.
      
 
         444,679            393,541   
Paper & Forest Products — 0.3%
NewPage Corp.
      
 
         3,980            318,400   
Software — 0.2%
HMH Holdings/EduMedia
      
 
         9,409            283,440   
Total Common Stocks — 1.4%
      
 
                         1,740,756   
Corporate Bonds
      
  
         Par
(000		 )                 
Aerospace & Defense — 0.7%
Bombardier, Inc., 4.25%, 1/15/16 (b)
      
USD
         210             217,088   
Huntington Ingalls Industries, Inc.:
                                                             
6.88%, 3/15/18
      
 
         100             107,750   
7.13%, 3/15/21
      
 
         125             135,000   
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17
      
 
         398             429,840   
 
      
 
                       889,678   
Air Freight & Logistics — 0.3%
National Air Cargo Group, Inc.:
                                                             
Series 1, 12.38%, 9/02/15
      
 
         158             158,482   
Series 2, 12.38%, 8/16/15
      
 
         161             160,622   
 
      
 
                       319,104   
Airlines — 2.0%
Continental Airlines Pass-Through Trust:
                                                             
Series 2010-1, Class B, 6.00%, 7/12/20
      
 
         149             152,621   
Series 2012-3, Class C, 6.13%, 4/29/18
      
 
         405             410,873   
Delta Air Lines Pass-Through Trust:
                                                             
Series 2002-1, Class G-1, 6.72%, 7/02/24
      
 
         261             284,735   
Series 2009-1, Class B, 9.75%, 6/17/18
      
 
         87             94,783   
US Airways Group, Inc., 6.13%, 6/01/18
      
 
         140             127,050   
US Airways Pass-Through Trust:
                                                             
Series 2011-1, Class C, 10.88%, 10/22/14
      
 
         207             218,684   
Series 2012-1, Class C, 9.13%, 10/01/15
      
 
         186             193,293   
Series 2012-2, Class B, 6.75%, 7/02/17
      
 
         150             154,875   
Series 2012-2, Class C, 5.45%, 6/03/18
      
 
         445             414,962   
Series 2013-1, Class B, 5.38%, 12/03/22
      
 
         405             384,750   
 
      
 
                       2,436,626   
Auto Components — 2.2%
Affinia Group, Inc., 7.75%, 5/01/21 (b)
      
 
         290             297,975   
Dana Holding Corp., 6.75%, 2/15/21
      
 
         200             212,250   
Delphi Corp., 6.13%, 5/15/21
      
 
         35             38,238   
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18
      
 
         1,510            1,589,275   
IDQ Holdings, Inc., 11.50%, 4/01/17 (b)
      
 
         155             171,662   
Titan International, Inc.:
                                                             
7.88%, 10/01/17 (b)
      
 
         210             222,600   
7.88%, 10/01/17
      
 
         190             201,400   
 
      
 
                       2,733,400   
Automobiles — 0.3%
Ford Motor Co., 4.25%, 11/15/16 (c)
      
 
         160             305,600   
Building Products — 1.3%
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (b)
      
 
         200             194,000   
Building Materials Corp. of America, 7.00%, 2/15/20 (b)
      
 
         430             456,875   
Cemex SAB de CV, 5.88%, 3/25/19 (b)
      
 
         200             189,500   
Momentive Performance Materials, Inc., 8.88%, 10/15/20
      
 
         330             342,375   
                         
Corporate Bonds                 Par
(000)		      Value
Building Products (concluded)
Texas Industries, Inc., 9.25%, 8/15/20
      
USD
         100          $ 109,250     
USG Corp., 9.75%, 1/15/18
      
 
         315             363,037   
 
      
 
                       1,655,037   
Capital Markets — 0.5%
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (c)(d)
      
 
         295             400,462   
KCG Holdings, Inc., 8.25%, 6/15/18 (b)
      
 
         97             95,303   
Nuveen Investments, Inc., 9.13%, 10/15/17 (b)
      
 
         94             92,590   
 
      
 
                       588,355   
Chemicals — 2.6%
Axiall Corp., 4.88%, 5/15/23 (b)
      
 
         76             70,490   
Celanese US Holdings LLC, 5.88%, 6/15/21
      
 
         360             369,000   
Huntsman International LLC, 8.63%, 3/15/21
      
 
         80             89,200   
INEOS Finance PLC, 7.50%, 5/01/20 (b)
      
 
         195             208,650   
Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19
      
 
         55             55,825   
LSB Industries, Inc., 7.75%, 8/01/19 (b)
      
 
         101             104,535   
LyondellBasell Industries NV, 5.75%, 4/15/24
      
 
         1,210            1,341,924   
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18
      
 
         40             39,800   
Nufarm Australia Ltd., 6.38%, 10/15/19 (b)
      
 
         100             100,000   
Orion Engineered Carbons Bondco GmbH (FKA Kinove German Bondco GmbH), 10.00%, 6/15/18
      
EUR
         148             217,753   
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (b)
      
USD
         74             71,595   
PolyOne Corp., 7.38%, 9/15/20
      
 
         100             110,250   
Rockwood Specialties Group, Inc., 4.63%, 10/15/20
      
 
         375             368,437   
Tronox Finance LLC, 6.38%, 8/15/20 (b)
      
 
         118             112,690   
 
      
 
                         3,260,149   
Commercial Banks — 2.0%
CIT Group, Inc.:
                                                             
5.25%, 3/15/18
      
 
         1,440            1,486,800   
6.63%, 4/01/18 (b)
      
 
         215             232,200   
5.50%, 2/15/19 (b)
      
 
         718             735,950   
 
      
 
                       2,454,950   
Commercial Services & Supplies — 3.6%
ACCO Brands Corp., 6.75%, 4/30/20
      
 
         34             33,575   
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (b)
      
 
         122             128,710   
ARAMARK Corp., 5.75%, 3/15/20 (b)
      
 
         282             287,640   
Aviation Capital Group Corp., 6.75%, 4/06/21 (b)
      
 
         230             242,193   
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)
      
 
         152             157,320   
Brickman Group Holdings, Inc.,
9.13%, 11/01/18 (b)
      
 
         9             9,641   
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18
      
 
         220             222,750   
Covanta Holding Corp.:
                                                             
3.25%, 6/01/14 (c)
      
 
         152             205,580   
6.38%, 10/01/22
      
 
         280             284,115   
Interactive Data Corp., 10.25%, 8/01/18
      
 
         615             684,987   
Mobile Mini, Inc., 7.88%, 12/01/20
      
 
         165             179,850   
TransUnion LLC/TransUnion Financing Corp., 11.38%, 6/15/18
      
 
         27             30,038   
UR Merger Sub Corp.:
                                                             
5.75%, 7/15/18
      
 
         114             121,695   
7.38%, 5/15/20
      
 
         150             161,625   
8.25%, 2/01/21
      
 
         210             232,050   
7.63%, 4/15/22
      
 
         1,177            1,265,275   
6.13%, 6/15/23
      
 
         85             83,725   
West Corp., 8.63%, 10/01/18
      
 
         65             70,362   
 
      
 
                       4,401,131   
Communications Equipment — 1.7%
Alcatel-Lucent USA, Inc.:
                                                             
8.88%, 1/01/20 (b)
      
 
         275             280,500   
6.45%, 3/15/29
      
 
         330             254,100   

See Notes to Financial Statements.

66 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Communications Equipment (concluded)  
Avaya, Inc. (b):  
                                                             
7.00%, 4/01/19
      
USD
         115          $ 105,225     
10.50%, 3/01/21
      
 
         373             288,142     
Zayo Group LLC/Zayo Capital, Inc.:  
                                                             
8.13%, 1/01/20
      
 
         430             466,550     
10.13%, 7/01/20
      
 
         650             737,750     
 
      
 
                         2,132,267   
Computers & Peripherals — 0.1%  
EMC Corp., Series B, 1.75%, 12/01/13 (c)
      
 
         89             142,901   
Construction & Engineering — 0.3%  
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (b)
      
 
         90             72,900     
H&E Equipment Services, Inc., 7.00%, 9/01/22
      
 
         193             205,063     
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (b)
      
 
         67             64,990     
 
      
 
                       342,953   
Construction Materials — 3.9%  
HD Supply, Inc.:  
                                                             
8.13%, 4/15/19
      
 
         2,079            2,312,887     
11.00%, 4/15/20
      
 
         777             928,515     
7.50%, 7/15/20 (b)
      
 
         1,443            1,507,935     
 
      
 
                       4,749,337   
Consumer Finance — 1.0%  
Credit Acceptance Corp., 9.13%, 2/01/17
      
 
         220             234,850     
Ford Motor Credit Co. LLC:  
                                                             
12.00%, 5/15/15
      
 
         330             384,910     
8.13%, 1/15/20
      
 
         500             607,923     
 
      
 
                         1,227,683   
Containers & Packaging — 1.0%  
Ardagh Packaging Finance PLC (b):  
                                                             
9.13%, 10/15/20
      
 
         200             213,500     
9.13%, 10/15/20
      
 
         200             212,500     
Berry Plastics Corp., 9.75%, 1/15/21
      
 
         85             98,388     
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21
      
 
         7             7,350     
GCL Holdings SCA, 9.38%, 4/15/18 (b)
      
EUR
         120             171,286     
Graphic Packaging International, Inc., 7.88%, 10/01/18
      
USD
         175             190,312     
Pactiv LLC, 7.95%, 12/15/25
      
 
         203             179,655     
Tekni-Plex, Inc., 9.75%, 6/01/19 (b)
      
 
         176             197,120     
 
      
 
                       1,270,111   
Distributors — 0.5%  
VWR Funding, Inc., 7.25%, 9/15/17
      
 
         605             629,200   
Diversified Consumer Services — 1.0%  
APX Group, Inc. (b):  
                                                             
6.38%, 12/01/19
      
 
         432             407,160     
8.75%, 12/01/20
      
 
         261             257,085     
Laureate Education, Inc., 9.25%, 9/01/19 (b)
      
 
         550             594,000     
 
      
 
                       1,258,245   
Diversified Financial Services — 5.4%  
Aircastle Ltd.:  
                                                             
6.75%, 4/15/17
      
 
         160             169,600     
6.25%, 12/01/19
      
 
         140             145,950     
Ally Financial, Inc.:  
                                                             
7.50%, 12/31/13
      
 
         330             335,775     
8.00%, 3/15/20
      
 
         130             149,663     
7.50%, 9/15/20
      
 
         88             99,000     
8.00%, 11/01/31
      
 
         1,502            1,727,300     
8.00%, 11/01/31
      
 
         86             97,503     
CNG Holdings, Inc., 9.38%, 5/15/20 (b)
      
 
         49             45,938     
DPL, Inc.:  
                                                             
6.50%, 10/15/16
      
 
         146             154,030     
7.25%, 10/15/21
      
 
         384             391,680     
                         
Corporate Bonds                 Par
(000)		      Value
Diversified Financial Services (concluded)  
General Motors Financial Co., Inc.:  
                                                             
6.75%, 6/01/18
      
USD
         140          $ 155,925     
4.25%, 5/15/23 (b)
      
 
         109             98,100     
Jefferies Finance LLC/JFIN Co-Issuer Corp.,
7.38%, 4/01/20 (b)
      
 
         210             207,900     
Leucadia National Corp., 8.13%, 9/15/15
      
 
         378             421,470     
Reynolds Group Issuer, Inc.:  
                                                             
7.13%, 4/15/19
      
 
         115             122,331     
9.00%, 4/15/19
      
 
         315             325,237     
7.88%, 8/15/19
      
 
         150             165,000     
9.88%, 8/15/19
      
 
         275             292,187     
5.75%, 10/15/20
      
 
         1,205            1,194,456     
WMG Acquisition Corp., 11.50%, 10/01/18
      
 
         340             391,850     
 
      
 
                       6,690,895   
Diversified Telecommunication Services — 3.7%  
Broadview Networks Holdings, Inc.,
10.50%, 11/15/17
      
 
         240             237,600     
CenturyLink, Inc., Series V, 5.63%, 4/01/20
      
 
         589             577,220     
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (b)
      
 
         180             165,600     
Consolidated Communications Finance Co.,
10.88%, 6/01/20
      
 
         150             172,500     
Frontier Communications Corp., 8.50%, 4/15/20
      
 
         225             245,812     
Level 3 Communications, Inc.:  
                                                             
6.50%, 10/01/16 (c)
      
 
         176             244,090     
8.88%, 6/01/19
      
 
         145             154,788     
Level 3 Financing, Inc.:  
                                                             
8.13%, 7/01/19
      
 
         967             1,022,602     
7.00%, 6/01/20
      
 
         192             193,440     
8.63%, 7/15/20
      
 
         844             903,080     
tw telecom holdings, Inc.:  
                                                             
5.38%, 10/01/22
      
 
         130             123,825     
5.38%, 10/01/22 (b)
      
 
         110             104,775     
Windstream Corp.:  
                                                             
7.88%, 11/01/17
      
 
         163             180,930     
7.75%, 10/15/20
      
 
         69             70,553     
6.38%, 8/01/23
      
 
         105             94,894     
 
      
 
                       4,491,709   
Electric Utilities — 0.4%  
Homer City Generation LP (e):  
                                                             
8.14%, 10/01/19
      
 
         65             65,325     
8.73%, 10/01/26
      
 
         95             96,425     
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17
      
 
         104             108,760     
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14
      
EUR
         200             263,864     
 
      
 
                       534,374   
Electrical Equipment — 0.5%  
Belden, Inc., 5.50%, 9/01/22 (b)
      
USD
         160             155,200     
General Cable Corp.:  
                                                             
5.75%, 10/01/22 (b)
      
 
         270             259,875     
4.50%, 11/15/29 (c)(f)
      
 
         200             219,125     
 
      
 
                       634,200   
Electronic Equipment, Instruments & Components — 0.2%  
CDW LLC/CDW Finance Corp., 8.50%, 4/01/19
      
 
         125             137,344     
Jabil Circuit, Inc., 8.25%, 3/15/18
      
 
         105             123,637     
 
      
 
                       260,981   
Energy Equipment & Services — 3.0%  
Atwood Oceanics, Inc., 6.50%, 2/01/20
      
 
         65             69,550     
Calfrac Holdings LP, 7.50%, 12/01/20 (b)
      
 
         185             186,387     
CGG (FKA Compagnie Generale de Geophysique Veritas):  
                                                             
7.75%, 5/15/17
      
 
         170             174,250     
6.50%, 6/01/21
      
 
         595             602,437     
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b)
      
 
         355             378,962     

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 67
 
  
Schedule of Investments (continued)   BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Energy Equipment & Services (concluded)  
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21
      
USD
         22          $ 21,670     
Gulfmark Offshore, Inc., 6.38%, 3/15/22
      
 
         70             70,875     
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20
      
 
         140             141,750     
MEG Energy Corp., 6.50%, 3/15/21 (b)
      
 
         233             237,077     
Oil States International, Inc.:  
                                                             
6.50%, 6/01/19
      
 
         291             307,005     
5.13%, 1/15/23 (b)
      
 
         145             158,413     
Peabody Energy Corp.:  
                                                             
6.00%, 11/15/18
      
 
         86             85,570     
6.25%, 11/15/21
      
 
         509             491,185     
7.88%, 11/01/26
      
 
         170             169,575     
4.75%, 12/15/41 (c)
      
 
         185             143,144     
Precision Drilling Corp.:  
                                                             
6.63%, 11/15/20
      
 
         35             36,838     
6.50%, 12/15/21
      
 
         80             83,600     
Rain CII Carbon LLC/CII Carbon Corp.,
8.25%, 1/15/21 (b)
      
 
         200             200,000     
Tervita Corp., 8.00%, 11/15/18 (b)
      
 
         119             118,703     
 
      
 
                         3,676,991   
Food & Staples Retailing — 0.3%  
Rite Aid Corp.:  
                                                             
9.25%, 3/15/20
      
 
         165             186,656     
6.75%, 6/15/21 (b)
      
 
         176             178,200     
 
      
 
                       364,856   
Food Products — 0.6%  
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (b)
      
 
         168             156,240     
Post Holdings, Inc., 7.38%, 2/15/22
      
 
         255             269,025     
Smithfield Foods, Inc., 6.63%, 8/15/22
      
 
         205             210,125     
Sun Merger Sub, Inc., 5.25%, 8/01/18 (b)
      
 
         90             90,338     
 
      
 
                       725,728   
Health Care Equipment & Supplies — 3.6%  
Biomet, Inc.:  
                                                             
6.50%, 8/01/20
      
 
         1,962            2,011,050     
6.50%, 10/01/20
      
 
         972             969,570     
DJO Finance LLC/DJO Finance Corp.:  
                                                             
8.75%, 3/15/18
      
 
         168             181,860     
7.75%, 4/15/18
      
 
         50             49,125     
9.88%, 4/15/18
      
 
         244             256,200     
Fresenius Medical Care US Finance, Inc.,
5.75%, 2/15/21 (b)
      
 
         120             122,400     
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b)
      
 
         505             562,444     
Kinetic Concepts, Inc./KCI USA, Inc.,
12.50%, 11/01/19
      
 
         102             106,207     
Teleflex, Inc., 6.88%, 6/01/19
      
 
         130             136,500     
 
      
 
                       4,395,356   
Health Care Providers & Services — 6.4%  
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19
      
 
         255             272,850     
CHS/Community Health Systems, Inc.:  
                                                             
5.13%, 8/15/18
      
 
         395             403,888     
8.00%, 11/15/19
      
 
         48             50,400     
7.13%, 7/15/20
      
 
         299             301,990     
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b)
      
EUR
         200             281,511     
Crown Newco 3 PLC, 7.00%, 2/15/18 (b)
      
GBP
         200             316,449     
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22
      
USD
         393             389,070     
HCA Holdings, Inc., 6.25%, 2/15/21
      
 
         360             360,900     
HCA, Inc.:  
                                                             
8.50%, 4/15/19
      
 
         60             64,800     
6.50%, 2/15/20
      
 
         682             732,297     
7.88%, 2/15/20
      
 
         40             43,150     
7.25%, 9/15/20
      
 
         940             1,023,425     
5.88%, 3/15/22
      
 
         180             185,850     
4.75%, 5/01/23
      
 
         360             336,150     
                         
Corporate Bonds                 Par
(000)		      Value
Health Care Providers & Services (concluded)  
Health Management Associates, Inc., 7.38%, 1/15/20
      
USD
         90          $ 100,575     
Hologic, Inc., 6.25%, 8/01/20
      
 
         541             563,992     
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19
      
 
         42             43,995     
inVentiv Health, Inc., 9.00%, 1/15/18 (b)
      
 
         280             285,600     
Omnicare, Inc., 3.75%, 4/01/42 (c)
      
 
         243             336,707     
Symbion, Inc., 8.00%, 6/15/16
      
 
         155             162,750     
Tenet Healthcare Corp.:  
                                                             
6.25%, 11/01/18
      
 
         522             551,363     
6.75%, 2/01/20
      
 
         230             225,400     
4.38%, 10/01/21 (b)
      
 
         327             296,753     
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/01/19
      
 
         467             499,690     
 
      
 
                         7,829,555   
Health Care Technology — 1.1%  
IMS Health, Inc. (b):  
                                                             
12.50%, 3/01/18
      
 
         1,125            1,327,500     
6.00%, 11/01/20
      
 
         63             64,654     
 
      
 
                       1,392,154   
Hotels, Restaurants & Leisure — 1.9%  
Caesars Entertainment Operating Co., Inc.,
10.00%, 12/15/15
      
 
         389             342,320     
Carlson Wagonlit BV, 6.88%, 6/15/19 (b)
      
 
         200             203,000     
Diamond Resorts Corp., 12.00%, 8/15/18
      
 
         610             677,100     
Isle of Capri Casinos, Inc.:  
                                                             
7.75%, 3/15/19
      
 
         20             20,650     
5.88%, 3/15/21
      
 
         94             86,950     
MTR Gaming Group, Inc., 11.50%, 8/01/19 (e)
      
 
         120             126,943     
PNK Finance Corp., 6.38%, 8/01/21 (b)
      
 
         215             214,462     
Regal Entertainment Group, 5.75%, 2/01/25
      
 
         38             34,960     
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)
      
 
         200             189,000     
Station Casinos LLC, 7.50%, 3/01/21
      
 
         102             105,060     
Travelport LLC/Travelport Holdings, Inc. (b):  
                                                             
6.39%, 3/01/16 (g)
      
 
         42             40,846     
11.88%, 9/01/16
      
 
         15             14,966     
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(h)
      
 
         215             —      
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22
      
 
         302             298,225     
 
      
 
                       2,354,482   
Household Durables — 2.8%  
Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (b)
      
 
         98             97,020     
Beazer Homes USA, Inc., 6.63%, 4/15/18
      
 
         15             15,806     
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (b)
      
 
         180             184,050     
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b)
      
 
         125             123,438     
Jarden Corp.:  
                                                             
1.88%, 9/15/18 (b)(c)
      
 
         100             112,813     
7.50%, 1/15/20
      
EUR
         140             195,219     
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (b)
      
USD
         415             437,825     
Libbey Glass, Inc., 6.88%, 5/15/20
      
 
         127             135,731     
Pulte Group, Inc., 6.38%, 5/15/33
      
 
         85             76,075     
The Ryland Group, Inc., 6.63%, 5/01/20
      
 
         160             166,000     
Standard Pacific Corp.:  
                                                             
10.75%, 9/15/16
      
 
         890             1,056,875     
8.38%, 1/15/21
      
 
         440             492,800     
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (b):  
                                                             
7.75%, 4/15/20
      
 
         125             136,562     
5.25%, 4/15/21
      
 
         114             107,730     
William Lyon Homes, Inc., 8.50%, 11/15/20
      
 
         130             137,800     
 
      
 
                       3,475,744   

See Notes to Financial Statements.

68 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Household Products — 0.8%  
Ontex IV SA, 7.50%, 4/15/18 (b)
      
EUR
         100          $ 138,794     
Spectrum Brands Escrow Corp. (b):  
                                                             
6.38%, 11/15/20
      
USD
         167             172,845     
6.63%, 11/15/22
      
 
         110             112,750     
Spectrum Brands, Inc.:  
                                                             
9.50%, 6/15/18
      
 
         430             473,000     
6.75%, 3/15/20
      
 
         43             45,365     
 
      
 
                       942,754   
Independent Power Producers & Energy Traders — 4.3%  
                                   
Calpine Corp., 7.50%, 2/15/21 (b)
      
 
         20             21,200     
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:  
                                                             
6.88%, 8/15/17 (b)
      
 
         181             183,036     
10.00%, 12/01/20 (b)
      
 
         980             1,030,225     
10.00%, 12/01/20
      
 
         2,280            2,402,550     
GenOn REMA LLC:  
                                                             
Series B, 9.24%, 7/02/17
      
 
         55             56,836     
Series C, 9.68%, 7/02/26
      
 
         135             143,100     
Laredo Petroleum, Inc.:  
                                                             
9.50%, 2/15/19
      
 
         340             378,250     
7.38%, 5/01/22
      
 
         165             174,075     
NRG Energy, Inc., 7.63%, 1/15/18
      
 
         740             819,550     
QEP Resources, Inc., 5.38%, 10/01/22
      
 
         148             141,340     
 
      
 
                         5,350,162   
Industrial Conglomerates — 0.2%  
Sequa Corp., 7.00%, 12/15/17 (b)
      
 
         200             200,000   
Insurance — 0.7%  
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b)
      
 
         499             510,228     
CNO Financial Group, Inc., 6.38%, 10/01/20 (b)
      
 
         98             102,410     
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)
      
 
         292             300,760     
 
      
 
                       913,398   
Internet Software & Services — 0.2%  
Bankrate, Inc., 6.13%, 8/15/18 (b)
      
 
         124             122,605     
Equinix, Inc., 4.88%, 4/01/20
      
 
         64             61,600     
VeriSign, Inc., 4.63%, 5/01/23 (b)
      
 
         125             116,875     
 
      
 
                       301,080   
IT Services — 4.2%  
Ceridian Corp.:  
                                                             
11.25%, 11/15/15
      
 
         55             55,688     
8.88%, 7/15/19 (b)
      
 
         830             933,750     
11.00%, 3/15/21 (b)
      
 
         615             710,325     
Epicor Software Corp., 8.63%, 5/01/19
      
 
         230             242,650     
First Data Corp. (b):  
                                                             
7.38%, 6/15/19
      
 
         1,118            1,159,925     
6.75%, 11/01/20
      
 
         377             385,482     
10.63%, 6/15/21
      
 
         173             171,919     
11.75%, 8/15/21
      
 
         153             143,055     
SunGard Data Systems, Inc.:  
                                                             
7.38%, 11/15/18
      
 
         250             265,625     
6.63%, 11/01/19
      
 
         904             917,560     
WEX, Inc., 4.75%, 2/01/23 (b)
      
 
         214             194,740     
 
      
 
                       5,180,719   
Machinery — 0.4%  
DH Services Luxembourg Sarl, 7.75%, 12/15/20 (b)
      
 
         40             41,300     
Navistar International Corp., 8.25%, 11/01/21
      
 
         246             244,462     
SPX Corp., 6.88%, 9/01/17
      
 
         80             88,600     
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (b)
      
 
         79             77,223     
 
      
 
                       451,585   
Media — 9.1%  
AMC Networks, Inc.:  
                                                             
7.75%, 7/15/21
      
 
         100             110,500     
4.75%, 12/15/22
      
 
         127             119,063     
Cablevision Systems Corp., 5.88%, 9/15/22
      
 
         250             238,750     
                         
Corporate Bonds                 Par
(000)		      Value
Media (concluded)  
CCO Holdings LLC/CCO Holdings Capital Corp.:  
                                                             
5.25%, 9/30/22
      
USD
         711          $ 648,787     
5.13%, 2/15/23
      
 
         420             376,950     
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(b)(h)
      
 
         293             214,622     
Checkout Holding Corp., 9.92%, 11/15/15 (b)(d)
      
 
         207             167,153     
Cinemark USA, Inc., 5.13%, 12/15/22
      
 
         110             102,850     
Clear Channel Communications, Inc.:  
                                                             
9.00%, 12/15/19
      
 
         359             345,537     
9.00%, 3/01/21
      
 
         520             494,000     
Clear Channel Worldwide Holdings, Inc.:  
                                                             
6.50%, 11/15/22
      
 
         271             268,967     
Series B, 6.50%, 11/15/22
      
 
         902             902,000     
Series B, 7.63%, 3/15/20
      
 
         425             426,062     
DISH DBS Corp.:  
                                                             
4.25%, 4/01/18
      
 
         524             516,140     
5.13%, 5/01/20
      
 
         338             327,015     
5.88%, 7/15/22
      
 
         450             441,000     
Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (b)
      
 
         140             151,900     
Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (b)
      
 
         350             324,625     
Intelsat Luxembourg SA, 6.75%, 6/01/18 (b)
      
 
         800             828,000     
Live Nation Entertainment, Inc., 8.13%, 5/15/18 (b)
      
 
         335             365,991     
The McClatchy Co., 9.00%, 12/15/22
      
 
         52             54,860     
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b)
      
 
         232             251,302     
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)
      
 
         155             156,938     
Nielsen Finance LLC/Nielsen Finance Co.:  
                                                             
11.63%, 2/01/14
      
 
         72             74,974     
7.75%, 10/15/18
      
 
         517             562,237     
Odeon & UCI Finco PLC, 9.00%, 8/01/18 (b)
      
GBP
         100             159,619     
ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (b)
      
USD
         82             82,410     
ProtoStar I Ltd., 18.00%, 10/15/13 (a)(b)(c)(h)
      
 
         1,427            714     
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b)
      
 
         110             108,900     
Sterling Entertainment Corp., 10.00%, 12/15/19
      
 
         375             375,000     
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
                                                             
7.50%, 3/15/19
      
EUR
         304             434,929     
9.63%, 12/01/19
      
 
         100             146,373     
9.50%, 3/15/21
      
 
         190             284,951     
Univision Communications, Inc. (b):  
                                                             
8.50%, 5/15/21
      
USD
         123             133,148     
6.75%, 9/15/22
      
 
         14             14,525     
5.13%, 5/15/23
      
 
         131             123,631     
UPC Holding BV, 9.88%, 4/15/18 (b)
      
 
         200             217,000     
UPCB Finance II Ltd., 6.38%, 7/01/20 (b)
      
EUR
         371             514,285     
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)
      
USD
         155             160,425     
 
      
 
                        11,226,133   
Metals & Mining — 3.5%  
ArcelorMittal:  
                                                             
9.50%, 2/15/15
      
 
         295             323,762     
4.25%, 8/05/15
      
 
         129             132,870     
4.25%, 3/01/16
      
 
         50             51,000     
5.00%, 2/25/17
      
 
         160             163,600     
6.13%, 6/01/18
      
 
         141             145,230     
FMG Resources August 2006 Property Ltd. (b):  
                                                             
6.38%, 2/01/16
      
 
         435             445,670     
6.00%, 4/01/17
      
 
         582             592,185     
Global Brass & Copper, Inc., 9.50%, 6/01/19 (b)
      
 
         130             141,700     
Kaiser Aluminum Corp., 8.25%, 6/01/20
      
 
         100             111,500     
Novelis, Inc., 8.75%, 12/15/20
      
 
         1,525            1,658,437     
Steel Dynamics, Inc., 6.38%, 8/15/22
      
 
         105             109,463     
Taseko Mines Ltd., 7.75%, 4/15/19
      
 
         190             187,150     
Vedanta Resources PLC, 8.25%, 6/07/21 (b)
      
 
         200             188,000     
 
      
 
                       4,250,567   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 69
 
  
Schedule of Investments (continued)   BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Multiline Retail — 0.5%  
Dollar General Corp., 4.13%, 7/15/17
      
USD
         351          $     368,588   
Dufry Finance SCA, 5.50%, 10/15/20 (b)
      
 
         200             204,110     
 
      
 
                       572,698   
Oil, Gas & Consumable Fuels — 9.2%  
Access Midstream Partners LP/ACMP Finance Corp.:
                                                             
5.88%, 4/15/21
      
 
         126             129,465     
6.13%, 7/15/22
      
 
         120             123,300     
4.88%, 5/15/23
      
 
         193             179,490     
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (c)
      
 
         450             412,594     
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (b)
      
 
         81             81,810     
Aurora USA Oil & Gas, Inc. (b):  
                                                             
9.88%, 2/15/17
      
 
         100             105,500     
7.50%, 4/01/20
      
 
         140             138,600     
Bonanza Creek Energy, Inc., 6.75%, 4/15/21
      
 
         37             37,648     
BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, 4/15/22
      
 
         115             113,850     
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20
      
 
         107             112,885     
Chaparral Energy, Inc., 7.63%, 11/15/22
      
 
         95             95,237     
Chesapeake Energy Corp.:  
                                                             
7.25%, 12/15/18
      
 
         50             56,625     
6.63%, 8/15/20
      
 
         37             39,683     
6.88%, 11/15/20
      
 
         123             133,147     
6.13%, 2/15/21
      
 
         35             36,400     
2.50%, 5/15/37 (c)
      
 
         101             99,169     
Concho Resources, Inc.:  
                                                             
7.00%, 1/15/21
      
 
         40             43,900     
6.50%, 1/15/22
      
 
         133             140,980     
5.50%, 10/01/22
      
 
         158             154,445     
5.50%, 4/01/23
      
 
         33             32,010     
CONSOL Energy, Inc.:  
                                                             
8.00%, 4/01/17
      
 
         178             187,790     
8.25%, 4/01/20
      
 
         135             143,100     
Continental Resources, Inc., 7.13%, 4/01/21
      
 
         170             186,150     
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18
      
 
         65             69,063     
CrownRock LP/CrownRock Finance, Inc.,
7.13%, 4/15/21 (b)
      
 
         147             145,530     
Denbury Resources, Inc., 4.63%, 7/15/23
      
 
         334             298,095     
Energy XXI Gulf Coast, Inc.:  
                                                             
9.25%, 12/15/17
      
 
         210             233,625     
7.75%, 6/15/19
      
 
         245             254,800     
EP Energy LLC/EP Energy Finance, Inc., 9.38%, 5/01/20
      
 
         95             104,500     
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
      
 
         155             164,687     
EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19
      
 
         70             70,000     
Halcon Resources Corp., 8.88%, 5/15/21
      
 
         179             179,447     
Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (b)
      
 
         124             132,060     
Kodiak Oil & Gas Corp.:  
                                                             
8.13%, 12/01/19
      
 
         155             169,725     
5.50%, 2/01/22 (b)
      
 
         68             65,620     
Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21 (b)
      
 
         65             61,750     
Lightstream Resources Ltd. (FKA PetroBakken Energy Ltd.), 8.63%, 2/01/20 (b)
      
 
         124             117,800     
Linn Energy LLC/Linn Energy Finance Corp.:  
                                                             
6.50%, 5/15/19
      
 
         20             18,800     
6.25%, 11/01/19 (b)
      
 
         310             285,200     
8.63%, 4/15/20
      
 
         340             341,700     
7.75%, 2/01/21
      
 
         30             29,100     
                         
Corporate Bonds                 Par
(000)		      Value
Oil, Gas & Consumable Fuels (concluded)  
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:  
                                                             
6.25%, 6/15/22
      
USD
         84          $ 87,780     
4.50%, 7/15/23
      
 
         210             191,100     
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21
      
 
         85             82,025     
Newfield Exploration Co., 6.88%, 2/01/20
      
 
         350             366,625     
Northern Oil & Gas, Inc., 8.00%, 6/01/20
      
 
         140             142,100     
Oasis Petroleum, Inc.:  
                                                             
7.25%, 2/01/19
      
 
         90             95,400     
6.50%, 11/01/21
      
 
         135             141,750     
Offshore Group Investment Ltd., 7.13%, 4/01/23
      
 
         180             173,250     
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20
      
 
         43             43,968     
PDC Energy, Inc., 7.75%, 10/15/22
      
 
         90             94,500     
Penn Virginia Corp., 8.50%, 5/01/20
      
 
         83             83,000     
Petrobras Global Finance BV, 3.00%, 1/15/19
      
 
         149             137,052     
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)
      
 
         465             509,175     
Range Resources Corp.:  
                                                             
8.00%, 5/15/19
      
 
         170             182,750     
6.75%, 8/01/20
      
 
         53             57,108     
5.75%, 6/01/21
      
 
         441             461,947     
5.00%, 8/15/22
      
 
         144             140,760     
5.00%, 3/15/23
      
 
         73             71,358     
Regency Energy Partners LP/Regency Energy Finance Corp., 6.88%, 12/01/18
      
 
         48             51,480     
Rosetta Resources, Inc., 5.63%, 5/01/21
      
 
         114             110,010     
Sabine Pass Liquefaction LLC (b):  
                                                             
5.63%, 2/01/21
      
 
         455             434,525     
5.63%, 4/15/23
      
 
         143             132,632     
Sabine Pass LNG LP:  
                                                             
7.50%, 11/30/16
      
 
         815             897,519     
6.50%, 11/01/20 (b)
      
 
         140             140,700     
SandRidge Energy, Inc.:  
                                                             
8.75%, 1/15/20
      
 
         15             15,675     
7.50%, 2/15/23
      
 
         139             134,482     
SESI LLC, 6.38%, 5/01/19
      
 
         92             96,830     
SM Energy Co.:  
                                                             
6.63%, 2/15/19
      
 
         95             99,275     
6.50%, 11/15/21
      
 
         115             120,750     
6.50%, 1/01/23
      
 
         135             139,050     
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (b)
      
 
         120             121,800     
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (b)
      
 
         68             67,830     
Vanguard Natural Resources LLC/VNR Finance Corp., 7.88%, 4/01/20
      
 
         120             121,500     
 
      
 
                        11,270,986   
Paper & Forest Products — 0.7%  
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (b)
      
 
         210             221,550     
Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20
      
 
         50             53,625     
Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17
      
 
         25             26,313     
Clearwater Paper Corp.:  
                                                             
7.13%, 11/01/18
      
 
         270             290,250     
4.50%, 2/01/23
      
 
         20             18,100     
NewPage Corp., 11.38%, 12/31/14 (a)(h)
      
 
         918             —      
Sappi Papier Holding GmbH (b):  
                                                             
8.38%, 6/15/19
      
 
         200             209,000     
6.63%, 4/15/21
      
 
         65             60,450     
 
      
 
                       879,288   
Pharmaceuticals — 1.2%  
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b)
      
EUR
         100             146,043     
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b)
      
USD
         174             196,620     

See Notes to Financial Statements.

70 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Pharmaceuticals (concluded)  
Valeant Pharmaceuticals International (b):  
                                                             
6.88%, 12/01/18
      
USD
         393          $ 416,580     
6.38%, 10/15/20
      
 
         121             122,966     
VPII Escrow Corp., 6.75%, 8/15/18 (b)
      
 
         548             580,195     
 
      
 
                       1,462,404   
Professional Services — 0.2%  
Truven Health Analytics, Inc., 10.63%, 6/01/20
      
 
         220             233,750   
Real Estate Investment Trusts (REITs) — 0.9%  
Cantor Commercial Real Estate Co. LP/CCRE Finance Corp., 7.75%, 2/15/18 (b)
      
 
         122             124,745     
Felcor Lodging LP:  
                                                             
6.75%, 6/01/19
      
 
         463             484,992     
5.63%, 3/01/23
      
 
         112             104,160     
Host Hotels & Resorts LP, 2.50%, 10/15/29 (b)(c)
      
 
         195             265,688     
iStar Financial, Inc., 4.88%, 7/01/18
      
 
         173             167,810     
 
      
 
                       1,147,395   
Real Estate Management & Development — 2.0%  
CBRE Services, Inc., 6.63%, 10/15/20
      
 
         160             170,000     
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (b)
      
 
         375             403,125     
Realogy Corp. (b):  
                                                             
7.88%, 2/15/19
      
 
         560             609,000     
7.63%, 1/15/20
      
 
         220             246,400     
9.00%, 1/15/20
      
 
         145             167,475     
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (b)
      
 
         145             143,913     
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19
      
 
         635             696,912     
 
      
 
                       2,436,825   
Road & Rail — 1.0%  
The Hertz Corp.:  
                                                             
7.50%, 10/15/18
      
 
         360             388,800     
6.75%, 4/15/19
      
 
         130             138,612     
5.88%, 10/15/20
      
 
         40             41,050     
7.38%, 1/15/21
      
 
         450             486,000     
6.25%, 10/15/22
      
 
         115             117,012     
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b)
      
 
         85             83,938     
 
      
 
                       1,255,412   
Semiconductors & Semiconductor Equipment — 0.2%  
                                   
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b)
      
 
         200             200,000   
Software — 1.8%  
Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (b)(e)
      
 
         142             144,130     
IAC/InterActiveCorp, 4.75%, 12/15/22
      
 
         183             168,818     
Igloo Holdings Corp., 8.25%, 12/15/17 (b)(e)
      
 
         130             132,925     
Infor US, Inc., 9.38%, 4/01/19
      
 
         1,030            1,145,875     
Interface Security Systems Holdings, Inc./Interface Security Systems LLC, 9.25%, 1/15/18 (b)
      
 
         64             66,080     
Nuance Communications, Inc.:  
                                                             
5.38%, 8/15/20 (b)
      
 
         250             238,125     
2.75%, 11/01/31 (c)
      
 
         145             149,259     
Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (b)
      
 
         198             214,830     
 
      
 
                       2,260,042   
Specialty Retail — 2.2%  
Asbury Automotive Group, Inc., 8.38%, 11/15/20
      
 
         165             182,325     
Claire’s Stores, Inc., 9.00%, 3/15/19 (b)
      
 
         280             311,850     
CST Brands, Inc., 5.00%, 5/01/23 (b)
      
 
         160             152,000     
House of Fraser Funding PLC, 8.88%, 8/15/18 (b)
      
GBP
         129             211,596     
Limited Brands, Inc., 8.50%, 6/15/19
      
USD
         70             82,687     
Michaels Stores, Inc., 7.75%, 11/01/18
      
 
         103             110,854     
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (b)(e)
      
 
         94             96,585     
                         
Corporate Bonds                 Par
(000)		      Value
Specialty Retail (concluded)  
Party City Holdings, Inc., 8.88%, 8/01/20 (b)
      
USD
         620          $ 664,175     
PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75%, 8/15/19 (b)(e)
      
 
         121             119,639     
Penske Automotive Group, Inc., 5.75%, 10/01/22
      
 
         144             142,560     
QVC, Inc., 7.38%, 10/15/20 (b)
      
 
         130             141,251     
Sally Holdings LLC/Sally Capital, Inc.:  
                                                             
6.88%, 11/15/19
      
 
         245             267,050     
5.75%, 6/01/22
      
 
         223             223,279     
 
      
 
                       2,705,851   
Textiles, Apparel & Luxury Goods — 0.5%  
Levi Strauss & Co., 6.88%, 5/01/22
      
 
         195             207,187     
PVH Corp., 4.50%, 12/15/22
      
 
         111             102,814     
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (b)
      
 
         216             213,300     
The William Carter Co., 5.25%, 8/15/21 (b)
      
 
         110             110,550     
 
      
 
                       633,851   
Thrifts & Mortgage Finance — 0.3%  
MGIC Investment Corp., 2.00%, 4/01/20 (c)
      
 
         22             27,665     
Radian Group, Inc. (c):  
                                                             
3.00%, 11/15/17
      
 
         25             34,609     
2.25%, 3/01/19
      
 
         171             244,530     
 
      
 
                       306,804   
Trading Companies & Distributors — 0.8%  
Air Lease Corp., 4.50%, 1/15/16
      
 
         260             270,400     
Ashtead Capital, Inc., 6.50%, 7/15/22 (b)
      
 
         215             227,363     
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust (b):  
                                                             
Series 2012-1, Class A, 5.13%, 11/30/24
      
 
         252             248,334     
Series 2012-1, Class B, 6.50%, 5/30/21
      
 
         226             227,910     
 
      
 
                       974,007   
Transportation Infrastructure — 0.4%  
Aguila 3 SA, 7.88%, 1/31/18 (b)
      
 
         198             207,405     
Jack Cooper Holdings Corp., 9.25%, 6/01/20 (b)
      
 
         315             322,875     
 
      
 
                       530,280   
Wireless Telecommunication Services — 3.4%  
Crown Castle International Corp., 5.25%, 1/15/23
      
 
         469             443,205     
Digicel Group Ltd., 8.25%, 9/30/20 (b)
      
 
         245             259,700     
Digicel Ltd., 6.00%, 4/15/21 (b)
      
 
         780             752,700     
MetroPCS Wireless, Inc., 6.63%, 11/15/20
      
 
         234             242,775     
NII Capital Corp., 7.63%, 4/01/21
      
 
         152             116,280     
Phones4u Finance PLC, 9.50%, 4/01/18 (b)
      
GBP
         130             208,512     
Sprint Capital Corp., 6.88%, 11/15/28
      
USD
         558             503,595     
Sprint Communications, Inc. (FKA Sprint Nextel Corp.) (b):  
                                                             
9.00%, 11/15/18
      
 
         1,251            1,460,543     
7.00%, 3/01/20
      
 
         90             96,750     
T-Mobile USA, Inc., 5.25%, 9/01/18 (b)
      
 
         155             156,550     
 
      
 
                       4,240,610     
Total Corporate Bonds — 103.6%
      
 
                       127,550,353   
Floating Rate Loan Interests (g)
      
  
                              
Airlines — 1.1%  
Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18
      
 
         211             210,895     
Northwest Airlines, Inc., Term Loan:  
                                                             
2.30%, 3/10/17
      
 
         275             254,218     
2.30%, 3/10/17
      
 
         276             255,040     
1.68%, 9/10/18
      
 
         233             206,069     
1.68%, 9/10/18
      
 
         231             204,447     
1.68%, 9/10/18
      
 
         229             202,824     
 
      
 
                       1,333,493     

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 71
 
  
Schedule of Investments (continued)   BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (g)                 Par
(000)		      Value
Auto Components — 1.1%  
Federal-Mogul Corp.:  
                                                             
Term Loan B, 2.12% – 2.13%, 12/29/14
      
USD
         886          $ 862,327     
Term Loan C, 2.12% – 2.13%, 12/28/15
      
 
         418             406,563     
Schaeffler AG, Term Loan C, 4.25%, 1/27/17
      
 
         95             95,147     
 
      
 
                         1,364,037   
Building Products — 0.1%  
Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19
      
 
         184             182,503   
Capital Markets — 0.8%  
American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16
      
 
         618             620,309     
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17
      
 
         150             149,344     
Nuveen Investments, Inc.:  
                                                             
2nd Lien Term Loan, 6.50%, 2/28/19
      
 
         150             149,125     
Term Loan, 4.18%, 5/15/17
      
 
         54             53,640     
 
      
 
                       972,418   
Chemicals — 0.0%  
MacDermid, Inc., 2nd Lien Term Loan, 7.75%, 12/07/20
      
 
         25             25,250     
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20
      
 
         25             25,100     
 
      
 
                       50,350   
Commercial Services & Supplies — 0.5%  
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16
      
 
         185             185,134     
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17
      
 
         110             110,344     
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18
      
 
         185             184,034     
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
      
 
         110             110,104     
 
      
 
                       589,616   
Communications Equipment — 1.3%  
Alcatel-Lucent USA, Inc., Term Loan C, 5.75%, 1/30/19
      
 
         950             954,093     
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18
      
 
         57             53,381     
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.50%, 7/02/19
      
 
         628             629,731     
 
      
 
                       1,637,205   
Construction Materials — 0.3%  
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17
      
 
         400             401,189   
Containers & Packaging — 0.1%  
Tekni-Plex, Inc., Term Loan B, 5.50% – 6.50%, 8/25/19
      
 
         115             114,425   
Diversified Consumer Services — 0.3%  
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18
      
 
         64             63,779     
ServiceMaster Co.:  
                                                             
Extended Term Loan, 4.44%, 1/31/17
      
 
         70             67,997     
Term Loan, 4.25%, 1/31/17
      
 
         199             192,931     
 
      
 
                       324,707   
Diversified Telecommunication Services — 0.7%  
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
      
 
         401             401,602     
Level 3 Financing, Inc.:  
                                                             
2016 Term Loan B, 4.00%, 1/15/20
      
 
         160             159,867     
2019 Term Loan B, 4.00%, 8/01/19
      
 
         120             119,776     
Term Loan, 4.75%, 8/01/19
      
 
         220             219,769     
 
      
 
                       901,014   
Energy Equipment & Services — 0.1%  
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
      
 
         75             74,500   
                         
Floating Rate Loan Interests (g)                 Par
(000)		      Value
Food & Staples Retailing — 0.0%  
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
      
USD
         45        $ 46,111   
Food Products — 0.1%  
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17
      
 
         95             95,323   
Health Care Equipment & Supplies — 0.4%  
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19
      
 
         346             344,342     
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18
      
 
         124             122,512     
 
      
 
                       466,854   
Health Care Providers & Services — 0.2%  
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17
      
 
         102             105,096     
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16
      
 
         166             161,569     
 
      
 
                       266,665   
Hotels, Restaurants & Leisure — 4.4%  
Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20
      
 
         195             194,635     
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
      
 
         185             185,229     
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20
      
 
         510             508,725     
Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14
      
 
         3,207            3,051,461     
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
      
 
         228             227,250     
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
      
 
         240             240,598     
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19
      
 
         280             280,818     
Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20
      
 
         404             406,682     
Travelport LLC/Travelport Holdings, Inc.:  
                                                             
2nd Lien PIK Term Loan 2, 8.38%, 12/01/16 (e)
      
 
         201             200,839     
2nd Lien Term Loan 1, 9.50%, 1/29/16
      
 
         50             51,672     
Refinancing Term Loan, 6.25%, 6/26/19
      
 
         125             126,188     
 
      
 
                       5,474,097   
Industrial Conglomerates — 0.2%  
Sequa Corp., Term Loan B, 5.25%, 6/19/17
      
 
         252             253,115   
Insurance — 0.1%  
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19
      
 
         144             144,727   
IT Services — 0.4%  
Ceridian Corp., Term Loan B, 4.43%, 5/09/17
      
 
         130             129,865     
First Data Corp., Extended 2018 Term Loan B, 4.18%, 3/23/18
      
 
         355             351,251     
 
      
 
                       481,116   
Life Sciences Tools & Services — 0.1%  
Patheon, Inc., Term Loan, 7.25%, 12/06/18
      
 
         89             89,995   
Machinery — 1.3%  
Gardner Denver, Inc.:  
                                                             
EUR Term Loan, 4.75%, 7/30/20
      
EUR
         575             757,906     
USD Term Loan, 4.25%, 7/30/20
      
USD
         525             522,292     
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20
      
 
         314             310,770     
 
      
 
                       1,590,968   
Media — 1.6%  
Cengage Learning Acquisitions, Inc.:  
                                                             
Non-Extended Term Loan, 4.75%, 7/03/14
      
 
         138             98,360     
Tranche 1 Incremental, 6.00%, 7/03/14
      
 
         688             485,639     

See Notes to Financial Statements.

72 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock High Income Shares (HIS)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (g)                 Par
(000)		      Value
Media (concluded)  
Clear Channel Communications, Inc.:  
                                                             
Term Loan B, 3.83%, 1/29/16
      
USD
         62          $ 57,445     
Term Loan C, 3.83%, 1/29/16
      
 
         45             41,287     
Term Loan D, 6.93%, 1/30/19
      
 
         670             614,814     
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18
      
 
         194             194,168     
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
      
 
         13             12,973     
Harron Communications Corp., Refinancing Term Loan B, 3.50%, 6/19/20
      
 
         250             250,207     
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20
      
 
         95             97,375     
Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20
      
 
         110             109,308     
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/08/20
      
 
         50             49,749     
 
      
 
                         2,011,325   
Metals & Mining — 0.8%  
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20
      
 
         379             387,579     
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17
      
 
         614             615,828     
 
      
 
                       1,003,407   
Oil, Gas & Consumable Fuels — 1.6%  
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17
      
 
         975             992,872     
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
      
 
         320             320,307     
Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18
      
 
         100             100,438     
Vantage Drilling Co.:  
                                                             
Term Loan, 6.25%, 10/26/17
      
 
         379             382,059     
Term Loan B, 5.75%, 3/22/19
      
 
         155             155,772     
 
      
 
                       1,951,448   
Pharmaceuticals — 0.5%  
OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20
      
 
         135             134,621     
Par Pharmaceutical, Refinancing Term Loan B, 4.25%, 9/30/19
      
 
         318             315,918     
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18
      
 
         138             137,611     
 
      
 
                       588,150   
Real Estate Investment Trusts (REITs) — 0.3%  
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17
      
 
         306             306,420   
Real Estate Management & Development — 0.2%  
Realogy Corp.:  
                                                             
Extended Letter of Credit, 4.45%, 10/10/16
      
 
         29             28,934     
Extended Term Loan, 4.50%, 3/05/20
      
 
         185             185,553     
 
      
 
                       214,487   
Road & Rail — 0.1%  
Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17
      
 
         118             117,364   
Software — 0.4%
BMC Software, Inc., Term Loan, 5.00%, 8/07/20
      
 
         55             54,885   
GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20
      
 
         25             25,375   
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18
      
 
         222             222,801   
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
      
 
         225             232,594   
 
      
 
                       535,655   
                         
Floating Rate Loan Interests (g)                 Par
(000)		      Value
Specialty Retail — 0.3%
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19
      
USD
         234          $ 235,050   
Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19
      
 
         110             109,704   
 
      
 
                       344,754   
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
      
 
         504             482,221   
Thrifts & Mortgage Finance — 0.2%
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18
      
 
         259             261,814   
Total Floating Rate Loan Interests — 20.0%
      
 
                       24,671,473   
Preferred Securities
      
  
                              
Preferred Stocks
      
 
         Shares                  
Auto Components — 0.9%
Dana Holding Corp., Series B, 4.00% (b)(c)
      
 
         6,200            1,089,263   
Diversified Financial Services — 0.8%
Ally Financial, Inc., Series G, 7.00% (b)
      
 
         1,100            1,029,256   
Media — 0.1%
Emmis Communications Corp., Series A, 6.25% (c)
      
 
         10,300            139,050   
Total Preferred Stocks — 1.8%
      
 
                       2,257,569   
Trust Preferreds — 1.4%
      
  
                              
Diversified Financial Services — 1.4%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (g)
      
 
         66,510            1,756,425   
Total Preferred Securities — 3.2%
      
 
                       4,013,994   
Warrants — 0.0% (i)
      
  
                              
Software — 0.0%
HMH Holdings/EduMedia, (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)
      
 
         513             —    
Total Long-Term Investments
(Cost — $158,182,419) — 128.2%
      
 
                       157,976,576   
Short-Term Securities
      
  
                              
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (j)(k)
      
 
         1,687,499            1,687,499   
Total Short-Term Securities
(Cost — $1,687,499) — 1.4%
                    1,687,499   
Total Investments (Cost — $159,869,918) — 129.6%
                    159,664,075   
Liabilities in Excess of Other Assets — (29.6)%
      
 
                       (36,501,128 )  
Net Assets — 100.0%
      
 
                  $ 123,162,947   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 73
 
  
Schedule of Investments (continued)   BlackRock High Income Shares (HIS)
 

Notes to Schedule of Investments

(a)      
Non-income producing security.
(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)      
Convertible security.
(d)      
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(e)      
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(f)      
Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.  
(g)      
Variable rate security. Rate shown is as of report date.  
(h)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.  
(i)      
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.  
(j)      
Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate
   
 Shares
Held at
August 31, 2012
    
 Net
Activity
    
 Shares
Held at
August 31, 2013
    
 Income
    
 Realized Gain
BlackRock Liquidity Funds, TempFund, Institutional Class
      
—
   
1,687,499
   
1,687,499
   
$585
   
$33

(k)      
Represents the current yield as of report date.
•      
For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or 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.
•      
Financial futures contracts as of August 31, 2013 were as follows:

Contracts
Sold
Issue
Exchange
Expiration
Notional
Value
Unrealized
Appreciation
(Depreciation)
(43)  
S&P 500 E-Mini Index
   
Chicago Mercantile
   
September 2013
   
USD
    3,507,295   
$108,866
(5)  
2-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
    1,098,750   
(71)
(14)  
5-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
    1,675,516   
2,060
(9)  
10-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
    1,118,531   
(577)
Total
  
 
   
 
   
 
   
 
         
$110,278

•      
Foreign currency exchange contracts as of August 31, 2013 were as follows:

Currency Purchased
Currency Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
(Depreciation)
USD
      764,863   
EUR
    573,000   
Barclays Bank PLC
   
9/25/13
    $ 7,510   
USD
      2,839,160   
EUR
    2,113,000   
UBS AG
   
9/25/13
       46,336   
USD
      806,783   
GBP
    535,000   
Deutsche Bank AG
   
10/22/13
       (21,997 )  
Total
           
 
         
 
   
 
    $ 31,849   

•      
Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows:

Issuer
   
 Pay
Fixed
Rate
    
 Counterparty
    
 Expiration
Date
    
 Notional
Amount
(000)
    
 Market
Value
    
 Premiums
Paid
    
 Unrealized
Depreciation
    
RadioShack Corp.
      
5.00%
   
Deutsche Bank AG
   
9/20/18
   
USD
   
28
   
$7,075
   
$8,626
      $ (1,551 )  
RadioShack Corp.
      
5.00%
   
Deutsche Bank AG
   
9/20/18
   
USD
   
28
   
7,075
   
7,816
         (741 )  
RadioShack Corp.
      
5.00%
   
Deutsche Bank AG
   
9/20/18
   
USD
   
28
   
7,075
   
8,760
         (1,685 )  
 
      
 
   
 
   
 
   
 
   
 
   
 
   
 
                  
Total
      
 
   
 
   
 
   
 
   
 
   
$21,225
   
$25,202
      $ (3,977 )  

See Notes to Financial Statements.

74 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock High Income Shares (HIS)
 

•      
Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows:

Issuer/Index
 
 Receive
Fixed
Rate
  
 Counterparty
  
 Expiration
Date
  
 Credit
Rating1
  
 Notional
Amount
(000)2
  
 Market
Value
  
 Premiums
Received
  
 Unrealized
Appreciation
(Depreciation)
  
RadioShack Corp.
      
5.00%
  
Deutsche Bank AG
  
9/20/15
  
CCC
  
USD
  
28
    $ (3,003 )     $ (3,590 )     $ 587  
RadioShack Corp.
      
5.00%
  
Deutsche Bank AG
  
9/20/15
  
CCC
  
USD
  
28
     (3,003 )      (4,384 )      1,381  
RadioShack Corp.
      
5.00%
  
Deutsche Bank AG
  
9/20/15
  
CCC
  
USD
  
28
     (3,003 )      (4,378 )      1,375  
Markit CMBX North America AAA Index Series 3
      
0.50%
  
Citibank N.A.
  
12/13/49
  
BBB-
  
USD
  
65
     (7,392 )      (6,153 )      (1,239 ) 
Markit CMBX North America AAA Index Series 3
      
0.50%
  
Citibank N.A.
  
12/13/49
  
BBB-
  
USD
  
35
     (3,980 )      (3,291 )      (689 ) 
 
      
 
  
 
  
 
  
 
  
 
  
 
                        
Total
      
 
  
 
  
 
  
 
  
 
  
 
    $ (20,381 )     $ (21,796 )     $ 1,415  
1   Using S&P’s rating of the issuers or the underlying securities of the index, as applicable.
2   The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

•      
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 statement purposes as follows:

•      
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or 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 fair value hierarchy classification 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 instruments 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, please refer to Note 2 of the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013:

 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                                                 
Investments:
                                                                                 
Long-Term Investments:
                                                                                 
Common Stocks
            —          $ 676,981         $ 1,063,775         $ 1,740,756   
Corporate Bonds
            —             126,855,535            694,818            127,550,353   
Floating Rate Loan Interests
            —             20,982,501            3,688,972            24,671,473   
Preferred Securities
         $ 2,924,731            1,089,263            —             4,013,994   
Short-Term Securities
            1,687,499            —             —             1,687,499   
Unfunded Loan Commitment
            —             3,437            —             3,437   
Total
         $   4,612,230         $ 149,607,717         $   5,447,565         $ 159,667,512   
                                     
 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Derivative Financial Instruments3
                                                                                 
Assets:
                                                                           
Credit contracts
            —          $ 3,343            —          $ 3,343   
Equity contracts
         $ 108,866            —             —             108,866   
Foreign currency exchange contracts
           —             53,846            —             53,846   
Interest rate contracts
            2,060            —             —             2,060   
Liabilities:
                                                                           
Credit contracts
            —             (5,905 )           —             (5,905 )  
Foreign currency exchange contracts
           —             (21,997 )           —             (21,997 )  
Interest rate contracts
            (648 )           —             —             (648 )  
Total
         $    110,278         $     29,287            —          $    139,565   
3   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.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 75
 
  
Schedule of Investments (concluded)   BlackRock High Income Shares (HIS)
 
Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                                                 
Cash
        $ 198,460                                     $ 198,460   
Foreign currency at value
           21,318            —             —             21,318   
Cash pledged for financial futures contracts
           195,000            —             —             195,000   
Liabilities:
                                                                                 
Loan payable
            —          $ (37,000,000 )           —             (37,000,000 )  
Total
         $     414,778         $ (37,000,000 )           —          $ (36,585,222 )  
As of August 31, 2012, the Fund used other observable inputs in determining the value of certain equity securities. As of August 31, 2013, the Fund valued the same securities using unadjusted price quotations from an exchange. As a result, investments with a beginning of period value of $1,778,390 transferred from Level 2 to Level 1 in the disclosure hierarchy.
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year 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:

 
   
 Common
Stocks
    
 Corporate
Bonds
    
 Floating Rate
Loan Interests
    
 Total
Assets:
                                                                           
Opening Balance, as of August 31, 2012
        $ 663,716         $ 1,655,876         $ 4,877,951         $ 7,197,543   
Transfers into Level 3
           —             674,112            504,060            1,178,172   
Transfers out of Level 3
           —             —             (767,398 )           (767,398 )  
Net realized gain (loss)
           (2,944 )           3,778            71,037            71,871   
Net change in unrealized appreciation/depreciation1
           181,598            (611,755 )           154,815            (275,342 )  
Purchases
           221,407            375,000            2,775,423            3,371,830   
Sales
            (2 )           (1,402,193 )           (3,926,916 )           (5,329,111 )  
Closing Balance, as of August 31, 2013
         $  1,063,775         $ 694,818         $ 3,688,972         $ 5,447,565   

1   Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2013 was $(418,773).

The following table summarizes the valuation techniques used and unobservable inputs utilized by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments and derivative financial instruments as of August 31, 2013. The table does not include Level 3 investments and derivative financial instruments with values based upon unadjusted third party pricing information. Level 3 investments valued using third party pricing information was $4,007,372. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

 
   
 Value
    
 Valuation Techniques
    
 Unobservable Inputs2
    
 Range of
Unobservable
Inputs Utilized
Assets:
                                                                           
Common Stocks3
      $ 647,095      
Market Comparable Companies
   
Offshore EBITDA Multiple
   
8.25x
 
                    
 
   
Onshore EBITDA Multiple
   
4.75x
 
                    
 
   
Implied Last 12 Months EBITDA Multiple
   
6.95x
 
            98,280      
Market Comparable Companies
   
Forecasted EBITDA Multiple
   
3.50x
Corporate Bonds4
           375,000      
Market Comparable Companies
   
Last 12 Months EBITDA Multiple
   
10.00x
 
            319,104      
Market Comparable Companies
   
Yield
   
12.10%
 
            714       
Estimated Recovery Value
   
Recovery Rate
   
0.05%
Total
       $ 1,440,193                                                             
2   A change to the unobservable input may result in a significant change to the value of the investment as follows:.
Unobservable Input
   
 Impact to
Value if Input Increases
    
 Impact to
Value if Input Decreases
Offshore EBITDA Multiple
      
Increase
   
Decrease
Onshore EBITDA Multiple
     
Increase
   
Decrease
Implied Last 12 Months EBITDA Multiple
      
Increase
   
Decrease
Forecasted EBITDA Multiple
     
Increase
   
Decrease
Last 12 Months EBITDA Multiple
      
Increase
   
Decrease
Yield
      
Decrease
   
Increase
Recovery Rate
      
Increase
   
Decrease
3   For the year ended August 31, 2013, the valuation technique for certain investments classified as common stocks changed to a market approach. The investment was previously valued using the company’s financial restructuring plan. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment.
4   For the year ended August 31, 2013, the valuation technique for certain investments classified as corporate bonds changed to a market approach. The investment was previously valued using acquisition cost. Market information became available for this investment which is considered to be a more relevant measure of fair value for this investment.

See Notes to Financial Statements.

76 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments August 31, 2013 BlackRock High Yield Trust (BHY)
(Percentages shown are based on Net Assets)

Asset-Backed Securities                 Par
(000)		      Value
Asset-Backed Securities — 0.6%
                                                             
ALM Loan Funding, Series 2013-7RA, Class C, 3.71%, 4/24/24 (a)(b)(c)
      
USD
         315          $ 297,297     
Common Stocks
      
  
   
Shares
               
Auto Components — 0.8%
                                                             
Dana Holding Corp.
      
 
         1,025            21,484   
Delphi Automotive PLC
      
 
         1,500            82,530   
The Goodyear Tire & Rubber Co. (d)
      
 
         13,974            281,157   
 
      
 
                       385,171   
Automobiles — 1.5%
                                                             
General Motors Co. (d)
      
 
         20,874            711,386   
Biotechnology — 0.0%
                                                             
Ironwood Pharmaceuticals, Inc. (d)
      
 
         1,210            14,097   
Capital Markets — 1.6%
                                                             
American Capital Ltd. (d)
      
 
         58,948            735,671   
E*Trade Financial Corp. (d)
      
 
         3,200            44,928   
 
      
 
                       780,599   
Chemicals — 0.4%
                                                             
Advanced Emissions Solutions, Inc. (d)
      
 
         1,100            42,955   
Huntsman Corp.
      
 
         7,500            131,250   
 
      
 
                       174,205   
Diversified Telecommunication Services — 0.3%
                                                             
Broadview Networks Holdings, Inc. (d)
      
 
         6,337            39,923   
Level 3 Communications, Inc. (d)
      
 
         4,300            96,148   
 
      
 
                       136,071   
Hotels, Restaurants & Leisure — 0.7%
                                                             
Caesars Entertainment Corp. (d)
      
 
         7,749            166,371   
Pinnacle Entertainment, Inc. (d)
      
 
         1,197            28,345   
Travelport LLC/Travelport Holdings, Inc. (d)
      
 
         157,936            139,773   
 
      
 
                       334,489   
Insurance — 0.6%
                                                             
American International Group, Inc. (d)
      
 
         5,595            259,944   
Media — 0.2%
                                                             
Cablevision Systems Corp., Class A
      
 
         5,445            96,540   
Oil, Gas & Consumable Fuels — 0.0%
                                                             
African Petroleum Corp. Ltd. (d)
      
 
         17,200            1,837   
Paper & Forest Products — 0.3%
                                                             
Ainsworth Lumber Co. Ltd. (d)
      
 
         8,875            24,435   
Ainsworth Lumber Co. Ltd. (a)(d)
      
 
         2,507            7,270   
NewPage Holdings Corp. (d)
      
 
         1,460            116,800   
 
      
 
                       148,505   
Software — 0.2%
                                                             
HMH Holdings/EduMedia (d)
      
 
         3,231            97,339   
Trading Companies & Distributors — 0.3%
                                                             
HD Supply Holdings, Inc. (d)
      
 
         7,140            162,364   
Wireless Telecommunication Services — 0.6%
                                                             
Crown Castle International Corp. (d)
      
 
         1,927            133,772   
SBA Communications Corp., Class A (d)
      
 
         1,927            144,525   
 
      
 
                       278,297   
Total Common Stocks — 7.5%
      
 
                         3,580,844   
Corporate Bonds
      
  
         Par
(000		 )                 
Aerospace & Defense — 0.9%
                                                             
Bombardier, Inc., 4.25%, 1/15/16 (a)
      
USD
         80             82,700   
Huntington Ingalls Industries, Inc., 6.88%, 3/15/18
      
 
         110             118,525   
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17
      
 
         210             226,800   
 
      
 
                       428,025   
Corporate Bonds                 Par
(000)		      Value
Air Freight & Logistics — 0.2%
                                                             
National Air Cargo Group, Inc.:
                                                             
Series 1, 12.38%, 9/02/15
      
USD
             57          $      56,601     
Series 2, 12.38%, 8/16/15
      
 
         57             57,365   
 
      
 
                       113,966   
Airlines — 2.1%
                                                             
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (a)
      
 
         68             67,769   
Continental Airlines Pass-Through Trust:
                                                             
Series 2010-1, Class B, 6.00%, 7/12/20
      
 
         74             76,310   
Series 2012-3, Class C, 6.13%, 4/29/18
      
 
         155             157,248   
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G-1, 6.72%, 7/02/24
      
 
         100             108,470   
US Airways Group, Inc., 6.13%, 6/01/18
      
 
         55             49,913   
US Airways Pass-Through Trust:
                                                             
Series 2011-1, Class C, 10.88%, 10/22/14
      
 
         74             77,597   
Series 2012-1, Class C, 9.13%, 10/01/15
      
 
         74             76,902   
Series 2012-2, Class B, 6.75%, 12/03/22
      
 
         60             61,950   
Series 2012-2, Class C, 5.45%, 6/03/18
      
 
         195             181,837   
Series 2013-1, Class B, 5.38%, 5/15/23
      
 
         155             147,250   
 
      
 
                       1,005,246   
Auto Components — 2.8%
                                                             
Affinia Group, Inc., 7.75%, 5/01/21 (a)
      
 
         110             113,025   
Dana Holding Corp., 6.75%, 2/15/21
      
 
         180             191,025   
Delphi Corp., 6.13%, 5/15/21
      
 
         15             16,388   
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18
      
 
         650             684,125   
IDQ Holdings, Inc., 11.50%, 4/01/17 (a)
      
 
         85             94,137   
Jaguar Land Rover Automotive PLC 8.25%, 3/15/20
      
GBP
         100             171,707   
Titan International, Inc., 7.88%, 10/01/17 (a)
      
USD
         80             84,800   
 
      
 
                       1,355,207   
Beverages — 0.3%
                                                             
Crown European Holdings SA, 7.13%, 8/15/18
      
EUR
         92             130,103   
Building Products — 1.3%
                                                             
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (a)
      
USD
         75             72,750   
Builders FirstSource, Inc., 7.63%, 6/01/21 (a)
      
 
         68             68,000   
Building Materials Corp. of America (a):
                                                             
7.00%, 2/15/20
      
 
         20             21,250   
6.75%, 5/01/21
      
 
         160             169,600   
Momentive Performance Materials, Inc., 8.88%, 10/15/20
      
 
         129             133,837   
Texas Industries, Inc., 9.25%, 8/15/20
      
 
         39             42,608   
USG Corp., 9.75%, 1/15/18
      
 
         115             132,537   
 
      
 
                       640,582   
Capital Markets — 0.3%
                                                             
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (e)(f)
      
 
         71             96,382   
KCG Holdings, Inc., 8.25%, 6/15/18 (a)
      
 
         37             36,353   
Nuveen Investments, Inc., 9.13%, 10/15/17 (a)
      
 
         21             20,685   
 
      
 
                       153,420   
Chemicals — 2.1%
                                                             
Axiall Corp., 4.88%, 5/15/23 (a)
      
 
         18             16,695   
Basell Finance Co. BV, 8.10%, 3/15/27 (a)
      
 
         60             75,880   
Celanese US Holdings LLC, 5.88%, 6/15/21
      
 
         134             137,350   
Huntsman International LLC, 8.63%, 3/15/21
      
 
         25             27,875   
INEOS Finance PLC (a):
                                                             
8.38%, 2/15/19
      
 
         100             109,500   
7.50%, 5/01/20
      
 
         75             80,250   
Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19
      
 
         20             20,300   
LSB Industries, Inc., 7.75%, 8/01/19 (a)
      
 
         39             40,365   
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18
      
 
         15             14,925   
Nufarm Australia Ltd., 6.38%, 10/15/19 (a)
      
 
         35             35,000   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 77
 
  
Schedule of Investments (continued)   BlackRock High Yield Trust (BHY)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Chemicals (concluded)
                                                             
Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (a)
      
USD
         200          $     221,000     
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (a)
      
 
         28             27,090   
PolyOne Corp., 7.38%, 9/15/20
      
 
         35             38,588   
Rockwood Specialties Group, Inc., 4.63%, 10/15/20
      
 
         156             153,270   
Tronox Finance LLC, 6.38%, 8/15/20 (a)
      
 
         29             27,695   
 
      
 
                       1,025,783   
Commercial Banks — 1.1%
                                                             
CIT Group, Inc.:
                                                             
5.25%, 3/15/18
      
 
         130             134,225   
6.63%, 4/01/18 (a)
      
 
         40             43,200   
5.50%, 2/15/19 (a)
      
 
         262             268,550   
6.00%, 4/01/36
      
 
         90             86,151   
 
      
 
                       532,126   
Commercial Services & Supplies — 4.2%
                                                             
ACCO Brands Corp., 6.75%, 4/30/20
      
 
         14             13,825   
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a)
      
 
         46             48,530   
ARAMARK Corp., 5.75%, 3/15/20 (a)
      
 
         108             110,160   
Aviation Capital Group Corp., 6.75%, 4/06/21 (a)
      
 
         92             96,877   
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)
      
 
         152             157,320   
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)
      
 
         7             7,499   
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18
      
 
         82             83,025   
Covanta Holding Corp., 6.38%, 10/01/22
      
 
         135             136,984   
Interactive Data Corp., 10.25%, 8/01/18
      
 
         220             245,036   
Mobile Mini, Inc., 7.88%, 12/01/20
      
 
         60             65,400   
Mustang Merger Corp., 8.50%, 8/15/21 (a)
      
 
         87             85,695   
TransUnion LLC/TransUnion Financing Corp., 11.38%, 6/15/18
      
 
         11             12,238   
UR Merger Sub Corp.:
                                                             
5.75%, 7/15/18
      
 
         43             45,902   
7.38%, 5/15/20
      
 
         60             64,650   
8.25%, 2/01/21
      
 
         77             85,085   
7.63%, 4/15/22
      
 
         521             560,075   
6.13%, 6/15/23
      
 
         30             29,550   
Verisure Holding AB, 8.75%, 9/01/18
      
EUR
         100             144,721   
West Corp., 8.63%, 10/01/18
      
USD
         25             27,062   
 
      
 
                       2,019,634   
Communications Equipment — 1.8%
                                                             
Alcatel-Lucent USA, Inc.:
                                                             
8.88%, 1/01/20 (a)
      
 
         200             204,000   
6.50%, 1/15/28
      
 
         10             7,600   
6.45%, 3/15/29
      
 
         32             24,640   
Avaya, Inc. (a):
                                                             
7.00%, 4/01/19
      
 
         45             41,175   
10.50%, 3/01/21
      
 
         79             61,027   
CommScope Holding Co., Inc., 6.63%, 6/01/20 (a)(g)
      
 
         80             79,200   
Zayo Group LLC/Zayo Capital, Inc.:
                                                             
8.13%, 1/01/20
      
 
         145             157,325   
10.13%, 7/01/20
      
 
         255             289,425   
 
      
 
                       864,392   
Computers & Peripherals — 0.1%
                                                             
EMC Corp., Series B, 1.75%, 12/01/13 (f)
      
 
         31             49,774   
Construction & Engineering — 0.3%
                                                             
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (a)
      
 
         35             28,350   
H&E Equipment Services, Inc., 7.00%, 9/01/22
      
 
         79             83,938   
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 (a)
      
 
         26             25,220   
 
      
 
                       137,508   
                         
Corporate Bonds                 Par
(000)		      Value
Construction Materials — 3.6%
                                                             
HD Supply, Inc.:
                                                             
8.13%, 4/15/19
      
USD
         608          $     676,400     
11.00%, 4/15/20
      
 
         340             406,300   
7.50%, 7/15/20 (a)
      
 
         620             647,900   
 
      
 
                       1,730,600   
Consumer Finance — 1.5%
                                                             
Credit Acceptance Corp., 9.13%, 2/01/17
      
 
         80             85,400   
Ford Motor Credit Co. LLC:
                                                             
12.00%, 5/15/15
      
 
         120             139,967   
6.63%, 8/15/17
      
 
         230             259,719   
5.88%, 8/02/21
      
 
         200             217,439   
 
      
 
                       702,525   
Containers & Packaging — 1.0%
                                                             
Ardagh Packaging Finance PLC, 9.13%, 10/15/20 (a)
      
 
         200             212,500   
Berry Plastics Corp., 9.75%, 1/15/21
      
 
         30             34,725   
Crown Americas LLC/Crown Americas Capital
Corp. III, 6.25%, 2/01/21
      
 
         4             4,200   
Graphic Packaging International, Inc., 7.88%, 10/01/18
      
 
         60             65,250   
Pactiv LLC, 7.95%, 12/15/25
      
 
         78             69,030   
Tekni-Plex, Inc., 9.75%, 6/01/19 (a)
      
 
         67             75,040   
 
      
 
                       460,745   
Distributors — 0.5%
                                                             
VWR Funding, Inc., 7.25%, 9/15/17
      
 
         229             238,160   
Diversified Consumer Services — 1.0%
                                                             
APX Group, Inc. (a):
                                                             
6.38%, 12/01/19
      
 
         165             155,512   
8.75%, 12/01/20
      
 
         98             96,530   
Laureate Education, Inc., 9.25%, 9/01/19 (a)
      
 
         205             221,400   
 
      
 
                       473,442   
Diversified Financial Services — 5.8%
                                                             
Aircastle Ltd.:
                                                             
6.75%, 4/15/17
      
 
         55             58,300   
6.25%, 12/01/19
      
 
         53             55,253   
Ally Financial, Inc.:
                                                             
8.00%, 3/15/20
      
 
         63             72,529   
7.50%, 9/15/20
      
 
         46             51,750   
8.00%, 11/01/31
      
 
         786             903,900   
CNG Holdings, Inc., 9.38%, 5/15/20 (a)
      
 
         23             21,563   
DPL, Inc.:
                                                             
6.50%, 10/15/16
      
 
         52             54,860   
7.25%, 10/15/21
      
 
         143             145,860   
General Motors Financial Co., Inc., 4.25%, 5/15/23 (a)
      
 
         40             36,000   
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a)
      
 
         200             198,000   
Leucadia National Corp., 8.13%, 9/15/15
      
 
         140             156,100   
Reynolds Group Issuer, Inc.:
                                                             
9.00%, 4/15/19
      
 
         100             103,250   
9.88%, 8/15/19
      
 
         175             185,937   
5.75%, 10/15/20
      
 
         460             455,975   
6.88%, 2/15/21
      
 
         115             121,325   
WMG Acquisition Corp., 11.50%, 10/01/18
      
 
         127             146,367   
 
      
 
                       2,766,969   
Diversified Telecommunication Services — 3.4%
                                                             
Broadview Networks Holdings, Inc., 10.50%, 11/15/17
      
 
         98             96,525   
CenturyLink, Inc., Series V, 5.63%, 4/01/20
      
 
         226             221,480   
Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21 (a)
      
 
         70             64,400   
Consolidated Communications Finance Co., 10.88%, 6/01/20
      
 
         55             63,250   
Frontier Communications Corp., 8.50%, 4/15/20
      
 
         85             92,862   
Level 3 Communications, Inc., 8.88%, 6/01/19
      
 
         55             58,713   

See Notes to Financial Statements.

78 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock High Yield Trust (BHY)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Diversified Telecommunication Services (concluded)
Level 3 Financing, Inc.:
                                                             
8.13%, 7/01/19
      
USD
         415          $     438,862     
7.00%, 6/01/20
      
 
         75             75,563   
8.63%, 7/15/20
      
 
         287             307,090   
tw telecom holdings, Inc.:
                                                             
5.38%, 10/01/22
      
 
         50             47,625   
5.38%, 10/01/22 (a)
      
 
         45             42,863   
Windstream Corp.:
                                                             
7.88%, 11/01/17
      
 
         70             77,700   
7.75%, 10/15/20
      
 
         28             28,630   
6.38%, 8/01/23
      
 
         43             38,861   
 
      
 
                       1,654,424   
Electric Utilities — 0.3%
                                                             
Homer City Generation LP (g):
                                                             
8.14%, 10/01/19
      
 
         25             25,125   
8.73%, 10/01/26
      
 
         35             35,525   
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17
      
 
         67             70,168   
 
      
 
                       130,818   
Electrical Equipment — 0.4%
                                                             
Belden, Inc., 5.50%, 9/01/22 (a)
      
 
         60             58,200   
General Cable Corp., 5.75%, 10/01/22 (a)
      
 
         100             96,250   
International Wire Group Holdings, Inc., 8.50%, 10/15/17 (a)
      
 
         46             47,840   
 
      
 
                       202,290   
Electronic Equipment, Instruments & Components — 0.1%
Jabil Circuit, Inc., 8.25%, 3/15/18
      
 
         40             47,100   
Energy Equipment & Services — 3.9%
                                                             
Atwood Oceanics, Inc., 6.50%, 2/01/20
      
 
         25             26,750   
Calfrac Holdings LP, 7.50%, 12/01/20 (a)
      
 
         55             55,413   
CGG (FKA Compagnie Generale de Geophysique, Veritas):
                                                             
7.75%, 5/15/17
      
 
         65             66,625   
6.50%, 6/01/21
      
 
         200             202,500   
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)
      
 
         123             131,302   
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21
      
 
         9             8,865   
Gulfmark Offshore, Inc., 6.38%, 3/15/22
      
 
         25             25,313   
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20
      
 
         50             50,625   
MEG Energy Corp., 6.50%, 3/15/21 (a)
      
 
         239             243,182   
Oil States International, Inc.:
                                                             
6.50%, 6/01/19
      
 
         110             116,050   
5.13%, 1/15/23 (a)
      
 
         56             61,180   
Parker Drilling Co., 7.50%, 8/01/20 (a)
      
 
         65             63,862   
Peabody Energy Corp.:
                                                             
6.00%, 11/15/18
      
 
         109             108,455   
6.25%, 11/15/21
      
 
         111             107,115   
7.88%, 11/01/26
      
 
         65             64,837   
4.75%, 12/15/41 (f)
      
 
         70             54,163   
Precision Drilling Corp.:
                                                             
6.63%, 11/15/20
      
 
         10             10,525   
6.50%, 12/15/21
      
 
         25             26,125   
Seadrill Ltd., 5.63%, 9/15/17 (a)
      
 
         410             413,075   
Tervita Corp., 8.00%, 11/15/18 (a)
      
 
         46             45,885   
 
      
 
                       1,881,847   
Food & Staples Retailing — 0.3%
                                                             
Rite Aid Corp.:
                                                             
9.25%, 3/15/20
      
 
         60             67,875   
6.75%, 6/15/21 (a)
      
 
         69             69,863   
 
      
 
                       137,738   
Food Products — 0.8%
                                                             
Darling International, Inc., 8.50%, 12/15/18
      
 
         20             22,000   
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (a)
      
 
         64             59,520   
                         
Corporate Bonds                 Par
(000)		      Value
Food Products (concluded)
                                                             
Post Holdings, Inc., 7.38%, 2/15/22
      
USD
         110          $     116,050     
Smithfield Foods, Inc., 6.63%, 8/15/22
      
 
         82             84,050   
Sun Merger Sub, Inc. (a):
                                                             
5.25%, 8/01/18
      
 
         92             92,345   
5.88%, 8/01/21
      
 
         29             28,928   
 
      
 
                       402,893   
Health Care Equipment & Supplies — 2.4%
                                                             
Biomet, Inc.:
                                                             
6.50%, 8/01/20
      
 
         328             336,200   
6.50%, 10/01/20
      
 
         371             370,072   
DJO Finance LLC/DJO Finance Corp.:
                                                             
8.75%, 3/15/18
      
 
         63             68,197   
7.75%, 4/15/18
      
 
         20             19,650   
9.88%, 4/15/18
      
 
         105             110,250   
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (a)
      
 
         50             51,000   
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (a)
      
 
         80             89,100   
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19
      
 
         38             39,568   
Teleflex, Inc., 6.88%, 6/01/19
      
 
         50             52,500   
 
      
 
                       1,136,537   
Health Care Providers & Services — 5.7%
                                                             
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19
      
 
         95             101,650   
CHS/Community Health Systems, Inc.:
                                                             
5.13%, 8/15/18
      
 
         140             143,150   
8.00%, 11/15/19
      
 
         18             18,900   
7.13%, 7/15/20
      
 
         112             113,120   
Crown Newco 3 PLC, 7.00%, 2/15/18
      
GBP
         100             158,224   
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22
      
USD
         148             146,520   
HCA Holdings, Inc., 6.25%, 2/15/21
      
 
         123             123,307   
HCA, Inc.:
                                                             
8.50%, 4/15/19
      
 
         25             27,000   
6.50%, 2/15/20
      
 
         307             329,641   
7.88%, 2/15/20
      
 
         145             156,419   
7.25%, 9/15/20
      
 
         220             239,525   
5.88%, 3/15/22
      
 
         95             98,088   
4.75%, 5/01/23
      
 
         64             59,760   
Health Management Associates, Inc., 7.38%, 1/15/20
      
 
         35             39,113   
Hologic, Inc., 6.25%, 8/01/20
      
 
         117             121,972   
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19
      
 
         17             17,808   
inVentiv Health, Inc., 9.00%, 1/15/18 (a)
      
 
         100             102,000   
Omnicare, Inc., 3.75%, 4/01/42 (f)
      
 
         47             65,124   
Symbion, Inc., 8.00%, 6/15/16
      
 
         55             57,750   
Tenet Healthcare Corp.:
                                                             
6.25%, 11/01/18
      
 
         195             205,969   
6.75%, 2/01/20
      
 
         90             88,200   
4.38%, 10/01/21 (a)
      
 
         123             111,623   
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 7.75%, 2/01/19
      
 
         177             189,390   
 
      
 
                       2,714,253   
Health Care Technology — 1.1%
                                                             
IMS Health, Inc. (a):
                                                             
12.50%, 3/01/18
      
 
         410             483,800   
6.00%, 11/01/20
      
 
         24             24,630   
 
      
 
                       508,430   
Hotels, Restaurants & Leisure — 2.1%
                                                             
Diamond Resorts Corp., 12.00%, 8/15/18
      
 
         224             248,640   
Isle of Capri Casinos, Inc.:
                                                             
7.75%, 3/15/19
      
 
         10             10,325   
5.88%, 3/15/21
      
 
         36             33,300   
MCE Finance Ltd., 5.00%, 2/15/21 (a)
      
 
         200             183,500   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 79
 
  
Schedule of Investments (continued)   BlackRock High Yield Trust (BHY)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Hotels, Restaurants & Leisure (concluded)
                                                             
MTR Gaming Group, Inc., 11.50%, 8/01/19 (g)
      
USD
         47          $      49,717     
PNK Finance Corp., 6.38%, 8/01/21 (a)
      
 
         88             87,780   
Regal Entertainment Group, 5.75%, 2/01/25
      
 
         13             11,960   
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a)
      
 
         100             94,500   
Station Casinos LLC, 7.50%, 3/01/21
      
 
         233             239,990   
Travelport LLC/Travelport Holdings, Inc. (a):
                                                             
6.39%, 3/01/16 (c)
      
 
         10             9,512   
11.88%, 9/01/16
      
 
         5             5,316   
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (d)(h)
      
 
         25             —    
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.38%, 3/15/22
      
 
         13             12,837   
 
      
 
                       987,377   
Household Durables — 2.6%
                                                             
Ashton Woods USA LLC/Ashton Woods Finance Corp., 6.88%, 2/15/21 (a)
      
 
         38             37,620   
Beazer Homes USA, Inc., 6.63%, 4/15/18
      
 
         10             10,538   
Brookfield Residential Properties, Inc., 6.50%, 12/15/20 (a)
      
 
         70             71,575   
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (a)
      
 
         47             46,412   
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (a)
      
 
         160             168,800   
Libbey Glass, Inc., 6.88%, 5/15/20
      
 
         47             50,231   
Pulte Group, Inc., 6.38%, 5/15/33
      
 
         30             26,850   
The Ryland Group, Inc., 6.63%, 5/01/20
      
 
         60             62,250   
Spie BondCo 3 SCA, 11.00%, 8/15/19
      
EUR
         100             147,364   
Standard Pacific Corp.:
                                                             
10.75%, 9/15/16
      
USD
         300             356,250   
8.38%, 1/15/21
      
 
         170             190,400   
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a):
                                                             
7.75%, 4/15/20
      
 
         50             54,625   
5.25%, 4/15/21
      
 
         45             42,525   
 
      
 
                       1,265,440   
Household Products — 0.9%
                                                             
Ontex IV SA, 7.50%, 4/15/18 (a)
      
EUR
         100             138,794   
Spectrum Brands Escrow Corp. (a):
                                                             
6.38%, 11/15/20
      
USD
         63             65,205   
6.63%, 11/15/22
      
 
         40             41,000   
Spectrum Brands, Inc.:
                                                             
9.50%, 6/15/18
      
 
         160             176,000   
6.75%, 3/15/20
      
 
         17             17,935   
 
      
 
                       438,934   
Independent Power Producers & Energy Traders — 4.0%
                                   
Calpine Corp., 7.50%, 2/15/21 (a)
      
 
         7             7,420   
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:
                                                             
6.88%, 8/15/17 (a)
      
 
         55             55,619   
11.25%, 12/01/18 (a)(g)
      
 
         117             91,521   
10.00%, 12/01/20 (a)
      
 
         370             388,962   
10.00%, 12/01/20
      
 
         618             651,217   
12.25%, 3/01/22 (a)
      
 
         127             141,288   
GenOn REMA LLC, Series B, 9.24%, 7/02/17
      
 
         28             28,851   
Laredo Petroleum, Inc.:
                                                             
9.50%, 2/15/19
      
 
         90             100,125   
7.38%, 5/01/22
      
 
         60             63,300   
NRG Energy, Inc., 7.63%, 1/15/18
      
 
         284             314,530   
QEP Resources, Inc., 5.38%, 10/01/22
      
 
         56             53,480   
 
      
 
                       1,896,313   
Industrial Conglomerates — 0.2%
                                                             
Sequa Corp., 7.00%, 12/15/17 (a)
      
 
         80             80,000   
                         
Corporate Bonds                 Par
(000)		      Value
Insurance — 0.7%
                                                             
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a)
      
USD
         186          $     190,185     
CNO Financial Group, Inc., 6.38%, 10/01/20 (a)
      
 
         37             38,665   
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)
      
 
         106             109,180   
 
      
 
                       338,030   
Internet Software & Services — 0.2%
                                                             
Bankrate, Inc., 6.13%, 8/15/18 (a)
      
 
         48             47,460   
VeriSign, Inc., 4.63%, 5/01/23 (a)
      
 
         45             42,075   
 
      
 
                       89,535   
IT Services — 5.0%
                                                             
Ceridian Corp.:
                                                             
11.25%, 11/15/15
      
 
         20             20,250   
8.88%, 7/15/19 (a)
      
 
         280             315,000   
11.00%, 3/15/21 (a)
      
 
         434             501,270   
Epicor Software Corp., 8.63%, 5/01/19
      
 
         87             91,785   
First Data Corp. (a):
                                                             
7.38%, 6/15/19
      
 
         420             435,750   
8.88%, 8/15/20
      
 
         90             97,200   
6.75%, 11/01/20
      
 
         251             256,647   
10.63%, 6/15/21
      
 
         124             123,225   
11.75%, 8/15/21
      
 
         60             56,100   
SunGard Data Systems, Inc.:
                                                             
7.38%, 11/15/18
      
 
         150             159,375   
6.63%, 11/01/19
      
 
         244             247,660   
WEX, Inc., 4.75%, 2/01/23 (a)
      
 
         81             73,710   
 
      
 
                       2,377,972   
Machinery — 0.4%
                                                             
Cleaver-Brooks, Inc., 8.75%, 12/15/19 (a)
      
 
         60             63,600   
DH Services Luxembourg Sarl, 7.75%, 12/15/20 (a)
      
 
         15             15,488   
Navistar International Corp., 8.25%, 11/01/21
      
 
         58             57,637   
SPX Corp., 6.88%, 9/01/17
      
 
         30             33,225   
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75%, 2/01/19 (a)
      
 
         30             29,325   
 
      
 
                       199,275   
Media — 9.7%
                                                             
AMC Networks, Inc.:
                                                             
7.75%, 7/15/21
      
 
         40             44,200   
4.75%, 12/15/22
      
 
         48             45,000   
Cablevision Systems Corp., 5.88%, 9/15/22
      
 
         95             90,725   
CCO Holdings LLC/CCO Holdings Capital Corp.:
                                                             
5.25%, 9/30/22
      
 
         105             95,813   
5.13%, 2/15/23
      
 
         125             112,188   
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(d)(h)
      
 
         99             72,518   
Checkout Holding Corp., 9.92%, 11/15/15 (a)(e)
      
 
         80             64,600   
Cinemark USA, Inc., 5.13%, 12/15/22
      
 
         42             39,270   
Clear Channel Communications, Inc.:
                                                             
9.00%, 12/15/19
      
 
         80             77,000   
9.00%, 3/01/21
      
 
         278             264,100   
Clear Channel Worldwide Holdings, Inc.:
                                                             
6.50%, 11/15/22
      
 
         102             101,235   
Series B, 6.50%, 11/15/22
      
 
         347             347,000   
Series B, 7.63%, 3/15/20
      
 
         159             159,397   
DISH DBS Corp.:
                                                             
4.25%, 4/01/18
      
 
         85             83,725   
5.13%, 5/01/20
      
 
         150             145,125   
5.88%, 7/15/22
      
 
         250             245,000   
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (a)
      
 
         28             28,770   
Harron Communications LP/Harron Finance Corp., 9.13%, 4/01/20 (a)
      
 
         155             168,175   
Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (a)
      
 
         137             127,067   
Intelsat Luxembourg SA, 6.75%, 6/01/18 (a)
      
 
         210             217,350   
Live Nation Entertainment, Inc. (a):
                                                             
8.13%, 5/15/18
      
 
         125             136,564   
7.00%, 9/01/20
      
 
         32             33,280   

See Notes to Financial Statements.

80 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock High Yield Trust (BHY)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Media (concluded)
                                                             
The McClatchy Co., 9.00%, 12/15/22
      
USD
         90          $      94,950     
Midcontinent Communications & Finance Corp., 6.25%, 8/01/21 (a)
      
 
         153             153,382   
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)
      
 
         84             90,989   
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a)
      
 
         57             57,713   
The New York Times Co., 6.63%, 12/15/16
      
 
         225             249,187   
Nielsen Finance LLC/Nielsen Finance Co., 7.75%, 10/15/18
      
 
         319             346,912   
ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (a)
      
 
         29             29,145   
ProtoStar I Ltd., 18.00%, 10/15/13 (a)(d)(f)(h)
      
 
         414             207    
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (a)
      
 
         45             44,550   
Sirius XM Radio, Inc. (a):
                                                             
4.25%, 5/15/20
      
 
         85             77,775   
5.75%, 8/01/21
      
 
         57             55,860   
4.63%, 5/15/23
      
 
         42             37,065   
Sterling Entertainment Corp., 10.00%, 12/15/19
      
 
         150             150,000   
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW Gmbh, 7.50%, 3/15/19
      
EUR
         112             160,237   
Unitymedia KabelBW GmbH, 9.50%, 3/15/21
      
 
         100             149,974   
Univision Communications, Inc. (a):
                                                             
8.50%, 5/15/21
      
USD
         48             51,960   
6.75%, 9/15/22
      
 
         23             23,863   
5.13%, 5/15/23
      
 
         116             109,475   
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (a)
      
 
         55             56,925   
 
      
 
                       4,638,271   
Metals & Mining — 2.9%
                                                             
ArcelorMittal:
                                                             
9.50%, 2/15/15
      
 
         40             43,900   
4.25%, 8/05/15
      
 
         49             50,470   
4.25%, 3/01/16
      
 
         25             25,500   
5.00%, 2/25/17
      
 
         58             59,305   
6.13%, 6/01/18
      
 
         53             54,590   
FMG Resources August 2006 Property Ltd. (a):
                                                             
6.38%, 2/01/16
      
 
         122             124,640   
6.00%, 4/01/17
      
 
         219             222,833   
Global Brass & Copper, Inc., 9.50%, 6/01/19 (a)
      
 
         50             54,500   
Kaiser Aluminum Corp., 8.25%, 6/01/20
      
 
         35             39,025   
Novelis, Inc., 8.75%, 12/15/20
      
 
         545             592,687   
Steel Dynamics, Inc., 6.38%, 8/15/22
      
 
         40             41,700   
Taseko Mines Ltd., 7.75%, 4/15/19
      
 
         70             68,950   
 
      
 
                       1,378,100   
Multiline Retail — 0.7%
                                                             
Dollar General Corp., 4.13%, 7/15/17
      
 
         134             140,715   
Dufry Finance SCA, 5.50%, 10/15/20 (a)
      
 
         200             204,110   
 
      
 
                       344,825   
Oil, Gas & Consumable Fuels — 9.0%
                                                             
Access Midstream Partners LP/ACMP Finance Corp.:
                                                             
5.88%, 4/15/21
      
 
         48             49,320   
6.13%, 7/15/22
      
 
         45             46,238   
4.88%, 5/15/23
      
 
         72             66,960   
Alpha Appalachia Holdings, Inc., 3.25%, 8/01/15 (f)
      
 
         142             130,196   
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a)
      
 
         31             31,310   
Aurora USA Oil & Gas, Inc. (a):
                                                             
9.88%, 2/15/17
      
 
         115             121,325   
7.50%, 4/01/20
      
 
         55             54,450   
Bonanza Creek Energy, Inc., 6.75%, 4/15/21
      
 
         14             14,245   
BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, 4/15/22
      
 
         40             39,600   
                         
Corporate Bonds                 Par
(000)		      Value
Oil, Gas & Consumable Fuels (continued)
                                                             
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20
      
USD
         38          $      40,090   
Chaparral Energy, Inc., 7.63%, 11/15/22
      
 
         35             35,088     
Chesapeake Energy Corp.:
                                                             
7.25%, 12/15/18
      
 
         20             22,650   
6.63%, 8/15/20
      
 
         14             15,015   
6.88%, 11/15/20
      
 
         46             49,795   
6.13%, 2/15/21
      
 
         11             11,440   
Concho Resources, Inc.:
                                                             
7.00%, 1/15/21
      
 
         15             16,463   
6.50%, 1/15/22
      
 
         52             55,120   
5.50%, 10/01/22
      
 
         63             61,582   
5.50%, 4/01/23
      
 
         12             11,640   
CONSOL Energy, Inc.:
                                                             
8.00%, 4/01/17
      
 
         69             72,795   
8.25%, 4/01/20
      
 
         50             53,000   
Continental Resources, Inc., 7.13%, 4/01/21
      
 
         60             65,700   
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.88%, 2/15/18
      
 
         25             26,563   
CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (a)
      
 
         57             56,430   
Denbury Resources, Inc., 4.63%, 7/15/23
      
 
         128             114,240   
Energy XXI Gulf Coast, Inc.:
                                                             
9.25%, 12/15/17
      
 
         75             83,437   
7.75%, 6/15/19
      
 
         90             93,600   
EP Energy LLC/EP Energy Finance, Inc., 9.38%, 5/01/20
      
 
         35             38,500   
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
      
 
         55             58,437   
EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19
      
 
         25             25,000   
Halcon Resources Corp., 8.88%, 5/15/21
      
 
         72             72,180   
Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (a)
      
 
         45             47,925   
Holly Energy Partners LP/Holly Energy Finance Corp., 6.50%, 3/01/20
      
 
         25             25,750   
Kodiak Oil & Gas Corp.:
                                                             
8.13%, 12/01/19
      
 
         60             65,700   
5.50%, 2/01/22 (a)
      
 
         27             26,055   
Legacy Reserves LP/Legacy Reserves Finance Corp., 6.63%, 12/01/21 (a)
      
 
         25             23,750   
Lightstream Resources Ltd. (FKA PetroBakken Energy Ltd.), 8.63%, 2/01/20 (a)
      
 
         47             44,650   
Linn Energy LLC/Linn Energy Finance Corp.:
                                                             
6.50%, 5/15/19
      
 
         7             6,580   
6.25%, 11/01/19 (a)
      
 
         143             131,560   
8.63%, 4/15/20
      
 
         165             165,825   
7.75%, 2/01/21
      
 
         25             24,250   
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.:
                                                             
6.25%, 6/15/22
      
 
         30             31,350   
4.50%, 7/15/23
      
 
         40             36,400   
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21
      
 
         32             30,880   
Newfield Exploration Co., 6.88%, 2/01/20
      
 
         135             141,412   
Northern Oil & Gas, Inc., 8.00%, 6/01/20
      
 
         55             55,825   
Oasis Petroleum, Inc.:
                                                             
7.25%, 2/01/19
      
 
         35             37,100   
6.50%, 11/01/21
      
 
         50             52,500   
Offshore Group Investment Ltd., 7.13%, 4/01/23
      
 
         69             66,412   
Pacific Drilling SA, 5.38%, 6/01/20 (a)
      
 
         67             64,655   
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20
      
 
         16             16,360   
PDC Energy, Inc., 7.75%, 10/15/22
      
 
         35             36,750   
Penn Virginia Corp., 8.50%, 5/01/20
      
 
         31             31,000   
Petrobras Global Finance BV, 3.00%, 1/15/19
      
 
         58             53,349   
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (a)
      
 
         95             104,025   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 81
 
  
Schedule of Investments (continued)   BlackRock High Yield Trust (BHY)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Oil, Gas & Consumable Fuels (concluded)
                                                             
Range Resources Corp.:
                                                             
8.00%, 5/15/19
      
USD
         20          $      21,500     
6.75%, 8/01/20
      
 
         20             21,550   
5.75%, 6/01/21
      
 
         160             167,600   
5.00%, 8/15/22
      
 
         54             52,785   
5.00%, 3/15/23
      
 
         29             28,348   
Regency Energy Partners LP/Regency Energy Finance Corp., 6.88%, 12/01/18
      
 
         20             21,450   
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a)
      
 
         22             22,000   
Rosetta Resources, Inc., 5.63%, 5/01/21
      
 
         45             43,425   
Sabine Pass Liquefaction LLC (a):
                                                             
5.63%, 2/01/21
      
 
         170             162,350   
5.63%, 4/15/23
      
 
         100             92,750   
Sabine Pass LNG LP:
                                                             
7.50%, 11/30/16
      
 
         305             335,881   
6.50%, 11/01/20 (a)
      
 
         55             55,275   
SandRidge Energy, Inc.:
                                                             
8.75%, 1/15/20
      
 
         5             5,225   
7.50%, 2/15/23
      
 
         52             50,310   
SESI LLC, 6.38%, 5/01/19
      
 
         35             36,838   
Seven Generations Energy Ltd., 8.25%, 5/15/20 (a)
      
 
         15             15,375   
SM Energy Co.:
                                                             
6.63%, 2/15/19
      
 
         32             33,440   
6.50%, 11/15/21
      
 
         45             47,250   
6.50%, 1/01/23
      
 
         53             54,590   
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (a)
      
 
         45             45,675   
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (a)
      
 
         26             25,935   
Vanguard Natural Resources LLC/VNR Finance Corp., 7.88%, 4/01/20
      
 
         40             40,500   
 
      
 
                       4,332,524   
Paper & Forest Products — 0.6%
                                                             
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (a)
      
 
         83             87,565   
Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20
      
 
         5             5,363   
Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17
      
 
         15             15,788   
Clearwater Paper Corp.:
                                                             
7.13%, 11/01/18
      
 
         95             102,125   
4.50%, 2/01/23
      
 
         5             4,525   
NewPage Corp., 11.38%, 12/31/14 (d)(h)
      
 
         337             —    
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (a)
      
 
         25             23,250   
Unifrax I LLC/Unifrax Holding Co., 7.50%, 2/15/19 (a)
      
 
         45             45,112   
 
      
 
                       283,728   
Pharmaceuticals — 1.9%
                                                             
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a)
      
 
         108             122,040   
Valeant Pharmaceuticals International (a):
                                                             
6.88%, 12/01/18
      
 
         156             165,360   
6.38%, 10/15/20
      
 
         47             47,764   
VPII Escrow Corp. (a):
                                                             
6.75%, 8/15/18
      
 
         403             426,676   
7.50%, 7/15/21
      
 
         25             26,750   
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75%, 9/15/18
      
 
         102             111,435   
 
      
 
                       900,025   
Professional Services — 0.2%
                                                             
Truven Health Analytics, Inc., 10.63%, 6/01/20
      
 
         90             95,625   
Real Estate Investment Trusts (REITs) — 0.8%
                                                             
Cantor Commercial Real Estate Co. LP/CCRE Finanace Corp., 7.75%, 2/15/18 (a)
      
 
         46             47,035   
                         
Corporate Bonds                 Par
(000)		      Value
Real Estate Investment Trusts (REITs) (concluded)
                                                             
Felcor Lodging LP:
                                                             
6.75%, 6/01/19
      
USD
         181          $      189,598     
5.63%, 3/01/23
      
 
         41             38,130   
Host Hotels & Resorts LP, 2.50%, 10/15/29 (a)(f)
      
 
         20             27,250   
iStar Financial, Inc., 4.88%, 7/01/18
      
 
         67             64,990   
 
      
 
                       367,003   
Real Estate Management & Development — 2.6%
                                                             
CBRE Services, Inc., 6.63%, 10/15/20
      
 
         55             58,438   
Crescent Resources LLC/Crescent Ventures, Inc., 10.25%, 8/15/17 (a)
      
 
         145             155,875   
Realogy Corp. (a):
                                                             
7.88%, 2/15/19
      
 
         425             462,187   
7.63%, 1/15/20
      
 
         120             134,400   
9.00%, 1/15/20
      
 
         55             63,525   
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a)
      
 
         56             55,580   
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19
      
 
         230             252,425   
Woodside Homes Co. LLC/Woodside Homes Finance, Inc., 6.75%, 12/15/21 (a)
      
 
         75             74,625   
 
      
 
                       1,257,055   
Road & Rail — 1.0%
                                                             
The Hertz Corp.:
                                                             
7.50%, 10/15/18
      
 
         130             140,400   
6.75%, 4/15/19
      
 
         50             53,312   
5.88%, 10/15/20
      
 
         10             10,263   
7.38%, 1/15/21
      
 
         170             183,600   
6.25%, 10/15/22
      
 
         45             45,787   
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (a)
      
 
         34             33,575   
 
      
 
                       466,937   
Semiconductors & Semiconductor Equipment — 0.6%
                                   
NXP BV/NXP Funding LLC (a):
                                                             
3.75%, 6/01/18
      
 
         115             111,119   
5.75%, 2/15/21
      
 
         200             200,000   
 
      
 
                       311,119   
Software — 2.1%
                                                             
BMC Software Finance, Inc., 8.13%, 7/15/21 (a)
      
 
         120             121,500   
Healthcare Technology Intermediate, Inc., 7.38%, 9/01/18 (a)(g)
      
 
         55             55,825   
IAC/InterActiveCorp, 4.75%, 12/15/22
      
 
         71             65,497   
Igloo Holdings Corp., 8.25%, 12/15/17 (a)(g)
      
 
         47             48,058   
Infor US, Inc., 9.38%, 4/01/19
      
 
         400             445,000   
Interface Security Systems Holdings, Inc./Interface Security Systems LLC, 9.25%, 1/15/18 (a)
      
 
         27             27,878   
Nuance Communications, Inc., 5.38%, 8/15/20 (a)
      
 
         155             147,637   
Sophia LP/Sophia Finance, Inc., 9.75%, 1/15/19 (a)
      
 
         78             84,630   
 
      
 
                       996,025   
Specialty Retail — 3.2%
                                                             
Asbury Automotive Group, Inc.:
                                                             
7.63%, 3/15/17
      
 
         60             61,651   
8.38%, 11/15/20
      
 
         60             66,300   
Claire’s Stores, Inc. (a):
                                                             
9.00%, 3/15/19
      
 
         149             165,949   
7.75%, 6/01/20
      
 
         55             54,725   
CST Brands, Inc., 5.00%, 5/01/23 (a)
      
 
         61             57,950   
House of Fraser Funding PLC, 8.88%, 8/15/18
      
GBP
         100             164,028   
Limited Brands, Inc., 8.50%, 6/15/19
      
USD
         140             165,375   
Michaels FinCo Holdings LLC/Michaels FinCo, Inc., 7.50%, 8/01/18 (a)(g)
      
 
         99             99,000   
Michaels Stores, Inc., 7.75%, 11/01/18
      
 
         39             41,974   
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (a)(g)
      
 
         37             38,017   
Party City Holdings, Inc., 8.88%, 8/01/20 (a)
      
 
         173             185,326   

See Notes to Financial Statements.

82 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock High Yield Trust (BHY)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Specialty Retail (concluded)
                                                             
PC Nextco Holdings LLC/PC Nextco Finance, Inc., 8.75%, 8/15/19 (a)(g)
      
USD
         46          $      45,482     
Penske Automotive Group, Inc., 5.75%, 10/01/22
      
 
         51             50,490   
QVC, Inc. (a):
                                                             
7.50%, 10/01/19
      
 
         100             107,808   
7.38%, 10/15/20
      
 
         55             59,760   
Sally Holdings LLC/Sally Capital, Inc.:
                                                             
6.88%, 11/15/19
      
 
         90             98,100   
5.75%, 6/01/22
      
 
         83             83,104   
 
      
 
                       1,545,039   
Textiles, Apparel & Luxury Goods — 0.5%
                                                             
Levi Strauss & Co., 6.88%, 5/01/22
      
 
         75             79,688   
PVH Corp., 4.50%, 12/15/22
      
 
         41             37,976   
Quiksilver, Inc./QS Wholesale, Inc., 7.88%, 8/01/18 (a)
      
 
         20             20,625   
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (a)
      
 
         82             80,975   
The William Carter Co., 5.25%, 8/15/21 (a)
      
 
         42             42,210   
 
      
 
                       261,474   
Thrifts & Mortgage Finance — 0.1%
                                                             
Radian Group, Inc. (f):
                                                             
3.00%, 11/15/17
      
 
         10             13,844   
2.25%, 3/01/19
      
 
         12             17,160   
 
      
 
                       31,004   
Trading Companies & Distributors — 1.2%
                                                             
Air Lease Corp., 4.50%, 1/15/16
      
 
         100             104,000   
Ashtead Capital, Inc., 6.50%, 7/15/22 (a)
      
 
         90             95,175   
Doric Nimrod Air Finance Alpha Ltd. Pass-Through Trust (a):
                                                             
Series 2012-1, Class A, 5.13%, 11/30/24
      
 
         194             191,026   
Series 2012-1, Class B, 6.50%, 5/30/21
      
 
         181             182,328   
 
      
 
                       572,529   
Transportation Infrastructure — 0.6%
                                                             
Aguila 3 SA, 7.88%, 1/31/18
      
 
         150             156,375   
Jack Cooper Holdings Corp., 9.25%, 6/01/20 (a)
      
 
         120             123,000   
 
      
 
                       279,375   
Wireless Telecommunication Services — 5.1%
                                                             
Crown Castle International Corp., 5.25%, 1/15/23
      
 
         187             176,715   
Digicel Group Ltd., 8.25%, 9/30/20 (a)
      
 
         200             212,000   
Digicel Ltd., 6.00%, 4/15/21 (a)
      
 
         200             193,000   
MetroPCS Wireless, Inc., 6.63%, 11/15/20
      
 
         75             77,813   
NII Capital Corp., 7.63%, 4/01/21
      
 
         35             26,775   
Phones4u Finance PLC, 9.50%, 4/01/18
      
GBP
         100             160,394   
Softbank Corp., 4.50%, 4/15/20 (a)
      
USD
         200             189,088   
Sprint Capital Corp., 6.88%, 11/15/28
      
 
         173             156,132   
Sprint Communications, Inc. (a):
                                                             
9.00%, 11/15/18
      
 
         698             814,915   
7.00%, 3/01/20
      
 
         329             353,675   
T-Mobile USA, Inc., 5.25%, 9/01/18 (a)
      
 
         60             60,600   
 
      
 
                       2,421,107   
Total Corporate Bonds — 108.2%
      
 
                       51,799,178   
Floating Rate Loan Interests (c)
Airlines — 1.1%
                                                             
Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18
      
 
         95             95,563   
Northwest Airlines, Inc., Term Loan:
                                                             
2.30%, 3/10/17
      
 
         213             196,628   
1.68%, 9/10/18
      
 
         267             236,087   
 
      
 
                       528,278   
Auto Components — 0.1%
                                                             
Schaeffler AG, Term Loan C, 4.25%, 1/27/17
      
 
         25             25,039   
                         
Floating Rate Loan Interests (c)                 Par
(000)		      Value
Building Products — 0.1%
                                                             
Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19
      
USD
         70          $      69,055     
Capital Markets — 0.8%
                                                             
American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16
      
 
         237             237,789   
Knight Capital Group, Inc., Term Loan B, 5.75%, 12/05/17
      
 
         60             59,738   
Nuveen Investments, Inc.:
                                                             
2nd Lien Term Loan, 6.50%, 2/28/19
      
 
         50             49,708   
Term Loan, 4.18%, 5/15/17
      
 
         16             15,764   
 
      
 
                       362,999   
Chemicals — 0.0%
                                                             
MacDermid, Inc., 2nd Lien Term Loan, 7.75%, 12/07/20
      
 
         10             10,100   
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20
      
 
         10             10,040   
 
      
 
                       20,140   
Commercial Services & Supplies — 0.5%
                                                             
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16
      
 
         93             92,567   
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17
      
 
         45             45,141   
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18
      
 
         70             69,634   
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
      
 
         40             40,038   
 
      
 
                       247,380   
Communications Equipment — 1.3%
                                                             
Alcatel-Lucent USA, Inc.:
                                                             
Term Loan C, 5.75%, 1/30/19
      
 
         234             234,777   
Term Loan D, 6.25%, 1/30/19
      
EUR
         90             118,620   
Avaya, Inc., Term Loan B5, 8.00%, 3/30/18
      
USD
         20             18,567   
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.50%, 7/02/19
      
 
         241             241,688   
 
      
 
                       613,652   
Construction Materials — 0.3%
                                                             
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17
      
 
         163             163,572   
Containers & Packaging — 0.1%
                                                             
Tekni-Plex, Inc., Term Loan B, 5.50% – 6.50%, 8/25/19
      
 
         45             44,775   
Diversified Consumer Services — 0.3%
                                                             
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18
      
 
         25             24,530   
ServiceMaster Co.:
                                                             
Extended Term Loan, 4.44%, 1/31/17
      
 
         30             29,142   
Term Loan, 4.25%, 1/31/17
      
 
         80             77,172   
 
      
 
                       130,844   
Diversified Telecommunication Services — 0.4%
                                                             
Level 3 Financing, Inc.:
                                                             
2016 Term Loan B, 4.00%, 1/15/20
      
 
         70             69,942   
2019 Term Loan B, 4.00%, 8/01/19
      
 
         40             39,925   
Term Loan, 4.75%, 8/01/19
      
 
         70             69,927   
 
      
 
                       179,794   
Energy Equipment & Services — 0.1%
                                                             
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
      
 
         30             29,800   
Food & Staples Retailing — 0.0%
                                                             
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
      
 
         20             20,494   
Food Products — 0.1%
                                                             
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17
      
 
         35             35,119   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 83
 
  
Schedule of Investments (continued)   BlackRock High Yield Trust (BHY)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)                 Par
(000)		      Value
Health Care Equipment & Supplies — 0.4%
                                                             
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19
      
USD
         128          $     127,898     
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18
      
 
         45             44,105   
 
      
 
                       172,003   
Health Care Providers & Services — 0.2%
                                                             
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17
      
 
         42             42,997   
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16
      
 
         79             76,856   
 
      
 
                       119,853   
Hotels, Restaurants & Leisure — 4.3%
                                                             
Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20
      
 
         75             74,860   
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
      
 
         70             70,087   
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20
      
 
         200             199,500   
Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14
      
 
         1,196            1,137,994   
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
      
 
         84             83,958   
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
      
 
         90             90,224   
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19
      
 
         105             105,307   
Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20
      
 
         155             155,644   
Travelport LLC/Travelport Holdings, Inc.:
                                                             
2nd Lien PIK Term Loan 2, 8.38%, 12/01/16 (g)
      
 
         71             71,331   
2nd Lien Term Loan 1, 9.50%, 1/29/16
      
 
         12             12,033   
Refinancing Term Loan, 6.25%, 6/26/19
      
 
         50             50,475   
 
      
 
                       2,051,413   
Industrial Conglomerates — 0.2%
                                                             
Sequa Corp., Term Loan B, 5.25%, 6/19/17
      
 
         94             94,298   
Insurance — 0.1%
                                                             
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19
      
 
         55             54,896   
IT Services — 0.4%
                                                             
Ceridian Corp., Term Loan B, 4.43%, 5/09/17
      
 
         50             49,948   
First Data Corp., Extended 2018 Term Loan B, 4.18%, 3/23/18
      
 
         130             128,627   
 
      
 
                       178,575   
Life Sciences Tools & Services — 0.1%
                                                             
Patheon, Inc., Term Loan, 7.25%, 12/06/18
      
 
         35             34,998   
Machinery — 1.3%
                                                             
Gardner Denver, Inc., Term Loan:
                                                             
4.25%, 7/30/20
      
 
         203             201,515   
4.75%, 7/30/20
      
EUR
         225             296,911   
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20
      
 
         123             121,376   
 
      
 
                       619,802   
Media — 1.5%
                                                             
Cengage Learning Acquisitions, Inc.:
                                                             
Non-Extended Term Loan, 4.75%, 7/03/14
      
 
         59             42,154   
Tranche 1 Incremental, 6.00%, 7/03/14
      
 
         238             167,734   
Clear Channel Communications, Inc.:
                                                             
Term Loan B, 3.83%, 1/29/16
      
 
         23             21,257   
Term Loan C, 3.83%, 1/29/16
      
 
         16             14,273   
Term Loan D, 6.93%, 1/30/19
      
 
         217             198,581   
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18
      
 
         45             44,808   
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
      
 
         9             8,406   
Harron Communications Corp., Refinancing Term Loan B, 3.50%, 6/19/20
      
 
         100             100,083   
                         
Floating Rate Loan Interests (c)                 Par
(000)		      Value
Media (concluded)
                                                             
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20
      
USD
         40          $      41,000     
Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20
      
 
         39             38,754   
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/08/20
      
 
         20             19,899   
 
      
 
                       696,949   
Metals & Mining — 0.8%
                                                             
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20
      
 
         150             152,992   
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17
      
 
         232             233,225   
 
      
 
                       386,217   
Oil, Gas & Consumable Fuels — 1.4%
                                                             
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17
      
 
         325             330,957   
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
      
 
         113             112,859   
Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18
      
 
         40             40,175   
Vantage Drilling Co.:
                                                             
Term Loan, 6.25%, 10/26/17
      
 
         144             145,059   
Term Loan B, 5.75%, 3/22/19
      
 
         60             60,299   
 
      
 
                       689,349   
Pharmaceuticals — 0.4%
                                                             
OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20
      
 
         30             29,916   
Par Pharmaceutical Co., Inc., Term Loan B, 4.25%, 9/30/19
      
 
         119             118,469   
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18
      
 
         49             49,154   
 
      
 
                       197,539   
Real Estate Investment Trusts (REITs) — 0.2%
                                                             
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17
      
 
         114             114,380   
Real Estate Management & Development — 0.1%
                                                             
Realogy Corp.:
                                                             
Extended Letter of Credit, 4.45%, 10/10/16
      
 
         14             14,467   
Extended Term Loan, 4.50%, 3/05/20
      
 
         55             55,164   
 
      
 
                       69,631   
Road & Rail — 0.1%
                                                             
Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17
      
 
         45             45,140   
Software — 0.4%
                                                             
BMC Software, Inc., Term Loan, 5.00%, 8/07/20
      
 
         25             24,948   
GCA Services Group, Inc., 2nd Lien Term Loan, 9.25%, 10/22/20
      
 
         10             10,150   
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18
      
 
         80             80,357   
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
      
 
         85             87,869   
 
      
 
                       203,324   
Specialty Retail — 0.3%
                                                             
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19
      
 
         90             90,019   
Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19
      
 
         45             44,879   
 
      
 
                       134,898   
Textiles, Apparel & Luxury Goods — 0.4%
                                                             
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
      
 
         183             174,923   
Thrifts & Mortgage Finance — 0.2%
                                                             
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18
      
 
         100             100,698   
Total Floating Rate Loan Interests — 18.0%
      
 
                       8,609,827   

See Notes to Financial Statements.

84 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock High Yield Trust (BHY)
(Percentages shown are based on Net Assets)
Investment Companies — 0.3%                     
Shares		      Value
Exchange-Traded Fund — 0.3%
                                                             
iShares MSCI EAFE Index Fund (i)
      
 
         2,020         $     119,523     
Preferred Securities
Preferred Stocks
      
 
                            
Auto Components — 1.3%
                                                             
Dana Holding Corp., 4.00% (a)(f)
      
 
         3,660            643,016   
Trust Preferreds
Diversified Financial Services — 1.3%
                                                             
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c)
      
 
         23,640            624,296   
Total Preferred Securities — 2.6%
      
 
                       1,267,312   
Warrants — 0.0% (j)                     
Shares		      Value
Software — 0.0%
                                                             
HMH Holdings/EduMedia, (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)
      
 
         176             —    
Total Long-Term Investments
(Cost — $64,318,903) — 137.2%
      
 
                    $ 65,673,981   
Short-Term Securities
      
 
                            
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (i)(k)
      
 
         1,556,206             1,556,206   
Total Short-Term Securities
(Cost — $1,556,206) — 3.2%
      
 
                       1,556,206   
Options Purchased
      
  
                              
(Cost — $2,933) — 0.0%
      
 
                       —    
Total Investments (Cost — $65,878,042) — 140.4%
                    67,230,187   
Liabilities in Excess of Other Assets — (40.4)%
      
 
                       (19,340,820 )  
Net Assets — 100.0%
      
 
                    $ 47,889,367   

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

Counterparty
   
 Value
    
 Unrealized
Appreciation
(Depreciation)
J.P. Morgan Securities LLC
        $ 297,297            —    

(c)      
Variable rate security. Rate shown is as of report date.
(d)      
Non-income producing security.
(e)      
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(f)      
Convertible security.
(g)      
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(h)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(i)      
Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate
    
 Shares
Held at
August 31, 2012
    
 Shares
Purchased
    
 Shares
Sold
    
 Shares
Held at
August 31, 2013
    
 Value at
August 31, 2013
    
 Income
    
 Realized
Gain (Loss)
BlackRock Liquidity Funds, TempFund, Institutional Class
       1,204,968            351,238 1           —             1,556,206         $ 1,556,206         $ 536          $ 12    
iShares iBoxx $ High Yield Corporate Bond ETF2
       —             4,699            (4,699 )           —             —          $ 2,251         $ (6,629 )  
iShares MSCI EAFE Index Fund
       —             2,020            —             2,020         $ 119,523            —             —    
1 Represents net shares purchased.
  2 No longer held by the Trust as of report date.

(j)      
Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.
(k)      
Represents the current yield as of report date.
•      
For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or 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.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 85
 
  
Schedule of Investments (continued)   BlackRock High Yield Trust (BHY)
•      
Financial futures contracts as of August 31, 2013 were as follows:

Contracts
Sold
   
 Issue
    
 Exchange
    
 Expiration
    
 Notional
Value
    
 Unrealized
Appreciation
(Depreciation)
(20)      
S&P 500 E-Mini Index
   
Chicago Mercantile
   
September 2013
   
USD
      1,631,300   
$51,847 
  (2)      
2-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
      439,500   
(29)
  (6)      
5-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
      718,078   
883 
  (4)      
10-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
      497,125   
(256)
Total
      
 
   
 
   
 
   
 
          
$52,445 

•      
Foreign currency exchange contracts as of August 31, 2013 were as follows:

Currency Purchased
   
Currency Sold
   
Counterparty
   
Settlement
Date
   
Unrealized
Appreciation
(Depreciation)
USD
 296,334   
EUR
 222,000   
Barclays Bank PLC
   
9/25/13
      $ 2,908     
USD
 972,812   
EUR
 724,000   
UBS AG
   
9/25/13
         15,871   
USD
 580,582   
GBP
 385,000   
Deutsche Bank AG
   
10/22/13
         (15,831 )  
Total
     
 
      
 
   
 
      $ 2,948   

•      
Over-the-counter options purchased as of August 31, 2013 were as follows:

Description
   
 Counterparty
    
 Put/Call
    
 Strike
Price
    
 Expiration
Date
    
 Contracts
    
 Market
Value
    
Marsico Parent Superholdco LLC
      
Goldman Sachs & Co.
   
Call
   
USD
   
942.86
   
12/14/19
   
3
   
—
   

•      
Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows:

Issuer
    
 Pay
Fixed
Rate
    
 Counterparty
    
 Expiration
Date
    
 Notional
Amount
(000)
    
 Market
Value
    
 Premiums
Paid
    
 Unrealized
Appreciation
(Depreciation)
Clear Channel Communications, Inc.
  
5.00%
   
Barclays Bank PLC
   
3/20/16
   
USD
   
18
   
$2,565
   
$2,359
      $ 206     
Clear Channel Communications, Inc.
  
5.00%
   
Deutsche Bank AG
   
3/20/16
   
USD
   
35
   
5,130
   
4,555
         575    
The New York Times Co.
  
1.00%
   
Barclays Bank PLC
   
12/20/16
   
USD
   
225
   
1,423
   
10,372
         (8,949 )  
RadioShack Corp.
  
5.00%
   
Deutsche Bank AG
   
9/20/18
   
USD
   
11
   
2,695
   
3,337
         (642 )  
RadioShack Corp.
  
5.00%
   
Deutsche Bank AG
   
9/20/18
   
USD
   
11
   
2,695
   
3,286
         (591 )  
RadioShack Corp.
  
5.00%
   
Deutsche Bank AG
   
9/20/18
   
USD
   
11
   
2,695
   
2,977
         (282 )  
Total
  
 
   
 
   
 
   
 
   
 
   
$17,203
   
$26,886
      $ (9,683 )  

•      
Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows:

Issuer/Index
   
 Receive
Fixed
Rate
   
 Counterparty
   
 Expiration
Date
   
 Credit
Rating1
   
 Notional
Amount
(000)2
   
 Market
Value
   
 Premiums
Received
   
 Unrealized
Appreciation
(Depreciation)
   
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Barclays Bank PLC
   
9/20/15
   
CCC-
   
USD
   
34
      $ (5,387 )        $ (8,121 )        $ 2,734    
RadioShack Corp.
  
5.00%
   
Deutsche Bank AG
   
9/20/15
   
CCC
   
USD
   
11
        (1,144 )          (1,668 )          524   
RadioShack Corp.
  
5.00%
   
Deutsche Bank AG
   
9/20/15
   
CCC
   
USD
   
11
        (1,144 )          (1,670 )          526   
RadioShack Corp.
  
5.00%
   
Deutsche Bank AG
   
9/20/15
   
CCC
   
USD
   
11
        (1,144 )          (1,368 )          224    
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Barclays Bank PLC
   
12/20/15
   
CCC-
   
USD
   
95
        (18,006 )          (20,901 )          2,895   
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
JPMorgan Chase Bank N.A.
   
12/20/15
   
CCC-
   
USD
   
46
        (8,722 )          (13,182 )          4,460   
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
JPMorgan Chase Bank N.A.
   
12/20/15
   
CCC-
   
USD
   
13
        (2,418 )          (3,168 )          750   
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Barclays Bank PLC
   
3/20/16
   
CCC-
   
USD
   
12
        (2,641 )          (2,499 )          (142 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Barclays Bank PLC
   
3/20/16
   
CCC-
   
USD
   
11
        (2,564 )          (2,154 )          (410 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Goldman Sachs Bank USA
   
3/20/16
   
CCC-
   
USD
   
17
        (3,867 )          (4,114 )          247   
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Goldman Sachs Bank USA
   
3/20/16
   
CCC-
   
USD
   
17
        (3,867 )          (4,114 )          247   
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Goldman Sachs Bank USA
   
3/20/16
   
CCC-
   
USD
   
53
        (11,886 )          (12,054 )          168   
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Goldman Sachs Bank USA
   
3/20/16
   
CCC-
   
USD
   
26
        (5,847 )          (5,639 )          (208 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Goldman Sachs Bank USA
   
3/20/16
   
CCC-
   
USD
   
74
        (16,669 )          (12,981 )          (3,688 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
JPMorgan Chase Bank N.A.
   
3/20/16
   
CCC-
   
USD
   
13
        (2,907 )          (2,647 )          (260 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Barclays Bank PLC
   
6/20/16
   
CCC-
   
USD
   
30
        (7,816 )          (5,772 )          (2,044 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Goldman Sachs Bank USA
   
6/20/16
   
CCC-
   
USD
   
35
        (9,161 )          (8,815 )          (346 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Goldman Sachs Bank USA
   
6/20/16
   
CCC-
   
USD
   
70
        (18,237 )          (16,996 )          (1,241 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Goldman Sachs Bank USA
   
6/20/16
   
CCC-
   
USD
   
74
        (19,406 )          (18,337 )          (1,069 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Goldman Sachs Bank USA
   
6/20/16
   
CCC-
   
USD
   
21
        (5,341 )          (4,192 )          (1,149 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Barclays Bank PLC
   
3/20/17
   
CCC-
   
USD
   
11
        (4,038 )          (3,304 )          (734 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Goldman Sachs Bank USA
   
3/20/17
   
CCC-
   
USD
   
33
        (11,779 )          (9,197 )          (2,582 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Goldman Sachs Bank USA
   
3/20/17
   
CCC-
   
USD
   
40
        (14,174 )          (12,438 )          (1,736 )  
Caesars Entertainment Operating Co., Inc.
  
5.00%
   
Goldman Sachs Bank USA
   
3/20/17
   
CCC-
   
USD
   
23
        (8,222 )          (6,828 )          (1,394 )  

See Notes to Financial Statements.

86 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock High Yield Trust (BHY)

Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows (concluded):

Issuer/Index
    
 Receive
Fixed
Rate
    
 Counterparty
    
 Expiration
Date
    
 Credit
Rating1
    
 Notional
Amount
(000)2
    
 Market
Value
    
 Premiums
Received
    
 Unrealized
Appreciation
(Depreciation)
    
Crown Castle International Corp.
  
7.25%
   
Deutsche Bank AG
   
3/20/17
   
B
   
USD
   
80
      $ 13,015            —          $ 13,015     
CCO Holdings LLC
  
8.00%
   
Deutsche Bank AG
   
9/20/17
   
BB-
   
USD
   
280
         57,209            —             57,209   
Markit CMBX North America AAA Index Series 3
  
0.50%
   
Citibank N.A.
   
12/13/49
   
BBB-
   
USD
   
15
         (1,706 )        $ (1,411 )           (295 )  
Markit CMBX North America AAA Index Series 3
  
0.50%
   
Citibank N.A.
   
12/13/49
   
BBB-
   
USD
   
25
         (2,844 )           (2,367 )           (477 )  
Total
  
 
   
 
   
 
   
 
   
 
   
 
      $ (120,713 )        $ (185,937 )        $ 65,224   
1 Using S&P’s rating of the issuer or underlying securities of the index, as applicable.
  2 The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

•      
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 statement purposes as follows:
•      
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or 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 fair value hierarchy classification 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 instruments 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, please refer to Note 2 of the Notes to Financial Statements.
       
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013:

 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                       
Investments:
                                                                                 
Long-Term Investments:
                                                                                 
Asset-Backed Securities
           —             —          $ 297,297         $ 297,297   
Common Stocks
        $ 3,179,739         $ 244,382            156,723            3,580,844   
Corporate Bonds
           —             51,535,005            264,173            51,799,178   
Floating Rate Loan Interests
           —             7,197,445            1,412,382            8,609,827   
Investment Companies
           119,523            —             —             119,523   
Preferred Securities
           624,296            643,016            —             1,267,312   
Short-Term Securities
           1,556,206            —             —             1,556,206   
Unfunded Loan Commitments
           —             1,304            —             1,304   
Total
         $ 5,479,764         $ 59,621,152         $ 2,130,575         $ 67,231,491   
                                     
 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Derivative Financial Instruments3
                                                    
Assets:
                                                                                 
Credit contracts
           —          $ 13,556         $ 70,224         $ 83,780   
Equity contracts
        $ 51,847            —             —             51,847   
Foreign currency exchange contracts
           —             18,779            —             18,779   
Interest rate contracts
           883             —             —             883    
Liabilities:
                                                                                 
Credit contracts
           —             (28,239 )           —             (28,239 )  
Foreign currency exchange contracts
           —             (15,831 )           —             (15,831 )  
Interest rate contracts
           (285 )           —             —             (285 )  
Total
         $    52,445         $     (11,735 )        $ 70,224         $    110,934   
3 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.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 87
 
  
Schedule of Investments (concluded)   BlackRock High Yield Trust (BHY)

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                       
Foreign currency at value
        $ 13,531            —             —          $ 13,531   
Cash pledged for financial futures contracts
           85,000            —             —             85,000   
Liabilities:
                                                                                 
Loan payable
           —          $ (19,000,000 )           —             (19,000,000 )  
Total
         $    98,531         $ (19,000,000 )           —          $ (18,901,469 )  

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2013.
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year 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
    
 Warrants
    
 Total
Assets:
                                                                                                                   
Opening Balance, as of August 31, 2012
           —          $ 1          $ 638,018         $ 1,898,540         $ 1          $ 2,536,560   
Transfers into Level 3
           —             —             247,288            182,845            —             430,133   
Transfers out of Level 3
           —             —             —             (136,510 )           —             (136,510 )  
Accrued discounts/premiums
           —                           —             8,721            —             8,721   
Net realized gain (loss)
           —             (1,069 )           1,255            17,394            (1 )           17,579   
Net change in unrealized appreciation/depreciation1
           —             98,752            (224,212 )           88,162            —             (37,298 )  
Purchases
        $ 297,297            59,040            150,000            1,081,898            —             1,588,235   
Sales
           —             (1 )           (548,176 )           (1,728,668 )           —             (2,276,845 )  
Closing Balance, as of August 31, 2013
         $ 297,297         $ 156,723         $ 264,173         $ 1,412,382            —          $ 2,130,575   

  1 Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2013 was $(124,223).

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

 
   
 Credit
Contracts
Assets:
                 
Opening Balance, as of August 31, 2012
        $ 90,639   
Transfers into Level 3
           —    
Transfers out of Level 3
           —    
Accrued discounts/premiums
           —    
Net realized gain (loss)
           —    
Net change in unrealized appreciation/depreciation2
           (20,415 )  
Purchases
           —    
Issues3
           —    
Sales
           —    
Settlements4
           —    
Closing Balance, as of August 31, 2013
         $ 70,224   

  2 Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held as of August 31, 2013 was $46,274.
  3 Issues represent upfront cash received on certain derivative financial instruments.
  4 Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments.

See Notes to Financial Statements.

88 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments August 31, 2013 BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)
Asset-Backed Securities                 Par
(000)		      Value
Asset-Backed Securities — 6.9%
                                                             
321 Henderson Receivables I LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (a)
      
USD
         670          $      683,407     
ACAS CLO Ltd., Series 2013-1A, Class C, 3.24%, 4/20/25 (a)(b)
      
 
         500             480,000   
AmeriCredit Automobile Receivables Trust, Series 2011-5, Class C, 3.44%, 10/08/17
      
 
         400             415,284   
Apidos CDO XI, Series 2012-11A, Class D, 4.52%, 1/17/23 (a)(b)
      
 
         600             596,100   
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (a)(b)
      
 
         750             712,875   
Babson CLO Ltd., Series 2012-1X, Class B, 2.77%, 4/15/22 (b)
      
 
         500             492,500   
Brookside Mill CLO Ltd., Series 2013-1A, Class C1, 2.92%, 4/17/25 (a)(b)
      
 
         500             474,400   
CarMax Auto Owner Trust, Series 2012-1:
                                                             
Class B, 1.76%, 8/15/17
      
 
         210             212,091   
Class C, 2.20%, 10/16/17
      
 
         125             126,935   
Class D, 3.09%, 8/15/18
      
 
         160             164,060   
Cavalry CLO Ltd., Series 2A (a)(b):
                                                             
Class C, 3.12%, 1/17/24
      
 
         1,040            995,800   
Class D, 4.27%, 1/17/24
      
 
         765             743,962   
CenterPoint Energy Transition Bond Co. LLC, Series 2012-1, Class A3, 3.03%, 10/15/25
      
 
         1,105            1,061,320   
CIFC Funding Ltd. (a)(b):
                                                             
Series 2012-1A, Class B1L, 5.51%, 8/14/24
      
 
         750             752,812   
Series 2013-1A, Class B, 3.09%, 4/16/25
      
 
         500             495,450   
Series 2013-1A, Class C, 3.88%, 4/16/25
      
 
         500             502,400   
Credit Acceptance Auto Loan Trust, Series 2010-1, Class B, 3.63%, 10/15/18 (a)
      
 
         1,023            1,023,764   
DT Auto Owner Trust, Series 2011-3A, Class C, 4.03%, 2/15/17 (a)
      
 
         260             261,246   
Duane Street CLO IV Ltd., Series 2007-4A, Class D, 2.51%, 11/14/21 (a)(b)
      
 
         500             479,750   
Ford Credit Floorplan Master Owner Trust:
                                                             
Series 2012-1, Class B, 1.08%, 1/15/16 (b)
      
 
         180             180,255   
Series 2012-1, Class C, 1.68%, 1/15/16 (b)
      
 
         480             481,561   
Series 2012-1, Class D, 2.28%, 1/15/16 (b)
      
 
         450             452,410   
Series 2012-2, Class B, 2.32%, 1/15/19
      
 
         245             248,906   
Series 2012-2, Class C, 2.86%, 1/15/19
      
 
         105             107,272   
Series 2012-2, Class D, 3.50%, 1/15/19
      
 
         200             205,550   
Galaxy CLO Ltd., Series 2013-15A, Class C, 2.88%, 4/15/25 (a)(b)
      
 
         500             476,250   
Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.29%, 7/25/37 (b)
      
 
         4             4,303   
ING IM CLO Ltd., Series 2012-2A, Class C, 3.72%, 10/15/22 (a)(b)
      
 
         750             754,500   
Nelnet Student Loan Trust (b):
                                                             
Series 2006-1, Class A5, 0.37%, 8/23/27
      
 
         525             510,692   
Series 2008-3, Class A4, 1.91%, 11/25/24
      
 
         620             651,970   
OZLM Funding III Ltd., Series 2013-3A, Class C, 4.17%, 1/22/25 (a)(b)
      
 
         500             488,750   
OZLM Funding Ltd., Series 2013-3A, Class B, 3.37%, 1/22/25 (a)(b)
      
 
         750             731,400   
PFS Financing Corp., Series 2012-AA, Class A, 1.38%, 2/15/16 (a)(b)
      
 
         480             480,969   
Santander Consumer Acquired Receivables Trust (a):
                                                             
Series 2011-S1A, Class B, 1.66%, 8/15/16
      
 
         407             408,876   
Series 2011-S1A, Class C, 2.01%, 8/15/16
      
 
         267             267,984   
Series 2011-S1A, Class D, 3.15%, 8/15/16
      
 
         276             277,412   
Series 2011-WO, Class C, 3.19%, 10/15/15
      
 
         575             581,963   
Santander Drive Auto Receivables Trust:
                                                             
Series 2010-2, Class B, 2.24%, 12/15/14
      
 
         253             253,723   
Series 2010-2, Class C, 3.89%, 7/17/17
      
 
         1,020            1,041,975   
Series 2010-B, Class C, 3.02%, 10/17/16 (a)
      
 
         604             610,530   
Series 2011-1, Class D, 4.01%, 2/15/17
      
 
         940             965,560   
Series 2011-S1A, Class B, 1.48%, 5/15/17 (a)
      
 
         137             137,726   
Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)
      
 
         26             25,903   
Asset-Backed Securities                 Par
(000)		      Value
Asset-Backed Securities (concluded)
                                                             
Santander Drive Auto Receivables Trust (concluded):
                                                             
Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)
      
USD
         362          $      364,261     
Series 2012-1, Class B, 2.72%, 5/16/16
      
 
         240             243,836   
Series 2012-1, Class C, 3.78%, 11/15/17
      
 
         325             332,170   
SLM Student Loan Trust:
                                                             
Series 2004-B, Class A2, 0.45%, 6/15/21 (b)
      
 
         152             149,735   
Series 2008-5, Class A3, 1.57%, 1/25/18 (b)
      
 
         525             530,690   
Series 2008-5, Class A4, 1.97%, 7/25/23 (b)
      
 
         630             662,153   
Series 2012-A, Class A1, 1.58%, 8/15/25 (a)(b)
      260             261,875   
Series 2012-A, Class A2, 3.83%, 1/17/45 (a)
      
 
         345             361,920   
Small Business Administration Participation Certificates, Class 1, Series 1996-20K, 6.95%, 11/01/16
      
 
         115             121,359   
Symphony CLO VII Ltd., Series 2011-7A, Class E, 3.86%, 7/28/21 (a)(b)
      
 
         750             717,660   
World Financial Network Credit Card Master Trust, Series 2012-C, Class C, 4.55%, 8/15/22
      
 
         1,180            1,227,888   
 
      
 
                       25,994,143   
Interest Only Asset-Backed Securities — 0.2%
                                                             
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a)
      
 
         3,409            240,749   
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (a)
      
 
         5,330            353,124   
 
      
 
                       593,873   
Total Asset-Backed Securities — 7.1%
      
 
                       26,588,016   
Common Stocks
     
 
         Shares                  
Paper & Forest Products — 0.1%
                                                             
NewPage Corp. (c)
      
 
         4,960            396,800   
Corporate Bonds
      
 
         Par
(000)		                  
Aerospace & Defense — 0.7%
                                                             
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21
      
USD
         230             248,400   
United Technologies Corp. (d):
                                                             
4.88%, 5/01/15
      
 
         1,250            1,337,602   
6.13%, 7/15/38
      
 
         750             913,877   
 
      
 
                       2,499,879   
Airlines — 1.7%
                                                             
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 7/15/24 (a)
      
 
         2,000            1,980,000   
Continental Airlines Pass-Through Trust:
                                                             
Series 2010-1, Class B, 6.00%, 7/12/20
      
 
         521             534,172   
Series 2012-3, Class C, 6.13%, 4/29/18
      
 
         500             507,250   
United Airlines 2013-1 Class A Pass Through Trust, 4.30%, 2/15/27
      
 
         2,000            1,965,000   
US Airways Pass-Through Trust, Series 2012-1,
Class C, 9.13%, 10/01/15
      
 
         1,552            1,613,895   
 
      
 
                       6,600,317   
Auto Components — 0.3%
                                                             
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18
      
 
         1,000            1,052,500   
Automobiles — 0.5%
                                                             
Ford Motor Co., 4.75%, 1/15/43
      
 
         2,005            1,772,470   
Building Products — 0.2%
                                                             
Cemex SAB de CV, 5.88%, 3/25/19 (a)
      
 
         200             189,500   
Momentive Performance Materials, Inc., 8.88%, 10/15/20
      
 
         250             259,375   
Texas Industries, Inc., 9.25%, 8/15/20
      
 
         326             356,155   
 
      
 
                       805,030   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 89
 
  
Schedule of Investments (continued)   BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Capital Markets — 3.8%
                                                             
CDP Financial, Inc., 5.60%, 11/25/39 (a)(d)
      
USD
         2,955         $    3,375,177     
The Goldman Sachs Group, Inc. (d):
                                                             
5.38%, 3/15/20
      
 
         1,215            1,321,834   
5.25%, 7/27/21
      
 
         3,175            3,392,688   
5.75%, 1/24/22
      
 
         1,815            1,993,316   
KCG Holdings, Inc., 8.25%, 6/15/18 (a)
      
 
         186             182,745   
Lehman Brothers Holdings, Inc., 6.50%,
7/19/17 (c)(e)
      
 
         225             —    
Morgan Stanley:
                                                             
4.20%, 11/20/14
      
 
         680             705,698   
4.00%, 7/24/15
      
 
         400             417,811   
6.25%, 8/28/17 (d)
      
 
         1,925            2,174,018   
Murray Street Investment Trust I, 4.65%,
3/09/17 (d)
      
 
         820             870,097   
 
      
 
                       14,433,384   
Chemicals — 1.3%
                                                             
Axiall Corp., 4.88%, 5/15/23 (a)
      
 
         152             140,980   
The Dow Chemical Co., 4.13%, 11/15/21
      
 
         350             355,832   
Huntsman International LLC, 4.88%, 11/15/20
      
 
         297             282,892   
Methanex Corp., 3.25%, 12/15/19
      
 
         2,074            2,018,944   
Nufarm Australia Ltd., 6.38%, 10/15/19 (a)
      
 
         240             240,000   
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (a)
      
 
         161             155,767   
Rockwood Specialties Group, Inc., 4.63%, 10/15/20
      
 
         1,481            1,455,082   
US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV, 7.38%, 5/01/21 (a)
      
 
         151             154,398   
 
      
 
                       4,803,895   
Commercial Banks — 3.2%
                                                             
CIT Group, Inc.:
                                                             
5.50%, 2/15/19 (a)
      
 
         398             407,950   
5.38%, 5/15/20
      
 
         1,650            1,658,250   
Depfa ACS Bank, 5.13%, 3/16/37 (a)
      
 
         4,150            3,449,687   
HSBC Bank Brasil SA—Banco Multiplo, 4.00%, 5/11/16 (a)(d)
      
 
         1,400            1,433,600   
HSBC Bank PLC, 3.10%, 5/24/16 (a)(d)
      
 
         695             728,220   
HSBC Holdings PLC, 6.10%, 1/14/42 (d)
      
 
         305             360,482   
Rabobank Nederland (d):
                                                             
3.88%, 2/08/22
      
 
         1,390            1,379,692   
3.95%, 11/09/22
      
 
         1,500            1,429,470   
Wells Fargo & Co., 3.50%, 3/08/22 (d)
      
 
         1,390            1,380,983   
 
      
 
                       12,228,334   
Commercial Services & Supplies — 1.4%
                                                             
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a)
      
 
         245             258,475   
The ADT Corp., 4.88%, 7/15/42
      
 
         539             394,091   
Aviation Capital Group Corp. (a):
                                                             
4.63%, 1/31/18
      
 
         650             648,706   
7.13%, 10/15/20
      
 
         900             979,228   
The Hertz Corp., 4.25%, 4/01/18 (a)
      
 
         237             232,260   
Mobile Mini, Inc., 7.88%, 12/01/20
      
 
         1,320            1,438,800   
UR Merger Sub Corp.:
                                                             
5.75%, 7/15/18
      
 
         194             207,095   
7.38%, 5/15/20
      
 
         385             414,837   
7.63%, 4/15/22
      
 
         455             489,125   
West Corp., 8.63%, 10/01/18
      
 
         135             146,138   
 
      
 
                       5,208,755   
Communications Equipment — 1.3%
                                                             
ADC Telecommunications, Inc., 3.50%, 7/15/15 (f)
      
 
         4,340            4,394,250   
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20
      
 
         530             575,050   
 
      
 
                       4,969,300   
Construction & Engineering — 0.1%
                                                             
ABB Finance USA, Inc., 4.38%, 5/08/42
      
 
         194             182,515   
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (a)
      
 
         200             201,000   
 
      
 
                       383,515   
                         
Corporate Bonds                 Par
(000)		      Value
Construction Materials — 1.1%
                                                             
HD Supply, Inc.:
                                                             
8.13%, 4/15/19
      
USD
         1,954         $    2,173,825     
7.50%, 7/15/20 (a)
      
 
         1,544            1,613,480   
11.50%, 7/15/20
      
 
         250             296,250   
Lafarge SA, 7.13%, 7/15/36
      
 
         135             140,400   
 
      
 
                       4,223,955   
Consumer Finance — 0.9%
                                                             
Discover Financial Services, 3.85%, 11/21/22
      
 
         250             235,873   
Ford Motor Credit Co. LLC:
                                                             
6.63%, 8/15/17
      
 
         280             316,180   
8.13%, 1/15/20
      
 
         1,265            1,538,045   
4.25%, 9/20/22
      
 
         800             779,513   
SLM Corp., 6.25%, 1/25/16
      
 
         651             693,315   
 
      
 
                       3,562,926   
Containers & Packaging — 0.5%
                                                             
Ardagh Packaging Finance PLC, 7.38%,
10/15/17 (a)
      
EUR
         425             597,931   
Crown Americas LLC/Crown Americas Capital
Corp. III, 6.25%, 2/01/21
      
USD
         91             95,550   
Sealed Air Corp. (a):
                                                             
6.50%, 12/01/20
      
 
         550             583,000   
8.38%, 9/15/21
      
 
         225             254,531   
Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (a)
      
 
         410             410,000   
 
      
 
                       1,941,012   
Diversified Consumer Services — 0.6%
                                                             
APX Group, Inc., 6.38%, 12/01/19 (a)
      
 
         634             597,545   
Rent-A-Center, Inc., 4.75%, 5/01/21 (a)
      
 
         431             398,675   
Service Corp. International, 4.50%, 11/15/20
      
 
         1,240            1,202,800   
 
      
 
                       2,199,020   
Diversified Financial Services — 7.0%
                                                             
Aircastle Ltd., 6.25%, 12/01/19
      
 
         705             734,963   
Ally Financial, Inc.:
                                                             
8.30%, 2/12/15
      
 
         860             928,800   
5.50%, 2/15/17
      
 
         1,500            1,581,193   
6.25%, 12/01/17
      
 
         160             171,565   
8.00%, 3/15/20
      
 
         560             644,700   
8.00%, 11/01/31
      
 
         300             345,000   
Bank of America Corp.:
                                                             
5.63%, 7/01/20 (d)
      
 
         1,100            1,210,623   
3.30%, 1/11/23
      
 
         5,010            4,631,404   
Citigroup, Inc., Series D, 5.35% (b)(g)
      
 
         1,050            931,875   
FMR LLC, 4.95%, 2/01/33 (a)(d)
      
 
         1,150            1,121,248   
General Electric Capital Corp., 6.75%, 3/15/32 (d)
      
 
         2,500            2,995,675   
General Motors Financial Co., Inc., 4.25%,
5/15/23 (a)
      
 
         406             365,400   
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (a)
      
 
         500             495,000   
Jefferies LoanCore LLC/JLC Finance Corp., 6.88%, 6/01/20 (a)
      
 
         626             615,045   
JPMorgan Chase & Co.:
                                                             
6.30%, 4/23/19 (d)
      
 
         1,375            1,597,874   
Series Q, 5.15%(b)(g)
      
 
         1,500            1,320,000   
JPMorgan Chase Bank NA, 6.00%, 10/01/17
      
 
         800             908,500   
Macquarie Bank Ltd., 10.25%, 6/20/57 (b)
      
 
         900             994,500   
Moody’s Corp., 4.50%, 9/01/22
      
 
         900             890,226   
Reynolds Group Issuer, Inc.:
                                                             
7.13%, 4/15/19
      
 
         200             212,750   
7.88%, 8/15/19
      
 
         560             616,000   
5.75%, 10/15/20
      
 
         1,000            991,250   
6.88%, 2/15/21
      
 
         1,255            1,324,025   
WMG Acquisition Corp., 11.50%, 10/01/18
      
 
         562             647,705   
 
      
 
                       26,275,321   

See Notes to Financial Statements.

90 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Diversified Telecommunication Services — 1.7%
                                                             
CenturyLink, Inc., Series V, 5.63%, 4/01/20
      
USD
         400          $     392,000     
Level 3 Financing, Inc.:
                                                             
8.13%, 7/01/19
      
 
         671             709,582   
8.63%, 7/15/20
      
 
         580             620,600   
Verizon Communications, Inc. (d):
                                                             
3.50%, 11/01/21
      
 
         500             489,578   
6.40%, 2/15/38
      
 
         3,396            3,821,356   
Windstream Corp., 7.88%, 11/01/17
      
 
         200             222,000   
 
      
 
                       6,255,116   
Electric Utilities — 6.4%
                                                             
The Cleveland Electric Illuminating Co.:
                                                             
8.88%, 11/15/18
      
 
         121             154,429   
5.95%, 12/15/36
      
 
         217             221,806   
CMS Energy Corp., 5.05%, 3/15/22
      
 
         917             986,042   
Duke Energy Carolinas LLC:
                                                             
6.10%, 6/01/37
      
 
         325             379,088   
6.00%, 1/15/38 (d)
      
 
         850             1,008,542   
4.25%, 12/15/41 (d)
      
 
         375             354,048   
E.ON International Finance BV, 6.65%, 4/30/38 (a)(d)
      1,575            1,926,671   
Electricite de France SA, 5.60%, 1/27/40 (a)(d)
      
 
         1,400            1,464,350   
Florida Power Corp.:
                                                             
6.35%, 9/15/37 (d)
      
 
         1,450            1,779,108   
6.40%, 6/15/38
      
 
         340             418,029   
Georgia Power Co., 3.00%, 4/15/16 (d)
      
 
         800             832,562   
Hydro-Quebec (d):
                                                             
9.40%, 2/01/21
      
 
         390             534,052   
Series HY 8.40%, 1/15/22
      
 
         730             973,567   
Series IO 8.05%, 7/07/24
      
 
         1,900            2,561,514   
Jersey Central Power & Light Co., 7.35%, 2/01/19
      
 
         245             290,713   
Nisource Finance Corp.:
                                                             
6.40%, 3/15/18
      
 
         280             323,259   
5.25%, 2/15/43
      
 
         500             483,036   
Ohio Power Co., Series D, 6.60%, 3/01/33
      
 
         1,500            1,781,007   
PacifiCorp., 6.25%, 10/15/37 (d)
      
 
         650             802,505   
Public Service Co. of Colorado, Series 17, 6.25%, 9/01/37 (d)
      
 
         1,350            1,697,941   
Southern California Edison Co. (d):
                                                             
5.63%, 2/01/36
      
 
         675             775,730   
Series 08-A, 5.95%, 2/01/38
      
 
         1,100            1,315,467   
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14
      
EUR
         650             857,557   
Virginia Electric and Power Co., Series A, 6.00%, 5/15/37 (d)
      
USD
         1,920            2,288,150   
 
      
 
                       24,209,173   
Energy Equipment & Services — 3.2%
                                                             
Calfrac Holdings LP, 7.50%, 12/01/20 (a)
      
 
         565             569,237   
Ensco PLC:
                                                             
3.25%, 3/15/16
      
 
         160             166,609   
4.70%, 3/15/21 (d)
      
 
         1,745            1,845,896   
EOG Resources, Inc., 2.63%, 3/15/23 (d)
      
 
         1,898            1,735,535   
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)
      
 
         497             530,548   
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21
      
 
         71             69,935   
GrafTech International Ltd., 6.38%, 11/15/20
      
 
         580             580,000   
MEG Energy Corp., 6.50%, 3/15/21 (a)
      
 
         560             569,800   
Noble Holding International Ltd., 5.25%, 3/15/42
      
 
         350             321,252   
Peabody Energy Corp.:
                                                             
6.00%, 11/15/18
      
 
         1,256            1,249,720   
6.25%, 11/15/21
      
 
         1,244            1,200,460   
Seadrill Ltd., 5.63%, 9/15/17 (a)
      
 
         1,590            1,601,925   
Tervita Corp., 8.00%, 11/15/18 (a)
      
 
         384             383,040   
Transocean, Inc.:
                                                             
5.05%, 12/15/16
      
 
         850             929,661   
6.50%, 11/15/20
      
 
         350             386,947   
 
      
 
                       12,140,565   
                         
Corporate Bonds                 Par
(000)		      Value
Food & Staples Retailing — 0.3%
                                                             
Barry Callebaut Services NV, 5.50%, 6/15/23 (a)
      
USD
         700          $     704,053     
Rite Aid Corp., 6.75%, 6/15/21 (a)
      
 
         279             282,488   
 
      
 
                       986,541   
Food Products — 1.1%
                                                             
Kraft Foods Group, Inc.:
                                                             
5.38%, 2/10/20
      
 
         1,570            1,762,248   
5.00%, 6/04/42
      
 
         997             978,284   
Pinnacle Foods Finance LLC, 4.88%, 5/01/21 (a)
      
 
         224             208,320   
Post Holdings, Inc., 7.38%, 2/15/22
      
 
         749             790,195   
Sun Merger Sub, Inc. (a):
                                                             
5.25%, 8/01/18
      
 
         328             329,230   
5.88%, 8/01/21
      
 
         169             168,578   
 
      
 
                       4,236,855   
Gas Utilities — 0.3%
                                                             
CenterPoint Energy Resources Corp., 5.85%, 1/15/41
      
 
         700             805,970   
Suburban Propane Partners LP/Suburban Energy Finance Corp., 7.50%, 10/01/18
      
 
         380             407,550   
 
      
 
                       1,213,520   
Health Care Equipment & Supplies — 0.5%
                                                             
Boston Scientific Corp., 6.25%, 11/15/15
      
 
         1,260            1,390,901   
DJO Finance LLC/DJO Finance Corp., 7.75%, 4/15/18
      
 
         40             39,300   
Teleflex, Inc., 6.88%, 6/01/19
      
 
         385             404,250   
 
      
 
                       1,834,451   
Health Care Providers & Services — 3.8%
                                                             
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19
      
 
         535             572,450   
CHS/Community Health Systems, Inc., 5.13%, 8/15/18
      
 
         400             409,000   
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (a)
      
EUR
         494             695,333   
HCA, Inc.:
                                                             
8.50%, 4/15/19
      
USD
         17             18,360   
6.50%, 2/15/20
      
 
         2,044            2,194,745   
7.25%, 9/15/20
      
 
         357             388,684   
4.75%, 5/01/23
      
 
         1,161            1,084,084   
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19
      
 
         75             78,563   
inVentiv Health, Inc., 9.00%, 1/15/18 (a)
      
 
         300             306,000   
Symbion, Inc., 8.00%, 6/15/16
      
 
         455             477,750   
Tenet Healthcare Corp.:
                                                             
6.25%, 11/01/18
      
 
         750             792,187   
4.50%, 4/01/21
      
 
         383             352,360   
4.38%, 10/01/21 (a)
      
 
         1,765            1,601,737   
UnitedHealth Group, Inc., 2.88%, 3/15/22 (d)
      
 
         2,000            1,884,586   
WellPoint, Inc., 4.65%, 1/15/43 (d)
      
 
         3,995            3,696,909   
 
      
 
                       14,552,748   
Hotels, Restaurants & Leisure — 2.0%
                                                             
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20
      
 
         398             382,080   
MCE Finance Ltd., 5.00%, 2/15/21 (a)
      
 
         941             863,367   
Playa Resorts Holding BV, 8.00%, 8/15/20 (a)
      
 
         150             153,000   
PNK Finance Corp., 6.38%, 8/01/21 (a)
      
 
         524             522,690   
Six Flags Entertainment Corp., 5.25%, 1/15/21 (a)
      
 
         859             811,755   
The Unique Pub Finance Co. PLC:
                                                             
Series A3, 6.54%, 3/30/21
      
GBP
         900             1,405,191   
Series A4, 5.66%, 6/30/27
      
 
         1,322            1,915,538   
Series N, 6.46%, 3/30/32
      
 
         1,195            1,328,733   
 
      
 
                       7,382,354   
Household Durables — 0.1%
                                                             
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (a)
      
USD
         374             353,430   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 91
 
  
Schedule of Investments (continued)   BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Household Products — 0.2%
                                                             
Ontex IV SA, 7.50%, 4/15/18 (a)
      
EUR
         190          $     263,709     
Spectrum Brands Escrow Corp. (a):
                                                             
6.38%, 11/15/20
      
USD
         200             207,000   
6.63%, 11/15/22
      
 
         275             281,875   
 
      
 
                       752,584   
Industrial Conglomerates — 0.0%
                                                             
Smiths Group PLC, 3.63%, 10/12/22 (a)
      
 
         180             166,186   
Insurance — 5.5%
                                                             
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (a)
      
 
         608             621,680   
Allianz Finance II BV, 5.75%, 7/08/41 (b)
      
EUR
         500             724,059   
The Allstate Corp., 5.75%, 8/15/53 (b)
      
USD
         1,000            985,000   
American International Group, Inc.:
                                                             
3.80%, 3/22/17 (d)
      
 
         5,580            5,905,035   
5.45%, 5/18/17 (d)
      
 
         800             888,101   
8.18%, 5/15/68 (b)
      
 
         970             1,137,325   
AXA SA, 5.25%, 4/16/40 (b)
      
EUR
         250             343,080   
Hartford Financial Services Group, Inc.:
                                                             
6.00%, 1/15/19
      
USD
         345             392,091   
5.13%, 4/15/22
      
 
         930             1,012,675   
Liberty Mutual Group, Inc., 6.50%, 5/01/42 (a)
      
 
         1,000            1,102,383   
Lincoln National Corp., 6.25%, 2/15/20
      
 
         630             729,594   
Manulife Financial Corp., 3.40%, 9/17/15 (d)
      
 
         1,625            1,701,507   
MetLife Global Funding I, 5.13%, 6/10/14 (a)(d)
      
 
         775             802,599   
Montpelier Re Holdings Ltd., 4.70%, 10/15/22
      
 
         450             437,017   
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)
      
 
         340             350,200   
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)
      
EUR
         200             297,866   
Prudential Financial, Inc. (d):
                                                             
4.75%, 9/17/15
      
USD
         1,220            1,312,536   
7.38%, 6/15/19
      
 
         300             367,747   
5.38%, 6/21/20
      
 
         250             280,537   
4.50%, 11/15/20
      
 
         400             427,351   
5.70%, 12/14/36
      
 
         950             1,012,941   
 
      
 
                       20,831,324   
Internet Software & Services — 0.2%
                                                             
Equinix, Inc., 4.88%, 4/01/20
      
 
         87             83,738   
InterActiveCorp, 4.75%, 12/15/22
      
 
         598             551,655   
VeriSign, Inc., 4.63%, 5/01/23 (a)
      
 
         345             322,575   
 
      
 
                       957,968   
IT Services — 0.7%
                                                             
First Data Corp. (a):
                                                             
7.38%, 6/15/19
      
 
         205             212,688   
8.88%, 8/15/20
      
 
         1,000            1,080,000   
6.75%, 11/01/20
      
 
         680             695,300   
SunGard Data Systems, Inc., 7.38%, 11/15/18
      
 
         490             520,625   
 
      
 
                       2,508,613   
Life Sciences Tools & Services — 0.1%
                                                             
Agilent Technologies, Inc., 3.20%, 10/01/22
      
 
         250             231,312   
Machinery — 0.1%
                                                             
Navistar International Corp., 8.25%, 11/01/21
      
 
         381             378,619   
Marine — 0.3%
                                                             
Nakilat, Inc., Series A, 6.07%, 12/31/33 (a)(d)
      
 
         1,100            1,155,000   
Media — 6.6%
                                                             
AMC Networks, Inc.:
                                                             
7.75%, 7/15/21
      
 
         320             353,600   
4.75%, 12/15/22
      
 
         343             321,563   
Cinemark USA, Inc., 5.13%, 12/15/22
      
 
         175             163,625   
Clear Channel Communications, Inc., 9.00%, 12/15/19
      
 
         306             294,525   
Clear Channel Worldwide Holdings, Inc.:
                                                             
Series B 6.50%, 11/15/22
      
 
         671             665,967   
Series B Series wi, 6.50%, 11/15/22
      
 
         1,814            1,814,000   
Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22 (d)
      
 
         2,000            2,802,220   
                         
Corporate Bonds                 Par
(000)		      Value
Media (concluded)
                                                             
Cox Communications, Inc. (a):
                                                             
6.95%, 6/01/38
      
USD
         1,000         $   1,058,060     
8.38%, 3/01/39
      
 
         1,735            2,074,550   
DIRECTV Holdings LLC:
                                                             
6.38%, 3/01/41
      
 
         260             259,998   
5.15%, 3/15/42
      
 
         2,100            1,807,871   
Intelsat Jackson Holdings SA, 5.50%, 8/01/23 (a)
      
 
         700             649,250   
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (a)
      
 
         109             113,360   
Lynx I Corp., 5.38%, 4/15/21 (a)
      
 
         395             385,125   
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a)
      
 
         345             349,313   
NBC Universal Media LLC (d):
                                                             
5.15%, 4/30/20
      
 
         1,974            2,225,734   
4.38%, 4/01/21
      
 
         1,015            1,085,515   
The New York Times Co., 6.63%, 12/15/16
      
 
         1,070            1,185,025   
Omnicom Group, Inc., 3.63%, 5/01/22 (d)
      
 
         2,355            2,274,235   
Sirius XM Radio, Inc., 4.25%, 5/15/20 (a)
      
 
         334             305,610   
Time Warner, Inc.:
                                                             
4.70%, 1/15/21
      
 
         1,000            1,061,953   
6.10%, 7/15/40
      
 
         615             663,244   
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.50%, 1/15/23 (a)
      
 
         250             227,500   
Univision Communications, Inc., 5.13%, 5/15/23 (a)
      1,153            1,088,144   
Virgin Media Secured Finance PLC:
                                                             
6.50%, 1/15/18
      
 
         330             344,025   
7.00%, 1/15/18
      
GBP
         792             1,282,594   
 
      
 
                       24,856,606   
Metals & Mining — 4.1%
                                                             
Alcoa, Inc., 5.40%, 4/15/21
      
USD
         1,450            1,432,211   
ArcelorMittal:
                                                             
9.50%, 2/15/15
      
 
         395             433,512   
4.25%, 2/25/15
      
 
         174             178,568   
4.25%, 8/05/15
      
 
         174             179,220   
4.25%, 3/01/16
      
 
         175             178,500   
5.00%, 2/25/17
      
 
         215             219,838   
6.13%, 6/01/18
      
 
         314             323,420   
Commercial Metals Co., 4.88%, 5/15/23
      
 
         561             507,705   
Corp. Nacional del Cobre de Chile, 3.00%,
7/17/22 (a)(d)
      
 
         1,566            1,385,282   
FMG Resources August 2006 Property Ltd., 6.00%, 4/01/17 (a)
      
 
         405             412,087   
Freeport-McMoRan Copper & Gold, Inc.:
                                                             
3.55%, 3/01/22
      
 
         540             481,903   
5.45%, 3/15/43 (a)
      
 
         450             388,031   
New Gold, Inc., 6.25%, 11/15/22 (a)
      
 
         435             416,512   
Newcrest Finance Property Ltd., 4.45%, 11/15/21 (a)
      475             407,073   
Novelis, Inc., 8.75%, 12/15/20
      
 
         4,105            4,464,187   
Teck Resources Ltd., 5.38%, 10/01/15
      
 
         2,350            2,531,411   
Xstrata Canada Corp., 6.20%, 6/15/35
      
 
         1,550            1,397,105   
 
      
 
                       15,336,565   
Multiline Retail — 0.8%
                                                             
Dollar General Corp., 3.25%, 4/15/23
      
 
         2,000            1,821,376   
Dufry Finance SCA, 5.50%, 10/15/20 (a)
      
 
         1,260            1,285,894   
 
      
 
                       3,107,270   
Oil, Gas & Consumable Fuels — 11.4%
                                                             
Access Midstream Partners LP/ACMP Finance Corp., 6.13%, 7/15/22
      
 
         400             411,000   
Anadarko Petroleum Corp., 5.95%, 9/15/16
      
 
         1,916            2,148,882   
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (a)
      
 
         159             160,590   
Bonanza Creek Energy, Inc., 6.75%, 4/15/21
      
 
         59             60,033   
BP Capital Markets PLC, 3.13%, 10/01/15
      
 
         330             345,433   
Burlington Resources Finance Co., 7.40%, 12/01/31 (d)
      
 
         950             1,251,302   
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20
      
 
         400             422,000   
Cenovus Energy, Inc., 6.75%, 11/15/39
      
 
         750             898,759   

See Notes to Financial Statements.

92 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Oil, Gas & Consumable Fuels (continued)
                                                             
Chesapeake Energy Corp., 5.75%, 3/15/23
      
USD
         615          $     611,925     
ConocoPhillips Canada Funding Co., 5.95%, 10/15/36
      
 
         150             173,806   
CONSOL Energy, Inc.:
                                                             
8.00%, 4/01/17
      
 
         514             542,270   
8.25%, 4/01/20
      
 
         166             175,960   
Continental Resources, Inc., 4.50%, 4/15/23
      
 
         114             112,005   
Denbury Resources, Inc., 4.63%, 7/15/23
      
 
         627             559,597   
El Paso Natural Gas Co. LLC, 8.38%, 6/15/32
      
 
         275             360,814   
El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/01/20
      
 
         240             275,126   
Energy Transfer Partners LP, 7.50%, 7/01/38
      
 
         500             585,646   
Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17
      
 
         455             506,187   
Enterprise Products Operating LLC:
                                                             
4.05%, 2/15/22 (d)
      
 
         1,250            1,279,716   
6.13%, 10/15/39
      
 
         700             783,786   
Series L, 6.30%, 9/15/17
      
 
         600             691,878   
KeySpan Gas East Corp., 5.82%, 4/01/41 (a)(d)
      
 
         505             570,198   
Kinder Morgan Energy Partners LP:
                                                             
5.95%, 2/15/18
      
 
         1,300            1,488,265   
6.50%, 9/01/39
      
 
         3,000            3,343,026   
6.55%, 9/15/40
      
 
         110             123,550   
6.38%, 3/01/41
      
 
         160             176,689   
Kodiak Oil & Gas Corp.:
                                                             
8.13%, 12/01/19
      
 
         110             120,450   
5.50%, 2/01/22 (a)
      
 
         106             102,290   
Linn Energy LLC/Linn Energy Finance Corp., 6.25%, 11/01/19 (a)
      
 
         355             326,600   
Marathon Petroleum Corp., 6.50%, 3/01/41
      
 
         1,052            1,158,725   
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.25%, 6/15/22
      
 
         43             44,935   
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21
      
 
         212             204,580   
MidAmerican Energy Co., 5.80%, 10/15/36
      
 
         800             916,466   
MidAmerican Energy Holdings Co.:
                                                             
5.95%, 5/15/37
      
 
         950             1,062,348   
6.50%, 9/15/37
      
 
         2,115            2,510,903   
Nexen, Inc.:
                                                             
6.40%, 5/15/37
      
 
         400             433,171   
7.50%, 7/30/39
      
 
         670             822,187   
Offshore Group Investment Ltd., 7.13%, 4/01/23
      
 
         232             223,300   
Pacific Drilling SA, 5.38%, 6/01/20 (a)
      
 
         370             357,050   
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20
      
 
         47             48,058   
PDC Energy, Inc., 7.75%, 10/15/22
      
 
         300             315,000   
Petrobras International Finance Co.:
                                                             
3.88%, 1/27/16
      
 
         1,335            1,369,965   
5.75%, 1/20/20
      
 
         1,760            1,781,461   
Pioneer Natural Resources Co., 3.95%, 7/15/22
      
 
         350             345,629   
Premier Oil PLC, 5.00%, 6/09/18
      
 
         1,900            1,900,000   
Range Resources Corp.:
                                                             
5.75%, 6/01/21
      
 
         851             891,422   
5.00%, 8/15/22
      
 
         90             87,975   
Regency Energy Partners LP, 4.50%, 11/01/23 (a)
      
 
         249             222,233   
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (a)
      
 
         168             168,000   
Rosetta Resources, Inc., 5.63%, 5/01/21
      
 
         239             230,635   
Sabine Pass Liquefaction LLC (a):
                                                             
5.63%, 2/01/21
      
 
         1,791            1,710,405   
5.63%, 4/15/23
      
 
         469             434,998   
Sabine Pass LNG LP:
                                                             
7.50%, 11/30/16
      
 
         1,120            1,233,400   
6.50%, 11/01/20 (a)
      
 
         475             477,375   
SandRidge Energy, Inc.:
                                                             
8.75%, 1/15/20
      
 
         23             24,035   
7.50%, 2/15/23
      
 
         238             230,265   
                         
Corporate Bonds                 Par
(000)		      Value
Oil, Gas & Consumable Fuels (concluded)
                                                             
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (a)
      
USD
         388          $     393,820     
Tennessee Gas Pipeline Co. LLC, 7.50%, 4/01/17
      
 
         1,030            1,213,518   
Western Gas Partners LP:
                                                             
5.38%, 6/01/21
      
 
         715             772,612   
4.00%, 7/01/22
      
 
         200             194,995   
The Williams Cos., Inc., Series A, 7.50%, 1/15/31
      
 
         2,500            2,803,765   
 
      
 
                       43,191,014   
Paper & Forest Products — 0.5%
                                                             
Clearwater Paper Corp., 7.13%, 11/01/18
      
 
         1,000            1,075,000   
International Paper Co.:
                                                             
7.50%, 8/15/21
      
 
         75             92,315   
4.75%, 2/15/22
      
 
         420             441,560   
6.00%, 11/15/41
      
 
         435             471,913   
NewPage Corp., 11.38%, 12/31/14 (c)(e)
      
 
         1,144            —    
 
      
 
                       2,080,788   
Pharmaceuticals — 0.8%
                                                             
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (a)
      
EUR
         200             292,085   
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (a)
      
USD
         520             587,600   
Valeant Pharmaceuticals International, 6.38%, 10/15/20 (a)
      
 
         575             584,344   
VPII Escrow Corp., 6.75%, 8/15/18 (a)
      
 
         1,322            1,399,667   
 
      
 
                       2,863,696   
Real Estate Investment Trusts (REITs) — 0.7%
                                                             
Felcor Lodging LP, 5.63%, 3/01/23
      
 
         247             229,710   
Simon Property Group LP, 4.75%, 3/15/42 (d)
      
 
         835             796,736   
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21
      
 
         275             286,799   
Vornado Realty LP, 5.00%, 1/15/22
      
 
         1,190            1,243,745   
 
      
 
                       2,556,990   
Real Estate Management & Development — 0.9%
                                                             
Lennar Corp., 5.00%, 11/15/22 (a)
      
 
         440             403,700   
Punch Taverns Finance PLC, Series A2R, 6.82%, 7/15/20
      
GBP
         669             1,046,804   
Realogy Corp. (a)(d):
                                                             
7.88%, 2/15/19
      
USD
         369             401,288   
7.63%, 1/15/20
      
 
         520             582,400   
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (a)
      
 
         477             473,422   
WEA Finance LLC, 4.63%, 5/10/21 (a)
      
 
         305             317,501   
 
      
 
                       3,225,115   
Road & Rail — 0.9%
                                                             
Burlington Northern Santa Fe LLC, 5.75%, 5/01/40
      
 
         940             1,027,712   
The Hertz Corp.:
                                                             
5.88%, 10/15/20
      
 
         230             236,038   
7.38%, 1/15/21
      
 
         1,450            1,566,000   
6.25%, 10/15/22
      
 
         385             391,737   
 
      
 
                       3,221,487   
Semiconductors & Semiconductor Equipment — 0.1%
                                   
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (a)
      
 
         470             470,000   
Software — 0.5%
                                                             
Nuance Communications, Inc., 5.38%, 8/15/20 (a)
      
 
         1,085            1,033,462   
Oracle Corp., 5.38%, 7/15/40 (d)
      
 
         800             877,321   
 
      
 
                       1,910,783   
Specialty Retail — 0.6%
                                                             
The Home Depot, Inc., 5.88%, 12/16/36 (d)
      
 
         830             956,119   
QVC, Inc. (a):
                                                             
7.50%, 10/01/19
      
 
         395             425,841   
7.38%, 10/15/20
      
 
         975             1,059,384   
 
      
 
                       2,441,344   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 93
 
  
Schedule of Investments (continued)   BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Textiles, Apparel & Luxury Goods — 0.3%
                                                             
PVH Corp., 4.50%, 12/15/22
      
USD
         487          $     451,084     
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (a)
      
 
         404             398,950   
The William Carter Co., 5.25%, 8/15/21 (a)
      
 
         329             330,645   
 
      
 
                       1,180,679   
Thrifts & Mortgage Finance — 0.4%
                                                             
Radian Group, Inc., 5.38%, 6/15/15
      
 
         1,400            1,449,000   
Tobacco — 1.2%
                                                             
Altria Group, Inc.:
                                                             
9.95%, 11/10/38
      
 
         800             1,183,177   
10.20%, 2/06/39
      
 
         1,389            2,108,651   
Lorillard Tobacco Co., 7.00%, 8/04/41
      
 
         500             515,256   
Reynolds American, Inc., 4.75%, 11/01/42
      
 
         1,050            917,649   
 
      
 
                       4,724,733   
Wireless Telecommunication Services — 2.5%
                                                             
America Movil SAB de CV, 2.38%, 9/08/16
      
 
         800             810,906   
Crown Castle International Corp., 5.25%, 1/15/23
      
 
         465             439,425   
Crown Castle Towers LLC, 6.11%, 1/15/40 (a)
      
 
         1,595            1,798,444   
Digicel Group Ltd., 8.25%, 9/30/20 (a)
      
 
         405             429,300   
Digicel Ltd., 6.00%, 4/15/21 (a)
      
 
         800             772,000   
MetroPCS Wireless, Inc., 6.63%, 11/15/20
      
 
         504             522,900   
Rogers Communications, Inc., 7.50%, 8/15/38
      
 
         1,175            1,504,207   
SBA Tower Trust, 5.10%, 4/15/42 (a)
      
 
         360             386,299   
Softbank Corp., 4.50%, 4/15/20 (a)
      
 
         550             519,992   
Sprint Capital Corp.:
                                                             
6.88%, 11/15/28
      
 
         398             359,195   
8.75%, 3/15/32
      
 
         350             358,750   
Sprint Communications, Inc. (a):
                                                             
9.00%, 11/15/18
      
 
         530             618,775   
7.00%, 3/01/20
      
 
         872             937,400   
 
      
 
                       9,457,593   
Total Corporate Bonds — 83.4%
      
 
                       315,179,635   
Foreign Agency Obligations
Italy Government International Bond, 5.38%, 6/15/33
      
 
         470             470,987   
Slovenia Government Bond, Series RS65, 4.38%, 4/02/14
      
EUR
         1,600            2,129,337   
Slovenia Government International Bond, 5.85%, 5/10/23 (a)
      
USD
         432             406,080   
Total Foreign Agency Obligations — 0.8%
      
 
                       3,006,404   
Municipal Bonds
City of Detroit Michigan, GO, Capital Improvement, Limited Tax, Series A-2, 8.00%, 4/01/14 (c)(e)
      
 
         1,525            610,000   
District of Columbia, Refunding RB, Howard University Issue, Series B, 7.63%, 10/01/35
      
 
         1,000            1,096,800   
East Bay Municipal Utility District, RB, Build America Bonds, 5.87%, 6/01/40
      
 
         950             1,095,749   
Indianapolis Local Public Improvement Bond Bank, RB, Build America Bonds, 6.12%, 1/15/40
      
 
         1,260            1,457,114   
Metropolitan Transportation Authority, RB, Build America Bonds, 7.34%, 11/15/39
      
 
         670             882,826   
Municipal Electric Authority of Georgia Plant Vogtle Units 3 & 4, Refunding RB, Build America Bonds, 7.06%, 4/01/57
      
 
         1,000            1,000,470   
New York City Municipal Water Finance Authority, Refunding RB, Second General Resolution:
                                                             
Build America Bonds, 5.72%, 6/15/42
      
 
         690             779,500   
Series EE, 5.38%, 6/15/43
      
 
         385             400,858   
Series EE, 5.50%, 6/15/43
      
 
         465             489,464   
                         
Municipal Bonds                 Par
(000)		      Value
New York State Dormitory Authority, RB, Build America Bonds:
                                                             
5.63%, 3/15/39
      
USD
         550          $    595,188     
5.60%, 3/15/40
      
 
         950             1,025,905   
Port Authority of New York & New Jersey, RB, Consolidated, 159th Series, 6.04%, 12/01/29
      
 
         395             456,612   
State of California, GO, Build America Bonds:
                                                             
7.63%, 3/01/40
      
 
         860             1,114,835   
Various Purpose, 7.55%, 4/01/39
      
 
         140             181,472   
State of Illinois, GO, Pension Funding, 5.10%, 6/01/33
      
 
         1,000            876,150   
University of California, RB, Build America Bonds, 5.95%, 5/15/45
      
 
         440             476,727   
Total Municipal Bonds — 3.3%
      
 
                       12,539,670   
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 2.0%
                                                             
Banc of America Funding Corp., Series 2007-2, Class 1A2, 6.00%, 3/25/37
      
 
         846             743,080   
Collateralized Mortgage Obligation Trust, Series 40, Class R, 0.58%, 4/01/18
      
 
         25             25    
Countrywide Alternative Loan Trust:
                                                             
Series 2005-64CB, Class 1A15, 5.50%, 12/25/35
      
 
         1,287            1,122,516   
Series 2006-OA21, Class A1, 0.37%, 3/20/47 (b)
      784             533,878   
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2006-OA5, Class 2A1, 0.38%, 4/25/46 (b)
      307             226,235   
Series 2007-10, Class A22, 6.00%, 7/25/37
      
 
         463             403,370   
Credit Suisse Mortgage Capital Certificates, Series 2011-2R, Class 2A1, 2.63%, 7/27/36 (a)(b)
      
 
         1,131            1,126,861   
GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 5A1, 5.19%, 6/19/35 (b)
      
 
         790             779,747   
Homebanc Mortgage Trust, Series 2006-2, Class A1, 0.36%, 12/25/36 (b)
      
 
         532             440,254   
IndyMac IMJA Mortgage Loan Trust, Series 2007-A1, Class A4, 6.00%, 8/25/37
      
 
         670             574,704   
Merrill Lynch Mortgage Investors, Inc., Series 2006-A3, Class 3A1, 2.91%, 5/25/36 (b)
      
 
         598             480,493   
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33
      
 
         905             964,460   
WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, 0.93%, 5/25/47 (b)
      
 
         335             279,271   
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-10, Class 1A21, 6.00%, 7/25/37
      
 
         40             37,460   
 
      
 
                       7,712,354   
Commercial Mortgage-Backed Securities — 12.9%
                                                             
Banc of America Commercial Mortgage Trust:
                                                             
Series 2006-6, Class A2, 5.31%, 10/10/45
      
 
         1,317            1,331,089   
Series 2007-1, Class A4, 5.45%, 1/15/49
      
 
         500             542,151   
Series 2007-2, Class A4, 5.79%, 4/10/49 (b)
      
 
         750             833,602   
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class A4A, 4.87%, 9/11/42
      
 
         800             846,269   
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.34%, 12/10/49 (b)
      
 
         1,200            1,344,833   
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48
      
 
         1,100            1,193,334   
Commercial Mortgage Loan Trust, Series 2008-LS1, Class A4B, 6.21%, 12/10/49 (b)
      
 
         1,515            1,702,380   
Commercial Mortgage Pass-Through Certificates:
                                                             
Series 2006-C7, Class AM, 5.97%, 6/10/46 (b)
      
 
         1,750            1,870,773   
Series 2013-LC6, Class B, 3.74%, 1/10/46
      
 
         695             640,929   
Series 2013-LC6, Class D, 4.43%,
1/10/46 (a)(b)
      
 
         835             685,330   

See Notes to Financial Statements.

94 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)
Non-Agency Mortgage-Backed Securities                 Par
(000)		      Value
Commercial Mortgage-Backed Securities (concluded)
Credit Suisse Mortgage Capital Certificates:
                                                             
Series 2006-C3, Class AM, 5.99%, 6/15/38 (b)
      
USD
         1,000         $ 1,082,354     
Series 2006-C5, Class AM, 5.34%, 12/15/39
      
 
         1,750            1,854,505   
Series 2010-RR2, Class 2A, 5.95%, 9/15/39 (a)(b)
      1,010            1,107,708   
CS First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37
      
 
         705             731,934   
DBRR Trust, Series 2011-C32, Class A3A, 5.92%, 6/17/49 (a)(b)
      
 
         365             403,267   
GMAC Commercial Mortgage Securities, Inc., Series 2004-C3, Class A4, 4.55%, 12/10/41
      
 
         455             455,852   
Greenwich Capital Commercial Funding Corp., Class A4:
Series 2006-GG7, 6.06%, 7/10/38 (b)
      
 
         1,169            1,283,521   
Series 2007-GG9, 5.44%, 3/10/39
      
 
         2,165            2,376,503   
GS Mortgage Securities Trust:
                                                             
Series 2007-GG10, Class A4, 5.99%,
8/10/45 (b)(d)
      
 
         430             473,406   
Series 2013-GC10, Class B, 3.68%, 2/10/46 (a)
      1,255            1,147,571   
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2004-LN2, Class A2 5.12%, 7/15/41
      
 
         820             839,603   
Series 2006-CB14, Class AM 5.63%, 12/12/44 (b)
      330             356,008   
LB-UBS Commercial Mortgage Trust (b):
                                                             
Series 2004-C4, Class A3, 5.56%, 6/15/29
      
 
         274             277,991   
Series 2004-C8, Class C, 4.93%, 12/15/39
      
 
         1,385            1,422,074   
Series 2007-C6, Class A4, 5.86%, 7/15/40
      
 
         5,225            5,720,022   
Series 2007-C7, Class A3, 5.87%, 9/15/45
      
 
         1,400            1,534,739   
Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A4, 5.45%, 2/12/44 (b)
      
 
         4,000            4,413,436   
Morgan Stanley Reremic Trust, Series 2011, Class A, 2.50%, 3/23/51 (a)
      
 
         384             384,137   
RCMC LLC, Series 2012-CRE1, Class A, 5.62%, 11/15/44 (a)
      
 
         911             908,827   
Titan Europe PLC, Series 2007-1X, Class A, 0.76%, 1/20/17 (b)
      
GBP
         1,607            2,142,216   
Wachovia Bank Commercial Mortgage Trust:
                                                             
Series 2006-C28, Class A2, 5.50%, 10/15/48
      
USD
         4,049            4,075,696   
Series 2007-C33, Class A4, 6.12%, 2/15/51 (b)
      2,285            2,493,442   
WF-RBS Commercial Mortgage Trust:
                                                             
Series 2012-C8, Class B, 4.31%, 8/15/45
      
 
         700             686,957   
Series 2012-C8, Class C, 5.04%, 8/15/45 (b)
      
 
         900             872,499   
Series 2013-C11, Class D, 4.32%,
3/15/45 (a)(b)
      
 
         800             643,526   
 
      
 
                       48,678,484   
Interest Only Collateralized Mortgage Obligations — 0.0%
GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b)
      
 
         1,774            34,430   
Interest Only Commercial Mortgage-Backed Securities — 1.3%
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA,
2.05%, 8/15/45 (a)(b)
      
 
         15,784            1,565,945   
Morgan Stanley Capital I Trust, Series 2012-C4, Class XA, 2.86%, 3/15/45 (a)(b)
      
 
         9,480            1,224,904   
WF-RBS Commercial Mortgage Trust (a)(b):
                                                             
Series 2012-C8, Class XA, 2.40%, 8/15/45
      
 
         6,041            736,130   
Series 2012-C9, Class XA, 2.43%, 11/15/45
      
 
         10,716            1,380,646   
 
      
 
                       4,907,625   
Total Non-Agency Mortgage-Backed Securities — 16.2%
                    61,332,893   
Preferred Securities
Capital Trusts
Capital Markets — 0.4%
                                                             
The Bank of New York Mellon Corp., Series D,
4.50% (b)(g)
      
 
         1,702            1,523,290   
State Street Capital Trust IV, 1.25%, 6/15/37 (b)
      
 
         70             56,700   
 
      
 
                       1,579,990   
                         
Preferred Securities                 Par
(000)		      Value
Commercial Banks — 0.9%
                                                             
BNP Paribas SA, 7.20% (a)(b)(g)
      
USD
         1,000         $    987,500     
BPCE SA, 12.50% (a)(b)(g)
      
 
         800             996,000   
Fifth Third Capital Trust IV, 6.50%, 4/15/37 (b)
      
 
         505             501,212   
Wachovia Capital Trust III, 5.57% (b)(g)
      
 
         1,025            968,625   
 
      
 
                       3,453,337   
Diversified Financial Services — 1.6%
                                                             
Capital One Financial Corp., 4.75%, 7/15/21
      
 
         975             1,025,939   
General Electric Capital Corp., Series B,
6.25% (b)(d)(g)
      
 
         900             913,500   
JPMorgan Chase & Co., Series 1, 7.90% (b)(g)
      
 
         3,500            3,858,750   
 
      
 
                       5,798,189   
Electric Utilities — 0.5%
                                                             
Electricite de France SA, 5.25% (a)(b)(g)
      
 
         2,100            1,968,750   
Insurance — 3.2%
                                                             
The Allstate Corp., 6.50%, 5/15/57 (b)(d)
      
 
         2,150            2,279,000   
AXA SA, 6.46% (a)(b)(g)
      
 
         1,025            1,019,875   
Genworth Holdings, Inc., 6.15%, 11/15/66 (b)
      
 
         1,150            1,000,500   
Liberty Mutual Group, Inc., 7.00%, 3/15/37 (a)(b)
      
 
         975             989,625   
Lincoln National Corp., 6.05%, 4/20/67 (b)
      
 
         750             742,500   
MetLife Capital Trust IV, 7.88%, 12/15/37 (a)
      
 
         645             732,075   
MetLife, Inc., 6.40%, 12/15/66
      
 
         3,500            3,517,500   
Swiss Re Capital I LP, 6.85% (a)(b)(d)(g)
      
 
         1,060            1,107,700   
XL Group PLC, Series E, 6.50% (b)(g)
      
 
         810             783,675   
 
      
 
                       12,172,450   
Total Capital Trusts — 6.6%
      
 
                       24,972,716   
Preferred Stock
      
 
         Shares                  
Capital Markets — 0.3%
                                                             
The Goldman Sachs Group, Inc., 5.50% (b)
      
 
         46,000            1,041,900   
Commercial Banks — 1.1%
                                                             
US Bancorp, 6.00% (b)
      
 
         150,000            4,023,000   
Thrifts & Mortgage Finance — 0.0%
                                                             
Fannie Mae, 8.25% (b)
      
 
         10,000            51,800   
Total Preferred Stocks — 1.4%
      
 
                       5,116,700   
Trust Preferreds — 0.1%
      
 
                            
Commercial Banks — 0.1%
                                                             
Citigroup Capital XIII, 7.88%, 10/30/40 (b)
      
 
         14,810            404,683   
Total Preferred Securities — 8.1%
      
 
                       30,494,099   
US Government Sponsored Agency Securities
      
 
         Par (000 )                
Agency Obligations — 3.3%
                                                             
Fannie Mae (d):
                                                             
2.95%, 10/09/19 (h)
      
USD
         7,305            6,108,551   
5.63%, 7/15/37
      
 
         825             1,011,202   
Federal Home Loan Bank (d):
                                                             
5.25%, 12/09/22
      
 
         700             812,111   
5.37%, 9/09/24
      
 
         1,100            1,272,955   
Resolution Funding Corp., 3.91%, 4/15/30 (h)
      
 
         6,055            3,182,914   
 
      
 
                       12,387,733   
Collateralized Mortgage Obligations — 0.1%
                                                             
Fannie Mae Mortgage-Backed Securities:
                                                             
Series 1991-46, Class S, 2,476.85%, 5/25/21 (b)
      — (i)           1,618   
Series 1991-87, Class S, 26.19%, 8/25/21 (b)
      
 
         16             24,910   
Series 2005-5, Class PK, 5.00%, 12/25/34
      
 
         414             441,157   
Series G-7, Class S, 1,123.81%, 3/25/21 (b)
      
 
         — (i)           1,260   
Series G-17, Class S, 1,061.94%, 6/25/21 (b)
      
 
         — (i)           1,367   
Series G-33, Class PV, 1,078.42%, 10/25/21
      
 
         — (i)           1,060   
Series G-49, Class S, 1,015.66%, 12/25/21 (b)
      — (i)           544    

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 95
 
  
Schedule of Investments (continued)   BlackRock Income Opportunity Trust, Inc. (BNA)
(Percentages shown are based on Net Assets)
US Government Sponsored Agency Securities                 Par
(000)		      Value
Collateralized Mortgage Obligations (concluded)
Freddie Mac Mortgage-Backed Securities:
                                                             
Series 19, Class R, 16,284.32%, 3/15/20 (b)
      
USD
         — (i)        $       285     
Series 75, Class R, 9.50%, 1/15/21
      
 
         — (i)           1    
Series 75, Class RS, 36.11%, 1/15/21 (b)
      
 
         — (i)           1    
Series 173, Class R, 9.00%, 11/15/21
      
 
         4             4    
Series 173, Class RS, 9.25%, 11/15/21 (b)
      
 
         — (i)           4    
Series 1057, Class J, 1,008.00%, 3/15/21
      
 
         — (i)           420    
 
      
 
                       472,631   
Commercial Mortgage-Backed Securities — 0.7%
                                                             
Freddie Mac Mortgage-Backed Securities (b):
                                                             
Series 2012-K706, Class C, 4.16%, 11/25/44 (a)
      170             158,997   
Series 2013-K24, Class B, 3.62%, 11/25/45 (a)
      1,750            1,532,653   
Series K013, Class A2, 3.97%, 1/25/21
      
 
         930             985,961   
 
      
 
                       2,677,611   
Interest Only Collateralized Mortgage Obligations — 2.6%
Fannie Mae Mortgage-Backed Securities:
                                                             
Series 7, Class 2, 8.50%, 4/01/17
      
 
         1             113    
Series 89, Class 2, 8.00%, 10/01/18
      
 
         2             174    
Series 94, Class 2, 9.50%, 8/01/21
      
 
         1             132    
Series 1990-123, Class M, 1,009.50%, 10/25/20
      
 
         — (i)           130    
Series 1990-136, Class S, 19.89%, 11/25/20 (b)
      3,896            5,685   
Series 1991-139, Class PT, 648.35%, 10/25/21
      
 
         — (i)           786    
Series 1991-99, Class L, 930.00%, 8/25/21
      
 
         — (i)           519    
Series 1997-50, Class SI, 1.20%, 4/25/23 (b)
      
 
         114             2,921   
Series 2012-47, Class NI, 4.50%, 4/25/42
      
 
         5,333            1,092,336   
Series 2012-96, Class DI, 4.00%, 2/25/27
      
 
         7,557            889,514   
Series 2012-M9, Class X1, 4.25%, 12/25/17 (b)
      13,317            1,892,284   
Series G-10, Class S, 1,087.19%, 5/25/21 (b)
      
 
         — (i)           4,829   
Series G-12, Class S, 1,154.11%, 5/25/21 (b)
      
 
         — (i)           2,934   
Series G92-5, Class H, 9.00%, 1/25/22
      
 
         17             1,621   
Freddie Mac Mortgage-Backed Securities:
                                                             
Series 176, Class M, 1,010.00%, 7/15/21
      
 
         10             163    
Series 200, Class R, 197,388.08%, 12/15/22 (b)
      — (i)           422    
Series 1043, Class H, 44.18%, 2/15/21 (b)
      
 
         2,957            6,334   
Series 1054, Class I, 865.53%, 3/15/21 (b)
      
 
         — (i)           444    
Series 1056, Class KD, 1,084.50%, 3/15/21
      
 
         — (i)           315    
Series 1148, Class E, 1,175.36%, 10/15/21 (b)
      — (i)           1,065   
Series 1254, Class Z, 8.50%, 4/15/22
      
 
         38             5,862   
Series 2611, Class QI, 5.50%, 9/15/32
      
 
         1,127            123,609   
Series K707, Class X1, 1.69%, 12/25/18 (b)
      
 
         2,510            173,669   
Series K710, Class X1, 1.91%, 5/25/19 (b)
      
 
         8,635            725,610   
Ginnie Mae Mortgage-Backed Securities (b):
                                                             
Series 2009-78, Class SD, 6.02%, 9/20/32
      
 
         5,937            962,959   
Series 2009-116, Class KS, 6.29%, 12/16/39
      
 
         3,786            511,322   
Series 2011-52, Class NS, 6.49%, 4/16/41
      
 
         16,285            3,156,347   
 
      
 
                       9,562,099   
Mortgage-Backed Securities — 8.0%
                                                             
Fannie Mae Mortgage-Backed Securities:
                                                             
3.00%, 9/15/43 (j)
      
 
         16,300            15,630,808   
4.00%, 12/01/41 (d)
      
 
         3,302            3,413,009   
4.50%, 7/01/41 (d)
      
 
         4,186            4,426,122   
5.00%, 8/01/34
      
 
         2,837            3,052,921   
5.50%, 12/01/13–6/01/38
      
 
         1,838            1,992,701   
6.00%, 3/01/16–12/01/38 (d)
      
 
         1,660            1,808,504   
                         
US Government Sponsored Agency Securities                 Par
(000)		      Value
Mortgage-Backed Securities (concluded)
                                                             
Ginnie Mae Mortgage-Backed Securities, 8.00%, 7/15/24
      
USD
         — (i)        $ 331     
 
      
 
                       30,324,396   
Principal Only Collateralized Mortgage Obligations — 0.0%
Fannie Mae Mortgage-Backed Securities:
                                                             
Series 203, Class 1, 2/01/23
      
 
         6             5,572   
Series 228, Class 1, 6/01/23
      
 
         4             4,179   
Series 1993-51, Class E, 2/25/23
      
 
         20             18,410   
Series 1993-70, Class A, 5/25/23
      
 
         3             2,612   
 
      
 
                       30,773   
Total US Government Sponsored Agency Securities — 14.7%
      55,455,243   
US Treasury Obligations
      
 
                            
US Treasury Bonds (d):
                                                             
6.25%, 8/15/23
      
 
         4,355            5,707,772   
5.38%, 2/15/31
      
 
         375             475,195   
3.50%, 2/15/39
      
 
         2,865            2,813,072   
4.25%, 5/15/39
      
 
         2,770            3,079,462   
4.38%, 5/15/40
      
 
         8,225            9,319,953   
4.75%, 2/15/41
      
 
         1,621            1,946,466   
4.38%, 5/15/41
      
 
         805             911,914   
3.13%, 11/15/41
      
 
         9,925            8,972,815   
3.13%, 2/15/42
      
 
         2,368            2,137,489   
3.00%, 5/15/42
      
 
         2,730            2,398,136   
3.13%, 2/15/43
      
 
         2,344            2,105,122   
US Treasury Notes, 1.75%, 5/15/22 (d)
      
 
         152             141,930   
Total US Treasury Obligations — 10.6%
      
 
                       40,009,326   
Total Long-Term Investments
                                                             
(Cost — $539,064,589) — 144.3%
      
 
                       545,002,086   
Short-Term Securities
      
 
   
Shares
              
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (k)(l)
      
 
         6,904,938            6,904,938   
Total Short-Term Securities
                                                             
(Cost — $6,904,938) — 1.8%
      
 
                       6,904,938   
Options Purchased
(Cost — $1,198,938) — 0.4%
      
 
                       1,600,620   
Total Investments Before Options Written
                                                             
(Cost — $547,168,465) — 146.5%
      
 
                       553,507,644   
Options Written
(Premiums Received — $804,034) — (0.3)%
      
 
                       (1,337,670 )  
Total Investments, Net of Options Written — 146.2%
                    552,169,974   
Liabilities in Excess of Other Assets — (46.2)%
      
 
                       (174,364,776 )  
Net Assets — 100.0%
      
 
                    $ 377,805,198   

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 shown is as of report date.
(c)      
Non-income producing security.
(d)      
All or a portion of securities with an aggregate market value of $153,978,750 have been pledged as collateral for open reverse repurchase agreements.

See Notes to Financial Statements.

96 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Income Opportunity Trust, Inc. (BNA)
 
(e)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(f)      
Convertible security.
(g)      
Security is perpetual in nature and has no stated maturity date.
(h)      
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(i)      
Amount is less than $500.
(j)      
Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2013 were as follows:

Counterparty
   
 Value
    
 Unrealized
Depreciation
J.P. Morgan Securities LLC
         $ 15,630,808         $ (12,098 )  

(k)      
Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:

Affiliate
    
 Shares
Held at
August 31, 2012
    
 Net
Activity
    
 Shares
Held at
August 31, 2013
    
 Income
    
 Realized Gain
BlackRock Liquidity Funds, TempFund
  
1,343,014
   
5,561,924
   
6,904,938
   
$1,827
   
$26

(l)      
Represents the current yield as of report date.
•      
For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund 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 August 31, 2013 were as follows:

Counterparty
   
 Interest
Rate
    
 Trade
Date
    
 Maturity
Date
    
 Face
Value
    
 Face Value
Including
Accrued
Interest
Deutsche Bank Securities, Inc.
      
(0.63)%
   
10/24/12
   
Open
      $ 340,864         $ 339,017   
BNP Paribas Securities Corp.
      
0.34%
   
1/09/13
   
Open
         1,969,000            1,973,370   
BNP Paribas Securities Corp.
      
0.35%
   
1/11/13
   
Open
         4,760,000            4,768,114   
Credit Suisse Securities (USA) LLC
      
0.35%
   
1/14/13
   
Open
         2,160,813            2,165,644   
UBS Securities LLC
      
(0.50)%
   
1/15/13
   
Open
         496,600            495,027   
UBS Securities LLC
      
0.28%
   
1/15/13
   
Open
         3,553,388            3,559,689   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         1,421,275            1,424,155   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         2,622,000            2,627,314   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         701,950            703,373   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         382,775            383,551   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         1,571,500            1,574,685   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         985,500            987,497   
UBS Securities LLC
      
0.32%
   
1/15/13
   
Open
         784,687            786,278   
UBS Securities LLC
      
0.33%
   
1/15/13
   
Open
         1,438,650            1,441,657   
UBS Securities LLC
      
0.33%
   
1/15/13
   
Open
         1,281,500            1,284,178   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         934,000            936,011   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         796,875            798,591   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         4,346,880            4,353,571   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         933,750            935,761   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         561,600            562,809   
UBS Securities LLC
      
0.34%
   
1/15/13
   
Open
         823,500            825,273   
UBS Securities LLC
      
0.35%
   
1/15/13
   
Open
         1,021,250            1,023,514   
BNP Paribas Securities Corp.
      
0.35%
   
1/22/13
   
Open
         883,000            884,906   
Credit Suisse Securities (USA) LLC
      
0.35%
   
2/01/13
   
Open
         1,793,610            1,797,307   
Credit Suisse Securities (USA) LLC
      
0.35%
   
2/01/13
   
Open
         1,937,250            1,941,243   
Deutsche Bank Securities, Inc.
      
0.16%
   
2/07/13
   
Open
         1,406,625            1,407,907   
BNP Paribas Securities Corp.
      
0.32%
   
2/08/13
   
Open
         2,384,000            2,388,344   
BNP Paribas Securities Corp.
      
0.32%
   
2/08/13
   
Open
         505,000            505,920   
BNP Paribas Securities Corp.
      
0.15%
   
2/14/13
   
Open
         9,937,406            9,942,977   
BNP Paribas Securities Corp.
      
0.33%
   
2/14/13
   
Open
         1,020,000            1,021,861   
UBS Securities LLC
      
0.34%
   
2/14/13
   
Open
         1,089,625            1,091,673   
UBS Securities LLC
      
0.34%
   
2/14/13
   
Open
         814,000            815,530   
BNP Paribas Securities Corp.
      
0.20%
   
2/20/13
   
Open
         150,670            150,832   
BNP Paribas Securities Corp.
      
0.34%
   
2/28/13
   
Open
         2,258,000            2,261,945   
BNP Paribas Securities Corp.
      
0.34%
   
2/28/13
   
Open
         1,109,000            1,110,938   
BNP Paribas Securities Corp.
      
0.33%
   
3/07/13
   
Open
         1,884,000            1,887,074   
BNP Paribas Securities Corp.
      
0.33%
   
3/07/13
   
Open
         1,228,000            1,230,004   
BNP Paribas Securities Corp.
      
0.33%
   
3/07/13
   
Open
         2,313,000            2,316,774   
BNP Paribas Securities Corp.
      
0.33%
   
3/11/13
   
Open
         2,932,000            2,936,677   
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
         1,025,525            1,027,031   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 97
 
  
Schedule of Investments (continued)   BlackRock Income Opportunity Trust, Inc. (BNA)
 

Reverse repurchase agreements outstanding as of August 31, 2013 were as follows: (concluded)

Counterparty
   
 Interest
Rate
    
 Trade
Date
    
 Maturity
Date
    
 Face
Value
    
 Face Value
Including
Accrued
Interest
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
      $ 1,804,525         $ 1,807,174   
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
         1,249,962            1,251,797   
Barclays Capital, Inc.
      
0.35%
   
4/02/13
   
Open
         369,609            370,152   
BNP Paribas Securities Corp.
      
0.19%
   
4/02/13
   
Open
         2,719,763            2,721,944   
Merrill Lynch, Pierce, Fenner & Smith Inc.
      
0.20%
   
4/02/13
   
Open
         3,465,963            3,468,889   
Merrill Lynch, Pierce, Fenner & Smith Inc.
      
0.22%
   
4/02/13
   
Open
         6,446,663            6,452,651   
Merrill Lynch, Pierce, Fenner & Smith Inc.
      
0.22%
   
4/02/13
   
Open
         908,250            909,094   
Merrill Lynch, Pierce, Fenner & Smith Inc.
      
0.20%
   
4/02/13
   
Open
         6,205,875            6,211,116   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,460,625            1,462,755   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,232,000            1,233,797   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,751,625            1,754,179   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         599,687            600,562   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,363,837            1,365,826   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,505,317            1,507,513   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,372,250            1,374,251   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,600,156            1,602,490   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,317,750            1,319,672   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         262,812            263,196   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,359,375            1,361,357   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,284,050            1,285,923   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         361,875            362,403   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         411,500            412,100   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         5,642,775            5,648,335   
Credit Suisse Securities (USA) LLC
      
0.35%
   
4/03/13
   
Open
         1,967,006            1,969,875   
UBS Securities LLC
      
0.32%
   
4/11/13
   
Open
         1,625,000            1,627,066   
UBS Securities LLC
      
0.40%
   
4/11/13
   
Open
         4,044,938            4,051,364   
Merrill Lynch, Pierce, Fenner & Smith Inc.
      
0.14%
   
4/25/13
   
Open
         10,877,563            10,883,019   
Merrill Lynch, Pierce, Fenner & Smith Inc.
      
0.14%
   
4/25/13
   
Open
         3,560,880            3,562,666   
Merrill Lynch, Pierce, Fenner & Smith Inc.
      
0.14%
   
4/25/13
   
Open
         3,262,519            3,264,155   
BNP Paribas Securities Corp.
      
0.00%
   
4/29/13
   
Open
         2,212,665            2,212,665   
BNP Paribas Securities Corp.
      
0.00%
   
4/29/13
   
Open
         1,045,494            1,045,494   
UBS Securities LLC
      
0.34%
   
4/30/13
   
Open
         969,750            970,886   
UBS Securities LLC
      
0.34%
   
4/30/13
   
Open
         858,950            859,956   
UBS Securities LLC
      
0.35%
   
4/30/13
   
Open
         897,625            898,707   
UBS Securities LLC
      
0.37%
   
4/30/13
   
Open
         1,102,400            1,103,805   
Citigroup Global Markets, Inc.
      
0.06%
   
6/06/13
   
Open
         438,062            438,062   
Barclays Capital, Inc.
      
0.35%
   
6/24/13
   
Open
         3,344,933            3,347,177   
BNP Paribas Securities Corp.
      
0.00%
   
7/24/13
   
Open
         493,594            493,650   
BNP Paribas Securities Corp.
      
0.10%
   
6/24/13
   
Open
         1,077,656            1,077,863   
BNP Paribas Securities Corp.
      
0.32%
   
6/24/13
   
Open
         2,886,000            2,887,770   
BNP Paribas Securities Corp.
      
0.04%
   
7/24/13
   
Open
         1,832,500            1,832,577   
BNP Paribas Securities Corp.
      
0.16%
   
8/08/13
   
9/12/13
         14,223,000            14,224,264   
Deutsche Bank Securities, Inc.
      
0.34%
   
8/29/13
   
Open
         2,040,000            2,040,039   
Total
      
 
   
 
   
 
      $ 172,015,847         $ 172,206,258   
 
      
 
   
 
   
 
                            

•      
Financial futures contracts as of August 31, 2013 were as follows:

Contracts
Purchased
(Sold)
   
 Issue
    
 Exchange
    
 Expiration
    
 Notional Value
    
 Unrealized
Appreciation
(Depreciation)
    
270      
2-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
         59,332,500      
$23,559
225      
30-Year US Treasury Bond
   
Chicago Board of Trade
   
December 2013
   
USD
         29,678,906      
226,297
  99      
Ultra Long US Treasury Bond
   
Chicago Board of Trade
   
December 2013
   
USD
         14,045,625      
144,728
(549)      
10-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
         68,230,406      
(198,874)
  (25)      
5-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
         2,991,992      
3,678
150      
90-Day Euribor Future
   
NYSE Liffe
   
December 2014
   
USD
         49,262,024      
(23,168)
(197)      
90-Day Euro-Dollar
   
Chicago Mercantile
   
December 2014
   
USD
         48,907,713      
42,419
Total
      
 
   
 
   
 
   
 
                 
$218,639

See Notes to Financial Statements.

98 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Income Opportunity Trust, Inc. (BNA)
 

•      
Foreign currency exchange contracts as of August 31, 2013 were as follows:

Currency Purchased
Currency Sold
    
 Counterparty
    
 Settlement
Date
    
 Unrealized
Appreciation
(Depreciation)
    
USD
   6,808,340   
EUR
    5,067,000   
UBS AG
   
9/25/13
      $ 111,079     
USD
   467,323   
GBP
    300,000   
BNP Paribas S.A.
   
10/22/13
         2,586   
USD
   8,638,425   
GBP
    5,728,000   
Deutsche Bank AG
   
10/22/13
         (234,966 )  
Total
        
 
         
 
   
 
      $ (121,301 )  

•        
Over-the-counter interest rate swaptions purchased as of August 31, 2013 were as follows:

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
  
JPMorgan Chase Bank N.A.
   
Call
   
2.11%
   
Receive
   
3-month LIBOR
   
9/03/13
    USD     5,200      $ 1     
10-Year Interest Rate Swap
  
Deutsche Bank AG
   
Put
   
4.10%
   
Pay
   
3-month LIBOR
   
2/22/16
    USD     2,500         120,133   
10-Year Interest Rate Swap
  
Goldman Sachs Bank USA
   
Put
   
4.00%
   
Pay
   
3-month LIBOR
   
3/14/16
    USD     15,000         789,419   
10-Year Interest Rate Swap
  
Deutsche Bank AG
   
Put
   
4.50%
   
Pay
   
3-month LIBOR
   
3/16/17
    USD     6,300         322,292   
10-Year Interest Rate Swap
  
Deutsche Bank AG
   
Put
   
4.50%
   
Pay
   
3-month LIBOR
   
5/22/18
    USD     6,000         368,775   
Total
  
 
   
 
   
 
   
 
   
 
   
 
                  $ 1,600,620   

•        
Over-the-counter interest rate swaptions written as of August 31, 2013 were as follows:

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
  
Barclays Bank PLC
   
Call
   
1.35%
   
Pay
   
3-month LIBOR
   
4/08/14
    USD     15,300      $ (20,952 )   
5-Year Interest Rate Swap
  
JPMorgan Chase Bank N.A.
   
Call
   
1.35%
   
Pay
   
3-month LIBOR
   
7/11/14
    USD     15,600         (24,144 )  
5-Year Interest Rate Swap
  
JPMorgan Chase Bank N.A.
   
Put
   
2.00%
   
Receive
   
3-month LIBOR
   
4/08/14
    USD     15,300         (294,053 )  
5-Year Interest Rate Swap
  
JPMorgan Chase Bank N.A.
   
Put
   
2.00%
   
Receive
   
3-month LIBOR
   
7/11/14
    USD     15,600         (419,824 )  
10-Year Interest Rate Swap
  
Deutsche Bank AG
   
Put
   
6.00%
   
Receive
   
3-month LIBOR
   
3/16/17
    USD     12,600         (255,618 )  
10-Year Interest Rate Swap
  
Deutsche Bank AG
   
Put
   
6.00%
   
Receive
   
3-month LIBOR
   
5/22/18
    USD     12,000         (323,079 )  
Total
  
 
   
 
   
 
   
 
   
 
   
 
                  $ (1,337,670 )  

•        
Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows:

Issuer
   
 Pay
Fixed
Rate
    
 Counterparty
    
 Expiration
Date
    
 Notional
Amount
(000)
    
 Market
Value
    
 Premiums
Paid
    
 Unrealized
Depreciation
Radian Group, Inc.
            5.00 %           Citibank N.A.             6/20/15            USD             1,400         $ (81,904 )        $ 29,242            $(111,146)    
The New York Times Co.
            1.00 %           Barclays Capital, Inc.             12/20/16            USD             1,800            11,384            82,977            (71,593)   
Total
                                                                               $ (70,520 )        $ 112,219            $(182,739)   

•        
Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows:

Issuer
    
 Receive
Fixed
Rate
    
 Counterparty
    
 Expiration
Date
    
 Credit
Rating1
    
 Notional
Amount
(000)2
    
 Market
Value
    
 Premiums
Received
    
 Unrealized
Appreciation
    
MetLife, Inc.
  
1.00%
   
Credit Suisse AG
   
9/20/16
   
A-
   
USD
   
545
      $ 5,480         $ (30,523 )        $ 36,003     
MetLife, Inc.
  
1.00%
   
Deutsche Bank AG
   
9/20/16
   
A-
   
USD
   
730
         7,341            (37,387 )           44,728   
MetLife, Inc.
  
1.00%
   
Goldman Sachs Bank USA
   
9/20/16
   
A-
   
USD
   
500
         5,027            (24,922 )           29,949   
MetLife, Inc.
  
1.00%
   
Morgan Stanley Capital Services LLC
   
9/20/16
   
A-
   
USD
   
275
         2,764            (12,319 )           15,083   
MetLife, Inc.
  
1.00%
   
Morgan Stanley Capital Services LLC
   
9/20/16
   
A-
   
USD
   
910
         9,151            (45,704 )           54,855   
MetLife, Inc.
  
1.00%
   
Citibank N.A.
   
12/20/16
   
A-
   
USD
   
298
         2,563            (14,302 )           16,865   
MetLife, Inc.
  
1.00%
   
Citibank N.A.
   
12/20/16
   
A-
   
USD
   
290
         2,493            (15,203 )           17,696   
Total
  
 
   
 
   
 
   
 
   
 
   
 
      $ 34,819         $ (180,360 )        $ 215,179   
 
  
 
   
 
   
 
   
 
   
 
   
 
                                          
1 Using 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 terms of the agreements.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 99
 
  
Schedule of Investments (continued)   BlackRock Income Opportunity Trust, Inc. (BNA)
 

•        
Interest rate swaps outstanding as of August 31, 2013 were as follows:

Fixed
Rate
    
 Floating
Rate
    
 Counterparty/
Clearinghouse
    
 Effective
Date
    
 Expiration
Date
    
 Notional
Amount
(000)
    
 Market
Value
    
 Unrealized
Appreciation
(Depreciation)
    
0.56%1
  
3-month LIBOR
   
Chicago Mercantile
   
N/A
   
6/25/15
   
USD
    20,900      $ (15,974 )        $ (16,202 )  
0.48%2
  
3-month LIBOR
   
Chicago Mercantile
   
N/A
   
8/01/15
   
USD
    50,000         55,825            55,253   
0.68%2
  
3-month LIBOR
   
Chicago Mercantile
   
2/03/143
   
2/01/16
   
USD
    20,800         53,235            52,995   
1.56%2
  
3-month LIBOR
   
Chicago Mercantile
   
N/A
   
8/01/18
   
USD
    2,100         17,267            17,239   
1.25%1
  
6-Month Euribor
   
Chicago Mercantile
   
N/A
   
8/23/18
   
EUR
    5,000         (34,650 )           (7,884 )  
1.05%1
  
6-Month Euribor
   
Chicago Mercantile
   
N/A
   
8/28/18
   
EUR
    5,000         (100,257 )           (79,185 )  
1.89%1
  
3-month LIBOR
   
Chicago Mercantile
   
2/03/143
   
2/01/19
   
USD
    8,500         (64,497 )           (64,611 )  
2.42%1
  
3-month LIBOR
   
Chicago Mercantile
   
N/A
   
8/22/20
   
USD
    7,500         (21,165 )           (21,275 )  
2.06%1
  
3-month LIBOR
   
Deutsche Bank AG
   
N/A
   
2/25/23
   
USD
    3,400         (234,324 )           (234,324 )  
2.11%1
  
3-month LIBOR
   
Goldman Sachs Bank USA
   
N/A
   
3/14/23
   
USD
    300          (19,664 )           (19,664 )  
2.63%2
  
3-month LIBOR
   
Chicago Mercantile
   
N/A
   
6/24/23
   
USD
    900          22,240            22,225   
4.27%2
  
3-month LIBOR
   
Chicago Mercantile
   
8/23/163
   
8/23/26
   
USD
    4,800         69,702            69,623   
3.05%2
  
3-month LIBOR
   
Deutsche Bank AG
   
N/A
   
2/07/43
   
USD
    4,800         567,491            567,491   
2.88%2
  
3-month LIBOR
   
JPMorgan Chase Bank N.A.
   
N/A
   
4/16/43
   
USD
    800          120,980            120,980   
Total
  
 
   
 
   
 
   
 
   
 
            $ 416,209         $ 462,661   
1 Trust pays the floating rate and receives the fixed rate.
  2 Trust pays the fixed rate and receives the floating rate.
  3 Forward interest rate swap.

•      
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 statement purposes as follows:
•      
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or 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 fair value hierarchy classification 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 instruments 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, please refer to Note 2 of the Notes to Financial Statements.
       
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013:

 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                       
Investments:
                                                                                 
Long-Term Investments:
                                                                                 
Asset-Backed Securities
            —          $ 16,099,534         $ 10,488,482         $ 26,588,016   
Common Stocks
            —             —             396,800            396,800   
Corporate Bonds
            —             308,885,385            6,294,250            315,179,635   
Foreign Agency Obligations
            —             3,006,404            —             3,006,404   
Municipal Bonds
            —             12,539,670            —             12,539,670   
Non-Agency Mortgage-Backed Securities
            —             61,332,868            25             61,332,893   
Preferred Securities
         $ 5,521,383            24,972,716            —             30,494,099   
US Government Sponsored Agency Securities
           —             55,454,526            717             55,455,243   
US Treasury Obligations
            —             40,009,326            —             40,009,326   
Short-Term Securities
            6,904,938            —             —             6,904,938   
Options Purchased:
                                                                                 
Interest Rate Contracts
           —             1,600,620            —             1,600,620   
Total
         $ 12,426,321         $ 523,901,049         $ 17,180,274         $ 553,507,644   

See Notes to Financial Statements.

100 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (concluded)   BlackRock Income Opportunity Trust, Inc. (BNA)
 

 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Derivative Financial Instruments1
                                                           
Assets:
                                                                                 
Credit contracts
            —          $ 215,179            —          $ 215,179   
Foreign currency exchange contracts
           —             113,665            —             113,665   
Interest rate contracts
         $ 440,681            905,806            —             1,346,487   
Liabilities:
                                                                                 
Credit contracts
            —             (182,739 )           —             (182,739 )  
Foreign currency exchange contracts
           —             (234,966 )           —             (234,966 )  
Interest rate contracts
              (222,042 )               (1,780,815 )           —                 (2,002,857 )  
Total
         $ 218,639         $ (963,870 )           —          $ (745,231 )  
1 Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options written. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are shown at value.

Certain of the Trust’s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                                                 
Cash
         $ 19,756            —             —          $ 19,756     
Foreign currency at value
            52,462            —             —             52,462   
Cash pledged for financial futures contracts .
            453,000            —             —             453,000   
Cash pledged for centrally cleared swaps
            420,000            —             —             420,000   
Cash pledged as collateral for reverse repurchase agreements
            7,923,000            —             —             7,923,000   
Cash pledged as collateral for over-the-counter swaps
            570,000            —             —             570,000   
Liabilities:
                                                                                 
Cash received as collateral for over-the-counter swaps
            —          $ (1,500,000 )           —             (1,500,000 )  
Reverse repurchase agreements
            —             (172,206,258 )           —             (172,206,258 )  
Total
         $ 9,438,218         $ (173,706,258 )           —          $ (164,268,040 )  

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2013.
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 year 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
    
 US Government
Sponsored
Agency
Securities
    
 Total
Assets:
                                                                                                                   
Opening Balance, as of August 31, 2012
         $ 1,537,590         $ 1          $ 1,957,000         $ 523,393         $ 36,218         $ 4,054,202     
Transfers into Level 32
            —             —             5,271,934            —             2,112            5,274,046   
Transfers out of Level 32
            (751,537 )           —             —             —             —             (751,537 )  
Accrued discounts/premiums
            (423,923 )           —             (11,700 )           2,635            (8 )           (432,996 )  
Net realized gain (loss)
            —             (1,784 )           4,260            35,719            (1,379 )           36,816   
Net change in unrealized appreciation/depreciation3
            223,793            398,584            (830,918 )           (4,965 )           2,342            (211,164 )  
Purchases
            9,902,559            —             —             —             —             9,902,559   
Sales
            —             (1 )           (96,326 )           (556,757 )           (38,568 )           (691,652 )  
Closing Balance, as of August 31, 2013
         $ 10,488,482         $ 396,800         $ 6,294,250         $ 25          $ 717          $ 17,180,274   
    
2 As of August 31, 2012, the Trust used observable inputs in determining the value of certain investments. As of August 31, 2013, 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 $5,274,047 transferred from Level 2 to Level 3 in the disclosure hierarchy.
  3 Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2013 was $(210,115).

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.

ANNUAL REPORT AUGUST 31, 2013 101
 
  
Schedule of Investments August 31, 2013 BlackRock Income Trust, Inc. (BKT)
(Percentages shown are based on Net Assets)
Asset-Backed Securities                 Par
(000)		      Value
Asset-Backed Securities — 1.1%
First Franklin Mortgage Loan Asset-Backed Certificates, Series 2005-FF2, Class M2, 0.84%, 3/25/35 (a)
      
 
      $ 3,229         $    3,211,332     
Securitized Asset-Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.61%, 10/25/35 (a)
      
 
         1,875            1,571,214   
Small Business Administration Participation Certificates, Class 1:
                                                             
Series 1996-20E, 7.60%, 5/01/16
      
 
         79             82,900   
Series 1996-20G, 7.70%, 7/01/16
      
 
         75             78,727   
Series 1996-20H, 7.25%, 8/01/16
      
 
         82             86,289   
Series 1996-20K, 6.95%, 11/01/16
      
 
         218             229,784   
Series 1997-20C, 7.15%, 3/01/17
      
 
         87             92,671   
 
      
 
                       5,352,917   
Interest Only Asset-Backed Securities — 0.2%
Small Business Administration, Series 1, 1.00%, 4/01/15
      
 
         1,063            9,305   
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (b)
      
 
         3,487            246,303   
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (b)
      
 
         6,633            439,443   
 
      
 
                       695,051   
Total Asset-Backed Securities — 1.3%
      6,047,968   
Non-Agency Mortgage-Backed Securities
 
 
 
Collateralized Mortgage Obligations — 1.1%
Collateralized Mortgage Obligation Trust, Series 40, Class R, 580.49%, 4/01/18
      
 
         —(c)             53    
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR5, Class 22A, 5.50%, 10/25/21
      
 
         582             557,204   
Homebanc Mortgage Trust, Series 2005-4, Class A1, 0.45%, 10/25/35 (a)
      
 
         2,631            2,193,625   
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, 16.28%, 8/25/23 (a)
      
 
         47             52,961   
Residential Funding Securities LLC, Series 2003-RM2, Class AI5, 8.50%, 5/25/33
      
 
         1,267            1,350,244   
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-11, Class A, 2.56%, 8/25/34 (a)
      
 
         1,325            1,289,208   
 
      
 
                       5,443,295   
Commercial Mortgage-Backed Securities — 0.6%
Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)
      
 
         2,420            2,652,385   
Interest Only Collateralized Mortgage Obligations — 0.8%
Bank of America Mortgage Securities Inc., Series 2003-3, Class 1A, 0.25%, 5/25/33 (a)
      
 
         37,605            228,641   
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 5/25/37
      
 
         768             189,715   
First Boston Mortgage Securities Corp., Series C, 10.97%, 4/25/17
      
 
         11             964    
GSMPS Mortgage Loan Trust, Series 1998-5, 0.00%, 6/19/27 (a)(b)
      
 
         3,526            68,445   
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 1/25/37
      
 
         78,334            289,521   
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3AX, 0.48%, 4/25/34 (a)
      
 
         9,462            104,974   
MASTR Alternative Loans Trust, Series 2003-9, Class 15X2, 6.00%, 1/25/19
      
 
         312             35,757   
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 1AX, 5.00%, 5/25/19
      
 
         286             23,210   
Sequoia Mortgage Trust, Series 2005-2, Class XA, 1.05%, 3/20/35 (a)
      
 
         36,513            587,639   
                         
Non-Agency Mortgage-Backed Securities                 Par
(000)		      Value
Interest Only Collateralized Mortgage Obligations (concluded)
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 3AS, 5.02%, 8/25/36 (a)
      
 
      $ 19,288         $    2,115,639     
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.03%, 5/15/29 (a)
      
 
         43,642            15,100   
 
      
 
                       3,659,605   
Interest Only Commercial Mortgage-Backed Securities — 0.0%
CS First Boston Mortgage Securities Corp., Series 1997-C1, Class AX, 1.34%, 6/20/29 (a)(b)
      
 
         2,210            19,249   
Principal Only Collateralized Mortgage Obligations — 0.4%
Countrywide Home Loan Mortgage Pass-Through Trust:
                                                             
Series 2003-26, 8/25/33
      
 
         772             713,154   
Series 2003-J4, 6/25/33
      
 
         138             124,515   
Series 2003-J5, 7/25/33
      
 
         278             254,900   
Series 2003-J8, 9/25/23
      
 
         177             154,544   
Drexel Burnham Lambert CMO Trust, Class 1:
                                                             
Series K, 9/23/17
      
 
         5             5,041   
Series V, 9/01/18
      
 
         6             5,773   
MASTR Asset Securitization Trust, Series 2004-3, Class 4A15, 3/25/34
      
 
         8             7,174   
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 2/25/36
      
 
         628             379,124   
Structured Mortgage Asset Residential Trust, Series 1993-3C, Class CX, 4/25/24
      
 
         6             6,067   
Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 11/25/35
      
 
         273             186,997   
 
      
 
                       1,837,289   
Total Non-Agency Mortgage-Backed Securities — 2.9%
      13,611,823   
US Government Sponsored Agency Securities
 
 
 
Agency Obligations — 2.3%
Federal Housing Administration:
                                                             
General Motors Acceptance Corp. Projects, Series 56, 7.43%, 11/01/22
      
 
         139             136,197   
Merrill Projects, Series 54, 7.43%, 5/15/23
      
 
         2             1,685   
Reilly Projects, Series 41, 8.28%, 3/01/20
      
 
         162             161,365   
USGI Projects, Series 87, 7.43%, 12/01/22
      
 
         58             56,823   
USGI Projects, Series 99, 7.43%, 6/01/21
      
 
         3,755            3,675,465   
USGI Projects, Series 99, 7.43%, 10/01/23
      
 
         36             34,957   
USGI Projects, Series 99, 7.43%, 10/01/23
      
 
         106             103,283   
Resolution Funding Corp., 3.91%, 4/15/30 (d)
      
 
         13,000            6,833,671   
 
      
 
                       11,003,446   
Collateralized Mortgage Obligations — 40.7%
Fannie Mae Mortgage-Backed Securities:
                                                             
Series 1991-46, Class S, 2,476.85%, 5/25/21 (a)
      
 
         — (c)           3,474   
Series 1991-87, Class S, 26.19%, 8/25/21 (a)
      
 
         35             54,428   
Series 1993-247, Class SN, 10.00%, 12/25/23 (a)
      
 
         250             288,282   
Series 2003-135, Class PB, 6.00%, 1/25/34
      
 
         12,264            13,993,015   
Series 2004-31, Class ZG, 7.50%, 5/25/34
      
 
         3,683            4,236,984   
Series 2005-73, Class DS, 17.07%, 8/25/35 (a)
      
 
         1,908            2,548,727   
Series 2011-99, Class CB, 4.50%, 10/25/41
      
 
         43,000            46,671,383   
Series 2011-117, Class CP, 4.00%, 11/25/41
      
 
         14,350            14,994,030   
Series 2011-142, Class PE, 3.50%, 1/25/42
      
 
         15,567            15,390,228   
Series G-7, Class S, 1,123.81%, 3/25/21 (a)
      
 
         — (c)           2,705   
Series G-17, Class S, 1,061.94%, 6/25/21 (a)
      
 
         — (c)           2,935   
Series G-33, Class PV, 1,078.42%, 10/25/21
      
 
         — (c)           2,276   
Series G-49, Class S, 1,015.66%, 12/25/21 (a)
      
 
         — (c)           1,168   

See Notes to Financial Statements.

102 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Income Trust, Inc. (BKT)
(Percentages shown are based on Net Assets)
US Government Sponsored Agency Securities                 Par
(000)		      Value
Collateralized Mortgage Obligations (concluded)
Freddie Mac Mortgage-Backed Securities:
Series 19, Class F, 8.50%, 3/15/20
      
 
      $ 39          $       41,163     
Series 19, Class R, 16,284.32%, 3/15/20 (a)
      
 
         — (c)           612    
Series 40, Class K, 6.50%, 8/17/24
      
 
         231             257,356   
Series 75, Class R, 9.50%, 1/15/21
      
 
         — (c)           1    
Series 75, Class RS, 36.11%, 1/15/21 (a)
      
 
         — (c)           1    
Series 173, Class R, 9.00%, 11/15/21
      
 
         9             9    
Series 173, Class RS, 9.25%, 11/15/21 (a)
      
 
         — (c)           9    
Series 192, Class U, 1,009.03%, 2/15/22 (a)
      
 
         — (c)           31    
Series 1057, Class J, 1,008.00%, 3/15/21
      
 
         — (c)           902    
Series 1160, Class F, 39.38%, 10/15/21 (a)
      
 
         13             26,945   
Series 2218, Class Z, 8.50%, 3/15/30
      
 
         3,825            4,523,607   
Series 2542, Class UC, 6.00%, 12/15/22
      
 
         4,240            4,716,246   
Series 2758, Class KV, 5.50%, 5/15/23
      
 
         8,243            8,948,865   
Series 2861, Class AX, 10.52%, 9/15/34 (a)
      
 
         94             104,389   
Series 2927, Class BZ, 5.50%, 2/15/35
      
 
         3,308            3,802,866   
Series 3856, Class PB, 5.00%, 5/15/41
      
 
         10,000            11,173,230   
Series 4016, Class BX, 4.00%, 9/15/41
      
 
         15,408            15,620,192   
Series T-11, Class A9, 2.78%, 1/25/28 (a)
      
 
         1,678            1,742,516   
Ginnie Mae Mortgage-Backed Securities:
                                                             
Series 1996-5, Class Z, 7.00%, 5/16/26
      
 
         378             425,783   
Series 2001-33, Class PB, 6.50%, 7/20/31
      
 
         677             763,124   
Series 2004-89, Class PE, 6.00%, 10/20/34
      
 
         1,522            1,583,547   
Series 2011-80, Class PB, 4.00%, 10/20/39
      
 
         11,489            11,955,603   
Series 2011-88, Class PY, 4.00%, 6/20/41
      
 
         15,402            15,934,509   
Series 2012-16, Class HJ, 4.00%, 9/20/40
      
 
         10,000            10,438,440   
 
      
 
                       190,249,581   
Interest Only Collateralized Mortgage Obligations — 5.5%
Fannie Mae Mortgage-Backed Securities:
                                                             
Series 7, Class 2, 8.50%, 4/01/17
      
 
         3             243    
Series 89, Class 2, 8.00%, 10/01/18
      
 
         4             373    
Series 94, Class 2, 9.50%, 8/01/21
      
 
         2             284    
Series 1990-123, Class M, 1,009.50%, 10/25/20
      
 
         — (c)           280    
Series 1990-136, Class S, 19.89%, 11/25/20 (a)
      
 
         8             12,206   
Series 1991-99, Class L, 930.00%, 8/25/21
      
 
         — (c)           1,114   
Series 1991-139, Class PT, 648.35%, 10/25/21
      
 
         — (c)           1,687   
Series 1993-199, Class SB, 7.32%, 10/25/23 (a)
      
 
         330             34,816   
Series 1997-50, Class SI, 1.20%, 4/25/23 (a)
      
 
         227             5,842   
Series 1997-90, Class M, 6.00%, 1/25/28
      
 
         3,344            561,898   
Series 1999-W4, 6.50%, 12/25/28
      
 
         219             40,855   
Series 2010-74, Class DI, 5.00%, 12/25/39
      
 
         18,627            864,593   
Series 2011-124, Class GS, 6.52%, 3/25/37 (a)
      
 
         20,451            3,319,407   
Series 2012-96, Class DI, 4.00%, 2/25/27
      
 
         9,594            1,129,204   
Series 2013-45, Class EI, 4.00%, 4/25/43
      
 
         19,216            3,143,245   
Series G-10, Class S, 1,087.19%, 5/25/21 (a)
      
 
         — (c)           10,368   
Series G-12, Class S, 1,154.11%, 5/25/21 (a)
      
 
         — (c)           6,300   
Series G92-5, Class H, 9.00%, 1/25/22
      
 
         44             4,168   
Series G92-12, Class C, 1,016.90%, 2/25/22
      
 
         — (c)           2,028   
Series G92-60, Class SB, 1.60%, 10/25/22 (a)
      
 
         156             6,205   
Freddie Mac Mortgage-Backed Securities:
                                                             
Series 176, Class M, 1,010.00%, 7/15/21
      
 
         — (c)           350    
Series 200, Class R, 197,388.08%, 12/15/22 (a)
      
 
         — (c)           906    
Series 1043, Class H, 44.18%, 2/15/21 (a)
      
 
         6,349            13,599   
Series 1054, Class I, 865.53%, 3/15/21 (a)
      
 
         — (c)           954    
Series 1056, Class KD, 1,084.50%, 3/15/21
      
 
         — (c)           677    
Series 1148, Class E, 1,175.36%, 10/15/21 (a)
      
 
         — (c)           2,287   
Series 2559, 0.50%, 8/15/30 (a)
      
 
         106             1,427   
                         
US Government Sponsored Agency Securities                 Par
(000)		      Value
Interest Only Collateralized Mortgage Obligations (concluded)
Freddie Mac Mortgage-Backed Securities (concluded):
Series 2611, Class QI, 5.50%, 9/15/32
      
 
      $ 2,056         $      225,603     
Series 3744, Class PI, 4.00%, 6/15/39
      
 
         16,814            2,807,924   
Series 3745, Class IN, 4.00%, 1/15/35
      
 
         35,095            3,749,519   
Series 4026, 4.50%, 4/15/32
      
 
         5,778            971,860   
Ginnie Mae Mortgage-Backed Securities (a):
                                                             
Series 2009-116, Class KS, 6.29%, 12/16/39
      
 
         4,372            590,541   
Series 2011-52, Class MJ, 6.47%, 4/20/41
      
 
         19,622            4,003,207   
Series 2011-52, Class NS, 6.49%, 4/16/41
      
 
         21,478            4,162,883   
 
      
 
                       25,676,853   
Mortgage-Backed Securities — 123.8%
Fannie Mae Mortgage-Backed Securities:
                                                             
3.00%, 8/15/43–9/15/43 (f)
      
 
         87,658            83,808,196   
3.50%, 10/15/41–9/15/42 (e)(f)
      
 
         59,804            59,782,898   
4.00%, 1/15/41–9/15/42 (f)
      
 
         37,144            38,391,385   
4.50%, 8/15/25–9/15/43 (e)(f)(g)
      
 
         126,133            133,980,348   
5.00%, 1/15/23–9/15/43 (e)(f)
      
 
         107,553            116,466,137   
5.50%, 2/15/33–9/15/43 (f)(g)
      
 
         47,105            51,157,873   
5.97%, 8/01/16
      
 
         2,975            3,319,158   
6.00%, 9/15/43–10/15/43 (f)
      
 
         65,400            71,548,281   
6.50%, 12/15/37–10/15/39 (f)
      
 
         17,614            19,443,596   
7.50%, 2/01/22
      
 
         — (c)           91    
9.50%, 9/15/24 (f)
      
 
         2             2,214   
Freddie Mac Mortgage-Backed Securities:
                                                             
2.55%, 10/01/34 (a)
      
 
         287             292,740   
2.61%, 1/01/35 (a)
      
 
         191             192,166   
2.73%, 11/01/17 (a)
      
 
         11             11,059   
5.00%, 2/01/22–4/01/22
      
 
         454             490,846   
9.00%, 9/01/20
      
 
         28             31,006   
Ginnie Mae Mortgage-Backed Securities:
                                                             
7.50%, 8/15/21–12/15/23
      
 
         134             142,485   
8.00%, 10/15/22–8/15/27
      
 
         60             66,561   
9.00%, 4/15/20–9/15/21
      
 
         7             6,381   
 
      
 
                       579,133,421   
Principal Only Collateralized Mortgage Obligations — 0.3%
Fannie Mae Mortgage-Backed Securities:
                                                             
Series 203, Class 1, 2/01/23
      
 
         13             11,963   
Series 228, Class 1, 6/01/23
      
 
         10             8,972   
Series 1991-7, Class J, 2/25/21
      
 
         8             7,891   
Series 1993-51, Class E, 2/25/23
      
 
         42             39,525   
Series 1993-70, Class A, 5/25/23
      
 
         6             5,609   
Series 1999-W4, Class PO, 2/25/29
      
 
         115             105,361   
Series 2002-13, Class PR, 3/25/32
      
 
         242             221,282   
Series G93-2, Class KB, 1/25/23
      
 
         116             107,920   
Freddie Mac Mortgage-Backed Securities:
                                                             
Series 1418, Class M, 11/15/22
      
 
         45             42,107   
Series 1571, Class G, 8/15/23
      
 
         300             272,800   
Series 1691, Class B, 3/15/24
      
 
         578             534,663   
Series T-8, Class A10, 11/15/28
      
 
         90             84,067   
 
      
 
                       1,442,160   
Total US Government Sponsored Agency Securities — 172.6%
      807,505,461   
US Treasury Obligations
US Treasury Notes:
                                                             
0.63%, 9/30/17 (e)
      
 
         7,945            7,736,444   
1.00%, 11/30/19 (e)
      
 
         2,965            2,788,259   
1.63%, 11/15/22
      
 
         780             712,177   
2.50%, 8/15/23
      
 
         1,530            1,497,010   
Total US Treasury Obligations — 2.7%
      12,733,890   
Total Long-Term Investments
(Cost — $847,502,231) — 179.5%
      839,899,142   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 103
 
  
Schedule of Investments (continued)   BlackRock Income Trust, Inc. (BKT)
(Percentages shown are based on Net Assets)
    
Short-Term Securities		                     
Shares		      Value
Money Market Funds — 3.2%
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (h)(i)
      
 
         14,996,794         $   14,996,794     
 
 
      
 
         Par
(000)		                  
Borrowed Bond Agreement — 0.2%
Credit Suisse Securities (USA) LLC, 0.05%, 9/02/13 (Purchased on 2/04/13 to be repurchased at $847,324, collateralized by US Treasury Bonds, 2.75%, 11/15/42, par and fair value of USD 917,000 and $760,824, respectively)
      
 
      $ 847             847,079   
Total Short-Term Securities
(Cost — $15,843,873) — 3.4%
      15,843,873   
Total Investments Before Borrowed Bonds and TBA Sale Commitments
(Cost — $863,346,104) — 182.9%
      855,743,015   
       
Borrowed Bonds                 Par
(000)		      Value
US Treasury Bonds, 2.75%, 11/15/42
      
 
      $    917          $     (760,824 )  
Total Borrowed Bonds
(Proceeds — $842,347) — (0.2)%
      (760,824 )  
TBA Sale Commitments (f)
Fannie Mae Mortgage-Backed Securities:
                                                             
3.00%, 8/15/43 — 9/15/43
      
 
         56,800            (54,468,093 )  
3.50%, 10/15/41 — 9/15/42
      
 
         22,200            (22,193,062 )  
4.50%, 8/15/25 — 9/15/43
      
 
         17,600            (18,632,433 )  
5.00%, 1/15/23 — 9/15/43
      
 
         39,200            (42,114,828 )  
6.00%, 9/15/43–10/15/43
      
 
         43,600            (47,700,563 )  
Total TBA Sale Commitments
(Proceeds — $184,946,964) — (39.5)%
      (185,108,979 )  
Total Investments, Net of Borrowed Bonds and TBA
Sale Commitments — 143.2%
      669,873,212   
Liabilities in Excess of Other Assets — (43.2)%
      (201,925,173 )  
Net Assets — 100.0%
   $ 467,948,039   

Notes to Schedule of Investments

(a)      
Variable rate security. Rate shown is as of report date.
(b)      
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(c)      
Amount is less than $500.
(d)      
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(e)      
All or a portion of securities with an aggregate market value of $320,754,086 have been pledged as collateral for open reverse repurchase agreements.
(f)      
Represents or includes a TBA transaction. Unsettled TBA transactions as of August 31, 2013 were as follows:

Counterparty
   
 Value
    
 Unrealized
Appreciation
(Depreciation)
Credit Suisse Securities (USA) LLC
         $ 6,563         $ (820 )  
Deutsche Bank Securities, Inc
         $ 14,384,700         $ (104,282 )  
Goldman Sachs & Co
         $ (1,389,407 )        $ 20,402   
J.P. Morgan Securities LLC
         $ 19,319,832         $ 17,274   
Morgan Stanley & Co. LLC
            —          $ (33,906 )  
Wells Fargo Securities, LLC
         $ (3,835,781 )        $ 1,719   

(g)      
All or a portion of security has been pledged as collateral in connection with swaps.
(h)      
Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Art, as amended, were as follows:

Affiliate
   
 Shares
Held at
August 31, 2012
    
 Net
Activity
    
 Shares
Held at
August 31, 2013
    
 Income
    
 Realized Gain
    
BlackRock Liquidity Funds, TempFund
      
2,187,808
   
12,808,986
   
14,996,794
   
$7,875
   
$94
   

(i)      
Represents the current yield as of report date.
•      
For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. 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.

104 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Income Trust, Inc. (BKT)
 

•      
Reverse repurchase agreements outstanding as of August 31, 2013 were as follows:

Counterparty
    
 Interest
Rate
    
 Trade
Date
    
 Maturity
Date
    
 Face
Value
    
 Face Value
Including
Accrued
Interest
Credit Suisse Securities (USA) LLC
  
0.15%
   
1/28/13
   
Open
      $ 22,922,685         $ 22,939,424     
BNP Paribas Securities Corp.
  
0.00%
   
2/08/13
   
Open
         2,916,819            2,916,819   
Deutsche Bank Securities, Inc.
  
0.10%
   
5/31/13
   
Open
         7,885,413            7,887,450   
BNP Paribas Securities Corp.
  
0.16%
   
8/08/13
   
9/12/13
         84,864,000            84,871,543   
Morgan Stanley & Co. LLC
  
0.16%
   
8/12/13
   
9/12/13
         29,726,000            29,728,642   
Total
  
 
   
 
   
 
      $ 148,314,917         $ 148,343,878   
 
  
 
   
 
   
 
                                

•      
Financial futures contracts as of August 31, 2013 were as follows:

 Contracts
Purchased
    (Sold)
    
 Issue
    
 Exchange
    
 Expiration
    
 Notional
Value
    
 Unrealized
Appreciation
(Depreciation)
   37
  
90-Day Euro-Dollar
   
Chicago Mercantile
   
September 2013
   
USD
      9,225,488      
$26,863
(2)
  
90-Day Euro-Dollar
   
Chicago Mercantile
   
December 2013
   
USD
      498,500      
(79)
(74)
  
2-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
      16,261,500      
(7,347)
(517)
  
30-Year US Treasury Bond
   
Chicago Board of Trade
   
December 2013
   
USD
      68,195,531      
(747,071)
(152)
  
Ultra Long US Treasury Bond
   
Chicago Board of Trade
   
December 2013
   
USD
      21,565,000      
(356,487)
(27)
  
90-Day Euro-Dollar
   
Chicago Mercantile
   
March 2014
   
USD
      6,725,700      
(2,131)
(41)
  
90-Day Euro-Dollar
   
Chicago Mercantile
   
June 2014
   
USD
      10,204,388      
(13,859)
(41)
  
90-Day Euro-Dollar
   
Chicago Mercantile
   
September 2014
   
USD
      10,192,600      
(9,003)
(41)
  
90-Day Euro-Dollar
   
Chicago Mercantile
   
December 2014
   
USD
      10,178,763      
(3,096)
(41)
  
90-Day Euro-Dollar
   
Chicago Mercantile
   
March 2015
   
USD
      10,161,337      
8,516
(12)
  
90-Day Euro-Dollar
   
Chicago Mercantile
   
June 2015
   
USD
      2,967,600      
14,077
(12)
  
90-Day Euro-Dollar
   
Chicago Mercantile
   
September 2015
   
USD
      2,959,800      
18,927
(12)
  
90-Day Euro-Dollar
   
Chicago Mercantile
   
December 2015
   
USD
      2,951,250      
23,827
(12)
  
90-Day Euro-Dollar
   
Chicago Mercantile
   
March 2016
   
USD
      2,942,400      
28,702
Total
  
 
   
 
   
 
   
 
              
$(1,018,161)

•      
Interest rate swaps outstanding as of August 31, 2013 were as follows:

Fixed
Rate
   
 Floating
Rate
    
 Counterparty/
Clearinghouse
    
 Expiration
Date
    
 Notional
Amount
(000)
    
 Market
Value
    
 Premiums
Received
    
 Unrealized
Appreciation
(Depreciation)
4.88%1
      
3-month LIBOR
   
UBS AG
   
3/21/15
   
USD
   
25,000
   
$1,700,023
         —    
$1,700,023
   
0.46%1
      
3-month LIBOR
   
Chicago Mercantile
   
6/11/15
   
USD
   
100
   
(79)
         —    
(79)
   
4.87%1
      
3-month LIBOR
   
Goldman Sachs Bank USA
   
1/25/16
   
USD
   
5,500
   
543,884
         —    
543,884
   
2.81%1
      
3-month LIBOR
   
Citibank N.A.
   
2/06/16
   
USD
   
20,000
   
1,009,020
         —    
1,009,020
   
5.72%1
      
3-month LIBOR
   
JPMorgan Chase Bank N.A.
   
7/14/16
   
USD
   
5,400
   
738,310
         —    
738,310
   
4.31%2
      
3-month LIBOR
   
Deutsche Bank AG
   
10/01/18
   
USD
   
60,000
   
(7,386,262)
         —    
(7,386,262)
   
3.43%1
      
3-month LIBOR
   
JPMorgan Chase Bank N.A.
   
3/28/21
   
USD
   
6,000
   
384,889
      $ (211,777 )  
596,666
   
5.41%1
      
3-month LIBOR
   
JPMorgan Chase Bank N.A.
   
8/15/22
   
USD
   
9,565
   
2,047,854
         —    
2,047,854
   
Total
      
 
   
 
   
 
   
 
   
 
   
$(962,361)
      $ (211,777 )  
$(750,584)
   
1 Trust pays the floating rate and receives the fixed rate.
2 Trust pays the fixed interest rate and receives the floating rate.

•      
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 statement purposes as follows:
•      
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or 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 fair value hierarchy classification 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 instruments 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, please refer to Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 105
 
  
Schedule of Investments (concluded)   BlackRock Income Trust, Inc. (BKT)
 

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013:

 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                                                 
Investments:
                                                                                 
Long-Term Investments:
                                                                                 
Asset-Backed Securities
            —          $ 5,352,917         $ 695,051         $ 6,047,968   
Non-Agency Mortgage-Backed Securities
            —             10,803,518            2,808,305            13,611,823   
US Government Sponsored Agency Securities
           —             800,190,903            7,314,558            807,505,461   
US Treasury Obligations
            —             12,733,890            —             12,733,890   
Short-Term Securities:
                                                                                 
Borrowed Bond Agreements
            —             847,079            —             847,079   
Money Market Funds
        $ 14,996,794             —             —             14,996,794   
Liabilities:
                                                                                 
Investments:
                                                                                 
Borrowed Bonds
            —             (760,824 )           —             (760,824 )  
TBA Sale Commitments
            —             (185,108,979 )           —             (185,108,979 )  
Total
         $   14,996,794         $ 644,058,504         $  10,817,914         $ 669,873,212   
                                     
 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Derivative Financial Instruments1
                                                                                 
Assets:
                                                                                 
Interest rate contracts
         $ 120,912         $    6,635,757            —          $    6,756,669   
Liabilities:
                                                                                 
Interest rate contracts
            (1,139,073 )           (7,386,341 )           —             (8,525,414 )  
Total
         $   (1,018,161 )        $ (750,584 )           —          $ (1,768,745 )  
  1 Derivative financial instruments are swaps and financial futures contracts. Swaps and financial futures contracts are valued at the unrealized appreciation/depreciation on the instrument.

Certain of the Trust’s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 
   
 Level 1
    
 Level 2
    
 Level 3
    
 Total
Assets:
                                                                                 
Cash pledged for financial futures contracts
         $  2,397,000            —             —          $ 2,397,000   
Cash pledged for centrally cleared swaps
            10,000            —             —             10,000   
Cash pledged as collateral for over-the-counter swaps
            2,900,000            —             —             2,900,000   
Cash pledged as collateral for reverse repurchase agreements
            2,060,000            —             —             2,060,000   
Liabilities:
                                                                                 
Cash received as collateral for over-the-counter swaps
            —          $ (4,520,000 )           —             (4,520,000 )  
Reverse repurchase agreements
            —             (148,343,878 )           —             (148,343,878 )  
Total
         $    7,367,000         $ (152,863,878 )           —          $ (145,496,878 )  

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2013.

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
    
 US Government
Sponsored Agency
Securities
    
 Total
Assets:
                                                                           
Opening Balance, as of August 31, 2012
        $ 917,196         $ 4,067,898         $ 4,622,964         $ 9,608,058   
Transfers into Level 3
            —             —             —             —    
Transfers out of Level 3
            —             (452,945 )           —             (452,945 )  
Accrued discounts/premiums
            (508,200 )           —             (167,938 )           (676,138 )  
Net realized gain (loss)
           —             —             (15,437 )           (15,437 )  
Net change in unrealized appreciation/depreciation2
            286,055            (806,648 )           1,140,632            620,039   
Purchases
            —             —             2,189,702            2,189,702   
Sales
            —             —             (455,365 )           (455,365 )  
Closing Balance, as of August 31, 2013
         $ 695,051         $ 2,808,305         $ 7,314,558         $ 10,817,914   

2   Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2013 was $620,041.

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.

106 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments August 31, 2013 BlackRock Strategic Bond Trust (BHD)
(Percentages shown are based on Net Assets)
Common Stocks (a)                     
Shares		      Value
Diversified Telecommunication Services — 0.0%
Broadview Networks Holdings, Inc.
      
 
         5,037         $       31,733     
Media — 0.0%
Adelphia Recovery Trust
      
 
         396,568            1,111   
Paper & Forest Products — 0.3%
NewPage Corp.
      
 
         3,380            270,400   
Total Common Stocks — 0.3%
      
 
                       303,244   
Corporate Bonds
      
  
         Par
(000		 )                 
Aerospace & Defense — 0.5%
Bombardier, Inc., 4.25%, 1/15/16 (b)
      
USD
         85             87,869   
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21
      
 
         60             64,800   
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17
      
 
         185             199,800   
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b)
      
 
         100             101,865   
 
      
 
                       454,334   
Airlines — 0.5%
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18
      
 
         125             126,813   
Delta Air Lines Pass-Through Trust:
                                                             
Series 2002-1, Class G-1, 6.72%, 1/02/23
      
 
         137             149,147   
Series 2009-1, Class B, 9.75%, 12/17/16
      
 
         35             37,913   
US Airways Pass-Through Trust, Series 2011-1, Class C, 10.88%, 10/22/14
      
 
         167             176,358   
 
      
 
                       490,231   
Auto Components — 1.8%
Continental Rubber of America Corp., 4.50%, 9/15/19 (b)
      
 
         150             151,575   
Dana Holding Corp., 6.75%, 2/15/21
      
 
         180             191,025   
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18
      
 
         670             705,175   
Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20
      
GBP
         177             303,921   
Schaeffler Holding Finance BV, 6.88%, 8/15/18 (c)
      
EUR
         115             156,169   
Servus Luxembourg Holdings SCA, 7.75%, 6/15/18
      
 
         100             134,174   
Titan International, Inc., 7.88%, 10/01/17 (b)
      
USD
         146             154,760   
 
      
 
                       1,796,799   
Building Products — 0.6%
Building Materials Corp. of America (b):
                                                             
7.00%, 2/15/20
      
 
         210             223,125   
6.75%, 5/01/21
      
 
         230             243,800   
Momentive Performance Materials, Inc., 8.88%, 10/15/20
      
 
         65             67,438   
Texas Industries, Inc., 9.25%, 8/15/20
      
 
         82             89,585   
 
      
 
                       623,948   
Capital Markets — 2.0%
E*Trade Financial Corp., Series A, 0.00%, 8/31/19 (d)(e)
      
 
         100             135,750   
The Goldman Sachs Group, Inc.:
                                                             
5.38%, 3/15/20
      
 
         225             244,784   
6.00%, 6/15/20
      
 
         250             280,527   
5.75%, 1/24/22
      
 
         525             576,579   
KCG Holdings, Inc., 8.25%, 6/15/18 (b)
      
 
         48             47,160   
Merrill Lynch & Co., Inc., 6.05%, 5/16/16
      
 
         325             355,464   
Morgan Stanley, 5.63%, 9/23/19
      
 
         320             352,246   
 
      
 
                       1,992,510   
Chemicals — 2.2%
Axiall Corp., 4.88%, 5/15/23 (b)
      
 
         39             36,173   
Celanese US Holdings LLC, 5.88%, 6/15/21
      
 
         324             332,100   
Huntsman International LLC:
                                                             
4.88%, 11/15/20
      
 
         75             71,437   
8.63%, 3/15/21
      
 
         65             72,475   
                         
Corporate Bonds                 Par
(000)		      Value
Chemicals (concluded)
INEOS Finance PLC, 7.50%, 5/01/20 (b)
      
USD
         85          $ 90,950   
Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.75%, 3/01/19
      
 
         45                   45,675     
LyondellBasell Industries NV, 5.75%, 4/15/24
      
 
         664             736,395   
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.38%, 3/01/18
      
 
         30             29,850   
Nufarm Australia Ltd., 6.38%, 10/15/19 (b)
      
 
         60             60,000   
Orion Engineered Carbons Bondco GmbH (FKA Kinove German Bondco GmbH), 10.00%, 6/15/18
      
EUR
         98             144,726   
PetroLogistics LP/PetroLogistics Finance Corp., 6.25%, 4/01/20 (b)
      
USD
         41             39,667   
PolyOne Corp., 7.38%, 9/15/20
      
 
         80             88,200   
Rockwood Specialties Group, Inc., 4.63%, 10/15/20
      
 
         374             367,455   
Tronox Finance LLC, 6.38%, 8/15/20 (b)
      
 
         46             43,930   
 
      
 
                       2,159,033   
Commercial Banks — 2.6%
Barclays Bank Plc, 5.14%, 10/14/20
      
 
         100             103,796   
CIT Group, Inc.:
                                                             
5.25%, 3/15/18
      
 
         1,434            1,480,605   
6.63%, 4/01/18 (b)
      
 
         110             118,800   
5.50%, 2/15/19 (b)
      
 
         219             224,475   
HSBC Bank PLC, 7.65%, 5/01/25
      
 
         350             424,932   
Itau Unibanco Holding SA, 5.75%, 1/22/21 (b)
      
 
         225             214,875   
Lloyds TSB Bank PLC, 11.88%, 12/16/21 (f)
      
EUR
         12             19,508   
 
      
 
                       2,586,991   
Commercial Services & Supplies — 2.8%
AA Bond Co. Ltd., 9.50%, 7/31/43
      
GBP
         100             165,431   
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (b)
      
USD
         61             64,355   
The ADT Corp., 3.50%, 7/15/22
      
 
         75             62,716   
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)
      
 
         172             177,772   
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (b)
      
 
         11             11,784   
Covanta Holding Corp., 6.38%, 10/01/22
      
 
         85             86,249   
EC Finance PLC, 9.75%, 8/01/17
      
EUR
         50             72,023   
Interactive Data Corp., 10.25%, 8/01/18
      
 
         340             378,692   
Mobile Mini, Inc., 7.88%, 12/01/20
      
USD
         135             147,150   
UR Merger Sub Corp.:
                                                             
5.75%, 7/15/18
      
 
         50             53,375   
7.38%, 5/15/20
      
 
         95             102,362   
8.25%, 2/01/21
      
 
         165             182,325   
7.63%, 4/15/22
      
 
         919             987,925   
Verisure Holding AB:
                                                             
8.75%, 9/01/18
      
EUR
         100             144,721   
8.75%, 12/01/18
      
 
         100             139,764   
West Corp., 8.63%, 10/01/18
      
USD
         50             54,125   
 
      
 
                       2,830,769   
Communications Equipment — 1.2%
Avaya, Inc., 7.00%, 4/01/19 (b)
      
 
         215             196,725   
Brocade Communications Systems, Inc., 6.88%, 1/15/20
      
 
         175             188,562   
Zayo Group LLC/Zayo Capital, Inc.:
                                                             
8.13%, 1/01/20
      
 
         578             627,130   
10.13%, 7/01/20
      
 
         186             211,110   
 
      
 
                       1,223,527   
Construction & Engineering — 0.3%
Boart Longyear Management Property Ltd., 7.00%, 4/01/21 (b)
      
 
         75             60,750   
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)
      
 
         200             201,000   
 
      
 
                       261,750   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 107
 
  
Schedule of Investments (continued)   BlackRock Strategic Bond Trust (BHD)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Construction Materials — 3.1%
Buzzi Unicem SpA, 6.25%, 9/28/18
      
EUR
         100          $ 140,753   
HD Supply, Inc.:
                                                             
8.13%, 4/15/19
      
USD
         1,487            1,654,288   
11.00%, 4/15/20
      
 
         230             274,850   
7.50%, 7/15/20 (b)
      
 
         977             1,020,965   
HeidelbergCement Finance Luxembourg SA, 7.50%, 4/03/20
      
EUR
         21                   32,750     
 
      
 
                       3,123,606   
Consumer Finance — 0.7%
Credit Acceptance Corp., 9.13%, 2/01/17
      
USD
         185             197,488   
Ford Motor Credit Co. LLC, 2.75%, 5/15/15
      
 
         500             508,360   
 
      
 
                       705,848   
Containers & Packaging — 0.8%
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16
      
EUR
         54             71,372   
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21
      
USD
         23             24,150   
GCL Holdings SCA, 9.38%, 4/15/18 (b)
      
EUR
         100             142,738   
Graphic Packaging International, Inc., 7.88%, 10/01/18
      
USD
         135             146,813   
Sealed Air Corp. (b):
                                                             
6.50%, 12/01/20
      
 
         120             127,200   
8.38%, 9/15/21
      
 
         60             67,875   
Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (b)
      
 
         200             200,000   
 
      
 
                       780,148   
Diversified Consumer Services — 0.5%
APX Group, Inc., 6.38%, 12/01/19 (b)
      
 
         157             147,973   
Rent-A-Center, Inc., 4.75%, 5/01/21 (b)
      
 
         108             99,900   
Service Corp. International, 4.50%, 11/15/20
      
 
         307             297,790   
 
      
 
                       545,663   
Diversified Financial Services — 7.1%
Aircastle Ltd., 6.25%, 12/01/19
      
 
         174             181,395   
Ally Financial, Inc.:
                                                             
8.30%, 2/12/15
      
 
         400             432,000   
6.25%, 12/01/17
      
 
         30             32,169   
8.00%, 3/15/20
      
 
         60             69,075   
7.50%, 9/15/20
      
 
         550             618,750   
8.00%, 11/01/31
      
 
         1,106            1,271,900   
Bank of America Corp.:
                                                             
4.50%, 4/01/15
      
 
         375             393,291   
6.50%, 8/01/16
      
 
         410             462,357   
5.63%, 10/14/16
      
 
         100             110,721   
5.75%, 12/01/17
      
 
         240             268,535   
Citigroup, Inc., 8.13%, 7/15/39
      
 
         55             75,704   
Co-Operative Group Ltd., 5.63%, 7/08/20 (g)
      
GBP
         100             146,834   
DPL, Inc.:
                                                             
6.50%, 10/15/16
      
USD
         115             121,325   
7.25%, 10/15/21
      
 
         310             316,200   
Gala Group Finance PLC, 8.88%, 9/01/18
      
GBP
         100             165,043   
General Motors Financial Co., Inc., 4.25%, 5/15/23 (b)
      
USD
         101             90,900   
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (b)
      
 
         200             198,000   
JPMorgan Chase & Co.:
                                                             
5.50%, 10/15/40
      
 
         175             188,311   
5.60%, 7/15/41
      
 
         175             189,989   
Macquarie Bank Ltd., 5.00%, 2/22/17 (b)
      
 
         200             215,840   
Reynolds Group Issuer, Inc.:
                                                             
7.88%, 8/15/19
      
 
         180             198,000   
9.88%, 8/15/19
      
 
         274             291,125   
5.75%, 10/15/20
      
 
         748             741,455   
6.88%, 2/15/21
      
 
         125             131,875   
WMG Acquisition Corp., 11.50%, 10/01/18
      
 
         151             174,028   
 
      
 
                       7,084,822   
                         
Corporate Bonds                 Par
(000)		      Value
Diversified Telecommunication Services — 3.2%
Broadview Networks Holdings, Inc., 10.50%, 11/15/17
      
USD
         78          $ 76,725   
CenturyLink, Inc., Series V, 5.63%, 4/01/20
      
 
         398             390,040   
Level 3 Communications, Inc., 8.88%, 6/01/19
      
 
         150             160,125   
Level 3 Financing, Inc.:
                                                             
8.13%, 7/01/19
      
 
         1,310               1,385,325     
8.63%, 7/15/20
      
 
         188             201,160   
Qwest Corp., 7.25%, 10/15/35
      
 
         200             190,386   
Telefonica Emisiones SAU, 5.46%, 2/16/21
      
 
         250             255,555   
Telenet Finance V Luxembourg SCA:
                                                             
6.25%, 8/15/22
      
EUR
         200             265,123   
6.75%, 8/15/24
      
 
         100             133,817   
Windstream Corp., 7.88%, 11/01/17
      
USD
         142             157,620   
 
      
 
                       3,215,876   
Electric Utilities — 2.3%
Nisource Finance Corp., 3.85%, 2/15/23
      
 
         400             387,678   
Oncor Electric Delivery Co. LLC, 4.10%, 6/01/22
      
 
         325             334,638   
Progress Energy, Inc., 7.75%, 3/01/31
      
 
         1,000            1,291,241   
The Tokyo Electric Power Co., Inc., 4.50%, 3/24/14
      
EUR
         250             329,830   
 
      
 
                       2,343,387   
Electrical Equipment — 0.1%
General Cable Corp., 5.75%, 10/01/22 (b)
      
USD
         102             98,175   
Electronic Equipment, Instruments & Components — 0.1%
Jabil Circuit, Inc., 8.25%, 3/15/18
      
 
         45             52,988   
Energy Equipment & Services — 4.5%
Calfrac Holdings LP, 7.50%, 12/01/20 (b)
      
 
         145             146,088   
CGG (FKA Compagnie Generale de Geophysique, Veritas):
                                                             
7.75%, 5/15/17
      
 
         55             56,375   
6.50%, 6/01/21
      
 
         200             202,500   
Energy Transfer Partners LP, 5.20%, 2/01/22
      
 
         600             632,216   
Ensco PLC, 4.70%, 3/15/21
      
 
         425             449,573   
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b)
      
 
         285             304,237   
Genesis Energy LP/Genesis Energy Finance Corp., 5.75%, 2/15/21
      
 
         18             17,730   
GrafTech International Ltd., 6.38%, 11/15/20
      
 
         150             150,000   
MEG Energy Corp., 6.50%, 3/15/21 (b)
      
 
         366             372,405   
Oil States International, Inc., 6.50%, 6/01/19
      
 
         115             121,325   
Peabody Energy Corp.:
                                                             
6.00%, 11/15/18
      
 
         313             311,435   
6.25%, 11/15/21
      
 
         312             301,080   
Precision Drilling Corp., 6.50%, 12/15/21
      
 
         65             67,925   
Seadrill Ltd., 5.63%, 9/15/17 (b)
      
 
         535             539,012   
Tervita Corp., 8.00%, 11/15/18 (b)
      
 
         97             96,758   
Transocean, Inc., 6.50%, 11/15/20
      
 
         550             608,060   
Trionista Holdco GmbH, 5.00%, 4/30/20
      
EUR
         100             133,487   
 
      
 
                       4,510,206   
Food & Staples Retailing — 0.4%
Bakkavor Finance 2 PLC:
                                                             
8.25%, 2/15/18
      
GBP
         104             168,018   
8.75%, 6/15/20
      
 
         100             161,944   
Rite Aid Corp., 6.75%, 6/15/21 (b)
      
USD
         72             72,900   
 
      
 
                       402,862   
Food Products — 2.0%
Barry Callebaut Services NV, 5.50%, 6/15/23 (b)
      
 
         200             201,158   
Darling International, Inc., 8.50%, 12/15/18
      
 
         90             99,000   
Findus Bondco SA:
                                                             
9.13%, 7/01/18
      
EUR
         100             139,117   
9.50%, 7/01/18
      
GBP
         100             162,579   
Mondelez International, Inc.:
                                                             
6.50%, 8/11/17
      
USD
         600             695,035   
6.13%, 8/23/18
      
 
         250             289,326   
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 4.88%, 5/01/21 (b)
      
 
         56             52,080   

See Notes to Financial Statements.

108 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Strategic Bond Trust (BHD)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Food Products (concluded)
Post Holdings, Inc., 7.38%, 2/15/22
      
USD
         185          $ 195,175   
Sun Merger Sub, Inc. (b):
                                                             
5.25%, 8/01/18
      
 
         86             86,323   
5.88%, 8/01/21
      
 
         44             43,890   
 
      
 
                       1,963,683   
Gas Utilities — 0.3%
El Paso Natural Gas Co. LLC, 8.63%, 1/15/22
      
 
         145                  186,880     
Suburban Propane Partners LP/Suburban Energy Finance Corp., 7.50%, 10/01/18
      
 
         95             101,887   
 
      
 
                       288,767   
Health Care Equipment & Supplies — 2.7%
Biomet, Inc.:
                                                             
6.50%, 8/01/20
      
 
         1,371            1,405,275   
6.50%, 10/01/20
      
 
         741             739,147   
DJO Finance LLC, 7.75%, 4/15/18
      
 
         40             39,300   
Fresenius US Finance II, Inc., 9.00%, 7/15/15 (b)
      
 
         410             456,638   
Teleflex, Inc., 6.88%, 6/01/19
      
 
         105             110,250   
 
      
 
                       2,750,610   
Health Care Providers & Services — 6.4%
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19
      
 
         150             160,500   
CHS/Community Health Systems, Inc., 5.13%, 8/15/18
      
 
         246             251,535   
ConvaTec Healthcare E SA, 7.38%, 12/15/17 (b)
      
EUR
         200             281,511   
Crown Newco 3 PLC, 7.00%, 2/15/18 (b)
      
GBP
         200             316,449   
HCA, Inc.:
                                                             
8.50%, 4/15/19
      
USD
         40             43,200   
6.50%, 2/15/20
      
 
         1,149            1,233,739   
7.88%, 2/15/20
      
 
         115             124,056   
7.25%, 9/15/20
      
 
         805             876,444   
5.88%, 3/15/22
      
 
         148             152,810   
4.75%, 5/01/23
      
 
         317             295,999   
Hologic, Inc., 6.25%, 8/01/20
      
 
         240             250,200   
IASIS Healthcare LLC/IASIS Capital Corp., 8.38%, 5/15/19
      
 
         20             20,950   
inVentiv Health, Inc., 9.00%, 1/15/18 (b)
      
 
         80             81,600   
Symbion, Inc., 8.00%, 6/15/16
      
 
         125             131,250   
Tenet Healthcare Corp.:
                                                             
6.25%, 11/01/18
      
 
         1,363            1,439,668   
4.50%, 4/01/21
      
 
         100             92,000   
4.38%, 10/01/21 (b)
      
 
         446             404,745   
WellPoint, Inc., 5.95%, 12/15/34
      
 
         194             214,572   
 
      
 
                       6,371,228   
Health Care Technology — 0.8%
IMS Health, Inc., 12.50%, 3/01/18 (b)
      
 
         660             778,800   
Hotels, Restaurants & Leisure — 2.1%
Caesars Entertainment Operating Co., Inc.:
                                                             
8.50%, 2/15/20
      
 
         7             6,685   
9.00%, 2/15/20
      
 
         177             169,920   
9.00%, 2/15/20
      
 
         445             427,200   
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18
      
EUR
         51             68,415   
Diamond Resorts Corp., 12.00%, 8/15/18
      
USD
         310             344,100   
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19
      
EUR
         200             270,938   
Intralot Finance Luxembourg SA, 9.75%, 8/15/18
      
 
         150             205,186   
PNK Finance Corp., 6.38%, 8/01/21 (b)
      
USD
         136             135,660   
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)
      
 
         212             200,340   
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(h)
      
 
         50             —    
The Unique Pub Finance Co. PLC, Series A3, 6.54%, 3/30/21
      
GBP
         200             312,265   
 
      
 
                       2,140,709   
                         
Corporate Bonds                 Par
(000)		      Value
Household Durables — 1.6%
Beazer Homes USA, Inc., 6.63%, 4/15/18
      
USD
         145          $      152,794     
RPG Byty Sro, 6.75%, 5/01/20
      
EUR
         100             127,539   
The Ryland Group, Inc., 6.63%, 5/01/20
      
USD
         130             134,875   
Spie BondCo 3 SCA, 11.00%, 8/15/19
      
EUR
         109             160,627   
Standard Pacific Corp.:
                                                             
10.75%, 9/15/16
      
USD
         565             670,937   
8.38%, 1/15/21
      
 
         200             224,000   
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (b)
      
 
         95             89,775   
 
      
 
                       1,560,547   
Household Products — 0.4%
Ontex IV SA:
                                                             
7.50%, 4/15/18 (b)
      
EUR
         100                  138,795     
9.00%, 4/15/19
      
 
         100             137,121   
Spectrum Brands Escrow Corp. (b):
                                                             
6.38%, 11/15/20
      
USD
         50             51,750   
6.63%, 11/15/22
      
 
         70             71,750   
 
      
 
                       399,416   
Independent Power Producers & Energy Traders — 3.2%
Calpine Corp., 7.50%, 2/15/21 (b)
      
 
         36             38,160   
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:
                                                             
10.00%, 12/01/20
      
 
         1,562            1,645,957   
10.00%, 12/01/20 (b)
      
 
         765             804,206   
GenOn REMA LLC, Series C,, 9.68%, 7/02/26
      
 
         105             111,300   
Laredo Petroleum, Inc.:
                                                             
9.50%, 2/15/19
      
 
         115             127,938   
7.38%, 5/01/22
      
 
         50             52,750   
NRG Energy, Inc., 7.63%, 1/15/18
      
 
         330             365,475   
QEP Resources, Inc., 5.38%, 10/01/22
      
 
         75             71,625   
 
      
 
                       3,217,411   
Insurance — 3.1%
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC, 7.88%, 12/15/20 (b)
      
 
         147             150,308   
American International Group, Inc., 6.40%, 12/15/20
      
 
         1,130            1,319,173   
Lincoln National Corp., 8.75%, 7/01/19
      
 
         575             739,104   
MetLife Global Funding I, 5.13%, 6/10/14 (b)
      
 
         250             258,903   
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (b)
      
 
         90             92,700   
Prudential Financial, Inc., 5.38%, 6/21/20
      
 
         400             448,859   
TMF Group Holding BV, 9.88%, 12/01/19
      
EUR
         100             138,120   
 
      
 
                       3,147,167   
Internet Software & Services — 0.1%
Equinix, Inc., 4.88%, 4/01/20
      
USD
         22             21,175   
VeriSign, Inc., 4.63%, 5/01/23 (b)
      
 
         85             79,475   
 
      
 
                       100,650   
IT Services — 2.7%
Ceridian Corp. (b):
                                                             
8.88%, 7/15/19
      
 
         370             416,250   
11.00%, 3/15/21
      
 
         112             129,360   
First Data Corp. (b):
                                                             
7.38%, 6/15/19
      
 
         943             978,362   
8.88%, 8/15/20
      
 
         195             210,600   
6.75%, 11/01/20
      
 
         486             496,935   
SunGard Data Systems, Inc.:
                                                             
7.38%, 11/15/18
      
 
         280             297,500   
6.63%, 11/01/19
      
 
         205             208,075   
 
      
 
                       2,737,082   
Machinery — 0.2%
Navistar International Corp., 8.25%, 11/01/21
      
 
         97             96,394   
SPX Corp., 6.88%, 9/01/17
      
 
         65             71,987   
 
      
 
                       168,381   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 109
 
  
Schedule of Investments (continued)   BlackRock Strategic Bond Trust (BHD)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Media — 10.5%
AMC Networks, Inc.:
                                                             
7.75%, 7/15/21
      
USD
         80          $       88,400     
4.75%, 12/15/22
      
 
         86             80,625   
CCO Holdings LLC/CCO Holdings Capital Corp.:
                                                             
6.50%, 4/30/21
      
 
         320             324,000   
5.25%, 9/30/22
      
 
         218             198,925   
5.13%, 2/15/23
      
 
         50             44,875   
Checkout Holding Corp., 9.92%, 11/15/15 (b)(e)
      
 
         166             134,045   
Cinemark USA, Inc., 5.13%, 12/15/22
      
 
         44             41,140   
Clear Channel Communications, Inc.:
                                                             
9.00%, 12/15/19
      
 
         130             125,125   
9.00%, 3/01/21
      
 
         276             262,200   
Clear Channel Worldwide Holdings, Inc.:
                                                             
6.50%, 11/15/22
      
 
         167                  165,747     
Series B, 7.63%, 3/15/20
      
 
         240             240,600   
Series B, 6.50%, 11/15/22
      
 
         678             678,000   
DIRECTV Holdings LLC:
                                                             
3.80%, 3/15/22
      
 
         250             233,183   
6.00%, 8/15/40
      
 
         175             167,028   
DISH DBS Corp.:
                                                             
7.00%, 10/01/13
      
 
         201             201,804   
5.88%, 7/15/22
      
 
         340             333,200   
Intelsat Jackson Holdings SA:
                                                             
7.25%, 10/15/20
      
 
         154             164,395   
5.50%, 8/01/23 (b)
      
 
         161             149,328   
Live Nation Entertainment, Inc. (b):
                                                             
8.13%, 5/15/18
      
 
         150             163,877   
7.00%, 9/01/20
      
 
         29             30,160   
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (b)
      
 
         216             233,971   
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)
      
 
         75             75,938   
Nara Cable Funding Ltd., 8.88%, 12/01/18
      
EUR
         100             139,203   
NBC Universal Media LLC, 6.40%, 4/30/40
      
USD
         530             633,700   
The New York Times Co., 6.63%, 12/15/16
      
 
         500             553,750   
News America, Inc., 6.20%, 12/15/34
      
 
         825             885,480   
Nielsen Finance LLC/Nielsen Finance Co., 7.75%, 10/15/18
      
 
         408             443,700   
Odeon & UCI Finco PLC, 9.00%, 8/01/18 (b)
      
GBP
         100             159,619   
ProQuest LLC/ProQuest Notes Co., 9.00%, 10/15/18 (b)
      
USD
         47             47,235   
Sirius XM Radio, Inc. (b):
                                                             
4.25%, 5/15/20
      
 
         141             129,015   
4.63%, 5/15/23
      
 
         68             60,010   
TCI Communications, Inc., 7.88%, 2/15/26
      
 
         1,000            1,297,749   
Time Warner Cable, Inc., 4.50%, 9/15/42
      
 
         445             345,930   
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW Gmbh, 7.50%, 3/15/19
      
EUR
         337             482,141   
Unitymedia KabelBW GmbH, 9.50%, 3/15/21
      
 
         150             224,961   
Univision Communications, Inc., 5.13%, 5/15/23 (b)
      
USD
         292             275,575   
UPCB Finance II Ltd., 6.38%, 7/01/20 (b)
      
EUR
         292             404,774   
Virgin Media Secured Finance PLC, 6.50%, 1/15/18
      
USD
         200             208,500   
Ziggo Finance BV, 6.13%, 11/15/17 (b)
      
EUR
         88             120,388   
 
      
 
                       10,548,296   
Metals & Mining — 3.1%
ArcelorMittal:
                                                             
9.50%, 2/15/15
      
USD
         100             109,750   
4.25%, 2/25/15
      
 
         43             44,129   
4.25%, 8/05/15
      
 
         29             29,870   
4.25%, 3/01/16
      
 
         50             51,000   
6.13%, 6/01/18
      
 
         190             195,700   
Barrick Gold Corp., 2.90%, 5/30/16
      
 
         225             226,253   
Barrick North America Finance LLC, 5.70%, 5/30/41
      
 
         250             212,710   
Commercial Metals Co., 4.88%, 5/15/23
      
 
         138             124,890   
Eco-Bat Finance PLC, 7.75%, 2/15/17
      
EUR
         100             134,808   
                         
Corporate Bonds                 Par
(000)		      Value
Metals & Mining (concluded)
New Gold, Inc., 6.25%, 11/15/22 (b)
      
USD
         105          $      100,538     
Newmont Mining Corp., 5.13%, 10/01/19
      
 
         225             235,708   
Novelis, Inc., 8.75%, 12/15/20
      
 
         1,195            1,299,562   
Taseko Mines Ltd., 7.75%, 4/15/19
      
 
         150             147,750   
Vedanta Resources PLC, 8.25%, 6/07/21 (b)
      
 
         200             188,000   
 
      
 
                       3,100,668   
Multiline Retail — 0.7%
Dollar General Corp., 4.13%, 7/15/17
      
 
         244             256,227   
Dufry Finance SCA, 5.50%, 10/15/20 (b)
      
 
         400             408,220   
 
      
 
                       664,447   
Oil, Gas & Consumable Fuels — 10.2%
Access Midstream Partners LP/ACMP Finance Corp., 6.13%, 7/15/22
      
 
         100                  102,750     
Anadarko Petroleum Corp.:
                                                             
5.95%, 9/15/16
      
 
         365             409,364   
6.38%, 9/15/17
      
 
         75             86,794   
6.95%, 6/15/19
      
 
         150             179,908   
Athlon Holdings LP/Athlon Finance Corp., 7.38%, 4/15/21 (b)
      
 
         40             40,400   
Bonanza Creek Energy, Inc., 6.75%, 4/15/21
      
 
         15             15,263   
Carrizo Oil & Gas, Inc., 7.50%, 9/15/20
      
 
         100             105,500   
Chesapeake Energy Corp.:
                                                             
7.25%, 12/15/18
      
 
         10             11,325   
6.63%, 8/15/20
      
 
         90             96,525   
6.13%, 2/15/21
      
 
         95             98,800   
5.75%, 3/15/23
      
 
         160             159,200   
Concho Resources, Inc.:
                                                             
7.00%, 1/15/21
      
 
         40             43,900   
6.50%, 1/15/22
      
 
         50             53,000   
CONSOL Energy, Inc., 8.25%, 4/01/20
      
 
         625             662,500   
Continental Resources, Inc.:
                                                             
7.13%, 4/01/21
      
 
         135             147,825   
5.00%, 9/15/22
      
 
         121             122,210   
4.50%, 4/15/23
      
 
         29             28,493   
Denbury Resources, Inc., 4.63%, 7/15/23
      
 
         157             140,122   
El Paso Pipeline Partners Operating Co. LLC, 5.00%, 10/01/21
      
 
         500             528,179   
Energy XXI Gulf Coast, Inc.:
                                                             
9.25%, 12/15/17
      
 
         120             133,500   
7.75%, 6/15/19
      
 
         320             332,800   
Enterprise Products Operating LLC, 3.70%, 6/01/15
      
 
         500             523,533   
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
      
 
         60             63,750   
EV Energy Partners LP/EV Energy Finance Corp., 8.00%, 4/15/19
      
 
         55             55,000   
Hilcorp Energy I LP/Hilcorp Finance Corp., 7.63%, 4/15/21 (b)
      
 
         70             74,550   
Kinder Morgan Energy Partners LP, 3.95%, 9/01/22
      
 
         475             464,127   
Kodiak Oil & Gas Corp.:
                                                             
8.13%, 12/01/19
      
 
         128             140,160   
5.50%, 2/01/22 (b)
      
 
         27             26,055   
Linn Energy LLC/Linn Energy Finance Corp.:
                                                             
6.50%, 5/15/19
      
 
         16             15,040   
6.25%, 11/01/19 (b)
      
 
         316             290,720   
8.63%, 4/15/20
      
 
         55             55,275   
7.75%, 2/01/21
      
 
         50             48,500   
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 6.25%, 6/15/22
      
 
         44             45,980   
Memorial Production Partners LP/Memorial Production Finance Corp., 7.63%, 5/01/21
      
 
         52             50,180   
Nexen, Inc., 6.40%, 5/15/37
      
 
         150             162,439   
Oasis Petroleum, Inc.:
                                                             
7.25%, 2/01/19
      
 
         90             95,400   
6.50%, 11/01/21
      
 
         110             115,500   
Pacific Drilling SA, 5.38%, 6/01/20 (b)
      
 
         94             90,710   
PBF Holding Co. LLC/PBF Finance Corp., 8.25%, 2/15/20
      
 
         11             11,248   

See Notes to Financial Statements.

110 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Strategic Bond Trust (BHD)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Oil, Gas & Consumable Fuels (concluded)
PDC Energy, Inc., 7.75%, 10/15/22
      
USD
         75          $       78,750     
Petrobras International Finance Co.:
                                                             
3.88%, 1/27/16
      
 
         1,100            1,128,810   
5.88%, 3/01/18
      
 
         200             211,501   
7.88%, 3/15/19
      
 
         100             112,566   
6.88%, 1/20/40
      
 
         25             23,608   
Petroleum Geo-Services ASA, 7.38%, 12/15/18 (b)
      
 
         210             229,950   
Pioneer Natural Resources Co., 6.88%, 5/01/18
      
 
         35             41,054   
Range Resources Corp.:
                                                             
8.00%, 5/15/19
      
 
         45             48,375   
5.75%, 6/01/21
      
 
         317             332,057   
5.00%, 8/15/22
      
 
         33             32,258   
Regency Energy Partners LP, 4.50%, 11/01/23 (b)
      
 
         63             56,228   
RKI Exploration & Production LLC/RKI Finance Corp., 8.50%, 8/01/21 (b)
      
 
         43             43,000   
Rosetta Resources, Inc., 5.63%, 5/01/21
      
 
         61             58,865   
Sabine Pass Liquefaction LLC (b):
                                                             
5.63%, 2/01/21
      
 
         458             437,390   
5.63%, 4/15/23
      
 
         117             108,517   
Sabine Pass LNG LP:
                                                             
7.50%, 11/30/16
      
 
         545             600,181   
6.50%, 11/01/20 (b)
      
 
         120             120,600   
SandRidge Energy, Inc.:
                                                             
8.75%, 1/15/20
      
 
         8             8,360   
7.50%, 2/15/23
      
 
         98             94,815   
SM Energy Co., 6.63%, 2/15/19
      
 
         45             47,025   
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (b)
      
 
         100             101,500   
Western Gas Partners LP, 5.38%, 6/01/21
      
 
         325             351,187   
The Williams Cos., Inc., 8.75%, 3/15/32
      
 
         124             154,030   
 
      
 
                       10,247,152   
Paper & Forest Products — 0.7%
Boise Paper Holdings LLC/Boise Co-Issuer Co., 8.00%, 4/01/20
      
 
         50             53,625   
Boise Paper Holdings LLC/Boise Finance Co., 9.00%, 11/01/17
      
 
         45             47,363   
Clearwater Paper Corp., 7.13%, 11/01/18
      
 
         215             231,125   
International Paper Co.:
                                                             
7.95%, 6/15/18
      
 
         220             271,683   
7.30%, 11/15/39
      
 
         5             6,156   
NewPage Corp., 11.38%, 12/31/14 (a)(h)
      
 
         779             —    
Sappi Papier Holding GmbH, 6.63%, 4/15/21 (b)
      
 
         50             46,500   
 
      
 
                       656,452   
Pharmaceuticals — 2.1%
Actavis, Inc. (FKA Watson Pharmaceuticals, Inc.), 3.25%, 10/01/22
      
 
         550             510,942   
Capsugel Finance Co. SCA, 9.88%, 8/01/19 (b)
      
EUR
         100             146,042   
Jaguar Holding Co. II/Jaguar Merger Sub, Inc., 9.50%, 12/01/19 (b)
      
USD
         125             141,250   
Valeant Pharmaceuticals International (b):
                                                             
6.50%, 7/15/16
      
 
         285             294,975   
6.38%, 10/15/20
      
 
         97             98,576   
VPII Escrow Corp., 6.75%, 8/15/18 (b)
      
 
         244             258,335   
Wyeth LLC, 6.50%, 2/01/34
      
 
         500             618,386   
 
      
 
                       2,068,506   
Real Estate Investment Trusts (REITs) — 0.6%
Felcor Lodging LP:
                                                             
6.75%, 6/01/19
      
 
         290             303,775   
5.63%, 3/01/23
      
 
         62             57,660   
HCP, Inc., 5.38%, 2/01/21
      
 
         225             243,665   
 
      
 
                       605,100   
Real Estate Management & Development — 2.0%
CBRE Services, Inc., 6.63%, 10/15/20
      
 
         90             95,625   
Lennar Corp., 4.75%, 11/15/22 (b)
      
 
         110             100,925   
                         
Corporate Bonds                 Par
(000)		      Value
Real Estate Management & Development (concluded)
Realogy Corp. (b):
                                                             
7.88%, 2/15/19
      
USD
         951          $    1,034,212     
7.63%, 1/15/20
      
 
         130             145,600   
Realogy Group LLC/Sunshine Group Florida Ltd., 3.38%, 5/01/16 (b)
      
 
         119             118,108   
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19
      
 
         445             488,387   
 
      
 
                       1,982,857   
Road & Rail — 1.5%
Canadian National Railway Co., 6.90%, 7/15/28
      
 
         500             629,527   
The Hertz Corp.:
                                                             
7.50%, 10/15/18
      
 
         285             307,800   
5.88%, 10/15/20
      
 
         55             56,444   
7.38%, 1/15/21
      
 
         380             410,400   
6.25%, 10/15/22
      
 
         95             96,663   
 
      
 
                       1,500,834   
Semiconductors & Semiconductor Equipment — 0.2%
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (b)
      
 
         200             200,000   
Software — 1.3%
IAC/InterActiveCorp, 4.75%, 12/15/22
      
 
         151             139,298   
Infor US, Inc., 9.38%, 4/01/19
      
 
         630             700,875   
Nuance Communications, Inc., 5.38%, 8/15/20 (b)
      
 
         265             252,412   
Oracle Corp., 5.38%, 7/15/40
      
 
         210             230,297   
 
      
 
                       1,322,882   
Specialty Retail — 1.8%
Asbury Automotive Group, Inc., 8.38%, 11/15/20
      
 
         130             143,650   
Claire’s Stores, Inc., 9.00%, 3/15/19 (b)
      
 
         85             94,669   
House of Fraser Funding PLC:
                                                             
8.88%, 8/15/18 (b)
      
GBP
         100             164,028   
8.88%, 8/15/18
      
 
         125             205,035   
Limited Brands, Inc., 8.50%, 6/15/19
      
USD
         320             378,000   
Magnolia BC SA, 9.00%, 8/01/20
      
EUR
         100             133,830   
New Academy Finance Co. LLC/New Academy Finance Corp., 8.00%, 6/15/18 (b)(c)
      
USD
         59             60,623   
Party City Holdings, Inc., 8.88%, 8/01/20 (b)
      
 
         233             249,601   
QVC, Inc. (b):
                                                             
7.50%, 10/01/19
      
 
         135             145,541   
7.38%, 10/15/20
      
 
         95             103,222   
Sally Holdings LLC/Sally Capital, Inc., 5.75%, 6/01/22
      
 
         146             146,182   
 
      
 
                       1,824,381   
Textiles, Apparel & Luxury Goods — 0.3%
PVH Corp., 4.50%, 12/15/22
      
 
         122             113,003   
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25%, 6/01/21 (b)
      
 
         106             104,675   
The William Carter Co., 5.25%, 8/15/21 (b)
      
 
         88             88,440   
 
      
 
                       306,118   
Tobacco — 0.1%
Altria Group, Inc., 9.95%, 11/10/38
      
 
         50             73,949   
Trading Companies & Distributors — 0.3%
Air Lease Corp., 4.50%, 1/15/16
      
 
         257             267,280   
Transportation Infrastructure — 0.2%
Aguila 3 SA, 7.88%, 1/31/18 (b)
      
 
         150             157,125   
Wireless Telecommunication Services — 5.6%
America Movil SAB de CV:
                                                             
2.38%, 9/08/16
      
 
         200             202,727   
5.00%, 3/30/20
      
 
         400             424,341   
American Tower Corp.:
                                                             
4.50%, 1/15/18
      
 
         375             396,602   
4.70%, 3/15/22
      
 
         380             376,075   
Crown Castle International Corp., 5.25%, 1/15/23
      
 
         115             108,675   
Crown Castle Towers LLC, 6.11%, 1/15/20 (b)
      
 
         375             422,832   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 111
 
  
Schedule of Investments (continued)   BlackRock Strategic Bond Trust (BHD)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)		      Value
Wireless Telecommunication Services (concluded)
Digicel Group Ltd. (b):
                                                             
10.50%, 4/15/18
      
USD
         90          $ 96,975     
8.25%, 9/30/20
      
 
         220             233,200   
MetroPCS Wireless, Inc., 6.63%, 11/15/20
      
 
         93             96,488   
Phones4u Finance PLC:
                                                             
9.50%, 4/01/18 (b)
      
GBP
         100             160,394   
9.50%, 4/01/18
      
 
         100             160,394   
SBA Tower Trust, 4.25%, 4/15/40 (b)
      
USD
         325             331,018   
Sprint Capital Corp., 6.8%, 11/15/28
      
 
         431             388,977   
Sprint Communications, Inc. (b):
                                                             
9.00%, 11/15/18
      
 
         1,216            1,419,680   
7.00%, 3/01/20
      
 
         669             719,175   
T-Mobile USA, Inc., 5.25%, 9/01/18 (b)
      
 
         75             75,750   
 
      
 
                       5,613,303   
Total Corporate Bonds — 104.1%
      
 
                       104,047,274   
Floating Rate Loan Interests (f)
Airlines — 0.2%
Delta Air Lines, Inc., Term Loan B1, 4.00%, 10/18/18
      
 
         161             161,434   
Auto Components — 1.2%
Federal-Mogul Corp.:
                                                             
Term Loan B, 2.12% — 2.13%, 12/29/14
      
 
         653             636,208   
Term Loan C, 2.12% — 2.13%, 12/28/15
      
 
         325             316,568   
Schaeffler AG, Term Loan C, 4.25%, 1/27/17
      
 
         210             210,325   
 
      
 
                       1,163,101   
Building Products — 0.1%
Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19
      
 
         149             147,976   
Capital Markets — 0.1%
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17
      
 
         125             124,454   
Chemicals — 0.3%
INEOS US Finance LLC, 6 Year Term Loan, 4.00%, 5/04/18
      
 
         141             139,518   
MacDermid, Inc., 2nd Lien Term Loan, 7.75%, 12/07/20
      
 
         20             20,200   
OXEA Finance LLC, 2nd Lien Term Loan, 8.25%, 7/15/20
      
 
         90             89,747   
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20
      
 
         25             25,100   
 
      
 
                       274,565   
Commercial Services & Supplies — 0.5%
AWAS Finance Luxembourg Sarl, Term Loan B, 3.50%, 6/10/16
      
 
         127             127,279   
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17
      
 
         90             90,282   
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18
      
 
         150             149,217   
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
      
 
         90             90,085   
 
      
 
                       456,863   
Communications Equipment — 1.5%
Alcatel-Lucent USA, Inc.:
                                                             
Term Loan C, 5.75%, 1/30/19
      
 
         498             499,525   
Term Loan D, 6.25%, 1/30/19
      
EUR
         194             257,010   
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.50%, 7/02/19
      
USD
         747             749,438   
 
      
 
                       1,505,973   
Construction Materials — 0.3%
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17
      
 
         321             321,846   
Containers & Packaging — 0.1%
Tekni-Plex, Inc., Term Loan B, 6.50%, 8/25/19
      
 
         95             94,525   
                         
Floating Rate Loan Interests (f)                 Par
(000)		      Value
Diversified Consumer Services — 0.6%
                                                             
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18
      
USD
         483          $      480,827     
ServiceMaster Co., Term Loan, 4.25%, 1/31/17
      
 
         164             159,168   
 
      
 
                       639,995   
Diversified Telecommunication Services — 0.2%
Level 3 Financing, Inc.:
                                                             
2019 Term Loan B, 4.00%, 8/01/19
      
 
         110             109,794   
Term Loan, 4.75%, 8/01/19
      
 
         70             69,927   
 
      
 
                       179,721   
Food & Staples Retailing — 0.0%
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
      
 
         40             40,988   
Food Products — 0.4%
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17
      
 
         80             80,272   
Dole Food Co., Inc., Term Loan, 3.75% — 5.00%, 4/01/20
      
 
         155             154,336   
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/20
      
 
         160             157,871   
 
      
 
                       392,479   
Health Care Equipment & Supplies — 0.4%
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19
      
 
         277             275,474   
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18
      
 
         104             102,910   
 
      
 
                       378,384   
Health Care Providers & Services — 0.1%
inVentiv Health, Inc., Combined Term Loan, 7.50%, 8/04/16
      
 
         107             104,807   
Hotels, Restaurants & Leisure — 3.0%
Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14
      
 
         2,305            2,193,207   
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
      
 
         208             207,593   
Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20
      
 
         579             582,409   
 
      
 
                       2,983,209   
Industrial Conglomerates — 0.2%
Sequa Corp., Term Loan B, 5.25%, 6/19/17
      
 
         208             208,447   
Insurance — 0.1%
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19
      
 
         119             119,774   
IT Services — 0.3%
First Data Corp., Extended 2018 Term Loan B, 4.18%, 3/23/18
      
 
         285             281,990   
Life Sciences Tools & Services — 0.1%
Patheon, Inc., Term Loan, 7.25%, 12/06/18
      
 
         74             74,996   
Machinery — 0.1%
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20
      
 
         118             116,601   
Media — 3.4%
Cengage Learning Acquisitions, Inc.:
                                                             
Non-Extended Term Loan, 4.75%, 7/03/14
      
 
         39             28,103   
Tranche 1 Incremental, 6.00%, 7/03/14
      
 
         475             335,469   
Clear Channel Communications, Inc.:
                                                             
Term Loan B, 3.83%, 1/29/16
      
 
         35             32,943   
Term Loan C, 3.83%, 1/29/16
      
 
         20             18,240   
Term Loan D, 6.93%, 1/30/19
      
 
         380             348,782   
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18
      
 
         104             104,552   
Intelsat Jackson Holdings SA, Term Loan B1, 4.25%, 4/02/18
      
 
         2,361            2,376,482   

See Notes to Financial Statements.

112 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Strategic Bond Trust (BHD)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (f)                 Par
(000)		      Value
Media (concluded)
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20
      
USD
         80          $       82,000     
Virgin Media Investment Holdings Ltd., Term Loan B, 3.50%, 6/08/20
      
 
         40             39,799   
 
      
 
                       3,366,370   
Metals & Mining — 0.9%
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20
      
 
         309             316,182   
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17
      
 
         559             561,207   
 
      
 
                       877,389   
Multiline Retail — 0.1%
JC Penney Corp., Inc., 1st Lien Term Loan, 6.00%, 5/21/18
      
 
         80             77,966   
Oil, Gas & Consumable Fuels — 1.8%
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17
      
 
         765             779,023   
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
      
 
         253             253,426   
Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18
      
 
         85             85,372   
Vantage Drilling Co.:
                                                             
Term Loan, 6.25%, 10/26/17
      
 
         312             314,345   
Term Loan B, 5.75%, 3/22/19
      
 
         379             381,893   
 
      
 
                       1,814,059   
Pharmaceuticals — 0.1%
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18
      
 
         108             108,134   
Professional Services — 0.1%
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/01/19
      
 
         134             134,043   
Real Estate Investment Trusts (REITs) — 0.2%
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17
      
 
         185             184,504   
Real Estate Management & Development — 0.2%
Realogy Corp.:
                                                             
Extended Letter of Credit, 4.45%, 10/10/16
      
 
         50             50,215   
Extended Term Loan, 4.50%, 3/05/20
      
 
         185             185,553   
 
      
 
                       235,768   
Road & Rail — 0.1%
Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17
      
 
         100             99,308   
Software — 0.6%
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18
      
 
         401             402,915   
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
      
 
         185             191,244   
 
      
 
                       594,159   
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
      
 
         400             382,940   
Thrifts & Mortgage Finance — 0.2%
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18
      
 
         214             216,500   
Total Floating Rate Loan Interests — 17.9%
      
 
                       17,863,268   
Foreign Agency Obligations
      
  
                              
Qatar Government International Bond, 4.00%, 1/20/15 (b)
      
 
         200             207,000   
Total Foreign Agency Obligations — 0.2%
      
 
                       207,000   
Municipal Bonds                 Par
(000)		      Value
Metropolitan Transportation Authority, RB, Build America Bonds, Series TR, 6.81%, 11/15/40
      
USD
         300          $      355,110     
Total Municipal Bonds — 0.4%
      
 
                       355,110   
Other Interests (i)
      
Beneficial
Interest
(000)
            
Media — 0.0%
Adelphia Communications Corp., Class A
      
 
         400             3,000   
Preferred Securities
      
  
        
 		                   
Capital Trusts
      
 
         Par
(000		 )                 
Capital Markets — 0.1%
State Street Capital Trust IV, 1.27%, 6/01/77 (f)
      
 
         200             162,000   
Insurance — 0.2%
MetLife Capital Trust X, 9.25%, 4/08/68 (b)
      
 
         150             194,250   
Total Capital Trusts — 0.3%
      
 
                       356,250   
Preferred Stocks
      
  
         Shares                   
  
Capital Markets — 0.3%
The Goldman Sachs Group, Inc., Series J, 5.50%, 12/31/49 (f)
      
 
         13,550            306,907   
Trust Preferreds — 0.7%
      
  
                              
Diversified Financial Services — 0.7%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (f)
      
 
         25,680            678,169   
Total Preferred Securities — 1.3%
      
 
                       1,341,326   
US Government Sponsored Agency Securities
      
  
         Par
(000		 )                 
Collateralized Mortgage Obligations — 0.1%
Ginnie Mae Mortgage-Backed Securities, Series 2006-68, Class B, 5.16%, 6/16/31 (f)
      
USD
         99          $ 100,015   
US Treasury Obligations
      
  
                              
US Treasury Bonds:
                                                             
3.00%, 5/15/42
      
 
         700             614,907   
3.13%, 2/15/43
      
 
         140             125,759   
US Treasury Notes:
                                                             
2.00%, 2/15/22
      
 
         70             67,101   
1.63%, 8/15/22
      
 
         200             183,672   
2.00%, 2/15/23
      
 
         85             79,926   
2.50%, 8/15/23
      
 
         1,200            1,174,126   
Total US Treasury Obligations — 2.2%
      
 
                       2,245,491   
Total Long-Term Investments
(Cost — $124,117,142) — 126.5%
      
 
                       126,465,728   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 113
 
  
Schedule of Investments (continued)   BlackRock Strategic Bond Trust (BHD)
(Percentages shown are based on Net Assets)
Short-Term Securities                     
Shares		      Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (j)(k)
      
 
         907,585         $      907,585     
Total Short-Term Securities
(Cost — $907,585) — 0.9%
      
 
                       907,585   
Options Purchased Value
      
 
                            
(Cost — $85,254) — 0.1%
      
 
                       70,737   
Total Investments Before Options Written
(Cost — $125,109,981) — 127.5%
      
 
                       127,444,050   
Options Written                     
 		      Value
(Premiums Received — $39,000) — (0.1)%
      
 
                    $ (38,932 )  
Total Investments, Net of Options Written — 127.4%
                    127,405,118   
Liabilities in Excess of Other Assets — (27.4)%
      
 
                       (27,437,627 )  
Net Assets — 100.0%
      
 
                    $ 99,967,491   

Notes to Schedule of Investments

(a)      
Non-income producing security.
(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)      
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(d)      
Convertible security.
(e)      
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(f)      
Variable rate security. Rate shown is as of report date.
(g)      
Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.
(h)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(i)      
Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(j)      
Represents the current yield as of report date.
(k)      
Investments in issuers considered to be an affiliate of the Trust during the year ended August 31, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate
    
 Shares
Held at
August 31, 2012
    
 Net
Activity
    
 Shares
Held at
August 31, 2013
    
 Income
   
Realized
Gain
BlackRock Liquidity Funds, TempFund, Institutional Class
  
—
   
907,585
   
907,585
   
$587
  
$22

•      
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.
•      
Financial futures contracts as of August 31, 2013 were as follows:

Contracts
Purchased
(Sold)
   
 Issue
    
 Exchange
    
 Expiration
    
 Notional
Value
    
 Unrealized
Appreciation
(Depreciation)
 46
      
2-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
    10,108,500      
$3,768 
 22
      
5-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
    2,632,953      
7,928 
  (3)
      
10-Year US Treasury Note
   
Chicago Board of Trade
   
December 2013
   
USD
    372,844      
(192)
(30)
      
30-Year US Treasury Bond
   
Chicago Board of Trade
   
December 2013
   
USD
    3,957,188      
(37,365)
  (1)
      
Ultra Long US Treasury Bond
   
Chicago Board of Trade
   
December 2013
   
USD
    141,875      
(1,572)
Total
      
 
   
 
   
 
   
 
            
$(27,433)

•      
Foreign currency exchange contracts as of August 31, 2013 were as follows:

Currency
Purchased
Currency
Sold
    
 Counterparty
    
 Settlement
Date
    
 Unrealized
Appreciation
(Depreciation)
    
USD
   5,979,300   
EUR
    4,450,000   
UBS AG
   
9/25/13
      $ 97,553   
GBP
   21,635   
USD
    33,694   
State Street Bank and Trust Co.
   
10/22/13
         (179 )  
USD
   150,763   
GBP
    100,000   
Bank of America N.A.
   
10/22/13
         (4,150 )  
USD
   147,301   
GBP
    95,000   
Bank of America N.A.
   
10/22/13
         134    
USD
   2,430,904   
GBP
    1,612,000   
Deutsche Bank AG
   
10/22/13
         (66,286 )  
Total
        
 
         
 
   
 
      $ 27,072   

See Notes to Financial Statements.

114 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investments (continued)   BlackRock Strategic Bond Trust (BHD)
 

•      
Over-the-counter options purchased as of August 31, 2013 were as follows:

Description
   
 Counterparty
    
 Put/
Call
    
 Strike
Price
    
 Expiration
Date
    
 Contracts
    
 Market
Value
Marsico Parent Superholdco LLC
      
Goldman Sachs & Co.
   
Call
   
USD
   
942.86
   
12/14/19
   
6
   
—

•      
Over-the-counter interest rate swaptions purchased as of August 31, 2013 were as follows:

Description
  
 Counterparty
  
 Put/
Call
  
 Exercise
Rate
  
 Pay/Receive
Exercise Rate
  
 Floating Rate
Index
  
 Expiration
Date
  
 Notional
Amount
(000)
  
 Market
Value
30-Year Interest Rate Swap
  
Royal Bank of Scotland PLC
  
Call
  
3.25%
  
Receive
  
3-Month LIBOR
  
7/11/14
  
USD
   500    $ 10,244  
30-Year Interest Rate Swap
  
Barclays Bank PLC
  
Call
  
3.25%
  
Receive
  
3-Month LIBOR
  
8/01/14
  
USD
   500     10,709  
30-Year Interest Rate Swap
  
Credit Suisse International
  
Put
  
4.50%
  
Pay
  
6-Month EURIBOR
  
9/16/13
  
EUR
   600     —  
10-Year Interest Rate Swap
  
Deutsche Bank AG
  
Put
  
4.50%
  
Pay
  
3-Month LIBOR
  
2/02/17
  
USD
   1,000     49,784  
Total
  
 
  
 
  
 
  
 
  
 
  
 
  
 
        $ 70,737  

•      
Over-the-counter interest rate swaptions written as of August 31, 2013 were as follows:

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
  
Put
  
6.00%
  
Receive
  
3-Month LIBOR
  
2/02/17
  
USD
 2,000  $ (38,932 ) 

•      
Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows:

Issuer
  
 Pay
Fixed
Rate
  
 Counterparty
  
 Expiration
Date
  
 Notional
Amount
(000)
  
 Market
Value
  
 Premiums
Paid
  
 Unrealized
Depreciation
The New York Times Co.
   1.00 %    Barclays Bank PLC   12/20/16   USD   500    $ 3,162    $ 23,049  
$(19,887)

•      
Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows:

Issuer/Index
  
 Receive
Fixed
Rate
  
 Counterparty
  
 Expiration
Date
  
 Credit
Rating1
  
 Notional
Amount
(000)2
  
 Market
Value
  
 Premiums
Paid
(Received)
  
 Unrealized
Appreciation
(Depreciation)
MetLife, Inc.
  
5.00%
  
Deutsche Bank AG
  
6/20/15
  
A-
  
USD
  
150
    $ 12,409      $ 3,861      $ 8,548  
MetLife, Inc.
  
1.00%
  
UBS AG
  
9/20/15
  
A-
  
USD
  
175
     1,985       (5,205 )      7,190  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Citibank N.A.
  
12/20/15
  
CCC-
  
USD
  
56
     (10,692 )      (14,420 )      3,728  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Citibank N.A.
  
12/20/15
  
CCC-
  
USD
  
27
     (5,141 )      (6,214 )      1,073  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
JPMorgan Chase Bank N.A.
  
12/20/15
  
CCC-
  
USD
  
98
     (18,722 )      (28,295 )      9,573  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
JPMorgan Chase Bank N.A.
  
12/20/15
  
CCC-
  
USD
  
23
     (4,338 )      (5,683 )      1,345  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
UBS AG
  
12/20/15
  
CCC-
  
USD
  
130
     (24,756 )      (28,120 )      3,364  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Barclays Bank PLC
  
3/20/16
  
CCC-
  
USD
  
13
     (3,000 )      (2,839 )      (161 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Barclays Bank PLC
  
3/20/16
  
CCC-
  
USD
  
13
     (2,992 )      (2,513 )      (479 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Citibank N.A.
  
3/20/16
  
CCC-
  
USD
  
14
     (3,255 )      (2,794 )      (461 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
39
     (8,700 )      (9,257 )      557  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
39
     (8,700 )      (9,257 )      557  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
121
     (27,169 )      (27,552 )      383  
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
30
     (6,644 )      (6,408 )      (236 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs Bank USA
  
3/20/16
  
CCC-
  
USD
  
36
     (8,159 )      (6,354 )      (1,805 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
JPMorgan Chase Bank N.A.
  
3/20/16
  
CCC-
  
USD
  
15
     (3,303 )      (3,008 )      (295 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Barclays Bank PLC
  
6/20/16
  
CCC-
  
USD
  
70
     (18,237 )      (13,468 )      (4,769 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs Bank USA
  
6/20/16
  
CCC-
  
USD
  
77
     (20,153 )      (19,393 )      (760 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs Bank USA
  
6/20/16
  
CCC-
  
USD
  
150
     (39,080 )      (36,420 )      (2,660 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Barclays Bank PLC
  
3/20/17
  
CCC-
  
USD
  
13
     (4,712 )      (3,855 )      (857 ) 
Caesars Entertainment Operating Co., Inc.
  
5.00%
  
Goldman Sachs Bank USA
  
3/20/17
  
CCC-
  
USD
  
27
     (9,593 )      (7,966 )      (1,627 ) 
Total
  
 
  
 
  
 
  
 
  
 
  
 
    $ (212,952 )     $ (235,160 )     $ 22,208  
 
  
 
  
 
  
 
  
 
  
 
  
 
                        
1 Using S&P’s ratings of the issuer.
  2 The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 115
 
  
Schedule of Investments (continued)  BlackRock Strategic Bond Trust (BHD)
 

•      
Interest rate swaps outstanding as of August 31, 2013 were as follows:

Fixed
Rate
  
 Floating
Rate
  
 Counterparty/
Clearinghouse
  
 Expiration
Date
  
 Notional
Amount
(000)
  
 Market
Value
  
 Unrealized
Appreciation
(Depreciation)
0.44%1
  
3-Month LIBOR
  
Chicago Mercantile
  
8/29/14
  
USD
  
2,000
  
$(2,076)
    $ (2,076 ) 
0.41%1
  
3-month LIBOR
  
Goldman Sachs Bank USA
  
2/08/15
  
USD
  
1,800
  
380
     380  
2.39%1
  
3-Month LIBOR
  
Chicago Mercantile
  
6/20/23
  
USD
  
2,675
  
124,900
     124,849  
2.78%1
  
3-Month LIBOR
  
Chicago Mercantile
  
8/13/23
  
USD
  
600
  
8,728
     8,717  
Total
  
 
  
 
  
 
  
 
  
 
  
$131,932
    $ 131,870  
1 Trust pays the fixed rate and receives the floating rate.

•      
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 statement purposes as follows:
•      
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or 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 fair value hierarchy classification 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 instruments 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, please refer to Note 2 of the Notes to Financial Statements.
       
The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2013:

 
  
 Level 1
  
 Level 2
  
 Level 3
  
 Total
Assets:
                                
Investments:
                                
Long-Term Investments:
                                
Common Stocks
    $ 1,111       —      $ 302,133      $ 303,244  
Corporate Bonds
     —       104,047,274       —       104,047,274  
Floating Rate Loan Interests
     —       16,415,375       1,447,893       17,863,268  
Foreign Agency Obligations
    —       207,000       —       207,000  
Municipal Bonds
     —       355,110       —       355,110  
Other Interests
    —       3,000       —       3,000  
Preferred Securities
     985,076       356,250       —       1,341,326  
US Government Sponsored Agency Securities
    —       100,015       —       100,015  
US Treasury Obligations
    —       2,245,491       —       2,245,491  
Short-Term Securities
     907,585       —       —       907,585  
Options Purchased:
                                
Interest Rate Contracts
     —       70,737       —       70,737  
Total
    $ 1,893,772      $ 123,800,252      $ 1,750,026      $ 127,444,050  
                                 
 
  
 Level 1
  
 Level 2
  
 Level 3
  
 Total
Derivative Financial Instruments2
                  
Assets:
                                
Credit contracts
     —      $ 36,318       —      $ 36,318  
Foreign currency exchange contracts
    —       97,687       —       97,687  
Interest rate contracts
    $ 11,696       133,946       —       145,642  
Liabilities:
                                
Credit contracts
     —       (33,997 )      —       (33,997 ) 
Foreign currency exchange contracts
     —       (70,615 )      —       (70,615 ) 
Interest rate contracts
     (39,129 )      (41,008 )      —       (80,137 ) 
Total
    $ (27,433 )     $  122,331       —      $  94,898  
2 Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options written. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are show at value.

See Notes to Financial Statements.

116 ANNUAL REPORT AUGUST 31, 2013
 
  
Schedule of Investment (concluded)  BlackRock Strategic Bond Trust (BHD)
 

Certain of the Trust’s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial statement purposes. As of August 31, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 
  
 Level 1
  
 Level 2
  
 Level 3
  
 Total
Assets:
                  
Cash
    $ 3,006       —       —      $ 3,006  
Foreign currency at value
     5,823       —       —       5,823  
Cash pledged for financial futures contracts
     53,660       —       —       53,660  
Cash pledged for centrally cleared swaps
     150,000       —       —       150,000  
Liabilities:
                                
Loan Payable
     —       (29,000,000 )      —       (29,000,000 ) 
Total
    $ 212,489      $ (29,000,000 )      —      $ (28,787,511 ) 

       
There were no transfers between level 1 and level 2 during the year ended August 31, 2013.
       
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 
  
 Common
Stocks
  
 Corporate
Bonds
  
 Floating
Rate Loans
  
 Warrants
  
 Total
Assets:
                                        
Opening Balance, as of August 31, 2012
    $ 1       —      $ 4,212,613       —      $ 4,212,614  
Transfers into Level 3
     —      $  572,488       400,283       —       972,771  
Transfers out of Level 3
     —       —       —       —       —  
Accrued discounts/premiums
     —       —       10,157       —       10,157  
Net realized gain/loss
     (1,322 )      2,905       115,614      $ (1 )      117,196  
Net change in unrealized appreciation/depreciation1
     256,530       (509,751 )      (76,010 )      1       (329,230 ) 
Purchases
     46,924       —       754,675       —       801,599  
Sales
    —       (65,642 )      (3,969,439 )      —       (4,035,081 ) 
Closing Balance, as of August 31, 2013
    $  302,133       —      $ 1,447,893       —      $ 1,750,026  

  1 Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2013 was $(257,719).

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.

ANNUAL REPORT AUGUST 31, 2013 117
 
  
Statements of Assets and Liabilities  

August 31, 2013
          BlackRock
Core Bond
Trust
(BHK)		      BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)*		      BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)*		      BlackRock
High Income
Shares
(HIS)
Assets
Investments at value — unaffiliated1
        $   552,629,457       $   612,408,079       $   637,002,614       $   157,976,576   
Investments at value — affiliated2
           5,335,491            2,748,445            2,849,391            1,687,499   
Foreign currency at value3
           52,785            14,803            14,923            21,318   
Cash
           —             178             238             198,460   
Cash pledged for financial futures contracts
           287,000            120,000            125,000            195,000   
Cash pledged as collateral for reverse repurchase agreements
           5,147,000            —             —             —    
Cash pledged for centrally cleared swaps
           420,000            —             —             —    
Cash pledged as collateral for over-the-counter swaps
           690,000            —             —             —    
Interest receivable
           6,421,275            9,357,212            9,800,879            2,565,245   
Investments sold receivable
           275,326            3,101,187            3,760,355            331,954   
Unrealized appreciation on over-the-counter swaps
           853,941            831,058            849,894            3,343   
Unrealized appreciation on foreign currency exchange contracts
           129,008            663,707            689,686            53,846   
Unrealized appreciation on unfunded loan commitments
           —             11,909            12,443            3,437   
Swaps receivable
           13,201            123,359            127,043            890    
Variation margin receivable on financial futures contracts
           187,771            1,968            2,015            12,172   
Variation margin receivable on centrally cleared swaps
           12,768            —             —             —    
Swap premiums paid
           112,245            87,606            91,807            25,202   
Principal paydown receivable
           183             —             —             —    
Dividends receivable
           —             24,958            19,461            —    
Prepaid expenses
           12,629            8,052            8,645            9,237   
Other assets
           29,378            —             —             —    
Total assets
           572,609,458            629,502,521            655,354,394            163,084,179   
                                      
Liabilities
Bank overdraft
           157,427            —             —             —    
Reverse repurchase agreements
           172,537,361            —             —             —    
Loan payable
           —             186,000,000            191,000,000            37,000,000   
Cash received as collateral for over-the-counter swaps
           1,400,000            700,000            700,000            —    
Investments purchased payable
           15,657,848            11,402,823            13,170,569            2,432,701   
Unrealized depreciation on over-the-counter swaps
           436,756            142,458            147,499            5,905   
Options written at value4
           1,332,765            445,000            457,150            —    
Swap premiums received
           178,950            1,484,335            1,547,018            21,796   
Swaps payable
           37,742            3,055            3,202            879    
Investment advisory fees payable
           244,965            309,049            373,294            101,134   
Unrealized depreciation on foreign currency exchange contracts
           202,326            373,492            421,157            21,997   
Officer’s and Trustees’ fees payable
           55,185            122,037            127,719            15,180   
Interest expense payable
           —             139,748            141,812            27,532   
Income dividends payable
           58,281            65,858            78,768            26,665   
Reorganization costs payable
           —             —             172,314            162,712   
Other liabilities
           240,760            —             —             —    
Other accrued expenses payable
           156,489            186,335            167,292            104,731   
Total liabilities
           192,696,855            201,374,190            208,507,794            39,921,232   
Net Assets
      $ 379,912,603       $ 428,128,331       $ 446,846,600       $   123,162,947  
 1Investments at cost — unaffiliated
      $ 545,690,628       $ 607,208,326       $ 632,923,015       $ 158,182,419   
 2Investments at cost — affiliated
      $ 5,335,491       $ 2,781,860       $ 2,884,292       $ 1,687,499   
 3Foreign currency at cost
      $ 51,756       $ 14,706       $ 14,820       $ 21,419   
 4Premiums received
      $ 802,073       $ 421,361       $ 432,862            —    

See Notes to Financial Statements.

118 ANNUAL REPORT AUGUST 31, 2013
 
  
Statements of Assets and Liabilities (concluded)  

August 31, 2013
          BlackRock
Core Bond
Trust
(BHK)		      BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)*		      BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)*		      BlackRock
High Income
Shares
(HIS)
Net Assets Consist of
Paid-in capital5,6,7
      $  378,960,758       $   470,688,615       $   506,446,583       $   158,527,973   
Undistributed net investment income
           5,180,547            3,091,497            3,902,307            1,365,529   
Accumulated net realized loss
           (11,267,206 )           (51,791,934 )           (68,513,471 )           (36,667,344 )  
Net unrealized appreciation (depreciation)
           7,038,504            6,140,153            5,011,181            (63,211 )  
Net Assets
      $ 379,912,603       $ 428,128,331       $ 446,846,600       $ 123,162,947   
Net asset value per share
      $ 14.05       $ 12.97       $ 12.62       $ 2.25   
 5Par value
      $ 0.001       $ 0.100       $ 0.100            —    
 6Shares outstanding
           27,041,847            33,015,111            35,418,240            54,848,390   
 7Shares authorized
           Unlimited             200 million             200 million             Unlimited    
*
   Consolidated Statements of Assets and Liabilities.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 119
 
  
Statements of Assets and Liabilities  
 
August 31, 2013
          BlackRock
High Yield
Trust
(BHY)		      BlackRock
Income
Opportunity
Trust, Inc.
(BNA)		      BlackRock
Income
Trust, Inc.
(BKT)		      BlackRock
Strategic
Bond Trust
(BHD)
Assets
Investments at value — unaffiliated1
      $    65,554,458       $   546,602,706       $   840,746,221       $   126,536,465   
Investments at value — affiliated2
           1,675,729            6,904,938            14,996,794            907,585   
Foreign currency at value3
           13,531            52,462            —             5,823   
Cash
           —             19,756            —             3,006   
Cash pledged for financial futures contracts
           85,000            453,000            2,397,000            53,660   
Cash pledged as collateral for reverse repurchase agreements
           —             7,923,000            2,060,000            —    
Cash pledged for centrally cleared swaps
           —             420,000            10,000            150,000   
Cash pledged as collateral for over-the-counter swaps
           —             570,000            2,900,000            —    
TBA sale commitments receivable
           —             —             184,946,964            —    
Interest receivable
           1,044,060            6,271,534            2,703,835            1,887,429   
Investments sold receivable
           70,407            1,718,100            243,833            281,276   
Unrealized appreciation on over-the-counter swaps
           83,780            903,650            6,635,757            36,698   
Unrealized appreciation on foreign currency exchange contracts
           18,779            113,665            —             97,687   
Unrealized appreciation on unfunded loan commitments
           1,304            —             —             —    
Swaps receivable
           14,014            13,236            826,647            11,170   
Variation margin receivable on financial futures contracts
           5,666            199,246            —             —    
Variation margin receivable on centrally cleared swaps
           —             12,678            —             6,192   
Swap premiums paid
           26,886            112,219            —             26,910   
Principal paydown receivable
           —             —             347,063            —    
Dividends receivable
           1,637            —             —             —    
Prepaid expenses
           3,921            12,703            15,640            4,824   
Other assets
           —             96,026            16,208            —    
Total assets
           68,599,172            572,398,919            1,058,845,962            130,008,725   
                                      
Liabilities
Bank overdraft
           —             —             15,569            —    
Reverse repurchase agreements
           —             172,206,258            148,343,878            —    
Loan payable
           19,000,000            —             —             29,000,000   
Cash received as collateral for over-the-counter swaps
           —             1,500,000            4,520,000            —    
Investments purchased payable
           1,181,515            17,240,919            242,482,723            334,200   
TBA sale commitments at value4
           —             —             185,108,979            —    
Unrealized depreciation on over-the-counter swaps
           28,239            436,727            7,386,262            33,997   
Options written at value5
           —             1,337,670            —             38,932   
Swap premiums received
           185,937            180,360            211,777            239,021   
Swaps payable
           1,353            38,642            1,139,576            6,021   
Investment advisory fees payable
           49,848            192,120            257,951            82,236   
Unrealized depreciation on foreign currency exchange contracts
           15,831            234,966            —             70,615   
Borrowed bonds at value6
           —             —             760,824            —    
Officer’s and Directors’ fees payable
           13,288            104,006            112,951            12,839   
Interest expense payable
           13,536            —             7,470            22,663   
Income dividends payable
           1,695            57,369            90,500            8,416   
Variation margin payable on financial futures contracts
           —             —             240,206            3,626   
Variation margin payable on centrally cleared swaps
           —             —             12             —    
Administration fees payable
           5,542            32,089            59,797            —    
Reorganization costs payable
           126,174            —             —             101,036   
Other liabilities
           —             879,346            —             —    
Other accrued expenses payable
           86,847            153,249            159,448            87,632   
Total liabilities
           20,709,805            194,593,721            590,897,923            30,041,234   
Net Assets
      $ 47,889,367       $ 377,805,198       $ 467,948,039       $ 99,967,491   
 1Investments at cost — unaffiliated
      $ 64,198,561       $ 540,263,527       $ 848,349,310       $ 124,202,396   
 2Investments at cost — affiliated
      $ 1,679,481       $ 6,904,938       $ 14,996,794       $ 907,585   
 3Foreign currency at cost
      $ 13,591       $ 51,454            —        $ 5,884   
 4Proceeds from TBA sale commitments
           —             —        $ 184,946,964            —    
 5Premiums received
           —        $ 804,034            —        $ 39,000   
 6Proceeds received from borrowed bonds
           —             —        $ 842,347            —    

See Notes to Financial Statements.

120 ANNUAL REPORT AUGUST 31, 2013
 
  
Statements of Assets and Liabilities (concluded) 
 
August 31, 2013
          BlackRock
High Yield
Trust
(BHY)		      BlackRock
Income
Opportunity
Trust, Inc.
(BNA)		      BlackRock
Income
Trust, Inc.
(BKT)		      BlackRock
Strategic
Bond Trust
(BHD)
Net Assets Consist of
Paid-in capital7,8,9
      $    58,058,527       $   385,546,646       $   478,542,248       $    98,454,037   
Undistributed net investment income
           123,319            5,082,132            10,875,865            203,336   
Accumulated net realized loss
           (11,757,076 )           (19,318,654 )           (12,033,956 )           (1,157,852 )  
Net unrealized appreciation (depreciation)
           1,464,597            6,495,074            (9,436,118 )           2,467,970   
Net Assets
      $ 47,889,367       $ 377,805,198       $ 467,948,039       $ 99,967,491   
Net asset value per share
      $ 7.45       $ 10.96       $ 7.32       $ 14.15   
 7Par value
      $ 0.001       $ 0.01       $ 0.01       $ 0.001   
 8Shares outstanding
           6,431,296            34,456,370            63,942,535            7,065,615   
 9Shares authorized
           Unlimited             200 million             200 million             Unlimited    

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 121
 
  
Statements of Operations  
 
Year Ended August 31, 2013
          BlackRock
Core Bond
Trust
(BHK)		      BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)1		      BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)1		      BlackRock
High Income
Shares
(HIS)
Investment Income
Interest
      $  27,840,497       $  39,770,117       $  41,294,418       $  11,789,071   
Dividends — unaffiliated
           243,534            943,045            993,791            113,882   
Dividends — affiliated
           2,396            20,230            21,032            585    
Total income
           28,086,427            40,733,392            42,309,241            11,903,538   
                                      
Expenses
Investment advisory
           3,261,955            3,650,948            4,422,408            1,248,272   
Reorganization
           —             400,000            172,314            162,712   
Professional
           107,327            125,713            129,617            74,281   
Custodian
           55,403            88,623            102,382            40,760   
Transfer agent
           49,612            51,192            55,275            57,021   
Accounting services
           27,171            79,571            84,419            26,130   
Officer and Trustees
           44,567            53,163            57,727            15,970   
Printing
           24,927            26,753            27,121            14,605   
Borrowing costs2
           —             58,256            67,264            28,374   
Registration
           6,499            7,825            8,662            13,504   
Miscellaneous
           114,140            134,550            122,417            60,903   
Total expenses excluding interest expense and income tax
           3,691,601            4,676,594            5,249,606            1,742,532   
Interest expense
           497,286            1,677,757            1,709,758            383,281   
Income tax
           —             4,230            4,230            —    
Total expenses
           4,188,887            6,358,581            6,963,594            2,125,813   
Less fees waived by Manager
           (179,822 )           (979 )           (980 )           (433 )  
Less reorganization costs reimbursed by Manager
           —             (400,000 )           —             —    
Total expenses after fees waived and/or reimbursed
           4,009,065            5,957,602            6,962,614            2,125,380   
Net investment income
           24,077,362            34,775,790            35,346,627            9,778,158   
                                      
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
                                                                                 
Investments — unaffiliated
           2,094,521            25,623,204            25,588,336            3,379,475   
Investments — affiliated
           —             (54,141 )           (56,794 )           —    
Capital gain distributions received from affiliated investment companies
           72             114             110             33    
Financial futures contracts
           (3,044,660 )           (2,172,749 )           (2,280,817 )           (650,640 )  
Foreign currency transactions
           (533,898 )           (1,978,121 )           (2,064,417 )           (363,231 )  
Borrowed bonds
           155,006            —             —             —    
Options written
           666,712            113,750            119,000            —    
Swaps
           2,360,552            1,730,238            1,774,972            43,963   
 
            1,698,305            23,262,295            23,080,390            2,409,600   
Net change in unrealized appreciation/depreciation on:
                                                                                 
Investments
           (32,801,391 )           (9,894,983 )           (10,562,248 )           (2,950,878 )  
Financial futures contracts
           454,664            845,562            884,496            370,695   
Foreign currency translations
           239,009            1,337,433            1,360,309            169,658   
Options written
           (580,570 )           (23,639 )           (24,288 )           —    
Swaps
           884,452            (489,261 )           (510,820 )           (2,562 )  
Unfunded loan commitments
           —             11,909            12,443            3,437   
 
            (31,803,836 )           (8,212,979 )           (8,840,108 )           (2,409,650 )  
Total realized and unrealized gain (loss)
           (30,105,531 )           15,049,316            14,240,282            (50 )  
Net Increase (Decrease) in Net Assets Resulting from Operations
      $ (6,028,169 )      $ 49,825,106       $ 49,586,909       $ 9,778,108   
 
                                                           
1   Consolidated Statement of Operations.
2   See Note 8 of the Notes to Financial Statements for details of short-term borrowings.

See Notes to Financial Statements.

122 ANNUAL REPORT AUGUST 31, 2013
 
  
Statements of Operations  
Year Ended August 31, 2013
          BlackRock
High Yield
Trust
(BHY)		      BlackRock
Income
Opportunity
Trust, Inc.
(BNA)		      BlackRock
Income
Trust, Inc.
(BKT)		      BlackRock
Strategic
Bond Trust
(BHD)
Investment Income
Interest
      $   4,399,536       $  27,075,174       $  25,240,056       $   8,273,169   
Dividends — unaffiliated
           34,015            243,541            —             39,312   
Dividends — affiliated
           2,787            1,827            7,875            587    
Total income
           4,436,338            27,320,542            25,247,931            8,313,068   
                                      
Expenses
Investment advisory
           593,384            2,427,384            3,167,479            991,730   
Administration
           65,931            404,564            730,957            —    
Reorganization
           126,174            —             —             101,036   
Professional
           56,023            86,201            92,741            63,667   
Custodian
           30,487            56,206            60,732            33,808   
Transfer agent
           34,030            64,542            124,855            30,455   
Accounting services
           8,916            27,035            51,612            20,990   
Officer and Trustees
           6,049            46,814            58,939            12,251   
Printing
           11,556            24,945            22,617            14,430   
Borrowing costs1
           4,151            —             —             8,372   
Registration
           6,441            8,223            15,282            6,440   
Miscellaneous
           56,235            114,462            60,244            62,909   
Total expenses excluding interest expense and income tax
           999,377            3,260,376            4,385,458            1,346,088   
Interest expense
           166,115            502,745            502,575            276,443   
Total expenses
           1,165,492            3,763,121            4,888,033            1,622,531   
Less fees waived by Manager
           (384 )           (1,942 )           (8,296 )           (406 )  
Total expenses after fees waived
           1,165,108            3,761,179            4,879,737            1,622,125   
Net investment income
           3,271,230            23,559,363            20,368,194            6,690,943   
                                      
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
                                                                                 
Investments — unaffiliated
           2,358,216            4,301,606            (10,374,386 )           3,340,267   
Investments — affiliated
           (6,629 )           —             —             —    
Capital gain distributions received from affiliated investment companies
           12             26             94             22    
Financial futures contracts
           (248,903 )           (3,441,689 )           10,629,460            275,485   
Foreign currency transactions
           (100,940 )           (328,070 )           —             (373,714 )  
Borrowed bonds
           —             342,608            (218,955 )           —    
Options written
           13,125            663,556            —             23,004   
Swaps
           136,783            2,380,571            480,588            356,511   
 
            2,151,664            3,918,608            516,801            3,621,575   
Net change in unrealized appreciation/depreciation on:
                                                                                 
Investments
           (1,162,736 )           (35,071,230 )           (31,951,081 )           (5,257,378 )  
Financial futures contracts
           139,446            595,341            822,164            5,330   
Foreign currency translations
           53,585            152,551            —             190,651   
Options written
           —             (582,881 )           —             (16,372 )  
Swaps
           (43,003 )           905,511            214,561            74,982   
Borrowed bonds
           —             —             754,056            —    
Unfunded loan commitments
           1,304            —             —             —    
 
            (1,011,404 )           (34,000,708 )           (30,160,300 )           (5,002,787 )  
Total realized and unrealized gain (loss)
           1,140,260            (30,082,100 )           (29,643,499 )           (1,381,212 )  
Net Increase (Decrease) in Net Assets Resulting from Operations
      $ 4,411,490       $ (6,522,737 )      $ (9,275,305 )      $ 5,309,731   
 
                                                           
1   See Note 8 of the Notes to Financial Statements for details of short-term borrowings.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 123
 
  
Statements of Changes in Net Assets  
 
         BlackRock
Core Bond Trust (BHK)
    
    
 BlackRock
High Income Shares (HIS)
         Year Ended August 31,
    
    
 Year Ended August 31,
Increase (Decrease) in Net Assets:
          2013      2012           2013      2012
Operations
Net investment income
      $    24,077,362       $    23,862,728                     $     9,778,158       $    10,999,966   
Net realized gain (loss)
           1,698,305            12,725,546                          2,409,600            (1,548,634 )  
Net change in unrealized appreciation/depreciation
           (31,803,836 )           24,398,010                          (2,409,650 )           6,381,729   
Net increase (decrease) in net assets resulting from operations
           (6,028,169 )           60,986,284                          9,778,108            15,833,061   
                                              
Dividends to Shareholders From1
Net investment income
           (25,416,860 )           (22,212,928 )                         (10,599,743 )           (11,172,280 )  
                                              
Capital Share Transactions
Refund of offering costs previously charged to paid-in capital
           —             —                           —             2,126   
Reinvestment of dividends
           221,789            67,030                          239,225            273,904   
Net increase in net assets derived from capital share transactions
           221,789            67,030                          239,225            276,030   
                                              
Net Assets
Total increase (decrease) in net assets
           (31,223,240 )           38,840,386                          (582,410 )           4,936,811   
Beginning of year
           411,135,843            372,295,457                          123,745,357            118,808,546   
End of year
      $ 379,912,603       $ 411,135,843                     $ 123,162,947       $ 123,745,357   
Undistributed net investment income, end of year
      $ 5,180,547       $ 7,384,327                     $ 1,365,529       $ 2,289,115   

Consolidated Statements of Changes in Net Assets 
 
         BlackRock Corporate
High Yield Fund V, Inc. (HYV)
    
    
 BlackRock Corporate
High Yield Fund VI, Inc. (HYT)
         Year Ended August 31,
    
    
 Year Ended August 31,
Increase (Decrease) in Net Assets:
          2013      2012           2013      2012
Operations
Net investment income
      $    34,775,790       $    35,444,739                     $    35,346,627       $    36,665,376   
Net realized gain (loss)
           23,262,295            (2,168,911 )                         23,080,390            (3,682,719 )  
Net change in unrealized appreciation/depreciation
           (8,212,979 )           32,228,184                          (8,840,108 )           32,859,977   
Net increase in net assets resulting from operations
           49,825,106            65,504,012                          49,586,909            65,842,634   
                                              
Dividends to Shareholders From1
Net investment income
           (38,560,059 )           (35,208,709 )                         (39,195,248 )           (36,599,844 )  
                                              
Capital Share Transactions
Refund of offering costs previously charged to paid-in capital
           —             —                           —             8,495   
Reinvestment of dividends
           162,267            718,285                          499,916            1,006,632   
Net increase in net assets derived from capital share transactions
           162,267            718,285                          499,916            1,015,127   
                                              
Net Assets
Total increase in net assets
           11,427,314            31,013,588                          10,891,577            30,257,917   
Beginning of year
           416,701,017            385,687,429                          435,955,023            405,697,106   
End of year
      $ 428,128,331       $ 416,701,017                     $ 446,846,600       $ 435,955,023   
Undistributed net investment income, end of year
      $ 3,091,497       $ 7,780,357                     $ 3,902,307       $ 8,725,988   
1   Dividends are determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

124 ANNUAL REPORT AUGUST 31, 2013
 
  
Statements of Changes in Net Assets  
 
         BlackRock
High Yield Trust (BHY)
    
    
 BlackRock Income
Opportunity Trust, Inc. (BNA)
         Year Ended August 31,
  
    
 Year Ended August 31,
Increase (Decrease) in Net Assets:
          2013      2012           2013      2012
Operations
Net investment income
      $ 3,271,230       $ 3,397,215                     $ 23,559,363       $ 23,112,371   
Net realized gain
           2,151,664            793,181                          3,918,608            10,895,929   
Net change in unrealized appreciation/depreciation
           (1,011,404 )           2,402,266                          (34,000,708 )           25,143,570   
Net increase (decrease) in net assets resulting from operations
           4,411,490            6,592,662                          (6,522,737 )           59,151,870   
                                              
Dividends to Shareholders From1
Net investment income
           (3,412,042 )           (3,374,830 )                         (23,740,439 )           (22,258,816 )  
                                              
Capital Share Transactions
Reinvestment of dividends
           13,526            14,323                          —             —    
                                              
Net Assets
Total increase (decrease) in net assets
           1,012,974            3,232,155                          (30,263,176 )           36,893,054   
Beginning of year
           46,876,393            43,644,238                          408,068,374            371,175,320   
End of year
      $    47,889,367       $    46,876,393                     $   377,805,198       $   408,068,374   
Undistributed net investment income, end of year
      $ 123,319       $ 177,267                     $ 5,082,132       $ 5,436,734   
  
         BlackRock
Income Trust, Inc. (BKT)
   
    
 BlackRock
Strategic Bond Trust (BHD)
         Year Ended August 31,
    
    
 Year Ended August 31,
Increase (Decrease) in Net Assets:
          2013      2012           2013      2012
Operations
Net investment income
      $ 20,368,194       $ 24,774,308                     $ 6,690,943       $ 6,983,209   
Net realized gain
           516,801            13,620,770                          3,621,575            1,329,497   
Net change in unrealized appreciation/depreciation
           (30,160,300 )           (8,999,000 )                         (5,002,787 )           5,886,978   
Net increase (decrease) in net assets resulting from operations
           (9,275,305 )           29,396,078                          5,309,731            14,199,684   
                                              
Dividends and Distributions to Shareholders From1
Net investment income
           (30,628,476 )           (17,586,939 )                         (7,120,905 )           (7,652,086 )  
Net realized gain
           —             (12,721,826 )                         —             —    
Decrease in net assets resulting from dividends and distributions to shareholders
           (30,628,476 )           (30,308,765 )                         (7,120,905 )           (7,652,086 )  
                                              
Capital Share Transactions
Reinvestment of dividends
           —             —                           54,178            50,250   
                                              
Net Assets
Total increase (decrease) in net assets
           (39,903,781 )           (912,687 )                         (1,756,996 )           6,597,848   
Beginning of year
           507,851,820            508,764,507                          101,724,487            95,126,639   
End of year
      $   467,948,039       $   507,851,820                     $     99,967,491       $   101,724,487   
Undistributed net investment income, end of year
      $ 10,875,865       $ 8,050,320                     $ 203,336       $ 810,526   
1   Dividends and distributions are determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 125
 
  
Statements of Cash Flows  
Year Ended August 31, 2013
          BlackRock
Core Bond
Trust
(BHK)		      BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)1		      BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)1		      BlackRock
High Income
Shares
(HIS)
Cash Provided by Operating Activities
Net increase (decrease) in net assets resulting from operations
      $ (6,028,169 )      $ 49,825,106       $ 49,586,909       $ 9,778,108   
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:
                                                                                 
Increase in interest receivable
           (392,705 )           (524,424 )           (517,055 )           (11,605 )  
(Increase) decrease in swaps receivable
           168,071            65,538            66,324            (890 )  
Increase in other assets
           (29,378 )           —             —             —    
Increase in prepaid expenses
           (10,426 )           (1,361 )           (1,269 )           (5,923 )  
Increase in dividends receivable
           —             (16,924 )           (16,554 )           —    
Increase in variation margin receivable on financial futures contracts
           (176,941 )           (1,968 )           (2,015 )           (12,172 )  
Increase in variation margin receivable on centrally cleared swaps
           (12,768 )           —             —             —    
Decrease in cash pledged for financial futures contracts
           172,000            611,000            640,000            13,000   
Increase in cash pledged for centrally cleared swaps
           (420,000 )           —             —             —    
Decrease in cash pledged as collateral for over-the-counter swaps
           6,700,000            400,000            400,000            —    
Increase in cash pledged as collateral for reverse repurchase agreements
           (3,504,000 )           —             —             —    
Increase (decrease) in investment advisory fees payable
           (15,298 )           13,755            14,409            (2,165 )  
Increase in interest expense payable
           155,581            83,887            82,072            19,445   
Decrease in other accrued expenses payable
           (28,431 )           (118,790 )           (93,200 )           (5,327 )  
Decrease in variation margin payable on financial futures contracts
            —             (69,600 )           (72,800 )           (21,600 )  
Increase (decrease) in swaps payable
           (219,556 )           (78,779 )           (84,062 )           879    
Increase in Officer’s and Trustees’ fees payable
           9,881            31,115            34,677            4,224   
Increase in reorganization costs payable
           —             —             172,314            162,712   
Increase in cash received as collateral for over-the-counter swaps
           200,000            100,000            100,000            —    
Decrease in cash received as collateral for reverse repurchase agreements
           (590,475 )           —             —             —    
Net periodic and termination payments of swaps
           2,439,962            2,975,992            3,058,619            40,557   
Net realized and unrealized (gain) loss on investments and swaps
           27,161,798            (17,025,174 )           (16,832,280 )           (383,853 )  
Amortization of premium and accretion of discount on investments
           4,262,644            (526,918 )           (397,638 )           (395,443 )  
Premiums received from options written
           6,969,214            579,311            598,102            —    
Proceeds from sales of long-term investments
           637,037,078            467,717,761            489,540,461            127,138,965   
Purchases of long-term investments
           (621,368,604 )           (476,789,378 )           (498,278,819 )           (120,290,249 )  
Proceeds from borrowed bond transactions
           12,005,486            —             —             —    
Payments for borrowed bond transactions
           (11,850,480 )           —             —             —    
Net proceeds from sales of short-term securities
           (4,801,466 )           (1,683,977 )           (1,737,587 )           (1,687,499 )  
Premiums paid on closing options written
           (14,205,266 )           (44,200 )           (46,240 )           —    
Cash provided by operating activities
           33,627,752            25,521,972            26,214,368            14,341,164   
                                      
Cash Used for Financing Activities
Net borrowing of reverse repurchase agreements
           (10,352,670 )           —             —             —    
Cash receipts from borrowings
           —             207,000,000            214,000,000            51,000,000   
Cash payments on borrowings
           —             (196,000,000 )           (204,000,000 )           (56,000,000 )  
Cash dividends paid to shareholders
           (25,136,790 )           (38,331,934 )           (38,616,564 )           (10,333,853 )  
Increase in bank overdraft
           157,427            —             —             —    
Cash used for financing activities
           (35,332,033 )           (27,331,934 )           (28,616,564 )           (15,333,853 )  
                                      
Cash Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations
           (22,180 )           (342 )           (753 )           (700 )  
                                      
Cash and Foreign Currency
Net decrease in cash and foreign currency
           (1,726,461 )           (1,810,304 )           (2,402,949 )           (993,389 )  
Cash and foreign currency at beginning of year
           1,779,246            1,825,285            2,418,110            1,213,167   
Cash and foreign currency at end of year
      $ 52,785       $ 14,981       $ 15,161       $ 219,778   
                                      
Cash Flow Information
Cash paid during the period for interest
      $ 341,705       $ 1,593,870       $ 1,627,686       $ 363,836   
                                      
Non-cash Financing Activities
Capital shares issued in reinvestment of dividends
      $ 221,789       $ 162,267       $ 499,916       $ 239,225   
1   Consolidated Statement of Cash Flows.

See Notes to Financial Statements.

126 ANNUAL REPORT AUGUST 31, 2013
 
  
Statements of Cash Flows  
Year Ended August 31, 2013
          BlackRock
High Yield
Trust
(BHY)		      BlackRock
Income
Opportunity
Trust Inc.
(BNA)		      BlackRock
Income
Trust, Inc.
(BKT)		      BlackRock
Strategic
Bond Trust
(BHD)
Cash Provided by Operating Activities
Net increase (decrease) in net assets resulting from operations
      $ 4,411,490       $ (6,522,737 )      $ (9,275,305 )      $ 5,309,731   
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:
                                                                                 
(Increase) decrease in interest receivable
           (39,580 )           (52,990 )           227,662            (28,015 )  
(Increase) decrease in swaps receivable
           753             178,299            27,609            (1,724 )  
Increase in other assets
           —             (96,026 )           (16,208 )           —    
(Increase) decrease in prepaid expenses
           (2,938 )           4,344            3,006            (3,941 )  
Increase in dividends receivable
           (1,637 )           —             —             —    
Increase (decrease) in variation margin receivable on financial futures contracts
           (5,666 )           (199,246 )           —             1,092   
Increase in variation margin receivable on centrally cleared swaps
           —             (12,678 )           —             (6,192 )  
(Increase) decrease in cash pledged for financial futures contracts
           (14,000 )           891,000            67,000            45,000   
Increase in cash pledged for centrally cleared swaps
           —             (420,000 )           (10,000 )           (150,000 )  
Increase in cash pledged as collateral for reverse repurchase agreements
           —             (7,171,000 )           (2,010,000 )           —    
Decrease in cash pledged as collateral for over-the-counter swaps
           —             6,750,000            400,000            30,000   
Increase (decrease) in investment advisory fees payable
           1,316            (12,918 )           (21,761 )           1,970   
Increase in interest expense payable
           8,552            135,215            3,703            21,573   
Decrease in other accrued expenses payable
           (3,420 )           (25,692 )           (20,248 )           (8,625 )  
Decrease in variation margin payable on financial futures contracts
            (7,200 )           (36,766 )           (847,073 )           (10,772 )  
Increase in variation margin payable on centrally cleared swaps
           —             —             12             —    
Increase (decrease) in swaps payable
           (19,563 )           (221,529 )           (19,094 )           60    
Increase in Officer’s and Trustees’ fees payable
           1,535            14,380            12,906            2,612   
Increase (decrease) in Administration fees payable
           148             (2,096 )           (4,792 )           —    
Increase in reorganization costs payable
           126,174            —             —             101,036   
Increase in cash received as collateral for over-the-counter swaps
           —             300,000            420,000            —    
Decrease in cash received as collateral for reverse repurchase agreements
           —             (127,000 )           —             —    
Net periodic and termination payments of swaps
           292,636            2,458,259            452,846            623,124   
Net realized and unrealized (gain) loss on investments and swaps
           (1,254,202 )           27,155,691            42,942,664            1,545,328   
Amortization of premium and accretion of discount on investments
           (2,551 )           4,665,510            11,273,437            35,220   
Premiums received from options written
           18,225            6,981,228            —             143,425   
Proceeds from sales of long-term investments
           49,656,903            642,086,641            2,524,670,329            62,380,402   
Purchases of long-term investments
              (49,423,877 )             (618,309,991 )           (2,553,840,696 )              (62,794,204 )  
Proceeds from borrowed bond transactions
           —             13,456,176            41,962,394            —    
Payments for borrowed bond transactions
           —             (13,113,568 )           (59,828,221 )           —    
Net proceeds from sales (purchases) of short-term securities
           (351,238 )           (5,561,924 )           5,452,716            (907,585 )  
Premiums paid on closing options written
           (5,100 )           (14,209,091 )           —             (158,423 )  
Cash provided by operating activities
           3,386,760            38,981,491            2,022,886            6,171,092   
                                      
Cash Used for Financing Activities
Net borrowing of reverse repurchase agreements
           —             (16,039,498 )           28,608,838            —    
Cash receipts from borrowings
           27,000,000            —             —             44,000,000   
Cash payments on borrowings
           (27,000,000 )           —             —             (45,000,000 )  
Net borrowing of treasury rolls
           —             —             13,928            2,444   
Cash dividends paid to shareholders
           (3,396,821 )           (23,737,292 )           (30,661,221 )           (7,058,311 )  
Increase in bank overdraft
           —             —             15,569            —    
Cash used for financing activities
           (3,396,821 )           (39,776,790 )           (2,022,886 )           (8,055,867 )  
                                      
Cash Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations
           (473 )           (5,619 )           —             (337 )  
                                      
Cash and Foreign Currency
Net increase (decrease) in cash and foreign currency
           (10,534 )           (800,918 )           —             (1,885,112 )  
Cash and foreign currency at beginning of year
           24,065            873,136            —             1,893,941   
Cash and foreign currency at end of year
      $ 13,531       $ 72,218            —        $ 8,829   
                                      
Cash Flow Information
Cash paid during the period for interest
      $ 157,563       $ 367,530       $ 498,872       $ 254,870   
                                      
Non-cash Financing Activities
Capital shares issued in reinvestment of dividends
      $ 13,526            —             —        $ 54,178   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 127
 
  
Financial Highlights  BlackRock Core Bond Trust (BHK)

         Year Ended August 31,
         2013      2012      2011      2010      2009
Per Share Operating Performance
Net asset value, beginning of year
      $ 15.21       $ 13.78       $ 14.19       $ 12.56       $ 12.81   
Net investment income1
           0.89            0.88            0.83            0.87            0.80   
Net realized and unrealized gain (loss)
           (1.11 )           1.37            (0.36 )           1.76            (0.28 )  
Net increase (decrease) from investment operations
           (0.22 )           2.25            0.47            2.63            0.52   
Dividends from net investment income2
           (0.94 )           (0.82 )           (0.88 )           (1.00 )           (0.77 )  
Net asset value, end of year
      $ 14.05       $ 15.21       $ 13.78       $ 14.19       $ 12.56   
Market price, end of year
      $ 12.50       $ 15.41       $ 12.69       $ 13.92       $ 11.98   
                                              
Total Investment Return3
Based on net asset value
        (1.42)%           17.06%            4.02%            22.44%            5.28%   
Based on market price
        (13.43)%           28.78%         (2.35)%           25.93%            11.76%   
                                      
Ratios to Average Net Assets
Total expenses
           1.03%            0.95%            1.02%            1.18%            1.06%   
Total expenses after fees waived and paid indirectly
           0.98%            0.94%            1.02%            1.18%            1.06%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           0.86%            0.86%            0.93%            0.95%            0.83%   
Net investment income
           5.92%            6.13%            6.05%            6.62%            7.09%   
                                              
Supplemental Data
Net assets, end of year (000)
      $ 379,913       $ 411,136       $ 372,295       $ 383,540       $ 339,524   
Borrowings outstanding, end of year (000)
      $ 172,537       $ 182,679       $ 152,301       $ 168,938       $ 74,572   
Average borrowings outstanding, during the year (000)
      $ 187,038       $ 143,234       $ 151,080       $ 162,760       $ 73,467   
Portfolio turnover
           100% 4         290% 5         824% 6         641% 7         315% 8
Asset coverage, end of year per $1,000
      $ 3,202       $ 3,251       $ 3,444       $ 3,270       $ 5,553   
1   Based on average shares outstanding.
2   Dividends are determined in accordance with federal income tax regulations.
3   Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and assume the reinvestment of dividends and distributions.
4   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 63%.
5   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 237%
6   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 544%.
7   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 534%.
8   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%.

See Notes to Financial Statements.

128 ANNUAL REPORT AUGUST 31, 2013
 
  
Financial Highlights  BlackRock Corporate High Yield Fund V, Inc. (HYV)

         Year Ended August 31,
         20131      20121      2011      2010      2009
Per Share Operating Performance
Net asset value, beginning of year
      $ 12.63       $ 11.71       $ 11.61       $ 9.71       $ 11.94   
Net investment income2
           1.05            1.08            1.09            1.06            1.07   
Net realized and unrealized gain (loss)
           0.46            0.91            0.07            1.86            (2.10 )  
Net increase (decrease) from investment operations
           1.51            1.99            1.16            2.92            (1.03 )  
Dividends from net investment income3
           (1.17 )           (1.07 )           (1.06 )           (1.02 )           (1.20 )  
Net asset value, end of year
      $ 12.97       $ 12.63       $ 11.71       $ 11.61       $ 9.71   
Market price, end of year
      $ 11.72       $ 13.51       $ 11.55       $ 11.40       $ 9.32   
                                              
Total Investment Return4
Based on net asset value
           12.51%            17.92%            10.29%            31.40%         (3.83)%  
Based on market price
        (4.96)%           27.88%            10.79%            34.42%            8.59%   
                                          
Ratios to Average Net Assets
Total expenses
           1.47% 5         1.42%            1.34%            1.26%            1.84%   
Total expenses after fees waived and/or reimbursed and paid indirectly
           1.38% 5         1.42%            1.34%            1.26%            1.84%   
Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense and income tax
           0.99% 5,6         1.08% 7         1.02%            0.99%            1.16%   
Net investment income
           8.05%            8.96%            8.82%            9.52%            13.00%   
                                              
Supplemental Data
Net assets, end of year (000)
      $ 428,128       $ 416,701       $ 385,687       $ 382,603       $ 320,045   
Borrowings outstanding, end of year (000)
      $ 186,000       $ 175,000       $ 129,000       $ 92,000       $ 54,000   
Average borrowings outstanding, during the year (000)
      $ 176,660       $ 140,036       $ 119,652       $ 79,427       $ 65,403   
Portfolio turnover
           77%            61%            87%            90%            65%   
Asset coverage, end of year per $1,000
      $ 3,303       $ 3,381       $ 3,990       $ 5,159       $ 6,927   
1   Consolidated Financial Highlights.
2   Based on average shares outstanding.
3   Dividends are determined in accordance with federal income tax regulations.
4   Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and assume the reinvestment of dividends and distributions.
5   Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and paid indirectly, and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.38%, 1.38% and 0.99%, respectively.
6   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 0.98%.
7   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 0.99%.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 129
 
  
Financial Highlights  BlackRock Corporate High Yield Fund VI, Inc. (HYT)

         Year Ended August 31,
         20131      20121      2011      2010      2009
Per Share Operating Performance
Net asset value, beginning of year
      $ 12.32       $ 11.49       $ 11.38       $ 9.68       $ 11.89   
Net investment income2
           1.00            1.04            1.06            1.05            1.05   
Net realized and unrealized gain (loss)
           0.41            0.83            0.05            1.67            (2.07 )  
Net increase (decrease) from investment operations
           1.41            1.87            1.11            2.72            (1.02 )  
Dividends from net investment income3
           (1.11 )           (1.04 )           (1.00 )           (1.02 )           (1.19 )  
Net asset value, end of year
      $ 12.62       $ 12.32       $ 11.49       $ 11.38       $ 9.68   
Market price, end of year
      $ 11.37       $ 12.96       $ 11.21       $ 11.19       $ 9.47   
                                              
Total Investment Return4
Based on net asset value
           11.90%            17.14%            9.95%            29.26%         (4.03)%  
Based on market price
        (4.16)%           26.30%            9.09%            29.92%            10.09%   
                                          
Ratios to Average Net Assets
Total expenses
           1.54% 5         1.51%            1.41%            1.34%            2.01%   
Total expenses after fees waived and paid indirectly
           1.54% 5         1.51%            1.41%            1.34%            2.01%   
Total expenses after fees waived and paid indirectly and excluding interest expense and income tax
           1.16% 5,6         1.19% 7         1.12%            1.09%            1.28%   
Net investment income
           7.83%            8.84%            8.80%            9.52%            12.82%   
                                              
Supplemental Data
Net assets, end of year (000)
      $ 446,847       $ 435,955       $ 405,697       $ 401,760       $ 341,415   
Borrowings outstanding, end of year (000)
      $ 191,000       $ 181,000       $ 130,000       $ 89,000       $ 58,000   
Average borrowings outstanding, during the year (000)
      $ 180,436       $ 142,342       $ 115,512       $ 76,356       $ 73,784   
Portfolio turnover
           77%            61%            87%            85%            60%   
Asset coverage, end of year per $1000
      $ 3,340       $ 3,409       $ 4,121       $ 5,514       $ 6,886   
1   Consolidated Financial Highlights.
2   Based on average shares outstanding.
3   Dividends are determined in accordance with federal income tax regulations.
4   Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and assume the reinvestment of dividends and distributions.
5   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.
6   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%.
7   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.

130 ANNUAL REPORT AUGUST 31, 2013
 
  
Financial Highlights  BlackRock High Income Shares (HIS)

         Year Ended August 31,
         2013      2012      2011      2010      2009
Per Share Operating Performance
Net asset value, beginning of year
      $ 2.26       $ 2.18       $ 2.19       $ 1.85       $ 2.23   
Net investment income1
           0.18            0.20            0.20            0.20            0.19   
Net realized and unrealized gain (loss)
           (0.00 )2           0.08            —             0.31            (0.36 )  
Net increase (decrease) from investment operations
           0.18            0.28            0.20            0.51            (0.17 )  
Dividends from net investment income3
           (0.19 )           (0.20 )           (0.21 )           (0.17 )           (0.21 )  
Net asset value, end of year
      $ 2.25       $ 2.26       $ 2.18       $ 2.19       $ 1.85   
Market price, end of year
      $ 2.00       $ 2.40       $ 2.10       $ 2.09       $ 1.68   
                                              
Total Investment Return4
Based on net asset value
           8.45%            13.91%            9.56%            28.95%         (3.01)%  
Based on market price
        (9.23)%           25.58%            10.59%            35.52%            4.47%   
                                          
Ratios to Average Net Assets
Total expenses
           1.69% 5         1.54%            1.49%            1.49%            2.01%   
Total expenses after fees waived and paid indirectly
           1.69% 5         1.54%            1.49%            1.49%            2.01%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           1.38% 5,6         1.29% 6         1.25%            1.27%            1.41%   
Net investment income
           7.76%            9.19%            8.66%            9.34%            12.06%   
                                              
Supplemental Data
Net assets, end of year (000)
      $ 123,163       $ 123,745       $ 118,809       $ 119,642       $ 100,921   
Borrowings outstanding, end of year (000)
      $ 37,000       $ 42,000       $ 29,000       $ 25,000       $ 18,000   
Average borrowings outstanding, during the year (000)
      $ 40,403       $ 30,746       $ 26,729       $ 21,027       $ 21,220   
Portfolio turnover
           73%            63%            90%            85%            55%   
Asset coverage, end of year per $1,000
      $ 4,329       $ 3,946       $ 5,097       $ 5,786       $ 6,607   
1   Based on average shares outstanding.
2   Amount is less than $(0.005) per share.
3   Dividends are determined in accordance with federal income tax regulations.
4   Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and assume the reinvestment of dividends and distributions.
5   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 1.56%, 1.56% and 1.25%, respectively.
6   For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs were 1.36% and 1.19%, respectively.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 131
 
  
Financial Highlights  BlackRock High Yield Trust (BHY)

         Year Ended August 31,
         2013      2012      2011      2010      2009
Per Share Operating Performance
Net asset value, beginning of year
      $ 7.29       $ 6.79       $ 6.69       $ 5.78       $ 6.84   
Net investment income1
           0.51            0.53            0.51            0.51            0.51   
Net realized and unrealized gain (loss)
           0.18            0.50            0.11            0.92            (1.00 )  
Net increase (decrease) from investment operations
           0.69            1.03            0.62            1.43            (0.49 )  
Dividends and distributions from:2
                                                                                                     
Net investment income
           (0.53 )           (0.53 )           (0.51 )           (0.50 )           (0.55 )  
Tax return of capital
           —             —             (0.01 )           (0.02 )           (0.02 )  
Total dividends and distributions
           (0.53 )           (0.53 )           (0.52 )           (0.52 )           (0.57 )  
Net asset value, end of year
      $ 7.45       $ 7.29       $ 6.79       $ 6.69       $ 5.78   
Market price, end of year
      $ 6.77       $ 8.04       $ 6.60       $ 6.44       $ 5.84   
                                              
Total Investment Return3
Based on net asset value
           9.72%            15.70%            9.66%            25.70%         (5.30)%  
Based on market price
        (9.60)%           31.27%            10.73%            19.76%            9.81%   
                                          
Ratios to Average Net Assets
Total expenses
           2.40% 4         2.01%            2.04%            2.10%            2.61%   
Total expenses after fees waived and paid indirectly
           2.40% 4         2.01%            2.04%            2.10%            2.61%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           2.06% 4,5         1.79% 5         1.85%            1.91%            2.16%   
Net investment income
           6.75%            7.59%            7.18%            7.89%            10.22%   
                                              
Supplemental Data
Net assets, end of year (000)
      $  47,889       $  46,876       $  43,644       $  42,980       $  37,137   
Borrowings outstanding, end of year (000)
      $ 19,000       $ 19,000       $ 6,000       $ 8,000       $ 4,000   
Average borrowings outstanding, during the year (000)
      $ 17,512       $ 10,615       $ 7,427       $ 6,427       $ 5,223   
Portfolio turnover
           75%            59%            81%            80%            54%   
Asset coverage, end of year per $1,000
      $ 3,520       $ 3,467       $ 8,274       $ 6,373       $ 10,284   
1   Based on average shares outstanding.
2   Dividends and distributions are determined in accordance with federal income tax regulations.
3   Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and assume the reinvestment of dividends and distributions.
4   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 2.14%, 2.14% and 1.80%, respectively.
5   For the years ended August 31, 2013 and the year ended August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing cost was 2.05% and 1.69%, respectively.

See Notes to Financial Statements.

132 ANNUAL REPORT AUGUST 31, 2013
 
  
Financial Highlights  BlackRock Income Opportunity Trust, Inc. (BNA)

         Year Ended August 31,
    
         2013      2012      2011      2010      2009
Per Share Operating Performance
Net asset value, beginning of year
      $ 11.84       $ 10.77       $ 11.07       $ 10.02       $ 10.35   
Net investment income1
           0.68            0.67            0.63            0.59            0.59   
Net realized and unrealized gain (loss)
           (0.87 )           1.05            (0.28 )           1.25            (0.31 )  
Net increase (decrease) from investment operations
           (0.19 )           1.72            0.35            1.84            0.28   
Dividends from net investment income2
           (0.69 )           (0.65 )           (0.65 )           (0.79 )           (0.61 )  
Net asset value, end of year
      $ 10.96       $ 11.84       $ 10.77       $ 11.07       $ 10.02   
Market price, end of year
      $ 9.64       $ 11.58       $ 9.85       $ 10.56       $ 9.65   
                                              
Total Investment Return3
Based on net asset value
        (1.47)%           16.81%            3.91%            19.83%            3.90%   
Based on market price
        (11.39)%           24.92%         (0.37)%           18.69%            5.46%   
                                      
Ratios to Average Net Assets
Total expenses
           0.93%            0.90%            0.95%            1.09%            0.95%   
Total expenses after fees waived and paid indirectly
           0.93%            0.90%            0.95%            1.09%            0.95%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           0.81%            0.82%            0.85%            0.86%            0.85%   
Net investment income
           5.82%            5.97%            5.94%            5.81%            6.45%   
                                              
Supplemental Data
Net assets, end of year (000)
      $ 377,805       $ 408,068       $ 371,175       $ 381,379       $ 345,101   
Borrowings outstanding, end of year (000)
      $ 172,206       $ 188,055       $ 154,883       $ 157,776       $ 77,474   
Average borrowings outstanding, during the year (000)
      $ 185,003       $ 151,411       $ 148,617       $ 151,700       $ 49,573   
Portfolio turnover
           101% 4         285% 5         774% 6         720% 7         270% 8
Asset coverage, end of year per $1,000
      $ 3,194       $ 3,170       $ 3,396       $ 3,417       $ 5,454   
1   Based on average shares outstanding.
2   Dividends are determined in accordance with federal income tax regulations.
3   Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and assume the reinvestment of dividends and distributions.
4   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 63%.
5   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 231%.
6   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 492%.
7   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 608%.
8   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 165%.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 133
 
  
Financial Highlights  BlackRock Income Trust, Inc. (BKT)

         Year Ended August 31,
         2013      2012      2011      2010      2009
Per Share Operating Performance
Net asset value, beginning of year
      $ 7.94       $ 7.96       $ 7.76       $ 7.12       $ 6.94   
Net investment income1
           0.32            0.39            0.35            0.20            0.28   
Net realized and unrealized gain (loss)
           (0.46 )           0.06            0.19            0.73            0.19   
Net increase (decrease) from investment operations
           (0.14 )           0.45            0.54            0.93            0.47   
Dividends and distributions from:2
                                                                                                     
Net investment income
           (0.48 )           (0.27 )           (0.34 )           (0.26 )           (0.29 )  
Net realized gain
           —             (0.20 )           —             (0.03 )           —    
Total dividends and distributions
           (0.48 )           (0.47 )           (0.34 )           (0.29 )           (0.29 )  
Net asset value, end of year
      $ 7.32       $ 7.94       $ 7.96       $ 7.76       $ 7.12   
Market price, end of year
      $ 6.40       $ 7.63       $ 7.18       $ 6.95       $ 6.53   
                                              
Total Investment Return3
Based on net asset value
        (1.45)%           6.24%            7.70%            13.86%            7.64%   
Based on market price
        (10.34)%           13.19%            8.47%            11.19%            12.87%   
                                          
Ratios to Average Net Assets
Total expenses
           1.00%            0.97%            1.06%            1.05%            1.09%   
Total expenses after fees waived and paid indirectly
           1.00%            0.97%            1.05%            1.02%            1.08%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           0.90%            0.90%            0.94%            0.92%            0.93%   
Net investment income
           4.18%            4.86%            4.43%            2.72%            4.09%   
                                              
Supplemental Data
Net assets, end of year (000)
      $ 467,948       $ 507,852       $ 508,765       $ 496,260       $ 455,529   
Borrowings outstanding, end of year (000)
      $ 148,344       $ 119,706       $ 233,676       $ 106,985       $ 11,815   
Average borrowings outstanding, during the year (000)
      $ 188,924       $ 183,890       $ 116,771       $ 23,316       $ 537    
Portfolio turnover
           358% 4         487% 5         899% 6         883% 7         700% 8
Asset coverage, end of year per $1,000
      $ 4,154       $ 5,242       $ 3,177       $ 5,639       $ 39,555   
1   Based on average shares outstanding.
2   Dividends and distributions are determined in accordance with federal income tax regulations.
3   Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and assume the reinvestment of dividends and distributions.
4   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 196%.
5   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 230%.
6   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 387%.
7   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 207%.
8   Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 184%.

See Notes to Financial Statements.

134 ANNUAL REPORT AUGUST 31, 2013
 
  
Financial Highlights  BlackRock Strategic Bond Trust (BHD)

         Year Ended August 31,
         2013      2012      2011      2010      2009
Per Share Operating Performance
Net asset value, beginning of year
      $ 14.40       $ 13.48       $ 13.57       $ 12.12       $ 12.76   
Net investment income1
           0.95            0.99            1.06            1.01            0.93   
Net realized and unrealized gain (loss)
           (0.19 )           1.01            (0.04 )           1.35            (0.69 )  
Net increase (decrease) from investment operations
           0.76            2.00            1.02            2.36            0.24   
Dividends from net investment income2
           (1.01 )           (1.08 )           (1.11 )           (0.91 )           (0.88 )  
Net asset value, end of year
      $ 14.15       $ 14.40       $ 13.48       $ 13.57       $ 12.12   
Market price, end of year
      $ 12.68       $ 14.52       $ 12.93       $ 13.17       $ 11.43   
                                              
Total Investment Return3
Based on net asset value
           5.45%            15.66%            8.09%            20.38%            3.99%   
Based on market price
        (6.29)%           21.58%            6.83%            23.88%            15.34%   
                                          
Ratios to Average Net Assets
Total expenses
           1.57% 4         1.45%            1.52%            1.13%            1.00%   
Total expenses after fees waived and paid indirectly
           1.57% 4         1.45%            1.51%            1.11%            0.92%   
Total expenses after fees waived and paid indirectly and excluding interest expense
           1.30% 4,5         1.24% 5         1.26%            1.04%            0.92%   
Net investment income
           6.48%            7.15%            7.59%            7.77%            8.67%   
                                              
Supplemental Data
Net assets, end of year (000)
      $  99,967       $ 101,724       $  95,127       $  95,794       $  85,581   
Borrowings outstanding, end of year (000)
      $ 29,000       $ 30,000       $ 24,000       $ 12,000       $ —    
Average borrowings outstanding, during the year (000)
      $ 29,179       $ 22,089       $ 22,696       $ 5,701       $ 303    
Portfolio turnover
           47%            47%            72%            83%            61%   
Asset coverage, end of year per $1,000
      $ 4,447       $ 4,391       $ 4,964       $ 8,983       $ —    
1   Based on average shares outstanding.
2   Dividends are determined in accordance with federal income tax regulations.
3   Total investment returns based on market price, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and assume the reinvestment of dividends and distributions.
4   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 1.47%, 1.47% and 1.21%, respectively.
5   For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs were 1.30% and 1.14%, respectively.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 135
 
  
Notes to Financial Statements  

1. Organization:

BlackRock Core Bond Trust (“BHK”), BlackRock Corporate High Yield Fund V, Inc. (“HYV”), BlackRock Corporate High Yield Fund VI, Inc. (“HYT”), BlackRock High Income Shares (“HIS”), BlackRock High Yield Trust (“BHY”), BlackRock Income Opportunity Trust, Inc. (“BNA”), BlackRock Income Trust, Inc. (“BKT”) and BlackRock Strategic Bond Trust (“BHD”) (collectively, the “Trusts”) are registered under the 1940 Act, as diversified, closed-end management investment companies. HYV, HYT, BNA and BKT are organized as Maryland corporations. BHK, BHY and BHD are organized as Delaware statutory trusts. HIS is organized as a Massachusetts business trust. The Boards of Directors and the Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board”, and the directors/trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts’ determine, and make available for publication the NAVs of their Common Shares on a daily basis.

Reorganizations: On June 5, 2013, the Board of HYT and the Boards of HYV, HIS, BHY, BlackRock Corporate High Yield Fund, Inc. and BlackRock Corporate High Yield Fund III, Inc. (each a “HYT Target Fund”) approved the reorganization of HYT with each HYT Target Fund, with HYT continuing as the surviving fund after the reorganizations. It is currently expected that the reorganizations will be completed in late 2013. Reorganization costs incurred by HYT and the HYT Target Funds in connection with the reorganizations were expensed. BlackRock Advisors, LLC (the “Manager”) reimbursed HYV $400,000, which is shown as reorganization costs reimbursed by Manager in the Statements of Operations.

On July 19, 2013, the Board of BHD approved the reorganization of BHD with BlackRock Debt Strategies Fund, Inc. (“DSU”), with DSU continuing as the surviving fund after the reorganization. It is currently expected that the reorganization will be completed in late 2013. Reorganization costs incurred by BHD in connection with the reorganization were expensed.

Basis of Consolidation: The accompanying consolidated financial statements of HYV and HYT include the accounts of BLK HYV (Luxembourg) Investments, S.a.r.l. and BLK HYT (Luxembourg) Investments, S.a.r.l. (the “Subsidiaries”), which are wholly owned subsidiaries of the Trusts which hold shares of private Canadian companies, Laricina Energy Ltd. and Osum Oil Sands Corp. Such shares are held in the Subsidiaries in order to realize benefits under the Double Tax Avoidance Convention between Canada and Luxembourg, the result of which is gains on the sale of such shares will not be subject to capital gains taxes in Canada. Income earned on the investments held by the Subsidiaries may be taxable to such subsidiaries in Luxembourg. A tax provision, if any, is included in expenses in the Consolidated Statements of Operations. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statements of Operations. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiaries are subject to the same investment policies and restrictions that apply to the Trusts.

2. Significant Accounting Policies:

The Trusts’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in 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. The following is a summary of the significant accounting policies followed by the Trusts:

Valuation: US GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments at market value 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.

The Trusts value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Investments in open-end registered investment companies are valued at NAV each business day.

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.

136 ANNUAL REPORT AUGUST 31, 2013
 
  
Notes to Financial Statements (continued)  

Equity investments traded on a recognized securities exchange or the NASDAQ Stock Market (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price.

Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the New York Stock Exchange (“NYSE”). Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and swaptions are valued by an independent pricing service using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that application of these methods of valuation results in a price for an investment 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 Value Assets”). When determining the price for Fair Value Assets, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee or its delegate deem 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 Value Assets is subsequently reported to the Board or a committee thereof on a quarterly basis.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of each Trust’s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to affect the value of such instruments materially, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the Global Valuation Committee using a pricing service and/or policies approved by the Board.

Foreign Currency: The Trusts’ books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Trusts’ investments denominated in that currency will lose value because that currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.

The Trusts do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated 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. The Trusts report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that each Trust either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, foreign currency exchange contracts, swaps, short sales and options written), or certain borrowings (e.g., reverse repurchase agreements, treasury roll transactions and loan payable), each Trust will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, a fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments.

ANNUAL REPORT AUGUST 31, 2013 137
 
  
Notes to Financial Statements (continued)  

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. 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. Capital losses carried forward from years beginning before 2011 do not reduce earnings and profits, even if such carried forward losses offset current year realized gains. The character and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.

Income Taxes: It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required, except with respect to any taxes related to the Subsidiaries.

Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s US federal tax returns remains open for each of the four years ended August 31, 2013. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standards: In December 2011, the Financial Accounting Standards Board (the “FASB”) issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements, which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarifies which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting will be limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Trusts’ financial statement disclosures.

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. Deferred compensation liabilities are included in Officers 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.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

3. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: Certain Trusts may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. In addition, the Trusts may have to subsequently reinvest the proceeds at lower interest rates. If the Trust has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

138 ANNUAL REPORT AUGUST 31, 2013
 
  
Notes to Financial Statements (continued)  

Certain Trusts may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.

Collateralized Debt Obligations: Certain Trusts may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is an entity which is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches”, which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Certain Trusts may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, US government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated pre-payments of principal, the Trust may not fully recoup its initial investment in IOs.

Stripped Mortgage-Backed Securities: Certain Trusts may invest in stripped mortgage-backed securities issued by the US government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. The Trusts also may invest in stripped mortgage-backed securities that are privately issued.

Zero-Coupon Bonds: Certain Trusts may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Capital Trusts and Trust Preferred Securities: Certain Trusts may invest in capital trusts and/or trust preferred securities. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation will pay interest to the trust, which will then be 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: Certain Trusts may invest in 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.

ANNUAL REPORT AUGUST 31, 2013 139
 
  
Notes to Financial Statements (continued)  

Floating Rate Loan Interests: Certain Trusts may invest in floating rate loan interests. The floating rate loan interests the Trusts hold are typically issued to companies (the “borrower”) by banks, other financial institutions, and privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Trusts may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Trusts consider these investments to be investments in debt securities for purposes of their investment policies.

When a Trust purchases a floating rate loan interest it may receive a facility fee and when it sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, the Trusts may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Trusts upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Trusts may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. The Trusts may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in the Trusts having a contractual relationship only with the lender, not with the borrower. The Trusts will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Trusts generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Trusts may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Trusts will assume the credit risk of both the borrower and the lender that is selling the Participation. The Trusts’ investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Trusts may be treated as general creditors of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Trusts having a direct contractual relationship with the borrower and the Trusts may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Trusts may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, the Trusts earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations. As of August 31, 2013, the Trusts had the following unfunded floating rate loan interests:

    
 Borrower
    
 Unfunded
Floating
Rate
Loan
Interest
Value of
Underlying
Floating Rate
Loan Interest
Unrealized
Appreciation
HYV
  
Media General, Inc.
    $ 1,005,000    $ 1,006,859    $ 11,909
HYT
  
Media General, Inc.
    $ 1,050,000    $ 1,051,943    $ 12,443
HIS
  
Media General, Inc.
    $ 290,000    $ 290,537    $ 3,437
BHY
  
Media General, Inc.
    $ 110,000    $ 110,204    $ 1,304

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. The Trusts may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Trusts may be required to pay more at settlement than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

TBA Commitments: Certain Trusts may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Trusts generally enter into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.

Mortgage Dollar Roll Transactions: Certain Trusts may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Trusts will not be entitled to receive interest and principal payments on the securities sold. The Trusts account for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. These transactions may increase the Trusts’ portfolio

140 ANNUAL REPORT AUGUST 31, 2013
 
  
Notes to Financial Statements (continued)  


turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Trusts are required to purchase may decline below the agreed upon repurchase price of those securities.

Borrowed Bond Agreements: Certain Trusts may enter into borrowed bond agreements. In a borrowed bond agreement, the Trusts borrow a bond from a counterparty in exchange for cash collateral with the commitment that the security and the cash will be returned to the counterparty and the Trusts, respectively, at a mutually agreed upon rate and date. Certain agreements have no stated maturity and can be terminated by either party at any time. Borrowed bond agreements are entered into primarily in connection with short sales of bonds. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between the Trusts and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. Full realization of the collateral by the Trusts may be limited if the value of an investment purchased with the cash collateral by the lender decreases. The Trusts may also experience delays in gaining access to the collateral.

Reverse Repurchase Agreements: Certain Trusts may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Trusts sell securities to a bank or broker-dealer and agree to repurchase the same securities at a mutually agreed upon date and price. During the term of the reverse repurchase agreement, the Trusts continue 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. The Trusts may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Trusts are obligated to repurchase under the agreement may decline below the repurchase price.

For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made 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 the Trusts to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, the Funds may receive a fee for use of the security by the counterparty, which may result in interest income to the Trusts.

Treasury Roll Transactions: Certain Trusts may enter into treasury roll transactions. In a treasury roll transaction the Trusts sell a Treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price and future settlement date. The Trusts receive cash from the sale of the Treasury security to use for other investment purposes. The difference between the sale price and repurchase price represents net interest income or net interest expense reflective of an agreed upon rate between the Trusts and the counterparty over the term of the borrowing. For US GAAP purposes, a treasury roll transaction is accounted for as a secured borrowing and not as a purchase or sale. During the term of the borrowing, interest income from the Treasury security and the related interest expense on the secured borrowing is recorded by the Trusts on an accrual basis. The Trusts will benefit from the transaction if the income earned on the investment purchased with the cash received in the treasury roll transaction exceeds the interest expense incurred by the Trusts. If the interest expense exceeds the income earned, the Trusts’ net investment income and dividends to shareholders may be adversely impacted. Treasury roll transactions involve the risk that the market value of the securities that the Trusts are required to repurchase may decline below the agreed upon repurchase price of those securities.

Short Sales: Certain Trusts may enter into short sale transactions in which the Trusts sell a security they do not hold in anticipation of a decline in the market price of that security. When the Trusts make a short sale, they will borrow the security sold short (borrowed bond) and deliver the security to the counterparty to which they sold the security short. An amount equal to the proceeds received by the Trusts is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Trusts are required to repay the counterparty interest on the security sold short, which is shown as interest expense in the Statements of Operations. The Trusts are exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of a theoretically unlimited loss since there is a theoretically unlimited potential for the market price of the security sold short to increase. A gain, limited to the price at which the Trusts sold the security short, or a loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the market price is either less or greater than the proceeds originally received. There is no assurance the Trusts will be able to close out a short position at a particular time or at an acceptable price.

4. 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 economically hedge 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: The Trusts purchase and/or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or

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Notes to Financial Statements (continued)  


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 at 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 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 or 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 rates and the underlying assets.

Foreign Currency Exchange Contracts: The Trusts enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currencies, in which some of the investments held by the Trusts are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Trusts as an unrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: The Trusts purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk and interest rate risk) and/or in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Trusts purchase (write) an option, an amount equal to the premium paid (received) by the Trusts is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the 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 holds the underlying instrument subject to being called by the option counterparty. When the Trusts write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

Options on swaps (swaptions) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon interest rate swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

The Trusts also purchase or sell listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold (receipts from the foreign currency purchased). Such transactions may be effected with respect to hedges on non-US dollar denominated instruments owned by the Trusts but not yet delivered, or committed or anticipated to be purchased by the Trusts.

In purchasing and writing options, the Trusts bear the risk of an unfavorable change in the value of the underlying instrument or the risk that the Trusts may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Trusts purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: The 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 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

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Notes to Financial Statements (continued)  


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 contracts 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 face 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.

•  
   Credit default swaps — The Trusts enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Trusts 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 occurs. 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.
•  
   Total return swaps — The Trusts enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity 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.
•  
   Interest rate swaps — The Trusts enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time.
•  
   Forward interest rate swaps — The Trusts enter into forward interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). In a forward interest rate swap, each Trust and the counterparty agree to make periodic net payments on a specified notional contract amount, at a fixed or variable rate and commencing on a specified future effective date, unless terminated earlier.
ANNUAL REPORT AUGUST 31, 2013 143
 
  
Notes to Financial Statements (continued)  

The following is a summary of the Trusts’ derivative financial instruments categorized by risk exposure:

Fair Values of Derivative Financial Instruments as of August 31, 2013
     Derivative Assets
    
   
 BHK
HYV
HYT
    
 HIS
BHY
BNA
BKT
BHD
   
 Statements of Assets and
Liabilities Location
    
 Value
Interest rate
contracts
  
Net unrealized appreciation/ depreciation1; Unrealized appreciation on swaps1; Investments at value — unaffiliated2
    $ 2,906,677    $ 7,062    $ 7,356    $ 2,060    $ 883    $ 2,947,107    $ 6,756,669    $ 216,379
Foreign currency
exchange contracts
   Unrealized appreciation on foreign currency exchange contracts         129,008         663,707         689,686         53,846         18,779         113,665         —    
97,687
Credit contracts
  
Unrealized appreciation on swaps; swap premiums paid
         325,775         918,664         941,701         28,545         110,666         327,398         —    
63,228
Equity contracts
  
Investments at value — unaffiliated2
         —         1,928,050         1,975,830         108,866         51,847         —         —    
—
 
  
 
                                                                          
 
Total
  
 
    $ 3,361,460    $ 3,517,483    $ 3,614,573    $ 193,317    $ 182,175    $ 3,388,170    $ 6,756,669    $ 377,294
 
       Derivative Liabilities
    
   
 BHK
HYV
HYT
HIS
BHY
BNA
BKT
BHD
   
 Statements of Assets and
Liabilities Location
    
 Value
Interest rate
contracts
  
Net unrealized appreciation/depreciation1; Unrealized appreciation on swaps1; Investments at value — unaffiliated2
    $ 1,996,278    $ 2,306    $ 2,384    $ 648    $ 285    $ 2,002,857    $ 8,525,414    $ 80,137
Foreign currency
exchange contracts
 
Unrealized appreciation on foreign currency exchange contracts
         202,326         373,492         421,157         21,997         15,831         234,966         —    
70,615
Credit contracts
  
Unrealized appreciation on swaps; Swap premiums received
         361,719         1,626,793         1,694,517         27,701         214,176         363,099         211,777   
273,018
Equity contracts
 
Investments at value — unaffiliated2
         —         445,000         457,150         —         —         —         —    
—
 
  
 
                                                                          
 
Total
  
 
    $ 2,560,323    $ 2,447,591    $ 2,575,208    $ 50,346    $ 230,292    $ 2,600,922    $ 8,737,191    $ 423,770
1   Includes cumulative appreciation/depreciation on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
2   Includes options purchased at value as reported in the Schedules of Investments.
 
           The Effect of Derivative Financial Instruments in the Statements of Operations
Year Ended August 31, 2013
         Net Realized Gain (Loss) From
   
 BHK
    
 HYV
    
 HYT
    
 HIS
    
 BHY
    
 BNA
    
 BKT
    
 BHD
Interest rate contracts:
                                                                                                                                                                 
Financial futures
contracts
       $ (3,044,660 )      $ (12,496 )      $ (12,129 )      $ (3,508 )      $ (1,538 )      $ (3,441,689 )      $ 10,629,460       $ 275,485   
Swaps
            2,712,270            —             —             —             —             2,731,055            480,588            187,365   
Options3
            (199,312 )           113,750            119,000            —             13,125            (201,406 )           —             18,964   
Foreign currency
exchange contracts:
                                                                                                                                                                 
Foreign currency
transactions
            (566,260 )           (2,034,629 )           (2,142,154 )           (353,893 )           (105,176 )           (265,351 )           —             (374,425 )  
Credit contracts:
                                                                                                                                                                 
Swaps
            (266,831 )           1,730,238            1,774,972            43,963            136,783            (265,371 )           —             169,146   
Equity contracts:
                                                                                                                                                                 
Financial futures
contracts
            —             (2,160,253 )           (2,268,688 )           (647,132 )           (247,365 )           —             —             —    
Options3
            (155,050 )           (64,249 )           (68,944 )           —             —             (155,050 )           —             —    
Other contracts:
                                                                                                                                                                 
Swaps
            (84,887 )           —             —             —             —             (85,113 )           —             —    
Total
       $ (1,604,730 )      $ (2,427,639 )      $ (2,597,943 )      $ (960,570 )      $ (204,171 )      $ (1,682,925 )      $ 11,110,048       $ 276,535   
3   Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.
144 ANNUAL REPORT AUGUST 31, 2013
 
  
Notes to Financial Statements (continued)  
 
       Net Change in Unrealized Appreciation/Depreciation on
   
 BHK
    
 HYV
    
 HYT
    
 HIS
    
 BHY
    
 BNA
    
 BKT
    
 BHD
Interest rate contracts:
                                                                                                                                                             
Financial futures contracts
   $ 454,664       $ 4,756       $ 4,972       $ 1,412       $ 598        $ 595,341       $ 822,164       $ 5,330   
Swaps
        1,138,826            —             —             —             —             1,159,526            214,561            136,900   
Options1
        746,643            —             —             —             —             744,516            —             (9,385 )  
Foreign currency exchange contracts:
                                                                                                                                                             
Foreign currency translations
        264,216            1,337,179            1,360,658            171,140            53,873            159,936            —             189,814   
Credit contracts:
                                                                                                                                                             
Swaps
        (297,646 )           (489,261 )           (510,820 )           (2,562 )           (43,003 )           (297,403 )           —             (61,918 )  
Equity contracts:
                                                                                                                                                             
Financial futures contracts
        —             840,806            879,524            369,283            138,848            —             —             —    
Options3
        (1,964 )           239,552            244,485            —             —             (1,964 )           —             —    
Other contracts:
                                                                                                                                                             
Swaps
        43,272            —             —             —             —             43,388            —             —    
Total
   $  2,348,011       $  1,933,032       $  1,978,819       $  539,273       $  150,316       $  2,403,340       $  1,036,725       $  260,741   
1Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

For the year ended August 31, 2013, the average quarterly balances of outstanding derivative financial instruments were as follows:

       BHK
   
HYV
   
HYT
   
HIS
   
BHY
   
BNA
   
BKT
   
BHD
Financial futures
contracts:
                                                                                                                          
Average number of contracts
purchased
        777         —         —         —         —         740         134         84    
Average number
of contracts
sold
        1,000         65         68         26         12         1,013         1,732         51    
Average notional
value of
contracts
purchased
   $ 143,898,271         —         —         —         —    $ 139,454,455    $ 32,498,150    $ 15,806,453   
Average notional
value of
contracts sold
   $ 180,073,981    $ 6,356,008    $ 6,630,560    $ 2,482,049    $ 1,131,951    $ 182,779,122    $ 260,095,563    $ 7,003,605   
Foreign currency
exchange contracts:
                                                                                                                          
Average number of contracts — US dollars purchased
        5         13         14         3         3         5         —         5    
Average number of contracts — US dollars sold
        2         3         3         2         1         2         —         2    
Average US dollar amounts purchased
   $ 18,734,714    $ 53,022,351    $ 56,250,073    $ 5,236,906    $ 1,952,649    $ 17,937,620         —    $ 8,755,934   
Average US dollar amounts sold
   $ 2,280,393    $ 1,096,726    $ 1,460,102    $ 237,099    $ 36,099    $ 2,094,356         —    $ 253,039   
Options:
                                                                              —    
Average number of option contracts purchased
        —         1,460         1,497         —         3         —         —         12    
Average number of option contracts written
        —         875         899         —         —         —         —         —    
Average notional value of option contracts purchased
        —    $ 23,452,300    $ 24,035,650         —    $ 282,858         —         —    $ 571,966   
Average notional
value of option contracts written
        —    $ 13,650,000    $ 14,020,500         —         —         —         —         —    
Average number of swaption contracts purchased
        8         —         —         —         —         8         —         4    
Average number of swaption contracts written
        20         1         1         —         1         20         —         2    
Average notional value of swaption contracts purchased
   $ 72,557,128         —         —         —         —    $ 60,987,500         —    $ 6,084,074   
Average notional
value of swaption contracts written
   $ 381,580,607    $ 6,500,000    $ 6,800,000         —    $ 750,000    $ 276,864,061         —    $ 5,942,000   
Credit default swaps:
                                                                              —    
Average number of contracts — buy protection
        5         3         3         1         5         3         —         1    
Average number of contracts — sell protection
        8         21         21         1         21         8         —         20    
Average notional value — buy protection
   $ 4,762,470    $ 953,573    $ 996,838    $ 36,093    $ 340,645    $ 4,761,912         —    $ 527,500   
Average notional value — sell protection
   $ 4,047,500    $ 12,473,501    $ 12,812,751    $ 46,093    $ 1,153,468    $ 4,157,146         —    $ 1,436,011   
Interest rate swaps:
                                                                                                                          
Average number of contracts — pays fixed rate
        14         —         —         —         —         14         1         5    
Average number of contracts — receives fixed rate
        9         —         —         —         —         9         6         —    
Average notional
value — pays fixed
rate
   $ 146,969,263         —         —         —         —    $ 147,098,036    $ 60,000,000    $ 5,043,750   
Average notional
value — receives
fixed rate
   $ 69,092,876         —         —         —         —    $ 68,717,207    $ 71,490,000         —    
Total return swaps:
                                                                                                                          
Average number of contracts
        1         —         —         —         —         1         —         —    
Average notional value
   $ 470,000         —         —         —         —    $ 471,250         —         —    

Counterparty Credit Risk: 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 netted against any collateral held by the Trusts. For OTC options purchased, each Trust bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Trust 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.

ANNUAL REPORT AUGUST 31, 2013 145
 
  
Notes to Financial Statements (continued)  

With exchange traded purchased options 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, the credit risk is limited to failure of the clearinghouse. 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 short fall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

In order to better define their contractual rights and to secure rights that will help the Trusts 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 derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between each Trust and a counterparty that governs OTC derivatives and foreign exchange contracts 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. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Trust’s net assets decline by a stated percentage or the Trust fails to meet the terms of its ISDA Master Agreements, which would cause the Trust to accelerate payment of any net liability owed to the counterparty.

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 Trust and the counterparty.

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock, Inc. (“BlackRock”).

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services for each Trust and administration services for BHK, HYV, HYT, HIS and BHD.

The following Trusts’ investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trust’s average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

BHK
     
0.55%
HIS
     
0.75% of the first
$200 million and
0.50% thereafter
BHY
     
0.90%
BHD
     
0.75%

The following Trusts’ investment advisory fee paid to the Manager is computed daily and payable monthly on an annual rate of each Trust’s average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

HYV
           0.60 %  
HYT
           0.70 %  

The following Trusts’ investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trust’s average net assets:

BNA
           0.60 %  
BKT
           0.65 %  

BHY, BNA and BKT each have an Administration Agreement with the Manager. The administration fee paid to the Manager is computed weekly and payable monthly based on an annual rate, 0.10% for BNA, and 0.15% for BKT, of each Trust’s average net assets and 0.10% for BHY of the Trust’s average weekly total assets.

The Manager voluntarily agreed to waive a portion of investment advisory fee with respect to BHK at an annual rate of 0.03%, as a percentage of average weekly net assets. This voluntary waiver may be reduced or discontinued at any time without notice. For the year ended August 31, 2013, the Manager waived $177,925, which is included in fees waived by Manager in the Statements of Operations for BHK.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investment in other affiliated investment companies, if any. These amounts are included in fees waived by Manager in the Statements of Operations. For the year ended August 31, 2013, the amounts waived were as follows:

BHK
        $ 1,897   
HYV
        $ 979    
HYT
        $ 980    
HIS
        $ 433    
BHY
        $ 384    
BNA
        $ 1,942   
BKT
        $ 8,296   
BHD
        $ 406    
146 ANNUAL REPORT AUGUST 31, 2013
 
  
Notes to Financial Statements (continued)  

The Manager provides investment management and other services to the Subsidiaries. The Manager does not receive separate compensation from the Subsidiaries for providing investment management or administrative services. However, each Trust pays the Manager based on the Trusts’ net assets, which includes the assets of the Subsidiaries.

The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager, with respect to each Trust. The Manager pays BFM, for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common trustees. For the year ended August 31, 2013, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:
   
 Purchases
    
 Sales
BHK
           —          $ 963,180   
HYV
        $ 2,240,663         $ 630,830   
HYT
        $ 3,296,344         $ 660,467   
HIS
        $ 219,093         $ 189,897   
BHY
        $ 116,815         $ 71,478   
BNA
           —          $ 970,824   
BHD
        $ 219,923            —    

6. Purchases and Sales:

Purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities and US government securities for the year ended August 31, 2013 were as follows:
   
 Purchases
    
 Sales
BHK
        $ 565,925,347         $ 561,776,202   
HYV
        $ 480,733,384         $ 468,095,077   
HYT
        $ 503,718,002         $ 490,628,106   
HIS
        $ 121,492,630         $ 127,298,626   
BHY
        $ 50,137,547         $ 49,598,425   
BNA
        $ 564,254,135         $ 554,531,132   
BKT.
        $ 2,286,512,570         $ 2,233,214,887   
BHD
        $ 60,724,131         $ 61,742,397   

For the year ended August 31, 2013, purchases and sales of US government securities were as follows:
   
 Purchases
    
 Sales
BHK.
        $ 38,749,883         $ 69,375,749   
BNA
        $ 38,943,101         $ 83,417,112   
BKT
        $ 230,937,400         $ 311,094,576   
BHD
        $ 1,601,162         $ 199,969   

For the year ended August 31, 2013, purchases and sales related to mortgage dollar rolls were as follows:
   
 Purchases
    
 Sales
BHK
        $ 224,900,231         $ 225,396,680   
BNA
        $ 224,904,856         $ 225,401,594   
BKT
        $ 1,137,374,940         $ 1,137,977,508   

Transactions in options written for the year ended August 31, 2013 were as follows:

  Calls
Puts
Contracts
Notional
(000)
Premiums
Received
Contracts
Notional
(000)
Premiums
Received
BHK
                                            
Outstanding options, beginning of year
  —        $ 174,300       $ 3,758,484         9,500       $ 234,100       $ 4,974,415   
Options written
  —             128,600            2,503,729         —             274,300            4,420,685   
Options exercised
  —             —             —          —             (10,000 )           (47,528 )  
Options expired
  —             —             —          (9,500 )           —             (119,700 )  
Options closed
   —             (272,200 )           (6,195,612 )        —             (443,100 )           (8,492,400 )  
Outstanding options, end of year
  —        $ 30,700       $ 66,601         —        $ 55,300       $ 735,472   
HYV
                                                                                                     
Outstanding options, beginning of year
  —             —             —          —             —             —    
Options written
  —        $ 6,500       $ 44,200         3,500       $ 6,500       $ 535,111   
Options exercised
  —             (6,500 )           (44,200 )        —             —             —    
Options expired
  —             —             —          —             (6,500 )           (113,750 )  
Outstanding options, end of year
  —             —             —          3,500            —        $ 421,361   
HYT
                                                                                                     
Outstanding options, beginning of year
  —             —             —          —             —             —    
Options written
  —        $ 6,800       $ 46,240         3,595       $ 6,800       $ 551,862   
Options exercised
  —             (6,800 )           (46,240 )        —             —             —    
Options expired
  —             —             —          —             (6,800 )           (119,000 )  
Outstanding options, end of year
  —             —             —          3,595            —        $ 432,862   
BHY
                                                                                                           
Outstanding options, beginning of year
  —             —             —          —             —             —    
Options written
  —        $ 750        $ 5,100         —        $ 750        $ 13,125   
Options exercised
  —             (750 )           (5,100 )        —             —             —    
Options expired
  —             —             —          —             (750 )           (13,125 )  
Outstanding options, end of year
  —             —             —          —             —             —    
 
ANNUAL REPORT AUGUST 31, 2013 147
 
  
Notes to Financial Statements (continued)  
 
         Calls
         Puts
   
 Contracts
    
 Notional
(000)
    
 Premiums
Received
Contracts
    
 Notional
(000)
    
 Premiums
Received
BNA
Outstanding options, beginning of year
           —        $ 173,900       $ 3,754,227                          9,500       $ 233,700       $ 4,969,287   
Options written
           —             129,000            2,508,777                          —             274,600            4,427,651   
Options exercised
           —             —             —                           —             (10,000 )           (47,528 )  
Options expired
           —             —             —                           (9,500 )           —             (119,700 )  
Options closed
           —             (272,000 )           (6,195,970 )                         —             (442,800 )           (8,492,710 )  
Outstanding options, end of year
           —        $ 30,900       $ 67,034                          —        $ 55,500       $ 737,000   
BHD
Outstanding options, beginning of year
           —        $ 2,300       $ 17,900                          —        $ 4,300       $ 69,170   
Options written
           —             4,500            62,250                          —             4,500            81,175   
Options closed
           —             (6,800 )           (80,150 )                         —             (6,800 )           (111,345 )  
Outstanding options, end of year
           —             —             —                           —        $ 2,000       $ 39,000   

7. Income Tax Information:

US GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of August 31, 2013 attributable to the accounting for swap agreements, amortization methods on fixed income securities, foreign currency transactions, non-deductible expenses and net paydown losses were reclassified to the following accounts:
   
 BHK
    
 HYV
    
 HYT
    
 HIS
    
 BHY
    
 BNA
    
 BKT
    
 BHD
Paid-in capital
           —        $ (11,986 )      $ (177,663 )      $ (162,712 )      $ (126,174 )           —             —        $ (101,036 )  
Undistributed net investment income
      $ (864,282 )      $ (904,591 )      $ (975,060 )      $ (102,001 )      $ 86,864       $ (173,526 )      $ 13,085,827       $ (177,228 )  
Accumulated net realized loss
       $ 864,282       $ 916,577       $ 1,152,723       $ 264,713       $ 39,310       $ 173,526       $ (13,085,827 )      $ 278,264   

The tax character of distributions paid during the fiscal years ended August 31, 2013 and August 31, 2012 was as follows:
   
BHK
HYV
HYT
HIS
BHY
BNA
BKT
BHD
Ordinary income
     8/31/13    $ 25,416,860    $ 38,560,059    $ 39,195,248    $ 10,599,743    $ 3,412,042    $ 23,740,439    $ 30,628,476    $ 7,120,905
 
      8/31/12    $ 22,212,928    $ 35,208,709    $ 36,599,844    $ 11,172,280    $ 3,374,830    $ 22,258,816    $ 30,308,765    $ 7,652,086
Total
      8/31/13    $ 25,416,860    $ 38,560,059    $ 39,195,248    $ 10,599,743    $ 3,412,042    $ 23,740,439    $ 30,628,476    $ 7,120,905
 
      8/31/12    $ 22,212,928    $ 35,208,709    $ 36,599,844    $ 11,172,280    $ 3,374,830    $ 22,258,816    $ 30,308,765    $ 7,652,086

As of August 31, 2013, the tax components of accumulated net earnings (losses) were as follows:

    
 BHK
    
 HYV
    
 HYT
    
 HIS
    
 BHY
    
 BNA
    
 BKT
    
 BHD
Undistributed ordinary income
  $ 5,172,935       $ 4,808,087       $ 5,632,022       $ 1,381,349       $ 279,996       $ 5,088,413       $ 10,985,157       $ 534,353   
Capital loss carryforwards
       (10,357,545 )           (52,520,992 )           (68,888,889 )           (36,475,853 )           (11,795,329 )           (18,525,614 )           (6,511,246 )           (1,167,345 )  
Net unrealized gains
(losses)1
       6,136,455            5,152,621            3,656,884            (270,522 )           1,346,173            5,695,753            (8,658,685 )           2,146,446   
Qualified late-year losses2
       —             —             —             —             —             —             (6,409,435 )           —    
Total
   $ 951,845       $ (42,560,284 )      $ (59,599,983 )      $ (35,365,026 )      $ (10,169,160 )      $ (7,741,448 )      $ (10,594,209 )      $ 1,513,454   
1   The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales, amortization methods of premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the accounting for swap agreements, investments in passive foreign investment companies and the deferral of compensation to trustees.
2   The Trust has elected to defer certain qualified late year losses and recognize such losses in the year ended August 31, 2014.

As of August 31, 2013, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

Expires August 31,
    
 BHK
    
 HYV
    
 HYT
    
 HIS
    
 BHY
    
 BNA
    
 BKT
    
 BHD
 
2014
       —             —             —        $ 7,043,976       $ 442,153            —             —             —    
2015
       —             —             —             —             2,467,772            —             —             —    
2016
  $ 2,941,545            —             —             10,829,322            2,039,760       $ 191,888            —             —    
2017
       7,416,000       $ 6,734,339       $ 13,961,125            3,140,056            916,541            7,369,088            —             —    
2018
       —             45,786,653            54,927,764            15,169,557            5,191,260            10,964,638            —        $ 1,167,345   
2019
       —             —             —             —             737,843            —             —             —    
No expiration date3
       —             —             —             292,942            —             —        $ 6,511,246            —    
Total
   $ 10,357,545       $ 52,520,992       $ 68,888,889       $ 36,475,853       $ 11,795,329       $ 18,525,614       $ 6,511,246       $ 1,167,345   
3   Must be utilized prior to losses subject to expiration.
148 ANNUAL REPORT AUGUST 31, 2013
 
  
Notes to Financial Statements (continued)  

During the year ended August 31, 2013, the Trusts listed below utilized the following amounts of their respective capital loss carryover:

BHK
 $ 2,785,178
HYV
$ 24,658,421
HYT
 $ 23,395,382
HIS
$ 2,265,017
BHY
$ 2,276,200
BNA
$ 4,283,177
BHD
 $ 3,647,837

As of August 31, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

    
 BHK
    
 HYV
    
 HYT
    
 HIS
    
 BHY
    
 BNA
    
 BKT
    
 BHD
 
Tax cost
  $ 551,524,149       $ 611,577,536       $ 637,769,231       $ 159,922,686       $ 66,016,698       $ 547,548,818       $ 863,477,541       $ 125,412,022   
Gross unrealized appreciation
  $ 21,684,444       $ 25,470,332       $ 25,205,718       $ 5,336,661       $ 2,581,185       $ 22,098,732       $ 25,450,117       $ 5,142,559   
Gross unrealized depreciation
       (15,243,645 )           (21,891,344 )           (23,122,944 )           (5,595,272 )           (1,367,696 )           (16,139,906 )           (33,184,643 )           (3,110,531 )  
Net unrealized appreciation (depreciation)
  $ 6,440,799       $ 3,578,988       $ 2,082,774       $ (258,611 )      $ 1,213,489       $ 5,958,826       $ (7,734,526 )      $ 2,032,028   

8. Borrowings:

HYV, HYT, HIS, BHY and BHD were party to a senior committed secured, 364-day revolving line of credit and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). The Trusts have granted a security interest in substantially all of their assets to SSB.

The SSB Agreement allows for the following maximum commitment amounts:

 Commitment Amounts
HYV
$ 213,000,000
HYT
$ 222,000,000
HIS
$ 63,000,000
BHY
$ 24,000,000
BHD
$ 52,000,000

Prior to March 1, 2013, advances were made by SSB to the Trusts, at the Trusts’ option of (a) the higher of (i) 0.75% above the Fed Funds rate and (ii) 0.75% above the Overnight LIBOR or (b) 0.75% above 7-day, 30-day, 60-day or 90-day LIBOR.

On March 1, 2013, the SSB Agreement was renewed and amended from a 364-day revolving line of credit to a 360-day rolling facility whereby SSB may elect to terminate its commitment upon 360-days written notice to the Trusts anytime after February 24, 2014. Advances will be made by SSB to the Trusts, at the Trusts’ option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, the Trusts pay a facility fee and utilization fee (based on the daily unused portion of the commitments). The commitment fees are waived if the Trusts meet certain conditions. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Trusts as of August 31, 2013 are shown in the Statements of Assets and Liabilities as loan payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amounts of the borrowings approximates fair value.

The Trusts may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the year ended August 31, 2013, the daily weighted average interest rates for Trusts with loans under the revolving credit agreements were as follows:

 Daily Weighted
Average
Interest Rate
HYV
0.95 %  
HYT
0.95 %  
HIS
0.95 %  
BHY
0.95 %  
BHD1
0.95 %  

For the year ended August 31, 2013, the daily weighted average interest rates for Trusts with borrowings, which include reverse repurchase agreements, were as follows:

 Daily Weighted
Average
Interest Rate
BHK
 0.26 %  
BNA
 0.27 %  
BKT1
 0.23 %  
1   Includes treasury roll transactions.

9. Concentration, Market and Credit Risk:

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable to perform on its commitments. The Trusts manage counterparty credit risk by entering into

ANNUAL REPORT AUGUST 31, 2013 149
 
  
Notes to Financial Statements (concluded)  


transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

Certain Trusts invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedules of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

10. Capital Share Transactions:

BHK, BHY and BHD are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. BNA and BKT are authorized to issue 200 million shares, par value $0.01, all of which were initially classified as Common Shares. HYV and HYT are authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. HIS is authorized to issue an unlimited number of shares, no par value, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders. For the years shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 Year Ended
August 31,
2013
    
 Year Ended
August 31,
2012
BHK
14,416       4,404   
HYV
11,735       59,289   
HYT
39,051       85,180   
HIS
103,313       124,205   
BHY
1,771       2,000   
BHD
3,668       3,546   

Shares issued and outstanding remained constant during the year ended August 31, 2013 and the year ended August 31, 2012 for BNA and BKT.

11. 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 on September 30, 2013 to shareholders of record on September 16, 2013 as follows:

 Common Dividend
Per Share
BHK
  $ 0.0755   
HYV
  $ 0.0855   
HYT
  $ 0.0805   
HIS
  $ 0.0142   
BHY
  $ 0.0428   
BNA
  $ 0.0595   
BKT
  $ 0.0370   
BHD
  $ 0.0780   

Additionally, the Trusts declared a net investment income dividend on October 1, 2013 payable to shareholders of record on October 16, 2013 for the same amounts noted above.

On October 11, 2013, the shareholders of HYT and each HYT Target Fund approved their respective reorganization. On October 18, 2013, the Manager announced special distributions in connection with the reorganizations. HYV, HYT, HIS and BHY will pay an income distribution on November 1, 2013 to shareholders of record as of October 29, 2013 as follows:

 Distribution
Per Share
HYV
  $ 0.185   
HYT
   $ 0.160   
HIS
  $ 0.040   
BHY
  $ 0.080   

On October 25, 2013, the shareholders of BHD and DSU approved its reorganization.

150 ANNUAL REPORT AUGUST 31, 2013
 
  
Report of Independent Registered Public Accounting Firm 

To the Shareholders and Board of Trustees/Directors of
BlackRock Core Bond Trust,
BlackRock Corporate High Yield Fund V, Inc.,
BlackRock Corporate High Yield Fund VI, Inc.,
BlackRock High Income Shares,
BlackRock High Yield Trust,
BlackRock Income Opportunity Trust, Inc.,
BlackRock Income Trust, Inc., and
BlackRock Strategic Bond Trust:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock Core Bond Trust, BlackRock High Income Shares, BlackRock High Yield Trust, BlackRock Income Opportunity Trust, Inc., BlackRock Income Trust, Inc., and BlackRock Strategic Bond Trust (collectively the “Funds”) as of August 31, 2013, and the related statements of operations and cash flows for the year then ended, and the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the years in the five-year period then ended. We have also audited the consolidated statements of assets and liabilities, including the consolidated schedules of investments of BlackRock Corporate High Yield Fund V, Inc. and BlackRock Corporate High Yield Fund VI, Inc., (collectively with the Funds mentioned above, the “Trusts”) as of August 31, 2013, and the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Trusts’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trusts are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2013, by correspondence with the custodian, brokers, and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of BlackRock Core Bond Trust, BlackRock High Income Shares, BlackRock High Yield Trust, BlackRock Income Opportunity Trust, Inc., BlackRock Income Trust, Inc., and BlackRock Strategic Bond Trust, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each the years in the five-year period then ended, and the consolidated financial positions of BlackRock Corporate High Yield Fund V, Inc. and BlackRock Corporate High Yield Fund VI, Inc., as of August 31, 2013, the consolidated results of their operations and their consolidated cash flows for the year then ended, the consolidated changes in their net assets for each of the two years in the period then ended, and their consolidated financial highlights for each of the years in the five-year period then ended, conformity with accounting principles generally accepted in the United States of America.

As discussed in Note 1 to the financial statements, on June 5, 2013, the Board of BlackRock Corporate High Yield Fund VI, Inc. and the Board of BlackRock Corporate High Yield Fund V, Inc., BlackRock High Income Shares, and BlackRock High Yield Trust (each individually, a “Target Fund”) approved the reorganizations of each Target Fund into BlackRock Corporate High Yield Fund VI, Inc. Additionally, on July 19, 2013, the Board of BlackRock Strategic Bond Trust approved the reorganization of BlackRock Strategic Bond Trust with BlackRock Debt Strategies Fund, Inc., with BlackRock Debt Strategies Fund, Inc. continuing as the surviving fund after the reorganization. As discussed in Note 11, on October 11, 2013, the shareholders of BlackRock Corporate High Yield Fund VI, Inc. and each Target Fund approved their respective reorganization, and on October 25, 2013, the shareholders of BlackRock Strategic Bond Trust and Debt Strategies Fund, Inc. approved their respective reorganization.

Deloitte & Touche LLP
Boston, Massachusetts
October 29, 2013

ANNUAL REPORT AUGUST 31, 2013 151
 
  
Important Tax Information (Unaudited) 

The following information is provided with respect to the ordinary income distributions paid by the Trusts during the fiscal year ended August 31, 2013.

    
 Payable Dates
    
 BHK
    
 HYV
    
 HYT
    
 HIS
    
 BHY
    
 BNA
    
 BKT
    
 BHD
Interest-Related Dividends for
Non-US Residents1
  
September 2012 – January 2013
      66.03%      61.01%      66.09%      70.48%      73.65%      73.86%      91.88%      77.85%
 
  
February 2013 – August 2013
      85.83%      84.35%      75.19%      96.52%      83.56%      84.00%      91.80%      79.31%
Qualified Dividend Income for
Individuals2
 
September 2012 – January 2013
      —      5.37%      5.41%      —      —      —      —      —
 
  
February 2013 – August 2013
      —      1.62%      1.82%      —      —      —      —      —
Dividends Qualifying for the
Dividend Received Deduction
for Corporations2
 
September 2012 – January 2013
      —      5.37%      5.41%      —      —      —      —      —
 
  
February 2013 – August 2013
      —      1.59%      1.80%      —      —      —      —      —
Federal Obligation Interest3
 
September 2012 – August 2013
      7.02%      —      —      —      —      6.53%      2.40%      —
1   Represents the portion of the taxable ordinary income dividends eligible for exemption from US withholding tax for nonresident aliens and foreign corporations.
2   The Trust hereby designates the percentage indicated above or the maximum amount allowable by law.
3   The law varies in each state as to whether and what percentage of dividend income attributable to federal obligations is exempt from state income tax. We recommend that you consult your tax advisor to determine if any portion of the dividends you received is exempt from state income taxes.
152 ANNUAL REPORT AUGUST 31, 2013
 
  
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements 

The Board of Directors or Trustees and as applicable (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”) of BlackRock Core Bond Trust (“BHK”), BlackRock Corporate High Yield Fund V, Inc. (“HYV”), BlackRock Corporate High Yield Fund VI, Inc. (“HYT”), BlackRock High Income Shares (“HIS”), BlackRock High Yield Trust (“BHY”), BlackRock Income Opportunity Trust, Inc. (“BNA”), BlackRock Income Trust, Inc. (“BKT”) and BlackRock Strategic Bond Trust (“BHD” and together with BHK, HYV, HYT, HIS, BHY, BNA and BKT, each a “Fund,” and, collectively, the “Funds”) met in person on April 18, 2013 (the “April Meeting”) and June 4-5, 2013 (the “June Meeting”) to consider the approval of each Fund’s investment advisory agreement (each, an “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board of each Fund also considered the approval of the sub-advisory agreement (each, a “Sub-Advisory Agreement”) among the Manager, BlackRock Financial Management, Inc. (the “Sub-Advisor”), and its Fund. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

Activities and Composition of the Board

Each Board consists of eleven individuals, nine of whom are not “interested persons” of such Fund as defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Funds and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of each Board is an Independent Board Member. Each Board has established six standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, an Executive Committee, and a Leverage Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee and the Leverage Committee, each of which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Agreements on an annual basis. The Boards have four quarterly meetings per year, each extending over two days, and a fifth
one-day meeting to consider specific information surrounding the consideration of renewing the Agreements. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the Funds by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance and assistance in meeting applicable legal and regulatory requirements.

The Boards, acting directly and through their respective committees, considered at each of their meetings, and from time to time as appropriate, factors that are relevant to their annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Funds and their shareholders. Among the matters the Boards considered were: (a) investment performance for one-year, three-year, five-year and/or since inception periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance against their peers and/or benchmark, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Funds for services such as call center and fund accounting; (c) Fund operating expenses and how BlackRock allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds’ investment objectives, policies and restrictions; (e) the Funds’ compliance with their Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Funds’ valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment objectives across the open-end fund, closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock’s business.

The Boards have engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment to investment performance. In addition, the Boards requested and BlackRock provided an analysis of fair valuation and stale pricing policies. BlackRock also furnished information to the Boards in response to specific questions. These questions covered issues such as BlackRock’s profitability, investment performance and management fee levels. The Boards further considered the importance of: (i) organizational and structural variables to investment performance; (ii) rates of portfolio turnover; (iii) BlackRock’s performance accountability for portfolio managers; (iv) marketing support for the funds; (v) services provided to the Funds by BlackRock affiliates; and (vi) BlackRock’s oversight of relationships with third party service providers.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Boards requested and received materials specifically relating to the Agreements. The Boards are engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist their deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on Fund fees and expenses as compared with a peer group of funds as determined by Lipper (“Expense Peers”) and the investment performance of the Funds as compared with a peer group of funds as determined by Lipper1, as well as the investment performance of each of BHK, BNA, BKT and BHD as compared with its custom benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees;

1   Lipper ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.
ANNUAL REPORT AUGUST 31, 2013 153
 
  
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued) 

(e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Fund to BlackRock and (g) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.

At the April Meeting, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Boards’ year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund, and the Sub-Advisory Agreement among the Manager, the Sub-Advisor, and its Fund, each for a one-year term ending June 30, 2014. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Funds and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Funds; (d) the Funds’ costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance comparison as previously discussed; (e) economies of scale; (f) fall-out benefits to BlackRock as a result of its relationship with the Funds; and (g) other factors deemed relevant by the Board Members.

The Boards also considered other matters they deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to securities lending, services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Boards’ review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Funds. Throughout the year, the Boards compared Fund performance to the performance of a comparable group of closed-end funds and/or the performance of a relevant benchmark, if any. The Boards met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. Each Board also reviewed the materials provided by its Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment objective, strategies and outlook.

The Boards considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and their Funds’ portfolio management teams; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRock’s compensation structure with respect to their Funds’ portfolio management teams and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to advisory services, the Boards considered the quality of the administrative and other non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with certain services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In particular, BlackRock and its affiliates provide the Funds with the following administrative services including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus (as applicable) and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Funds; (iii) assisting with daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Boards in their consideration of strategic issues such as the merger or consolidation of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Funds, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration, shareholder services, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Funds and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Funds. In preparation for the April Meeting, the Boards worked with its independent legal counsel, BlackRock and Lipper to develop a template for, and were provided with reports independently prepared by Lipper, which included a comprehensive analysis of each Fund’s performance. The Boards also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with their review, each Board received and reviewed information regarding the investment performance, based on net asset value (NAV), of its Fund as compared to other funds in its applicable Lipper category, and with respect to BHK, BNA, BKT and BHD, the investment performance of the Fund as compared with its respective custom benchmark. The Boards were provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review their methodology. Each Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of its Fund throughout the year.

The Board of each of BHK, BHD and BNA noted that its respective Fund’s performance exceeded its customized benchmark during the one- and three-year periods reported, but underperformed the customized

154 ANNUAL REPORT AUGUST 31, 2013
 
  
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued) 


benchmark for the five-year period. BlackRock believes that the performance relative to the customized benchmark is an appropriate performance metric for BHK, BHD and BNA.

The Board of BKT noted that BKT’s performance exceeded its customized benchmark during the three- and five-year periods reported, but underperformed the customized benchmark for the one-year period. BlackRock believes that the performance relative to the customized benchmark is an appropriate performance metric for BKT. The Board of BKT and BlackRock reviewed and discussed the reasons for BKT’s underperformance during the one-year period and will monitor BKT’s performance in the coming year.

The Board of HYV noted that HYV ranked in the first, first and second quartiles against its Lipper Performance Universe for the one-, three- and five-year periods reported, respectively.

The Board of HYT noted that HYT ranked in the second quartile against its Lipper Performance Universe for each of the one-, three- and five-year periods reported.

The Board of HIS noted that HIS ranked in the fourth, fourth and third quartiles against its Lipper Performance Universe for the one-, three- and five-year periods reported, respectively. The Board of HIS and BlackRock reviewed and discussed the reasons for HIS’s underperformance during these periods compared to its Lipper Performance Universe. The Board of HIS was informed that, among other things, underperformance for the one-, three and five-year periods is a result of performance in 2011 and 2012, where HIS lagged its peers. The underperformance in 2011 resulted mostly from the fourth quarter, where high yield sharply rallied following positive European news. This was a larger benefit to peers which utilized higher leverage and lower quality issues. In 2012, security selection in the metals and wireless sectors, as well as an overweight and selection in the media non-cable sector impaired performance. Also, an allocation to senior secured bank loans, which underperformed high yield, also detracted from performance.

The Board of BHY noted that BHY ranked in the third quartile against its Lipper Performance Universe for each of the one-, three- and five-year periods reported. The Board of BHY and BlackRock reviewed and discussed the reasons for BHY’s underperformance during these periods compared to its Lipper Performance Universe. The Board of BHY was informed that, among other things, over these periods underperformance can mostly be attributed to 2012. BHY generally maintained a favorable view of risk throughout the year and performed well. BHY moved to a more moderate risk level heading into the second half of 2012 given the healthy run-up through the first six-months. This transition negatively impacted results in the third quarter, and ultimately the back half of the year, as risk prices remained resilient.

The Boards of HIS and BHY and BlackRock also discussed BlackRock’s strategy for improving the Funds’ performance and BlackRock’s commitment to providing the resources necessary to assist the Funds’ portfolio managers and to improve the Funds’ performance.

The Boards noted that BlackRock has recently made, and continues to make, changes to the organization of BlackRock’s overall portfolio management structure designed to result in strengthened leadership teams.

C.  Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Funds: Each Board, including the Independent Board Members, reviewed its Fund’s contractual management fee rate compared with the other funds in its Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Fund’s total net operating expense ratio, as well as actual management fee rate, to those of other funds in its Lipper category. The total net operating expense ratio and actual management fee rate both give effect to any expense reimbursements or fee waivers that benefit the funds. The Boards considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including institutional accounts.

The Boards received and reviewed statements relating to BlackRock’s financial condition. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRock’s profitability with respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2012 compared to available aggregate profitability data provided for the prior two years. The Boards reviewed BlackRock’s profitability with respect to certain other fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, comparing profitability is difficult.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Boards considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of the Funds and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRock’s methodology in allocating its costs to the management of the Funds. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Boards.

The Board of BHK noted that BHK’s contractual management fee rate ranked in the first quartile relative to BHK’s Expense Peers. After discussions between the Board, including the Independent Board Members, and BlackRock, the Board of BHK and BlackRock agreed to a continuation of the voluntary advisory fee reduction, which results in savings to shareholders, implemented on June 1, 2012.

ANNUAL REPORT AUGUST 31, 2013 155
 
  
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded) 

The Board of each of HYV and BKT noted that its respective Fund’s contractual management fee rate ranked in the first quartile relative to the Fund’s Expense Peers.

The Board of each of HYT and BHD noted that its respective Fund’s contractual management fee rate ranked in the second quartile relative to the Fund’s Expense Peers.

The Board of HIS noted that HIS’s contractual management fee rate ranked in the second quartile relative to HIS’s Expense Peers. The Board of HIS also noted that HIS has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of HIS increases above certain contractually specified levels.

The Board of BHY noted that BHY’s contractual management fee rate ranked in the third quartile relative to BHY’s Expense Peers.

The Board of BNA noted that BNA’s contractual management fee rate ranked in the third quartile relative to BNA’s Expense Peers. The Board of BNA also noted that BNA’s actual management fee rate ranked in the first quartile relative to BNA’s Expense Peers.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to participate in these economies of scale, for example through the use of breakpoints, and in the case of HIS, revised breakpoints, in the advisory fee based upon the asset level of the Fund.

Based on the Boards’ review and consideration of the issue, the Boards concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Boards noted that only one closed-end fund in the Fund Complex, HIS, has breakpoints in its advisory fee structure.

E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Funds, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including securities lending and cash management services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that they had considered the investment by BlackRock’s funds in exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds
to BlackRock.

In connection with its consideration of the Agreements, the Boards also received information regarding BlackRock’s brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Boards noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

The Boards also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included completion of the refinancing of auction rate preferred securities; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the refinancing efforts related to auction rate preferred securities; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund for a one-year term ending June 30, 2014, and the Sub-Advisory Agreement among the Manager, the Sub-Advisor, and its Fund for a one-year term ending June 30, 2014. Based upon its evaluation of all of the aforementioned factors in their totality, the Boards, including the Independent Board Members, were satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Funds and their shareholders. In arriving at their decision to approve the Agreements, the Boards did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making these determinations. The contractual fee arrangements for the Funds reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.  

156 ANNUAL REPORT AUGUST 31, 2013
 
  
Automatic Dividend Reinvestment Plans 

Pursuant to each Trust’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Trust’s shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Trusts declare a dividend or determine to make a capital gain distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trusts (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Trust’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.

Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan. However, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P.O. Box 43078, Providence, RI 02940-3078, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at 250 Royall Street, Canton, MA 02021.

ANNUAL REPORT AUGUST 31, 2013 157
 
  
Officers and Trustees  

Name, Address
and Year of Birth		          Position(s)
Held with
Trusts		      Length
of Time
Served as
a Trustee2		      Principal Occupation(s)
During Past Five Years		      Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen		      Public
Directorships
Independent Trustees1
Richard E. Cavanagh
55 East 52nd Street
New York, NY 10055
1946
      
Chairman of
the Board
and Trustee
   
Since
1994
   
Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.
   
94 RICs consisting of
90 Portfolios
   
None
Karen P. Robards
55 East 52nd Street
New York, NY 10055
1950
      
Vice Chairperson of the Board, Chairperson of the Audit Committee
and Trustee
   
Since
2007
   
Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc. (health care real estate investment trust) from 2007 to 2010; Investment Banker at Morgan Stanley from 1976 to 1987.
   
94 RICs consisting of
90 Portfolios
   
AtriCure, Inc.
(medical devices); Greenhill & Co., Inc.
Michael J. Castellano
55 East 52nd Street
New York, NY 10055
1946
      
Trustee and Member of the Audit Committee
   
Since
2011
   
Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) since 2009; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012.
   
94 RICs consisting of
90 Portfolios
   
None
Frank J. Fabozzi
55 East 52nd Street
New York, NY 10055
1948
      
Trustee and Member of the Audit Committee
   
Since
1988
   
Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006.
   
94 RICs consisting of
90 Portfolios
   
None
Kathleen F. Feldstein
55 East 52nd Street
New York, NY 10055
1941
      
Trustee
   
Since
2005
   
President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009.
   
94 RICs consisting of
90 Portfolios
   
The McClatchy
Company
(publishing)
James T. Flynn
55 East 52nd Street
New York, NY 10055
1939
      
Trustee and Member of the Audit Committee
   
Since
2007
   
Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995.
   
94 RICs consisting of
90 Portfolios
   
None
Jerrold B. Harris
55 East 52nd Street
New York, NY 10055
1942
      
Trustee
   
Since
2007
   
Trustee, Ursinus College since 2000; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.
   
94 RICs consisting of
90 Portfolios
   
BlackRock Kelso
Capital Corp.
(business develop-
ment company)
R. Glenn Hubbard
55 East 52nd Street
New York, NY 10055
1958
      
Trustee
   
Since
2004
   
Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.
   
94 RICs consisting of
90 Portfolios
   
ADP (data and information services); KKR Financial Corporation (finance); Metropolitan Life Insurance Company (insurance)
158 ANNUAL REPORT AUGUST 31, 2013
 
  
Officers and Trustees (continued)  
Name, Address
and Year of Birth		          Position(s)
Held with
Trusts		      Length
of Time
Served as
a Trustee2		      Principal Occupation(s)
During Past Five Years		      Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen		      Public
Directorships
Independent Trustees1 (concluded)
W. Carl Kester
55 East 52nd Street
New York, NY 10055
1951
      
Trustee and Member of the Audit Committee
   
Since
2007
   
George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.
   
94 RICs consisting of
90 Portfolios
   
None
 
         
1  Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 74. In 2013, the Board of Trustees unanimously approved further extending the mandatory retirement age for James T. Flynn by one additional year, which the Board believed would be in the best interest of shareholders. Mr. Flynn can serve until December 31, 2014, when he turns 75.
 
         
2  Date shown is the earliest date a person has served for the Trusts covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Trustees as joining the Trusts’ board in 2007, those Trustees first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998.
 
                                                                                                     
Interested Trustees3
Paul L. Audet
55 East 52nd Street
New York, NY 10055
1953
      
Trustee
   
Since
2011
   
Senior Managing Director of BlackRock and Head of U.S. Mutual Funds since 2011; Chair of the U.S. Mutual Funds Committee reporting to the Global Executive Committee since 2011; Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Operating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005.
   
155 RICs consisting of
282 Portfolios
   
None
Henry Gabbay
55 East 52nd Street
New York, NY 10055
1947
      
Trustee
   
Since
2007
   
Consultant, BlackRock from 2007 to 2008; Managing Director, BlackRock from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.
   
155 RICs consisting of
282 Portfolios
   
None
 
         
3  Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Trusts based on his position with BlackRock and its affiliates as well as his ownership of BlackRock securities. Mr. Gabbay is an “interested person” of the Trusts based on his former positions with BlackRock and its affiliates as well as his ownership of BlackRock and The PNC Financial Services Group, Inc. securities. Mr. Audet and Mr. Gabbay are also Directors of two complexes of BlackRock registered open-end funds, the BlackRock Equity-Liquidity Complex and the BlackRock Equity-Bond Complex. Trustees of the BlackRock Closed-End Complex serve until their resignation, removal or death, or until December 31 of the year in which they turn 74. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon finding a good cause thereof.
ANNUAL REPORT AUGUST 31, 2013 159
 
  
Officers and Trustees (concluded)  

Name, Address
and Year of Birth		          Position(s)
Held with
Trusts		      Length of
Time Served		      Principal Occupation(s) During Past Five Years
Officers1
John M. Perlowski
55 East 52nd Street
New York, NY 10055
1964
      
President and Chief Executive Officer
   
Since
2011
   
Managing Director of BlackRock since 2009; Global Head of BlackRock Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Anne Ackerley
55 East 52nd Street
New York, NY 10055
1962
      
Vice
President
   
Since
20072
   
Managing Director of BlackRock since 2000; Chief Marketing Officer of BlackRock since 2012; President and Chief Executive Officer of the BlackRock-advised funds from 2009 to 2011; Vice President of the BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of BlackRock’s Global Client Group from 2009 to 2012; Chief Operating Officer of BlackRock’s U.S. Retail Group from 2006 to 2009; Head of BlackRock’s Mutual Fund Group from 2000 to 2006.
Brendan Kyne
55 East 52nd Street
New York, NY 10055
1977
      
Vice
President
   
Since
2009
   
Managing Director of BlackRock since 2010; Director of BlackRock from 2008 to 2009; Head of Product Development and Management for BlackRock’s U.S. Retail Group since 2009 and Co-head thereof from 2007 to 2009; Vice President of BlackRock from 2005 to 2008.
Robert W. Crothers
55 East 52nd Street
New York, NY 10055
1981
      
Vice
President
   
Since
2012
   
Director of BlackRock since 2011; Vice President of BlackRock from 2008 to 2010; Associate of BlackRock from 2006 to 2007.
Neal Andrews
55 East 52nd Street
New York, NY 10055
1966
      
Chief
Financial
Officer
   
Since
2007
   
Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife
55 East 52nd Street
New York, NY 10055
1970
      
Treasurer
   
Since
2007
   
Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Brian Kindelan
55 East 52nd Street
New York, NY 10055
1959
      
Chief Compliance Officer and
Anti-Money Laundering Officer
   
Since
2007
   
Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of BlackRock since 2005.
Janey Ahn
55 East 52nd Street
New York, NY 10055
1975
      
Secretary
   
Since
2012
   
Director of BlackRock since 2009; Vice President of BlackRock from 2008 to 2009; Assistant Secretary of the Funds from 2008 to 2012; Associate at Willkie Farr & Gallagher LLP from 2006 to 2008.
 
         
1  Officers of the Trusts serve at the pleasure of the Boards.
 
         
2  Ms. Ackerley was President and Chief Executive Officer from 2009 to 2011. Effective September 13, 2013, Ms. Ackerley resigned as Vice President of the Trusts.

Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809

Sub-Advisor
BlackRock Financial
Management, Inc.
New York, NY 10055
      
Custodian and Accounting Agent
State Street Bank and Trust Company
Boston, MA 02110

Transfer Agent
Computershare Trust Company, N.A.
Canton, MA 02021
   
Independent Registered
Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116

Legal Counsel
Skadden, Arps, Slate,
Meagher & Flom LLP
New York, NY 10036
   
Address of the Trusts
100 Bellevue Parkway
Wilmington, DE 19809
160 ANNUAL REPORT AUGUST 31, 2013
 
  
Additional Information  

Proxy Results

The Annual Meeting of Shareholders was held on July 30, 2013 for shareholders of record on June 3, 2013 to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Approved the Class III Trustees as follows:

       Richard E. Cavanagh
     Kathleen F. Feldstein
     Henry Gabbay
   
 Votes For
    
 Votes
Withheld
    
 Abstain
    
 Votes For
    
 Votes
Withheld
    
 Abstain
    
 Votes For
    
 Votes
Withheld
    
 Abstain
BHK
        17,964,762            413,764            0             17,897,472            481,054            0             17,963,646            414,880            0    
HIS
        35,096,386            1,787,875            0             34,873,496            2,010,765            0             35,077,228            1,807,033            0    
BHY
        5,246,762            172,454            0             5,211,806            207,410            0             5,248,330            170,886            0    
BNA
        23,626,712            485,727            0             23,603,031            509,407            0             23,592,889            519,550            0    
BKT
        46,740,082            664,444            0             46,648,735            755,791            0             46,691,729            712,796            0    
BHD
        5,191,228            109,901            0             5,155,121            146,008            0             5,182,639            118,490            0    
 
Jerrold B. Harris
Votes For
    
 Votes
Withheld
    
 Abstain
BHK
      17,916,521            462,005            0    
HIS
      34,884,046            2,000,215            0    
BHY
      5,235,421            183,795            0    
BNA
      23,627,758            484,680            0    
BKT
      46,677,031            727,495            0    
BHD
      5,167,658            133,471            0    

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Paul L. Audet, Michael J. Castellano, Frank J. Fabozzi, James T. Flynn, R. Glenn Hubbard, W. Carl Kester and Karen P. Robards.

Approved the Trustees as follows:

           Paul L. Audet
     Michael J. Castellano
     Richard E. Cavanagh
   
 Votes For
    
 Votes
Withheld
    
 Abstain
    
 Votes For
    
 Votes
Withheld
    
 Abstain
    
 Votes For
    
 Votes
Withheld
    
 Abstain
HYV
            23,174,718            270,043            0             23,177,430            267,331            0             23,174,655            270,106            0    
HYT
            24,320,024            402,306            0             24,287,125            435,205            0             24,303,405            418,925            0    
 
           Frank J. Fabozzi
     Kathleen F. Feldstein
     James T. Flynn
   
 Votes For
    
 Votes
Withheld
    
 Abstain
    
 Votes For
    
 Votes
Withheld
    
 Abstain
    
 Votes For
    
 Votes
Withheld
    
 Abstain
HYV
            23,172,820            271,941            0             23,105,437            339,324            0             23,131,217            313,544            0    
HYT
            24,276,968            445,362            0             24,305,648            416,682            0             24,305,523            416,807            0    
 
           Henry Gabbay
     Jerrold B. Harris
     R. Glenn Hubbard
   
 Votes For
    
 Votes
Withheld
    
 Abstain
    
 Votes For
    
 Votes
Withheld
    
 Abstain
    
 Votes For
    
 Votes
Withheld
    
 Abstain
HYV
            23,171,394            273,367            0             23,147,139            297,622            0             23,117,077            327,684            0    
HYT
            24,315,641            406,689            0             24,224,584            497,746            0             24,212,651            509,679            0    
 
         W. Carl Kester
     Karen P. Robards
   
 Votes For
    
 Votes
Withheld
    
 Abstain
    
 Votes For
    
 Votes
Withheld
    
 Abstain
HYV
            23,169,106            275,655            0             23,128,305            316,456            0    
HYT
            24,254,317            468,013            0             24,332,785            399,545            0    
 

Trust Certification

Certain 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 their chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

ANNUAL REPORT AUGUST 31, 2013 161
 
  
Additional Information (continued)  
 

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 dividends paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The portion of dividend distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return on capital. Dividend 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.

Regulation Regarding Derivatives

Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to registered investment companies to regulation by the CFTC if a fund invests more than a prescribed level of its net assets in CFTC-regulated futures, options and swaps (“CFTC Derivatives”), or if a fund markets itself as providing investment exposure to such instruments. Due to BHK, BNA and BKT’s potential use of CFTC-regulated futures, options and swaps above the prescribed levels, it will be considered a “commodity pool” under the CEA. Accordingly, BlackRock Advisors, LLC will be required to register as a “commodity pool operator” and will be subject CFTC regulation.

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charter or by-laws that would delay or prevent a change of control of the Trusts that were not approved by shareholders or in the principal risk factors associated with investment in the Trusts. 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 web-site is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Electronic copies of most financial reports are available on the Trusts’ web-site or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Trusts’ electronic delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 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, DC. 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.

162 ANNUAL REPORT AUGUST 31, 2013
 
  
Additional Information (concluded)  
 

General Information (concluded)

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 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 periodically check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Section 19(a) Notices

These amounts and sources of distributions reported are only estimates provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the year and may be subject to changes based on the tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax purposes.

August 31, 2013
     Total Cumulative
Distributions for the Fiscal Year-to-Date
    % Breakdown of the Total Cumulative
Distributions for the Fiscal Year-to-Date
   
Net
Investment
Income
   
Net
Realized
Capital
Gains
   
Return
of
Capital
   
Total Per
Common
Share
   
Net
Investment
Income
   
Net
Realized
Capital
Gains
   
Return
of
Capital
   
Total Per
Common
Share
BKT
   $0.450769    —    $0.028231    $0.479000    94%    0%    6%    100%

The Trust estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Trust is returned to the shareholder. A return of capital does not necessarily reflect the Trust’s investment performance and should not be confused with ‘yield’ or ‘income.’ When distributions exceed total return performance, the difference will incrementally reduce the Trust’s net asset value per share.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

ANNUAL REPORT AUGUST 31, 2013 163
 
  

This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

CEF-1-8-8/13-AR
 
  

Item 2 –  Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.

Item 3 –  Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Michael Castellano

Frank J. Fabozzi
James T. Flynn
W. Carl Kester
Karen P. Robards

 

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

 

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

2
 

Item 4 – Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

  (a) Audit Fees (b) Audit-Related Fees1 (c) Tax Fees2 (d) All Other Fees3
Entity Name Current
Fiscal Year
End		 Previous Fiscal Year End Current Fiscal Year End Previous Fiscal Year End Current Fiscal Year End Previous Fiscal Year End Current Fiscal Year End Previous Fiscal Year End
BlackRock Core Bond Trust $66,063 $65,800 $0 $0 $14,600 $14,600 $0 $0

 

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

 

  Current Fiscal Year End Previous Fiscal Year End
(b) Audit-Related Fees1 $0 $0
(c) Tax Fees2 $0 $0
(d) All Other Fees3 $2,865,000 $2,970,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

2 The nature of the services includes tax compliance, tax advice and tax planning.

3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

 

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved

3
 

subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:

Entity Name Current Fiscal Year End Previous Fiscal Year End
BlackRock Core Bond Trust $14,600 $14,600

 

Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,865,000 and $2,970,000, respectively, were billed by D&T to the Investment Adviser.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

Item 5 – Audit Committee of Listed Registrants

(a)The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Michael Castellano

Frank J. Fabozzi
James T. Flynn
W. Carl Kester
Karen P. Robards

 

(b)Not Applicable

Item 6 – Investments
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

4
 

Item 7 –  Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – as of August 31, 2013.

(a)(1) The registrant is managed by a team of investment professionals comprised of Tom Musmanno, Managing Director at BlackRock, and James E. Keenan, Managing Director at BlackRock. Messrs. Musmanno and Keenan are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Mr. Musmanno has been a member of the Fund’s portfolio management team since 2012. Mr. Keenan has been a member of the Fund’s portfolio management team since 2007.

Portfolio Manager Biography
Tom Musmanno Managing Director of BlackRock since 2010; Director of BlackRock from 2006 to 2009.
James E. Keenan Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007; Vice President of BlackRock from 2004 to 2005.

 

(a)(2)As of August 31, 2012:

 

 

(ii) Number of Other Accounts Managed

and Assets by Account Type

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

Other

Registered

Investment

Companies

Other Pooled

Investment

Vehicles

Other

Accounts

Other

Registered

Investment

Companies

Other Pooled

Investment

Vehicles

Other

Accounts
Tom Musmanno 10 10 184 0 $0 1
  $6.1 Billion $1.65 Billion $46.85 Billion $0 $0 $.58 Million
James E. Keenan 20 22 24 0 7 4
  $17.19 Billion 10.85 Billion $6.84 Billion $0 $1.21 Billion $578.7 Million
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(iv)     Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund.  In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund.  BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities.  Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information.  Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund.  It should also be noted that Messrs. Keenan and Musmanno may be managing certain hedge fund and/or long only accounts, or may be part of a team managing certain hedge fund and/or long only accounts, subject to incentive fees. Messrs. Keenan and Musmanno may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

 

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly.  When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties.  BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment.  To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

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(a)(3) As of August 31, 2013:

Portfolio Manager Compensation Overview

 

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

 

Base Compensation.

 

Generally, portfolio managers receive base compensation based on their position with BlackRock, Inc.

 

Discretionary Incentive Compensation.

 

Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock.  In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Fund or other accounts managed by the portfolio managers are measured.  Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the funds and other accounts managed by each portfolio manager relative to the various benchmarks.  Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:

 

Portfolio Manager Benchmark
James E. Keenan A combination of market-based indices (e.g., The Barclays Capital U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups.
Tom Musmanno A combination of market-based indices (e.g., Bank of America Merrill Lynch U.S. Corporate & Government Index, 1-3 Years), certain customized indices and certain fund industry peer groups.

 

Distribution of Discretionary Incentive Compensation

 

Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in BlackRock stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Providing

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a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.

 

Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance.  Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. Messrs. Keenan and Musmanno have unvested long-term incentive awards.

 

Deferred Compensation Program — A portion of the compensation paid to eligible United States-based BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. Any portfolio manager who is either a managing director or director at BlackRock is eligible to participate in the deferred compensation program.

 

Other Compensation Benefits. In addition to base compensation and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

 

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($255,000 for 2013).  The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65.  The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date.  Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date.  All of the eligible portfolio managers are eligible to participate in these plans.

 

(a)(4) Beneficial Ownership of Securities – As of August 31, 2013.

Portfolio Manager Dollar Range of Equity Securities of the Fund Beneficially Owned
Tom Musmanno None
James E. Keenan None

 

(b) Not Applicable

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Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

Item 10 – Submission of Matters to a Vote of Security Holders – 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 – See Item 2

(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: November 4, 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: November 4, 2013

 

By:     /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Core Bond Trust

 

Date: November 4, 2013

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