UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSRS

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number 811-05542

 

Name of Fund: BlackRock Income Trust, Inc. (BKT)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: Anne F. Ackerley, Chief Executive Officer, BlackRock Income Trust, Inc., 55 East 52nd Street, New York, NY 10055.

 

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

 

Date of fiscal year end: 08/31/2010

 

Date of reporting period: 02/28/2010

 

Item 1 – Report to Stockholders


 

 

Semi-Annual Report

(BLACKROCK LOGO)

 

 

 

 

FEBRUARY 28, 2010 | (UNAUDITED)

 


 

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

Semi-Annual Report:

 

 

Trust Summaries

 

4

The Benefits and Risks of Leveraging

 

12

Derivative Financial Instruments

 

12

Financial Statements:

 

 

Schedules of Investments

 

13

Statements of Assets and Liabilities

 

76

Statements of Operations

 

80

Statements of Changes in Net Assets

 

82

Statements of Cash Flows

 

84

Financial Highlights

 

85

Notes to Financial Statements

 

93

Officers and Trustees

 

105

Additional Information

 

106


 

 

 




2

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 


 

Dear Shareholder

The past year marked a pivotal turning point for global markets as the Great Recession that started in December 2007 began to recede and give way to recovery. The dramatic about-face could be attributed to a confluence of factors, most notably the extraordinary policy actions of global governments and central banks, a resurgence in corporate profits and growing signs of stability and healing in world economies.

After reaching a trough in early March 2009, stocks galloped higher as investors were lured back into the markets by depressed valuations, desire for higher yields and increasing confidence that all-out financial disaster had been averted. The result was a powerful upswing in global equities and other higher-risk assets through the end of 2009. More recently, the combination of mixed economic data, lingering deflation issues (especially in Europe) and proposed fees and levies on banks dampened investor conviction, resulting in a several-week bout of profit-taking. The selloff had a more pronounced negative effect on international and emerging market equities due primarily to concerns of higher interest rates in Asia and negative headlines out of Europe, particularly in Greece.

Generally speaking, investors’ renewed affinity for risk was notable in the fixed income markets as well, where non-Treasury assets made a robust recovery. One of the major themes in 2009 was the reversal of the flight-to-quality trade. High yield, one of the most battered areas during the financial crisis, emerged as the strongest-performing fixed income sector in both the taxable and tax-exempt space. Despite weak fundamentals, the municipal market produced solid returns as technical conditions remained supportive of the asset class. Municipal bond mutual funds enjoyed strong inflows and tax-exempt issuance remained low thanks to the ever-increasing popularity of the Build America Bond program. Nevertheless, state and local fiscal woes and bankruptcy fears remain firmly in the spotlight, and bear close monitoring.

At the same time, yields on money market securities declined throughout the reporting period and remain near all-time lows, with the Federal Open Market Committee reiterating that economic circumstances are likely to necessitate an accommodative interest rate stance for an “extended period.” Investor assets in money market funds declined from the peak registered in early 2009, but remain above levels registered prior to the financial crisis that began in 2007.

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

 

 

 

 

 

 

 

 

Total Returns as of February 28, 2010

 

6-month

 

12-month

 







US equities (S&P 500 Index)

 

9.32

%

 

53.62

%

 









Small cap US equities (Russell 2000 Index)

 

10.59

 

 

63.95

 

 









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

 

0.72

 

 

54.58

 

 









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

 

0.07

 

 

0.20

 

 









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

 

0.07

 

 

(1.54

)

 









Taxable fixed income (Barclays Capital US Aggregate Bond Index)

 

3.19

 

 

9.32

 

 









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

 

4.13

 

 

9.98

 

 









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

 

13.86

 

 

55.20

 

 









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

The market continues to show signs of improvement, but questions about the strength and sustainability of the recovery abound. Through periods of uncertainty, as ever, BlackRock’s full resources are dedicated to the management of our clients’ assets. For additional market perspective and investment insight, visit www.blackrock.com/shareholdermagazine, where you’ll find the most recent issue of our award-winning Shareholder® magazine, as well as its quarterly companion newsletter, Shareholder Perspectives. As always, we thank you for entrusting BlackRock with your investments, and we look forward to your continued partnership in the months and years ahead.

Sincerely,

-s- Rob Kapito

Rob Kapito
President, BlackRock Advisors, LLC

 

 

 




 

THIS PAGE NOT PART OF YOUR FUND REPORT

3



 

 


 

 

Trust Summary as of February 28, 2010

BlackRock Core Bond Trust


 


Investment Objective


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

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

 


Performance


For the six months ended February 28, 2010, the Trust returned 6.72% based on market price and 8.73% based on net asset value (“NAV”). For the same period, the closed-end Lipper Corporate Debt Funds BBB-Rated category posted an average return of 9.51% on a market price basis and 8.82% on a NAV basis. 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 Trust’s longer duration relative to its peers detracted from performance as rates rose during the period. On the positive side, the Trust benefited from its overweight in high yield corporates, which outperformed investment-grade credit as risk assets rebounded sharply over the six months. An out-of-index allocation to securitized sectors, including commercial mortgage-backed securities, non-agency mortgage-backed securities (“MBS”), asset-backed securities and agency MBS, aided performance as well.

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

 


Trust Information



 

 

Symbol on New York Stock Exchange (“NYSE”)

BHK

Initial Offering Date

November 27, 2001

Yield on Closing Market Price as of February 28, 2010 ($12.17)1

6.11%

Current Monthly Distribution per Common Share2

$0.062

Current Annualized Distribution per Common Share2

$0.744

Leverage as of February 28, 20103

31%




 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

2

A change in the distribution rate was declared on March 1, 2010. The Monthly Distribution per Share was increased to $0.067. The Yield on Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

 

3

Represents reverse repurchase agreements and the loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/10

 

8/31/09

 

Change

 

High

 

Low

 


















Market Price

 

$

12.17

 

$

11.98

 

 

1.59

%

$

12.54

 

$

11.50

 

Net Asset Value

 

$

13.00

 

$

12.56

 

 

3.50

%

$

13.12

 

$

12.48

 


















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

 


Portfolio Composition



 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







Corporate Bonds

 

46

%

 

42

%

 

U.S. Government Sponsored
Agency Securities

 

20

 

 

20

 

 

U.S. Treasury Obligations

 

13

 

 

12

 

 

Non-Agency Mortgage-Backed
Securities

 

11

 

 

17

 

 

Asset-Backed Securities

 

5

 

 

4

 

 

Foreign Agency Obligations

 

2

 

 

2

 

 

Taxable Municipal Bonds

 

2

 

 

2

 

 

Preferred Securities

 

1

 

 

1

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







AAA/Aaa5

 

41

%

 

43

%

 

AA/Aa

 

10

 

 

9

 

 

A

 

14

 

 

17

 

 

BBB/Baa

 

10

 

 

12

 

 

BB/Ba

 

10

 

 

8

 

 

B

 

11

 

 

5

 

 

CCC/Caa

 

3

 

 

5

 

 

Not Rated

 

1

 

 

1

 

 










 

 

4

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

 

 

5

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


 

 

 




4

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

Trust Summary as of February 28, 2010

BlackRock Corporate High Yield Fund V, Inc.


 


Investment Objective


BlackRock Corporate High Yield Fund V, Inc. (HYV) (the “Trust”) seeks to provide shareholders with current income by investing primarily in a diversified portfolio of fixed income securities that are rated in the lower rating categories of the established rating services (Ba or lower by Moody’s or BB or lower by S&P’s) or are unrated securities of comparable quality.

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

 


Performance


For the six months ended February 28, 2010, the Trust returned 21.19% based on market price and 21.73% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 21.84% on a market price basis and 18.08% on a NAV basis. 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. During the period, we found particularly good value in the automotive segment, which represented the Trust’s largest sector overweight. As a group, automotive holdings performed quite well and, thus, were key contributors to performance. In addition, investments in select special situations or distressed credits (including several in the automotive sector) enhanced results. On a credit basis, the Trust’s underweight position in BB credits and overweight in the lower-quality ratings and nonrated credits were additive. On the other hand, the Trust maintained relatively low levels of leverage (at period end, 23% of the Trust’s total managed assets), which detracted from performance versus the Lipper competitors, who maintained leverage closer to the 33⅓% regulatory limit. The Trust also held a roughly 14% position in floating rate loan interests. On balance, the position hindered performance as the sector underperformed high yield during the period, but security selection was favorable.

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

 


Trust Information



 

 

Symbol on NYSE

HYV

Initial Offering Date

November 30, 2001

Yield on Closing Market Price as of February 28, 2010 ($10.74)1

9.78%

Current Monthly Distribution per Common Share2

$0.0875

Current Annualized Distribution per Common Share2

$1.0500

Leverage as of February 28, 20103

23%




 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

2

A change in the distribution rate was declared on March 1, 2010. The Monthly Distribution per Share was decreased to $0.0825. The Yield on Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/10

 

8/31/09

 

Change

 

High

 

Low

 













Market Price

 

$

10.74

 

$

9.32

 

 

15.24

%

$

10.87

 

$

9.21

 

Net Asset Value

 

$

11.24

 

$

9.71

 

 

15.76

%

$

11.36

 

$

9.69

 


















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

 


Portfolio Composition



 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







Corporate Bonds

 

80

%

 

81

%

 

Floating Rate Loan Interests

 

14

 

 

17

 

 

Common Stocks

 

3

 

 

2

 

 

Other Interests

 

2

 

 

 

 

Preferred Securities

 

1

 

 

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







AA/Aa

 

 

 

1

%

 

BBB/Baa

 

3

%

 

5

 

 

BB/Ba

 

29

 

 

31

 

 

B

 

47

 

 

37

 

 

CCC/Caa

 

12

 

 

20

 

 

CC/Ca

 

 

 

3

 

 

D

 

1

 

 

1

 

 

Not Rated

 

8

 

 

2

 

 










 

 

4

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


 

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

5




 

 


 

 

Trust Summary as of February 28, 2010

BlackRock Corporate High Yield Fund VI, Inc.


 


Investment Objective


BlackRock Corporate High Yield Fund VI, Inc. (HYT) (the “Trust”) seeks to provide shareholders with current income by investing primarily in a diversified portfolio of fixed income securities that are rated in the lower rating categories of the established rating services (Ba or lower by Moody’s or BB or lower by S&P’s) or are unrated securities of comparable quality.

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

 


Performance


For the six months ended February 28, 2010, the Trust returned 18.45% based on market price and 20.12% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 21.84% on a market price basis and 18.08% on a NAV basis. 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. During the period, we found particularly good value in the automotive segment, which represented the Trust’s largest sector overweight. As a group, automotive holdings performed quite well and, thus, were key contributors to performance. In addition, investments in select special situations or distressed credits (including several in the automotive sector) enhanced results. On a credit basis, the Trust’s underweight position in BB credits and overweight in the lower-quality ratings and nonrated credits were additive. On the other hand, the Trust maintained relatively low levels of leverage (at period end, 21% of the Trust’s total managed assets), which detracted from performance versus the Lipper competitors, who maintained leverage closer to the 33⅓% regulatory limit. The Trust also held a roughly 14% position in floating rate loan interests. On balance, the position hindered performance as the sector underperformed high yield during the period, but security selection was favorable.

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

 


Trust Information



 

 

Symbol on NYSE

HYT

Initial Offering Date

May 30, 2003

Yield on Closing Market Price as of February 28, 2010 ($10.67)1

9.84%

Current Monthly Distribution per Common Share2

$0.0875

Current Annualized Distribution per Common Share2

$1.0500

Leverage as of February 28, 20103

21%




 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

2

A change in the distribution rate was declared on March 1, 2010. The Monthly Distribution per Share was decreased to $0.0825. The Yield on Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/10

 

8/31/09

 

Change

 

High

 

Low

 


















Market Price

 

$

10.67

 

$

9.47

 

 

12.67

%

$

11.04

 

$

9.24

 

Net Asset Value

 

$

11.06

 

$

9.68

 

 

14.26

%

$

11.19

 

$

9.66

 


















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

 


Portfolio Composition



 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







Corporate Bonds

 

82

%

 

82

%

 

Floating Rate Loan Interests

 

14

 

 

16

 

 

Common Stocks

 

3

 

 

2

 

 

Other Interests

 

1

 

 

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 








A

 

 

 

1

%

 

BBB/Baa

 

3

%

 

5

 

 

BB/Ba

 

30

 

 

27

 

 

B

 

48

 

 

41

 

 

CCC/Caa

 

12

 

 

25

 

 

Not Rated

 

7

 

 

1

 

 










 

 

4

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


 

 

 




6

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010



 

 


 

 

Trust Summary as of February 28, 2010

BlackRock High Income Shares


 


Investment Objective


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

 

 

 

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


 


Performance


For the six months ended February 28, 2010, the Trust returned 20.10% based on market price and 20.93% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 21.84% on a market price basis and 18.08% on a NAV basis. 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. During the period, we found particularly good value in the automotive segment, which represented the Trust’s largest sector overweight. As a group, automotive holdings performed quite well and, thus, were key contributors to performance. In addition, investments in select special situations or distressed credits (including several in the automotive sector) enhanced results. On a credit basis, the Trust’s underweight position in BB credits and overweight in the lower-quality ratings and nonrated credits were additive. On the other hand, the Trust maintained leverage in the high-teen range (at period end, 18% of the Trust’s total managed assets), which detracted from performance versus the Lipper competitors, who maintained leverage closer to the 33⅓% regulatory limit. The Trust also held a roughly 13% position in floating rate loan interests. On balance, the position hindered performance as the sector underperformed high yield during the period, but security selection was favorable.

 

 

 

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


 


Trust Information



 

 

 

 

 

Symbol on NYSE

 

 

HIS

 

Initial Offering Date

 

 

August 10, 1988

 

Yield on Closing Market Price as of February 28, 2010 ($1.93)1

 

 

8.21%

 

Current Monthly Distribution per Common Share2

 

 

$0.0132

 

Current Annualized Distribution per Common Share2

 

 

$0.1584

 

Leverage as of February 28, 20103

 

 

18%

 







 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

A change in the distribution rate was declared on March 1, 2010. The Monthly Distribution per Share was increased to $0.0142. The Yield on Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/10

 

8/31/09

 

Change

 

High

 

Low

 













Market Price

 

$

1.93

 

$

1.68

 

14.88

%

 

$

1.94

 

$

1.65

 

Net Asset Value

 

$

2.14

 

$

1.85

 

15.68

%

 

$

2.15

 

$

1.85

 


















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

 


Portfolio Composition



 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







Corporate Bonds

 

85

%

 

85

%

 

Floating Rate Loan Interests

 

13

 

 

13

 

 

Preferred Securities

 

1

 

 

1

 

 

Common Stocks

 

1

 

 

1

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







BBB/Baa

 

3

%

 

4

%

 

BB/Ba

 

46

 

 

33

 

 

B

 

30

 

 

32

 

 

CCC/Caa

 

13

 

 

24

 

 

CC/Ca

 

 

 

2

 

 

D

 

1

 

 

1

 

 

Not Rated

 

7

 

 

4

 

 










 

 

4

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


 

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

7




 

 



 

 

Trust Summary as of February 28, 2010

BlackRock High Yield Trust


 


Investment Objective


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

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

 


Performance


For the six months ended February 28, 2010, the Trust returned 11.31% based on market price and 18.78% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 21.84% on a market price basis and 18.08% on a NAV basis. 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. During the period, we found particularly good value in the automotive segment, which represented the Trust’s largest sector overweight. As a group, automotive holdings performed quite well and, thus, were key contributors to performance. In addition, investments in select special situations or distressed credits (including several in the automotive sector) enhanced results. On a credit basis, the Trust’s underweight position in BB credits and overweight in the lower-quality ratings and nonrated credits were additive. On the other hand, the Trust maintained leverage in the mid- to high-teen range (at period end, 18% of the Trust’s total managed assets), which detracted from performance versus the Lipper competitors, who maintained leverage closer to the 33⅓% regulatory limit. The Trust also held a roughly 12% position in floating rate loan interests. On balance, the position hindered performance as the sector underperformed high yield during the period, but security selection was favorable. The Trust’s cash position was about 6% at period end. Cash positions negatively affected the Trust during a period of high returns for the high yield market.

 

 

 

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

 

 


Trust Information



 

 

Symbol on NYSE

BHY

Initial Offering Date

December 23, 1998

Yield on Closing Market Price as of February 28, 2010 ($6.23)1

8.38%

Current Monthly Distribution per Common Share2

$0.0435

Current Annualized Distribution per Common Share2

$0.5220

Leverage as of February 28, 20103

18%




 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

The distribution is not constant and is subject to change.

 

 

 

 

3

Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/10

 

8/31/09

 

Change

 

High

 

Low

 













Market Price

 

$

6.23

 

$

5.84

 

6.68

%

 

$

6.35

 

$

5.58

 

Net Asset Value

 

$

6.58

 

$

5.78

 

13.84

%

 

$

6.65

 

$

5.77

 


















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

 

 

 

 

 

 

 

 









Portfolio Composition

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







Corporate Bonds

 

85

%

 

86

%

 

Floating Rate Loan Interests

 

12

 

 

13

 

 

Other Interests

 

2

 

 

 

 

Common Stocks

 

1

 

 

1

 

 









 

 

 

 

 

 

 

 









Credit Quality Allocations4

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







BBB/Baa

 

2

%

 

4

%

 

BB/Ba

 

33

 

 

38

 

 

B

 

43

 

 

29

 

 

CCC/Caa

 

14

 

 

24

 

 

CC/Ca

 

 

 

1

 

 

D

 

 

 

1

 

 

Not Rated

 

8

 

 

3

 

 









 

 

 

 

4

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


 

 

 


8

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

 

Trust Summary as of February 28, 2010

BlackRock Income Opportunity Trust, Inc.


 


Investment Objective


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

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

 


Performance


For the six months ended February 28, 2010, the Trust returned 4.61% based on market price and 6.52% based on NAV. For the same period, the closed-end Lipper Corporate Debt Funds BBB-Rated category posted an average return of 9.51% on a market price basis and 8.82% on a NAV basis. 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 Trust’s underweight in high yield corporates hindered performance during the period, as these securities outperformed investment-grade credit amid a sharp rebound in risk assets. The Trust’s longer duration relative to its peers also detracted from results as rates rose. On the positive side, the Trust benefited from an out-of-index allocation to securitized sectors, including commercial mortgage-backed securities, non-agency MBS, asset-backed securities and agency MBS. In addition, the Trust benefited from its curve positioning as the curve steepened over the six months.

 

 

 

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

 

 


Trust Information



 

 

Symbol on NYSE

BNA

Initial Offering Date

December 20, 1991

Yield on Closing Market Price as of February 28, 2010 ($9.60)1

6.38%

Current Monthly Distribution per Common Share2

$0.051

Current Annualized Distribution per Common Share2

$0.612

Leverage as of February 28, 20103

28%




 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

The distribution is not constant and is subject to change.

 

 

 

 

3

Represents reverse repurchase agreements and the loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/10

 

8/31/09

 

Change

 

High

 

Low

 


















Market Price

 

$

9.60

 

$

9.65

 

(0.52

)%

 

$

10.10

 

$

9.10

 

Net Asset Value

 

$

10.15

 

$

10.02

 

1.30

%

 

$

10.36

 

$

9.79

 


















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

 

 

 

 

 

 

 

 









Portfolio Composition

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







Corporate Bonds

 

34

%

 

36

%

 

U.S. Government Sponsored Agency Securities

 

30

 

 

21

 

 

U.S. Treasury Obligations

 

15

 

 

14

 

 

Non-Agency Mortgage-Backed Securities

 

13

 

 

19

 

 

Asset-Backed Securities

 

4

 

 

4

 

 

Foreign Agency Obligations

 

2

 

 

2

 

 

Taxable Municipal Bonds

 

1

 

 

2

 

 

Preferred Securities

 

1

 

 

2

 

 









 

 

 

 

 

 

 

 









Credit Quality Allocations4

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







AAA/Aaa5

 

57

%

 

43

%

 

Aa/Aa

 

9

 

 

9

 

 

A

 

14

 

 

17

 

 

BBB/Baa

 

11

 

 

12

 

 

BB/Ba

 

3

 

 

8

 

 

B

 

5

 

 

5

 

 

CCC/Caa

 

1

 

 

5

 

 

Not Rated

 

 

 

1

 

 










 

 

 

 

4

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

 

 

 

 

5

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


 

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

9




 

 



 

 

Trust Summary as of February 28, 2010

BlackRock Income Trust, Inc.


 


Investment Objective


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

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

 


Performance


For the six months ended February 28, 2010, the Trust returned 2.26% based on market price and 5.42% based on NAV. For the same period, the closed-end Lipper US Mortgage Funds category posted an average return of 14.10% on a market price basis and 9.15% on a NAV basis. 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 Trust’s underweight in agency MBS, in favor of US Treasuries and agency debt, detracted from performance as spread sectors continued to rally during the second half of 2009. On the positive side, the Trust benefited from out-of-index allocations to non-agency MBS and commercial MBS, which outperformed agency MBS for the period as risk assets continued to rally due to continued government support and improving economic indicators. In addition, the Trust benefited from security selection focusing on current coupon MBS, which rallied due to the Federal Reserve’s reduction in supply through the agency MBS purchase program. The Trust’s cash position (45% at period end) serves primarily to back our forward positions held in mortgage TBA (“To Be Announced”) contracts and, therefore, did not have a material impact on performance.

 

 

 

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

 

 


Trust Information



 

 

Symbol on NYSE

BKT

Initial Offering Date

July 22, 1988

Yield on Closing Market Price as of February 28, 2010 ($6.53)1

4.41%

Current Monthly Distribution per Common Share2

$0.024

Current Annualized Distribution per Common Share2

$0.288

Leverage as of February 28, 20103

2%




 

 

 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

 

 

2

The distribution is not constant and is subject to change.

 

 

 

 

3

Represents the loan outstanding as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see the Benefits and Risks of Leveraging on page 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/10

 

8/31/09

 

Change

 

High

 

Low

 


















Market Price

 

$

6.53

 

$

6.53

 

0.00

%

 

$

6.64

 

$

6.23

 

Net Asset Value

 

$

7.34

 

$

7.12

 

3.09

%

 

$

7.38

 

$

7.12

 


















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

 

 

 

 

 

 

 

 









Portfolio Composition

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







U.S. Government Sponsored Agency Securities

 

87

%

 

83

%

 

Non-Agency Mortgage-Backed Securities

 

6

 

 

9

 

 

U.S. Treasury Obligations

 

5

 

 

6

 

 

Asset-Backed Securities

 

2

 

 

2

 

 









 

 

 

 

 

 

 

 









Credit Quality Allocations4

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







AAA/Aaa5

 

100

%

 

100

%

 










 

 

 

 

4

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

 

 

 

 

5

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


 

 

 


10

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Trust Summary as of February 28, 2010

BlackRock Strategic Bond Trust


 


Investment Objective


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

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

 


Performance


For the six months ended February 28, 2010, the Trust returned 11.96% based on market price and 12.44% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) posted an average return of 21.84% on a market price basis and 18.08% on a NAV basis. 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. Positioning in the high yield portion of the portfolio was a plus during the period. We found particularly good value in the automotive segment, which represented the Trust’s largest sector overweight. As a group, automotive holdings performed quite well and, thus, were key contributors to performance. In addition, investments in select special situations or distressed credits (including several in the automotive sector) enhanced results. On a credit basis, the Trust’s underweight position in BB credits and overweight in the lower-quality ratings and nonrated credits were additive. A lower allocation to corporates, in favor of bank loans, was advantageous as well. On the other hand, the Trust’s allocation to investment-grade credit detracted from relative performance during a period in which high yield outperformed. (Most of the funds in the Lipper category invest primarily in high yield.) The Trust’s relatively low levels of leverage (at period end, 6% of the Trust’s total managed assets) also detracted.

 

 

 

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


 


Trust Information



 

 

 

 

 

Symbol on NYSE

 

 

BHD

 

Initial Offering Date

 

 

February 26, 2002

 

Yield on Closing Market Price as of February 28, 2010 ($12.33)1

 

 

6.76%

 

Current Monthly Distribution per Common Share2

 

 

$0.0695

 

Current Annualized Distribution per Common Share2

 

 

$0.8340

 

Leverage as of February 28, 20103

 

 

6%

 







 

 

1

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

 

2

A change in the distribution rate was declared on March 1, 2010. The Monthly Distribution per Share was increased to $0.0745. The Yield on Closing Market Price, Current Monthly Distribution per Share and Current Annualized Distribution per Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to further change in the future.

 

 

3

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Trust (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 12.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

2/28/10

 

8/31/09

 

Change

 

High

 

Low

 













Market Price

 

 

$

12.33

 

 

 

$

11.43

 

 

7.87

%

 

 

$

12.40

 

 

 

$

10.91

 

 

Net Asset Value

 

 

$

13.13

 

 

 

$

12.12

 

 

8.33

%

 

 

$

13.19

 

 

 

$

12.11

 

 


























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

 


Portfolio Composition



 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 









Corporate Bonds

 

86

%

 

87

%

 

Floating Rate Loan Interests

 

10

 

 

11

 

 

Other Interests

 

2

 

 

 

 

Preferred Securities

 

1

 

 

1

 

 

Common Stocks

 

1

 

 

1

 

 










 


Credit Quality Allocations4



 

 

 

 

 

 

 

 

 

 

2/28/10

 

8/31/09

 







AAA/Aaa

 

 

 

1

%

 

AA/Aa

 

2

%

 

1

 

 

A

 

12

 

 

18

 

 

BBB/Baa

 

12

 

 

16

 

 

BB/Ba

 

24

 

 

26

 

 

B

 

36

 

 

17

 

 

CCC/Caa

 

9

 

 

15

 

 

CC/Ca

 

 

 

3

 

 

D

 

 

 

1

 

 

Not Rated

 

5

 

 

2

 

 










 

 

4

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


 

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

11




 


The Benefits and Risks of Leveraging

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

The Trusts may utilize leverage through borrowings, including participation in the Term Asset-Backed Securities Loan Facility (“TALF”), or through entering into reverse repurchase agreements and dollar rolls. In general, the concept of leveraging is based on the premise that the cost of assets to be obtained from leverage will be based on short-term interest rates, which normally will be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders will benefit from the incremental net income.

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

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

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates of 6%, the yield curve has a negative slope. In this case, the Trust pays interest expense on the higher short-term interest rates whereas the Trust’s total portfolio earns income based on lower long-term interest rates.

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

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

Under the Investment Company Act of 1940, the Trusts are permitted to borrow through a credit facility up to 33⅓% of their total managed assets. As of February 28, 2010, the Trusts had outstanding leverage from borrowings and/or reverse repurchase agreements as a percentage of their total managed assets as follows:

 

 

 

 

 






 

 

Percent of
Leverage

 





BHK

 

31

%

 

HYV

 

23

%

 

HYT

 

21

%

 

HIS

 

18

%

 

BHY

 

18

%

 

BNA

 

28

%

 

BKT

 

2

%

 

BHD

 

6

%

 







 


Derivative Financial Instruments

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

 

 

 




12

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010



 

 


 

 

Schedule of Investments February 28, 2010 (Unaudited)

BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 







Chase Issuance Trust, Series 2009-A7,
Class A7, 0.68%, 9/17/12 (a)

 

USD

3,305

 

$

3,310,126

 

Countrywide Asset-Backed Certificates, Series 2
006-13, Class 3AV2, 0.38%, 1/25/37 (a)

 

 

1,476

 

 

1,104,858

 

Ford Credit Auto Owner Trust, Series 2009-A:

 

 

 

 

 

 

 

Class A3B, 2.73%, 5/15/13 (a)

 

 

5,780

 

 

5,913,074

 

Class A4, 6.07%, 5/15/14

 

 

2,110

 

 

2,322,397

 

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

 

EUR

749

 

 

1,032,016

 

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

 

USD

442

 

 

444,503

 

Home Equity Asset Trust, Series 2007-2, Class 2A1,
0.34%, 7/25/37 (a)

 

 

356

 

 

340,721

 

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

 

 

2,500

 

 

875,000

 

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

 

 

1,404

 

 

1,415,205

 

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

 

 

 

 

 

 

 

Class A2, 1.35%, 10/25/16

 

 

3,200

 

 

3,254,635

 

Class A3, 1.55%, 1/25/18

 

 

810

 

 

836,236

 

Class A4, 1.95%, 7/25/23

 

 

2,180

 

 

2,305,881

 

Small Business Administration, Class 1:

 

 

 

 

 

 

 

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

 

 

469

 

 

495,741

 

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

 

 

282

 

 

295,843

 

 

 

 

 

 




 

 

 

 

 

 

23,946,236

 









Interest Only Asset-Backed Securities — 0.4%

 

 

 

 

 

 

 

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

 

 

5,500

 

 

431,410

 

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

 

 

8,212

 

 

846,813

 

 

 

 

 

 




 

 

 

 

 

 

1,278,223

 









Total Asset-Backed Securities — 7.2%

 

 

 

 

 

25,224,459

 










 

 

 

 

 

 

 

 







 

Common Stocks

 

Shares

 

 

 

 







Machinery — 0.0%

 

 

 

 

 

 

 

Accuride Corp. (c)

 

 

86,973

 

 

113,065

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. (c)

 

 

2,249

 

 

8,771

 









Total Common Stocks — 0.0%

 

 

 

 

 

121,836

 










 

 

 

 

 

 

 

 







 

Corporate Bonds

 

Par
(000)

 

 

 







Aerospace & Defense — 1.2%

 

 

 

 

 

 

 

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

 

USD

975

 

 

989,840

 

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

 

 

960

 

 

1,179,451

 

United Technologies Corp.:

 

 

 

 

 

 

 

4.88%, 5/01/15 (d)

 

 

1,125

 

 

1,234,281

 

6.13%, 7/15/38

 

 

700

 

 

751,869

 

 

 

 

 

 




 

 

 

 

 

 

4,155,441

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Air Freight & Logistics — 0.5%

 

 

 

 

 

 

 

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

 

USD

120

 

$

97,200

 

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

 

 

1,650

 

 

1,816,079

 

 

 

 

 

 




 

 

 

 

 

 

1,913,279

 









Airlines — 0.2%

 

 

 

 

 

 

 

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

 

 

380

 

 

382,850

 

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

 

 

340

 

 

360,400

 

 

 

 

 

 




 

 

 

 

 

 

743,250

 









Beverages — 0.6%

 

 

 

 

 

 

 

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

 

 

1,475

 

 

1,939,979

 

PepsiCo., Inc., 4.50%, 1/15/20

 

 

250

 

 

254,021

 

 

 

 

 

 




 

 

 

 

 

 

2,194,000

 









Building Products — 0.4%

 

 

 

 

 

 

 

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

 

 

650

 

 

689,000

 

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

 

 

200

 

 

196,000

 

Goodman Global Group, Inc., 12.86%,
12/15/14 (b)(f)

 

 

435

 

 

252,300

 

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

 

 

225

 

 

239,255

 

 

 

 

 

 




 

 

 

 

 

 

1,376,555

 









Capital Markets — 2.9%

 

 

 

 

 

 

 

The Bank of New York Mellon Corp., 4.30%,
5/15/14 (d)

 

 

1,505

 

 

1,599,651

 

CDP Financial, Inc. (b):

 

 

 

 

 

 

 

3.00%, 11/25/14 (e)

 

 

1,935

 

 

1,922,875

 

5.60%, 11/25/39

 

 

2,935

 

 

2,905,357

 

Credit Suisse, 5.50%, 5/01/14

 

 

575

 

 

628,148

 

Morgan Stanley:

 

 

 

 

 

 

 

0.50%, 1/09/12 (a)

 

 

190

 

 

186,375

 

4.20%, 11/20/14

 

 

1,420

 

 

1,424,165

 

6.25%, 8/28/17 (d)

 

 

875

 

 

923,551

 

5.63%, 9/23/19

 

 

630

 

 

624,637

 

Series F, 5.55%, 4/27/17

 

 

140

 

 

142,304

 

 

 

 

 

 




 

 

 

 

 

 

10,357,063

 









Chemicals — 1.7%

 

 

 

 

 

 

 

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

 

 

250

 

 

246,875

 

Ames True Temper, Inc., 4.25%, 1/15/12 (a)

 

 

650

 

 

607,750

 

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

 

 

330

 

 

342,375

 

Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b)

 

 

1,450

 

 

1,355,750

 

Hexion U.S. Finance Corp., 9.75%, 11/15/14

 

 

435

 

 

411,075

 

Huntsman International LLC:

 

 

 

 

 

 

 

6.88%, 11/15/13 (b)

 

EUR

435

 

 

552,339

 

7.88%, 11/15/14

 

USD

265

 

 

257,050

 

5.50%, 6/30/16 (b)

 

 

845

 

 

743,600

 

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

 

 

885

 

 

909,337

 

NOVA Chemicals Corp.:

 

 

 

 

 

 

 

6.50%, 1/15/12

 

 

115

 

 

115,000

 

3.65%, 11/15/13 (a)

 

 

300

 

 

271,500

 

 

 

 

 

 




 

 

 

 

 

 

5,812,651

 










 


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

CAD

Canadian Dollar

EUR

Euro

GBP

British Pound

GO

General Obligation Bonds

LIBOR

London Inter-Bank Offered Rate

RB

Revenue Bonds

TBD

To Be Determined

USD

US Dollar


 

 

 

See Notes to Financial Statements.




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

13




 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Commercial Banks — 1.9%

 

 

 

 

 

 

 

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

 

USD

3,775

 

$

2,815,550

 

Eksportfinans A/S:

 

 

 

 

 

 

 

3.00%, 11/17/14

 

 

1,475

 

 

1,491,591

 

5.50%, 6/26/17

 

 

950

 

 

1,038,650

 

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

 

 

775

 

 

756,694

 

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

 

 

300

 

 

309,105

 

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

 

 

295

 

 

301,757

 

 

 

 

 

 




 

 

 

 

 

 

6,713,347

 









Commercial Services & Supplies — 1.0%

 

 

 

 

 

 

 

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

 

 

598

 

 

602,485

 

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

 

 

955

 

 

1,021,850

 

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

 

 

590

 

 

606,225

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

305

 

 

302,712

 

11.00%, 10/15/16

 

 

1,000

 

 

1,002,500

 

 

 

 

 

 




 

 

 

 

 

 

3,535,772

 









Communications Equipment — 0.5%

 

 

 

 

 

 

 

Cisco Systems, Inc., 4.45%, 1/15/20

 

 

1,875

 

 

1,873,427

 









Computers & Peripherals — 0.2%

 

 

 

 

 

 

 

Seagate Technology International, 10.00%,
5/01/14 (b)

 

 

655

 

 

744,244

 









Consumer Finance — 0.3%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.00%, 1/13/12 (a)

 

 

125

 

 

117,188

 

7.80%, 6/01/12

 

 

340

 

 

343,593

 

SLM Corp., Series A, 0.55%, 1/27/14 (a)

 

 

550

 

 

456,953

 

 

 

 

 

 




 

 

 

 

 

 

917,734

 









Containers & Packaging — 2.0%

 

 

 

 

 

 

 

Ball Corp., 7.38%, 9/01/19

 

 

270

 

 

280,125

 

Berry Plastics Escrow LLC, 8.88%, 9/15/14 (b)

 

 

690

 

 

664,125

 

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

 

 

150

 

 

154,875

 

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

 

 

970

 

 

1,018,500

 

Impress Holdings BV, 3.38%, 9/15/13 (a)(b)

 

 

300

 

 

279,750

 

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

 

 

1,500

 

 

1,522,500

 

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

 

 

545

 

 

540,912

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

725

 

 

967,456

 

7.75%, 11/15/19

 

 

685

 

 

928,071

 

Solo Cup Co., 10.50%, 11/01/13

 

USD

770

 

 

806,575

 

 

 

 

 

 




 

 

 

 

 

 

7,162,889

 









Diversified Financial Services — 5.2%

 

 

 

 

 

 

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.88%, 2/15/11

 

GBP

550

 

 

844,935

 

7.13%, 1/16/12

 

EUR

650

 

 

877,288

 

GMAC, Inc., 8.30%, 2/12/15 (b)

 

USD

3,500

 

 

3,530,625

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

6.15%, 8/07/37 (e)

 

 

4,150

 

 

4,000,886

 

5.88%, 1/14/38

 

 

177

 

 

164,325

 

6.88%, 1/10/39

 

 

135

 

 

141,000

 

JPMorgan Chase & Co.:

 

 

 

 

 

 

 

3.70%, 1/20/15 (e)

 

 

3,425

 

 

3,466,292

 

6.00%, 1/15/18

 

 

125

 

 

135,383

 

6.30%, 4/23/19 (d)

 

 

2,000

 

 

2,217,896

 

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

 

 

2,110

 

 

2,136,375

 

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

 

EUR

550

 

 

747,046

 

 

 

 

 

 




 

 

 

 

 

 

18,262,051

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Diversified Telecommunication Services — 6.2%

 

 

 

 

 

 

 

AT&T Inc.:

 

 

 

 

 

 

 

6.45%, 6/15/34

 

USD

780

 

$

798,280

 

6.30%, 1/15/38

 

 

600

 

 

611,066

 

6.55%, 2/15/39 (e)

 

 

3,375

 

 

3,565,826

 

BellSouth Telecommunications, Inc., 7.96%,
12/15/95 (g)

 

 

1,700

 

 

1,089,380

 

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

 

 

10

 

 

11,485

 

GCI, Inc., 8.63%, 11/15/19 (b)

 

 

1,700

 

 

1,727,625

 

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

 

 

120

 

 

128,400

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

60

 

 

60,600

 

Series B, 7.50%, 2/15/14

 

 

30

 

 

30,300

 

Qwest Corp.:

 

 

 

 

 

 

 

8.88%, 3/15/12

 

 

120

 

 

130,050

 

8.38%, 5/01/16

 

 

180

 

 

197,100

 

Telecom Italia Capital SA:

 

 

 

 

 

 

 

4.95%, 9/30/14

 

 

1,075

 

 

1,122,167

 

6.00%, 9/30/34

 

 

1,550

 

 

1,414,825

 

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

 

 

1,975

 

 

2,195,402

 

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

 

 

725

 

 

751,539

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

6.40%, 2/15/38 (e)

 

 

2,125

 

 

2,224,605

 

8.95%, 3/01/39

 

 

900

 

 

1,226,587

 

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

 

 

70

 

 

83,388

 

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

 

 

125

 

 

102,827

 

Verizon New Jersey, Inc.:

 

 

 

 

 

 

 

5.88%, 1/17/12

 

 

335

 

 

358,306

 

7.85%, 11/15/29

 

 

230

 

 

249,912

 

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

 

 

3,150

 

 

3,328,170

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

120

 

 

124,800

 

8.63%, 8/01/16

 

 

140

 

 

142,450

 

 

 

 

 

 




 

 

 

 

 

 

21,675,090

 









Electric Utilities — 4.9%

 

 

 

 

 

 

 

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

 

 

1,275

 

 

1,342,035

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

315

 

 

330,942

 

6.00%, 1/15/38

 

 

825

 

 

867,611

 

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

 

 

998

 

 

1,046,371

 

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

 

 

1,525

 

 

1,743,275

 

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

 

 

1,400

 

 

1,619,911

 

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

 

 

101

 

 

96,692

 

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

 

 

950

 

 

867,000

 

Florida Power Corp.:

 

 

 

 

 

 

 

6.35%, 9/15/37

 

 

1,325

 

 

1,447,821

 

6.40%, 6/15/38

 

 

875

 

 

963,067

 

Intergen NV, 9.00%, 6/30/17 (b)

 

 

580

 

 

591,600

 

PacifiCorp., 6.25%, 10/15/37

 

 

575

 

 

628,895

 

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

 

 

1,200

 

 

1,312,351

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.63%, 2/01/36

 

 

625

 

 

633,089

 

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

 

 

125

 

 

121,942

 

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

 

 

1,075

 

 

1,138,770

 

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

 

 

350

 

 

353,201

 

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

 

 

2,000

 

 

2,087,916

 

 

 

 

 

 




 

 

 

 

 

 

17,192,489

 










 

 

 

See Notes to Financial Statements.




14

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Energy Equipment & Services — 1.0%

 

 

 

 

 

 

 

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

 

USD

2,460

 

$

2,447,700

 

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

 

 

985

 

 

1,044,100

 

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

 

 

45

 

 

44,775

 

 

 

 

 

 




 

 

 

 

 

 

3,536,575

 









Food & Staples Retailing — 0.9%

 

 

 

 

 

 

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37 (e)

 

 

1,900

 

 

2,158,640

 

6.20%, 4/15/38

 

 

850

 

 

930,703

 

 

 

 

 

 




 

 

 

 

 

 

3,089,343

 









Food Products — 0.7%

 

 

 

 

 

 

 

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

 

 

1,455

 

 

1,607,506

 

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

 

 

800

 

 

866,000

 

 

 

 

 

 




 

 

 

 

 

 

2,473,506

 









Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

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

 

 

860

 

 

920,200

 









Health Care Providers & Services — 0.3%

 

 

 

 

 

 

 

LifePoint Hospitals, Inc., 3.50%, 5/15/14 (h)

 

 

165

 

 

151,181

 

Tenet Healthcare Corp. (b):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

410

 

 

429,475

 

10.00%, 5/01/18

 

 

170

 

 

187,000

 

8.88%, 7/01/19

 

 

330

 

 

348,150

 

 

 

 

 

 




 

 

 

 

 

 

1,115,806

 









Hotels, Restaurants & Leisure — 0.2%

 

 

 

 

 

 

 

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

 

 

250

 

 

15,000

 

McDonald’s Corp., 5.70%, 2/01/39

 

 

825

 

 

843,872

 

 

 

 

 

 




 

 

 

 

 

 

858,872

 









Household Durables — 3.0%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

12.00%, 10/15/17 (b)

 

 

1,050

 

 

1,170,750

 

4.63%, 6/15/24 (h)

 

 

495

 

 

477,675

 

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

 

 

300

 

 

216,846

 

Centex Corp., 5.13%, 10/01/13

 

 

1,088

 

 

1,098,880

 

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

 

 

1,040

 

 

1,040,000

 

Irwin Land LLC (b):

 

 

 

 

 

 

 

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

 

 

525

 

 

454,020

 

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

 

 

1,500

 

 

1,107,720

 

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

 

 

865

 

 

903,925

 

KB Home:

 

 

 

 

 

 

 

6.38%, 8/15/11

 

 

95

 

 

96,663

 

9.10%, 9/15/17

 

 

350

 

 

363,125

 

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

 

 

400

 

 

368,000

 

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

 

 

350

 

 

297,286

 

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

 

 

310

 

 

289,850

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

160

 

 

144,000

 

7.00%, 8/15/15

 

 

225

 

 

202,500

 

10.75%, 9/15/16

 

 

2,100

 

 

2,189,250

 

Toll Brothers Finance Corp., 4.95%, 3/15/14

 

 

250

 

 

246,765

 

 

 

 

 

 




 

 

 

 

 

 

10,667,255

 









Household Products — 0.3%

 

 

 

 

 

 

 

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

 

 

850

 

 

980,520

 

Libbey Glass, Inc., 10.00%, 2/15/15 (b)

 

 

185

 

 

191,475

 

 

 

 

 

 




 

 

 

 

 

 

1,171,995

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







IT Services — 0.4%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

USD

30

 

$

25,950

 

11.25%, 3/31/16

 

 

720

 

 

590,400

 

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

 

 

240

 

 

209,400

 

iPayment Investors LP, 11.63%, 7/15/14 (b)(j)

 

 

763

 

 

610,446

 

 

 

 

 

 




 

 

 

 

 

 

1,436,196

 









Independent Power Producers & Energy Traders — 0.9%

 

 

 

 

 

 

 

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

 

 

1,015

 

 

1,100,006

 

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

 

 

2,040

 

 

2,065,500

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

7.25%, 2/01/14

 

 

50

 

 

50,375

 

7.38%, 2/01/16

 

 

10

 

 

9,863

 

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

 

 

195

 

 

142,308

 

 

 

 

 

 




 

 

 

 

 

 

3,368,052

 









Industrial Conglomerates — 0.8%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

690

 

 

676,200

 

13.50%, 12/01/15 (j)

 

 

1,940

 

 

1,945,243

 

 

 

 

 

 




 

 

 

 

 

 

2,621,443

 









Insurance — 2.4%

 

 

 

 

 

 

 

Chubb Corp., 6.00%, 5/11/37 (k)

 

 

1,100

 

 

1,140,567

 

Hartford Life Global Funding Trusts, 0.43%,
6/16/14 (a)

 

 

425

 

 

393,819

 

Metropolitan Life Global Funding I (b):

 

 

 

 

 

 

 

2.50%, 1/11/13

 

 

2,545

 

 

2,563,176

 

5.13%, 6/10/14

 

 

775

 

 

831,726

 

Monument Global Funding Ltd., 0.41%,
6/16/10 (a)(b)(d)

 

 

1,810

 

 

1,795,203

 

Prudential Financial, Inc.:

 

 

 

 

 

 

 

5.70%, 12/14/36

 

 

675

 

 

631,937

 

Series D, 5.90%, 3/17/36

 

 

500

 

 

480,727

 

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

 

 

505

 

 

544,222

 

 

 

 

 

 




 

 

 

 

 

 

8,381,377

 









Leisure Equipment & Products — 0.4%

 

 

 

 

 

 

 

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

 

 

1,145

 

 

1,273,813

 









Machinery — 1.0%

 

 

 

 

 

 

 

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

 

 

310

 

 

248,000

 

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

 

 

4

 

 

7,613

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (h)

 

 

760

 

 

777,100

 

8.25%, 11/01/21

 

 

1,400

 

 

1,421,000

 

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

 

 

890

 

 

772,075

 

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

 

 

340

 

 

357,850

 

 

 

 

 

 




 

 

 

 

 

 

3,583,638

 









Marine — 1.2%

 

 

 

 

 

 

 

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

 

 

2,355

 

 

1,948,762

 

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

 

 

1,050

 

 

956,413

 

Navios Maritime Holdings, Inc., 8.88%,
11/01/17 (b)

 

 

750

 

 

763,125

 

Trico Shipping AS, 11.88%, 11/01/14 (b)

 

 

490

 

 

474,688

 

 

 

 

 

 




 

 

 

 

 

 

4,142,988

 










 

 

 

See Notes to Financial Statements.




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

15



 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Media — 6.0%

 

 

 

 

 

 

 

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

 

USD

695

 

$

701,950

 

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

 

 

190

 

 

188,100

 

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

 

 

520

 

 

614,694

 

CMP Susquehanna Corp., 3.20%, 5/15/14 (b)

 

 

52

 

 

1,040

 

Clear Channel Worldwide Holdings, Inc., 9.25%,
12/15/17 (b)

 

 

1,415

 

 

1,451,790

 

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

 

 

600

 

 

802,681

 

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

 

 

200

 

 

215,556

 

Comcast Corp.:

 

 

 

 

 

 

 

6.50%, 1/15/17

 

 

1,625

 

 

1,815,759

 

6.45%, 3/15/37

 

 

790

 

 

810,467

 

6.95%, 8/15/37

 

 

10

 

 

10,802

 

6.40%, 3/01/40

 

 

300

 

 

305,242

 

Cox Enterprises, Inc. (f):

 

 

 

 

 

 

 

Loan Close 2, 12.00%, 8/15/18

 

 

900

 

 

900,000

 

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

 

 

1,050

 

 

1,050,000

 

Shares Loan, 12.00%, 8/15/18

 

 

1,050

 

 

1,050,000

 

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

 

 

155

 

 

71,300

 

News America Holdings, Inc.:

 

 

 

 

 

 

 

7.70%, 10/30/25

 

 

825

 

 

915,137

 

8.45%, 8/01/34

 

 

625

 

 

764,227

 

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

 

 

985

 

 

1,114,095

 

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

 

 

935

 

 

970,062

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

200

 

 

204,000

 

10.38%, 9/01/14

 

 

943

 

 

991,329

 

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

 

 

610

 

 

702,460

 

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

 

 

930

 

 

1,054,727

 

Time Warner Cos., Inc.:

 

 

 

 

 

 

 

6.95%, 1/15/28

 

 

70

 

 

76,333

 

6.63%, 5/15/29

 

 

90

 

 

95,187

 

Time Warner, Inc.:

 

 

 

 

 

 

 

7.63%, 4/15/31

 

 

205

 

 

238,849

 

7.70%, 5/01/32

 

 

85

 

 

100,124

 

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

 

 

1,200

 

 

1,093,500

 

UPC Germany GmbH, 8.13%, 12/01/17 (b)

 

 

2,600

 

 

2,600,000

 

 

 

 

 

 




 

 

 

 

 

 

20,909,411

 









Metals & Mining — 2.6%

 

 

 

 

 

 

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

1,115

 

 

1,115,000

 

7.38%, 2/15/16

 

 

375

 

 

349,688

 

Falconbridge Ltd.:

 

 

 

 

 

 

 

6.00%, 10/15/15

 

 

825

 

 

890,310

 

6.20%, 6/15/35

 

 

1,250

 

 

1,177,079

 

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

 

 

280

 

 

313,600

 

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

 

 

1,775

 

 

1,779,437

 

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

 

 

395

 

 

395,494

 

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

 

EUR

300

 

 

363,562

 

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

 

USD

1,070

 

 

1,136,875

 

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

 

 

80

 

 

81,400

 

Teck Resources Ltd.:

 

 

 

 

 

 

 

10.25%, 5/15/16

 

 

510

 

 

608,175

 

10.75%, 5/15/19

 

 

860

 

 

1,057,800

 

 

 

 

 

 




 

 

 

 

 

 

9,268,420

 









Multi-Utilities — 0.5%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,652,152

 









Oil, Gas & Consumable Fuels — 10.3%

 

 

 

 

 

 

 

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

 

 

485

 

 

501,975

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

1,655

 

 

1,861,875

 

10.75%, 2/01/18

 

 

105

 

 

113,663

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 









Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

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

 

USD

1,270

 

$

1,318,999

 

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

 

 

140

 

 

140,350

 

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

 

 

395

 

 

418,206

 

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

 

 

875

 

 

1,029,721

 

Canadian Natural Resources, Ltd.:

 

 

 

 

 

 

 

6.50%, 2/15/37

 

 

410

 

 

438,349

 

6.25%, 3/15/38

 

 

375

 

 

390,243

 

6.75%, 2/01/39

 

 

1,025

 

 

1,126,846

 

Cenovus Energy, Inc., 6.75%, 11/15/39 (b)

 

 

895

 

 

983,454

 

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

 

 

125

 

 

146,643

 

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

 

 

535

 

 

556,920

 

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

 

 

650

 

 

752,125

 

Crosstex Energy LP, 8.88%, 2/15/18 (b)

 

 

1,390

 

 

1,410,850

 

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

 

 

1,195

 

 

1,236,825

 

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

 

 

625

 

 

787,531

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

670

 

 

714,438

 

6.63%, 8/15/37

 

 

700

 

 

769,570

 

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

 

 

40

 

 

40,300

 

Enterprise Products Operating LLC:

 

 

 

 

 

 

 

6.13%, 2/01/13

 

 

695

 

 

762,583

 

6.13%, 10/15/39

 

 

700

 

 

699,467

 

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

 

 

20

 

 

19,600

 

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

 

 

700

 

 

711,407

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

800

 

 

805,302

 

6.50%, 9/15/37

 

 

1,900

 

 

2,046,032

 

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

 

 

750

 

 

757,657

 

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

 

 

2,855

 

 

2,855,000

 

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

 

 

1,460

 

 

1,485,550

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

5.88%, 3/01/18

 

 

75

 

 

77,077

 

5.75%, 1/20/20

 

 

1,725

 

 

1,740,009

 

Roseton-Danskammer 2001, Series B,
7.67%, 11/08/16

 

 

2,740

 

 

2,644,100

 

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

 

 

330

 

 

289,575

 

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

 

 

1,700

 

 

1,897,605

 

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

 

 

1,245

 

 

1,194,169

 

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

 

 

335

 

 

338,350

 

XTO Energy, Inc.:

 

 

 

 

 

 

 

6.75%, 8/01/37

 

 

1,925

 

 

2,269,635

 

6.38%, 6/15/38

 

 

900

 

 

1,015,036

 

 

 

 

 

 




 

 

 

 

 

 

36,347,037

 









Paper & Forest Products — 2.5%

 

 

 

 

 

 

 

Boise Paper Holdings LLC, 9.00%, 11/01/17 (b)

 

 

560

 

 

576,800

 

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

 

 

620

 

 

688,200

 

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

 

 

1,725

 

 

1,819,875

 

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

 

 

295

 

 

283,200

 

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

 

 

750

 

 

799,517

 

NewPage Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/12

 

 

470

 

 

270,250

 

11.38%, 12/31/14

 

 

3,880

 

 

3,705,400

 

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

 

 

555

 

 

582,750

 

 

 

 

 

 




 

 

 

 

 

 

8,725,992

 









Pharmaceuticals — 1.8%

 

 

 

 

 

 

 

Eli Lilly & Co., 3.55%, 3/06/12

 

 

600

 

 

627,760

 

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

 

 

850

 

 

1,018,259

 

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

 

 

1,125

 

 

1,293,286

 

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

 

 

1,445

 

 

1,520,283

 


 

 

 

See Notes to Financial Statements.


16

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Pharmaceuticals (concluded)

 

 

 

 

 

 

 

Wyeth:

 

 

 

 

 

 

 

6.00%, 2/15/36

 

USD

675

 

$

713,601

 

5.95%, 4/01/37

 

 

925

 

 

976,476

 

 

 

 

 

 




 

 

 

 

 

 

6,149,665

 









Professional Services — 0.0%

 

 

 

 

 

 

 

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

 

 

100

 

 

100,250

 









Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

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

 

 

260

 

 

202,800

 









Road & Rail — 0.2%

 

 

 

 

 

 

 

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

 

 

350

 

 

386,016

 

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

 

 

130

 

 

131,950

 

 

 

 

 

 




 

 

 

 

 

 

517,966

 









Software — 0.8%

 

 

 

 

 

 

 

BMS Holdings, Inc., 7.89%, 2/15/12 (b)(j)

 

 

123

 

 

2,463

 

JDA Software Group, Inc., 8.00%, 12/15/14 (b)

 

 

250

 

 

257,500

 

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

 

 

2,225

 

 

2,448,768

 

 

 

 

 

 




 

 

 

 

 

 

2,708,731

 









Specialty Retail — 0.3%

 

 

 

 

 

 

 

General Nutrition Centers, Inc., 10.75%, 3/15/15

 

 

360

 

 

364,050

 

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

 

 

800

 

 

802,000

 

 

 

 

 

 




 

 

 

 

 

 

1,166,050

 









Textiles, Apparel & Luxury Goods — 0.0%

 

 

 

 

 

 

 

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

 

 

175

 

 

149,188

 









Thrifts & Mortgage Finance — 0.4%

 

 

 

 

 

 

 

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

 

 

1,305

 

 

1,330,925

 









Wireless Telecommunication Services — 2.1%

 

 

 

 

 

 

 

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

 

 

100

 

 

101,250

 

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

 

 

1,420

 

 

1,486,940

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

240

 

 

229,200

 

9.13%, 1/15/15 (j)

 

 

560

 

 

546,000

 

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

 

 

60

 

 

59,850

 

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

 

 

770

 

 

739,200

 

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

 

 

1,150

 

 

1,367,885

 

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

 

 

775

 

 

587,063

 

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

 

 

2,050

 

 

2,145,999

 

 

 

 

 

 




 

 

 

 

 

 

7,263,387

 









Total Corporate Bonds — 71.1%

 

 

 

 

 

249,762,315

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

 

 

 

 

 

 









Bundesrepublik Deutschland, Series 08,
4.75%, 7/04/40

 

EUR

3,000

 

 

4,727,573

 

Hellenic Republic, Government Bond, Series 5YR,
6.10%, 8/20/15

 

 

225

 

 

300,591

 

Israel Government AID Bond:

 

 

 

 

 

 

 

5.50%, 4/26/24

 

USD

825

 

 

915,813

 

5.50%, 9/18/33

 

 

845

 

 

911,634

 

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

 

 

455

 

 

454,061

 

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

 

 

860

 

 

871,395

 

Landwirtschaftliche Rentenbank:

 

 

 

 

 

 

 

4.13%, 7/15/13

 

 

115

 

 

123,223

 

Series E, 5.25%, 7/02/12

 

 

395

 

 

430,495

 

Series E, 4.38%, 1/15/13

 

 

250

 

 

268,181

 

Series E, 4.00%, 2/02/15

 

 

230

 

 

241,973

 


 

 

 

 

 

 

 

 

Foreign Agency Obligations

 

Par
(000)

 

Value

 







Province of Ontario Canada:

 

 

 

 

 

 

 

4.10%, 6/16/14

 

USD

1,280

 

$

1,360,513

 

Series 1, 1.88%, 11/19/12

 

 

1,175

 

 

1,183,187

 









Total Foreign Agency Obligations — 3.4%

 

 

 

 

 

11,788,639

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 









Collateralized Mortgage Obligations — 5.6%

 

 

 

 

 

 

 

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

 

 

1,100

 

 

769,294

 

Bear Stearns Adjustable Rate Mortgage,
Series 2004-8, Class 14A1, 5.45%, 11/25/34 (a)

 

 

596

 

 

546,231

 

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

 

 

1,123

 

 

685,560

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,209,310

 

Series 2006-0A19, Class A1, 0.41%,
2/20/47 (a)

 

 

492

 

 

245,626

 

Series 2006-0A21, Class A1, 0.41%,
3/20/47 (a)

 

 

914

 

 

473,893

 

Series 2007-HY4, Class 4A1, 5.85%,
6/25/47 (a)

 

 

1,082

 

 

651,257

 

Countrywide Home Loan Mortgage
Pass-Through Trust:

 

 

 

 

 

 

 

Series 2006-0A5, Class 2A1, 0.43%,
4/25/46 (a)

 

 

379

 

 

190,298

 

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

 

 

895

 

 

716,331

 

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

 

 

747

 

 

618,628

 

Deutsche Alt-A Securities, Inc., Alternate Loan Trust,
Series 2006-0A1, Class A1, 0.43%, 2/25/47 (a)

 

 

313

 

 

178,334

 

GSR Mortgage Loan Trust:

 

 

 

 

 

 

 

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

 

 

540

 

 

501,777

 

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

 

 

969

 

 

772,246

 

Series 2006-AR1, Class 2A1, 5.15%,
1/25/36 (a)

 

 

854

 

 

670,718

 

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

 

 

1,093

 

 

908,122

 

Homebanc Mortgage Trust, Series 2006-2, Class A1,
0.41%, 12/25/36 (a)

 

 

845

 

 

565,938

 

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

 

 

1,100

 

 

665,455

 

JPMorgan Mortgage Trust:

 

 

 

 

 

 

 

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

 

 

984

 

 

887,080

 

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

 

 

841

 

 

755,217

 

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

 

 

1,054

 

 

858,759

 

Merrill Lynch Mortgage Investors, Inc.,
Series 2006-A3, Class 3A1, 5.76%, 5/25/36 (a)

 

 

850

 

 

545,586

 

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

 

 

687

 

 

594,563

 

Station Place Securitization Trust, Series 2009-1,
Class A, 1.74%, 1/25/40 (a)(b)

 

 

1,615

 

 

1,610,963

 

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

 

 

1,808

 

 

1,561,483

 

WaMu Mortgage Pass-Through Certificates,
Series 2007-0A4, Class 1A, 1.25%, 5/25/47 (a)

 

 

456

 

 

260,245

 

Wells Fargo Mortgage Backed Securities Trust:

 

 

 

 

 

 

 

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

 

 

726

 

 

625,530

 

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

 

 

635

 

 

617,960

 

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

 

 

694

 

 

595,456

 

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

 

 

620

 

 

450,632

 

 

 

 

 

 




 

 

 

 

 

 

19,732,492

 










 

 

 

See Notes to Financial Statements.


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

17




 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 







Commercial Mortgage-Backed Securities — 12.1%

 

 

 

 

 

 

 

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

 

USD

2,720

 

$

2,840,253

 

Citigroup Commercial Mortgage Trust,
Series 2008-C7, Class A4, 6.10%, 12/10/49 (a)

 

 

1,370

 

 

1,324,889

 

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

 

 

960

 

 

989,590

 

First Union National Bank Commercial Mortgage:

 

 

 

 

 

 

 

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

 

 

2,762

 

 

2,879,533

 

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

 

 

2,265

 

 

2,383,227

 

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

 

 

2,350

 

 

2,459,731

 

JPMorgan Chase Commercial Mortgage
Securities Corp.:

 

 

 

 

 

 

 

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

 

 

2,140

 

 

2,238,726

 

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

 

 

836

 

 

826,420

 

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

 

 

2,180

 

 

2,212,463

 

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

 

 

188

 

 

188,407

 

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

 

 

931

 

 

861,280

 

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

 

 

4,200

 

 

4,284,428

 

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

 

 

2,555

 

 

2,610,335

 

Wachovia Bank Commercial Mortgage Trust:

 

 

 

 

 

 

 

Series 2005-C21, Class A3, 5.21%,
10/15/44 (a)

 

 

910

 

 

923,545

 

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

 

 

14,000

 

 

14,417,848

 

Series 2007-C33, Class A4, 5.90%,
2/15/51 (a)

 

 

995

 

 

876,531

 

 

 

 

 

 




 

 

 

 

 

 

42,317,206

 









Total Non-Agency Mortgage-Backed Securities — 17.7%

 

 

 

 

 

62,049,698

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Other Interests (n)

 

Beneficial
Interest
(000)

 

 

 

 









Software — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc. (c)

 

 

2

 

 

381

 









Total Other Interests — 0.0%

 

 

 

 

 

381

 









 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000)

 

 

 

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

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

 

 

494

 

 

429,726

 









Electric Utilities — 0.2%

 

 

 

 

 

 

 

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

 

 

790

 

 

636,556

 









Insurance — 1.2%

 

 

 

 

 

 

 

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

 

 

1,950

 

 

1,803,750

 

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

 

 

675

 

 

518,906

 

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

 

 

605

 

 

562,021

 

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

 

 

675

 

 

643,173

 

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

 

 

675

 

 

607,500

 

 

 

 

 

 




 

 

 

 

 

 

4,135,350

 









Total Capital Trusts — 1.5%

 

 

 

 

 

5,201,632

 










 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 









Media — 0.0%

 

 

 

 

 

 

 

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

 

 

12,033

 

 

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

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

 

 

48

 

$

47,683

 









Total Preferred Stocks — 0.0%

 

 

 

 

 

47,683

 









Total Preferred Securities — 1.5%

 

 

 

 

 

5,249,315

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

 

 

 









County/City/Special District/School District — 0.1%

 

 

 

 

 

 

 

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

 

USD

255

 

 

275,714

 









Education — 0.3%

 

 

 

 

 

 

 

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

 

 

435

 

 

459,843

 

Princeton University, 5.70%, 3/01/39

 

 

575

 

 

611,529

 

 

 

 

 

 




 

 

 

 

 

 

1,071,372

 









State — 1.4%

 

 

 

 

 

 

 

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

 

 

550

 

 

542,256

 

State of California, GO:

 

 

 

 

 

 

 

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

 

 

730

 

 

697,763

 

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

 

 

2,300

 

 

2,376,015

 

State of Texas, GO, Build America Bonds, Taxable,
5.52%, 4/01/39

 

 

1,290

 

 

1,327,333

 

 

 

 

 

 




 

 

 

 

 

 

4,943,367

 









Transportation — 0.3%

 

 

 

 

 

 

 

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

 

 

625

 

 

727,081

 

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

 

 

385

 

 

396,204

 

 

 

 

 

 




 

 

 

 

 

 

1,123,285

 









Utilities — 0.1%

 

 

 

 

 

 

 

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

 

 

485

 

 

498,415

 









Total Taxable Municipal Bonds — 2.2%

 

 

 

 

 

7,912,153

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

 

 

 

 

 

 









Agency Obligations — 6.2%

 

 

 

 

 

 

 

Fannie Mae:

 

 

 

 

 

 

 

6.45%, 10/09/19 (e)(f)

 

 

5,875

 

 

3,456,586

 

7.13%, 1/15/30

 

 

2,775

 

 

3,578,346

 

5.63%, 7/15/37 (k)

 

 

775

 

 

835,369

 

Federal Home Loan Banks:

 

 

 

 

 

 

 

5.38%, 9/30/22 (e)(k)

 

 

5,400

 

 

6,011,123

 

5.25%, 12/09/22 (k)

 

 

675

 

 

739,436

 

5.37%, 9/09/24

 

 

1,075

 

 

1,177,740

 

Freddie Mac, 5.50%, 8/23/17

 

 

2,425

 

 

2,760,157

 

Resolution Funding Corp. (f):

 

 

 

 

 

 

 

6.40%, 7/15/18

 

 

525

 

 

375,902

 

6.39%, 10/15/18

 

 

525

 

 

369,532

 

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

 

 

2,355

 

 

2,387,261

 

 

 

 

 

 




 

 

 

 

 

 

21,691,452

 










 

 

 

See Notes to Financial Statements.


18

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

Par
(000)

 

Value

 









Collateralized Mortgage Obligations — 0.8%

 

 

 

 

 

 

 

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

 

USD

1,511

 

$

1,613,710

 

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

 

 

964

 

 

1,041,904

 

 

 

 

 

 




 

 

 

 

 

 

2,655,614

 









Federal Deposit Insurance Corporation Guaranteed — 4.4%

 

 

 

 

 

 

 

Citibank NA, 1.75%, 12/28/12 (e)

 

 

2,285

 

 

2,296,750

 

Citigroup Funding, Inc. (e):

 

 

 

 

 

 

 

2.13%, 7/12/12

 

 

1,415

 

 

1,443,528

 

1.88%, 10/22/12

 

 

2,800

 

 

2,825,491

 

General Electric Capital Corp. (e):

 

 

 

 

 

 

 

2.25%, 3/12/12

 

 

1,850

 

 

1,893,333

 

2.00%, 9/28/12

 

 

1,850

 

 

1,877,084

 

2.13%, 12/21/12

 

 

2,750

 

 

2,794,701

 

2.63%, 12/28/12

 

 

2,400

 

 

2,472,086

 

 

 

 

 

 




 

 

 

 

 

 

15,602,973

 









Interest Only Collateralized Mortgage Obligations — 0.1%

 

 

 

 

 

 

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

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

 

 

1,023

 

 

59,742

 

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

 

 

3,613

 

 

453,111

 

 

 

 

 

 




 

 

 

 

 

 

512,853

 









Mortgaged-Backed Securities — 18.8%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.50%, 7/01/39 – 3/15/40 (d)(e)(p)

 

 

25,438

 

 

25,759,801

 

5.00%, 1/01/23 – 3/15/40 (e)(p)

 

 

1,828

 

 

1,928,845

 

5.50%, 4/15/25 – 4/15/40 (e)(p)

 

 

6,100

 

 

6,412,107

 

6.00%, 8/01/29 – 4/01/35 (e)(p)

 

 

21,046

 

 

22,482,150

 

6.50%, 3/15/40 (p)

 

 

5,000

 

 

5,337,500

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

5.00%, 2/01/22 – 3/15/40 (p)

 

 

1,630

 

 

1,726,482

 

5.50%, 3/15/40 (p)

 

 

500

 

 

528,672

 

6.00%, 2/01/13 – 12/01/18 (d)

 

 

1,424

 

 

1,535,718

 

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

 

 

143

 

 

152,465

 

 

 

 

 

 




 

 

 

 

 

 

65,863,740

 









Total U.S. Government Sponsored Agency Securities — 30.3%

 

 

 

 

 

106,326,632

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 









U.S. Treasury Bonds (e):

 

 

 

 

 

 

 

8.13%, 8/15/19

 

 

7,770

 

 

10,634,581

 

8.75%, 8/15/20

 

 

750

 

 

1,079,180

 

8.13%, 8/15/21

 

 

4,550

 

 

6,354,357

 

8.00%, 11/15/21

 

 

8,350

 

 

11,581,709

 

4.50%, 2/15/36

 

 

6,820

 

 

6,857,299

 

U.S. Treasury Notes:

 

 

 

 

 

 

 

2.25%, 1/31/15

 

 

1,075

 

 

1,075,335

 

8.88%, 8/15/17

 

 

550

 

 

759,430

 

3.38%, 11/15/19

 

 

12,725

 

 

12,478,453

 

3.63%, 2/15/20

 

 

1,520

 

 

1,524,037

 

8.75%, 5/15/20 (e)

 

 

2,250

 

 

3,229,101

 

4.25%, 5/15/39 (e)

 

 

6,045

 

 

5,772,975

 

4.50%, 8/15/39 (e)

 

 

1,290

 

 

1,284,155

 

4.38%, 11/15/39

 

 

1,200

 

 

1,164,188

 

4.63%, 2/15/40 (e)

 

 

5,210

 

 

5,291,406

 

U.S. Treasury Strips, 8/15/20 (e)

 

 

6,150

 

 

4,041,091

 









Total U.S. Treasury Obligations — 20.8%

 

 

 

 

 

73,127,297

 









 

 

 

 

 

 

 

 

Warrants (q)

 

Shares

 

Value

 









Media — 0.0%

 

 

 

 

 

 

 

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

 

 

13,751

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









Total Long-Term Investments
(Cost — $532,722,994) — 154.2%

 

 

 

 

$

541,562,725

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 









Money Market Fund — 0.0%

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund, Institutional
Class, 0.10% (r)(s)

 

 

116,959

 

 

116,959

 









 

 

 

 

 

 

 

 

 

 

Par
(000)

 

 

 

 









Borrowed Bond Agreements — 5.5%

 

 

 

 

 

 

 

Barclays Capital Inc.:

 

 

 

 

 

 

 

0.09%, 3/04/10

 

USD

12,407

 

 

12,406,875

 

0.13%, 6/30/10

 

 

3,416

 

 

3,416,000

 

0.14%, 6/30/10

 

 

752

 

 

752,125

 

JPMorgan Securities Inc., 0.10%, 3/31/10

 

 

1,146

 

 

1,146,000

 

Royal Bank of Scotland Plc, 0.12%, 6/30/10

 

 

1,424

 

 

1,424,063

 

 

 

 

 

 




 

 

 

 

 

 

19,145,063

 









Total Short-Term Securities
(Cost — $19,262,022) — 5.5%

 

 

 

 

 

19,262,022

 










 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 









Exchange-Traded Call Swaptions Purchased — 0.0%

 

 

 

 

 

 

 

10-Year US Treasury Bond, Strike Price USD 118,
Expires 4/23/10

 

 

132

 

 

107,250

 









Over-the-Counter Call Swaptions — 0.3%

 

 

 

 

 

 

 

Receive a fixed rate of 2.50% and pay a floating
rate based on 3-month LIBOR, Expires 3/12/10,
Broker Barclays Bank Plc

 

 

3

(t)

 

32

 

Receive a fixed rate of 1.12% and pay a floating
rate based on 3-month LIBOR, Expires 4/26/10,
Broker Morgan Stanley Capital Services, Inc.

 

 

23

(t)

 

29,228

 

Receive a fixed rate of 4.25% and pay a floating
rate based on 3-month LIBOR, Expires 5/14/10,
Broker Royal Bank of Scotland Plc

 

 

5

(t)

 

82,798

 

Receive a fixed rate of 3.75% and pay a floating
rate based on 3-month LIBOR, Expires 5/24/10,
Broker Citibank NA

 

 

6

(t)

 

95,731

 

Receive a fixed rate of 1.20% and pay a floating
rate based on 3-month LIBOR, Expires 9/02/10,
Broker Citibank NA

 

 

26

(t)

 

101,968

 

Receive a fixed rate of 1.15% and pay a floating
rate based on 3-month LIBOR, Expires 9/03/10,
Broker Deutsche Bank AG

 

 

26

(t)

 

92,385

 

Receive a fixed rate of 2.91% and pay a floating
rate based on 3-month LIBOR, Expires 1/31/11,
Broker JPMorgan Chase Bank NA

 

 

17

(t)

 

283,638

 

Receive a fixed rate of 5.06% and pay a floating
rate based on 3-month LIBOR, Expires 1/22/13,
Broker JPMorgan Chase Bank NA

 

 

4

(t)

 

290,341

 

 

 

 

 

 




 

 

 

 

 

 

976,121

 









Exchange-Traded Put Options Purchased — 0.0%

 

 

 

 

 

 

 

Euro-dollar Future, Strike Price USD 98.25,
Expires 9/13/10

 

 

231

 

 

18,769

 










 

 

 

See Notes to Financial Statements.

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

19




 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Purchased

 

Contracts (t)

 

Value

 







Over-the-Counter Put Swaptions — 1.1%

 

 

 

 

 

 

 

Pay a fixed rate of 4.50% and receive a floating rate
based on 3-month LIBOR, Expires 3/15/10,
Broker Royal Bank of Scotland Plc

 

 

16

 

$

159

 

Pay a fixed rate of 5.25% and receive a floating rate
based on 3-month LIBOR, Expires 5/07/10,
Broker JPMorgan Chase Bank NA

 

 

39

 

 

2,515

 

Pay a fixed rate of 3.75% and receive a floating rate
based on 3-month LIBOR, Expires 5/24/10,
Broker Citibank NA

 

 

7

 

 

120,742

 

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

 

 

26

 

 

17,042

 

Pay a fixed rate of 1.95% and receive a floating rate
based on 3-month LIBOR, Expires 9/18/10,
Broker Citibank NA

 

 

26

 

 

16,654

 

Pay a fixed rate of 2.91% and receive a floating rate
based on 3-month LIBOR, Expires 1/31/11,
Broker JPMorgan Chase Bank NA

 

 

16

 

 

170,117

 

Pay a fixed rate of 5.04% and receive a floating rate
based on 3-month LIBOR, Expires 10/15/12,
Broker JPMorgan Chase Bank NA

 

 

28

 

 

1,416,511

 

Pay a fixed rate of 5.17% and receive a floating rate
based on 3-month LIBOR, Expires 10/23/12,
Broker JPMorgan Chase Bank NA

 

 

27

 

 

1,291,910

 

Pay a fixed rate of 5.09% and receive a floating rate
based on 3-month LIBOR, Expires 10/29/12,
Broker Credit Suisse International

 

 

4

 

 

217,923

 

Pay a fixed rate of 4.71% and receive a floating rate
based on 3-month LIBOR, Expires 11/18/13,
Broker JPMorgan Chase Bank NA

 

 

12

 

 

482,132

 

Pay a fixed rate of 5.06% and receive a floating rate
based on 3-month LIBOR, Expires 1/22/13,
Broker JPMorgan Chase Bank NA

 

 

4

 

 

232,957

 

 

 

 

 

 




 

 

 

 

 

 

3,968,662

 









Total Options Purchased
(Cost — $6,449,264) — 1.4%

 

 

 

 

 

5,070,802

 









Total Investments Before TBA Sale Commitments
and Outstanding Options Written
(Cost — $558,434,280*) — 161.1%

 

 

 

 

 

565,895,549

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Borrowed Bonds

 

Par
(000)

 

 

 

 









U.S. Treasury Bonds, 8.13%, 8/15/19

 

USD

3,490

 

 

(4,776,665

)

U.S. Treasury Notes:

 

 

 

 

 

 

 

8.88%, 8/15/17

 

 

550

 

 

(759,430

)

3.38%, 11/15/19

 

 

12,725

 

 

(12,478,453

)

4.38%, 11/15/39

 

 

1,200

 

 

(1,164,188

)









Total Borrowed Bonds
(Proceeds — $18,909,571) — (5.5)%

 

 

 

 

 

(19,178,736

)









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

TBA Sale Commitments (p)

 

 

 

 

 

 

 









Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.50%, 7/01/39 – 3/15/40

 

 

14,900

 

 

(15,086,250

)

5.00%, 1/01/23 – 3/15/40

 

 

1,100

 

 

(1,157,781

)

5.50%, 4/15/25 – 4/15/40

 

 

5,300

 

 

(5,581,563

)

6.00%, 8/01/29 – 4/01/35

 

 

21,000

 

 

(22,276,401

)

6.50%, 3/15/40

 

 

5,000

 

 

(5,337,500

)

 

 

 

 

 

 

 

 

TBA Sale Commitments (p)

 

Par
(000)

 

Value

 









Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

5.00%, 2/01/22 – 3/15/40

 

USD

1,500

 

$

(1,583,437

)

5.50%, 3/15/40 (p)

 

 

500

 

 

(528,672

)

Ginnie Mae Mortgage-Backed Securities,

 

 

 

 

 

 

 

5.50%, 8/15/33

 

 

100

 

 

(105,890

)









Total TBA Sale Commitments
(Proceeds — $51,591,977) — (14.7)%

 

 

 

 

 

(51,657,494

)









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

 

 

 









Exchange-Traded Put Options Purchased — 0.0%

 

 

 

 

 

 

 

Euro-dollar Future, Strike Price USD 98.25,
Expires 9/13/10

 

 

231

 

 

(7,219

)









Over-the-Counter Call Swaptions — (0.9)%

 

 

 

 

 

 

 

Pay a fixed rate of 3.74% and receive a floating rate
based on 3-month LIBOR, Expires 3/25/10,
Broker Citibank NA

 

 

5

(t)

 

(51,620

)

Pay a fixed rate of 3.14% and receive a floating rate
based on 3-month LIBOR, Expires 4/01/10,
Broker Barclays Bank Plc

 

 

3

(t)

 

(504

)

Pay a fixed rate of 3.60% and receive a floating rate
based on 3-month LIBOR, Expires 5/07/10,
Broker JPMorgan Chase Bank NA

 

 

3

(t)

 

(23,710

)

Pay a fixed rate of 4.50% and receive a floating rate
based on 3-month LIBOR, Expires 5/15/10,
Broker Morgan Stanley Capital Services, Inc.

 

 

12

(t)

 

(197,432

)

Pay a fixed rate of 3.60% and receive a floating rate
based on 3-month LIBOR, Expires 5/24/10,
Broker Morgan Stanley Capital Services, Inc.

 

 

10

(t)

 

(89,642

)

Pay a fixed rate of 4.92% and receive a floating rate
based on 3-month LIBOR, Expires 11/20/10,
Broker Barclays Bank Plc

 

 

15

(t)

 

(1,241,010

)

Pay a fixed rate of 4.21% and receive a floating rate
based on 3-month LIBOR, Expires 2/07/11,
Broker Citibank NA

 

 

5

(t)

 

(187,867

)

Pay a fixed rate of 4.31% and receive a floating rate
based on 3-month LIBOR, Expires 2/24/11,
Broker Deutsche Bank AG

 

 

6

(t)

 

(257,812

)

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

 

 

4

(t)

 

(193,940

)

Pay a fixed rate of 4.80% and receive a floating rate
based on 3-month LIBOR, Expires 2/21/12,
Broker Citibank NA

 

 

4

(t)

 

(268,563

)

Pay a fixed rate of 5.18% and receive a floating rate
based on 3-month LIBOR, Expires 2/19/13,
Broker JPMorgan Chase Bank NA

 

 

5

(t)

 

(376,527

)

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

 

 

2

(t)

 

(137,140

)

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

 

 

3

(t)

 

(163,676

)

 

 

 

 

 




 

 

 

 

 

 

(3,189,443

)









Over-the-Counter Put Swaptions — (1.0)%

 

 

 

 

 

 

 

Receive a fixed rate of 4.50% and pay a floating
rate based on 3-month LIBOR, Expires 3/12/10,
Broker Barclays Bank Plc

 

 

3

(t)

 

(18,109

)

Receive a fixed rate of 5.50% and pay a floating
rate based on 3-month LIBOR, Expires 3/15/10,
Broker Royal Bank of Scotland Plc

 

 

16

(t)

 

(159

)

Receive a fixed rate of 3.74% and pay a floating
rate based on 3-month LIBOR, Expires 3/25/10,
Broker Citibank NA

 

 

5

(t)

 

(39,510

)


 

 

 

See Notes to Financial Statements.


20

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Contracts (t)

 

Value

 









Over-the-Counter Put Swaptions (concluded)

 

 

 

 

 

 

 

Receive a fixed rate of 3.14% and pay a floating
rate based on 3-month LIBOR, Expires 4/01/10,
Broker Barclays Bank Plc

 

 

3

 

$

(175,718

)

Receive a fixed rate of 4.10% and pay a floating
rate based on 3-month LIBOR, Expires 5/07/10,
Broker JPMorgan Chase Bank NA

 

 

3

 

 

(16,373

)

Receive a fixed rate of 3.80% and pay a floating
rate based on 3-month LIBOR, Expires 5/15/10,
Broker Morgan Stanley Capital Services, Inc.

 

 

12

 

 

(31,165

)

Receive a fixed rate of 4.10% and pay a floating
rate based on 3-month LIBOR, Expires 5/24/10,
Broker Morgan Stanley Capital Services, Inc.

 

 

10

 

 

(74,271

)

Receive a fixed rate of 4.92% and pay a floating
rate based on 3-month LIBOR, Expires 11/20/10,
Broker Barclays Bank Plc

 

 

15

 

 

(138,255

)

Receive a fixed rate of 4.21% and pay a floating
rate based on 3-month LIBOR, Expires 2/07/11,
Broker Citibank NA

 

 

5

 

 

(170,491

)

Receive a fixed rate of 4.31% and pay a floating
rate based on 3-month LIBOR, Expires 2/24/11,
Broker Deutsche Bank AG

 

 

6

 

 

(200,140

)

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

 

 

4

 

 

(206,680

)

Receive a fixed rate of 4.80% and pay a floating
rate based on 3-month LIBOR, Expires 2/21/12,
Broker Citibank NA

 

 

4

 

 

(201,687

)

Receive a fixed rate of 6.04% and pay a floating
rate based on 3-month LIBOR, Expires 10/15/12,
Broker JPMorgan Chase Bank NA

 

 

28

 

 

(752,100

)

Receive a fixed rate of 6.09% and pay a floating
rate based on 3-month LIBOR, Expires 10/29/12,
Broker Credit Suisse International

 

 

4

 

 

(116,094

)

Receive a fixed rate of 6.17% and pay a floating
rate based on 3-month LIBOR, Expires 10/23/12,
Broker JPMorgan Chase Bank NA

 

 

27

 

 

(686,562

)

Receive a fixed rate of 5.18% and pay a floating
rate based on 3-month LIBOR, Expires 2/19/13,
Broker JPMorgan Chase Bank NA

 

 

5

 

 

(267,566

)

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

 

 

2

 

 

(197,220

)

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

 

 

3

 

 

(223,422

)

 

 

 

 

 




 

 

 

 

 

 

(3,515,522

)









Total Options Written
(Premiums Received — $8,941,330) — (1.9)%

 

 

 

 

 

(6,712,184

)









Total Investments, Net of TBA Sale Commitments
and Outstanding Options Written — 139.0%

 

 

 

 

 

488,347,135

 

Liabilities in Excess of Other Assets — (39.0)%

 

 

 

 

 

(137,126,526

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

351,220,609

 

 

 

 

 

 





 

 



*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

558,773,339

 

 

 




Gross unrealized appreciation

 

$

20,435,150

 

Gross unrealized depreciation

 

 

(13,312,940

)

 

 




Net unrealized appreciation

 

$

7,122,210

 

 

 





 

 

(a)

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

 

 

(b)

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

 

 

(c)

Non-income producing security.

 

 

(d)

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

 

 

(e)

All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.

 

 

(f)

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

 

 

(h)

Convertible security.

 

 

(i)

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

 

 

(j)

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

 

 

(k)

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

 

 

(l)

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


 

 

 

 

 

 

 

 







Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 







Morgan Stanley Capital Services, Inc.

 

$

2,855,000

 

 

 










 

 

(m)

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

 

 

(n)

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

 

 

(o)

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

 

 

(p)

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


 

 

 

 

 

 

 

 







Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 







Barclays Capital, Inc.

 

$

6,682,500

 

$

73,219

 

Citigroup Global Markets, Inc.

 

$

(9,697,578

)

$

(80,336

)

Credit Suisse Securities LLC

 

$

(2,110

)

$

(703

)

Deutsche Bank Securities, Inc.

 

$

(4,661,908

)

$

(42,002

)

Goldman Sachs & Co.

 

$

7,559,970

 

$

58,790

 

JPMorgan Securities, Ltd.

 

$

207,656

 

$

648

 

Morgan Stanley Capital Services, Inc.

 

$

(4,448,561

)

$

(319

)










 

 

(q)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date.

 

 

(r)

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


 

 

 

 

 

 

 

 







Affiliate

 

Net Activity

 

Income

 







BlackRock Liquidity Funds, TempFund,
Institutional Class

 

$

(1,618,526

)

$

833

 










 

 

(s)

Represents the current yield as of report date.

 

 

(t)

One contract represents a notional amount of $1 million.


 

 

 

See Notes to Financial Statements.


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

21




 

 



 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

Reverse repurchase agreements outstanding as of February 28, 2010 were as follows:

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net
Closing
Amount

 

Face
Amount

 













BNP Paribas

 

0.43

%

 

10/30/09

 

TBD

 

$

3,570,461

 

$

3,565,265

 

Morgan Stanley Capital Services, Inc.

 

0.40

%

 

11/09/09

 

TBD

 

 

13,561,135

 

 

13,544,280

 

Bank of America, NA

 

0.40

%

 

11/18/09

 

TBD

 

 

1,230,751

 

 

1,229,344

 

Barclays Capital, Inc.

 

0.40

%

 

11/25/09

 

TBD

 

 

1,800,919

 

 

1,799,000

 

Barclays Capital, Inc.

 

0.40

%

 

12/10/09

 

TBD

 

 

3,156,838

 

 

3,154,000

 

Credit Suisse Securities (USA), Inc.

 

0.19

%

 

1/26/10

 

6/30/10

 

 

11,670,119

 

 

11,668,025

 

Royal Bank of Scotland Plc

 

0.14

%

 

1/26/10

 

3/31/10

 

 

6,720,932

 

 

6,720,044

 

Credit Suisse Securities (USA), Inc.

 

0.14

%

 

1/26/10

 

3/31/10

 

 

6,513,049

 

 

6,512,187

 

JPMorgan Securities, Inc.

 

0.15

%

 

2/11/10

 

3/11/10

 

 

18,339,375

 

 

18,338,000

 

Barclays Capital, Inc.

 

0.11

%

 

2/18/10

 

3/04/10

 

 

12,470,919

 

 

12,470,500

 

Bank of America, NA

 

0.14

%

 

2/18/10

 

3/04/10

 

 

25,489,628

 

 

25,488,537

 

Credit Suisse Securities (USA), Inc.

 

0.15

%

 

2/19/10

 

3/04/10

 

 

2,908,621

 

 

2,908,500

 

Barclays Capital, Inc.

 

0.14

%

 

2/22/10

 

3/04/10

 

 

5,125,457

 

 

5,125,337

 

Barclays Capital, Inc.

 

0.18

%

 

2/22/10

 

3/04/10

 

 

14,080,225

 

 

14,079,732

 

JPMorgan Securities, Inc.

 

0.15

%

 

2/22/10

 

3/04/10

 

 

8,783,758

 

 

8,783,502

 

Credit Suisse Securities (USA), Inc.

 

0.16

%

 

2/23/10

 

3/04/10

 

 

7,185,739

 

 

7,185,548

 

Credit Suisse Securities (USA), Inc.

 

0.17

%

 

2/23/10

 

3/04/10

 

 

6,078,980

 

 

6,078,808

 
















Total

 

 

 

 

 

 

 

 

$

148,686,906

 

$

148,650,609

 

 

 

 

 

 

 

 

 

 








 

 

Foreign currency exchange contracts as of February 28, 2010 were as follows:

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 














EUR

 

396,100

 

USD

 

546,098

 

Citibank NA

 

3/24/10

 

$

(6,772

)

USD

 

11,755,905

 

EUR

 

8,131,500

 

Citibank NA

 

3/24/10

 

 

684,126

 

CAD

 

4,059,225

 

USD

 

3,836,098

 

Citibank NA

 

4/21/10

 

 

21,388

 

USD

 

50,299

 

CAD

 

53,225

 

Citibank NA

 

4/21/10

 

 

(280

)

USD

 

3,829,583

 

CAD

 

4,006,000

 

Goldman Sachs
Bank USA

 

4/21/10

 

 

22,676

 

USD

 

934,166

 

GBP

 

577,000

 

Morgan Stanley
Capital Services, Inc.

 

4/21/10

 

 

54,705

 
















Total

 

 

 

 

 

 

 

 

 

 

 

$

775,843

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Financial futures contracts purchased as of February 28, 2010 were as follows:

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation

 















319

 

30-Year U.S.
Treasury Bond

 

Chicago

 

June 2010

 

$

36,549,303

 

$

52,489

 

293

 

30-Year U.S.
Treasury
Ultra Bond

 

Chicago

 

June 2010

 

$

35,962,646

 

 

94,667

 















Total

 

 

 

 

 

 

 

 

 

 

$

147,156

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Financial futures contracts sold as of February 28, 2010 were as follows:

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration
Date

 

Notional
Value

 

Unrealized
Depreciation

 













309

 

2-Year U.S.
Treasury Bond

 

Chicago

 

June 2010

 

$

67,029,384

 

$

(158,804

)

522

 

5-Year U.S.
Treasury Bond

 

Chicago

 

June 2010

 

$

60,018,179

 

 

(501,196

)

87

 

10-Year U.S.
Treasury Bond

 

Chicago

 

June 2010

 

$

10,200,015

 

 

(21,126

)















Total

 

 

 

 

 

 

 

 

 

 

$

(681,126

)

 

 

 

 

 

 

 

 

 

 

 





 

 

Interest rate swaps outstanding as of February 28, 2010 were as follows:

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 
















1.13% (a)

 

3-month LIBOR

 

Morgan Stanley
Capital
Services, Inc.

 

February
2012

 

USD

 

6,300

 

$

(12,372

)

2.79% (a)

 

3-month LIBOR

 

JPMorgan Chase
Bank NA

 

November
2014

 

USD

 

2,095

 

 

(30,479

)

2.69% (b)

 

3-month LIBOR

 

Morgan Stanley
Capital
Services, Inc.

 

February
2015

 

USD

 

8,300

 

 

51,028

 

2.22% (b)

 

3-month LIBOR

 

Citibank NA

 

January
2016

 

USD

 

12,500

 

 

(448,523

)

3.89% (b)

 

3-month LIBOR

 

Citibank NA

 

July 2019

 

USD

 

17,500

 

 

429,858

 

3.87% (b)

 

3-month LIBOR

 

Morgan Stanley
Capital
Services, Inc.

 

February
2020

 

USD

 

1,800

 

 

30,860

 

3.88% (b)

 

3-month LIBOR

 

Morgan Stanley
Capital
Services, Inc.

 

February
2020

 

USD

 

3,400

 

 

62,878

 

3.70% (b)

 

3-month LIBOR

 

Deutsche
Bank AG

 

March 2020

 

USD

 

12,000

 

 

 

4.24% (c)

 

3-month LIBOR

 

JPMorgan Chase
Bank NA

 

August
2020

 

USD

 

1,345

 

 

(49,617

)

4.42% (c)

 

3-month LIBOR

 

JPMorgan Chase
Bank NA

 

August
2020

 

USD

 

4,410

 

 

(214,017

)

5.41% (b)

 

3-month LIBOR

 

JPMorgan Chase
Bank NA

 

August
2022

 

USD

 

8,545

 

 

1,276,770

 

5.37% (a)

 

3-month LIBOR

 

Bank of
America, NA

 

September
2027

 

USD

 

8,000

 

 

(1,166,424

)

4.84% (a)

 

3-month LIBOR

 

Morgan Stanley
Capital
Services, Inc.

 

January
2038

 

USD

 

6,000

 

 

(457,276

)

4.35% (a)

 

3-month LIBOR

 

JPMorgan Chase
Bank NA

 

July 2039

 

USD

 

2,500

 

 

11,827

 

4.44% (a)

 

3-month LIBOR

 

Royal Bank
of Scotland Plc

 

January
2040

 

USD

 

1,900

 

 

(15,533

)

4.52% (b)

 

3-month LIBOR

 

Morgan Stanley
Capital
Services, Inc.

 

February
2040

 

USD

 

3,500

 

 

77,046

 

4.58% (a)

 

3-month LIBOR

 

Morgan Stanley
Capital
Services, Inc.

 

February
2040

 

USD

 

1,700

 

 

(57,357

)


 

 

 

 

 

 

See Notes to Financial Statements.

 


22

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

 

Schedule of Investments (continued)

BlackRock Core Bond Trust (BHK)


 

 

Interest rate swaps outstanding as of February 28, 2010 were as follows (concluded):

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

 

Unrealized
Appreciation
(Depreciation)

 














3.50% (c)

 

3-month LIBOR

 

Barclays
Bank Plc

 

March 2040

 

USD

 

900

 

 

137,460

 
















Total

 

 

 

 

 

 

 

 

 

 

 

$

(373,871

)

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

(a)

Pays fixed interest rate and receives floating rate.

 

 

 

 

(b)

Pays floating interest rate and receives fixed rate.

 

 

 

 

(c)

Pays fixed interest rate and receives floating rate at expiration date.


 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2010 were as follows:

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 

















iStar
Financial, Inc.

 

5.00

%

 

Morgan Stanley
Capital
Services, Inc.

 

September
2011

 

USD

 

260

 

$

(2,705

)

NOVA
Chemicals Corp.

 

5.00

%

 

Citibank NA

 

March
2012

 

USD

 

50

 

 

(691

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

K. Hovnanian
Enterprises, Inc.

 

5.00

%

 

Goldman Sachs
Bank USA

 

June 2012

 

USD

 

375

 

 

2,574

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Macy’s, Inc.

 

7.50

%

 

Morgan Stanley
Capital
Services, Inc.

 

June 2012

 

USD

 

405

 

 

(56,272

)

Macy’s, Inc.

 

8.00

%

 

Morgan Stanley
Capital
Services, Inc.

 

June 2012

 

USD

 

145

 

 

(21,787

)

NOVA
Chemicals Corp.

 

5.00

%

 

JPMorgan Chase
Bank NA

 

June 2012

 

USD

 

65

 

 

(325

)

Belo

 

5.00

%

 

Barclays Bank Plc

 

June 2013

 

USD

 

190

 

 

(29,517

)

Masco Corp.

 

5.00

%

 

JPMorgan Chase
Bank NA

 

September
2013

 

USD

 

225

 

 

(13,552

)

Centex Corp.

 

4.37

%

 

Deutsche
Bank AG

 

December
2013

 

USD

 

940

 

 

(115,746

)

Centex Corp.

 

4.40

%

 

JPMorgan Chase
Bank NA

 

December
2013

 

USD

 

550

 

 

(68,328

)

NOVA
Chemicals Corp.

 

5.00

%

 

Goldman Sachs
Bank USA

 

December
2013

 

USD

 

300

 

 

(8,920

)

D.R. Horton, Inc.

 

1.00

%

 

JPMorgan Chase
Bank NA

 

March 2014

 

USD

 

1,040

 

 

(28,449

)

Hertz Global
Holdings, Inc.

 

5.00

%

 

Goldman Sachs
Bank USA

 

March 2014

 

USD

 

130

 

 

(34,342

)

Toll Brothers
Finance Corp.

 

2.00

%

 

JPMorgan Chase
Bank NA

 

March 2014

 

USD

 

250

 

 

(5,142

)

Seagate
Technology
Holdings

 

1.00

%

 

Credit Suisse
International

 

June 2014

 

USD

 

155

 

 

(1,527

)

Seagate
Technology
Holdings

 

5.00

%

 

Morgan Stanley
Capital
Services, Inc.

 

June 2014

 

USD

 

370

 

 

(5,758

)

Brunswick Corp.

 

5.00

%

 

Credit Suisse
International

 

September
2014

 

USD

 

1,250

 

 

(35,052

)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2010 were as follows (concluded):

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 















Macy’s, Inc.

 

1.00

%

 

Morgan Stanley
Capital
Services, Inc.

 

September
2014

 

USD

 

150

 

$

(1,344

)

Energy Future
Holdings Corp.

 

5.00

%

 

JPMorgan Chase
Bank NA

 

December
2014

 

USD

 

195

 

 

(19,782

)

Huntsman
International LLC

 

5.00

%

 

Goldman Sachs
Bank USA

 

December
2014

 

USD

 

265

 

 

(85,966

)

Pulte Homes, Inc.

 

3.00

%

 

JPMorgan Chase
Bank NA

 

March 2015

 

USD

 

310

 

 

(10,455

)

Lennar Corp.

 

5.86

%

 

JPMorgan Chase
Bank NA

 

June 2015

 

USD

 

400

 

 

(49,699

)

First Data Corp.

 

5.00

%

 

Deutsche
Bank AG

 

December
2015

 

USD

 

460

 

 

30,821

 

















Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(561,964

)

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on traded indexes — buy protection outstanding as of February 28, 2010 were as follows:

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 















Dow Jones CDX
North American
High Yield

 

5.00

%

 

Credit Suisse
International

 

December
2014

 

USD

 

13,959

 

$

(17,991

)


















 

 

 

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

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, repayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments)

 

 

 

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


 

 

 

See Notes to Financial Statements.

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

23




 

 



 

 

Schedule of Investments (concluded)

BlackRock Core Bond Trust (BHK)


 

The following tables summarize the inputs used as of February 28, 2010 in determining the fair valuation of the Trust’s investments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

Investments in Securities

 

 

 



Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

22,039,220

 

$

3,185,239

 

$

25,224,459

 

Common Stocks

 

 

 

 

113,065

 

 

8,771

 

 

121,836

 

Corporate Bonds

 

 

 

 

246,761,275

 

 

3,001,040

 

 

249,762,315

 

Foreign Agency Obligations

 

 

 

 

11,788,639

 

 

 

 

11,788,639

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

59,722,404

 

 

2,327,294

 

 

62,049,698

 

Other Interests

 

 

 

 

 

 

381

 

 

381

 

Preferred Securities

 

 

 

 

5,201,632

 

 

47,683

 

 

5,249,315

 

Taxable Municipal Bonds

 

 

 

 

7,912,153

 

 

 

 

7,912,153

 

U.S. Government Sponsored Agency Securities

 

 

 

 

100,079,765

 

 

6,246,867

 

 

106,326,632

 

U.S. Treasury Obligations

 

 

 

 

73,127,297

 

 

 

 

73,127,297

 

Short-Term Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Money Market Fund

 

$

116,959

 

 

 

 

 

 

116,959

 

Borrowed Bond Agreements

 

 

 

 

19,145,063

 

 

 

 

19,145,063

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

Investments in Securities

 

 

 



Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

 

 

$

(19,178,736

)

 

 

$

(19,178,736

)

TBA Sale Commitments

 

 

 

 

(51,657,494

)

 

 

 

(51,657,494

)

 

 













Total

 

$

116,959

 

$

475,054,283

 

$

14,817,275

 

$

489,988,517

 

 

 














 

 

The following table summarizes the inputs used as of February 28, 2010 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

Other Financial Instruments1

 

 

 


 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets

 

$

273,175

 

$

7,838,800

 

 

 

$

8,111,975

 

Liabilities

 

 

(688,345

)

 

(9,513,331

)

$

(12,069,092

)

 

(22,270,768

)

 

 













Total

 

$

(415,170

)

$

(1,674,531

)

$

(12,069,092

)

$

(14,158,793

)

 

 














 

 

 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 



























 

 

Investments in Securities

 

 


 

 

Asset-Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Non-Agency
Mortgage-Backed
Securities

 

Other
Interests

 

Preferred
Securities

 

U.S. Government
Sponsored Agency
Securities

 

Total

 



























Balance, as of August 31, 2009

 

$

1,198,713

 

 

 

$

1,488,845

 

$

1,612,444

 

$

381

 

 

 

$

2,690,595

 

$

6,990,978

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

 

 

 

(69,933

)

 

21,530

 

 

 

 

 

 

1,504,160

 

 

1,455,757

 

Change in unrealized appreciation/depreciation2

 

 

79,510

 

 

 

 

1,026,256

 

 

32,264

 

 

 

 

 

 

(1,463,002

)

 

(324,972

)

Net purchases (sales)

 

 

 

 

 

 

(1,087,933

)

 

(74,906

)

 

 

 

 

 

(2,731,753

)

 

(3,894,592

)

Net transfers in/out of Level 3

 

 

1,907,016

 

$

8,771

 

 

1,643,805

 

 

735,962

 

 

 

$

47,683

 

 

6,246,867

 

 

10,590,104

 

 

 

























Balance, as of February 28, 2010

 

$

3,185,239

 

$

8,771

 

$

3,001,040

 

$

2,327,294

 

$

381

 

$

47,683

 

$

6,246,867

 

$

14,817,275

 

 

 


























 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on securities still held at February 28, 2010 was $111,774.

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

 

 

 

 

 






 

 

Other Financial
Instruments3

 





 

 

Liabilities

 

 

 



Balance, as of August 31, 2009

 

$

(226,565

)

Accrued discounts/premiums

 

 

 

Realized gain (loss)

 

 

 

Change in unrealized appreciation/depreciation

 

 

(37,069

)

Net purchases (sales)

 

 

 

Net transfers in/out of Level 3

 

 

(11,805,458

)

 

 




Balance, as of February 28, 2010

 

$

(12,069,092

)

 

 





 

 

 

 

3

Other financial instruments are TALF loans and swaps.


 

 

 

 

 

 

See Notes to Financial Statements.

 


24

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010



 

 


 

 

Schedule of Investments February 28, 2010 (Unaudited)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 









Auto Components — 0.2%

 

 

 

 

 

 

 

Lear Corp. (a)

 

 

10,763

 

$

745,553

 









Building Products — 0.6%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

52,793

 

 

2,217,306

 









Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

430,000

 

 

692,300

 









Chemicals — 0.1%

 

 

 

 

 

 

 

Solutia, Inc. (a)

 

 

13,000

 

 

182,910

 

Wellman Holdings, Inc. (a)

 

 

2,499

 

 

625

 

 

 

 

 

 




 

 

 

 

 

 

183,535

 









Communications Equipment — 1.0%

 

 

 

 

 

 

 

Brocade Communications Systems, Inc. (a)

 

 

85,000

 

 

494,700

 

Loral Space & Communications Ltd. (a)

 

 

96,238

 

 

3,130,622

 

 

 

 

 

 




 

 

 

 

 

 

3,625,322

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc. (a)

 

 

3,280

 

 

121,360

 









Containers & Packaging — 0.2%

 

 

 

 

 

 

 

Rock-Tenn Co., Class A

 

 

18,000

 

 

753,120

 









Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

Bank of America Corp.

 

 

95,000

 

 

1,582,700

 









Diversified Telecommunication Services — 0.5%

 

 

 

 

 

 

 

Qwest Communications International, Inc.

 

 

362,854

 

 

1,654,614

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

109,685

 

 

7,788

 

SunPower Corp., Class B (a)

 

 

573

 

 

9,357

 

 

 

 

 

 




 

 

 

 

 

 

17,145

 









Food Products — 0.0%

 

 

 

 

 

 

 

Pilgrims Pride Corp. (a)

 

 

9,416

 

 

84,932

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (a)

 

 

1,854

 

 

10,475

 









Household Durables — 0.2%

 

 

 

 

 

 

 

Beazer Homes USA, Inc. (a)

 

 

35,408

 

 

147,297

 

Pulte Homes, Inc. (a)

 

 

43,000

 

 

465,690

 

 

 

 

 

 




 

 

 

 

 

 

612,987

 









Machinery — 0.1%

 

 

 

 

 

 

 

Accuride Corp. (a)

 

 

268,760

 

 

349,388

 









Media — 0.3%

 

 

 

 

 

 

 

Gannett Co., Inc.

 

 

78,000

 

 

1,181,700

 









Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

186,000

 

 

390,667

 

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

 

 

208,741

 

 

438,432

 

Western Forest Products, Inc. (a)

 

 

74,889

 

 

15,658

 

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

 

 

74,936

 

 

15,668

 

 

 

 

 

 




 

 

 

 

 

 

860,425

 









Software — 0.1%

 

 

 

 

 

 

 

TiVo, Inc. (a)

 

 

50,000

 

 

474,000

 









Wireless Telecommunication Services — 0.3%

 

 

 

 

 

 

 

FiberTower Corp. (a)

 

 

127,570

 

 

525,589

 

SBA Communications Corp., Class A (a)

 

 

12,000

 

 

424,320

 

 

 

 

 

 




 

 

 

 

 

 

949,909

 









Total Common Stocks — 4.4%

 

 

 

 

 

16,116,771

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

 

 

 

 









Airlines — 2.1%

 

 

 

 

 

 

 

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

 

USD

1,560

 

$

1,599,000

 

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

 

 

490

 

 

493,675

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

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

 

 

93

 

 

85,737

 

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

 

 

409

 

 

398,687

 

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

 

 

654

 

 

582,133

 

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

 

 

1,500

 

 

1,545,000

 

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

 

 

2,890

 

 

3,063,400

 

 

 

 

 

 




 

 

 

 

 

 

7,767,632

 









Auto Components — 0.8%

 

 

 

 

 

 

 

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

 

 

134

 

 

134,459

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.86%, 8/15/11

 

 

1,780

 

 

1,842,300

 

8.63%, 12/01/11

 

 

1,107

 

 

1,148,513

 

 

 

 

 

 




 

 

 

 

 

 

3,125,272

 









Biotechnology — 0.3%

 

 

 

 

 

 

 

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

 

 

1,050

 

 

1,071,924

 









Building Products — 1.1%

 

 

 

 

 

 

 

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

 

 

1,060

 

 

1,123,600

 

Building Materials Corp. of America, 7.00%,
2/15/20 (b)

 

 

930

 

 

930,000

 

Goodman Global Group, Inc., 12.86%,
12/15/14 (b)(c)

 

 

445

 

 

258,100

 

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

 

 

1,625

 

 

1,649,375

 

 

 

 

 

 




 

 

 

 

 

 

3,961,075

 









Capital Markets — 0.4%

 

 

 

 

 

 

 

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

 

 

356

 

 

541,120

 

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

 

GBP

626

 

 

882,940

 

 

 

 

 

 




 

 

 

 

 

 

1,424,060

 









Chemicals — 2.8%

 

 

 

 

 

 

 

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

 

USD

1,300

 

 

1,283,750

 

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

 

 

340

 

 

352,750

 

Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b)

 

 

2,705

 

 

2,529,175

 

Hexion U.S. Finance Corp., 9.75%, 11/15/14

 

 

460

 

 

434,700

 

Huntsman International LLC (b):

 

 

 

 

 

 

 

6.88%, 11/15/13

 

EUR

415

 

 

526,944

 

5.50%, 6/30/16

 

USD

805

 

 

708,400

 

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

 

 

1,185

 

 

1,217,587

 

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

 

 

1,845

 

 

1,845,000

 

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

 

 

 

 

 

 

 

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

 

 

1,385

 

 

1,385,000

 

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

 

 

443

 

 

221,636

 

 

 

 

 

 




 

 

 

 

 

 

10,504,942

 









Commercial Banks — 0.1%

 

 

 

 

 

 

 

Glitnir Banki HF (a)(f):

 

 

 

 

 

 

 

4.15%, 4/20/10 (b)

 

 

165

 

 

42,900

 

6.38%, 9/25/12 (b)

 

 

1,005

 

 

261,300

 

Series EMTN, 5.07%, 1/27/10

 

EUR

50

 

 

17,702

 

Series EMTN, 3.00%, 6/30/10

 

 

65

 

 

22,569

 

Series GMTN, 4.38%, 2/05/10

 

 

75

 

 

26,552

 

 

 

 

 

 




 

 

 

 

 

 

371,023

 










 

 

 

See Notes to Financial Statements.


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

25




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

 

 

 

 









Commercial Services & Supplies — 3.0%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15 (b)

 

USD

365

 

$

396,755

 

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

 

 

870

 

 

930,900

 

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

 

 

1,275

 

 

1,348,313

 

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

 

 

4,425

 

 

4,546,687

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

460

 

 

456,550

 

11.00%, 10/15/16

 

 

3,370

 

 

3,378,425

 

 

 

 

 

 




 

 

 

 

 

 

11,057,630

 









Construction Materials — 1.2%

 

 

 

 

 

 

 

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

 

 

3,295

 

 

3,459,306

 

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

 

 

1,160

 

 

1,128,100

 

 

 

 

 

 




 

 

 

 

 

 

4,587,406

 









Consumer Finance — 0.5%

 

 

 

 

 

 

 

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

 

 

1,010

 

 

1,004,950

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.00%, 1/13/12 (g)

 

 

310

 

 

290,625

 

7.80%, 6/01/12

 

 

300

 

 

303,171

 

8.00%, 12/15/16

 

 

270

 

 

271,117

 

 

 

 

 

 




 

 

 

 

 

 

1,869,863

 









Containers & Packaging — 4.0%

 

 

 

 

 

 

 

Berry Plastics Escrow LLC, 8.88%, 9/15/14 (b)

 

 

700

 

 

673,750

 

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

 

 

1,545

 

 

1,487,063

 

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

 

EUR

113

 

 

156,944

 

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

 

USD

1,180

 

 

1,239,000

 

Impress Holdings BV, 3.38%, 9/15/13 (b)(g)

 

 

545

 

 

508,213

 

Owens-Brockway Glass Container, Inc.:

 

 

 

 

 

 

 

8.25%, 5/15/13

 

 

1,500

 

 

1,522,500

 

6.75%, 12/01/14

 

EUR

233

 

 

317,266

 

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

 

USD

1,625

 

 

1,293,906

 

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

 

 

1,765

 

 

1,751,762

 

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

 

 

2,950

 

 

3,178,625

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

735

 

 

980,801

 

7.75%, 11/15/19

 

 

700

 

 

948,393

 

Solo Cup Co., 10.50%, 11/01/13

 

USD

710

 

 

743,725

 

 

 

 

 

 




 

 

 

 

 

 

14,801,948

 









Diversified Consumer Services — 1.2%

 

 

 

 

 

 

 

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

 

 

4,425

 

 

4,336,500

 









Diversified Financial Services — 8.8%

 

 

 

 

 

 

 

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

 

 

770

 

 

833,525

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

1,993

 

 

1,763,636

 

7.00%, 5/01/17

 

 

8,424

 

 

7,444,650

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.88%, 2/15/11

 

GBP

1,000

 

 

1,536,245

 

7.13%, 1/16/12

 

EUR

2,950

 

 

3,981,536

 

7.13%, 1/15/13

 

 

1,300

 

 

1,734,749

 

GMAC LLC:

 

 

 

 

 

 

 

7.25%, 3/02/11

 

USD

774

 

 

780,773

 

6.88%, 9/15/11

 

 

800

 

 

800,000

 

6.88%, 8/28/12

 

 

900

 

 

891,000

 

2.45%, 12/01/14 (g)

 

 

702

 

 

600,558

 

6.75%, 12/01/14

 

 

1,480

 

 

1,413,400

 

8.30%, 2/12/15 (b)

 

 

3,740

 

 

3,772,725

 

8.00%, 11/01/31

 

 

1,620

 

 

1,494,450

 

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

 

CAD

400

 

 

375,335

 


 

 

 

 

 

 

 

 

 

 

 

Par
(000)

 

 

 

Corporate Bonds

 

 

 

Value

 









Diversified Financial Services (concluded)

 

 

 

 

 

 

 

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

 

USD

2,000

 

$

2,030,000

 

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

 

 

2,185

 

 

2,212,313

 

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

 

EUR

550

 

 

747,046

 

 

 

 

 

 




 

 

 

 

 

 

32,411,941

 









Diversified Telecommunication Services — 3.8%

 

 

 

 

 

 

 

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

 

USD

1,530

 

 

1,468,800

 

GCI, Inc., 8.63%, 11/15/19 (b)

 

 

1,700

 

 

1,727,625

 

Level 3 Financing, Inc., 10.00%, 2/01/18 (b)

 

 

1,000

 

 

917,500

 

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

 

 

320

 

 

342,400

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

5,705

 

 

5,762,050

 

8.00%, 10/01/15 (b)

 

 

800

 

 

828,000

 

Qwest Corp.:

 

 

 

 

 

 

 

7.63%, 6/15/15

 

 

850

 

 

908,437

 

8.38%, 5/01/16

 

 

990

 

 

1,084,050

 

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

 

 

1,110

 

 

1,154,400

 

 

 

 

 

 




 

 

 

 

 

 

14,193,262

 









Electric Utilities — 1.3%

 

 

 

 

 

 

 

Intergen NV, 9.00%, 6/30/17 (b)

 

 

620

 

 

632,400

 

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

 

 

1,530

 

 

1,323,450

 

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

 

 

2,694

 

 

2,699,461

 

 

 

 

 

 




 

 

 

 

 

 

4,655,311

 









Electronic Equipment, Instruments & Components — 0.1%

 

 

 

 

 

 

 

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

 

 

440

 

 

455,400

 









Energy Equipment & Services — 1.4%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

305

 

 

298,900

 

7.75%, 5/15/17

 

 

470

 

 

460,600

 

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

 

 

2,730

 

 

2,716,350

 

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

 

 

985

 

 

1,044,100

 

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

 

 

550

 

 

547,250

 

 

 

 

 

 




 

 

 

 

 

 

5,067,200

 









Food & Staples Retailing — 1.0%

 

 

 

 

 

 

 

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

 

 

1,225

 

 

1,102,500

 

Duane Reade, Inc., 11.75%, 8/01/15

 

 

250

 

 

315,000

 

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

 

 

650

 

 

650,000

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

615

 

 

656,513

 

10.25%, 10/15/19

 

 

925

 

 

978,187

 

 

 

 

 

 




 

 

 

 

 

 

3,702,200

 









Food Products — 0.5%

 

 

 

 

 

 

 

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

 

 

330

 

 

333,300

 

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

 

 

1,210

 

 

1,309,825

 

TreeHouse Foods, Inc., 7.75%, 3/01/18 (h)

 

 

230

 

 

236,038

 

 

 

 

 

 




 

 

 

 

 

 

1,879,163

 









Health Care Equipment & Supplies — 1.3%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14 (b)

 

 

890

 

 

952,300

 

10.88%, 11/15/14 (i)

 

 

2,540

 

 

2,717,800

 

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

 

 

1,410

 

 

1,205,550

 

 

 

 

 

 




 

 

 

 

 

 

4,875,650

 










 

 

 

See Notes to Financial Statements.


26

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

 

 

 

 









Health Care Providers & Services — 3.5%

 

 

 

 

 

 

 

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

 

USD

2,115

 

$

2,189,025

 

HCA, Inc., 9.13%, 11/15/14

 

 

2,605

 

 

2,738,506

 

LifePoint Hospitals, Inc., 3.50%, 5/15/14 (d)

 

 

160

 

 

146,600

 

Tenet Healthcare Corp. (b):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

1,602

 

 

1,678,095

 

10.00%, 5/01/18

 

 

662

 

 

728,200

 

8.88%, 7/01/19

 

 

3,010

 

 

3,175,550

 

Vanguard Health Holding Co. II LLC, 8.00%,
2/01/18 (b)

 

 

2,315

 

 

2,274,488

 

 

 

 

 

 




 

 

 

 

 

 

12,930,464

 









Health Care Technology — 0.8%

 

 

 

 

 

 

 

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

 

 

2,610

 

 

3,001,500

 









Hotels, Restaurants & Leisure — 3.7%

 

 

 

 

 

 

 

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

 

 

657

 

 

39,420

 

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

 

 

1,620

 

 

1,680,750

 

Icahn Enterprises LP, 8.00%, 1/15/18 (b)

 

 

3,455

 

 

3,247,700

 

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

 

 

2,450

 

 

1,188,250

 

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

 

 

1,855

 

 

468,387

 

MGM Mirage:

 

 

 

 

 

 

 

13.00%, 11/15/13

 

 

1,675

 

 

1,909,500

 

10.38%, 5/15/14 (b)

 

 

395

 

 

418,700

 

11.13%, 11/15/17 (b)

 

 

1,220

 

 

1,317,600

 

Pinnacle Entertainment, Inc., 8.63%, 8/01/17 (b)

 

 

840

 

 

798,000

 

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

 

 

1,525

 

 

1,448,750

 

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

 

 

420

 

 

407,925

 

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

 

 

70

 

 

55,650

 

Travelport LLC:

 

 

 

 

 

 

 

4.88%, 9/01/14 (g)

 

 

210

 

 

195,300

 

9.88%, 9/01/14

 

 

310

 

 

316,975

 

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

 

 

475

 

 

297

 

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

 

 

1,435

 

 

272,650

 

 

 

 

 

 




 

 

 

 

 

 

13,765,854

 









Household Durables — 2.3%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17 (b)

 

 

1,960

 

 

2,185,400

 

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

 

 

400

 

 

418,000

 

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

 

 

2,560

 

 

2,675,200

 

KB Home:

 

 

 

 

 

 

 

6.38%, 8/15/11

 

 

45

 

 

45,787

 

9.10%, 9/15/17

 

 

320

 

 

332,000

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

535

 

 

481,500

 

7.00%, 8/15/15

 

 

395

 

 

355,500

 

10.75%, 9/15/16

 

 

1,960

 

 

2,043,300

 

 

 

 

 

 




 

 

 

 

 

 

8,536,687

 









Household Products — 0.1%

 

 

 

 

 

 

 

Libbey Glass, Inc., 10.00%, 2/15/15 (b)

 

 

195

 

 

201,825

 









IT Services — 1.5%

 

 

 

 

 

 

 

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

 

 

2,515

 

 

2,326,375

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

2,630

 

 

2,248,950

 

11.25%, 3/31/16

 

 

1,195

 

 

979,900

 

 

 

 

 

 




 

 

 

 

 

 

5,555,225

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 

 

 

 

 









Independent Power Producers & Energy Traders — 3.6%

 

 

 

 

 

 

 

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

 

USD

1,210

 

$

1,231,175

 

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

 

 

910

 

 

986,213

 

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

 

 

1,875

 

 

1,898,437

 

Energy Future Holdings Corp.:

 

 

 

 

 

 

 

10.88%, 11/01/17

 

 

625

 

 

473,438

 

11.25%, 11/01/17 (e)

 

 

4,323

 

 

3,025,904

 

10.00%, 1/15/20 (b)

 

 

2,700

 

 

2,754,000

 

NRG Energy, Inc., 7.25%, 2/01/14

 

 

2,965

 

 

2,987,237

 

 

 

 

 

 




 

 

 

 

 

 

13,356,404

 









Industrial Conglomerates — 2.5%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

3,550

 

 

3,479,000

 

13.50%, 12/01/15 (e)

 

 

5,797

 

 

5,811,269

 

 

 

 

 

 




 

 

 

 

 

 

9,290,269

 









Insurance — 0.9%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,543,750

 

USI Holdings Corp., 4.13%, 11/15/14 (b)(g)

 

 

1,000

 

 

827,500

 

 

 

 

 

 




 

 

 

 

 

 

3,371,250

 









Internet & Catalog Retail — 0.2%

 

 

 

 

 

 

 

NetFlix, Inc., 8.50%, 11/15/17

 

 

525

 

 

549,938

 









Internet Software & Services — 0.2%

 

 

 

 

 

 

 

Equinix, Inc., 8.13%, 3/01/18 (h)

 

 

920

 

 

920,000

 









Leisure Equipment & Products — 0.5%

 

 

 

 

 

 

 

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

 

 

1,110

 

 

1,234,875

 

Easton-Bell Sports, Inc., 9.75%, 12/01/16 (b)

 

 

415

 

 

430,563

 

 

 

 

 

 




 

 

 

 

 

 

1,665,438

 









Life Sciences Tools & Services — 0.1%

 

 

 

 

 

 

 

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

 

 

250

 

 

261,250

 









Machinery — 1.2%

 

 

 

 

 

 

 

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

 

 

1,640

 

 

1,312,000

 

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

 

 

14

 

 

23,523

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (d)

 

 

760

 

 

777,100

 

8.25%, 11/01/21

 

 

1,400

 

 

1,421,000

 

RBS Global, Inc., 8.88%, 9/01/16

 

 

725

 

 

656,125

 

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

 

 

360

 

 

378,900

 

 

 

 

 

 




 

 

 

 

 

 

4,568,648

 









Marine — 1.0%

 

 

 

 

 

 

 

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

 

 

3,130

 

 

2,590,075

 

Navios Maritime Holdings, Inc., 8.88%,
11/01/17 (b)

 

 

750

 

 

763,125

 

Trico Shipping AS, 11.88%, 11/01/14 (b)

 

 

490

 

 

474,687

 

 

 

 

 

 




 

 

 

 

 

 

3,827,887

 









Media — 13.2%

 

 

 

 

 

 

 

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

 

 

3,635

 

 

3,671,350

 

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

 

 

539

 

 

636,732

 

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

 

 

1,020

 

 

1,035,300

 

CMP Susquehanna Corp., 3.20%, 5/15/14

 

 

236

 

 

4,720

 

CSC Holdings, Inc., 8.50%, 4/15/14 (b)

 

 

580

 

 

609,725

 

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

 

 

2,120

 

 

2,233,950

 

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

 

 

885

 

 

924,825

 


 

 

 

See Notes to Financial Statements.

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

27




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

 

 

Par
(000)

 

 

 

Corporate Bonds

 

 

 

Value

 









Media (concluded)

 

 

 

 

 

 

 

Charter Communications Operating LLC (b):

 

 

 

 

 

 

 

10.00%, 4/30/12

 

USD

700

 

$

724,500

 

10.38%, 4/30/14

 

 

1,050

 

 

1,065,750

 

Clear Channel Worldwide Holdings, Inc., 9.25%,
12/15/17 (b)

 

 

7,136

 

 

7,322,970

 

Cox Enterprises, Inc. (c):

 

 

 

 

 

 

 

Loan Close 2, 12.00%, 8/15/18

 

 

960

 

 

960,000

 

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

 

 

1,120

 

 

1,120,000

 

Shares Loan, 12.00%, 8/15/18

 

 

1,120

 

 

1,120,000

 

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

 

 

140

 

 

143,150

 

Gannett Co., Inc., 8.75%, 11/15/14 (b)

 

 

1,010

 

 

1,056,713

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (g)

 

 

510

 

 

405,450

 

9.50%, 5/15/15

 

 

620

 

 

565,750

 

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

 

 

3,320

 

 

3,436,200

 

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

 

 

390

 

 

395,850

 

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

 

 

660

 

 

787,875

 

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

 

 

1,616

 

 

1,652,360

 

Lighthouse International Co. SA:

 

 

 

 

 

 

 

8.00%, 4/30/14

 

EUR

797

 

 

678,275

 

8.00%, 4/30/14 (b)

 

 

260

 

 

221,269

 

Lions Gate Entertainment, Inc., 10.25%,
11/01/16 (b)

 

USD

550

 

 

551,375

 

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

 

 

390

 

 

380,250

 

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

 

 

35

 

 

16,100

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

140

 

 

155,925

 

10.00%, 8/01/14

 

 

2,685

 

 

2,785,687

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

650

 

 

663,000

 

10.38%, 9/01/14

 

 

2,432

 

 

2,556,640

 

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

 

EUR

1,279

 

 

1,612,160

 

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

 

USD

5,130

 

 

4,674,712

 

UPC Germany GmbH (b):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

 

800

 

 

800,000

 

8.13%, 12/01/17

 

EUR

852

 

 

1,171,732

 

9.63%, 12/01/19

 

 

1,475

 

 

2,028,527

 

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

 

USD

800

 

 

832,000

 

 

 

 

 

 




 

 

 

 

 

 

49,000,822

 









Metals & Mining — 5.1%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

1,495

 

 

3,738

 

10.00%, 12/15/16

 

 

1,300

 

 

27,625

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

1,175

 

 

1,175,000

 

7.38%, 2/15/16

 

 

335

 

 

312,387

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

790

 

 

833,450

 

10.63%, 9/01/16

 

 

1,740

 

 

1,940,100

 

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

 

 

2,925

 

 

2,925,000

 

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

 

 

280

 

 

313,600

 

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

 

 

1,845

 

 

1,849,612

 

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

 

 

1,255

 

 

1,256,569

 

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

 

EUR

960

 

 

1,163,399

 

Novelis, Inc.:

 

 

 

 

 

 

 

7.25%, 2/15/15

 

USD

2,280

 

 

2,114,700

 

11.50%, 2/15/15

 

 

640

 

 

680,000

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.62%, 11/01/14 (g)

 

 

600

 

 

535,500

 

12.00%, 11/01/15

 

 

400

 

 

411,000

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

 

 

 

 

Value

 









Metals & Mining (concluded)

 

 

 

 

 

 

 

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

 

USD

680

 

$

691,900

 

Teck Resources Ltd.:

 

 

 

 

 

 

 

10.25%, 5/15/16

 

 

445

 

 

530,662

 

10.75%, 5/15/19

 

 

1,005

 

 

1,236,150

 

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

 

 

950

 

 

1,002,250

 

 

 

 

 

 




 

 

 

 

 

 

19,002,642

 









Multiline Retail — 1.3%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

229

 

 

250,755

 

11.88%, 7/15/17 (e)

 

 

3,611

 

 

4,197,787

 

Saks, Inc., 9.88%, 10/01/11

 

 

440

 

 

456,500

 

 

 

 

 

 




 

 

 

 

 

 

4,905,042

 









Oil, Gas & Consumable Fuels — 7.3%

 

 

 

 

 

 

 

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

 

 

465

 

 

481,275

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

680

 

 

765,000

 

10.75%, 2/01/18

 

 

380

 

 

411,350

 

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

 

 

750

 

 

751,875

 

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

 

 

360

 

 

381,150

 

Chesapeake Energy Corp., 2.25%, 12/15/38 (d)

 

 

1,200

 

 

891,000

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

260

 

 

286,000

 

10.25%, 12/15/15

 

 

1,695

 

 

1,633,556

 

Crosstex Energy LP, 8.88%, 2/15/18 (b)

 

 

1,460

 

 

1,481,900

 

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

 

 

1,255

 

 

1,298,925

 

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

 

 

3,000

 

 

3,022,500

 

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

 

 

705

 

 

690,900

 

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

 

 

2,615

 

 

2,353,500

 

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

 

 

3,010

 

 

3,010,000

 

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

 

 

1,985

 

 

2,019,737

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

835

 

 

905,975

 

7.88%, 6/01/15

 

 

695

 

 

695,000

 

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

 

 

600

 

 

628,500

 

Roseton-Danskammer 2001, Series B,
7.67%, 11/08/16

 

 

2,925

 

 

2,822,625

 

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

 

 

555

 

 

487,013

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

8.63%, 4/01/15 (e)

 

 

130

 

 

128,050

 

9.88%, 5/15/16 (b)

 

 

800

 

 

826,000

 

8.00%, 6/01/18 (b)

 

 

200

 

 

191,500

 

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

 

 

970

 

 

984,550

 

 

 

 

 

 




 

 

 

 

 

 

27,147,881

 









Paper & Forest Products — 4.2%

 

 

 

 

 

 

 

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

 

 

1,645

 

 

1,225,427

 

Boise Paper Holdings LLC, 9.00%, 11/01/17 (b)

 

 

565

 

 

581,950

 

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

 

 

585

 

 

649,350

 

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

 

 

2,395

 

 

2,526,725

 

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

 

 

310

 

 

297,600

 

NewPage Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/12

 

 

1,190

 

 

684,250

 

11.38%, 12/31/14

 

 

8,715

 

 

8,322,825

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14 (b)

 

 

500

 

 

525,000

 

Series B, 4.00%, 8/01/14 (g)

 

 

420

 

 

339,150

 

Series B, 9.13%, 8/01/14

 

 

490

 

 

450,800

 

 

 

 

 

 




 

 

 

 

 

 

15,603,077

 










 

 

 

See Notes to Financial Statements.

 


28

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010



 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Pharmaceuticals — 1.4%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.00%,
12/01/13 (g)

 

USD

1,605

 

$

1,300,050

 

Elan Corp. Plc, 8.75%, 10/15/16 (b)

 

 

1,100

 

 

1,067,000

 

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

 

 

140

 

 

142,100

 

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

 

EUR

1,415

 

 

1,782,237

 

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

 

USD

815

 

 

843,525

 

 

 

 

 

 




 

 

 

 

 

 

5,134,912

 









Real Estate Management & Development — 0.6%

 

 

 

 

 

 

 

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

 

 

2,300

 

 

2,070,000

 









Semiconductors & Semiconductor Equipment — 0.9%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc., 8.13%,
12/15/17 (b)

 

 

1,370

 

 

1,387,125

 

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

 

 

1,800

 

 

1,782,000

 

 

 

 

 

 




 

 

 

 

 

 

3,169,125

 









Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 7.89%, 2/15/12 (b)(e)(g)

 

 

670

 

 

13,408

 









Specialty Retail — 1.5%

 

 

 

 

 

 

 

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

 

 

520

 

 

490,750

 

General Nutrition Centers, Inc., 10.75%, 3/15/15

 

 

885

 

 

894,956

 

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

 

 

1,570

 

 

1,228,525

 

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

 

 

1,170

 

 

1,253,363

 

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

 

 

1,675

 

 

1,597,531

 

 

 

 

 

 




 

 

 

 

 

 

5,465,125

 









Textiles, Apparel & Luxury Goods — 1.5%

 

 

 

 

 

 

 

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

 

EUR

2,800

 

 

3,831,699

 

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

 

USD

2,000

 

 

1,705,000

 

 

 

 

 

 




 

 

 

 

 

 

5,536,699

 









Wireless Telecommunication Services — 5.5%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.38%, 11/01/14

 

 

1,600

 

 

1,592,000

 

10.00%, 7/15/15

 

 

2,800

 

 

2,835,000

 

7.75%, 5/15/16

 

 

330

 

 

335,363

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

2,020

 

 

1,929,100

 

9.13%, 1/15/15 (e)

 

 

2,987

 

 

2,912,325

 

FiberTower Corp., 9.00%, 1/01/16

 

 

474

 

 

383,573

 

iPCS, Inc., 2.37%, 5/01/13 (g)

 

 

1,200

 

 

1,104,000

 

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

 

 

3,255

 

 

3,246,862

 

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

 

 

1,220

 

 

1,232,200

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series D, 7.38%, 8/01/15

 

 

100

 

 

92,250

 

Series E, 6.88%, 10/31/13

 

 

2,800

 

 

2,688,000

 

Series F, 5.95%, 3/15/14

 

 

160

 

 

145,200

 

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

 

 

365

 

 

321,200

 

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

 

 

1,880

 

 

1,424,100

 

 

 

 

 

 




 

 

 

 

 

 

20,241,173

 









Total Corporate Bonds — 100.3%

 

 

 

 

 

371,211,947

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

Par
(000)

 

Value

 







Aerospace & Defense — 0.1%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co., LLC, Term Loan B,
10.50%, 3/26/14

 

USD

399

 

$

364,337

 









Auto Components — 1.0%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan,
2.98% – 3.00%, 8/07/14

 

 

3,420

 

 

3,132,327

 

Dana Holding Corp., Term Advance,
4.48% – 4.51%, 1/30/15

 

 

587

 

 

571,606

 

 

 

 

 

 




 

 

 

 

 

 

3,703,933

 









Automobiles — 2.9%

 

 

 

 

 

 

 

Ford Motor Co., Tranche B-1 Term Loan,
3.24% – 3.26%, 12/15/13

 

 

11,436

 

 

10,683,345

 









Building Products — 1.2%

 

 

 

 

 

 

 

CPG International I, Inc., Term Loan, 5.23%, 2/28/11

 

 

4,531

 

 

4,530,653

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

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

 

 

766

 

 

486,623

 









Chemicals — 1.0%

 

 

 

 

 

 

 

PQ Corp. (fka Niagara Acquisition, Inc.), Original
Term Loan (First Lien), 3.48% – 3.50%, 7/30/14

 

 

985

 

 

901,275

 

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

 

 

470

 

 

476,204

 

Tronox Worldwide LLC, Term Loan:

 

 

 

 

 

 

 

Tranche B-1, 9.00%, 6/24/10

 

 

1,813

 

 

1,860,440

 

Tranche B-2, 9.00%, 6/24/10

 

 

487

 

 

499,820

 

 

 

 

 

 




 

 

 

 

 

 

3,737,739

 









Construction & Engineering — 0.8%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Term Loan,
13.00%, 12/14/17

 

 

3,000

 

 

3,000,000

 









Consumer Finance — 0.5%

 

 

 

 

 

 

 

DaimlerChrysler Financial Services Americas LLC,
Term Loan (First Lien), 4.24%, 8/03/12

 

 

1,923

 

 

1,898,204

 









Diversified Telecommunication Services — 1.8%

 

 

 

 

 

 

 

Wind Finance SL SA, Euro Facility (Second Lien),
7.67%, 12/17/14

 

EUR

4,908

 

 

6,655,503

 









Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

Rite Aid Corp., Tranche 4 Term Loan,
9.50%, 6/10/15

 

USD

1,900

 

 

1,968,400

 









Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

Travelport LLC (fka Travelport Inc.), Loan,
8.25%, 3/27/12

 

 

4,756

 

 

4,351,511

 









Independent Power Producers & Energy Traders — 1.2%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Initial Tranche B-1, 3.73% – 3.75%, 10/10/14

 

 

324

 

 

260,613

 

Initial Tranche B-2, 3.73% – 3.75%, 10/10/14

 

 

916

 

 

736,373

 

Initial Tranche B-3, 3.73% – 3.75%, 10/10/14

 

 

4,276

 

 

3,421,001

 

 

 

 

 

 




 

 

 

 

 

 

4,417,987

 









IT Services — 0.1%

 

 

 

 

 

 

 

First Data Corp., Initial Tranche B-1 Term Loan,
2.98% – 3.00%, 9/24/14

 

 

347

 

 

303,387

 









Machinery — 0.2%

 

 

 

 

 

 

 

Accuride Corp., Advance Term Loan,
9.75%, 1/31/12

 

 

875

 

 

873,177

 










 

 

 

See Notes to Financial Statements.


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

29




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (g)

 

Par
(000)

 

Value

 







Media — 2.7%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Loan,
7.89%, 3/01/12

 

USD

709

 

$

669,993

 

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

 

 

2,463

 

 

2,437,875

 

HMH Publishing Co. Ltd.:

 

 

 

 

 

 

 

Mezzanine, 17.50%, 11/14/14

 

 

1,059

 

 

130,647

 

Tranche A Term Loan, 5.48%, 6/12/14

 

 

2,264

 

 

1,904,311

 

New Vision Exit Term Loan, 13.00%, 10/01/12

 

 

74

 

 

74,680

 

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

 

 

1,950

 

 

2,084,063

 

Virgin Media Investment Holdings Ltd., C Facility,
3.58%, 7/17/13

 

GBP

1,380

 

 

1,965,708

 

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

 

USD

697

 

 

704,447

 

 

 

 

 

 




 

 

 

 

 

 

9,971,722

 









Multiline Retail — 0.5%

 

 

 

 

 

 

 

Hema Holding BV, Facility (Mezzanine),
8.92%, 1/29/17

 

EUR

1,272

 

 

1,255,563

 

The Neiman Marcus Group Inc., Term Loan,
2.26%, 4/06/13

 

USD

557

 

 

499,838

 

 

 

 

 

 




 

 

 

 

 

 

1,755,401

 









Oil, Gas & Consumable Fuels — 0.7%

 

 

 

 

 

 

 

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

 

 

3,417

 

 

2,563,048

 









Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, Loan,
6.50% – 7.25%, 2/01/13

 

 

1,889

 

 

1,039,029

 









Real Estate Management & Development — 0.2%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Initial Term B Loan, 3.25%, 10/10/13

 

 

592

 

 

522,393

 

Synthetic Letter of Credit, 3.23%, 10/10/13

 

 

188

 

 

165,425

 

 

 

 

 

 




 

 

 

 

 

 

687,818

 









Specialty Retail — 0.3%

 

 

 

 

 

 

 

Claire’s Stores Inc., Term B Loan, 3.00%, 5/29/14

 

 

418

 

 

345,329

 

Michaels Stores, Inc., Term Loan B-1,
2.50% – 2.56%, 10/31/13

 

 

554

 

 

498,559

 

Pedalgreen Ltd., Loan Facility, 9.54%, 11/30/15

 

GBP

228

 

 

319,896

 

 

 

 

 

 




 

 

 

 

 

 

1,163,784

 









Total Floating Rate Loan Interests — 17.3%

 

 

 

 

 

64,155,603

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Other Interests (k)

 

 

Beneficial
Interest
(000)

 

 

 

 









Auto Components — 2.0%

 

 

 

 

 

 

 

Delphi Debtor in Possession Hold Co. LLP, Class B,
Membership Interests

 

USD

1

 

 

7,309,504

 

Lear Corp., Escrow

 

 

790

 

 

11,850

 

 

 

 

 

 




 

 

 

 

 

 

7,321,354

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc.

 

 

970

 

 

97

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow

 

 

1,250

 

 

125

 

Adelphia Recovery Trust

 

 

1,568

 

 

6,271

 

 

 

 

 

 




 

 

 

 

 

 

6,396

 









Total Other Interests — 2.0%

 

 

 

 

 

7,327,847

 









 

 

 

 

 

 

Preferred Stocks

 

Shares

 

Value

 









Diversified Financial Services — 0.8%

 

 

 

 

 

 

 

Citigroup, Inc., 7.50% (d)

 

 

23,300

 

$

2,499,158

 

GMAC, Inc., 7.00%, (b)

 

 

880

 

 

622,847

 

 

 

 

 

 




 

 

 

 

 

 

3,122,005

 









Household Durables — 0.1%

 

 

 

 

 

 

 

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

 

 

14,976

 

 

352,872

 









Media — 0.0%

 

 

 

 

 

 

 

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

 

 

55,038

 

 

1

 









Total Preferred Securities — 0.9%

 

 

 

 

 

3,474,878

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants (l)

 

 

 

 

 

 

 









Construction & Engineering — 0.0%

 

 

 

 

 

 

 

Safway US LLC (expires 12/14/17)

 

 

550

 

 

1

 









Containers & Packaging — 0.0%

 

 

 

 

 

 

 

MDP Acquisitions Plc (expires 10/01/13)

 

 

1,100

 

 

47,136

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (expires 1/16/04)

 

 

52,465

 

 

1

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (expires 4/29/14)

 

 

819

 

 

8

 









Media — 0.0%

 

 

 

 

 

 

 

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

 

 

62,894

 

 

1

 

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

 

 

3,995

 

 

40

 

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

 

 

22,194

 

 

221

 

 

 

 

 

 




 

 

 

 

 

 

262

 









Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

2

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

47,408

 









Total Long-Term Investments
(Cost — $469,959,557) — 124.9%

 

 

 

 

 

462,334,454

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempFund, Institutional
Class, 0.10% (m)(n)

 

 

4,339,566

 

 

4,339,566

 









Total Short-Term Securities
(Cost — $4,339,566) — 1.2%

 

 

 

 

 

4,339,566

 









Total Investments (Cost — $474,299,123*) — 126.1%

 

 

 

 

 

466,674,020

 

 

Liabilities in Excess of Other Assets — (26.1)%

 

 

 

 

 

(96,525,521

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

370,148,499

 

 

 

 

 

 




 

 

 

 

 

 

 

 










 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

477,280,554

 

 

 




Gross unrealized appreciation

 

$

20,541,512

 

Gross unrealized depreciation

 

 

(31,148,046

)

 

 




Net unrealized depreciation

 

$

(10,606,534

)

 

 





 

 

(a)

Non-income producing security.

 

 

(b)

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

 

 

(c)

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

 

 

(d)

Convertible security.


 

 

 

See Notes to Financial Statements.


30

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010





 

 


 

 

Schedule of Investments (continued)

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


 

 

(e)

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

 

 

(f)

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

 

 

(g)

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

 

 

(h)

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


 

 

 

 

 

 

 

 


Counterparty

 

Value

 

Unrealized
Appreciation

 


Citigroup Global

 

$

920,000

 

 

 

Wells Fargo Bank

 

$

236,038

 

$

6,038

 

JPMorgan Securities

 

$

650,000

 

 

 

Morgan Stanley Capital Services, Inc.

 

$

3,010,000

 

 

 










 

 

(i)

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

 

 

(j)

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.

 

 

(k)

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

 

 

(l)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date.

 

 

(m)

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


 

 

 

 

 

 

 

 


Affiliate

 

Net
Activity

 

 

Income

 


BlackRock Liquidity Funds, TempFund, Institutional Class

 

$

2,142,475

 

$

426

 



 

 

(n)

Represents the current yield as of report date.

 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













K. Hovnanian Enterprises, Inc.

 

5.00

%

 

Goldman Sachs
Bank USA

 

December
2011

 

USD

 

755

 

$

(4,860

)

K. Hovnanian Enterprises, Inc.

 

5.00

%

 

Goldman Sachs
Bank USA

 

December
2013

 

USD

 

1,475

 

 

(51,607

)

Louisiana-Pacific Corp.

 

5.00

%

 

JPMorgan Chase
Bank NA

 

March
2014

 

USD

 

1,000

 

 

(263,029

)

Macy’s, Inc.

 

8.05

%

 

Goldman Sachs
Bank USA

 

March 2014

 

USD

 

900

 

 

(215,800

)

Brunswick Corp.

 

5.00

%

 

Goldman Sachs
Bank USA

 

September
2014

 

USD

 

300

 

 

(8,479

)

Centex Corp.

 

1.00

%

 

Deutsche
Bank USA

 

September
2014

 

USD

 

275

 

 

1,529

 

Limited Brands, Inc.

 

1.00

%

 

Goldman Sachs
Bank USA

 

September
2014

 

USD

 

1,500

 

 

(52,581

)

Limited Brands, Inc.

 

1.00

%

 

JPMorgan Chase
Bank NA

 

September
2014

 

USD

 

100

 

 

(3,435

)

American Axle and Manufacturing Inc.

 

5.00

%

 

Deutsche
Bank AG

 

December
2014

 

USD

 

560

 

 

(4,192

)

Boston Scientific Corp.

 

1.00

%

 

Goldman Sachs
Bank USA

 

December
2014

 

USD

 

875

 

 

1,608

 

















Total

 

 

 

 

 

 

 

 

 

 

 

 

$

(600,846

)

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single name issues — sold protection outstanding as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 















Advanced Micro Index Devices, Inc.

 

5.00

%

 

JPMorgan Chase
Bank NA

 

March
2015

 

  B–

 

USD

 

700

 

$

2,614

 

Realogy Corp.

 

5.00

%

 

Credit Suisse
International

 

March
2015

 

C

 

USD

 

150

 

 

1,928

 

Realogy Corp.

 

5.00

%

 

JPMorgan Chase
Bank NA

 

March
2015

 

C

 

USD

 

725

 

 

(24,906

)

Standard Pacific Corp.

 

5.00

%

 

Goldman Sachs
International

 

March
2015

 

  B–

 

USD

 

400

 

 

(358

)



















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(20,722

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

1

Using Standard and Poor’s ratings of the issuer.

 

 

 

 

2

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

 

 

 

Foreign currency exchange contracts as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 


EUR

 

583,000

 

USD

 

795,112

 

Citibank NA

 

3/03/10

 

$

(1,275

)

EUR

 

1,434,000

 

USD

 

1,976,895

 

Citibank NA

 

3/24/10

 

 

(24,373

)

USD

 

34,458,271

 

EUR

 

23,879,500

 

Citibank NA

 

3/24/10

 

 

1,944,152

 

USD

 

691,160

 

CAD

 

723,000

 

Goldman Sachs
Bank USA

 

4/21/10

 

 

4,093

 

USD

 

1,574,454

 

GBP

 

1,006,500

 

Citibank NA

 

4/21/10

 

 

40,351

 

USD

 

990,578

 

GBP

 

614,000

 

Deutsche Bank AG

 

4/21/10

 

 

54,723

 

USD

 

2,660,835

 

GBP

 

1,643,500

 

Morgan Stanley
Capital Services, Inc.

 

4/21/10

 

 

155,820

 
















Total

 

 

 

 

 

 

 

 

 

 

$

2,173,491

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

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

 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, repayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments)

 

 

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


 

 

 

See Notes to Financial Statements.


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

31




 

 


 

Schedule of Investments (concluded)

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

The following tables summarize the inputs used as of February 28, 2010 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 

 

 



Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

15,206,966

 

$

787,820

 

$

121,985

 

$

16,116,771

 

Corporate Bonds

 

 

 

 

365,838,511

 

 

5,373,436

 

 

371,211,947

 

Floating Rate Loan Interests

 

 

 

 

31,019,481

 

 

33,136,122

 

 

64,155,603

 

Other Interests

 

 

 

 

11,850

 

 

7,315,997

 

 

7,327,847

 

Preferred Securities

 

 

2,499,158

 

 

975,719

 

 

1

 

 

3,474,878

 

Warrants

 

 

 

 

47,137

 

 

271

 

 

47,408

 

Short-Term Securities

 

 

4,339,566

 

 

 

 

 

 

4,339,566

 

 

 













Total

 

$

22,045,690

 

$

398,680,518

 

$

45,947,812

 

$

466,674,020

 

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

Other Financial Instruments1

 

 

 


Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets

 

 

 

$

2,206,818

 

$

116

 

$

2,206,934

 

Liabilities

 

 

 

 

(654,895

)

 

(170,722

)

 

(825,617

)

 

 













Total

 

 

 

$

1,551,923

 

$

(170,606

)

$

1,381,317

 

 

 














 

 

1

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























 

 

Investments in Securities

 

 

 


 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

















Balance, as of August 31, 2009

 

$

645

 

$

2,089,671

 

$

34,290,990

 

$

6,493

 

$

1

 

$

10

 

$

36,387,810

 

Accrued discounts/premium

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

 

340,878

 

 

(6,147,522

)

 

 

 

 

 

 

 

(5,806,644

)

Change in unrealized appreciation/depreciation2

 

 

12,958

 

 

(78,077

)

 

15,487,331

 

 

 

 

 

 

(9

)

 

15,422,203

 

Net purchases (sales)

 

 

 

 

(741,323

)

 

(8,388,752

)

 

 

 

 

 

 

 

(9,130,075

)

Net transfers in/out of Level 3

 

 

108,382

 

 

3,762,287

 

 

(2,105,925

)

 

7,309,504

 

 

 

 

270

 

 

9,074,518

 

 

 






















Balance, as of February 28, 2010

 

$

121,985

 

$

5,373,436

 

$

33,136,122

 

$

7,315,997

 

$

1

 

$

271

 

$

45,947,812

 

 

 























 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on securities still held at February 28, 2010 was $10,725,147.

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

 

 

 

 

 

 

 

 





 

 

Other Financial Instruments3

 

 

 


 

 

Assets

 

Liabilities

 







Balance, as of August 31, 2009

 

 

 

 

 

Accrued discounts/premiums

 

 

 

 

 

Realized gain (loss)

 

 

 

 

 

Change in unrealized appreciation/depreciation

 

 

 

 

 

Net purchases (sales)

 

 

 

 

 

Net transfers in/out of Level 3

 

$

116

 

$

(170,722

)

 

 







Balance, as of February 28, 2010

 

$

116

 

$

(170,722

)

 

 








 

 

3

Other financial instruments are unfunded loan commitments.


 

 

 

See Notes to Financial Statements.




32

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

Schedule of Investments February 28, 2010 (Unaudited)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 







Auto Components — 0.1%

 

 

 

 

 

 

 

Lear Corp. (a)

 

 

6,842

 

$

473,945

 









Building Products — 0.6%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

57,354

 

 

2,408,868

 









Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

464,000

 

 

747,040

 









Chemicals — 0.0%

 

 

 

 

 

 

 

Wellman Holdings, Inc. (a)

 

 

2,616

 

 

654

 









Communications Equipment — 1.0%

 

 

 

 

 

 

 

Brocade Communications Systems, Inc. (a)

 

 

85,000

 

 

494,700

 

Loral Space & Communications Ltd. (a)

 

 

104,619

 

 

3,403,256

 

 

 

 

 

 




 

 

 

 

 

 

3,897,956

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc. (a)

 

 

3,445

 

 

127,465

 









Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

Bank of America Corp.

 

 

95,000

 

 

1,582,700

 









Diversified Telecommunication Services — 0.2%

 

 

 

 

 

 

 

Qwest Communications International, Inc.

 

 

200,000

 

 

912,000

 









Electrical Equipment — 0.0%

 

 

 

 

 

 

 

Medis Technologies Ltd. (a)

 

 

116,910

 

 

8,301

 

SunPower Corp., Class B (a)

 

 

1,235

 

 

20,167

 

 

 

 

 

 




 

 

 

 

 

 

28,468

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc. (a)

 

 

1,816

 

 

10,261

 









Machinery — 0.1%

 

 

 

 

 

 

 

Accuride Corp. (a)

 

 

283,553

 

 

368,619

 









Media — 0.4%

 

 

 

 

 

 

 

Gannett Co., Inc.

 

 

88,000

 

 

1,333,200

 









Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

197,451

 

 

414,718

 

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

 

 

221,591

 

 

465,421

 

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

 

 

78,039

 

 

16,317

 

 

 

 

 

 




 

 

 

 

 

 

896,456

 









Wireless Telecommunication Services — 0.3%

 

 

 

 

 

 

 

FiberTower Corp. (a)

 

 

127,570

 

 

525,589

 

SBA Communications Corp., Class A (a)

 

 

14,500

 

 

512,720

 

 

 

 

 

 




 

 

 

 

 

 

1,038,309

 









Total Common Stocks — 3.5%

 

 

 

 

 

13,825,941

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000
)

 

 

 

 









Airlines — 2.4%

 

 

 

 

 

 

 

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

 

USD

1,620

 

$

1,660,500

 

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

 

 

510

 

 

513,825

 

Continental Airlines, Inc.:

 

 

 

 

 

 

 

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

 

 

1,491

 

 

1,371,784

 

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

 

 

432

 

 

421,340

 

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

 

 

680

 

 

605,187

 

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

 

 

1,600

 

 

1,648,000

 

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

 

 

3,120

 

 

3,307,200

 

 

 

 

 

 

 



 

 

 

 

 

 

9,527,836

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Auto Components — 0.8%

 

 

 

 

 

 

 

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

 

USD

69

 

$

69,136

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.86%, 8/15/11

 

 

1,905

 

 

1,971,675

 

8.63%, 12/01/11

 

 

1,195

 

 

1,239,812

 

 

 

 

 

 




 

 

 

 

 

 

3,280,623

 









Biotechnology — 0.3%

 

 

 

 

 

 

 

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

 

 

1,120

 

 

1,143,386

 









Building Products — 1.1%

 

 

 

 

 

 

 

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

 

 

1,120

 

 

1,187,200

 

Building Materials Corp. of America, 7.00%,
2/15/20 (b)

 

 

980

 

 

980,000

 

Goodman Global Group, Inc., 12.86%,
12/15/14 (b)(c)

 

 

475

 

 

275,500

 

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

 

 

1,730

 

 

1,755,950

 

 

 

 

 

 




 

 

 

 

 

 

4,198,650

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

E*Trade Financial Corp., 3.42% 8/31/19 (b)(c)(d)

 

 

380

 

 

577,600

 









Chemicals — 2.9%

 

 

 

 

 

 

 

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

 

 

1,400

 

 

1,382,500

 

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

 

 

360

 

 

373,500

 

Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b)

 

 

2,840

 

 

2,655,400

 

Hexion U.S. Finance Corp., 9.75%, 11/15/14

 

 

485

 

 

458,325

 

Huntsman International LLC (b):

 

 

 

 

 

 

 

6.88%, 11/15/13

 

EUR

440

 

 

558,687

 

5.50%, 6/30/16

 

USD

860

 

 

756,800

 

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

 

 

1,250

 

 

1,284,375

 

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

 

 

1,985

 

 

1,985,000

 

Wellman Holdings, Inc. (d):

 

 

 

 

 

 

 

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

 

 

1,450

 

 

1,450,000

 

Third Lien Subordinate Note, 5.00%,
1/29/19 (e)

 

 

464

 

 

232,152

 

 

 

 

 

 




 

 

 

 

 

 

11,136,739

 









Commercial Services & Supplies — 3.1%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15 (b)

 

 

395

 

 

429,365

 

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

 

 

935

 

 

1,000,450

 

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

 

 

1,335

 

 

1,411,763

 

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

 

 

4,775

 

 

4,906,312

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

670

 

 

664,975

 

11.00%, 10/15/16

 

 

3,550

 

 

3,558,875

 

 

 

 

 

 




 

 

 

 

 

 

11,971,740

 









Construction Materials — 1.3%

 

 

 

 

 

 

 

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

 

 

3,460

 

 

3,633,327

 

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

 

 

1,285

 

 

1,249,662

 

 

 

 

 

 




 

 

 

 

 

 

4,882,989

 









Consumer Finance — 0.5%

 

 

 

 

 

 

 

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

 

 

1,080

 

 

1,074,600

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.00%, 1/13/12 (f)

 

 

340

 

 

318,750

 

7.80%, 6/01/12

 

 

300

 

 

303,171

 

8.00%, 12/15/16

 

 

290

 

 

291,200

 

 

 

 

 

 




 

 

 

 

 

 

1,987,721

 









Containers & Packaging — 4.1%

 

 

 

 

 

 

 

Berry Plastics Escrow LLC, 8.88%, 9/15/14 (b)

 

 

745

 

 

717,063

 

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

 

 

1,625

 

 

1,564,062

 

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

 

EUR

118

 

 

163,889

 

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

 

USD

1,245

 

 

1,307,250

 


 

 

 

See Notes to Financial Statements.

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

33



 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 








Containers & Packaging (concluded)

 

 

 

 

 

 

 

 

Impress Holdings BV, 3.38%, 9/15/13 (b)(f)

 

USD

 

595

 

$

554,838

 

Owens-Brockway Glass Container, Inc.:

 

 

 

 

 

 

 

 

8.25%, 5/15/13

 

 

 

1,575

 

 

1,598,625

 

6.75%, 12/01/14

 

EUR

 

254

 

 

345,861

 

Packaging Dynamics Finance Corp., 10.00%,

 

 

 

 

 

 

 

 

5/01/16 (b)

 

USD

 

1,740

 

 

1,385,475

 

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

 

 

 

1,920

 

 

1,905,600

 

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

 

 

 

3,175

 

 

3,421,062

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

 

785

 

 

1,047,522

 

7.75%, 11/15/19

 

 

 

745

 

 

1,009,361

 

Solo Cup Co., 10.50%, 11/01/13

 

USD

 

760

 

 

796,100

 

 

 

 

 

 

 




 

 

 

 

 

 

 

15,816,708

 










Diversified Consumer Services — 1.2%

 

 

 

 

 

 

 

 

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

 

 

 

4,775

 

 

4,679,500

 










Diversified Financial Services — 8.5%

 

 

 

 

 

 

 

 

Axcan Intermediate Holdings, Inc., 12.75%,

 

 

 

 

 

 

 

 

3/01/16

 

 

 

820

 

 

887,650

 

CIT Group, Inc., 7.00%, 5/01/17

 

 

 

9,835

 

 

8,691,681

 

FCE Bank Plc:

 

 

 

 

 

 

 

 

7.88%, 2/15/11

 

GBP

 

1,050

 

 

1,613,057

 

7.13%, 1/16/12

 

EUR

 

3,000

 

 

4,049,020

 

7.13%, 1/15/13

 

 

 

1,450

 

 

1,934,913

 

GMAC LLC:

 

 

 

 

 

 

 

 

7.25%, 3/02/11

 

USD

 

1,161

 

 

1,171,159

 

6.88%, 9/15/11

 

 

 

900

 

 

900,000

 

6.88%, 8/28/12

 

 

 

1,000

 

 

990,000

 

2.45%, 12/01/14 (f)

 

 

 

745

 

 

637,345

 

6.75%, 12/01/14

 

 

 

1,680

 

 

1,604,400

 

8.30%, 2/12/15 (b)

 

 

 

3,810

 

 

3,843,337

 

8.00%, 11/01/31

 

 

 

1,600

 

 

1,476,000

 

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

 

 

 

2,100

 

 

2,131,500

 

Reynolds Group DL Escrow, Inc., 7.75%,

 

 

 

 

 

 

 

 

10/15/16 (b)

 

 

 

2,305

 

 

2,333,812

 

Reynolds Group Issuer, Inc., 7.75%,

 

 

 

 

 

 

 

 

10/15/16 (b)

 

EUR

 

600

 

 

814,959

 

 

 

 

 

 

 




 

 

 

 

 

 

 

33,078,833

 










Diversified Telecommunication Services — 3.9%

 

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%,

 

 

 

 

 

 

 

 

9/01/12

 

USD

 

1,680

 

 

1,612,800

 

GCI, Inc., 8.63%, 11/15/19 (b)

 

 

 

1,700

 

 

1,727,625

 

Level 3 Financing, Inc., 10.00%, 2/01/18 (b)

 

 

 

1,060

 

 

972,550

 

Nordic Telephone Co. Holdings ApS, 8.88%,

 

 

 

 

 

 

 

 

5/01/16 (b)

 

 

 

340

 

 

363,800

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

 

3,190

 

 

3,221,900

 

8.00%, 10/01/15 (b)

 

 

 

900

 

 

931,500

 

Series B, 7.50%, 2/15/14

 

 

 

2,820

 

 

2,848,200

 

Qwest Corp.:

 

 

 

 

 

 

 

 

7.63%, 6/15/15

 

 

 

875

 

 

935,156

 

8.38%, 5/01/16

 

 

 

1,120

 

 

1,226,400

 

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

 

 

 

1,210

 

 

1,258,400

 

 

 

 

 

 

 




 

 

 

 

 

 

 

15,098,331

 










Electric Utilities — 1.3%

 

 

 

 

 

 

 

 

Intergen NV, 9.00%, 6/30/17 (b)

 

 

 

645

 

 

657,900

 

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

 

 

 

1,630

 

 

1,409,950

 

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

 

 

 

2,863

 

 

2,868,177

 

 

 

 

 

 

 




 

 

 

 

 

 

 

4,936,027

 










Electronic Equipment, Instruments & Components — 0.1%

 

 

 

 

 

 

 

 

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

 

 

 

470

 

 

486,450

 










 

 

 

 

 

 

 

 

 

 

 

 

Par
(000)

 

Value

 

Corporate Bonds

 

 

 

 








Energy Equipment & Services — 1.4%

 

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

 

7.50%, 5/15/15

 

USD

 

335

 

$

328,300

 

7.75%, 5/15/17

 

 

 

510

 

 

499,800

 

Expro Finance Luxembourg SCA, 8.50%,

 

 

 

 

 

 

 

 

12/15/16 (b)

 

 

 

2,890

 

 

2,875,550

 

North American Energy Alliance LLC, 10.88%,

 

 

 

 

 

 

 

 

6/01/16 (b)

 

 

 

1,055

 

 

1,118,300

 

North American Energy Partners, Inc., 8.75%,

 

 

 

 

 

 

 

 

12/01/11

 

 

 

595

 

 

592,025

 

 

 

 

 

 

 




 

 

 

 

 

 

 

5,413,975

 










Food & Staples Retailing — 1.0%

 

 

 

 

 

 

 

 

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

 

 

 

1,300

 

 

1,170,000

 

Duane Reade, Inc., 11.75%, 8/01/15

 

 

 

265

 

 

333,900

 

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

 

 

 

690

 

 

690,000

 

Rite Aid Corp.:

 

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

 

660

 

 

704,550

 

10.25%, 10/15/19

 

 

 

945

 

 

999,338

 

 

 

 

 

 

 




 

 

 

 

 

 

 

3,897,788

 










Food Products — 0.5%

 

 

 

 

 

 

 

 

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

 

 

 

340

 

 

343,400

 

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

 

 

 

1,240

 

 

1,342,300

 

TreeHouse Foods, Inc., 7.75%, 3/01/18 (g)

 

 

 

250

 

 

256,563

 

 

 

 

 

 

 




 

 

 

 

 

 

 

1,942,263

 










Health Care Equipment & Supplies — 1.3%

 

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

 

10.88%, 11/15/14 (b)

 

 

 

940

 

 

1,005,800

 

10.88%, 11/15/14 (h)

 

 

 

2,720

 

 

2,910,400

 

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

 

 

 

1,495

 

 

1,278,225

 

 

 

 

 

 

 




 

 

 

 

 

 

 

5,194,425

 










Health Care Providers & Services — 3.5%

 

 

 

 

 

 

 

 

Community Health Systems, Inc., Series WI, 8.88%,

 

 

 

 

 

 

 

 

7/15/15

 

 

 

2,305

 

 

2,385,675

 

HCA, Inc., 9.13%, 11/15/14

 

 

 

2,745

 

 

2,885,681

 

LifePoint Hospitals, Inc., 3.50%, 5/15/14 (d)

 

 

 

170

 

 

155,763

 

Tenet Healthcare Corp. (b):

 

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

 

2,560

 

 

2,681,600

 

10.00%, 5/01/18

 

 

 

1,050

 

 

1,155,000

 

8.88%, 7/01/19

 

 

 

1,940

 

 

2,046,700

 

Vanguard Health Holding Co. II LLC, 8.00%,

 

 

 

 

 

 

 

 

2/01/18 (b)

 

 

 

2,450

 

 

2,407,125

 

 

 

 

 

 

 




 

 

 

 

 

 

 

13,717,544

 










Health Care Technology — 0.8%

 

 

 

 

 

 

 

 

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

 

 

 

2,770

 

 

3,185,500

 









 

Hotels, Restaurants & Leisure — 3.8%

 

 

 

 

 

 

 

 

Greektown Holdings, LLC, 10.75%,

 

 

 

 

 

 

 

 

12/01/13 (a)(b)(j)

 

 

 

703

 

 

42,180

 

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

 

 

 

1,680

 

 

1,743,000

 

Icahn Enterprises LP, 8.00%, 1/15/18 (b)

 

 

 

3,670

 

 

3,449,800

 

Inn of the Mountain Gods Resort & Casino, 12.00%,

 

 

 

 

 

 

 

 

11/15/10 (a)(j)

 

 

 

2,575

 

 

1,248,875

 

Little Traverse Bay Bands of Odawa Indians, 10.25%,

 

 

 

 

 

 

 

 

2/15/14 (a)(b)(j)

 

 

 

1,895

 

 

478,487

 

MGM Mirage:

 

 

 

 

 

 

 

 

13.00%, 11/15/13

 

 

 

1,755

 

 

2,000,700

 

10.38%, 5/15/14 (b)

 

 

 

415

 

 

439,900

 

11.13%, 11/15/17 (b)

 

 

 

1,310

 

 

1,414,800

 

Pinnacle Entertainment, Inc., 8.63%, 8/01/17 (b)

 

 

 

1,065

 

 

1,011,750

 

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

 

 

 

1,575

 

 

1,496,250

 

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

 

 

 

460

 

 

446,775

 


 

 

 

See Notes to Financial Statements.


34

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 








Hotels, Restaurants & Leisure (concluded)

 

 

 

 

 

 

 

 

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

 

USD

 

95

 

$

75,525

 

Travelport LLC:

 

 

 

 

 

 

 

 

4.88%, 9/01/14 (f)

 

 

 

195

 

 

181,350

 

9.88%, 9/01/14

 

 

 

320

 

 

327,200

 

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

 

 

 

515

 

 

322

 

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

 

 

 

1,500

 

 

285,000

 

 

 

 

 

 

 




 

 

 

 

 

 

 

14,641,914

 










Household Durables — 2.3%

 

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17 (b)

 

 

 

2,080

 

 

2,319,200

 

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

 

 

 

435

 

 

454,575

 

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

 

 

 

2,730

 

 

2,852,850

 

KB Home:

 

 

 

 

 

 

 

 

6.38%, 8/15/11

 

 

 

48

 

 

48,840

 

9.10%, 9/15/17

 

 

 

345

 

 

357,937

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

 

570

 

 

513,000

 

7.00%, 8/15/15

 

 

 

420

 

 

378,000

 

10.75%, 9/15/16

 

 

 

2,090

 

 

2,178,825

 

 

 

 

 

 

 




 

 

 

 

 

 

 

9,103,227

 










Household Products — 0.1%

 

 

 

 

 

 

 

 

Libbey Glass, Inc., 10.00%, 2/15/15 (b)

 

 

 

210

 

 

217,350

 










IT Services — 1.5%

 

 

 

 

 

 

 

 

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

 

 

 

2,625

 

 

2,428,125

 

First Data Corp.:

 

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

 

2,630

 

 

2,248,950

 

11.25%, 3/31/16

 

 

 

1,285

 

 

1,053,700

 

 

 

 

 

 

 




 

 

 

 

 

 

 

5,730,775

 










Independent Power Producers & Energy Traders — 3.3%

 

 

 

 

 

 

 

 

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

 

 

 

51

 

 

51,893

 

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

 

 

 

975

 

 

1,056,656

 

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

 

 

 

2,010

 

 

2,035,125

 

Energy Future Holdings Corp.:

 

 

 

 

 

 

 

 

10.88%, 11/01/17

 

 

 

670

 

 

507,525

 

11.25%, 11/01/17 (e)

 

 

 

4,634

 

 

3,243,849

 

10.00%, 1/15/20 (b)

 

 

 

2,835

 

 

2,891,700

 

NRG Energy, Inc., 7.25%, 2/01/14

 

 

 

3,240

 

 

3,264,300

 

 

 

 

 

 

 




 

 

 

 

 

 

 

13,051,048

 










Industrial Conglomerates — 2.6%

 

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

 

3,810

 

 

3,733,800

 

13.50%, 12/01/15 (e)

 

 

 

6,236

 

 

6,251,702

 

 

 

 

 

 

 




 

 

 

 

 

 

 

9,985,502

 










Insurance — 0.9%

 

 

 

 

 

 

 

 

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

 

 

 

2,600

 

 

2,645,500

 

USI Holdings Corp., 4.13%, 11/15/14 (b)(f)

 

 

 

1,070

 

 

885,425

 

 

 

 

 

 

 




 

 

 

 

 

 

 

3,530,925

 










Internet & Catalog Retail — 0.1%

 

 

 

 

 

 

 

 

NetFlix, Inc., 8.50%, 11/15/17

 

 

 

560

 

 

586,600

 










Internet Software & Services — 0.2%

 

 

 

 

 

 

 

 

Equinix, Inc., 8.13%, 3/01/18 (g)

 

 

 

970

 

 

970,000

 










 

 

 

 

 

 

 

 

 

 

 

 

Par
(000)

 

Value

 

Corporate Bonds

 

 

 

 








Leisure Equipment & Products — 0.5%

 

 

 

 

 

 

 

 

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

 

USD

 

1,185

 

$

1,318,312

 

Easton-Bell Sports, Inc., 9.75%, 12/01/16 (b)

 

 

 

435

 

 

451,313

 

 

 

 

 

 

 




 

 

 

 

 

 

 

1,769,625

 










Life Sciences Tools & Services — 0.1%

 

 

 

 

 

 

 

 

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

 

 

 

275

 

 

287,375

 










Machinery — 1.1%

 

 

 

 

 

 

 

 

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

 

 

 

1,650

 

 

1,320,000

 

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

 

 

 

14

 

 

24,817

 

Navistar International Corp.:

 

 

 

 

 

 

 

 

3.00%, 10/15/14 (d)

 

 

 

800

 

 

818,000

 

8.25%, 11/01/21

 

 

 

1,500

 

 

1,522,500

 

RBS Global, Inc., 8.88%, 9/01/16

 

 

 

785

 

 

710,425

 

 

 

 

 

 

 




 

 

 

 

 

 

 

4,395,742

 










Marine — 1.0%

 

 

 

 

 

 

 

 

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

 

 

 

3,340

 

 

2,763,850

 

Navios Maritime Holdings, Inc., 8.88%,
11/01/17 (b)

 

 

 

790

 

 

803,825

 

Trico Shipping AS, 11.88%, 11/01/14 (b)

 

 

 

525

 

 

508,594

 

 

 

 

 

 

 




 

 

 

 

 

 

 

4,076,269

 










Media — 13.3%

 

 

 

 

 

 

 

 

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

 

 

 

3,844

 

 

3,882,440

 

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

 

 

 

876

 

 

1,035,231

 

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

 

 

 

875

 

 

888,125

 

CMP Susquehanna Corp., 3.20%, 5/15/14 (b)

 

 

 

254

 

 

5,080

 

CSC Holdings, Inc., 8.50%, 4/15/14 (b)

 

 

 

550

 

 

578,188

 

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

 

 

 

2,445

 

 

2,576,419

 

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

 

 

 

935

 

 

977,075

 

Charter Communications Operating LLC (b):

 

 

 

 

 

 

 

 

10.00%, 4/30/12

 

 

 

730

 

 

755,550

 

10.38%, 4/30/14

 

 

 

1,070

 

 

1,086,050

 

Clear Channel Worldwide Holdings, Inc., 9.25%,
12/15/17 (b)

 

 

 

7,574

 

 

7,772,437

 

Cox Enterprises, Inc.:

 

 

 

 

 

 

 

 

Loan Close 2, 12.00%, 8/15/18

 

 

 

990

 

 

990,000

 

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

 

 

 

1,155

 

 

1,155,000

 

Shares Loan, 12.00%, 8/15/18

 

 

 

1,155

 

 

1,155,000

 

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

 

 

 

150

 

 

153,375

 

Gannett Co., Inc., 8.75%, 11/15/14 (b)

 

 

 

945

 

 

988,706

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

 

6.00%, 5/15/15 (f)

 

 

 

550

 

 

437,250

 

9.50%, 5/15/15

 

 

 

660

 

 

602,250

 

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

 

 

 

3,930

 

 

4,067,550

 

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

 

 

 

420

 

 

426,300

 

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

 

 

 

700

 

 

835,625

 

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

 

 

 

1,748

 

 

1,787,330

 

Lighthouse International Co. SA:

 

 

 

 

 

 

 

 

8.00%, 4/30/14

 

EUR

 

822

 

 

699,551

 

8.00%, 4/30/14 (b)

 

 

 

280

 

 

238,290

 

Lions Gate Entertainment, Inc., 10.25%,
11/01/16 (b)

 

USD

 

590

 

 

591,475

 

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

 

 

 

410

 

 

399,750

 

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

 

 

 

40

 

 

18,400

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

 

225

 

 

250,594

 

10.00%, 8/01/14

 

 

 

3,025

 

 

3,138,437

 

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

 

 

 

2,570

 

 

2,701,712

 


 

 

 

See Notes to Financial Statements.


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

35



 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Media (concluded)

 

 

 

 

 

 

 

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

 

EUR

1,347

 

$

1,697,873

 

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

 

USD

5,450

 

 

4,966,312

 

UPC Germany GmbH (b):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

 

900

 

 

900,000

 

8.13%, 12/01/17

 

EUR

901

 

 

1,239,120

 

9.63%, 12/01/19

 

 

1,570

 

 

2,159,178

 

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

 

USD

800

 

 

832,000

 

 

 

 

 

 




 

 

 

 

 

 

51,987,673

 









Metals & Mining — 5.2%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

1,625

 

 

4,063

 

10.00%, 12/15/16

 

 

1,300

 

 

27,625

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

1,250

 

 

1,250,000

 

7.38%, 2/15/16

 

 

360

 

 

335,700

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

850

 

 

896,750

 

10.63%, 9/01/16

 

 

1,875

 

 

2,090,625

 

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

 

 

3,250

 

 

3,250,000

 

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

 

 

300

 

 

336,000

 

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

 

 

1,955

 

 

1,959,887

 

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

 

 

1,345

 

 

1,346,681

 

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

 

EUR

1,029

 

 

1,247,018

 

Novelis, Inc.:

 

 

 

 

 

 

 

7.25%, 2/15/15

 

USD

2,435

 

 

2,258,462

 

11.50%, 2/15/15

 

 

685

 

 

727,813

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.62%, 11/01/14 (f)

 

 

640

 

 

571,200

 

12.00%, 11/01/15

 

 

450

 

 

462,375

 

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

 

 

730

 

 

742,775

 

Teck Resources Ltd.:

 

 

 

 

 

 

 

10.25%, 5/15/16

 

 

480

 

 

572,400

 

10.75%, 5/15/19

 

 

1,075

 

 

1,322,250

 

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

 

 

1,015

 

 

1,070,825

 

 

 

 

 

 




 

 

 

 

 

 

20,472,449

 









Multiline Retail — 1.3%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

240

 

 

262,800

 

11.88%, 7/15/17 (e)

 

 

3,813

 

 

4,432,612

 

Saks, Inc., 9.88%, 10/01/11

 

 

470

 

 

487,625

 

 

 

 

 

 




 

 

 

 

 

 

5,183,037

 









Oil, Gas & Consumable Fuels — 7.4%

 

 

 

 

 

 

 

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

 

 

495

 

 

512,325

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

750

 

 

843,750

 

10.75%, 2/01/18

 

 

405

 

 

438,412

 

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

 

 

800

 

 

802,000

 

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

 

 

385

 

 

407,619

 

Chesapeake Energy Corp., 2.25%, 12/15/38 (d)

 

 

1,250

 

 

928,125

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

280

 

 

308,000

 

10.25%, 12/15/15

 

 

1,755

 

 

1,691,381

 

Crosstex Energy LP, 8.88%, 2/15/18 (b)

 

 

1,540

 

 

1,563,100

 

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

 

 

1,340

 

 

1,386,900

 

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

 

 

3,150

 

 

3,173,625

 

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

 

 

755

 

 

739,900

 

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

 

 

2,795

 

 

2,515,500

 

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

 

 

3,180

 

 

3,180,000

 

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

 

 

2,110

 

 

2,146,925

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

895

 

 

971,075

 

7.88%, 6/01/15

 

 

680

 

 

680,000

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

Value

 








Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

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

 

USD

700

 

$

733,250

 

Roseton-Danskammer 2001, Series B, 7.67%,
11/08/16

 

 

3,076

 

 

2,968,340

 

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

 

 

610

 

 

535,275

 

SandRidge Energy, Inc.:

 

 

 

 

 

 

 

8.63%, 4/01/15 (e)

 

 

130

 

 

128,050

 

9.88%, 5/15/16 (b)

 

 

800

 

 

826,000

 

8.00%, 6/01/18 (b)

 

 

210

 

 

201,075

 

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

 

 

1,020

 

 

1,035,300

 

 

 

 

 

 




 

 

 

 

 

 

28,715,927

 









Paper & Forest Products — 4.3%

 

 

 

 

 

 

 

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

 

 

1,746

 

 

1,300,866

 

Boise Paper Holdings LLC, 9.00%, 11/01/17 (b)

 

 

600

 

 

618,000

 

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

 

 

625

 

 

693,750

 

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

 

 

2,570

 

 

2,711,350

 

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

 

 

330

 

 

316,800

 

NewPage Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/12

 

 

1,265

 

 

727,375

 

11.38%, 12/31/14

 

 

9,290

 

 

8,871,950

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14 (b)

 

 

535

 

 

561,750

 

Series B, 4.00%, 8/01/14 (f)

 

 

450

 

 

363,375

 

Series B, 9.13%, 8/01/14

 

 

525

 

 

483,000

 

 

 

 

 

 




 

 

 

 

 

 

16,648,216

 









Pharmaceuticals — 1.4%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.00%,
12/01/13 (f)

 

 

1,696

 

 

1,373,760

 

Elan Corp. Plc, 8.75%, 10/15/16 (b)

 

 

1,175

 

 

1,139,750

 

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

 

 

150

 

 

152,250

 

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

 

EUR

1,501

 

 

1,890,557

 

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

 

USD

870

 

 

900,450

 

 

 

 

 

 




 

 

 

 

 

 

5,456,767

 









Real Estate Management & Development — 0.5%

 

 

 

 

 

 

 

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

 

 

2,300

 

 

2,070,000

 









Semiconductors & Semiconductor Equipment — 1.0%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc., 8.13%, 12/15/17 (b)

 

 

1,965

 

 

1,989,563

 

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

 

 

1,920

 

 

1,900,800

 

 

 

 

 

 




 

 

 

 

 

 

3,890,363

 









Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 7.89%, 2/15/12 (b)(e)(f)

 

 

716

 

 

14,320

 









Specialty Retail — 1.5%

 

 

 

 

 

 

 

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

 

 

560

 

 

528,500

 

General Nutrition Centers, Inc., 10.75%, 3/15/15

 

 

920

 

 

930,350

 

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

 

 

1,685

 

 

1,318,512

 

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

 

 

1,255

 

 

1,344,419

 

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

 

 

1,805

 

 

1,721,519

 

 

 

 

 

 




 

 

 

 

 

 

5,843,300

 









Textiles, Apparel & Luxury Goods — 1.5%

 

 

 

 

 

 

 

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

 

EUR

2,900

 

 

3,968,546

 

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

 

USD

2,100

 

 

1,790,250

 

 

 

 

 

 




 

 

 

 

 

 

5,758,796

 









Wireless Telecommunication Services — 5.1%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.38%, 11/01/14

 

 

1,480

 

 

1,468,050

 

10.00%, 7/15/15

 

 

2,870

 

 

2,905,875

 

7.75%, 5/15/16

 

 

330

 

 

335,363

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

2,160

 

 

2,062,800

 

9.13%, 1/15/15 (e)

 

 

3,064

 

 

2,987,400

 


 

 

 

See Notes to Financial Statements.

 



36

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

FiberTower Corp., 9.00%, 1/01/16

 

USD

474

 

$

383,573

 

iPCS, Inc., 2.37%, 5/01/13 (f)

 

 

1,295

 

 

1,191,400

 

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

 

 

3,755

 

 

3,745,612

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

Series D, 7.38%, 8/01/15

 

 

110

 

 

101,475

 

Series E, 6.88%, 10/31/13

 

 

2,960

 

 

2,841,600

 

Series F, 5.95%, 3/15/14

 

 

170

 

 

154,275

 

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

 

 

385

 

 

338,800

 

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

 

 

1,920

 

 

1,454,400

 

 

 

 

 

 




 

 

 

 

 

 

19,970,623

 









Total Corporate Bonds — 100.1%

 

 

 

 

 

390,512,451

 










 

 

 

 

 

 

 

 









 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 









Aerospace & Defense — 0.1%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co., Term Loan B,
10.50%, 3/26/14

 

 

424

 

 

387,108

 









Auto Components — 1.0%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan, 2.98% – 3.00%,
8/07/14

 

 

3,662

 

 

3,353,300

 

Dana Holding Corp., Term Advance, 4.50% – 6.50%,
1/30/15

 

 

639

 

 

622,201

 

 

 

 

 

 




 

 

 

 

 

 

3,975,501

 









Automobiles — 2.7%

 

 

 

 

 

 

 

Ford Motor Co., Trance B-1, Term Loan,
3.24% – 3.25%, 12/15/13

 

 

11,210

 

 

10,471,549

 









Building Products — 1.3%

 

 

 

 

 

 

 

CPG International I, Inc., Term Loan, 5.23%, 2/28/11

 

 

4,937

 

 

4,936,935

 









Capital Markets — 0.1%

 

 

 

 

 

 

 

Marsico Parent Co., LLC, Term Loan, 5.25% – 5.31%,
12/15/14

 

 

766

 

 

486,623

 









Chemicals — 1.0%

 

 

 

 

 

 

 

PQ Corp. (fka Niagara Acquisition, Inc.), Original
Term Loan (First Lien), 3.48% – 3.50%, 7/30/14

 

 

985

 

 

901,275

 

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

 

 

525

 

 

532,228

 

Tronox Worldwide LLC, Trance B-1 Term Loan, 9.00%,
6/24/10

 

 

2,400

 

 

2,462,880

 

 

 

 

 

 




 

 

 

 

 

 

3,896,383

 









Construction & Engineering — 0.8%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Term Loan,
13.00%, 12/14/17

 

 

3,250

 

 

3,250,000

 









Consumer Finance — 1.0%

 

 

 

 

 

 

 

Chrysler Financial Corp., Return of Capital, 4.35%,
8/03/12

 

 

3,500

 

 

3,373,125

 

DaimlerChrysler Financial Services Americas LLC,
Term Loan (First Lien), 4.24%, 8/03/12

 

 

557

 

 

549,751

 

 

 

 

 

 




 

 

 

 

 

 

3,922,876

 









Diversified Telecommunication Services — 1.8%

 

 

 

 

 

 

 

Wind Finance SL SA, Euro Facility (Second Lien),
7.67%, 12/17/14

 

EUR

5,258

 

 

7,130,169

 









Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

Rite Aid Corp., Tranche 4 Term Loan, 9.50%,
6/10/15

 

USD

2,050

 

 

2,123,800

 









Hotels, Restaurants & Leisure — 1.2%

 

 

 

 

 

 

 

Travelport LLC (fka Travelport Inc.), Loan, 8.25%,
3/27/12

 

 

5,109

 

 

4,674,919

 









IT Services — 0.1%

 

 

 

 

 

 

 

First Data Corp., Initial Tranche B-1 Term Loan,
2.98% – 3.00%, 9/24/14

 

 

347

 

 

303,387

 










 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 









Independent Power Producers & Energy Traders — 1.2%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.74% – 3.75%,
10/10/14

 

USD

344

 

$

276,408

 

Initial Tranche B-2 Term Loan, 3.73% – 3.75%,
10/10/14

 

 

766

 

 

615,754

 

Initial Tranche B-3 Term Loan, 3.73% – 3.75%,
10/10/14

 

 

4,565

 

 

3,652,000

 

 

 

 

 

 




 

 

 

 

 

 

4,544,162

 









Media — 2.8%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Loan, 7.89%, 3/01/12

 

 

709

 

 

669,991

 

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

 

 

2,709

 

 

2,681,663

 

HMH Publishing Co. Ltd.:

 

 

 

 

 

 

 

Mezzanine, 17.50%, 11/14/14

 

 

1,146

 

 

141,280

 

Tranche A Term Loan, 5.48%, 6/12/14

 

 

2,385

 

 

2,006,432

 

New Vision, Exit Term Loan, 13.00%, 10/01/12

 

 

74

 

 

74,680

 

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

 

 

2,250

 

 

2,404,688

 

Virgin Media Investment Holdings Ltd., C Facility,
3.58%, 7/17/13

 

GBP

1,400

 

 

1,994,196

 

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

 

USD

797

 

 

805,082

 

 

 

 

 

 




 

 

 

 

 

 

10,778,012

 









Multiline Retail — 0.5%

 

 

 

 

 

 

 

Hema Holding BV, (Mezzanine), 8.92%, 1/29/17

 

EUR

1,526

 

 

1,506,677

 

The Neiman Marcus Group Inc., Term Loan, 2.25%,
4/06/13

 

USD

597

 

 

535,446

 

 

 

 

 

 




 

 

 

 

 

 

2,042,123

 









Oil, Gas & Consumable Fuels — 0.7%

 

 

 

 

 

 

 

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

 

 

3,728

 

 

2,796,052

 









Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, Loan, 7.25%,
2/01/13

 

 

1,954

 

 

1,074,528

 









Real Estate Management & Development — 0.2%

 

 

 

 

 

 

 

Realogy Corp.:

 

 

 

 

 

 

 

Initial Term B Loan, 3.25%, 10/10/13

 

 

632

 

 

557,219

 

Synthetic LC, 3.23%, 10/10/13

 

 

170

 

 

150,021

 

 

 

 

 

 




 

 

 

 

 

 

707,240

 









Specialty Retail — 0.4%

 

 

 

 

 

 

 

Claire’s Stores, Inc., Term B Loan, 3.00%, 5/29/14

 

 

448

 

 

369,996

 

Michaels Stores, Inc., Term Loan B, 2.50% – 2.56%,
10/31/13

 

 

588

 

 

529,999

 

Pedalgreen Ltd., Loan Facility, 9.53%, 3/25/10 (e)

 

GBP

355

 

 

496,670

 

 

 

 

 

 




 

 

 

 

 

 

1,396,665

 









Total Floating Rate Loan Interests — 17.7%

 

 

 

 

 

68,898,032

 










 

 

 

 

 

 

 

 









 

Other Interests (k)

 

 

Beneficial
Interest
(000
)

 

 

 

 









Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets, Inc. (a)

 

USD

950

 

 

95

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Escrow (a)

 

 

1,300

 

 

130

 

Adelphia Recovery Trust (a)

 

 

1,630

 

 

6,521

 

 

 

 

 

 




 

 

 

 

 

 

6,651

 










 

 

 

See Notes to Financial Statements.

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

37



 

 


 

Schedule of Investments (continued)

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

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Other Interests (k)

 

Beneficial
Interest
(000)

 

Value

 







Software — 1.6%

 

 

 

 

 

 

 

Delphi DIP Hold Co. LLP, Class B,
Membership Interests (a)

 

USD

1

 

$

6,285,891

 









Total Other Interests — 1.6%

 

 

 

 

 

6,292,637

 










 

 

 

 

 

 

 

 







Preferred Securities

 

 

 

 

 

 

 







Preferred Stocks

 

 

Shares

 

 

 

 







Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp. (a)(b)(f)

 

 

59,235

 

 

1

 









Total Preferred Securities — 0.0%

 

 

 

 

 

1

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants (l)

 

 

 

 

 

 

 






Construction & Engineering — 0.0%

 

 

 

 

 

 

 

Safway US LLC (expires 12/14/17)

 

 

596

 

 

1

 








Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

HealthSouth Corp. (expires 1/16/14)

 

 

54,577

 

 

1

 








Hotels, Restaurants & Leisure — 0.0%

 

 

 

 

 

 

 

Buffets Restaurants Holdings, Inc.
(expires 4/29/14)

 

 

802

 

 

8

 








Media — 0.0%

 

 

 

 

 

 

 

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

 

 

67,691

 

 

1

 

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

 

 

22,194

 

 

221

 

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

 

 

3,995

 

 

40

 

 

 

 

 

 



 

 

 

 

 

 

262

 








Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (no expiration)

 

 

2

 

 

 








Total Warrants — 0.0%

 

 

 

 

 

272

 








Total Long-Term Investments
(Cost — $488,544,841) — 122.9%

 

 

 

 

 

479,529,334

 








 

 


 

 

Short-Term Securities

 

 

 

 

 

 

 






BlackRock Liquidity Funds, TempFund, Institutional
Class, 0.10% (m)(n)

 

 

3,355,746

 

 

3,355,746

 








Total Short-Term Securities
(Cost — $3,355,746) — 0.9%

 

 

 

 

 

3,355,746

 








Total Investments (Cost — $491,900,587*) — 123.8%

 

 

 

 

 

482,885,080

 

Liabilities in Excess of Other Assets — (23.8)%

 

 

 

 

 

(92,766,219

)

 

 

 

 

 



Net Assets — 100.0%

 

 

 

 

$

390,118,861

 

 

 

 

 

 




 







 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

494,844,789

 

 

 



 

Gross unrealized appreciation

 

$

21,443,484

 

Gross unrealized depreciation

 

 

(33,403,193

)

 

 



 

Net unrealized depreciation

 

$

(11,959,709

)

 

 



 


 

 

(a)

Non-income producing security.

 

 

(b)

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

 

 

(c)

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

 

 

(d)

Convertible security.

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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


 

 

 

 

 

 

 

 






Counterparty

 

Value

 

Unrealized
Appreciation

 






Citigroup Global

 

$

970,000

 

 

 

JPMorgan Securities

 

$

690,000

 

 

 

Morgan Stanley Capital Services, Inc.

 

$

3,180,000

 

 

 

Wells Fargo Bank

 

$

256,563

 

$

6,563

 










 

 

(h)

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

 

 

(i)

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

 

 

(j)

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

 

 

(k)

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

 

 

(l)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date.

 

 

(m)

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


 

 

 

 

 

 

 

 






Affiliate

 

Net
Activity

 

Income

 






BlackRock Liquidity Funds, TempFund,
Institutional Class

 

$

1,088,492

 

$

2,251

 







 

 

(n)

Represents the current yield as of report date.

 

 

Foreign currency exchange contracts as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 










EUR

511,000

 

USD

696,883

 

 

Citibank NA

 

 

3/03/10

 

$

(1,083

)

EUR

1,610,000

 

USD

2,219,527

 

 

Citibank NA

 

 

3/24/10

 

 

(27,365

)

USD

36,615,245

 

EUR

25,369,000

 

 

Citibank NA

 

 

3/24/10

 

 

2,073,035

 

USD

329,807

 

CAD

345,000

 

 

Goldman Sachs

 

 

4/21/10

 

 

1,953

 

 

 

 

 

 

 

 

Bank USA

 

 

 

 

 

 

 

USD

1,716,689

 

GBP

1,097,500

 

 

Citibank NA

 

 

4/21/10

 

 

43,885

 

USD

3,102,014

 

GBP

1,916,000

 

 

Morgan Stanley

 

 

4/21/10

 

 

181,656

 

 

 

 

 

 

 

 

Capital Services, Inc.

 

 

 

 

 

 

 
















Total

 

 

 

 

 

 

 

 

 

 

 

$

2,272,081

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 












K. Hovnanian
Enterprises, Inc.

 

 

5.00%

 

 

Goldman Sachs
International

 

 

December
2011

 

USD

805

 

$

(5,182

)

K. Hovnanian
Enterprises, Inc.

 

 

5.00%

 

 

Goldman Sachs
Bank USA

 

 

December
2013

 

USD

1,600

 

 

(55,980

)

Louisiana-Pacific
Corp.

 

 

5.00%

 

 

JPMorgan
Chase Bank NA

 

 

March
2014

 

USD

500

 

 

(131,515

)

Macy’s, Inc.

 

 

8.05%

 

 

Goldman Sachs
Bank USA

 

 

March
2014

 

USD

900

 

 

(215,800

)

Brunswick Corp.

 

 

5.00%

 

 

Goldman Sachs
Bank USA

 

 

September
2014

 

USD

325

 

 

(9,186

)

Centex Corp.

 

 

1.00%

 

 

Deutsche
Bank AG

 

 

September
2014

 

USD

288

 

 

1,598

 

Limited
Brands, Inc.

 

 

1.00%

 

 

Goldman Sachs
Bank USA

 

 

September
2014

 

USD

1,650

 

 

(57,838

)

Limited
Brands, Inc.

 

 

1.00%

 

 

JPMorgan Chase
Bank NA

 

 

September
2014

 

USD

150

 

 

(5,152

)

American Axle and
Manufacturing Inc.

 

 

5.00%

 

 

Deutsche
Bank AG

 

 

December
2014

 

USD

560

 

 

(4,193

)

Boston Scientific
Corp.

 

 

1.00%

 

 

Goldman Sachs
Bank USA

 

 

December
2014

 

USD

900

 

 

1,654

 


















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(481,594

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

See Notes to Financial Statements.

 




38

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

Schedule of Investments (concluded)

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


 

 

Credit default swaps on single-name issues — sold protection outstanding as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Issuer

 

Receive
Fixed
Rate

 

Counterparty

 

Expiration

 

Credit
Rating1

 

Notional
Amount
(000)2

 

Unrealized
Appreciation
(Depreciation)

 














Advanced
Micro

 

 

5.00%

 

 

JPMorgan Chase
Bank NA

 

 

March
2015

 

 

B–

 

USD

1,150

 

$

4,294

 

Devices, Inc.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realogy Corp.

 

 

5.00%

 

 

JPMorgan Chase
Bank NA

 

 

March
2015

 

 

C

 

USD

750

 

 

(25,184

)

Realogy Corp.

 

 

5.00%

 

 

Credit Suisse
International

 

 

March
2015

 

 

C

 

USD

175

 

 

2,249

 

Standard

 

 

5.00%

 

 

Goldman Sachs

 

 

March

 

 

B–

 

USD

425

 

 

(380

)

Pacific Corp.

 

 

 

 

 

International

 

 

2015

 

 

 

 

 

 

 

 

 

 





















Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(19,021

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

1

Using Standard & Poor’s ratings of the issuer.

 

 

 

 

2

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

 

 

 

 

 

 

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

 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, repayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments)

 

 

 

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.


The following tables summarize the inputs used as of February 28, 2010 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 




 

 

 

Investments in Securities

 

 

 


 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 




 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

13,329,203

 

$

368,619

 

$

128,119

 

$

13,825,941

 

Corporate Bonds

 

 

 

 

385,072,510

 

 

5,439,941

 

 

390,512,451

 

Floating Rate

 

 

 

 

 

 

 

 

 

 

 

 

 

Loan Interests

 

 

 

 

36,558,610

 

 

32,339,422

 

 

68,898,032

 

Other Interests

 

 

 

 

 

 

6,292,637

 

 

6,292,637

 

Preferred Securities

 

 

 

 

 

 

1

 

 

1

 

Warrants

 

 

 

 

 

 

272

 

 

272

 

Short-Term Securities

 

 

3,355,746

 

 

 

 

 

 

3,355,746

 

 

 












 

Total

 

$

16,684,949

 

$

421,999,739

 

$

44,200,392

 

$

482,885,080

 

 

 












 


 

 

 

 

 

 

 

 

 

 

 

 

 

 




 

 

Other Financial Instruments3

 

 

 


Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 




Assets

 

 

 

$

2,310,324

 

$

116

 

$

2,310,440

 

Liabilities

 

 

 

 

(538,858

)

 

(87,781

)

 

(626,639

)

 

 


Total

 

 

 

$

1,771,466

 

$

(87,665

)

$

1,683,801

 

 

 



 

 

3

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 




 

 

Investments in Securities

 

 

 


 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 




Balance, as of August 31, 2009

 

$

672

 

$

2,197,802

 

$

33,422,195

 

$

6,747

 

$

1

 

$

10

 

$

35,627,427

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

 

358,863

 

 

(7,434,396

)

 

 

 

 

 

 

 

(7,075,533

)

Change in unrealized appreciation/depreciation4

 

 

12,694

 

 

(77,488

)

 

16,871,734

 

 

 

 

 

 

(9

)

 

16,806,931

 

Net purchases (sales)

 

 

 

 

(791,944

)

 

(5,394,972

)

 

 

 

 

 

 

 

(6,186,916

)

Net transfers in/out of Level 3

 

 

114,753

 

 

3,752,708

 

 

(5,125,139

)

 

6,285,890

 

 

 

 

271

 

 

5,028,483

 

 

 






















Balance, as of February 28, 2010

 

$

128,119

 

$

5,439,941

 

$

32,339,422

 

$

6,292,637

 

$

1

 

$

272

 

$

44,200,392

 

 

 























 

 

4

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on securities still held at February 28, 2010 was $11,725,644.

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

 

 

 

 

 

 

 

 




 

 

Other Financial Instruments5

 




 

 

Assets

 

Liabilities

 

 

 



 

 

 

 

 

 

Balance, as of August 31, 2009

 

 

 

 

 

Accrued discounts/premiums

 

 

 

 

 

Realized gain (loss)

 

 

 

 

 

Change in unrealized appreciation/depreciation

 

 

 

 

 

Net purchases (sales)

 

 

 

 

 

Net transfers in/out of Level 3

 

$

116

 

$

(87,781

)

 

 







Balance, as of February 28, 2010

 

$

116

 

$

(87,781

)

 

 








 

 

5

Other financial instruments are unfunded loan commitments.


See Notes to Financial Statements.

 

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

39




 

 


 

 

Schedule of Investments February 28, 2010 (Unaudited)

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 









Auto Components — 0.1%

 

 

 

 

 

 

 

Lear Corp. (a)

 

 

1,758

 

$

121,777

 









Building Products — 0.7%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

18,248

 

 

766,416

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc. (a)

 

 

960

 

 

35,520

 









Independent Power Producers & Energy Traders — 0.5%

 

 

 

 

 

 

 

NRG Energy, Inc. (a)

 

 

25,000

 

 

546,000

 









Machinery — 0.1%

 

 

 

 

 

 

 

Accuride Corp. (a)

 

 

111,568

 

 

145,038

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. (a)

 

 

16,505

 

 

64,369

 









Wireless Telecommunication Services — 0.1%

 

 

 

 

 

 

 

FiberTower Corp. (a)

 

 

38,271

 

 

157,677

 









Total Common Stocks — 1.6%

 

 

 

 

 

1,836,797

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

 

 









Aerospace & Defense — 0.0%

 

 

 

 

 

 

 

L-3 Communications Corp., 5.88%, 1/15/15

 

USD

30

 

 

30,113

 









Airlines — 2.0%

 

 

 

 

 

 

 

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

 

 

500

 

 

512,500

 

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

 

 

160

 

 

161,200

 

Continental Airlines, Inc., Series 2003-RJ, 7.88%,
1/02/20

 

 

214

 

 

190,202

 

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

 

 

525

 

 

540,750

 

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

 

 

850

 

 

901,000

 

 

 

 

 

 



 

 

 

 

 

 

 

2,305,652

 









Auto Components — 1.3%

 

 

 

 

 

 

 

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

 

 

4

 

 

3,877

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.86%, 8/15/11

 

 

570

 

 

589,950

 

8.63%, 12/01/11

 

 

392

 

 

406,700

 

Stanadyne Corp., Series 1, 10.00%, 8/15/14

 

 

525

 

 

475,125

 

 

 

 

 

 



 

 

 

 

 

 

 

1,475,652

 









Biotechnology — 0.3%

 

 

 

 

 

 

 

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

 

 

330

 

 

336,890

 









Building Products — 1.5%

 

 

 

 

 

 

 

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

 

 

340

 

 

360,400

 

Building Materials Corp. of America, 7.00%,
2/15/20 (b)

 

 

290

 

 

290,000

 

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

 

 

540

 

 

529,200

 

Goodman Global Group, Inc., 12.22%,
12/15/14 (b)(c)

 

 

135

 

 

78,300

 

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

 

 

490

 

 

497,350

 

 

 

 

 

 



 

 

 

 

 

 

 

1,755,250

 









Capital Markets — 0.4%

 

 

 

 

 

 

 

E*Trade Financial Corp., Series A, 8/31/19 (c)(d)

 

 

295

 

 

448,400

 









Chemicals — 3.9%

 

 

 

 

 

 

 

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

 

 

400

 

 

395,000

 

Ames True Temper, Inc., 4.25%, 1/15/12 (e)

 

 

1,070

 

 

1,000,450

 

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

 

 

105

 

 

108,937

 

Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b)

 

 

845

 

 

790,075

 

Hexion U.S. Finance Corp., 9.75%, 11/15/14

 

 

145

 

 

137,025

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 









Chemicals (concluded)

 

 

 

 

 

 

 

Huntsman International LLC (b):

 

 

 

 

 

 

 

6.88%, 11/15/13

 

EUR

130

 

$

165,067

 

5.50%, 6/30/16

 

USD

255

 

 

224,400

 

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

 

 

1,170

 

 

1,202,175

 

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

 

 

555

 

 

555,000

 

 

 

 

 

 




 

 

 

 

 

 

4,578,129

 









Commercial Services & Supplies — 2.5%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15 (b)

 

 

120

 

 

130,440

 

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

 

 

275

 

 

294,250

 

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

 

 

390

 

 

412,425

 

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

 

 

800

 

 

822,000

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

225

 

 

223,313

 

11.00%, 10/15/16

 

 

1,015

 

 

1,017,537

 

 

 

 

 

 




 

 

 

 

 

 

2,899,965

 









Construction Materials — 0.9%

 

 

 

 

 

 

 

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

 

 

964

 

 

1,012,479

 









Consumer Finance — 0.9%

 

 

 

 

 

 

 

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

 

 

320

 

 

318,400

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

8.63%, 11/01/10

 

 

140

 

 

143,499

 

3.00%, 1/13/12 (e)

 

 

145

 

 

135,937

 

7.80%, 6/01/12

 

 

300

 

 

303,171

 

8.00%, 12/15/16

 

 

100

 

 

100,414

 

 

 

 

 

 




 

 

 

 

 

 

1,001,421

 









Containers & Packaging — 4.9%

 

 

 

 

 

 

 

Berry Plastics Escrow LLC, 8.88%, 9/15/14 (b)

 

 

220

 

 

211,750

 

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

 

 

170

 

 

163,625

 

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

 

 

255

 

 

263,287

 

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

 

EUR

36

 

 

50,000

 

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

 

USD

355

 

 

372,750

 

Impress Holdings BV, 3.38%, 9/15/13 (b)(e)

 

 

700

 

 

652,750

 

Owens-Brockway Glass Container, Inc.:

 

 

 

 

 

 

 

8.25%, 5/15/13

 

 

2,600

 

 

2,639,000

 

6.75%, 12/01/14

 

EUR

70

 

 

95,316

 

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

 

USD

1,034

 

 

1,026,245

 

Solo Cup Co., 10.50%, 11/01/13

 

 

225

 

 

235,688

 

 

 

 

 

 




 

 

 

 

 

 

5,710,411

 









Diversified Financial Services — 8.7%

 

 

 

 

 

 

 

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

 

 

240

 

 

259,800

 

CIT Group Funding Co. of Delaware LLC:

 

 

 

 

 

 

 

10.25%, 5/01/13

 

 

119

 

 

122,455

 

10.25%, 5/01/16

 

 

122

 

 

124,604

 

10.25%, 5/01/17

 

 

326

 

 

332,933

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

33

 

 

29,573

 

7.00%, 5/01/17

 

 

2,647

 

 

2,339,094

 

FCE Bank Plc:

 

 

 

 

 

 

 

7.13%, 1/16/12

 

EUR

1,250

 

 

1,687,091

 

7.13%, 1/15/13

 

 

450

 

 

600,490

 

GMAC LLC:

 

 

 

 

 

 

 

7.25%, 3/02/11

 

USD

145

 

 

146,269

 

6.88%, 9/15/11

 

 

300

 

 

300,000

 

6.00%, 12/15/11

 

 

400

 

 

397,000

 

6.88%, 8/28/12

 

 

749

 

 

741,510

 

2.45%, 12/01/14 (e)

 

 

186

 

 

159,122

 

6.75%, 12/01/14

 

 

410

 

 

391,550

 

8.30%, 2/12/15 (b)

 

 

950

 

 

958,312

 

8.00%, 11/01/31

 

 

310

 

 

285,975

 

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

 

 

600

 

 

609,000

 

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

 

 

695

 

 

703,688

 

 

 

 

 

 




 

 

 

 

 

 

10,188,466

 










 

 

 

See Notes to Financial Statements.

 




40

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Diversified Telecommunication Services — 4.4%

 

 

 

 

 

 

 

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

 

USD

480

 

$

460,800

 

GCI, Inc., 8.63%, 11/15/19 (b)

 

 

600

 

 

609,750

 

Level 3 Financing, Inc., 10.00%, 2/01/18 (b)

 

 

320

 

 

293,600

 

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

 

 

90

 

 

96,300

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

1,550

 

 

1,565,500

 

8.00%, 10/01/15 (b)

 

 

300

 

 

310,500

 

Qwest Corp., 8.38%, 5/01/16

 

 

350

 

 

383,250

 

Wind Acquisition Finance SA, 10.75%, 12/01/15 (b)

 

 

850

 

 

909,500

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

215

 

 

223,600

 

8.63%, 8/01/16

 

 

315

 

 

320,512

 

 

 

 

 

 




 

 

 

 

 

 

5,173,312

 









Electric Utilities — 1.4%

 

 

 

 

 

 

 

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

 

 

395

 

 

377,704

 

Intergen NV, 9.00%, 6/30/17 (b)

 

 

195

 

 

198,900

 

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

 

 

565

 

 

488,725

 

Salton Sea Funding Corp., Series E, 8.30%, 5/30/11

 

 

516

 

 

531,639

 

 

 

 

 

 




 

 

 

 

 

 

1,596,968

 









Electronic Equipment, Instruments & Components — 0.1%

 

 

 

 

 

 

 

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

 

 

140

 

 

144,900

 









Energy Equipment & Services — 2.0%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

135

 

 

132,300

 

7.75%, 5/15/17

 

 

220

 

 

215,600

 

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

 

 

900

 

 

895,500

 

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

 

 

310

 

 

328,600

 

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

 

 

810

 

 

805,950

 

 

 

 

 

 




 

 

 

 

 

 

2,377,950

 









Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

Duane Reade, Inc., 11.75%, 8/01/15

 

 

80

 

 

100,800

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

195

 

 

208,163

 

10.25%, 10/15/19

 

 

290

 

 

306,675

 

 

 

 

 

 




 

 

 

 

 

 

615,638

 









Food Products — 0.6%

 

 

 

 

 

 

 

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

 

 

100

 

 

101,000

 

Reddy Ice Corp., 11.25%, 9/15/10 (b)

 

 

210

 

 

210,000

 

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

 

 

330

 

 

357,225

 

TreeHouse Foods, Inc., 7.75%, 3/01/18 (f)

 

 

70

 

 

71,838

 

 

 

 

 

 




 

 

 

 

 

 

740,063

 









Health Care Equipment & Supplies — 1.3%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

800

 

 

856,000

 

10.88%, 11/15/14 (b)

 

 

280

 

 

299,600

 

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

 

 

470

 

 

401,850

 

 

 

 

 

 




 

 

 

 

 

 

1,557,450

 









Health Care Providers & Services — 3.3%

 

 

 

 

 

 

 

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

 

 

670

 

 

693,450

 

HCA, Inc., 9.13%, 11/15/14

 

 

620

 

 

651,775

 

LifePoint Hospitals, Inc., 3.50%, 5/15/14 (d)

 

 

50

 

 

45,813

 

Tenet Healthcare Corp. (b):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

637

 

 

667,257

 

10.00%, 5/01/18

 

 

257

 

 

282,700

 

8.88%, 7/01/19

 

 

745

 

 

785,975

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Health Care Providers & Services (concluded)

 

 

 

 

 

 

 

Vanguard Health Holding Co. II LLC, 8.00%,
2/01/18 (b)

 

USD

725

 

$

712,312

 

 

 

 

 

 




 

 

 

 

 

 

3,839,282

 









Health Care Technology — 0.8%

 

 

 

 

 

 

 

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

 

 

830

 

 

954,500

 









Hotels, Restaurants & Leisure — 3.0%

 

 

 

 

 

 

 

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

 

 

509

 

 

30,540

 

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

 

 

515

 

 

534,313

 

Icahn Enterprises LP, 8.00%, 1/15/18 (b)

 

 

1,100

 

 

1,034,000

 

MGM Mirage:

 

 

 

 

 

 

 

13.00%, 11/15/13

 

 

525

 

 

598,500

 

10.38%, 5/15/14 (b)

 

 

125

 

 

132,500

 

11.13%, 11/15/17 (b)

 

 

390

 

 

421,200

 

Pinnacle Entertainment, Inc., 8.63%, 8/01/17 (b)

 

 

310

 

 

294,500

 

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

 

 

140

 

 

135,975

 

Travelport LLC:

 

 

 

 

 

 

 

4.88%, 9/01/14 (e)

 

 

75

 

 

69,750

 

9.88%, 9/01/14

 

 

100

 

 

102,250

 

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

 

 

215

 

 

134

 

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

 

 

585

 

 

111,150

 

 

 

 

 

 




 

 

 

 

 

 

3,464,812

 









Household Durables — 1.6%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17 (b)

 

 

720

 

 

802,800

 

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

 

 

190

 

 

198,550

 

KB Home:

 

 

 

 

 

 

 

6.38%, 8/15/11

 

 

15

 

 

15,263

 

9.10%, 9/15/17

 

 

100

 

 

103,750

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

50

 

 

45,000

 

7.00%, 8/15/15

 

 

65

 

 

58,500

 

10.75%, 9/15/16

 

 

615

 

 

641,137

 

 

 

 

 

 




 

 

 

 

 

 

1,865,000

 









Household Products — 0.1%

 

 

 

 

 

 

 

Libbey Glass, Inc., 10.00%, 2/15/15 (b)

 

 

60

 

 

62,100

 









Independent Power Producers & Energy Traders — 3.7%

 

 

 

 

 

 

 

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

 

 

290

 

 

314,287

 

AES Red Oak LLC, Series B, 9.20%, 11/30/29

 

 

1,250

 

 

1,237,500

 

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

 

 

600

 

 

607,500

 

Energy Future Holdings Corp.:

 

 

 

 

 

 

 

10.88%, 11/01/17

 

 

200

 

 

151,500

 

11.25%, 11/01/17 (i)

 

 

1,387

 

 

971,082

 

10.00%, 1/15/20 (b)

 

 

750

 

 

765,000

 

NRG Energy, Inc., 7.25%, 2/01/14

 

 

285

 

 

287,138

 

 

 

 

 

 




 

 

 

 

 

 

4,334,007

 









Industrial Conglomerates — 2.4%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

1,060

 

 

1,038,800

 

13.50%, 12/01/15 (i)

 

 

1,770

 

 

1,773,965

 

 

 

 

 

 




 

 

 

 

 

 

2,812,765

 









Insurance — 0.9%

 

 

 

 

 

 

 

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

 

 

800

 

 

814,000

 

USI Holdings Corp., 4.13%, 11/15/14 (b)(e)

 

 

310

 

 

256,525

 

 

 

 

 

 




 

 

 

 

 

 

1,070,525

 









Internet & Catalog Retail — 0.2%

 

 

 

 

 

 

 

NetFlix, Inc., 8.50%, 11/15/17

 

 

165

 

 

172,838

 










 

 

 

See Notes to Financial Statements.

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

41




 

 


 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







IT Services — 1.6%

 

 

 

 

 

 

 

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

 

USD

785

 

$

726,125

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

310

 

 

265,150

 

11.25%, 3/31/16

 

 

385

 

 

315,700

 

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

 

 

335

 

 

292,287

 

iPayment Investors LP, 11.63%, 7/15/14 (b)(i)

 

 

258

 

 

206,746

 

 

 

 

 

 




 

 

 

 

 

 

1,806,008

 









Leisure Equipment & Products — 0.4%

 

 

 

 

 

 

 

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

 

 

310

 

 

344,875

 

Easton-Bell Sports, Inc., 9.75%, 12/01/16 (b)

 

 

130

 

 

134,875

 

 

 

 

 

 




 

 

 

 

 

 

479,750

 









Life Sciences Tools & Services — 0.1%

 

 

 

 

 

 

 

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

 

 

100

 

 

104,500

 









Machinery — 2.7%

 

 

 

 

 

 

 

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

 

 

760

 

 

608,000

 

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

 

 

6

 

 

9,765

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (d)

 

 

230

 

 

235,175

 

8.25%, 11/01/21

 

 

500

 

 

507,500

 

RBS Global, Inc., 8.88%, 9/01/16

 

 

295

 

 

266,975

 

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

 

 

1,620

 

 

1,405,350

 

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

 

 

110

 

 

115,775

 

 

 

 

 

 




 

 

 

 

 

 

3,148,540

 









Marine — 0.8%

 

 

 

 

 

 

 

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

 

 

700

 

 

579,250

 

Navios Maritime Holdings, Inc., 8.88%,
11/01/17 (b)

 

 

240

 

 

244,200

 

Trico Shipping AS, 11.88%, 11/01/14 (b)

 

 

155

 

 

150,156

 

 

 

 

 

 




 

 

 

 

 

 

973,606

 









Media — 14.5%

 

 

 

 

 

 

 

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

 

 

1,340

 

 

1,353,400

 

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

 

 

457

 

 

540,000

 

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

 

 

515

 

 

522,725

 

CMP Susquehanna Corp., 3.20%, 5/15/14 (b)

 

 

69

 

 

1,380

 

CSC Holdings, Inc., 8.50%, 4/15/14 (b)

 

 

180

 

 

189,225

 

Charter Communications Operating, LLC, 10.38%,
4/30/14 (b)

 

 

30

 

 

30,450

 

Clear Channel Worldwide Holdings, Inc., 9.25%,
12/15/17 (b)

 

 

2,257

 

 

2,316,135

 

Cox Enterprises, Inc. (c):

 

 

 

 

 

 

 

Loan Close 2, 12.00%, 8/15/18

 

 

300

 

 

300,000

 

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

 

 

350

 

 

350,000

 

Shares Loan, 12.00%, 8/15/18

 

 

350

 

 

350,000

 

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

 

 

192

 

 

196,320

 

Gannett Co., Inc., 8.75%, 11/15/14 (b)

 

 

670

 

 

700,987

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (e)

 

 

160

 

 

127,200

 

9.50%, 5/15/15

 

 

190

 

 

173,375

 

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

 

 

1,160

 

 

1,200,600

 

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

 

 

130

 

 

131,950

 

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

 

 

210

 

 

250,687

 

Lighthouse International Co. SA:

 

 

 

 

 

 

 

8.00%, 4/30/14

 

EUR

50

 

 

42,552

 

8.00%, 4/30/14 (b)

 

 

100

 

 

85,103

 

Lions Gate Entertainment, Inc., 10.25%,
11/01/16 (b)

 

USD

170

 

 

170,425

 

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

 

 

120

 

 

117,000

 

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

 

 

830

 

 

381,800

 

Nielsen Finance LLC:

 

 

 

 

 

 

 

11.63%, 2/01/14

 

 

110

 

 

122,513

 

10.00%, 8/01/14

 

 

850

 

 

881,875

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(d)(h)

 

 

1,427

 

 

1,356,036

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Media (concluded)

 

 

 

 

 

 

 

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

 

USD

1,813

 

$

1,905,916

 

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

 

 

1,640

 

 

1,494,450

 

UPC Germany GmbH (b):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

 

575

 

 

678,200

 

9.63%, 12/01/19

 

EUR

465

 

 

639,502

 

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

 

USD

300

 

 

312,000

 

 

 

 

 

 




 

 

 

 

 

 

16,921,806

 









Metals & Mining — 3.8%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

200

 

 

500

 

10.00%, 12/15/16

 

 

680

 

 

14,450

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

400

 

 

400,000

 

7.38%, 2/15/16

 

 

105

 

 

97,913

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

240

 

 

253,200

 

10.63%, 9/01/16

 

 

670

 

 

747,050

 

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

 

 

585

 

 

586,462

 

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

 

 

395

 

 

395,494

 

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

 

 

325

 

 

345,312

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.62%, 11/01/14 (e)

 

 

180

 

 

160,650

 

12.00%, 11/01/15

 

 

100

 

 

102,750

 

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

 

 

380

 

 

386,650

 

Teck Resources Ltd.:

 

 

 

 

 

 

 

10.25%, 5/15/16

 

 

145

 

 

172,913

 

10.75%, 5/15/19

 

 

320

 

 

393,600

 

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

 

 

295

 

 

311,225

 

 

 

 

 

 




 

 

 

 

 

 

4,368,169

 









Multiline Retail — 1.3%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

73

 

 

79,935

 

11.88%, 7/15/17 (i)

 

 

1,145

 

 

1,331,063

 

Saks, Inc., 9.88%, 10/01/11

 

 

140

 

 

145,250

 

 

 

 

 

 




 

 

 

 

 

 

1,556,248

 









Oil, Gas & Consumable Fuels — 8.0%

 

 

 

 

 

 

 

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

 

 

145

 

 

150,075

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

225

 

 

253,125

 

10.75%, 2/01/18

 

 

120

 

 

129,900

 

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

 

 

275

 

 

275,688

 

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

 

 

115

 

 

121,756

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.38%, 6/15/15

 

 

125

 

 

120,938

 

6.63%, 1/15/16

 

 

235

 

 

226,775

 

2.25%, 12/15/38 (d)

 

 

375

 

 

278,437

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

85

 

 

93,500

 

10.25%, 12/15/15

 

 

520

 

 

501,150

 

Crosstex Energy LP, 8.88%, b/15/18 (b)

 

 

460

 

 

466,900

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

7.50%, 12/15/15

 

 

75

 

 

75,750

 

8.25%, 2/15/20

 

 

425

 

 

439,875

 

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

 

 

130

 

 

130,975

 

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

 

 

215

 

 

210,700

 

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

 

 

845

 

 

760,500

 

Niska Gas, 8.80%, 9/15/10 (b)(f)

 

 

950

 

 

950,000

 

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

 

 

630

 

 

641,025

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

275

 

 

298,375

 

7.88%, 6/01/15

 

 

210

 

 

210,000

 

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

 

 

200

 

 

209,500

 

Roseton-Danskammer 2001, Series B,
7.67%, 11/08/16

 

 

885

 

 

854,025

 

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

 

 

210

 

 

184,275

 


 

 

 

See Notes to Financial Statements.

 




42

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

SandRidge Energy, Inc. (b):

 

 

 

 

 

 

 

9.88%, 5/15/16

 

USD

200

 

$

206,500

 

8.00%, 6/01/18

 

 

60

 

 

57,450

 

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

 

 

300

 

 

304,500

 

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

 

 

1,155

 

 

1,166,550

 

 

 

 

 

 




 

 

 

 

 

 

9,318,244

 









Paper & Forest Products — 3.9%

 

 

 

 

 

 

 

Boise Paper Holdings LLC, 9.00%, 11/01/17 (b)

 

 

180

 

 

185,400

 

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

 

 

185

 

 

205,350

 

Domtar Corp., 7.88%, 10/15/11

 

 

7

 

 

7,402

 

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

 

 

755

 

 

796,525

 

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

 

 

100

 

 

96,000

 

NewPage Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/12

 

 

365

 

 

209,875

 

11.38%, 12/31/14

 

 

2,740

 

 

2,616,700

 

Norske Skog Canada Ltd., 7.38%, 3/01/14

 

 

175

 

 

112,000

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14 (b)

 

 

160

 

 

168,000

 

4.00%, 8/01/14 (e)

 

 

130

 

 

104,975

 

9.13%, 8/01/14

 

 

55

 

 

50,600

 

 

 

 

 

 




 

 

 

 

 

 

4,552,827

 









Pharmaceuticals — 1.5%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.00%,
12/01/13 (e)

 

 

495

 

 

400,950

 

Elan Corp. Plc, 8.75%, 10/15/16 (b)

 

 

345

 

 

334,650

 

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

 

 

75

 

 

76,125

 

Novasep Holding SAS, 9.75%, 12/15/16 (b)

 

 

673

 

 

636,575

 

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

 

 

260

 

 

269,100

 

 

 

 

 

 




 

 

 

 

 

 

1,717,400

 









Professional Services — 0.2%

 

 

 

 

 

 

 

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

 

 

275

 

 

275,688

 









Semiconductors & Semiconductor Equipment — 1.0%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc., 8.13%, 12/15/17 (b)

 

 

580

 

 

587,250

 

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

 

 

550

 

 

544,500

 

 

 

 

 

 




 

 

 

 

 

 

1,131,750

 









Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 7.89%, 2/15/12 (b)(e)(i)

 

 

228

 

 

4,560

 









Specialty Retail — 1.4%

 

 

 

 

 

 

 

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

 

 

240

 

 

226,500

 

General Nutrition Centers, Inc., 10.75%, 3/15/15

 

 

270

 

 

273,037

 

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

 

 

470

 

 

367,775

 

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

 

 

70

 

 

74,988

 

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

 

 

710

 

 

677,162

 

 

 

 

 

 




 

 

 

 

 

 

1,619,462

 









Textiles, Apparel & Luxury Goods — 0.4%

 

 

 

 

 

 

 

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

 

EUR

150

 

 

205,270

 

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

 

USD

350

 

 

298,375

 

 

 

 

 

 




 

 

 

 

 

 

503,645

 









Wireless Telecommunication Services — 5.1%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.38%, 11/01/14

 

 

430

 

 

427,850

 

10.00%, 7/15/15

 

 

810

 

 

820,125

 

7.75%, 5/15/16

 

 

100

 

 

101,625

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

690

 

 

658,950

 

9.13%, 1/15/15 (i)

 

 

1,320

 

 

1,287,000

 

FiberTower Corp., 9.00%, 1/01/16

 

 

142

 

 

115,072

 

iPCS, Inc., 2.37%, 5/01/13 (e)

 

 

330

 

 

303,600

 

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

 

 

1,035

 

 

1,032,412

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

 

Value

 









Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

6.88%, 10/31/13

 

USD

780

 

$

748,800

 

5.95%, 3/15/14

 

 

50

 

 

45,375

 

7.38%, 8/01/15

 

 

40

 

 

36,900

 

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

 

 

530

 

 

401,475

 

 

 

 

 

 




 

 

 

 

 

 

5,979,184

 









Total Corporate Bonds — 100.3%

 

 

 

 

 

116,986,325

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (e)

 

 

 

 

 

 

 









Aerospace & Defense — 0.1%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co., Term Loan B,
10.50%, 3/26/14

 

 

150

 

 

136,626

 









Auto Components — 1.0%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan,
2.98% – 3.00%, 8/07/14

 

 

1,030

 

 

943,628

 

Dana Holding Corp., Term Advance, 4.48%, 1/30/15

 

 

166

 

 

161,818

 

 

 

 

 

 




 

 

 

 

 

 

1,105,446

 









Automobiles — 3.2%

 

 

 

 

 

 

 

Ford Motor Co., Term Loan, 3.24%– 3.26%,
12/15/13

 

 

4,000

 

 

3,736,668

 









Building Products — 1.3%

 

 

 

 

 

 

 

CPG International I Inc., Term Loan, 5.23%, 2/28/11

 

 

1,477

 

 

1,477,387

 









Chemicals — 0.8%

 

 

 

 

 

 

 

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

 

 

166

 

 

168,072

 

Tronox, Inc., Debtor in Possession, Term Loan B,
9.00%, 6/24/10

 

 

700

 

 

718,340

 

 

 

 

 

 




 

 

 

 

 

 

886,412

 









Consumer Finance — 0.7%

 

 

 

 

 

 

 

Chrysler Financial Corp., Return of Capital, 0.00%,
8/03/12

 

 

475

 

 

457,782

 

DaimlerChrysler Financial Services Americas LLC,
Term Loan (First Lien), 4.24%, 8/03/12

 

 

493

 

 

486,573

 

 

 

 

 

 




 

 

 

 

 

 

944,355

 









Diversified Telecommunication Services — 0.7%

 

 

 

 

 

 

 

Wind Finance SL SA, Euro Facility (Second Lien),
7.68%, 12/17/14

 

EUR

600

 

 

813,714

 









Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

Rite Aid Corp., Tranche 4 Term Loan, 9.50%,
6/10/15

 

USD

600

 

 

621,600

 









Hotels, Restaurants & Leisure — 1.6%

 

 

 

 

 

 

 

Travelport LLC (fka Travelport Inc.), Loan, 8.25%,
3/27/12

 

 

2,090

 

 

1,912,660

 









Independent Power Producers & Energy Traders — 1.2%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan, 3.73%, 10/10/14

 

 

240

 

 

192,862

 

Initial Tranche B-3 Term Loan, 3.75%, 10/10/14

 

 

1,466

 

 

1,173,000

 

 

 

 

 

 




 

 

 

 

 

 

1,365,862

 









Media — 2.1%

 

 

 

 

 

 

 

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

 

 

739

 

 

731,362

 

HMH Publishing Co. Ltd.:

 

 

 

 

 

 

 

5.22%, 6/12/14

 

 

707

 

 

594,731

 

17.50%, 11/14/14

 

 

176

 

 

21,751

 

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

 

 

700

 

 

748,125

 


 

 

 

See Notes to Financial Statements.

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

43




 

 


 

 

Schedule of Investments (continued)

BlackRock High Income Shares (HIS)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Floating Rate Loan Interests (e)

 

 

Par
(000)

 

 

Value

 









Media (concluded)

 

 

 

 

 

 

 

Virgin Media Investment Holdings Ltd., C Facility,
3.58%, 7/17/13

 

GBP

120

 

$

170,931

 

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

 

USD

199

 

 

201,271

 

 

 

 

 

 




 

 

 

 

 

 

2,468,171

 









Multiline Retail — 0.1%

 

 

 

 

 

 

 

The Neiman Marcus Group Inc., Term Loan, 2.25%,
4/06/13

 

 

174

 

 

156,190

 









Oil, Gas & Consumable Fuels — 0.7%

 

 

 

 

 

 

 

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

 

 

1,036

 

 

776,681

 









Paper & Forest Products — 0.2%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, Loan,
6.50% – 7.25%, 2/01/13

 

 

467

 

 

256,685

 









Real Estate Management & Development — 0.4%

 

 

 

 

 

 

 

Realogy Corp., Second Lien Term Loan, 13.50%,
10/15/17

 

 

400

 

 

435,000

 









Specialty Retail — 0.2%

 

 

 

 

 

 

 

Claire’s Stores, Term Loan B, 3.00%, 5/29/14

 

 

134

 

 

110,999

 

Michaels Stores, Inc., Term Loan B, 2.50%,
10/31/13

 

 

175

 

 

157,203

 

 

 

 

 

 




 

 

 

 

 

 

268,202

 









Total Floating Rate Loan Interests — 14.8%

 

 

 

 

 

17,361,659

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Other Interests (j)

 

 

Beneficial
Interest
(000)

 

 

 

 









Auto Components — 0.3%

 

 

 

 

 

 

 

Delphi Debtor in Possession Hold Co. LLP, Class B
Membership Interests

 

 

(k)

 

320,320

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

 

5

 

 

953

 









Total Other Interests — 0.3%

 

 

 

 

 

321,273

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Preferred Stocks

 

 

Shares

 

 

 

 









Containers & Packaging — 0.1%

 

 

 

 

 

 

 

Smurfit-Stone Container Corp., 7.00% (d)(i)

 

 

30,000

 

 

120,000

 









Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

GMAC, Inc., 7.00% (b)

 

 

280

 

 

198,179

 









Media — 0.1%

 

 

 

 

 

 

 

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

 

 

16,138

 

 

 

Emmis Communications Corp., 6.25% (a)(d)

 

 

10,300

 

 

150,483

 

 

 

 

 

 




 

 

 

 

 

 

150,483

 









Specialty Retail — 0.3%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. (a)

 

 

350

 

 

349,928

 









Total Preferred Securities — 0.7%

 

 

 

 

 

818,590

 









 

 

 

 

 

 

 

 

Warrants (l)

 

 

Shares

 

 

Value

 









Media — 0.0%

 

 

 

 

 

 

 

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

 

 

18,441

 

 

 









Oil, Gas & Consumable Fuels — 0.0%

 

 

 

 

 

 

 

Turbo Cayman Ltd. (No Expiration)

 

 

1

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









Total Long-Term Investments
(Cost — $140,434,885) — 117.7%

 

 

 

 

$

137,324,644

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.10% (m)(n)

 

 

1,479,980

 

 

1,479,980

 









Total Short-Term Securities
(Cost — $1,479,980) — 1.3%

 

 

 

 

 

1,479,980

 









Total Investments (Cost — $141,914,865*) — 119.0%

 

 

 

 

 

138,804,624

 

Liabilities in Excess of Other Assets — (19.0)%

 

 

 

 

 

(22,171,203

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

116,633,421

 

 

 

 

 

 




 

 

 

 

 

 

 

 










 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

 

 

 

 

 

Aggregate cost

 

 

 

 

$

142,415,243

 

 

 

 

 

 

 




 

Gross unrealized appreciation

 

 

 

 

$

6,284,855

 

 

Gross unrealized depreciation

 

 

 

 

 

(9,895,474

)

 

 

 

 

 

 




 

Net unrealized depreciation

 

 

 

 

$

(3,610,619

)

 

 

 

 

 

 





 

 

(a)

Non-income producing security.

 

 

(b)

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

 

 

(c)

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

 

 

(d)

Convertible security.

 

 

(e)

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

 

 

(f)

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


 

 

 

 

 

 

 

 

 

 









 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 







 

Morgan Stanley

 

$

950,000

 

 

 

 

Wells Fargo

 

$

71,838

 

$

1,838

 

 










 

 

(g)

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

 

 

(h)

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

 

 

(i)

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

 

 

(j)

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

 

 

(k)

Amount is less than $1,000.

 

 

(l)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date.

 

 

(m)

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


 

 

 

 

 

 

 

 

 

 









 

Affiliate

 

Net Activity

 

Income

 

 







 

BlackRock Liquidity Funds, TempFund,

 

 

 

 

 

 

 

 

Institutional Class

 

$

229,786

 

$

1,258

 

 










 

 

(n)

Represents the current yield as of report date.


 

 

 

See Notes to Financial Statements.

 



44

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

Schedule of Investments (concluded)

BlackRock High Income Shares (HIS)


 

 

Foreign currency exchange contracts as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

Currency
Purchased

 

 

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation

 

 















 

USD

 

5,138,926

 

EUR

 

3,574,500

 

Citibank NA

 

3/24/10

 

$

271,918

 

 

USD

 

160,990

 

GBP

 

102,500

 

Citibank NA

 

4/21/10

 

 

4,760

 

 
















 

Total

 

 

 

 

 

 

 

 

 

 

 

$

276,678

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

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

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the face value of investments)

 

 

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

The following tables summarize the inputs used as of February 28, 2010 in determining the fair valuation of the Trust’s investments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 

 

 



Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 





Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

1,591,870

 

$

145,038

 

$

99,889

 

$

1,836,797

 

Corporate Bonds

 

 

 

 

114,509,960

 

 

2,476,365

 

 

116,986,325

 

Floating Rate Loan Interests

 

 

 

 

7,552,524

 

 

9,809,135

 

 

17,361,659

 

Other interests

 

 

 

 

 

 

321,273

 

 

321,273

 

Preferred Securities

 

 

270,483

 

 

198,179

 

 

349,928

 

 

818,590

 

Short-Term Securities

 

 

1,479,980

 

 

 

 

 

 

1,479,980

 

 

 













Total

 

$

3,342,333

 

$

122,405,701

 

$

13,056,590

 

$

138,804,624

 

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Other Financial Instruments1

 

 

 



Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets

 

 

 

$

276,678

 

 

 

$

276,678

 

Liabilities

 

 

 

 

 

$

(4,922

)

 

(4,922

)

 

 













Total

 

 

 

$

276,678

 

$

(4,922

)

$

271,756

 

 

 













 

 

 

 

1

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

 

 

 

 

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 

 

 



 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Total

 















Balance, as of August 31, 2009

 

 

 

$

2,463,780

 

$

8,875,772

 

$

953

 

 

 

$

11,340,505

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

 

(192,599

)

 

(1,838,170

)

 

 

 

 

 

(2,030,769

)

Change in unrealized appreciation/depreciation2

 

 

 

 

4,536,880

 

 

4,447,560

 

 

 

 

 

 

8,984,440

 

Net purchases (sales)

 

 

 

 

(3,893,700

)

 

415,520

 

 

 

 

 

 

(3,478,180

)

Net transfers in/out of Level 3

 

$

99,889

 

 

(437,996

)

 

(2,091,547

)

 

320,320

 

$

349,928

 

 

(1,759,406

)

 

 



















Balance, as of February 28, 2010

 

$

99,889

 

$

2,476,365

 

$

9,809,135

 

$

321,273

 

$

349,928

 

$

13,056,590

 

 

 



















 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on securities still held at February 28, 2010 was $4,095,225.

 

 

 

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


 

 

 

 

 





 

 

Other Financial
Instruments3

 





 

 

Liabilities

 

 

 



Balance, as of August 31, 2009

 

 

 

Accrued discounts/premiums

 

 

 

Realized gain (loss)

 

 

 

Change in unrealized appreciation/depreciation

 

 

 

Net purchases (sales)

 

 

 

Net transfers in/out of Level 3

 

$

(4,922

)

 

 




Balance, as of February 28, 2010

 

$

(4,922

)

 

 




 

 

 

 

3

Other financial instruments are unfunded loan commitments.


 

 

 

See Notes to Financial Statements.

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

45




 

 



 

Schedule of Investments February 28, 2010 (Unaudited)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 







Auto Components — 0.1%

 

 

 

 

 

 

 

Lear Corp. (a)

 

 

756

 

$

52,368

 









Building Products — 0.7%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

7,299

 

 

306,558

 









Capital Markets — 0.2%

 

 

 

 

 

 

 

E*Trade Financial Corp. (a)

 

 

49,000

 

 

78,890

 









Construction Materials — 0.1%

 

 

 

 

 

 

 

Nortek, Inc. (a)

 

 

375

 

 

13,875

 









Diversified Telecommunication Services — 0.2%

 

 

 

 

 

 

 

Qwest Communications International, Inc.

 

 

20,000

 

 

91,200

 









Machinery — 0.1%

 

 

 

 

 

 

 

Accuride Corp.

 

 

13,902

 

 

18,073

 

Accuride Corp. (a)

 

 

13,901

 

 

18,071

 

 

 

 

 

 




 

 

 

 

 

 

36,144

 









Paper & Forest Products — 0.0%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd. (a)

 

 

2,234

 

 

4,692

 

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

 

 

2,507

 

 

5,266

 

 

 

 

 

 




 

 

 

 

 

 

9,958

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. (a)

 

 

3,395

 

 

13,241

 









Total Common Stocks — 1.4%

 

 

 

 

 

602,234

 









 

 

 

 

 

 

 

 







Corporate Bonds

 

Par
(000)

 

 

 







Aerospace & Defense — 0.0%

 

 

 

 

 

 

 

L-3 Communications Corp., 5.88%, 1/15/15

 

$

10

 

 

10,038

 









Air Freight & Logistics — 0.2%

 

 

 

 

 

 

 

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

 

 

85

 

 

68,850

 









Airlines — 1.0%

 

 

 

 

 

 

 

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

 

 

100

 

 

102,500

 

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

 

 

20

 

 

20,150

 

Continental Airlines, Inc., Series 2003-RJ,
7.88%, 1/02/20

 

 

25

 

 

22,646

 

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

 

 

250

 

 

265,000

 

 

 

 

 

 




 

 

 

 

 

 

410,296

 









Auto Components — 1.1%

 

 

 

 

 

 

 

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

 

 

8

 

 

7,657

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.86%, 8/15/11

 

 

195

 

 

201,825

 

8.63%, 12/01/11

 

 

101

 

 

104,787

 

Stanadyne Corp., Series 1, 10.00%, 8/15/14

 

 

150

 

 

135,750

 

 

 

 

 

 




 

 

 

 

 

 

450,019

 









Biotechnology — 0.3%

 

 

 

 

 

 

 

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

 

 

130

 

 

132,714

 









Building Products — 0.9%

 

 

 

 

 

 

 

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

 

 

70

 

 

74,200

 

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

 

 

150

 

 

147,000

 

Goodman Global Group, Inc., 11.90%, 12/15/14 (b)(c)

 

 

60

 

 

34,800

 

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

 

 

130

 

 

131,950

 

 

 

 

 

 




 

 

 

 

 

 

387,950

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Capital Markets — 0.5%

 

 

 

 

 

 

 

E*Trade Financial Corp., Series A, 2.50%,
8/31/19 (c)(d)

 

$

71

 

$

107,920

 

Marsico Parent Co., LLC, 10.63%, 1/15/16

 

 

154

 

 

92,592

 

Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(e)

 

 

68

 

 

14,944

 

Marsico Parent Superholdco, LLC, 14.50%,
1/15/18 (b)(e)

 

 

40

 

 

7,013

 

 

 

 

 

 




 

 

 

 

 

 

222,469

 









Chemicals — 3.8%

 

 

 

 

 

 

 

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

 

 

140

 

 

138,250

 

Ames True Temper, Inc., 4.25%, 1/15/12 (f)

 

 

265

 

 

247,775

 

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

 

 

40

 

 

41,500

 

Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b)

 

 

310

 

 

289,850

 

Hexion U.S. Finance Corp., 9.75%, 11/15/14

 

 

55

 

 

51,975

 

Huntsman International LLC, 5.50%, 6/30/16 (b)

 

 

95

 

 

83,600

 

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

 

 

545

 

 

559,987

 

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

 

 

195

 

 

195,000

 

 

 

 

 

 




 

 

 

 

 

 

1,607,937

 









Commercial Services & Supplies — 2.9%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15 (b)

 

 

45

 

 

48,915

 

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

 

 

201

 

 

202,507

 

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

 

 

100

 

 

107,000

 

Sally Holdings LLC, 9.25%, 11/15/14

 

 

80

 

 

83,600

 

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

 

 

135

 

 

142,763

 

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

 

 

185

 

 

190,088

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

70

 

 

69,475

 

11.00%, 10/15/16

 

 

365

 

 

365,912

 

 

 

 

 

 




 

 

 

 

 

 

1,210,260

 









Construction Materials — 0.9%

 

 

 

 

 

 

 

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

 

 

377

 

 

395,499

 









Consumer Finance — 1.7%

 

 

 

 

 

 

 

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

 

 

120

 

 

119,400

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.00%, 1/13/12 (f)

 

 

110

 

 

103,125

 

7.80%, 6/01/12

 

 

500

 

 

505,285

 

 

 

 

 

 




 

 

 

 

 

 

727,810

 









Containers & Packaging — 2.4%

 

 

 

 

 

 

 

Berry Plastics Escrow LLC, 8.88%, 9/15/14 (b)

 

 

80

 

 

77,000

 

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

 

 

45

 

 

43,313

 

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

 

 

85

 

 

87,762

 

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

 

 

160

 

 

168,000

 

Impress Holdings BV, 3.38%, 9/15/13 (b)(f)

 

 

270

 

 

251,775

 

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

 

 

310

 

 

307,675

 

Solo Cup Co., 10.50%, 11/01/13

 

 

80

 

 

83,800

 

 

 

 

 

 




 

 

 

 

 

 

1,019,325

 









Diversified Financial Services — 7.4%

 

 

 

 

 

 

 

CDX North America High Yield, Series 6-T1,
8.63%, 6/29/11 (b)

 

 

435

 

 

479,022

 

CIT Group, Inc., 7.00%, 5/01/17

 

 

1,215

 

 

1,073,756

 

GMAC LLC:

 

 

 

 

 

 

 

6.88%, 9/15/11

 

 

100

 

 

100,000

 

2.45%, 12/01/14 (f)

 

 

83

 

 

71,006

 

6.75%, 12/01/14

 

 

500

 

 

477,500

 

8.30%, 2/12/15 (b)

 

 

350

 

 

353,063

 

8.00%, 11/01/31

 

 

140

 

 

129,150

 

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

 

 

200

 

 

203,000

 

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

 

 

250

 

 

253,125

 

 

 

 

 

 




 

 

 

 

 

 

3,139,622

 










 

 

 

See Notes to Financial Statements.


46

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Diversified Telecommunication Services — 4.8%

 

 

 

 

 

 

 

Asia Global Crossing Ltd., 13.38%, 10/15/10 (a)(g)

 

$

2,000

 

$

2,500

 

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

 

 

195

 

 

187,200

 

GCI, Inc., 8.63%, 11/15/19 (b)

 

 

200

 

 

203,250

 

Level 3 Financing, Inc., 10.00%, 2/01/18 (b)

 

 

110

 

 

100,925

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

970

 

 

979,700

 

8.00%, 10/01/15 (b)

 

 

100

 

 

103,500

 

Qwest Corp., 8.38%, 5/01/16

 

 

140

 

 

153,300

 

Wind Acquisition Finance SA, 10.75%, 12/01/15 (b)

 

 

150

 

 

160,500

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

50

 

 

52,000

 

8.63%, 8/01/16

 

 

80

 

 

81,400

 

 

 

 

 

 




 

 

 

 

 

 

2,024,275

 









Electric Utilities — 1.4%

 

 

 

 

 

 

 

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

 

 

391

 

 

374,682

 

Intergen NV, 9.00%, 6/30/17 (b)

 

 

75

 

 

76,500

 

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

 

 

170

 

 

147,050

 

 

 

 

 

 




 

 

 

 

 

 

598,232

 









Electronic Equipment, Instruments &
Components — 0.1%

 

 

 

 

 

 

 

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

 

 

50

 

 

51,750

 









Energy Equipment & Services — 1.7%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

50

 

 

49,000

 

7.75%, 5/15/17

 

 

80

 

 

78,400

 

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

 

 

290

 

 

288,550

 

Hornbeck Offshore Services, Inc., Series B,
6.13%, 12/01/14

 

 

5

 

 

4,650

 

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

 

 

115

 

 

121,900

 

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

 

 

175

 

 

174,125

 

 

 

 

 

 




 

 

 

 

 

 

716,625

 









Food & Staples Retailing — 0.6%

 

 

 

 

 

 

 

Duane Reade, Inc., 11.75%, 8/01/15

 

 

30

 

 

37,800

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

75

 

 

80,063

 

10.25%, 10/15/19

 

 

120

 

 

126,900

 

 

 

 

 

 




 

 

 

 

 

 

244,763

 









Food Products — 0.3%

 

 

 

 

 

 

 

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

 

 

100

 

 

108,250

 









Health Care Equipment & Supplies — 1.3%

 

 

 

 

 

 

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

290

 

 

310,300

 

10.88%, 11/15/14 (b)

 

 

100

 

 

107,000

 

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

 

 

170

 

 

145,350

 

 

 

 

 

 




 

 

 

 

 

 

562,650

 









Health Care Providers & Services — 5.1%

 

 

 

 

 

 

 

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

 

 

570

 

 

589,950

 

DaVita, Inc., 7.25%, 3/15/15

 

 

200

 

 

200,750

 

HCA, Inc., 9.13%, 11/15/14

 

 

265

 

 

278,581

 

Tenet Healthcare Corp. (b):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

279

 

 

292,252

 

10.00%, 5/01/18

 

 

259

 

 

284,900

 

8.88%, 7/01/19

 

 

140

 

 

147,700

 

Vanguard Health Holding Co.II LLC, 8.00%, 2/01/18 (b)

 

 

265

 

 

260,363

 

Viant Holdings, Inc., 10.13%, 7/15/17 (b)

 

 

115

 

 

112,125

 

 

 

 

 

 




 

 

 

 

 

 

2,166,621

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Health Care Technology — 0.8%

 

 

 

 

 

 

 

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

 

$

300

 

$

345,000

 









Hotels, Restaurants & Leisure — 2.5%

 

 

 

 

 

 

 

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

 

 

139

 

 

8,340

 

Icahn Enterprises LP, 8.00%, 1/15/18 (b)

 

 

390

 

 

366,600

 

MGM Mirage:

 

 

 

 

 

 

 

13.00%, 11/15/13

 

 

205

 

 

233,700

 

10.38%, 5/15/14 (b)

 

 

175

 

 

185,500

 

Pinnacle Entertainment, Inc., 8.63%, 8/01/17 (b)

 

 

115

 

 

109,250

 

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

 

 

60

 

 

58,275

 

Travelport LLC, 4.88%, 9/01/14 (e)

 

 

25

 

 

23,250

 

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

 

 

25

 

 

16

 

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

 

 

445

 

 

84,550

 

 

 

 

 

 




 

 

 

 

 

 

1,069,481

 









Household Durables — 1.2%

 

 

 

 

 

 

 

Beazer Homes USA, Inc., 12.00%, 10/15/17 (b)

 

 

40

 

 

44,600

 

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

 

 

40

 

 

41,800

 

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

 

 

95

 

 

99,275

 

KB Home, 9.10%, 9/15/17

 

 

40

 

 

41,500

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

10

 

 

9,000

 

7.00%, 8/15/15

 

 

25

 

 

22,500

 

10.75%, 9/15/16

 

 

250

 

 

260,625

 

 

 

 

 

 




 

 

 

 

 

 

519,300

 









Household Products — 0.1%

 

 

 

 

 

 

 

Libbey Glass, Inc., 10.00%, 2/15/15 (b)

 

 

25

 

 

25,875

 









Independent Power Producers & Energy Traders — 4.4%

 

 

 

 

 

 

 

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

 

 

105

 

 

113,794

 

AES Red Oak LLC:

 

 

 

 

 

 

 

Series A, 8.54%, 11/30/19

 

 

115

 

 

117,517

 

Series B, 9.20%, 11/30/29

 

 

500

 

 

495,000

 

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

 

 

220

 

 

222,750

 

Energy Future Holdings Corp.:

 

 

 

 

 

 

 

10.88%, 11/01/17

 

 

70

 

 

53,025

 

11.25%, 11/01/17 (e)

 

 

476

 

 

333,249

 

10.00%, 1/15/20 (b)

 

 

315

 

 

321,300

 

NRG Energy, Inc., 7.25%, 2/01/14

 

 

195

 

 

196,463

 

 

 

 

 

 




 

 

 

 

 

 

1,853,098

 









Industrial Conglomerates — 2.2%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

350

 

 

343,000

 

13.50%, 12/01/15 (e)

 

 

586

 

 

587,241

 

 

 

 

 

 




 

 

 

 

 

 

930,241

 









Insurance — 0.9%

 

 

 

 

 

 

 

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

 

 

300

 

 

305,250

 

USI Holdings Corp., 4.13%, 11/15/14 (b)(f)

 

 

100

 

 

82,750

 

 

 

 

 

 




 

 

 

 

 

 

388,000

 









Internet & Catalog Retail — 0.2%

 

 

 

 

 

 

 

NetFlix, Inc., 8.50%, 11/15/17

 

 

60

 

 

62,850

 









IT Services — 1.6%

 

 

 

 

 

 

 

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

 

 

295

 

 

272,875

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

5

 

 

4,325

 

11.25%, 3/31/16

 

 

140

 

 

114,800

 

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

 

 

120

 

 

104,700

 

iPayment Investors LP, 11.63%, 7/15/14 (b)(e)

 

 

92

 

 

73,523

 

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

 

 

100

 

 

108,000

 

 

 

 

 

 




 

 

 

 

 

 

678,223

 










 

 

 

See Notes to Financial Statements.

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

47




 

 



 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Leisure Equipment & Products — 0.7%

 

 

 

 

 

 

 

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

 

$

225

 

$

250,312

 

Easton-Bell Sports, Inc., 9.75%, 12/01/16 (b)

 

 

45

 

 

46,688

 

 

 

 

 

 




 

 

 

 

 

 

297,000

 









Machinery — 2.5%

 

 

 

 

 

 

 

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

 

 

170

 

 

136,000

 

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

 

 

1

 

 

2,434

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (d)

 

 

80

 

 

81,800

 

8.25%, 11/01/21

 

 

300

 

 

304,500

 

RBS Global, Inc., 8.88%, 9/01/16

 

 

70

 

 

63,350

 

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

 

 

480

 

 

416,400

 

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

 

 

40

 

 

42,100

 

 

 

 

 

 




 

 

 

 

 

 

1,046,584

 









Marine — 0.8%

 

 

 

 

 

 

 

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

 

 

240

 

 

198,600

 

Navios Maritime Holdings, Inc., 8.88%, 11/01/17 (b)

 

 

90

 

 

91,575

 

Trico Shipping AS, 11.88%, 11/01/14 (b)

 

 

55

 

 

53,281

 

 

 

 

 

 




 

 

 

 

 

 

343,456

 









Media — 13.7%

 

 

 

 

 

 

 

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

 

 

520

 

 

525,200

 

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

 

 

169

 

 

199,043

 

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

 

 

155

 

 

157,325

 

CMP Susquehanna Corp., 3.20%, 5/15/14 (b)

 

 

23

 

 

460

 

CSC Holdings, Inc., 8.50%, 4/15/14 (b)

 

 

80

 

 

84,100

 

Charter Communications Operating, LLC, 10.38%,
4/30/14 (b)

 

 

110

 

 

111,650

 

Clear Channel Worldwide Holdings, Inc., 9.25%,
12/15/17 (b)

 

 

817

 

 

838,410

 

Cox Enterprises, Inc. (c):

 

 

 

 

 

 

 

Loan Close 2, 12.00%, 8/15/18

 

 

120

 

 

120,000

 

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

 

 

140

 

 

140,000

 

Share Loan, 12.00%, 8/15/18

 

 

140

 

 

140,000

 

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

 

 

40

 

 

40,900

 

Gannett Co., Inc., 8.75%, 11/15/14 (b)

 

 

235

 

 

245,869

 

Harland Clarke Holdings Corp.:

 

 

 

 

 

 

 

6.00%, 5/15/15 (f)

 

 

50

 

 

39,750

 

9.50%, 5/15/15

 

 

60

 

 

54,750

 

Intelsat Corp., 6.88%, 1/15/28

 

 

210

 

 

180,600

 

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

 

 

70

 

 

83,563

 

Lions Gate Entertainment, Inc., 10.25%, 11/01/16 (b)

 

 

65

 

 

65,163

 

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

 

 

45

 

 

43,875

 

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

 

 

245

 

 

112,700

 

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

 

 

505

 

 

523,937

 

ProtoStar I Ltd., 18.00%, 10/15/12 (a)(b)(d)(g)

 

 

414

 

 

393,352

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

310

 

 

316,200

 

10.38%, 9/01/14

 

 

378

 

 

397,372

 

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

 

 

525

 

 

478,406

 

UPC Germany GmbH, 8.13%, 12/01/17 (b)

 

 

400

 

 

400,000

 

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

 

 

100

 

 

104,000

 

 

 

 

 

 




 

 

 

 

 

 

5,796,625

 









Metals & Mining — 3.6%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

9.00%, 12/15/14

 

 

120

 

 

300

 

10.00%, 12/15/16

 

 

125

 

 

2,656

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

150

 

 

150,000

 

7.38%, 2/15/16

 

 

40

 

 

37,300

 

FMG Finance Property Ltd. (b):

 

 

 

 

 

 

 

10.00%, 9/01/13

 

 

85

 

 

89,675

 

10.63%, 9/01/16

 

 

185

 

 

206,275

 

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

 

 

215

 

 

215,537

 

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

 

 

145

 

 

145,181

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Metals & Mining (concluded)

 

 

 

 

 

 

 

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

 

$

110

 

$

116,875

 

Ryerson, Inc.:

 

 

 

 

 

 

 

7.62%, 11/01/14 (f)

 

 

60

 

 

53,550

 

12.00%, 11/01/15

 

 

70

 

 

71,925

 

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

 

 

115

 

 

117,013

 

Teck Resources Ltd.:

 

 

 

 

 

 

 

10.25%, 5/15/16

 

 

55

 

 

65,588

 

10.75%, 5/15/19

 

 

120

 

 

147,600

 

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

 

 

105

 

 

110,775

 

 

 

 

 

 




 

 

 

 

 

 

1,530,250

 









Multiline Retail — 1.4%

 

 

 

 

 

 

 

Dollar General Corp.:

 

 

 

 

 

 

 

10.63%, 7/15/15

 

 

27

 

 

29,565

 

11.88%, 7/15/17 (e)

 

 

414

 

 

481,275

 

Saks, Inc., 9.88%, 10/01/11

 

 

95

 

 

98,563

 

 

 

 

 

 




 

 

 

 

 

 

609,403

 









Oil, Gas & Consumable Fuels — 8.9%

 

 

 

 

 

 

 

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

 

 

55

 

 

56,925

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

80

 

 

90,000

 

10.75%, 2/01/18

 

 

45

 

 

48,713

 

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

 

 

80

 

 

80,200

 

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

 

 

40

 

 

42,350

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.38%, 6/15/15

 

 

30

 

 

29,025

 

6.63%, 1/15/16

 

 

250

 

 

241,250

 

2.25%, 12/15/38 (d)

 

 

125

 

 

92,812

 

Connacher Oil and Gas Ltd. (b):

 

 

 

 

 

 

 

11.75%, 7/15/14

 

 

30

 

 

33,000

 

10.25%, 12/15/15

 

 

170

 

 

163,837

 

Crosstex Energy LP, 8.88%, 2/15/18 (b)

 

 

165

 

 

167,475

 

Denbury Resources, Inc.:

 

 

 

 

 

 

 

7.50%, 12/15/15

 

 

30

 

 

30,300

 

8.25%, 2/15/20

 

 

145

 

 

150,075

 

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

 

 

40

 

 

40,300

 

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

 

 

80

 

 

78,400

 

Frontier Oil Corp., 6.63%, 10/01/11

 

 

65

 

 

64,838

 

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

 

 

320

 

 

288,000

 

Newfield Exploration Co., 6.63%, 9/01/14

 

 

30

 

 

30,450

 

Niska Gas Corp., 8.88%, 9/15/10 (b)(i)

 

 

345

 

 

345,000

 

OPTI Canada, Inc., 9.00%, 12/15/12 (b)

 

 

230

 

 

234,025

 

Overseas Shipholding Group, Inc., 7.50%, 2/15/24

 

 

350

 

 

304,937

 

Petrohawk Energy Corp.:

 

 

 

 

 

 

 

10.50%, 8/01/14

 

 

100

 

 

108,500

 

7.88%, 6/01/15

 

 

15

 

 

15,000

 

Range Resources Corp., 7.38%, 7/15/13

 

 

185

 

 

187,775

 

Roseton-Danskammer 2001, Series B, 7.67%, 11/08/16

 

 

325

 

 

313,625

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

130

 

 

114,075

 

SandRidge Energy, Inc., 8.00%, 6/01/18 (b)

 

 

20

 

 

19,150

 

Whiting Petroleum Corp., 7.25%, 5/01/13

 

 

370

 

 

373,700

 

 

 

 

 

 




 

 

 

 

 

 

3,743,737

 









Paper & Forest Products — 4.1%

 

 

 

 

 

 

 

Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (b)(e)

 

 

20

 

 

14,718

 

Boise Paper Holdings LLC, 9.00%, 11/01/17 (b)

 

 

65

 

 

66,950

 

Clearwater Paper Corp., 10.63%, 6/15/16 (b)

 

 

70

 

 

77,700

 

Georgia-Pacific LLC, 8.25%, 5/01/16 (b)

 

 

285

 

 

300,675

 

Glatfelter, 7.13%, 5/01/16 (b)

 

 

35

 

 

33,600

 

NewPage Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/12

 

 

150

 

 

86,250

 

11.38%, 12/31/14

 

 

995

 

 

950,225

 


 

 

 

See Notes to Financial Statements.




48

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Paper & Forest Products (concluded)

 

 

 

 

 

 

 

Norske Skog Canada Ltd., 7.38%, 3/01/14

 

$

120

 

$

76,800

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14 (b)

 

 

60

 

 

63,000

 

4.00%, 8/01/14 (f)

 

 

40

 

 

32,300

 

9.13%, 8/01/14

 

 

40

 

 

36,800

 

 

 

 

 

 




 

 

 

 

 

 

1,739,018

 









Pharmaceuticals — 0.9%

 

 

 

 

 

 

 

Angiotech Pharmaceuticals, Inc., 4.00%, 12/01/13 (f)

 

 

195

 

 

157,950

 

Elan Corp. Plc, 8.75%, 10/15/16 (b)

 

 

125

 

 

121,250

 

Valeant Pharmaceuticals International, 8.38%,
6/15/16 (b)

 

 

95

 

 

98,325

 

 

 

 

 

 




 

 

 

 

 

 

377,525

 









Professional Services — 0.2%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

100

 

 

100,250

 









Semiconductors & Semiconductor Equipment — 1.0%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc., 8.13%, 12/15/17 (b)

 

 

210

 

 

212,625

 

Spansion, Inc., 3.79%, 6/01/13 (a)(b)(g)

 

 

190

 

 

188,100

 

 

 

 

 

 




 

 

 

 

 

 

400,725

 









Software — 0.0%

 

 

 

 

 

 

 

BMS Holdings, Inc., 7.89%, 2/15/12 (b)(e)(f)

 

 

83

 

 

1,657

 









Specialty Retail — 1.2%

 

 

 

 

 

 

 

Asbury Automotive Group, Inc., 7.63%, 3/15/17

 

 

60

 

 

56,625

 

General Nutrition Centers, Inc., 10.75%, 3/15/15

 

 

95

 

 

96,069

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (d)(h)

 

 

25

 

 

19,562

 

Limited Brands, Inc., 8.50%, 6/15/19 (b)

 

 

140

 

 

149,975

 

United Auto Group, Inc., 7.75%, 12/15/16

 

 

180

 

 

171,675

 

 

 

 

 

 




 

 

 

 

 

 

493,906

 









Textiles, Apparel & Luxury Goods — 0.2%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.88%, 4/15/15

 

 

100

 

 

85,250

 









Trading Companies & Distributors — 0.3%

 

 

 

 

 

 

 

Russel Metals, Inc., 6.38%, 3/01/14

 

 

125

 

 

117,813

 









Wireless Telecommunication Services — 4.5%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.38%, 11/01/14

 

 

110

 

 

109,450

 

10.00%, 7/15/15

 

 

225

 

 

227,813

 

7.75%, 5/15/16

 

 

270

 

 

274,387

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

230

 

 

219,650

 

9.13%, 1/15/15 (e)

 

 

294

 

 

286,650

 

iPCS, Inc., 2.37%, 5/01/13 (f)

 

 

110

 

 

101,200

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

405

 

 

403,987

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

6.88%, 10/31/13

 

 

200

 

 

192,000

 

5.95%, 3/15/14

 

 

20

 

 

18,150

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

110

 

 

83,325

 

 

 

 

 

 




 

 

 

 

 

 

1,916,612

 









Total Corporate Bonds — 96.3%

 

 

 

 

 

40,727,834

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 









Aerospace & Defense — 0.1%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co., Term Loan B,
10.50%, 3/26/14

 

 

50

 

 

45,542

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

Par
(000)

 

Value

 









Auto Components — 1.1%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan,
2.98% – 3.00% 8/07/14

 

$

392

 

$

359,340

 

Dana Holding Corp., Term Advance,
4.48% – 4.50%, 1/30/15

 

 

90

 

 

87,517

 

 

 

 

 

 




 

 

 

 

 

 

446,857

 









Automobiles — 2.7%

 

 

 

 

 

 

 

Ford Motor Co., Tranche B-1 Term Loan,
3.24% – 3.26%, 12/15/13

 

 

1,236

 

 

1,154,476

 









Chemicals — 0.9%

 

 

 

 

 

 

 

Solutia Inc., Loan, 7.25%, 2/28/14

 

 

83

 

 

84,036

 

Tronox Worldwide LLC, Tranche B-1 Term Loan,
9.00%, 6/24/10

 

 

300

 

 

307,860

 

 

 

 

 

 




 

 

 

 

 

 

391,896

 









Construction & Engineering — 0.6%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Term Loan,
13.00%, 12/14/17

 

 

250

 

 

250,000

 









Consumer Finance — 1.3%

 

 

 

 

 

 

 

Chrysler Financial Corp. Return of Capital, 8/03/12

 

 

175

 

 

168,656

 

DaimlerChrysler Financial Services Americas LLC,
Term Loan (First Lien), 4.24%, 8/03/12

 

 

387

 

 

382,308

 

 

 

 

 

 




 

 

 

 

 

 

550,964

 









Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

Rite Aid Corp., Tranche 4 Term Loan, 9.50%, 6/10/15

 

 

200

 

 

207,200

 









Hotels, Restaurants & Leisure — 1.1%

 

 

 

 

 

 

 

Travelport LLC (fka Travelport Inc.), Loan,
8.25%, 3/27/12

 

 

510

 

 

466,785

 









Independent Power Producers & Energy Traders — 1.3%

 

 

 

 

 

 

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-2 Term Loan,
3.73% – 3.75%, 10/10/14

 

 

293

 

 

235,499

 

Initial Tranche B-3 Term Loan,
3.73% – 3.75%, 10/10/14

 

 

389

 

 

310,999

 

 

 

 

 

 




 

 

 

 

 

 

546,498

 









Media — 3.0%

 

 

 

 

 

 

 

Affinion Group Holdings, Inc., Loan, 7.89%, 3/01/12

 

 

340

 

 

321,760

 

Cengage Learning Acquisitions, Inc. (Thomson Learning),
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14

 

 

246

 

 

243,788

 

HMH Publishing Co. Ltd.:

 

 

 

 

 

 

 

Mezzanine, 17.50%, 11/14/14

 

 

60

 

 

7,412

 

Tranche A Term Loan, 5.48%, 6/12/14

 

 

240

 

 

201,704

 

Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13

 

 

350

 

 

374,063

 

Worldcolor Press Inc. and Worldcolor (USA) Corp.
(fka Quebecor World, Inc.), Advance, 9.00%, 7/23/12

 

 

100

 

 

100,635

 

 

 

 

 

 




 

 

 

 

 

 

1,249,362

 









Multiline Retail — 0.0%

 

 

 

 

 

 

 

The Neiman Marcus Group Inc., Term Loan,
2.26%, 4/06/13

 

 

20

 

 

17,657

 









Paper & Forest Products — 0.3%

 

 

 

 

 

 

 

Verso Paper Finance Holdings LLC, Loan,
6.50% – 7.25%, 2/01/13

 

 

199

 

 

109,228

 









Real Estate Management & Development — 0.4%

 

 

 

 

 

 

 

Realogy Corp., Term Loan (Second Lien),
13.50%, 10/15/17

 

 

150

 

 

163,125

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores Inc., Term Loan B, 3.00%, 5/29/14

 

 

50

 

 

41,111

 









Total Floating Rate Loan Interests — 13.4%

 

 

 

 

 

5,640,701

 










 

 

 

See Notes to Financial Statements.

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

49




 

 



 

 

Schedule of Investments (continued)

BlackRock High Yield Trust (BHY)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

Value

 









Auto Components — 1.8%

 

 

 

 

 

 

 

Delphi Debtor in Possession Hold Co. LLP, Class B
Membership Interests (a)

 

 

(k)

$

764,071

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc. (a)

 

$

5

 

 

953

 









Total Other Interests — 1.8%

 

 

 

 

 

765,024

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 








Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp., 0.00% (a)(b)

 

 

5,410

 

 

 









Specialty Retail — 0.2%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. (a)

 

 

72

 

 

71,984

 









Total Preferred Securities — 0.2%

 

 

 

 

 

71,984

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Warrants (l)

 

 

 

 

 

 

 









Construction & Engineering — 0.0%

 

 

 

 

 

 

 

Safway US LLC (expires 12/14/17)

 

 

46

 

 

 









Diversified Telecommunication Services — 0.0%

 

 

 

 

 

 

 

NEON Communications, Inc. (expires 12/02/12)

 

 

53,622

 

 

1

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(expires 3/26/19) (b)

 

 

6,182

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

1

 









Total Long-Term Investments
(Cost — $49,908,729) — 113.1%

 

 

 

 

 

47,807,778

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempFund, Institutional
Class, 0.10% (m)(n)

 

 

1,781,022

 

 

1,781,022

 









Total Short-Term Securities
(Cost — $1,781,022) — 4.2%

 

 

 

 

 

1,781,022

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 








Over-the-Counter Call Options Purchased — 0.0%

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price $942.86,
Expires 12/01/19, Broker Goldman Sachs Bank USA

 

 

3

 

 

570

 









Total Options Purchased
(Cost — $2,933) — 0.0%

 

 

 

 

 

570

 









Total Investments (Cost — $51,692,684*) — 117.3%

 

 

 

 

 

49,589,370

 

 

 

 

 

 

 

 

 

Liabilities in Excess of Other Assets — (17.3)%

 

 

 

 

 

(7,295,107

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

42,294,263

 

 

 

 

 

 





 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

 

 

Aggregate cost

 

$

51,831,479

 

 

 

 




 

Gross unrealized appreciation

 

$

2,204,131

 

 

Gross unrealized depreciation

 

 

(4,446,240

)

 

 

 




 

Net unrealized depreciation

 

$

(2,242,109

)

 

 

 





 

 

(a)

Non-income producing security.

 

 

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(c)

Represents a zero-coupon bond. Rate reflects the current yield as of report date.

 

 

(d)

Convertible security.

 

 

(e)

Represents a payment-in-kind security which may pay interest/dividends in additional face/shares.

 

 

(f)

Variable rate security. Rate shown is as of report date.

 

 

(g)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(h)

Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.

 

 

(i)

When issued security. Unsettled when-issued transactions were are follows:


 

 

 

 

 

 

 

 

 

 







 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

 







 

Morgan Stanley

 

$

345,000

 

 

 

 








 

 

(j)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(k)

Amount is less than $1,000.

 

 

(l)

Warrants entitle the Trust to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date.

 

 

(m)

Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

 

 







 

Affiliate

 

Net
Activity

 

Income

 

 







 

BlackRock Liquidity Funds, TempFund, Institutional Class

 

$

(399,171

)

$

1,096

 

 








 

 

(n)

Represents the current yield as of report date.

 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

Issuer

 

Pay
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 

 













 

Brunswick Corp.

 

5.00%

 

Credit Suisse International

 

September 2014

 

USD 150

 

$

(4,206

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Limited Brands, Inc.

 

1.00%

 

JPMorgan Chase Bank NA

 

September 2014

 

USD 160

 

 

(5,496

)

 














 

Total

 

 

 

 

 

 

 

 

 

$

(9,702

)

 

 

 

 

 

 

 

 

 

 

 





 

 

For Trust compliance purposes,the Trust ‘s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.


 

 

 

See Notes to Financial Statements.




50

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

 

Schedule of Investments (concluded)

BlackRock High Yield Trust (BHY)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

Level 1 — price quotations inactive markets/exchanges for identical assets and liabilities

 

 

 

 

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the face value of investments)

 

 

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 28, 2010 in determining the fair value of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 

 

 



Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

533,708

 

$

41,410

 

$

27,116

 

$

602,234

 

Corporate Bonds

 

 

 

 

39,447,343

 

 

1,280,491

 

 

40,727,834

 

Floating Rate Loan Interests

 

 

 

 

2,864,552

 

 

2,776,149

 

 

5,640,701

 

Other interests

 

 

 

 

 

 

765,024

 

 

765,024

 

Preferred Securities

 

 

 

 

 

 

71,984

 

 

71,984

 

Warrants

 

 

 

 

 

 

1

 

 

1

 

Short-Term Securities

 

 

1,781,022

 

 

 

 

 

 

1,781,022

 

 

 













Total

 

$

2,314,730

 

$

42,353,305

 

$

4,920,765

 

$

49,588,800

 

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

Other Financial Instruments1

 

 

 



Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets

 

 

 

$

570

 

 

 

$

570

 

Liabilities

 

 

 

 

(9,702

)

$

(9,722

)

 

(19,424

)

 

 













Total

 

 

 

$

(9,132

)

$

(9,722

)

$

(18,854

)

 

 













 

 

 

 

1

Other financial instruments are swaps, options and unfunded loan commitments. Swaps and unfunded loan commitments are shown at the unrealized appreciation/ depreciation on the instrument and options are shown at value.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 

 

 



 

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interests

 

Preferred
Securities

 

Warrants

 

Total

 

















Balance, as of August 31, 2009

 

 

 

$

1,149,295

 

$

2,581,647

 

$

953

 

 

 

$

1

 

$

3,731,896

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

 

(1,064,031

)

 

(668,118

)

 

 

 

 

 

 

 

(1,732,149

)

Change in unrealized appreciation/depreciation2

 

 

 

 

2,112,110

 

 

1,498,381

 

 

 

 

 

 

 

 

3,610,491

 

Net purchases (sales)

 

 

 

 

(850,667

)

 

(106,782

)

 

 

 

 

 

 

 

(957,449

)

Net transfers in/out of Level 3

 

$

27,116

 

 

(66,216

)

 

(528,979

)

 

764,071

 

$

71,984

 

 

 

 

267,976

 

 

 






















Balance, as of February 28, 2010

 

$

27,116

 

$

1,280,491

 

$

2,776,149

 

$

765,024

 

$

71,984

 

$

1

 

$

4,920,765

 

 

 






















 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on securities still held at February 28, 2010 was $1,403,692.

The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 





 

 

Other Financial
Instruments3

 





 

 

Liabilities

 

 

 



Balance, as of August 31, 2009

 

 

 

Accrued discounts/premiums

 

 

 

Realized gain (loss)

 

 

 

Change in unrealized appreciation/depreciation

 

 

 

Net purchases (sales)

 

 

 

Net transfers in/out of Level 3

 

$

(9,722

)

 

 




Balance, as of February 28, 2010

 

$

(9,722

)

 

 




 

 

 

 

3

Other financial instruments are unfunded loan commitments.


 

 

 

See Notes to Financial Statements.

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

51




 

 



 

 

Schedule of Investments February 28, 2010 (Unaudited)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

Par
(000)

 

Value

 








Ameriquest Mortgage Securities, Inc., Series
2004-R11, Class A1, 0.53%, 11/25/34 (a)

 

USD

897

 

$

709,868

 

Chase Issuance Trust, Series 2009-A7, Class A7,
0.68%, 9/17/12 (a)

 

 

3,375

 

 

3,380,235

 

Ford Credit Auto Owner Trust, Series 2009-A,
Class A3B, 2.73%, 5/15/13 (a)

 

 

6,095

 

 

6,235,327

 

Globaldrive BV, Series 2008-2, Class A,
4.00%, 10/20/16

 

EUR

845

 

 

1,163,452

 

Harley-Davidson Motorcycle Trust, Series 2005-2,
Class A2, 4.07%, 2/15/12

 

USD

491

 

 

492,819

 

Home Equity Asset Trust, Series 2007-2, Class 2A1,
0.34%, 7/25/37 (a)

 

 

386

 

 

369,012

 

SLM Student Loan Trust, Series 2008-5 (a):

 

 

 

 

 

 

 

Class A2, 1.35%, 10/25/16

 

 

3,300

 

 

3,356,342

 

Class A3, 1.55%, 1/25/18

 

 

840

 

 

867,207

 

Class A4, 1.95%, 7/25/23

 

 

2,250

 

 

2,379,923

 

Small Business Administration Participation
Certificates, Series 1996-20K, Class 1,
6.95%, 11/01/16

 

 

394

 

 

424,171

 

Wachovia Auto Owner Trust, Series 2006-A, Class A4,
5.38%, 3/20/13

 

 

1,058

 

 

1,077,779

 

 

 

 

 

 




 

 

 

 

 

 

20,456,135

 









Interest Only — 0.4%

 

 

 

 

 

 

 

Sterling Bank Trust, Series 2004-2, Class Note,
2.08%, 3/30/30 (b)

 

 

6,138

 

 

481,469

 

Sterling Coofs Trust, Series 1, 2.36%, 4/15/29

 

 

8,212

 

 

846,813

 

 

 

 

 

 




 

 

 

 

 

 

1,328,282

 









Total Asset-Backed Securities — 6.3%

 

 

 

 

 

21,784,417

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Common Stocks

 

 

Shares

 

 

 

 









Auto Components — 0.0%

 

 

 

 

 

 

 

Lear Corp. (c)

 

 

1

 

 

46

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. (c)

 

 

2,590

 

 

10,101

 









Total Common Stocks — 0.0%

 

 

 

 

 

10,147

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

 

 









Aerospace & Defense — 0.9%

 

 

 

 

 

 

 

Honeywell International, Inc., 5.70%, 3/15/37

 

USD

915

 

 

928,926

 

United Technologies Corp.:

 

 

 

 

 

 

 

4.88%, 5/01/15

 

 

1,250

 

 

1,371,424

 

6.13%, 7/15/38

 

 

750

 

 

805,574

 

 

 

 

 

 




 

 

 

 

 

 

3,105,924

 









Air Freight & Logistics — 0.6%

 

 

 

 

 

 

 

Park-Ohio Industries, Inc., 8.38%, 11/15/14

 

 

165

 

 

133,650

 

United Parcel Service, Inc., 6.20%, 1/15/38

 

 

1,710

 

 

1,882,118

 

 

 

 

 

 




 

 

 

 

 

 

2,015,768

 









Beverages — 0.6%

 

 

 

 

 

 

 

Anheuser-Busch InBev Worldwide, Inc.,
8.20%, 1/15/39 (b)

 

 

1,525

 

 

2,005,741

 

PepsiCo., Inc., 4.50%, 1/15/20

 

 

250

 

 

254,021

 

 

 

 

 

 




 

 

 

 

 

 

2,259,762

 









Building Products — 0.1%

 

 

 

 

 

 

 

CPG International I, Inc., 10.50%, 7/01/13

 

 

230

 

 

225,400

 

Masco Corp., 7.13%, 8/15/13

 

 

235

 

 

249,889

 

 

 

 

 

 




 

 

 

 

 

 

475,289

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 









Capital Markets — 3.7%

 

 

 

 

 

 

 

The Bank of New York Mellon Corp., 4.30%,
5/15/14 (d)

 

USD

1,560

 

$

1,658,110

 

CDP Financial, Inc. (b):

 

 

 

 

 

 

 

3.00%, 11/25/14

 

 

1,950

 

 

1,937,781

 

5.60%, 11/25/39

 

 

2,955

 

 

2,925,155

 

Credit Suisse (USA) Inc.:

 

 

 

 

 

 

 

6.13%, 11/15/11 (e)

 

 

700

 

 

755,622

 

7.13%, 7/15/32

 

 

1,000

 

 

1,163,367

 

The Goldman Sachs Group, Inc., 6.60%,
1/15/12 (d)

 

 

1,000

 

 

1,085,274

 

Lehman Brothers Holdings, Inc., 6.50%,
7/19/17 (c)(f)

 

 

225

 

 

563

 

Morgan Stanley:

 

 

 

 

 

 

 

4.20%, 11/20/14

 

 

1,620

 

 

1,624,751

 

6.25%, 8/28/17

 

 

900

 

 

949,938

 

5.63%, 9/23/19 (d)

 

 

760

 

 

753,531

 

 

 

 

 

 




 

 

 

 

 

 

12,854,092

 









Chemicals — 0.7%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

 

280

 

 

276,500

 

Ames True Temper, Inc., 4.25%, 1/15/12 (a)

 

 

720

 

 

673,200

 

Huntsman International LLC, 7.88%, 11/15/14

 

 

275

 

 

266,750

 

Innophos, Inc., 8.88%, 8/15/14

 

 

975

 

 

1,001,812

 

NOVA Chemicals Corp.:

 

 

 

 

 

 

 

6.50%, 1/15/12

 

 

115

 

 

115,000

 

3.65%, 11/15/13 (a)

 

 

275

 

 

248,875

 

 

 

 

 

 




 

 

 

 

 

 

2,582,137

 









Commercial Banks — 2.1%

 

 

 

 

 

 

 

DEPFA ACS Bank, 5.13%, 3/16/37 (b)

 

 

4,150

 

 

3,095,240

 

Eksportfinans ASA:

 

 

 

 

 

 

 

3.00%, 11/17/14

 

 

1,490

 

 

1,506,760

 

5.50%, 6/26/17

 

 

1,000

 

 

1,093,316

 

HSBC Holdings Plc, 6.50%, 5/02/36

 

 

1,275

 

 

1,313,698

 

Royal Bank of Scotland Group Plc, 2.63%,
5/11/12 (b)

 

 

305

 

 

311,986

 

 

 

 

 

 




 

 

 

 

 

 

7,321,000

 









Commercial Services & Supplies — 0.8%

 

 

 

 

 

 

 

DI Finance, Series B, 9.50%, 2/15/13

 

 

679

 

 

684,092

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

600

 

 

616,500

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

310

 

 

307,675

 

11.00%, 10/15/16

 

 

1,100

 

 

1,102,750

 

 

 

 

 

 




 

 

 

 

 

 

2,711,017

 









Communications Equipment — 0.5%

 

 

 

 

 

 

 

Cisco Systems, Inc., 4.45%, 1/15/20

 

 

1,900

 

 

1,898,406

 









Computers & Peripherals — 0.2%

 

 

 

 

 

 

 

Seagate Technology International, 10.00%,
5/01/14 (b)

 

 

655

 

 

744,244

 









Consumer Finance — 0.3%

 

 

 

 

 

 

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

3.00%, 1/13/12 (a)

 

 

120

 

 

112,500

 

7.80%, 6/01/12

 

 

380

 

 

384,016

 

SLM Corp., Series A, 0.55%, 1/27/14 (a)

 

 

600

 

 

498,494

 

 

 

 

 

 




 

 

 

 

 

 

995,010

 









Containers & Packaging — 0.4%

 

 

 

 

 

 

 

Ball Corp.:

 

 

 

 

 

 

 

7.13%, 9/01/16

 

 

275

 

 

285,312

 

7.38%, 9/01/19

 

 

275

 

 

285,313

 

Crown Americas LLC, 7.75%, 11/15/15

 

 

150

 

 

154,875

 

Impress Holdings BV, 3.38%, 9/15/13 (a)(b)

 

 

330

 

 

307,725

 

Pregis Corp., 12.38%, 10/15/13

 

 

535

 

 

530,987

 

 

 

 

 

 




 

 

 

 

 

 

1,564,212

 










 

 

 

See Notes to Financial Statements.




52

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 








Diversified Financial Services — 2.7%

 

 

 

 

 

 

 

FCE Bank Plc, 7.88%, 2/15/11

 

GBP

550

 

$

844,935

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

5.50%, 1/08/20 (d)

 

USD

2,150

 

 

2,162,079

 

6.75%, 3/15/32 (g)

 

 

3,000

 

 

3,087,096

 

JPMorgan Chase & Co., 6.30%, 4/23/19

 

 

1,375

 

 

1,524,803

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

 

1,000

 

 

1,012,500

 

Reynolds Group Issuer, Inc., 7.75%, 10/15/16 (b)

 

EUR

550

 

 

747,046

 

 

 

 

 

 




 

 

 

 

 

 

9,378,459

 









Diversified Telecommunication Services — 5.4%

 

 

 

 

 

 

 

AT&T, Inc., 6.55%, 2/15/39 (e)

 

USD

4,075

 

 

4,305,405

 

BellSouth Telecommunications, Inc. 7.96%,
12/15/95 (h)

 

 

1,700

 

 

1,089,380

 

Nordic Telephone Co. Holdings ApS, 8.88%,
5/01/16 (b)

 

 

145

 

 

155,150

 

Qwest Communications International, Inc.:

 

 

 

 

 

 

 

7.50%, 2/15/14

 

 

15

 

 

15,150

 

Series B, 7.50%, 2/15/14

 

 

10

 

 

10,100

 

Qwest Corp.:

 

 

 

 

 

 

 

8.88%, 3/15/12

 

 

120

 

 

130,050

 

8.38%, 5/01/16

 

 

170

 

 

186,150

 

Telecom Italia Capital SA, 4.95%, 9/30/14

 

 

4,375

 

 

4,566,958

 

Telefonica Emisiones SAU, 7.05%, 6/20/36

 

 

1,000

 

 

1,111,596

 

Verizon Communications, Inc.:

 

 

 

 

 

 

 

6.40%, 2/15/38

 

 

2,100

 

 

2,198,433

 

8.95%, 3/01/39

 

 

1,125

 

 

1,533,233

 

Verizon Global Funding Corp., 7.75%, 6/15/32

 

 

575

 

 

679,452

 

Verizon Maryland, Inc.:

 

 

 

 

 

 

 

Series A, 6.13%, 3/01/12

 

 

1,355

 

 

1,459,159

 

Series B, 5.13%, 6/15/33

 

 

540

 

 

444,211

 

Verizon Virginia, Inc., Series A, 4.63%, 3/15/13

 

 

750

 

 

792,422

 

Wind Acquisition Finance SA, 10.75%, 12/01/15 (b)

 

 

85

 

 

90,950

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

100

 

 

104,000

 

8.63%, 8/01/16

 

 

160

 

 

162,800

 

 

 

 

 

 




 

 

 

 

 

 

19,034,599

 









Electric Utilities — 4.0%

 

 

 

 

 

 

 

Alabama Power Co., 6.00%, 3/01/39

 

 

550

 

 

578,917

 

Duke Energy Carolinas LLC:

 

 

 

 

 

 

 

6.10%, 6/01/37

 

 

325

 

 

341,448

 

6.00%, 1/15/38

 

 

850

 

 

893,902

 

EDP Finance BV, 6.00%, 2/02/18 (b)

 

 

1,109

 

 

1,162,751

 

E.ON International Finance BV, 6.65%, 4/30/38 (b)

 

 

1,575

 

 

1,800,431

 

Electricité de France SA, 6.95%, 1/26/39 (b)

 

 

1,400

 

 

1,619,911

 

Elwood Energy LLC, 8.16%, 7/05/26

 

 

148

 

 

142,017

 

Florida Power & Light Co., 4.95%, 6/01/35

 

 

575

 

 

524,763

 

Florida Power Corp.:

 

 

 

 

 

 

 

6.35%, 9/15/37

 

 

1,450

 

 

1,584,408

 

6.40%, 6/15/38

 

 

800

 

 

880,518

 

PacifiCorp., 6.25%, 10/15/37

 

 

650

 

 

710,925

 

Public Service Co. of Colorado, 6.25%, 9/01/37

 

 

1,350

 

 

1,476,395

 

Southern California Edison Co.:

 

 

 

 

 

 

 

5.63%, 2/01/36

 

 

675

 

 

683,736

 

Series 05-E, 5.35%, 7/15/35

 

 

150

 

 

146,331

 

Series 08-A, 5.95%, 2/01/38

 

 

1,100

 

 

1,165,253

 

The Toledo Edison Co., 6.15%, 5/15/37

 

 

350

 

 

353,201

 

 

 

 

 

 




 

 

 

 

 

 

14,064,907

 









Energy Equipment & Services — 0.7%

 

 

 

 

 

 

 

Expro Finance Luxembourg SCA, 8.50%, 12/15/16 (b)

 

 

2,480

 

 

2,467,600

 

North American Energy Partners, Inc., 8.75%, 12/01/11

 

 

85

 

 

84,575

 

 

 

 

 

 




 

 

 

 

 

 

2,552,175

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 









Food & Staples Retailing — 0.9%

 

 

 

 

 

 

 

Wal-Mart Stores, Inc.:

 

 

 

 

 

 

 

6.50%, 8/15/37

 

USD

1,975

 

$

2,243,849

 

6.20%, 4/15/38

 

 

850

 

 

930,703

 

 

 

 

 

 




 

 

 

 

 

 

3,174,552

 









Food Products — 0.5%

 

 

 

 

 

 

 

Kraft Foods, Inc., 7.00%, 8/11/37

 

 

1,670

 

 

1,845,041

 









Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

 

 

DJO Finance LLC, 10.88%, 11/15/14

 

 

900

 

 

963,000

 









Health Care Providers & Services — 0.3%

 

 

 

 

 

 

 

Tenet Healthcare Corp. (b):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

670

 

 

701,825

 

10.00%, 5/01/18

 

 

280

 

 

308,000

 

 

 

 

 

 




 

 

 

 

 

 

1,009,825

 









Hotels, Restaurants & Leisure — 0.3%

 

 

 

 

 

 

 

Greektown Holdings, LLC, 10.75%,
12/01/13 (b)(c)(f)

 

 

240

 

 

14,400

 

McDonald’s Corp., 5.70%, 2/01/39

 

 

850

 

 

869,444

 

 

 

 

 

 




 

 

 

 

 

 

883,844

 









Household Durables — 1.3%

 

 

 

 

 

 

 

Centex Corp., 5.13%, 10/01/13

 

 

1,140

 

 

1,151,400

 

D.R. Horton, Inc., 6.13%, 1/15/14

 

 

1,080

 

 

1,080,000

 

Irwin Land LLC (b):

 

 

 

 

 

 

 

Series A-1, 5.03%, 12/15/25

 

 

575

 

 

497,260

 

Series A-2, 5.30%, 12/15/35

 

 

780

 

 

615,919

 

KB Home, 6.38%, 8/15/11

 

 

94

 

 

95,645

 

Lennar Corp., Series B, 5.60%, 5/31/15

 

 

420

 

 

386,400

 

Pulte Homes, Inc., 5.20%, 2/15/15

 

 

325

 

 

303,875

 

Toll Brothers Finance Corp., 4.95%, 3/15/14

 

 

260

 

 

256,636

 

 

 

 

 

 




 

 

 

 

 

 

4,387,135

 









Household Products — 0.3%

 

 

 

 

 

 

 

Kimberly-Clark, Corp., 6.63%, 8/01/37

 

 

975

 

 

1,124,714

 









Independent Power Producers & Energy Traders — 0.1%

 

 

 

 

 

 

 

NRG Energy, Inc., 7.25%, 2/01/14

 

 

50

 

 

50,375

 

TXU Corp., 5.55%, 11/15/14

 

 

210

 

 

153,255

 

 

 

 

 

 




 

 

 

 

 

 

203,630

 









Industrial Conglomerates — 0.5%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

760

 

 

744,800

 

13.50%, 12/01/15 (i)

 

 

927

 

 

929,800

 

 

 

 

 

 




 

 

 

 

 

 

1,674,600

 









Insurance — 2.7%

 

 

 

 

 

 

 

Chubb Corp., 6.00%, 5/11/37

 

 

1,415

 

 

1,467,184

 

Metropolitan Life Global Funding I (b):

 

 

 

 

 

 

 

2.50%, 1/11/13

 

 

2,550

 

 

2,568,212

 

5.13%, 6/10/14

 

 

775

 

 

831,726

 

Monument Global Funding Ltd., 0.41%,
6/16/10 (a)(b)

 

 

1,990

 

 

1,973,731

 

Prudential Financial, Inc.:

 

 

 

 

 

 

 

4.75%, 9/17/15

 

 

1,220

 

 

1,261,646

 

5.70%, 12/14/36

 

 

950

 

 

889,393

 

Teachers Insurance & Annuity Association of America,
6.85%, 12/16/39 (b)

 

 

505

 

 

544,222

 

 

 

 

 

 




 

 

 

 

 

 

9,536,114

 









IT Services — 0.5%

 

 

 

 

 

 

 

First Data Corp., 9.88%, 9/24/15

 

 

895

 

 

765,225

 

iPayment, Inc., 9.75%, 5/15/14

 

 

270

 

 

235,575

 

iPayment Investors LP, 11.63%, 7/15/14 (b)(i)

 

 

766

 

 

612,874

 

 

 

 

 

 




 

 

 

 

 

 

1,613,674

 










 

 

 

See Notes to Financial Statements.

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

53




 

 


 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Machinery — 0.3%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

USD

340

 

$

272,000

 

Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (b)

 

 

990

 

 

858,825

 

 

 

 

 

 




 

 

 

 

 

 

1,130,825

 









Marine — 0.3%

 

 

 

 

 

 

 

Nakilat, Inc., Series A, 6.07%, 12/31/33 (b)

 

 

1,100

 

 

1,001,957

 









Media — 5.9%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.13%, 10/15/13

 

 

740

 

 

747,400

 

Belo Corp., 6.75%, 5/30/13

 

 

205

 

 

202,950

 

CCH II LLC, 13.50%, 11/30/16

 

 

495

 

 

584,247

 

CMP Susquehanna Corp., 3.20%, 5/15/14 (b)

 

 

55

 

 

1,100

 

Clear Channel Worldwide Holdings, Inc. 9.25%,
12/15/17 (b)

 

 

1,590

 

 

1,631,340

 

Comcast Cable Communications Holdings, Inc.:

 

 

 

 

 

 

 

8.38%, 3/15/13

 

 

1,415

 

 

1,642,812

 

9.46%, 11/15/22

 

 

2,000

 

 

2,675,602

 

Comcast Cable Communications LLC,
6.75%, 1/30/11

 

 

1,000

 

 

1,049,544

 

Comcast Corp., 6.40%, 3/01/40 (j)

 

 

350

 

 

356,116

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

195

 

 

89,700

 

News America Holdings, Inc.:

 

 

 

 

 

 

 

8.45%, 8/01/34

 

 

2,475

 

 

3,026,338

 

8.15%, 10/17/36

 

 

145

 

 

172,990

 

Nielsen Finance LLC, 10.00%, 8/01/14

 

 

1,060

 

 

1,099,750

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

225

 

 

229,500

 

10.38%, 9/01/14

 

 

1,070

 

 

1,124,838

 

TCI Communications, Inc., 8.75%, 8/01/15

 

 

1,495

 

 

1,837,558

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

 

1,310

 

 

1,193,738

 

Time Warner Cable, Inc., 7.30%, 7/01/38

 

 

970

 

 

1,100,092

 

Time Warner Cos., Inc., 7.57%, 2/01/24

 

 

1,635

 

 

1,859,234

 

 

 

 

 

 




 

 

 

 

 

 

20,624,849

 









Metals & Mining — 0.9%

 

 

 

 

 

 

 

Falconbridge Ltd.:

 

 

 

 

 

 

 

6.00%, 10/15/15

 

 

600

 

 

647,498

 

6.20%, 6/15/35

 

 

1,550

 

 

1,459,578

 

Teck Resources Ltd., 10.75%, 5/15/19

 

 

795

 

 

977,850

 

 

 

 

 

 




 

 

 

 

 

 

3,084,926

 









Multi-Utilities — 0.9%

 

 

 

 

 

 

 

Dominion Resources, Inc., 6.00%, 11/30/17

 

 

1,135

 

 

1,244,155

 

Energy East Corp., 6.75%, 7/15/36

 

 

1,675

 

 

1,844,904

 

 

 

 

 

 




 

 

 

 

 

 

3,089,059

 









Oil, Gas & Consumable Fuels — 7.1%

 

 

 

 

 

 

 

BP Capital Markets Plc, 3.13%, 3/10/12

 

 

1,505

 

 

1,563,066

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

160

 

 

160,400

 

Burlington Resources Finance Co., 7.40%, 12/01/31

 

 

950

 

 

1,117,983

 

Canadian Natural Resources, Ltd.:

 

 

 

 

 

 

 

6.50%, 2/15/37

 

 

430

 

 

459,732

 

6.25%, 3/15/38

 

 

500

 

 

520,323

 

6.75%, 2/01/39

 

 

950

 

 

1,044,394

 

Cenovus Energy, Inc., 6.75%, 11/15/39 (b)

 

 

565

 

 

620,839

 

Conoco Funding Co., 7.25%, 10/15/31

 

 

150

 

 

175,972

 

ConocoPhillips, 4.60%, 1/15/15

 

 

450

 

 

485,748

 

ConocoPhillips Canada Funding Co., 5.95%, 10/15/36

 

 

150

 

 

156,146

 

ConocoPhillips Holding Co., 6.95%, 4/15/29

 

 

700

 

 

809,980

 

Devon Energy Corp., 7.95%, 4/15/32

 

 

650

 

 

819,032

 

EXCO Resources, Inc., 7.25%, 1/15/11

 

 

145

 

 

145,181

 

EnCana Corp.:

 

 

 

 

 

 

 

6.50%, 8/15/34

 

 

70

 

 

74,643

 

6.63%, 8/15/37

 

 

775

 

 

852,023

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 









Oil, Gas & Consumable Fuels (concluded)

 

 

 

 

 

 

 

Encore Acquisition Co., 6.00%, 7/15/15

 

USD

50

 

$

50,375

 

Enterprise Products Operating LLC:

 

 

 

 

 

 

 

6.13%, 2/01/13

 

 

710

 

 

779,042

 

6.13%, 10/15/39

 

 

700

 

 

699,467

 

MidAmerican Energy Co., 5.80%, 10/15/36

 

 

800

 

 

813,037

 

MidAmerican Energy Holdings Co.:

 

 

 

 

 

 

 

5.95%, 5/15/37

 

 

950

 

 

956,297

 

6.50%, 9/15/37

 

 

2,115

 

 

2,277,557

 

Nexen, Inc., 6.40%, 5/15/37

 

 

750

 

 

757,657

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

5.88%, 3/01/18

 

 

80

 

 

82,216

 

5.75%, 1/20/20

 

 

1,760

 

 

1,775,314

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

350

 

 

307,125

 

Shell International Finance BV, 6.38%, 12/15/38

 

 

2,050

 

 

2,288,288

 

Valero Energy Corp., 6.63%, 6/15/37

 

 

1,300

 

 

1,246,924

 

Whiting Petroleum Corp.:

 

 

 

 

 

 

 

7.25%, 5/01/12

 

 

20

 

 

20,100

 

7.25%, 5/01/13

 

 

375

 

 

378,750

 

XTO Energy, Inc.:

 

 

 

 

 

 

 

6.75%, 8/01/37

 

 

2,125

 

 

2,505,441

 

6.38%, 6/15/38

 

 

925

 

 

1,043,232

 

 

 

 

 

 




 

 

 

 

 

 

24,986,284

 









Paper & Forest Products — 2.1%

 

 

 

 

 

 

 

International Paper Co., 7.30%, 11/15/39

 

 

775

 

 

826,168

 

NewPage Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/12

 

 

140

 

 

80,500

 

11.38%, 12/31/14

 

 

6,780

 

 

6,474,900

 

 

 

 

 

 




 

 

 

 

 

 

7,381,568

 









Pharmaceuticals — 2.4%

 

 

 

 

 

 

 

Eli Lilly & Co., 3.55%, 3/06/12

 

 

630

 

 

659,148

 

GlaxoSmithKline Capital, Inc., 6.38%, 5/15/38

 

 

1,500

 

 

1,672,885

 

Roche Holdings, Inc., 7.00%, 3/01/39 (b)

 

 

900

 

 

1,078,157

 

Schering-Plough Corp., 6.55%, 9/15/37

 

 

1,250

 

 

1,436,985

 

Teva Pharmaceutical Finance LLC, 6.15%, 2/01/36

 

 

1,475

 

 

1,551,846

 

Wyeth, 5.95%, 4/01/37 (d)

 

 

1,775

 

 

1,873,779

 

 

 

 

 

 




 

 

 

 

 

 

8,272,800

 









Professional Services — 0.0%

 

 

 

 

 

 

 

FTI Consulting, Inc., 7.75%, 10/01/16

 

 

125

 

 

125,313

 









Real Estate Investment Trusts (REITs) — 0.1%

 

 

 

 

 

 

 

iStar Financial, Inc., 5.65%, 9/15/11

 

 

300

 

 

234,000

 









Road & Rail — 0.4%

 

 

 

 

 

 

 

Canadian National Railway Co., 6.38%, 10/15/11

 

 

1,000

 

 

1,084,348

 

The Hertz Corp., 8.88%, 1/01/14

 

 

135

 

 

137,025

 

 

 

 

 

 




 

 

 

 

 

 

1,221,373

 









Software — 0.7%

 

 

 

 

 

 

 

BMS Holdings, Inc., 7.89%, 2/15/12 (a)(b)(i)

 

 

138

 

 

2,767

 

Oracle Corp., 5.75%, 4/15/18 (d)(e)

 

 

2,300

 

 

2,531,311

 

 

 

 

 

 




 

 

 

 

 

 

2,534,078

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

General Nutrition Centers, Inc., 10.75%, 3/15/15

 

 

405

 

 

409,556

 









Textiles, Apparel & Luxury Goods — 0.1%

 

 

 

 

 

 

 

Quiksilver, Inc., 6.88%, 4/15/15

 

 

250

 

 

213,125

 









Thrifts & Mortgage Finance — 0.4%

 

 

 

 

 

 

 

Achmea Hypotheekbank NV, 3.20%, 11/03/14 (b)

 

 

1,325

 

 

1,351,323

 









Wireless Telecommunication Services — 1.6%

 

 

 

 

 

 

 

Cricket Communications, Inc., 10.00%, 7/15/15

 

 

105

 

 

106,313

 

Digicel Group Ltd., 8.88%, 1/15/15 (b)

 

 

270

 

 

257,850

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

60

 

 

59,850

 

Nextel Communications, Inc., Series E, 6.88%,
10/31/13 (i)

 

 

410

 

 

393,600

 


 

 

 

 

 

 

See Notes to Financial Statements.

 


54

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Wireless Telecommunication Services (concluded)

 

 

 

 

 

 

 

Rogers Communications, Inc., 7.50%, 8/15/38

 

USD

1,175

 

$

1,397,621

 

Sprint Capital Corp.:

 

 

 

 

 

 

 

6.88%, 11/15/28

 

 

780

 

 

590,850

 

8.75%, 3/15/32

 

 

350

 

 

308,875

 

Vodafone Group Plc, 4.15%, 6/10/14 (d)

 

 

2,500

 

 

2,617,072

 

 

 

 

 

 




 

 

 

 

 

 

5,732,031

 









Total Corporate Bonds — 54.7%

 

 

 

 

 

191,366,197

 










 

 

 

 

 

 

 

 









 

Foreign Agency Obligations

 

 

 

 

 

 

 









Bundesrepublik Deutschland, Series 08,
4.75%, 7/04/40

 

EUR

3,000

 

 

4,727,574

 

Hellenic Republic Government Bond, Series 5YR,
6.10%, 8/20/15

 

 

225

 

 

300,591

 

Italy Government International Bond,
5.38%, 6/15/33

 

USD

470

 

 

469,030

 

Japan Finance Corp., 2.00%, 6/24/11

 

 

880

 

 

891,660

 

Landwirtschaftliche Rentenbank:

 

 

 

 

 

 

 

4.13%, 7/15/13

 

 

120

 

 

128,580

 

Series E, 5.25%, 7/02/12

 

 

405

 

 

441,394

 

Series E, 4.38%, 1/15/13

 

 

260

 

 

278,908

 

Series E, 4.00%, 2/02/15

 

 

235

 

 

247,233

 

Province of Ontario Canada:

 

 

 

 

 

 

 

4.10%, 6/16/14

 

 

1,310

 

 

1,392,400

 

Series 1, 1.88%, 11/19/12

 

 

1,180

 

 

1,188,222

 









Total Foreign Agency Obligations — 2.9%

 

 

 

 

 

10,065,592

 










 

 

 

 

 

 

 

 









 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 









Collateralized Mortgage Obligations — 5.7%

 

 

 

 

 

 

 

Banc of America Funding Corp., Series 2007-2,
Class 1A2, 6.00%, 3/25/37

 

 

1,100

 

 

769,294

 

Bear Stearns Adjustable Rate Mortgage Trust,
Series 2007-1, Class 2A1, 5.41%, 2/25/47 (a)

 

 

927

 

 

621,678

 

Collateralized Mortgage Obligation Trust, Series 40,
Class R, 0.58%, 4/01/18

 

 

92

 

 

92

 

Countrywide Alternative Loan Trust:

 

 

 

 

 

 

 

Series 2005-64CB, Class 1A15,
5.50%, 12/25/35

 

 

1,700

 

 

1,284,892

 

Series 2006-0A21, Class A1, 0.41%,
3/20/47 (a)

 

 

984

 

 

510,346

 

Countrywide Home Loan Mortgage
Pass-Through Trust:

 

 

 

 

 

 

 

Series 2006-0A5, Class 2A1, 0.43%,
4/25/46 (a)

 

 

396

 

 

198,572

 

Series 2007-10, Class A22, 6.00%, 7/25/37

 

 

895

 

 

716,331

 

Deutsche Alt-A Securities, Inc., Alternate Loan Trust,
Series 2006-0A1, Class A1, 0.43%, 2/25/47 (a)

 

 

324

 

 

184,779

 

GSR Mortgage Loan Trust (a):

 

 

 

 

 

 

 

Series 2005-AR4, Class 6A1, 5.25%, 7/25/35

 

 

3,669

 

 

3,412,081

 

Series 2006-AR1, Class 2A1, 5.15%, 1/25/36

 

 

875

 

 

687,308

 

Harborview Mortgage Loan Trust, Series 2005-8,
Class 1A2A, 0.56%, 9/19/35 (a)

 

 

107

 

 

62,822

 

Homebanc Mortgage Trust, Series 2006-2, Class A1,
0.41%, 12/25/36 (a)

 

 

861

 

 

576,822

 

IndyMac IMJA Mortgage Loan Trust, Series 2007-A1,
Class A4, 6.00%, 8/25/37

 

 

1,100

 

 

665,455

 


 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

Par
(000)

 

 

Value

 









Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

JPMorgan Mortgage Trust:

 

 

 

 

 

 

 

Series 2007-S1, Class 2A22, 5.75%, 3/25/37

 

USD

841

 

$

755,217

 

Series 2007-S2, Class 1A15, 6.75%, 6/25/37

 

 

1,129

 

 

920,099

 

Maryland Insurance Backed Securities Trust,
Series 2006-1A Class, 5.55%, 12/10/65

 

 

2,500

 

 

875,000

 

Merrill Lynch Mortgage Investors, Inc., Series
2006-A3, Class 3A1, 5.76%, 5/25/36 (a)

 

 

874

 

 

561,632

 

Residential Funding Securities LLC, Series
2003-RM2, Class AI5, 8.50%, 5/25/33

 

 

4,153

 

 

3,918,485

 

Station Place Securitization Trust, Series 2009-1,
Class A, 1.74%, 1/25/40 (a)(b)

 

 

1,580

 

 

1,576,050

 

WaMu Mortgage Pass-Through Certificates,
Class 1A, Series 2007-0A4, 1.25%, 5/25/47 (a)

 

 

456

 

 

260,245

 

Wells Fargo Mortgage Backed Securities Trust:

 

 

 

 

 

 

 

Series 2006-3, Class A9, 5.50%, 3/25/36

 

 

684

 

 

665,496

 

Series 2006-AR4, Class 2A4, 5.77%,
4/25/36 (a)

 

 

300

 

 

269,317

 

Series 2007-10, Class 1A21, 6.00%, 7/25/37

 

 

664

 

 

482,820

 

 

 

 

 

 




 

 

 

 

 

 

19,974,833

 









Commercial Mortgage-Backed Securities — 15.1%

 

 

 

 

 

 

 

CS First Boston Mortgage Securities Corp.,
Series 2002-CP5, Class A2, 4.94%, 12/15/35

 

 

2,970

 

 

3,101,305

 

Citigroup Commercial Mortgage Trust, Series
2008-C7, Class A4, 6.10%, 12/10/49 (a)

 

 

2,020

 

 

1,953,485

 

Commercial Mortgage Loan Trust, Series 2008-LS1,
Class A4B, 6.02%, 12/10/49 (a)

 

 

1,515

 

 

1,421,134

 

Commercial Mortgage Pass-Through Certificates,
Series 2004-LB3A, Class A3, 5.09%, 7/10/37 (a)

 

 

990

 

 

1,020,515

 

Crown Castle Towers LLC, 6.11%, 1/15/40 (b)

 

 

1,595

 

 

1,670,190

 

DLJ Commercial Mortgage Corp., Series 2000-CKP1,
Class A1B, 7.18%, 11/10/33

 

 

1,234

 

 

1,251,290

 

First Union National Bank Commercial Mortgage,
Series 2000-C2, Class A2, 7.20%, 10/15/32

 

 

1,381

 

 

1,402,282

 

First Union-Lehman Brothers-Bank of America,
Series 1998-C2, Class D, 6.78%, 11/18/35

 

 

2,630

 

 

2,822,726

 

GE Capital Commercial Mortgage Corp.,
Series 2002-1A, Class A3, 6.27%, 12/10/35

 

 

2,310

 

 

2,454,117

 

GMAC Commercial Mortgage Securities, Inc.:

 

 

 

 

 

 

 

Series 2002-C3, Class A2, 4.93%, 7/10/39

 

 

2,580

 

 

2,700,471

 

Series 2004-C3, Class A4, 4.55%, 12/10/41

 

 

2,475

 

 

2,515,833

 

JPMorgan Chase Commercial Mortgage
Securities Corp.:

 

 

 

 

 

 

 

Series 2001-C1, Class A3, 5.86%, 10/12/35

 

 

1,990

 

 

2,081,806

 

Series 2004-CBX, Class A4, 4.53%, 1/12/37

 

 

2,380

 

 

2,415,441

 

LB-UBS Commercial Mortgage Trust, Series 2004-C4,
Class A3, 5.07%, 6/15/29 (a)

 

 

2,530

 

 

2,565,962

 

Merrill Lynch Mortgage Trust, Series 2004BPC1,
Class A3, 4.47%, 10/12/41 (a)

 

 

4,280

 

 

4,366,036

 

Morgan Stanley Capital I, Series 2005-T17, Class A4,
4.52%, 12/13/41

 

 

2,695

 

 

2,753,367

 

Wachovia Bank Commercial Mortgage Trust:

 

 

 

 

 

 

 

Series 2005-C21, Class A3, 5.21%,
10/15/44 (a)

 

 

940

 

 

953,992

 

Series 2006-C28, Class A2, 5.50%,
10/15/48 (k)

 

 

14,000

 

 

14,417,848

 

Series 2007-C33, Class A4, 5.90%,
2/15/51 (a)(b)

 

 

1,105

 

 

973,434

 

 

 

 

 

 




 

 

 

 

 

 

52,841,234

 










 

 

 

See Notes to Financial Statements.

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

55




 

 


 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 







Interest Only Collateralized Mortgage
Obligations — 0.0%

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust, Series 42,
Class R, 6,000.00%, 10/01/14

 

USD

(l)

$

585

 

GSMPS Mortgage Loan Trust, Series 1998-5,
Class IO, 0.97%, 6/19/27 (b)

 

 

2,879

 

 

57,578

 

Salomon Brothers Mortgage Securities VII, Inc.,
Series 2000-1, Class IO, 0.49%, 3/25/22

 

 

804

 

 

43

 

 

 

 

 

 




 

 

 

 

 

 

58,206

 









Interest Only Commercial Mortgage-Backed
Securities — 0.0%

 

 

 

 

 

 

 

Morgan Stanley Capital I, Series 1997-HF1,
Class X, 3.44%, 7/15/29 (b)

 

 

13

 

 

1

 









Total Non-Agency Mortgage-Backed Securities — 20.8%

 

 

 

 

 

72,874,274

 










 

 

 

 

 

 

 

 









 

Other Interests (m)

 

Beneficial
Interest
(000
)

 

 

 

 









Software — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

 

2

 

 

381

 









Total Other Interests — 0.0%

 

 

 

 

 

381

 










 


Preferred Securities



 

 

 

 

 

 

 

 

Capital Trusts

 

Par
(000)

 

 

 

 









Insurance — 1.3%

 

 

 

 

 

 

 

The Allstate Corp., 6.50%, 5/15/67 (a)

 

 

2,150

 

 

1,988,750

 

Lincoln National Corp., 6.05%, 4/20/67 (a)

 

 

750

 

 

576,563

 

Progressive Corp., 6.70%, 6/15/67 (a)

 

 

665

 

 

617,758

 

The Travelers Cos., Inc., 6.25%, 3/15/67 (a)

 

 

750

 

 

714,637

 

ZFS Finance (USA) Trust V, 6.50%, 5/09/67 (a)(b)

 

 

575

 

 

517,500

 









Total Capital Trusts– 1.3%

 

 

 

 

 

4,415,208

 










 

 

 

 

 

 

 

 

Preferred Stocks

 

Shares

 

 

 

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp. (b)

 

 

12,873

 

 

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Lazydays RV Center, Inc.

 

 

55

 

 

54,912

 









Total Preferred Stocks — 0.0%

 

 

 

 

 

54,912

 









Total Preferred Securities — 1.3%

 

 

 

 

 

4,470,120

 










 

 

 

 

 

 

 

 


 

Taxable Municipal Bonds

 

 

Par
(000)

 

 

 

 









County/City/Special District/
School District — 0.1%

 

 

 

 

 

 

 

Dallas Area Rapid Transit, RB, Build America Bonds,
6.00%, 12/01/44

 

USD

260

 

 

281,120

 









Education — 0.3%

 

 

 

 

 

 

 

The Board of Trustees of The Leland Stanford Junior
University, 4.25%, 5/01/16

 

 

470

 

 

496,841

 

Princeton University, 5.70%, 3/01/39

 

 

575

 

 

611,530

 

 

 

 

 

 




 

 

 

 

 

 

1,108,371

 










 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Taxable Municipal Bonds

 

Par
(000)

 

Value

 









State — 1.5%

 

 

 

 

 

 

 

New York State Dormitory Authority, RB, Build
America Bonds, 5.63%, 3/15/39

 

USD

550

 

$

542,256

 

State of California, GO:

 

 

 

 

 

 

 

Build America Bonds, 7.30%, 10/01/39

 

 

740

 

 

707,322

 

Various Purpose 3, 5.45%, 4/01/15

 

 

2,475

 

 

2,556,799

 

State of Texas, GO, Build America Bonds,
5.52%, 4/01/39

 

 

1,325

 

 

1,363,345

 

 

 

 

 

 




 

 

 

 

 

 

5,169,722

 









Transportation — 0.3%

 

 

 

 

 

 

 

Metropolitan Transportation Authority, RB, Build
America Bonds, 7.34%, 11/15/39

 

 

670

 

 

779,431

 

Port Authority of New York & New Jersey, RB,
Consolidated, 159th Series, 6.04%, 12/01/29

 

 

395

 

 

406,494

 

 

 

 

 

 




 

 

 

 

 

 

1,185,925

 









Utilities — 0.1%

 

 

 

 

 

 

 

Chicago Metropolitan Water Reclamation
District-Greater Chicago Illinois, GO, Build America
Bonds, Taxable, 5.72%, 12/01/38

 

 

495

 

 

508,692

 









Total Taxable Municipal Bonds — 2.3%

 

 

 

 

 

8,253,830

 










 

 

 

 

 

 

 

 


 

U.S. Government Sponsored Agency Securities

 

 

 

 

 

 

 









Agency Obligations — 8.9%

 

 

 

 

 

 

 

Fannie Mae:

 

 

 

 

 

 

 

6.45%, 10/09/19 (g)(n)

 

 

6,125

 

 

3,603,674

 

7.13%, 1/15/30 (g)

 

 

4,000

 

 

5,157,976

 

5.63%, 7/15/37 (e)

 

 

825

 

 

889,264

 

Federal Home Loan Banks:

 

 

 

 

 

 

 

5.38%, 9/30/22 (g)

 

 

5,600

 

 

6,233,758

 

5.25%, 12/09/22 (e)

 

 

700

 

 

766,822

 

5.37%, 9/09/24 (e)

 

 

1,100

 

 

1,205,129

 

Federal Housing Administration:

 

 

 

 

 

 

 

General Motors Acceptance Corp. Projects,
Series 44, 7.43%, 8/01/22

 

 

67

 

 

65,927

 

Merrill Projects, Series 29, 7.43%, 10/01/20

 

 

45

 

 

44,302

 

Merrill Projects, Series 42, 7.43%, 9/25/22

 

 

44

 

 

43,523

 

Reilly Project, Series B-11, 7.40%, 4/01/21

 

 

1,514

 

 

1,499,178

 

Westmore Project, 7.25%, 4/01/21

 

 

1,491

 

 

1,476,344

 

Freddie Mac, 1.75%, 6/15/12 (g)

 

 

1,200

 

 

1,219,110

 

Overseas Private Investment Corp.:

 

 

 

 

 

 

 

4.09%, 5/29/12

 

 

395

 

 

392,674

 

4.68%, 5/29/12

 

 

477

 

 

471,912

 

4.87%, 5/29/12

 

 

3,632

 

 

3,536,338

 

Resolution Funding Corp., 8.54%, 4/15/30 (n)

 

 

6,055

 

 

2,168,041

 

Tennessee Valley Authority, 5.25%, 9/15/39

 

 

2,405

 

 

2,437,946

 

 

 

 

 

 




 

 

 

 

 

 

31,211,918

 









Collateralized Mortgage Obligations — 0.2%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1991-46, Class S, 1.40%, 5/25/21 (a)

 

 

57

 

 

2,838

 

Series 1991-87, Class S, 26.02%, 8/25/21 (a)

 

 

34

 

 

49,942

 

Series G-7, Class S, 116.20%, 3/25/21 (a)

 

 

(l)

 

2,324

 

Series G-17, Class S, 0.58%, 6/25/21 (a)

 

 

161

 

 

3,115

 

Series G-33, Class PV, 1.08%, 10/25/21

 

 

195

 

 

4,007

 

Series G-49, Class S, 8.80%, 12/25/21 (a)

 

 

(l)

 

1,147

 


 

 

 

See Notes to Financial Statements.

 


56

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

Par
(000)

 

Value

 









Collateralized Mortgage Obligations (concluded)

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 19, Class R, 9.76%, 3/15/20 (a)

 

USD

5

 

$

883

 

Series 75, Class R, 9.50%, 1/15/21

 

 

 (l)

 

2

 

Series 75, Class RS, 20.27%, 1/15/21 (a)

 

 

 (l)

 

2

 

Series 173, Class R, 9.00%, 11/15/21

 

 

8

 

 

8

 

Series 173, Class RS, 9.16%, 11/15/21 (a)

 

 

 (l)

 

8

 

Series 192, Class U, 1.01%, 2/15/22 (a)

 

 

15

 

 

347

 

Series 1057, Class J, 1.01%, 3/15/21

 

 

52

 

 

1,095

 

Series 1611, Class JC, 10.00%, 8/15/23 (a)

 

 

46

 

 

47,034

 

Series 2611, Class QI, 5.50%, 9/15/32

 

 

3,613

 

 

453,111

 

 

 

 

 

 




 

 

 

 

 

 

565,863

 









Federal Deposit Insurance Corporation Guaranteed — 4.5%

 

 

 

 

 

 

 

Citibank NA, 1.75%, 12/28/12

 

 

2,330

 

 

2,341,981

 

Citigroup Funding, Inc.:

 

 

 

 

 

 

 

2.13%, 7/12/12

 

 

1,460

 

 

1,489,435

 

1.88%, 10/22/12 (g)

 

 

2,900

 

 

2,926,402

 

General Electric Capital Corp.:

 

 

 

 

 

 

 

2.25%, 3/12/12

 

 

1,850

 

 

1,893,332

 

2.00%, 9/28/12

 

 

1,850

 

 

1,877,084

 

2.13%, 12/21/12

 

 

2,800

 

 

2,845,514

 

2.63%, 12/28/12

 

 

2,450

 

 

2,523,588

 

 

 

 

 

 




 

 

 

 

 

 

15,897,336

 









Interest Only Collateralized Mortgage Obligations — 0.5%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 7, Class 2, 8.50%, 4/01/17

 

 

3

 

 

496

 

Series 89, Class 2, 8.00%, 10/01/18

 

 

6

 

 

796

 

Series 94, Class 2, 9.50%, 8/01/21

 

 

2

 

 

429

 

Series 1990-123, Class M,
1,009.50%, 10/25/20

 

 

 (l)

 

289

 

Series 1990-136, Class S, 0.02%, 11/25/20

 

 

8,498

 

 

11,680

 

Series 1991-38, Class N, 1,008.50%, 4/25/21

 

 

 (l)

 

31

 

Series 1991-99, Class L, 930.00%, 8/25/21

 

 

 (l)

 

1,433

 

Series 1991-139, Class PT, 648.35%, 10/25/21

 

 

 (l)

 

2,062

 

Series 1997-50, Class SI, 1.20%, 4/25/23

 

 

228

 

 

7,786

 

Series 2005-5, Class PK, 5.00%, 12/25/34

 

 

1,605

 

 

1,713,527

 

Series G-10, Class S, 575.46%, 5/25/21

 

 

 (l)

 

7,153

 

Series G-12, Class S, 608.14%, 5/25/21

 

 

 (l)

 

5,424

 

Series G92-5, Class H, 9.00%, 1/25/22

 

 

49

 

 

7,992

 

Freddie Mac Mortgage Backed Securities:

 

 

 

 

 

 

 

Series 176, Class M, 1,010.00%, 7/15/21

 

 

 (l)

 

354

 

Series 200, Class R, 98,522.81%, 12/15/22

 

 

 (l)

 

8

 

Series 1043, Class H, 0.02%, 2/15/21

 

 

4,567

 

 

8,165

 

Series 1054, Class I, 435.32%, 3/15/21

 

 

 (l)

 

782

 

Series 1056, Class KD, 1.08%, 3/15/21

 

 

40

 

 

877

 

Series 1148, Class E, 592.55%, 10/15/21

 

 

 (l)

 

2,505

 

Series 1179, Class O, 1,009.39%, 11/15/21

 

 

 (l)

 

10

 

Series 1254, Class Z, 8.50%, 4/15/22

 

 

98

 

 

19,938

 

Series 1831, Class PG, 6.50%, 3/15/11

 

 

28

 

 

612

 

 

 

 

 

 




 

 

 

 

 

 

1,792,349

 









Mortgaged-Backed Securities — 34.8%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities (o):

 

 

 

 

 

 

 

4.50%, 7/01/39 – 3/15/40 (d)

 

 

59,450

 

 

60,198,114

 

5.00%, 1/01/23 – 3/15/40 (g)

 

 

2,082

 

 

2,194,265

 

5.50%, 12/01/13 – 4/15/40

 

 

16,981

 

 

17,878,776

 

6.00%, 3/01/16 – 4/15/40 (g)

 

 

27,630

 

 

29,483,739

 

6.50%, 3/15/40

 

 

4,600

 

 

4,910,500

 

5.00%, 2/01/22 – 4/01/22

 

 

1,580

 

 

1,675,224

 

5.50%, 11/01/38 – 3/15/40 (o)

 

 

4,800

 

 

5,077,801

 

Ginnie Mae Mortgage-Backed Securities, 8.00%,
4/15/24 – 6/15/25

 

 

69

 

 

79,625

 

 

 

 

 

 




 

 

 

 

 

 

121,498,044

 









 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

Par
(000)

 

Value

 









Principal Only Collateralized Mortgage Obligations — 0.0%

 

 

 

 

 

 

 

Fannie Mae Mortgage Backed Securities:

 

 

 

 

 

 

 

Series 1991-167, Class D, 0.00%, 10/25/17

 

USD

1

 

$

939

 

Series 203, Class 1, 0.00%, 2/01/23

 

 

13

 

 

11,374

 

Series 1993-51, Class E, 0.00%, 2/25/23

 

 

43

 

 

37,550

 

Series 1993-70, Class A, 0.00%, 5/25/23

 

 

7

 

 

6,111

 

Series 228, Class 1, 0.00%, 6/01/23

 

 

9

 

 

7,694

 

Freddie Mac Mortgage Backed Securities,
Series 1739, Class B, 2/15/24

 

 

43

 

 

43,231

 

 

 

 

 

 




 

 

 

 

 

 

106,899

 









Total U.S. Government Sponsored Agency Securities — 48.9%

 

 

 

 

 

171,072,409

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 









U.S. Treasury Bonds:

 

 

 

 

 

 

 

8.13%, 8/15/19

 

 

7,915

 

 

10,833,038

 

8.75%, 8/15/20

 

 

750

 

 

1,079,180

 

8.13%, 8/15/21

 

 

4,550

 

 

6,354,357

 

8.00%, 11/15/21

 

 

14,650

 

 

20,320,004

 

4.50%, 2/15/36

 

 

6,885

 

 

6,922,654

 

U.S. Treasury Notes:

 

 

 

 

 

 

 

2.25%, 1/31/15

 

 

1,110

 

 

1,110,347

 

8.88%, 8/15/17

 

 

550

 

 

759,430

 

3.38%, 11/15/19

 

 

21,080

 

 

20,671,575

 

3.63%, 2/15/20

 

 

185

 

 

185,491

 

8.75%, 5/15/20

 

 

2,250

 

 

3,229,101

 

5.25%, 2/15/29

 

 

600

 

 

664,594

 

4.25%, 5/15/39

 

 

2,770

 

 

2,645,350

 

4.50%, 8/15/39

 

 

3,520

 

 

3,504,051

 

4.38%, 11/15/39

 

 

1,200

 

 

1,164,188

 

4.63%, 2/15/40

 

 

5,210

 

 

5,291,406

 









Total U.S. Treasury Obligations — 24.2%

 

 

 

 

 

84,734,766

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Warrants (p)

 

Shares

 

 

 

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(expires 3/26/19) (b)

 

 

14,710

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









Total Long-Term Investments
(Cost — $558,908,828) — 161.4%

 

 

 

 

 

564,632,133

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

Par
(000)

 

 

 

 









Borrowed Bond Agreements

 

 

 

 

 

 

 

Barclays Capital Inc.:

 

 

 

 

 

 

 

0.09%, 3/04/10

 

USD

20,553

 

 

20,553,000

 

0.11%, 3/31/10

 

 

671

 

 

671,250

 

0.13%, 6/30/10

 

 

3,402

 

 

3,402,000

 

0.14%, 6/30/10

 

 

752

 

 

752,125

 

JPMorgan Securities Inc., 0.10%, 3/31/10

 

 

1,146

 

 

1,146,000

 

Royal Bank of Scotland Plc, 0.12%, 6/30/10

 

AUD

1,424

 

 

1,424,063

 









Total Short-Term Securities
(Cost — $27,948,438) — 8.0%

 

 

 

 

 

27,948,438

 










 

 

 

See Notes to Financial Statements.

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

57




 

 


 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

Value

 









Exchange-Traded Put Options Purchased — 0.0%

 

 

 

 

 

 

 

10-Year U.S. Treasury Bond, Strike Price USD 118,
Expires 4/23/10

 

 

285

 

$

231,562

 

Euro-Dollar Future, Strike Price USD 98.75,
Expires 9/13/10

 

 

234

 

 

19,012

 

 

 

 

 

 



 

 

 

 

 

 

 

250,574

 









Over-the-Counter Call Swaptions Purchased — 0.2%

 

 

 

 

 

 

 

Receive a fixed rate of 2.50% and pay a floating rate
based on 3-month LIBOR, Expires 3/11/10,
Broker Barclays Bank Plc

 

 

3

 (q)

 

33

 

Receive a fixed rate of 1.12% and pay a floating rate
based on 3-month LIBOR, Expires 4/26/10,
Broker Morgan Stanley Capital Services, Inc.

 

 

22

 (q)

 

29,098

 

Receive a fixed rate of 4.25% and pay a floating rate
based on 3-month LIBOR, Expires 5/14/10,
Broker Royal Bank Of Scotland Plc

 

 

5

 (q)

 

82,798

 

Receive a fixed rate of 2.91% and pay a floating rate
based on 3-month LIBOR, Expires 1/31/11,
Broker JPMorgan Chase Bank NA

 

 

16

 (q)

 

281,909

 

Receive a fixed rate of 5.06% and pay a floating rate
based on 3-month LIBOR, Expires 1/22/13,
Broker JPMorgan Chase Bank NA

 

 

4

 (q)

 

290,340

 

 

 

 

 

 



 

 

 

 

 

 

 

684,178

 









Over-the-Counter Put Swaptions Purchased — 0.8%

 

 

 

 

 

 

 

Receive a fixed rate of 5.25% and pay a floating rate
based on 3-month LIBOR, Expires 5/07/10,
Broker JPMorgan Chase Bank NA

 

 

39

 (q)

 

2,516

 

Pay a fixed rate of 2.91% and receive a floating rate
based on 3-month LIBOR, Expires 1/31/11,
Broker JPMorgan Chase Bank NA

 

 

16

 (q)

 

169,080

 

Pay a fixed rate of 5.04% and receive a floating rate
based on 3-month LIBOR, Expires 10/15/12,
Broker JPMorgan Chase Bank NA

 

 

28

 (q)

 

1,441,896

 

Pay a fixed rate of 5.09% and receive a floating rate
based on 3-month LIBOR, Expires 10/29/12,
Broker Credit Suisse International

 

 

4

 (q)

 

217,923

 

Pay a fixed rate of 5.06% and receive a floating rate
based on 3-month LIBOR, Expires 1/22/13,
Broker JPMorgan Chase Bank NA

 

 

4

 (q)

 

232,957

 

Pay a fixed rate of 4.71% and receive a floating rate
based on 3-month LIBOR, Expires 11/18/13,
Broker JPMorgan Chase Bank NA

 

 

16

 (q)

 

632,304

 

 

 

 

 

 



 

 

 

 

 

 

 

2,696,676

 









Total Options Purchased
(Cost — $4,164,151) — 1.0%

 

 

 

 

 

3,631,428

 









Total Investments Before TBA Sale Commitments,
Borrowed Bonds and Outstanding Options Written
(Cost — $591,021,417*) — 170.4%

 

 

 

 

 

596,211,999

 









 

 

 

 

 

 

 

 

Borrowed Bonds

 

Par
(000)

 

Value

 









U.S. Treasury Bonds, 8.13%, 8/15/19

 

USD

3,480

 

$

(4,762,978

)

U.S. Treasury Notes:

 

 

 

 

 

 

 

8.88%, 8/15/17

 

 

550

 

 

(759,430

)

3.38%, 11/15/19

 

 

21,080

 

 

(20,671,575

)

5.25%, 2/15/29

 

 

600

 

 

(664,594

)

4.38%, 11/15/39

 

 

1,200

 

 

(1,164,188

)









Total Borrowed Bonds
(Proceeds — $27,619,845) — (8.00)%

 

 

 

 

 

(28,022,765

)









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

TBA Sale Commitments (o)

 

 

 

 

 

 

 









Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.50%, 7/01/39 – 3/15/40

 

 

48,600

 

 

(49,207,500

)

5.50%, 12/01/13 – 4/15/40

 

 

16,400

 

 

(17,274,954

)

6.00%, 3/01/16 – 4/15/40

 

 

27,200

 

 

(28,853,243

)

6.50%, 3/15/40

 

 

4,600

 

 

(4,910,500

)

5.00%, 1/01/23 – 3/15/40

 

 

2,000

 

 

(2,104,750

)

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

5.00%, 2/01/22 – 4/01/22

 

 

2,000

 

 

(2,103,124

)

5.50%, 11/01/38 – 3/15/40

 

 

4,300

 

 

(4,546,579

)









Total TBA Sale Commitments
(Proceeds — $108,949,059) — (31.2)%

 

 

 

 

 

(109,000,650

)









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

 

 

 









Exchange-Traded Put Options Written — (0.0)%

 

 

 

 

 

 

 

Euro-Dollar Future, Strike Price USD 98.25,
Expires 9/13/10

 

 

234

 

 

(7,313

)









Over-the-Counter Call Swaptions Written — (0.9)%

 

 

 

 

 

 

 

Pay a fixed rate of 5.33% and receive a floating rate
based on 3-month LIBOR, Expires 7/20/13,
Broker JPMorgan Chase Bank NA

 

 

9 (q

)

 

(492,679

)

Pay a fixed rate of 3.83% and receive a floating rate
based on 3-month LIBOR, Expires 5/04/10,
Broker Deutsche Bank AG

 

 

15 (q

)

 

(259,680

)

Pay a fixed rate of 3.60% and receive a floating rate
based on 3-month LIBOR, Expires 5/07/10,
Broker JPMorgan Chase Bank NA

 

 

3 (q

)

 

(23,710

)

Pay a fixed rate of 3.60% and receive a floating rate
based on 3-month LIBOR, Expires 5/24/10,
Broker Morgan Stanley Capital Services, Inc.

 

 

10 (q

)

 

(89,642

)

Pay a fixed rate of 4.92% and receive a floating rate
based on 3-month LIBOR, Expires 11/20/10,
Broker Barclays Bank Plc

 

 

15 (q

)

 

(1,241,010

)

Pay a fixed rate of 4.21% and receive a floating rate
based on 3-month LIBOR, Expires 2/07/11,
Broker Citibank NA

 

 

5 (q

)

 

(187,867

)

Pay a fixed rate of 4.31% and receive a floating rate
based on 3-month LIBOR, Expires 2/24/11,
Broker Deutsche Bank AG

 

 

6 (q

)

 

(257,812

)


 

 

 

See Notes to Financial Statements.

 




58

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

Contracts (q)

 

Value

 









Over-the-Counter Call Swaptions Written (concluded)

 

 

 

 

 

 

 

Pay a fixed rate of 4.80% and receive a floating rate
based on 3-month LIBOR, Expires 2/21/12,
Broker Citibank NA

 

 

4

 

$

(268,563

)

Pay a fixed rate of 5.18% and receive a floating rate
based on 3-month LIBOR, Expires 2/19/13,
Broker JPMorgan Chase Bank NA

 

 

5

 

 

(376,527

)

Pay a fixed rate of 4.84% and receive a floating rate
based on 3-month LIBOR, Expires 12/02/14,
Broker JPMorgan Chase Bank NA

 

 

3

 

 

(142,625

)

 

 

 

 

 




 

 

 

 

 

 

(3,340,115

)









Over-the-Counter Put Swaptions Written — (0.8)%

 

 

 

 

 

 

 

Receive a fixed rate o 5.33% and pay a floating rate
based on 3-month LIBOR, Expires 7/20/13,
Broker JPMorgan Chase Bank NA

 

 

9

 

 

(246,983

)

Receive a fixed rate of 4.50% and pay a floating rate
based on 3-month LIBOR, Expires 3/11/10,
Broker Barclays Bank Plc

 

 

3

 

 

(17,305

)

Receive a fixed rate of 3.83% and pay a floating rate
based on 3-month LIBOR, Expires 5/04/10,
Broker Deutsche Bank AG

 

 

15

 

 

(185,070

)

Receive a fixed rate of 4.10% and pay a floating rate
based on 3-month LIBOR, Expires 5/07/10,
Broker JPMorgan Chase Bank NA

 

 

3

 

 

(16,373

)

Receive a fixed rate of 4.10% and pay a floating rate
based on 3-month LIBOR, Expires 5/24/10,
Broker Morgan Stanley Capital Services, Inc.

 

 

10

 

 

(74,271

)

Receive a fixed rate of 4.92% and pay a floating rate
based on 3-month LIBOR, Expires 11/20/10,
Broker Barclays Bank Plc

 

 

15

 

 

(138,255

)

Receive a fixed rate of 4.21% and pay a floating rate
based on 3-month LIBOR, Expires 2/07/11,
Broker Citibank NA

 

 

5

 

 

(170,491

)

Receive a fixed rate of 4.31% and pay a floating rate
based on 3-month LIBOR, Expires 2/24/11,
Broker Deutsche Bank AG

 

 

6

 

 

(200,140

)

Receive a fixed rate of 4.80% and pay a floating rate
based on 3-month LIBOR, Expires 2/21/12,
Broker Citibank NA

 

 

4

 

 

(201,687

)

Receive a fixed rate of 6.04% and pay a floating rate
based on 3-month LIBOR, Expires 10/15/12,
Broker JPMorgan Chase Bank NA

 

 

28

 

 

(765,579

)

Receive a fixed rate of 6.09% and pay a floating rate
based on 3-month LIBOR, Expires 10/29/12,
Broker Credit Suisse International

 

 

5

 

 

(116,094

)

Receive a fixed rate of 5.18% and pay a floating rate
based on 3-month LIBOR, Expires 2/19/13,
Broker JPMorgan Chase Bank NA

 

 

5

 

 

(267,566

)

Receive a fixed rate of 4.84% and pay a floating rate
based on 3-month LIBOR, Expires 12/02/14,
Broker JPMorgan Chase Bank NA

 

 

3

 

 

(205,109

)

 

 

 

 

 




 

 

 

 

 

 

(2,604,923

)









Total Options Written
(Premiums Received — $7,234,066) — (1.7)%

 

 

 

 

 

(5,952,351

)









Total Investments, Net of TBA Sale Commitments,
Borrowed Bonds and Outstanding Options Written — 129.5%

 

 

 

 

 

453,236,233

 

Liabilities in Excess of Other Assets — (29.5)%

 

 

 

 

 

(103,376,273

)

 

 

 

 

 



 

Net Assets — 100.0%

 

 

 

 

$

349,859,960

 

 

 

 

 

 



 


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

591,054,097

 

 

 




Gross unrealized appreciation

 

$

18,377,472

 

Gross unrealized depreciation

 

 

(13,219,570

)

 

 




Net unrealized appreciation

 

$

5,157,902

 

 

 





 

 

(a)

Variable rate security. Rate shown is as of report date.

 

 

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933.

 

 

 

These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(c)

Non-income producing security.

 

 

(d)

All or a portion of security has been pledged as collateral in connection with swaps.

 

 

(e)

All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

 

 

(f)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(g)

All or a portion of the security has been pledged as collateral for reverse repurchase agreements.

 

 

(h)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date.

 

 

(i)

Represents a payment-in-kind security which may pay interest/dividends in additional face/shares.

 

 

(j)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 






Counterparty

 

Value

 

Unrealized
Appreciation






Deutsche Bank Securities

 

$

356,116

 

$

7,782









 

 

(k)

Security held as collateral in connection with TALF program.

 

 

(l)

Amount is less than $1,000.

 

 

(m)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(n)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(o)

Represents or includes a “to-be-announced” transaction. The Trust has committed to purchasing (selling) securities for which all specific information is not available at this time.


 

 

 

 

 

 

 

 







Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 







Bank of America Securities LLC

 

$

(2,782,891

)

$

13,547

 

Barclays Capital

 

$

6,783,750

 

$

74,328

 

BNP Paribas

 

$

(2,215,938

)

$

26,836

 

Citigroup Global Markets, Inc.

 

$

(24,207,282

)

$

(99,196

)

Credit Suisse Securities LLC

 

$

5,474,375

 

$

19,250

 

Deutsche Bank Securities, Inc.

 

$

1,029,858

 

$

27,889

 

Goldman Sachs & Co.

 

$

8,938,788

 

$

(23,738

)

JPMorgan Securities, Inc.

 

$

(4,455,280

)

$

29,564

 

Morgan Stanley & Co., Inc.

 

$

5,819,251

 

$

44,493

 










 

 

(p)

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.

 

 

(q)

One contract represents a notional amount of $1 million.


 

 

 

See Notes to Financial Statements.

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

59




 

 


 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 









Affiliate

 

Net
Activity

 

Income

 







BlackRock Liquidity Funds, TempFund, Institutional Class

 

$

(30,000,661

)

$

1,122

 










 

 

Foreign currency exchange contracts as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 














Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 











EUR

395,700

 

USD

545,547

 

Citibank NA

 

3/24/10

 

$

(6,765

)

USD

8,311,614

 

EUR

5,757,500

 

Citibank NA

 

3/24/10

 

 

472,252

 

CAD

4,131,670

 

USD

3,904,561

 

Citibank NA

 

4/21/10

 

 

21,770

 

USD

53,082

 

CAD

56,170

 

Citibank NA

 

4/21/10

 

 

(296

)

USD

3,896,022

 

CAD

4,075,500

 

Goldman Sachs
Bank USA

 

4/21/10

 

 

23,070

 

USD

934,166

 

GBP

577,000

 

Morgan
Stanley Capital
Services, Inc.

 

4/21/10

 

 

54,705

 














Total

 

 

 

 

 

 

 

 

 

$

564,736

 

 

 

 

 

 

 

 

 

 

 





 

 

Financial futures contracts purchased as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 













Contracts

 

Issue

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation
(Depreciation)

 













8

 

30-Year U.S.
Treasury Ultra Bond

 

March 2010

 

$

984,488

 

$

(18

)

357

 

30-Year U.S.
Treasury Bond

 

June 2010

 

$

41,947,319

 

 

67,119

 

330

 

30-Year U.S.
Treasury Ultra Bond

 

June 2010

 

$

40,506,559

 

 

104,066

 













Total

 

 

 

 

 

 

 

 

$

171,167

 

 

 

 

 

 

 

 

 

 





 

 

Financial futures contracts sold as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 













Contracts

 

Issue

 

Expiration
Date

 

Notional
Value

 

Unrealized
Depreciation

 











401

 

2-Year U.S.
Treasury Bond

 

June 2010

 

$

87,005,316

 

$

(187,122

)

640

 

5-Year U.S.
Treasury Bond

 

June 2010

 

$

73,634,898

 

 

(565,102

)

56

 

10-Year U.S.
Treasury Bond

 

June 2010

 

$

6,565,527

 

 

(13,598

)













Total

 

 

 

 

 

 

 

 

$

(765,822

)

 

 

 

 

 

 

 

 

 





 

 

Reverse repurchase agreements outstanding as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Counterparty

 

Interest
Rate

 

Trade
Date

 

Maturity
Date

 

Net Closing
Amount

 

Face
Amount

 













RBS Securities, Inc.

 

0.35%

 

1/13/10

 

Open

 

$

2,909,679

 

$

2,908,350

 

Credit Suisse Securities (USA) LLC

 

0.14%

 

1/26/10

 

3/31/10

 

 

6,513,049

 

 

6,512,188

 

Credit Suisse Securities (USA) LLC

 

0.19%

 

1/26/10

 

1/30/10

 

 

11,873,336

 

 

11,871,206

 

RBS Securities, Inc.

 

0.14%

 

1/26/10

 

1/31/10

 

 

10,395,955

 

 

10,394,581

 

JPMorgan Securities, Inc.

 

0.15%

 

2/11/10

 

3/11/10

 

 

11,246,843

 

 

11,246,000

 

Barclays Capital, Inc.

 

0.11%

 

2/17/10

 

3/04/10

 

 

20,659,094

 

 

20,658,400

 

Banc of America Securities LLC

 

0.14%

 

2/18/10

 

3/04/10

 

 

29,646,818

 

 

29,645,550

 

Barclays Capital, Inc.

 

0.13%

 

2/18/10

 

3/04/10

 

 

2,027,019

 

 

2,026,938

 

Barclays Capital, Inc.

 

0.14%

 

2/22/10

 

3/04/10

 

 

4,889,939

 

 

4,889,825

 

Barclays Capital, Inc.

 

0.18%

 

2/22/10

 

3/04/10

 

 

7,940,092

 

 

7,939,814

 

JPMorgan Securities, Inc.

 

0.15%

 

2/22/10

 

3/04/10

 

 

10,526,110

 

 

10,525,803

 

Credit Suisse Securities (USA) LLC

 

16.00%

 

2/23/10

 

3/04/10

 

 

4,903,481

 

 

4,903,350

 















Total

 

 

 

 

 

 

 

$

123,531,415

 

$

123,522,005

 

 

 

 

 

 

 

 

 








 

 

Interest rate swaps outstanding as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













1.13% (a)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

February
2012

 

USD

27,400

 

$

(53,806

)

3.66% (b)

 

3-month LIBOR

 

Citibank NA

 

April 2013

 

USD

7,500

 

 

445,890

 

4.28% (b)

 

3-month LIBOR

 

Credit Suisse
International

 

July 2013

 

USD

47,800

 

 

3,828,429

 

2.45% (b)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

November
2014

 

USD

10,000

 

 

(8,975

)

2.61% (b)

 

3-month LIBOR

 

Citibank NA

 

December
2014

 

USD

10,000

 

 

54,471

 

2.60% (b)

 

3-month LIBOR

 

JPMorgan
Chase Bank NA

 

December
2014

 

USD

10,000

 

 

51,774

 

2.69% (b)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

February
2015

 

USD

8,300

 

 

51,028

 

3.67% (b)

 

3-month LIBOR

 

Deutsche
Bank AG

 

December
2019

 

USD

10,500

 

 

24,019

 

3.87% (b)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

February
2020

 

USD

1,800

 

 

30,860

 

3.70% (b)

 

3-month LIBOR

 

Deutsche
Bank AG

 

March 2020

 

USD

5,000

 

 

 

5.41% (b)

 

3-month LIBOR

 

JPMorgan
Chase Bank NA

 

August 2022

 

USD

9,405

 

 

1,405,269

 

5.37% (a)

 

3-month LIBOR

 

Bank of
America NA

 

September
2027

 

USD

8,900

 

 

(1,297,646

)

5.06% (a)

 

3-month LIBOR

 

Goldman Sachs
Bank USA

 

November
2037

 

USD

6,900

 

 

(784,284

)


 

 

 

See Notes to Financial Statements.

 




60

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Schedule of Investments (continued)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

Interest rate swaps outstanding as of February 28, 2010 were as follows (concluded):


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













4.84% (a)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

January
2038

 

USD

6,100

 

$

(464,898

)

3.48% (a)

 

3-month LIBOR

 

Barclays
Bank Plc

 

March 2039

 

USD

3,400

 

 

516,143

 

4.44% (a)

 

3-month LIBOR

 

Royal Bank of
Scotland Plc

 

January
2040

 

USD

1,900

 

 

(15,533

)

4.52% (b)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

February
2040

 

USD

1,700

 

 

37,422

 















Total

 

 

 

 

 

 

 

 

 

 

$

3,820,163

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

(a)

Pays fixed interest rate and receives floating rate.

 

 

 

 

(b)

Pays floating interest rate and receives fixed rate.

 

 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Pay
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 













iStar Financial, Inc.

 

5.00%

 

Morgan
Stanley Capital
Services, Inc.

 

September
2011

 

USD

300

 

$

(3,122

)

NOVA Chemicals Corp.

 

5.00%

 

Citibank NA

 

March 2012

 

USD

50

 

 

(691

)

Macy’s, Inc.

 

7.50%

 

Morgan
Stanley Capital
Services, Inc.

 

June 2012

 

USD

425

 

 

(59,050

)

Macy’s, Inc.

 

8.00%

 

Morgan
Stanley Capital
Services, Inc.

 

June 2012

 

USD

150

 

 

(22,539

)

NOVA Chemicals Corp.

 

5.00%

 

JPMorgan
Chase Bank NA

 

June 2012

 

USD

65

 

 

(325

)

Belo Corp.

 

5.00%

 

Barclays
Bank Plc

 

June 2013

 

USD

205

 

 

(31,848

)

Masco Corp.

 

5.00%

 

JPMorgan
Chase Bank NA

 

September
2013

 

USD

235

 

 

(14,154

)

Centex Corp.

 

4.37%

 

Deutsche
Bank AG

 

December
2013

 

USD

980

 

 

(120,671

)

Centex Corp.

 

4.40%

 

JPMorgan
Chase Bank NA

 

December
2013

 

USD

580

 

 

(72,055

)

NOVA Chemicals Corp.

 

5.00%

 

Goldman Sachs
Bank USA

 

December
2013

 

USD

275

 

 

(8,177

)

D.R. Horton, Inc.

 

1.00%

 

JPMorgan
Chase Bank NA

 

March 2014

 

USD

1,080

 

 

(29,543

)

Hertz Global Holdings, Inc.

 

5.00%

 

Goldman Sachs
Bank USA

 

March 2014

 

USD

135

 

 

(35,663

)


 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2010 were as follows (concluded):


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Pay
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Depreciation

 













Toll Brothers Finance Corp.

 

2.00%

 

JPMorgan
Chase Bank NA

 

March 2014

 

USD

260

 

$

(5,347

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Seagate Technology Holdings

 

1.00%

 

Credit Suisse
International

 

June 2014

 

USD

155

 

 

(1,527

)

Seagate Technology Holdings

 

5.00%

 

Morgan
Stanley Capital
Services, Inc.

 

June 2014

 

USD

370

 

 

(5,758

)

Macy’s, Inc.

 

1.00%

 

Morgan
Stanley Capital
Services, Inc.

 

September
2014

 

USD

155

 

 

(1,388

)

Energy Future Holdings Corp.

 

5.00%

 

JPMorgan
Chase Bank NA

 

December
2014

 

USD

210

 

 

(21,304

)

Huntsman International LLC

 

5.00%

 

Goldman Sachs
Bank USA

 

December
2014

 

USD

275

 

 

(89,210

)

Pulte Homes, Inc.

 

3.00%

 

JPMorgan
Chase Bank NA

 

March 2015

 

USD

325

 

 

(10,961

)

Lennar Corp.

 

5.86%

 

JPMorgan
Chase Bank NA

 

June 2015

 

USD

420

 

 

(52,184

)















Total

 

 

 

 

 

 

 

 

 

 

$

(585,517

)

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on traded index — buy protection outstanding as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Issuer

 

Pay
Rate

 

Counterparty

 

Expiration

 

 

Notional
Amount
(000)

 

 

Unrealized
Depreciation

 















Dow Jones CDX North America High Yield

 

5.00%

 

Credit Suisse
International

 

December
2014

 

USD

2,178

 

$

(2,930

)

Dow Jones CDX North America High Yield

 

5.00%

 

Credit Suisse
International

 

December
2014

 

USD

6,534

 

 

(8,291

)















Total

 

 

 

 

 

 

 

 

 

 

$

(11,221

)

 

 

 

 

 

 

 

 

 

 

 





 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.


 

 

 

See Notes to Financial Statements.

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

61




 

 


 

Schedule of Investments (concluded)

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, repayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 28, 2010 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 

 

 


 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

19,292,683

 

$

2,491,734

 

$

21,784,417

 

Common Stocks

 

$

46

 

 

 

 

10,101

 

 

10,147

 

Corporate Bonds

 

 

 

 

191,365,097

 

 

1,100

 

 

191,366,197

 

Foreign Agency Obligations

 

 

 

 

10,065,592

 

 

 

 

10,065,592

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

65,730,152

 

 

7,144,122

 

 

72,874,274

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 

 

 


 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Interests

 

 

 

 

 

$

381

 

$

381

 

Preferred Securities

 

 

 

$

4,415,208

 

 

54,912

 

 

4,470,120

 

Taxable Municipal Bonds

 

 

 

 

8,253,830

 

 

 

 

8,253,830

 

U.S. Government Sponsored Agency Securities

 

 

 

 

157,180,439

 

 

13,891,970

 

 

171,072,409

 

U.S. Treasury Obligations

 

 

 

 

84,734,766

 

 

 

 

84,734,766

 

Short-Term Securities

 

 

 

 

27,948,438

 

 

 

 

27,948,438

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

 

 

 

(28,022,765

)

 

 

 

(28,022,765

)

TBA Sale Commitments

 

 

 

 

(109,000,650

)

 

 

 

(109,000,650

)

 

 













Total

 

$

46

 

$

431,962,790

 

$

23,594,320

 

$

455,557,156

 

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Other Financial Instruments1

 

 

 


 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets

 

$

421,759

 

$

10,397,956

 

 

 

$

10,819,715

 

Liabilities

 

 

(773,153

)

 

(9,173,979

)

$

(11,805,458

)

 

(21,752,590

)

 

 













Total

 

$

(351,394

)

$

1,223,977

 

$

(11,805,458

)

$

(10,932,875

)

 

 














 

 

1

Other financial instruments are swaps, financial futures contracts, options, TALF loans 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 and TALF loans are shown at value.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 

 

 



 

 

Asset-Backed
Securities

 

Common
Stocks

 

Corporate
Bonds

 

Non-Agency
Mortgage-Backed
Securities

 

Other
Interests

 

Preferred
Securities

 

U.S. Government
Sponsored Agency
Securities

 

Total

 



















Balance, as of August 31, 2009

 

$

1,229,483

 

 

 

$

1,073,273

 

$

6,225,096

 

$

381

 

 

 

$

11,194,451

 

$

19,722,684

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

 

 

 

(92,526

)

 

(48,365

)

 

 

 

 

 

1,493,278

 

 

1,352,387

 

Change in unrealized appreciation/depreciation2

 

 

98,799

 

 

 

 

1,124,241

 

 

199,982

 

 

 

 

 

 

(1,612,615

)

 

(189,593

)

Net purchases (sales)

 

 

 

 

 

 

(666,764

)

 

(808,641

)

 

 

 

 

 

(3,544,005

)

 

(5,019,410

)

Net transfers in/out of Level 3

 

 

1,163,452

 

$

10,101

 

 

(1,437,124

)

 

1,576,050

 

 

 

$

54,912

 

 

6,360,861

 

 

7,728,252

 

 

 

























Balance, as of February 28, 2010

 

$

2,491,734

 

$

10,101

 

$

1,100

 

$

7,144,122

 

$

381

 

$

54,912

 

$

13,891,970

 

$

23,594,320

 

 

 


























 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on securities still held at February 28, 2010 was $254,248.

The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 





 

 

Other Financial
Instruments3

 





 

 

Liabilities

 

 

 


 

Balance, as of August 31, 2009

 

 

 

Accrued discounts/premiums

 

 

 

Realized gain (loss)

 

 

 

Change in unrealized appreciation/depreciation

 

 

 

Net purchases (sales)

 

 

 

Net transfers in/out of Level 3

 

$

(11,805,458

)

 

 




Balance, as of February 28, 2010

 

$

(11,805,458

)

 

 





 

 

3

Other financial instruments are TALF loans.


 

 

 




62

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

 

Schedule of Investments February 28, 2010 (Unaudited)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Asset-Backed Securities

 

Par
(000)

 

Value

 







Chase Issuance Trust, Series 2007-A11, Class A11,
0.23%,7/16/12 (a)

 

$

3,500

 

$

3,497,710

 

First Franklin Mortgage Loan Asset Backed Certificates,
Series 2005-FF2, Class M2, 0.67%, 3/25/35 (a)

 

 

5,890

 

 

3,298,400

 

Freddie Mac Mortgage Backed Securities Series T-11,
Class A9, 2.29%, 1/25/28 (a)

 

 

2,994

 

 

2,837,765

 

GSAA Home Equity Trust, Series 2005-1, Class AF2,
4.32%, 11/25/34 (a)

 

 

1,652

 

 

1,579,381

 

Securitized Asset Backed Receivables LLC Trust,
Series 2005-OP2, Class M1, 0.66%, 10/25/35 (a)

 

 

1,875

 

 

668,500

 

Small Business Administration Participation
Certificates, Class 1:

 

 

 

 

 

 

 

Series 1996-20E, 7.60%, 5/01/16

 

 

334

 

 

363,968

 

Series 1996-20G, 7.70%, 7/01/16

 

 

286

 

 

315,513

 

Series 1996-20H, 7.25%, 8/01/16

 

 

454

 

 

500,418

 

Series 1996-20K, 6.95%, 11/01/16

 

 

746

 

 

803,137

 

Series 1997-20C, 7.15%, 3/01/17

 

 

312

 

 

342,505

 

Small Business Administration, Series 1, 1.00%,
4/01/15

 

 

2,431

 

 

24,307

 

 

 

 

 

 




 

 

 

 

 

 

14,231,604

 









Interest Only — 0.3%

 

 

 

 

 

 

 

Sterling Bank Trust, Series 2004-2, Class Note, 2.08%,
3/30/30 (b)

 

 

6,108

 

 

479,099

 

Sterling Coofs Trust Series 1, 2.36%, 4/15/29

 

 

10,219

 

 

1,053,812

 

 

 

 

 

 




 

 

 

 

 

 

1,532,911

 









Total Asset-Backed Securities — 3.4%

 

 

 

 

 

15,764,515

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

 

 

 









Collateralized Mortgage Obligations — 3.4%

 

 

 

 

 

 

 

Countrywide Alternative Loan Trust, Series
2005-28CB, Class 1A5, 5.50%, 8/25/35

 

 

2,139

 

 

2,073,349

 

Deutsche Alt-A Securities Inc. Mortgage, Series
2006-AR5, Class 22A, 5.50%, 10/25/21

 

 

1,522

 

 

1,165,305

 

Homebanc Mortgage Trust, Series 2005-4, Class A1,
0.50%, 10/25/35 (a)

 

 

3,693

 

 

2,622,258

 

JPMorgan Mortgage Trust, Series 2006-A7, Class 2A2,
5.76%, 1/25/37 (a)

 

 

795

 

 

618,371

 

Kidder Peabody Acceptance Corp., Series 1993-1,
Class A6, 16.20%, 8/25/23 (a)

 

 

98

 

 

105,924

 

Residential Funding Securities LLC, Series 2003-RM2,
Class AI5, 8.50%, 5/25/33

 

 

5,814

 

 

5,485,879

 

Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-11, Class A, 3.45%, 8/25/34 (a)

 

 

1,654

 

 

1,649,112

 

WaMu Mortgage Pass-Through Certificates, Series
2006-AR1, Class 2A1C, 1.61%, 1/25/46 (a)

 

 

5,897

 

 

2,358,675

 

 

 

 

 

 




 

 

 

 

 

 

16,078,873

 









Commercial Mortgage-Backed Securities — 4.8%

 

 

 

 

 

 

 

Credit Suisse Mortgage Capital Certificates:

 

 

 

 

 

 

 

Series 2006-C5, Class A2, 5.25%, 12/15/39 (c)

 

 

14,000

 

 

14,476,036

 

Series 2007-C2, Class A3, 5.54%, 1/15/49 (a)

 

 

2,420

 

 

2,019,347

 

First Union-Lehman Brothers Commercial Mortgage,
Series 1997-C2, Class D, 7.12%, 11/18/29

 

 

3,500

 

 

3,740,858

 

Wachovia Bank Commercial Mortgage Trust, Series
2007-C32, Class A2, 5.74%, 6/15/49 (a)

 

 

2,200

 

 

2,275,837

 

 

 

 

 

 




 

 

 

 

 

 

22,512,078

 









Interest Only Collateralized Mortgage
Obligations — 1.8%

 

 

 

 

 

 

 

Bank of America Mortgage Securities Inc.,
Series 2003-3, Class 1AIO, 0.29%, 5/25/18 (a)

 

 

136,324

 

 

1,078,475

 

CitiMortgage Alternative Loan Trust, Series 2007-A5,
Class 1A7, 6,000.00%, 5/25/37

 

 

1,328

 

 

152,459

 

 

 

 

 

 

 

 

 

Non-Agency Mortgage-Backed Securities

 

Par
(000)

 

Value

 







Interest Only Collateralized Mortgage
Obligations (concluded)

 

 

 

 

 

 

 

Collateralized Mortgage Obligation Trust, Class R:

 

 

 

 

 

 

 

Series 40, 580.50%, 4/01/18

 

$

(d)

$

198

 

Series 42, 6,000.00%, 10/01/14

 

 

(d)

 

1,256

 

First Boston Mortgage Securities Corp., Series C,
Class I-O, 10.97%, 4/25/17

 

 

48

 

 

5,509

 

GSMPS Mortgage Loan Trust, Series 1998-5, Class IO,
0.97%, 6/19/27 (a)(b)

 

 

5,723

 

 

114,460

 

IndyMac INDX Mortgage Loan Trust, Series 2006-AR33,
Class 4AX, 0.17%, 1/25/37

 

 

131,879

 

 

577,632

 

Kidder Peabody Mortgage Assets Trust, Series B,
Class A2, 9.50%, 4/22/18

 

 

37

 

 

5,348

 

MASTR Adjustable Rate Mortgages Trust, Series
2004-3, Class 3AX, 0.98%, 4/25/34 (a)

 

 

15,142

 

 

167,930

 

MASTR Alternative Loans Trust, Series 2003-9,
Class 15X2, 6.00%, 1/25/19

 

 

790

 

 

113,519

 

Morgan Stanley Mortgage Loan Trust, Series 2004-3,
Class 1AX, 5.00%, 5/25/19

 

 

880

 

 

52,797

 

Sequoia Mortgage Trust, Series 2005-2, Class XA,
1.00%, 3/20/35 (a)

 

 

40,832

 

 

612,481

 

Structured Adjustable Rate Mortgage Loan Trust:

 

 

 

 

 

 

 

Series 2005-18, Class 7AX, 5.50%, 9/25/35 (a)

 

 

2,606

 

 

315,226

 

Series 2005-20, Class 3AX, 5.50%, 10/25/35

 

 

2,718

 

 

358,046

 

Series 2006-2, Class 4AX, 5.50%, 3/25/36 (a)

 

 

8,347

 

 

1,115,016

 

Series 2006-7, Class 3AS, 2.37%, 8/25/36 (a)

 

 

33,851

 

 

3,649,517

 

Vendee Mortgage Trust, Series 1999-2, Class 1IO,
0.05%, 5/15/29 (a)

 

 

66,883

 

 

114,362

 

 

 

 

 

 




 

 

 

 

 

 

8,434,231

 









Interest Only Commercial Mortgage-Backed
Securities — 0.1%

 

 

 

 

 

 

 

CS First Boston Mortgage Securities Corp., Series
1997-C1, Class AX, 1.67%, 6/20/29 (a)(b)

 

 

4,465

 

 

166,361

 

Commercial Mortgage Acceptance Corp., Series
1997-ML1, Class IO, 0.70%, 12/15/30 (a)

 

 

11,797

 

 

318,848

 

Morgan Stanley Capital I, Series 1997-HF1, Class X,
3.44%, 7/15/29 (a)(b)

 

 

42

 

 

2

 

 

 

 

 

 




 

 

 

 

 

 

485,211

 









Principal Only Collateralized Mortgage
Obligations — 1.1%

 

 

 

 

 

 

 

Countrywide Home Loan Mortgage Pass-Through Trust,
Class PO:

 

 

 

 

 

 

 

Series 2003-26, 0.00%, 8/25/33

 

 

3,065

 

 

2,169,413

 

Series 2003-J4, 0.00%, 6/25/33

 

 

598

 

 

497,160

 

Series 2003-J5, 0.00%, 7/25/33

 

 

992

 

 

742,184

 

Series 2003-J8, 0.00%, 9/25/23

 

 

783

 

 

481,309

 

Drexel Burnham Lambert CMO Trust, Class 1:

 

 

 

 

 

 

 

Series K, 0.00%, 9/23/17

 

 

14

 

 

13,686

 

Series V, 0.00%, 9/01/18

 

 

100

 

 

96,455

 

MASTR Asset Securitization Trust, Series 2004-3,
Class 4A15, 0.00%, 3/25/34

 

 

247

 

 

149,555

 

Residential Asset Securitization Trust, Series 2005-A15,
Class 1A8, 2/25/36

 

 

983

 

 

534,805

 

Structured Mortgage Asset Residential Trust, Series
1993-3C, Class CX, 0.00%, 4/25/24

 

 

8

 

 

5,457

 

Washington Mutual Alternative Mortgage Pass-Through
Certificates, Series 2005-9, Class CP,
0.00%, 11/25/35

 

 

726

 

 

419,640

 

 

 

 

 

 




 

 

 

 

 

 

5,109,664

 









Total Non-Agency Mortgage-Backed Securities — 11.2%

 

 

 

 

 

52,620,057

 










 

 

 

See Notes to Financial Statements.

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

63



 

 


 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

Par
(000)

 

Value

 







Agency Obligations — 3.1%

 

 

 

 

 

 

 

Federal Housing Administration:

 

 

 

 

 

 

 

General Motors Acceptance Corp. Projects,
Series 56, 7.43%, 11/01/22

 

$

242

 

$

239,336

 

Merrill Projects, Series 54, 7.43%, 5/15/23

 

 

2

 

 

2,150

 

Reilly Project, Series 41, 8.28%, 3/01/20

 

 

654

 

 

647,488

 

USGI Projects, Series 87, 7.43%, 12/01/22

 

 

72

 

 

71,198

 

USGI Projects, Series 99, 7.43%, 6/01/21

 

 

4,870

 

 

4,820,953

 

USGI Projects, Series 99, 7.43%, 10/01/23

 

 

45

 

 

44,210

 

USGI Projects, Series 99, 7.43%, 10/01/23

 

 

132

 

 

130,620

 

Overseas Private Investment Corp.:

 

 

 

 

 

 

 

4.09%, 5/29/12

 

 

359

 

 

357,006

 

4.68%, 5/29/12

 

 

434

 

 

429,010

 

4.87%, 5/29/12

 

 

3,302

 

 

3,214,846

 

Resolution Funding Corp., 9.65% 4/15/30 (e)

 

 

13,000

 

 

4,654,754

 

 

 

 

 

 




 

 

 

 

 

 

14,611,571

 









Collateralized Mortgage Obligations — 15.7%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 1991-38, Class F, 8.33%, 4/25/21 (a)

 

 

17

 

 

17,361

 

Series 1991-38, Class SA, 10.19%, 4/25/21 (a)

 

 

17

 

 

17,977

 

Series 1991-46, Class S, 1.40%, 5/25/21 (a)

 

 

123

 

 

6,093

 

Series 1991-87, Class S, 26.02%, 8/25/21 (a)

 

 

75

 

 

109,124

 

Series 1993-247, Class SN, 10.00%, 12/25/23 (a)

 

 

573

 

 

752,951

 

Series 2003-32, Class VT, 6.00%, 9/25/15

 

 

5,336

 

 

5,622,243

 

Series 2003-135, Class PB, 6.00%, 1/25/34

 

 

12,264

 

 

13,371,214

 

Series 2004-28, Class PB, 6.00%, 8/25/28

 

 

808

 

 

813,527

 

Series 2004-29, Class HC, 7.50%, 7/25/30

 

 

1,353

 

 

1,451,218

 

Series 2004-31, Class ZG, 7.50%, 5/25/34

 

 

2,835

 

 

3,190,633

 

Series 2005-68, Class PC, 5.50%, 7/25/35

 

 

1,451

 

 

1,564,238

 

Series 2005-73, Class DS, 16.96%, 8/25/35 (a)

 

 

4,097

 

 

4,562,289

 

Series 2006-2, Class KP, 0.00%, 2/25/35 (a)

 

 

861

 

 

678,942

 

Series G-17, Class S, 0.58%, 6/25/21 (a)

 

 

345

 

 

6,688

 

Series G-33, Class PV, 1.08%, 10/25/21

 

 

418

 

 

8,602

 

Series G-49, Class S, 8.80%, 12/25/21 (a)

 

 

(d)

 

2,462

 

Series G-7, Class S, 116.20%, 3/25/21 (a)

 

 

(d)

 

4,988

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

Series 19, Class F, 8.50%, 3/15/20

 

 

120

 

 

130,494

 

Series 19, Class R, 9.76%, 3/15/20 (a)

 

 

11

 

 

1,896

 

Series 40, Class K, 6.50%, 8/17/24

 

 

477

 

 

518,060

 

Series 75, Class R, 9.50%, 1/15/21

 

 

(d)

 

3

 

Series 75, Class RS, 20.27%, 1/15/21 (a)

 

 

(d)

 

3

 

Series 173, Class R, 9.00%, 11/15/21 (a)

 

 

17

 

 

17

 

Series 173, Class RS, 9.16%, 11/15/21 (a)

 

 

(d)

 

18

 

Series 192, Class U, 1.01%, 2/15/22 (a)

 

 

3

 

 

72

 

Series 1057, Class J, 1.01%, 3/15/21

 

 

111

 

 

2,352

 

Series 1160, Class F, 39.10%, 10/15/21 (a)

 

 

25

 

 

41,618

 

Series 1961, Class H, 6.50%, 5/15/12

 

 

54

 

 

54,903

 

Series 2218, Class Z, 8.50%, 3/15/30

 

 

6,748

 

 

7,552,191

 

Series 2542, Class UC, 6.00%, 12/15/22

 

 

10,200

 

 

11,047,875

 

Series 2758, Class KV, 5.50%, 5/15/23

 

 

10,294

 

 

11,102,127

 

Series 2765, Class UA, 4.00%, 3/15/11

 

 

864

 

 

889,719

 

Series 2861, Class AX, 10.45%, 9/15/34 (a)

 

 

391

 

 

408,888

 

Series 2927, Class BZ, 5.50%, 2/15/35

 

 

2,730

 

 

2,745,023

 

Series 3061, Class BD, 7.50%, 11/15/35

 

 

1,414

 

 

1,427,605

 

Ginnie Mae Trust:

 

 

 

 

 

 

 

Series 1996-5, Class Z, 7.00%, 5/16/26

 

 

701

 

 

747,862

 

Series 2001-33, Class PB, 6.50%, 7/20/31

 

 

1,146

 

 

1,233,267

 

Series 2004-89, Class PE, 6.00%, 10/20/34

 

 

3,392

 

 

3,709,615

 

 

 

 

 

 




 

 

 

 

 

 

73,794,158

 









Federal Deposit Insurance Corporation Guaranteed — 0.8%

 

 

 

 

 

 

 

Citigroup Funding, Inc., 1.88%, 10/22/12 (f)

 

 

3,800

 

 

3,834,595

 









 

 

 

 

 

 

 

 

 

 

Par
(000)

 

Value

 

U.S. Government Sponsored Agency Securities

 

 

 







Interest Only Collateralized Mortgage Obligations — 5.3%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 7, Class 2, 8.50%, 4/01/17

 

$

6

 

$

1,064

 

Series 89, Class 2, 8.00%, 10/01/18

 

 

12

 

 

1,710

 

Series 94, Class 2, 9.50%, 8/01/21

 

 

4

 

 

922

 

Series 348, Class 25, 4.50%, 1/01/19

 

 

13,844

 

 

1,566,213

 

Series 1990-123, Class M, 1,009.50%, 10/25/20

 

 

(d)

 

621

 

Series 1990-136, Class S, 0.02%, 11/25/20 (a)

 

 

18,244

 

 

25,077

 

Series 1991-38, Class N, 1008.50%, 4/25/21

 

 

(d)

 

66

 

Series 1991-99, Class L, 930.00%, 8/25/21

 

 

(d)

 

3,076

 

Series 1991-139, Class PT, 648.35%, 10/25/21

 

 

(d)

 

4,427

 

Series 1993-199, Class SB, 2.63%, 10/25/23 (a)

 

 

1,280

 

 

143,076

 

Series 1996-68, Class SC, 2.26%, 1/25/24 (a)

 

 

894

 

 

67,932

 

Series 1997-50, Class SI, 1.20%, 4/25/23 (a)

 

 

456

 

 

15,573

 

Series 1997-90, Class M, 6.00%, 1/25/28

 

 

8,587

 

 

1,366,741

 

Series 1999-W4, Class IO, 6.50%, 12/25/28

 

 

441

 

 

83,220

 

Series 2003-122, Class IC, 5.00%, 9/25/18

 

 

1,164

 

 

13,613

 

Series 2003-135, Class SE, 7.52%, 8/25/33 (a)

 

 

28,175

 

 

4,038,717

 

Series 2005-43, Class IC, 6.00%, 3/25/34

 

 

703

 

 

44,357

 

Series 2006-58, Class SI, 6.31%, 7/25/36 (a)

 

 

12,229

 

 

1,177,067

 

Series 2006-70, Class JI, 6.37%, 6/25/36 (a)

 

 

26,544

 

 

3,291,563

 

Series 2009-3, Class JI, 6.00%, 1/25/49

 

 

18,743

 

 

2,242,467

 

Series 2009-106, Class SA, 6.02%, 1/25/40 (a)

 

 

23,474

 

 

2,586,978

 

Series 2010-2, Class SG, 6.22%, 10/25/39 (a)

 

 

22,025

 

 

2,452,863

 

Series G-10, Class S, 575.46%, 5/25/21 (a)

 

 

1

 

 

15,357

 

Series G-12, Class S, 608.14%, 5/25/21 (a)

 

 

1

 

 

11,645

 

Series G-50, Class G, 1,016.90%, 12/25/21

 

 

(d)

 

1,999

 

Series G92-5, Class H, 9.00%, 1/25/22

 

 

126

 

 

20,550

 

Series G92-12, Class C, 1.02%, 2/25/22

 

 

(d)

 

6,893

 

Series G92-60, Class SB, 1.60%, 10/25/22 (a)

 

 

354

 

 

15,083

 

Freddie Multiclass Certificates:

 

 

 

 

 

 

 

Series 176, Class M, 1,010.00%, 7/15/21

 

 

(d)

 

760

 

Series 200, Class R, 98,522.81%, 12/15/22 (a)

 

 

(d)

 

18

 

Series 1043, Class H, 0.02%, 2/15/21 (a)

 

 

9,805

 

 

17,529

 

Series 1054, Class I, 435.32%, 3/15/21 (a)

 

 

(d)

 

1,679

 

Series 1056, Class KD, 1.08%, 3/15/21

 

 

86

 

 

1,882

 

Series 1148, Class E, 592.55%, 10/15/21 (a)

 

 

(d)

 

5,379

 

Series 1179, Class O, 1,009.39%, 11/15/21

 

 

(d)

 

21

 

Series 1914, Class PC, 0.75%, 12/15/11

 

 

676

 

 

2,922

 

Series 2545, Class NI, 5.50%, 3/15/22

 

 

837

 

 

41,831

 

Series 2559, Class IO, 5.00%, 8/15/30 (a)

 

 

296

 

 

4,058

 

Series 2611, Class QI, 5.50%, 9/15/32

 

 

6,595

 

 

826,989

 

Series 2687, Class IL, 5.00%, 9/15/18

 

 

1,064

 

 

11,775

 

Series 2694, Class LI, 4.50%, 7/15/19

 

 

840

 

 

20,306

 

Series 2949, Class IO, 5.50%, 3/15/35

 

 

1,242

 

 

126,786

 

Series 3153, Class SI, 6.36%, 5/15/36 (a)

 

 

14,217

 

 

1,920,764

 

Ginnie Mae Trust, Series 2005-31, Class SA, 5.92%,
4/16/35 (a)

 

 

26,185

 

 

2,870,606

 

 

 

 

 

 




 

 

 

 

 

 

25,052,175

 









Interest Only Mortgaged-Backed Securities — 0.1%

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed Securities, 2.73%,
1/01/35 (a)

 

 

212

 

 

219,163

 









Mortgaged-Backed Securities — 142.3%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.00%, 3/15/40 (g)

 

 

2,500

 

 

2,461,719

 

4.50%, 7/01/39 – 3/15/40 (f)(g)

 

 

173,565

 

 

175,741,267

 

5.00%, 1/01/23 – 3/15/40 (f)(g)

 

 

143,239

 

 

148,610,801

 

5.50%, 3/15/25 – 4/15/40 (g)

 

 

133,100

 

 

139,894,489

 

5.97%, 8/01/16

 

 

3,109

 

 

3,494,166

 

6.00%, 5/15/40 (g)

 

 

20,800

 

 

22,070,755

 

6.50%, 3/15/40 – 5/15/40 (g)

 

 

122,100

 

 

130,621,187

 

7.50%, 2/01/22

 

 

(d)

 

181

 

9.50%, 1/01/19 – 9/01/19

 

 

3

 

 

3,745

 


 

 

 

See Notes to Financial Statements.


64

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

U.S. Government Sponsored Agency Securities

 

Par
(000)

 

Value

 







Mortgaged-Backed Securities (concluded)

 

 

 

 

 

 

 

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.51%, 11/01/17 (a)

 

$

21

 

$

21,771

 

4.98%, 10/01/34 (a)

 

 

551

 

 

572,035

 

5.00%, 2/01/22 – 4/01/22 (f)

 

 

2,161

 

 

2,291,581

 

5.50%, 3/01/25 (g)

 

 

7,000

 

 

7,462,658

 

6.50%, 3/15/40 (g)

 

 

100

 

 

108,000

 

9.00%, 9/01/20 (h)

 

 

77

 

 

85,056

 

Ginnie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

5.00%, 3/15/40 (g)

 

 

23,900

 

 

24,898,948

 

6.50%, 3/15/40 – 4/15/40 (g)

 

 

8,500

 

 

9,113,625

 

7.50%, 8/15/21 – 12/15/23

 

 

321

 

 

362,124

 

8.00%, 10/15/22 – 2/15/29 (g)

 

 

99

 

 

113,893

 

9.00%, 6/15/18 – 9/15/21 (g)

 

 

10

 

 

11,462

 

 

 

 

 

 




 

 

 

 

 

 

667,939,463

 









Principal Only Collateralized Mortgage Obligations — 1.8%

 

 

 

 

 

 

 

Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

Series 203, Class 1, 0.00%, 2/01/23

 

 

28

 

 

24,421

 

Series 228, Class 1, 0.00%, 6/01/23

 

 

19

 

 

16,520

 

Series 328, Class 1, 0.00%, 12/01/32

 

 

2,777

 

 

2,399,751

 

Series 338, Class 1, 0.00%, 7/01/33

 

 

2,343

 

 

2,003,726

 

Series 1991-7, Class J, 0.00%, 2/25/21

 

 

30

 

 

26,983

 

Series 1991-167, Class D, 0.00%, 10/25/17

 

 

2

 

 

2,015

 

Series 1993-51, Class E, 0.00%, 2/25/23

 

 

92

 

 

80,619

 

Series 1993-70, Class A, 0.00%, 5/25/23

 

 

15

 

 

13,119

 

Series 1993-249, Class B, 0.00%, 11/25/23

 

 

1,355

 

 

1,160,389

 

Series 1999-W4, Class PO, 0.00%, 2/25/29

 

 

227

 

 

190,907

 

Series 2002-13, Class PR, 0.00%, 3/25/32

 

 

556

 

 

472,096

 

Series G93-2, Class KB, 0.00%, 1/25/23

 

 

208

 

 

193,092

 

Freddie Mac Multiclass Certificates:

 

 

 

 

 

 

 

Series 1418, Class M, 0.00%, 11/15/22

 

 

100

 

 

88,642

 

Series 1691, Class B, 0.00%, 3/15/24

 

 

1,398

 

 

1,211,648

 

Series 1739, Class B, 0.00%, 2/15/24

 

 

95

 

 

96,879

 

Series G93-2, Class KB, 0.00%, 8/15/23

 

 

561

 

 

469,013

 

Series T-8, Class A10, 0.00%, 11/15/28

 

 

163

 

 

139,853

 

 

 

 

 

 




 

 

 

 

 

 

8,589,673

 









Total U.S. Government Sponsored Agency Securities — 169.1%

 

 

 

 

 

794,040,798

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

U.S. Treasury Obligations

 

 

 

 

 

 

 







U.S. Treasury Bonds:

 

 

 

 

 

 

 

8.75%, 8/15/20 (g)

 

 

750

 

 

1,079,180

 

8.00%, 11/15/21 (f)

 

 

2,750

 

 

3,814,335

 

4.50%, 2/15/36

 

 

8,100

 

 

8,144,299

 

U.S. Treasury Notes:

 

 

 

 

 

 

 

3.38%, 11/15/19

 

 

5,500

 

 

5,393,438

 

4.50%, 8/15/39

 

 

330

 

 

328,505

 

4.63%, 2/15/40

 

 

5,550

 

 

5,636,719

 

U.S. Treasury Strips, 0.00%, 11/15/24 (a)(f)(h)

 

 

40,000

 

 

20,537,280

 









Total U.S. Treasury Obligations — 9.6%

 

 

 

 

 

44,933,756

 









Total Long-Term Investments

 

 

 

 

 

 

 

(Cost — $909,764,741) — 193.3%

 

 

 

 

 

907,359,126

 









 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 







Money Market Funds — 44.7%

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund, Institutional

 

 

 

 

 

 

 

Class, 0.10% (i)(j)

 

 

209,674,729

 

$

209,674,729

 









 

 

 

 

 

 

 

 

 

 

Par
(000)

 

 

 

 

 

 

 







Borrowed-Bond Agreements — 1.1%

 

 

 

 

 

 

 

Barclays Capital Inc., 0.09%, 3/04/10

 

$

5,363

 

 

5,362,500

 









Total Short-Term Securities

 

 

 

 

 

 

 

(Cost — $215,037,229) — 45.8%

 

 

 

 

 

215,037,229

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Options Purchased

 

Contracts (k)

 

 

 







Over-the-Counter Call Swaptions Purchased — 0.1%

 

 

 

 

 

 

 

Receive a fixed rate of 5.47% and pay a floating rate
based on 3-month LIBOR, expiring 5/19/12,
Broker Bank of America NA

 

 

6

 

 

580,748

 









Over-the-Counter Put Swaptions Purchased — 0.1%

 

 

 

 

 

 

 

Pay a fixed rate of 5.47% and receive a floating rate
based on 3-month LIBOR, expiring 5/19/12,
Broker Bank of America NA

 

 

6

 

 

196,639

 









Total Options Purchased

 

 

 

 

 

 

 

(Cost — $492,280) — 0.2%

 

 

 

 

 

777,387

 









Total Investments Before TBA Sale Commitments,

 

 

 

 

 

 

 

Borrowed Bonds and Outstanding Options Written

 

 

 

 

 

 

 

(Cost — $1,125,294,250*) — 239.3%

 

 

 

 

 

1,123,173,742

 









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

Par
(000)

 

 

 

Borrowed Bonds

 

 

 







U.S. Treasury Notes, 3.38%, 11/15/19

 

$

5,500

 

 

(5,393,438

)









Total Borrowed Bonds

 

 

 

 

 

 

 

(Proceeds — $5,309,863) — (1.2)%

 

 

 

 

 

(5,393,438

)









 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

TBA Sale Commitments (g)

 

 

 

 

 

 

 







Fannie Mae Mortgage-Backed Securities:

 

 

 

 

 

 

 

4.50%, 7/01/39 – 3/15/40

 

 

13,900

 

 

(14,073,750

)

5.00%, 1/01/23 – 3/15/40

 

 

2,400

 

 

(2,529,749

)

5.50%, 3/15/25 – 4/15/40

 

 

9,100

 

 

(9,583,438

)

6.50%, 3/15/40 – 5/15/40

 

 

80,800

 

 

(86,254,000

)

Freddie Mac Mortgage-Backed Securities:

 

 

 

 

 

 

 

5.00%, 2/01/22 – 4/01/22

 

 

2,100

 

 

(2,216,812

)

5.50%, 3/01/25

 

 

1,100

 

 

(1,172,016

)









Total TBA Sale Commitments

 

 

 

 

 

 

 

(Proceeds — $116,021,457) — (24.7)%

 

 

 

 

 

(115,829,765

)










 

 

 

See Notes to Financial Statements.

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

65



 

 



 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Options Written

 

 

Contracts (k)

 

Value

 









Over-the-Counter Call Swaptions Written — (0.1)%

 

 

 

 

 

 

 

Pay a fixed rate of 3.43% and receive a floating rate
based on 3-month LIBOR, Expires 3/19/11,
Broker JPMorgan Chase Bank NA

 

 

7

 

$

(95,438

)

Pay a fixed rate of 5.33% and receive a floating rate
based on 3-month LIBOR, Expires 7/20/13,
Broker JPMorgan Chase Bank NA

 

 

11

 

 

(594,427

)

 

 

 

 

 



 

 

 

 

 

 

 

(689,865

)









Over-the-Counter Put Swaptions Written — (0.2)%

 

 

 

 

 

 

 

Receive a fixed rate of 3.43% and pay a floating rate
based on 3-month LIBOR, Expires 3/19/11,
Broker JPMorgan Chase Bank NA

 

 

7

 

 

(559,951

)

Receive a fixed rate of 5.33% and pay a floating rate
based on 3-month LIBOR, Expires 7/20/13,
Broker JPMorgan Chase Bank NA

 

 

11

 

 

(297,991

)

 

 

 

 

 




 

 

 

 

 

 

(857,942

)









Total Options Written
(Premiums Received — $1,358,915) — (0.3)%

 

 

 

 

 

(1,547,807

)









Total Investments, Net of TBA Sale Commitments,
Borrowed Bonds and Outstanding Options Written — 213.1%

 

 

 

 

 

1,000,402,732

 

Liabilities in Excess of Other Assets — (113.1)%

 

 

 

 

 

(530,988,018

)

 

 

 

 

 




Net Assets — 100.0%

 

 

 

 

$

469,414,714

 

 

 

 

 

 




 










 

 

*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

 

 

 

 

 

Aggregate cost

 

 

 

 

$

1,126,511,501

 

 

 

 

 

 

 



 

 

Gross unrealized appreciation

 

 

 

 

$

20,864,924

 

 

Gross unrealized depreciation

 

 

 

 

 

(24,202,683

)

 

 

 

 

 

 



 

 

Net unrealized depreciation

 

 

 

 

$

(3,337,759

)

 

 

 

 

 

 



 


 

 

(a)

Variable rate security. Rate shown is as of report date.

 

 

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(c)

All or a portion of security has been pledged as collateral in connection with TALF Program.

 

 

(d)

Amount is less than $1,000.

 

 

(e)

Represents a zero-coupon bond. Rate shown reflects currents yield as of report date.

 

 

(f)

All or a portion of security has been pledged as collateral in connection with swaps.

 

 

(g)

Represents or includes a to-be-announced (“TBA”) transaction. Unsettled TBA transactions as of report date were as follows:


 

 

 

 

 

 

 

 

 

 









 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

 







 

Barclays Capital

 

$

2,328,750

 

$

15,953

 

 

BNP Paribas

 

$

14,918,249

 

$

11,703

 

 

Citigroup Global Markets, Inc.

 

$

3,036,125

 

$

79,117

 

 

Credit Suisse Securities LLC

 

$

177,100,587

 

$

1,293,509

 

 

Deutsche Bank Securities, Inc.

 

$

116,011,037

 

$

(130,170

)

 

Goldman Sachs & Co.

 

$

104,394,507

 

$

559,703

 

 

JPMorgan Chase Securities, Ltd.

 

$

103,159,870

 

$

(71,884

)

 

Morgan Stanley & Co.

 

$

2,025,000

 

$

11,797

 

 










 

 

(h)

All or a portion of security has been pledged as collateral in connection with open financial futures contracts.

 

 

(i)

Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

 

 









 

Affiliate

 

Net Activity

 

Income

 

 







 

BlackRock Liquidity Funds, TempFund, Institutional Class

 

$

31,436,138

 

$

156,334

 

 










 

 

(j)

Represents the current yield as of report date.

 

 

(k)

One contract represents a notional amount of $1 million.

 

 

Interest rate floors outstanding as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 












 

 

Notional
Amount
(000)

 

Value

 

Unrealized
Depreciation

 












Pay to broker the difference between
3-month LIBOR and a floor of 4.80%

 

$

75,000

 

$

(3,284,025

)

$

(2,454,025

)

Broker Goldman Sachs Bank USA
Expires 3/19/11

 

 

 

 

 

 

 

 

 

 

Pay to broker the difference between
3-month LIBOR and a floor of 5.50%

 

 

 

 

 

 

 

 

 

 

Broker Citibank NA
Expires 9/17/11

 

$

25,000

 

 

(2,048,425

)

 

(1,569,258

)












Total

 

 

 

 

$

(5,332,450

)

$

(4,023,283

)

 

 

 

 

 








 

 

Financial futures contracts purchased as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 













Contracts

 

Issue

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation

 













71

 

5-Year U.S.
Treasury Bond

 

June 2010

 

$

8,186,789

 

$

44,774

 

82

 

10-Year U.S.
Treasury Bond

 

March 2010

 

$

9,723,404

 

 

26,908

 

88

 

30-Year U.S.
Treasury Bond

 

June 2010

 

$

10,827,162

 

 

19,182

 













Total

 

 

 

 

 

 

 

 

$

90,864

 

 

 

 

 

 

 

 

 

 





 

 

 

See Notes to Financial Statements.

 



66

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

 

Schedule of Investments (continued)

BlackRock Income Trust, Inc. (BKT)


 

 

Financial futures contracts sold as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 













Contracts

 

Issue

 

Expiration
Date

 

 

Face
Value

 

 

Unrealized
Depreciation

 













214

 

2-Year U.S.
Treasury Bond

 

June 2010

 

$

46,500,012

 

$

(31,613

)

82

 

10-Year U.S.
Treasury Bond

 

March 2010

 

 

9,668,119

 

 

(82,194

)

281

 

10-Year U.S.
Treasury Bond

 

June 2010

 

 

32,771,029

 

 

(242,080

)

195

 

30-Year U.S.
Treasury Ultra Bond

 

June 2010

 

 

22,698,072

 

 

(250,991

)

168

 

EuroDollar
Futures

 

March 2010

 

 

41,712,988

 

 

(175,712

)

78

 

EuroDollar
Futures

 

June 2010

 

 

19,422,211

 

 

(9,539

)

78

 

EuroDollar
Futures

 

September
2010

 

 

19,374,950

 

 

(24,625

)

78

 

EuroDollar
Futures

 

December
2010

 

 

19,309,175

 

 

(33,850

)

55

 

EuroDollar
Futures

 

March 2011

 

 

13,566,807

 

 

(25,068

)

55

 

EuroDollar
Futures

 

June 2011

 

 

13,515,220

 

 

(25,780

)

55

 

EuroDollar
Futures

 

September
2011

 

 

13,465,995

 

 

(25,505

)

55

 

EuroDollar
Futures

 

December
2011

 

 

13,419,245

 

 

(24,818

)













Total

 

 

 

 

 

 

 

 

$

(951,775

)

 

 

 

 

 

 

 

 

 





 

 

Interest rate swaps outstanding as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 















Fixed
Rate

 

Floating
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













4.32% (a)

 

3-month LIBOR

 

UBS AG

 

September
2010

 

$

12,000

 

$

248,466

 

1.45% (b)

 

3-month LIBOR

 

JPMorgan
Chase Bank NA

 

July 2011

 

$

20,000

 

 

(217,433

)

4.88% (a)

 

3-month LIBOR

 

UBS AG

 

March 2015

 

$

25,000

 

 

2,752,154

 

4.87% (a)

 

3-month LIBOR

 

Goldman Sachs
Bank USA

 

January
2016

 

$

5,500

 

 

607,207

 

2.81% (a)

 

3-month LIBOR

 

Citibank NA

 

February
2016

 

$

20,000

 

 

(79,303

)

5.72% (a)

 

3-month LIBOR

 

JPMorgan
Chase Bank NA

 

July 2016

 

$

5,400

 

 

867,278

 

5.51% (a)

 

3-month LIBOR

 

Bank of
America NA

 

August 2017

 

$

159,147

 

 

24,171,972

 

5.88% (b)

 

3-month LIBOR

 

Deutsche
Bank AG

 

June 2018

 

$

31,930

 

 

(5,241,714

)

4.55% (b)

 

3-month LIBOR

 

Citibank NA

 

September
2018

 

$

98,400

 

 

(8,068,506

)

4.31% (b)

 

3-month LIBOR

 

Deutsche
Bank AG

 

October
2018

 

$

66,000

 

 

(4,227,051

)

3.17% (a)

 

3-month LIBOR

 

Bank of
America NA

 

March 2019

 

$

4,700

 

 

(139,295

)

3.09% (b)

 

3-month LIBOR

 

Deutsche
Bank AG

 

March 2019

 

$

25,700

 

 

881,622

 

2.88% (a)

 

3-month LIBOR

 

Deutsche
Bank AG

 

April 2019

 

$

39,700

 

 

(2,110,279

)

3.23% (b)

 

3-month LIBOR

 

Deutsche
Bank AG

 

May 2019

 

$

2,800

 

 

75,785

 

3.90% (b)

 

3-month LIBOR

 

Barclays
Bank Plc

 

June 2019

 

$

20,000

 

 

(540,818

)

3.55% (b)

 

3-month LIBOR

 

Deutsche
Bank AG

 

August 2019

 

$

15,000

 

 

(96,429

)

5.49% (b)

 

3-month LIBOR

 

JPMorgan
Chase Bank NA

 

October
2019

 

$

5,400

 

 

(644,025

)

3.67% (a)

 

3-month LIBOR

 

Deutsche
Bank AG

 

December
2019

 

$

4,600

 

 

8,949

 

5.67% (b)

 

3-month LIBOR

 

Citigroup Global
Markets, Inc.

 

January
2020

 

$

12,400

 

 

(1,500,191

)

3.88% (a)

 

3-month LIBOR

 

Morgan
Stanley Capital
Services, Inc.

 

January
2020

 

$

7,600

 

 

149,539

 

3.71% (b)

 

3-month LIBOR

 

Deutsche
Bank AG

 

February
2020

 

$

9,200

 

 

(33,142

)

5.41% (a)

 

3-month LIBOR

 

JPMorgan
Chase Bank NA

 

August
2022

 

$

9,565

 

 

1,429,176

 















Total

 

 

 

 

 

 

 

 

 

 

$

8,293,962

 

 

 

 

 

 

 

 

 

 

 

 





 

 

 

 

(a)

Pays floating interest rate and receives fixed rate.

 

 

 

(b)

Pays fixed interest rate and receives floating rate.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.


 

 

 

See Notes to Financial Statements.

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

67




 

 



 

 

Schedule of Investments (concluded)

BlackRock Income Trust, Inc. (BKT)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

 

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, repayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments) The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

The following tables summarize the inputs used as of February 28, 2010 in determining the fair valuation of the Trust’s investments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

 

Investments in Securities

 

 

 

 


 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 











 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities

 

 

 

$

10,908,897

 

$

4,855,618

 

$

15,764,515

 

 

Non-Agency Mortgage-Backed Securities

 

 

 

 

33,216,132

 

 

19,403,925

 

 

52,620,057

 

 

U.S. Government Sponsored Agency Securities

 

 

 

 

784,082,026

 

 

9,958,772

 

 

794,040,798

 

 

U.S. Treasury Obligations

 

 

 

 

44,933,756

 

 

 

 

44,933,756

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

 

Investments in Securities

 

 

 

 


 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 











 

Assets (concluded):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Money Market Funds

 

$

209,674,729

 

 

 

 

 

$

209,674,729

 

 

Borrowed Bond Agreements

 

 

 

$

5,362,500

 

 

 

 

5,362,500

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed Bonds

 

 

 

 

(5,393,438

)

 

 

 

(5,393,438

)

 

TBA Sale Commitment

 

 

 

 

(115,829,765

)

 

 

 

(115,829,765

)

 

 

 













 

Total

 

$

209,674,729

 

$

757,280,108

 

$

34,218,315

 

$

1,001,173,152

 

 

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

 

Other Financial Instruments1

 

 

 

 


 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 











 

Assets

 

$

90,864

 

$

31,969,535

 

 

 

$

32,060,399

 

 

Liabilities

 

 

(951,775

)

 

(24,445,993

)

$

(17,108,391

)

 

(42,506,159

)

 

 

 













 

Total

 

$

(860,911

)

$

7,523,542

 

$

(17,108,391

)

$

(10,445,760

)

 

 

 














 

 

 

 

1

Other financial instruments are swaps, financial futures contracts, interest rate floors, TALF loans and options. Financial futures contracts and swaps are valued at the unrealized appreciation/depreciation on the instrument and interest rate floors, TALF loans and options are shown at value.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















 

 

Investments in Securities

 

 

 


 

 

 

Asset- Backed
Securities

 

Corporate
Bonds

 

Non-Agency
Mortgage-Backed
Securities

 

U.S. Government
Sponsored
Agency Securities

 

Total

 













Balance, as of August 31, 2009

 

$

3,536,160

 

$

582,709

 

$

21,006,613

 

$

14,122,541

 

$

39,248,023

 

Accrued discounts/premiums

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

 

 

 

76,570

 

 

1,295,658

 

 

1,372,228

 

Change in unrealized appreciation/depreciation2

 

 

1,293,115

 

 

17,928

 

 

133,141

 

 

(1,375,174

)

 

69,010

 

Net purchases (sales)

 

 

 

 

(600,637

)

 

(1,791,555

)

 

(4,084,253

)

 

(6,476,445

)

Net transfers in/out of Level

 

 

26,343

 

 

 

 

(20,844

)

 

 

 

5,499

 

 

 
















Balance, as of February 28, 2010

 

$

4,855,618

 

 

 

$

19,403,925

 

$

9,958,772

 

$

34,218,315

 

 

 

















 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on securities still held at February 28, 2010 was $1,420,026.

The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 






 

 

Other Financial
Instruments3

 





 

 

Liabilities

 

 

 



Balance, as of August 31, 2009

 

$

(7,202,331

)

Accrued discounts/premiums

 

 

 

Realized gain (loss)

 

 

149,000

 

Change in unrealized appreciation/depreciation

 

 

1,720,881

 

Net purchases (sales)

 

 

 

Net transfers in/out of Level 3

 

$

(11,775,941

)

 

 




Balance, as of February 28, 2010

 

$

(17,108,391

)

 

 





 

 

 

 

3

Other financial instruments are interest rate floors and TALF loans.


 

 

 

See Notes to Financial Statements.




68

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

 

Schedule of Investments February 28, 2010 (Unaudited)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 







Building Products — 0.6%

 

 

 

 

 

 

 

Masonite Worldwide Holdings (a)

 

 

13,686

 

$

574,812

 









Construction Materials — 0.0%

 

 

 

 

 

 

 

Nortek, Inc. (a)

 

 

450

 

 

16,650

 









Machinery — 0.1%

 

 

 

 

 

 

 

Accuride Corp. (a)

 

 

36,000

 

 

46,800

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Recovery Trust (a)

 

 

396,568

 

 

10,311

 









Specialty Retail — 0.0%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. (a)

 

 

2,590

 

 

10,101

 









Total Common Stocks — 0.7%

 

 

 

 

 

658,674

 









 

 

 

 

 

 

 

 









 

Corporate Bonds

 

Par
(000
)

 

 

 

 









Air Freight & Logistics — 0.3%

 

 

 

 

 

 

 

Park-Ohio Industries, Inc., 8.38%, 11/15/14

 

USD

300

 

 

243,000

 









Airlines — 0.5%

 

 

 

 

 

 

 

American Airlines Pass Through Trust, Series
2001-02, 7.86%, 4/01/13

 

 

190

 

 

191,425

 

Continental Airlines, Inc., Series 2003-RJ, 7.88%,
1/02/20

 

 

71

 

 

63,401

 

Delta Air Lines, Inc., Series B, 9.75%, 12/17/16

 

 

200

 

 

206,000

 

 

 

 

 

 




 

 

 

 

 

 

460,826

 









Auto Components — 0.7%

 

 

 

 

 

 

 

Delphi International Holdings Unsecured, 12.00%,
10/06/14

 

 

17

 

 

16,993

 

The Goodyear Tire & Rubber Co.:

 

 

 

 

 

 

 

7.86%, 8/15/11

 

 

335

 

 

346,725

 

8.63%, 12/01/11

 

 

300

 

 

311,250

 

 

 

 

 

 




 

 

 

 

 

 

674,968

 









Automobiles — 1.2%

 

 

 

 

 

 

 

DaimlerChrysler NA Holding Corp., 7.30%, 1/15/12

 

 

1,000

 

 

1,091,721

 









Biotechnology — 0.3%

 

 

 

 

 

 

 

QHP Pharma, 10.25%, 3/15/15 (b)

 

 

270

 

 

275,638

 









Building Products — 1.0%

 

 

 

 

 

 

 

Associated Materials LLC, 9.88%, 11/15/16

 

 

170

 

 

180,200

 

Building Materials Corp. of America, 7.00%,
2/15/20 (b)

 

 

290

 

 

290,000

 

CPG International I, Inc., 10.50%, 7/01/13

 

 

150

 

 

147,000

 

Goodman Global Group, Inc., 12.34%,
12/15/14 (b)(c)

 

 

100

 

 

58,000

 

Ply Gem Industries, Inc., 11.75%, 6/15/13

 

 

250

 

 

253,750

 

 

 

 

 

 




 

 

 

 

 

 

928,950

 









Capital Markets — 3.0%

 

 

 

 

 

 

 

Credit Suisse AG, 5.40%, 1/14/20

 

 

775

 

 

778,377

 

E*Trade Financial Corp., Series A, 0.00%,
8/31/19 (c)(d)

 

 

100

 

 

152,000

 

Macquarie Group Ltd., 6.00%, 1/14/20 (b)

 

 

275

 

 

266,766

 

Marsico Parent Co., LLC, 10.63%, 1/15/16 (b)

 

 

306

 

 

183,983

 

Marsico Parent Holdco, LLC, 12.50%, 7/15/16 (b)(e)

 

 

131

 

 

29,031

 

Marsico Parent Superholdco, LLC, 14.50%,
1/15/18 (b)(e)

 

 

85

 

 

14,729

 

Merrill Lynch & Co., Inc., 6.05%, 5/16/16

 

 

325

 

 

330,808

 

Morgan Stanley:

 

 

 

 

 

 

 

5.63%, 9/23/19

 

 

600

 

 

594,893

 

5.50%, 1/26/20

 

 

425

 

 

416,341

 

 

 

 

 

 




 

 

 

 

 

 

2,766,928

 









 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 









Chemicals — 2.7%

 

 

 

 

 

 

 

American Pacific Corp., 9.00%, 2/01/15

 

USD

180

 

$

177,750

 

Ames True Temper, Inc., 4.25%, 1/15/12 (f)

 

 

350

 

 

327,250

 

Georgia Gulf Corp., 9.00%, 1/15/17 (b)

 

 

85

 

 

88,187

 

Hexion Finance Escrow LLC, 8.88%, 2/01/18 (b)

 

 

670

 

 

626,450

 

Hexion U.S. Finance Corp., 9.75%, 11/15/14

 

 

115

 

 

108,675

 

Huntsman International LLC, 5.50%, 6/30/16 (b)

 

 

215

 

 

189,200

 

Innophos, Inc., 8.88%, 8/15/14

 

 

980

 

 

1,006,950

 

 

 

 

 

 




 

 

 

 

 

 

2,524,462

 









Commercial Banks — 0.8%

 

 

 

 

 

 

 

Lloyds TSB Bank Plc, 5.80%, 1/13/20 (b)

 

 

300

 

 

290,296

 

Standard Chartered Plc, 5.50%, 11/18/14 (b)

 

 

450

 

 

487,856

 

 

 

 

 

 




 

 

 

 

 

 

778,152

 









Commercial Services & Supplies — 2.2%

 

 

 

 

 

 

 

ACCO Brands Corp., 10.63%, 3/15/15 (b)

 

 

95

 

 

103,265

 

DI Finance, Series B, 9.50%, 2/15/13

 

 

524

 

 

527,930

 

RSC Equipment Rental, Inc., 10.00%, 7/15/17 (b)

 

 

240

 

 

256,800

 

Waste Services, Inc., 9.50%, 4/15/14

 

 

550

 

 

565,125

 

West Corp.:

 

 

 

 

 

 

 

9.50%, 10/15/14

 

 

75

 

 

74,438

 

11.00%, 10/15/16

 

 

535

 

 

536,337

 

 

 

 

 

 




 

 

 

 

 

 

2,063,895

 









Communications Equipment — 0.2%

 

 

 

 

 

 

 

Brocade Communications Systems, Inc., 6.88%,
1/15/20 (b)

 

 

35

 

 

35,700

 

Harris Corp., 6.38%, 6/15/19

 

 

175

 

 

193,502

 

 

 

 

 

 




 

 

 

 

 

 

229,202

 









Construction Materials — 0.5%

 

 

 

 

 

 

 

Nortek, Inc., 11.00%, 12/01/13

 

 

452

 

 

474,599

 









Consumer Finance — 2.6%

 

 

 

 

 

 

 

Credit Acceptance Corp., 9.13%, 2/01/17 (b)

 

 

260

 

 

258,700

 

Ford Motor Credit Co. LLC:

 

 

 

 

 

 

 

5.50%, 6/15/11 (f)

 

 

1,600

 

 

1,614,000

 

7.80%, 6/01/12

 

 

250

 

 

252,642

 

8.00%, 12/15/16

 

 

240

 

 

240,993

 

 

 

 

 

 




 

 

 

 

 

 

2,366,335

 









Containers & Packaging — 2.4%

 

 

 

 

 

 

 

Berry Plastics Escrow LLC, 8.88%, 9/15/14 (b)

 

 

180

 

 

173,250

 

Berry Plastics Holding Corp., 8.88%, 9/15/14

 

 

45

 

 

43,313

 

Crown Americas LLC, 7.75%, 11/15/15

 

 

250

 

 

258,125

 

Graphic Packaging International, Inc., 9.50%,
6/15/17

 

 

250

 

 

262,500

 

Impress Holdings BV, 3.38%, 9/15/13 (b)(f)

 

 

260

 

 

242,450

 

Pregis Corp., 12.38%, 10/15/13

 

 

565

 

 

560,762

 

Smurfit Kappa Acquisitions (b):

 

 

 

 

 

 

 

7.25%, 11/15/17

 

EUR

190

 

 

253,540

 

7.75%, 11/15/19

 

 

180

 

 

243,873

 

Solo Cup Co., 10.50%, 11/01/13

 

USD

195

 

 

204,262

 

 

 

 

 

 




 

 

 

 

 

 

2,242,075

 









Diversified Financial Services — 7.0%

 

 

 

 

 

 

 

Bank of America Corp.:

 

 

 

 

 

 

 

6.50%, 8/01/16

 

 

750

 

 

806,221

 

7.63%, 6/01/19

 

 

280

 

 

316,639

 

CIT Group Funding Co. of Delaware LLC:

 

 

 

 

 

 

 

10.25%, 5/01/13

 

 

107

 

 

110,572

 

10.25%, 5/01/16

 

 

108

 

 

110,483

 

10.25%, 5/01/17

 

 

295

 

 

301,917

 

CIT Group, Inc.:

 

 

 

 

 

 

 

7.00%, 5/01/16

 

 

64

 

 

56,206

 

7.00%, 5/01/17

 

 

1,574

 

 

1,390,948

 


 

 

 

See Notes to Financial Statements.




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

69




 

 


 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Diversified Financial Services (concluded)

 

 

 

 

 

 

 

Citigroup, Inc., 8.13%, 7/15/39

 

USD

200

 

$

226,210

 

GMAC LLC:

 

 

 

 

 

 

 

6.88%, 9/15/11

 

 

200

 

 

200,000

 

2.45%, 12/01/14 (f)

 

 

130

 

 

111,214

 

6.75%, 12/01/14

 

 

1,020

 

 

981,597

 

8.30%, 2/12/15 (b)

 

 

920

 

 

928,050

 

8.00%, 11/01/31

 

 

390

 

 

359,775

 

Reynolds Group DL Escrow, Inc., 7.75%,
10/15/16 (b)

 

 

550

 

 

556,875

 

 

 

 

 

 




 

 

 

 

 

 

6,456,707

 









Diversified Telecommunication Services — 5.7%

 

 

 

 

 

 

 

Broadview Networks Holdings, Inc., 11.38%,
9/01/12

 

 

155

 

 

148,800

 

Crown Castle Towers LLC, 6.11%, 1/15/40 (b)

 

 

375

 

 

392,678

 

GCI, Inc., 8.63%, 11/15/19 (b)

 

 

400

 

 

406,500

 

Nordic Telephone Co. Holdings ApS, 8.88%,
5/01/16 (b)

 

 

250

 

 

267,500

 

Qwest Communications International, Inc., Series B,
7.50%, 2/15/14

 

 

1,425

 

 

1,439,250

 

Qwest Corp., 8.38%, 5/01/16

 

 

270

 

 

295,650

 

Verizon New England, Inc., 6.50%, 9/15/11

 

 

2,000

 

 

2,130,014

 

Windstream Corp.:

 

 

 

 

 

 

 

8.13%, 8/01/13

 

 

90

 

 

93,600

 

8.63%, 8/01/16

 

 

110

 

 

111,925

 

 

 

 

 

 




 

 

 

 

 

 

5,285,917

 









Electric Utilities — 1.5%

 

 

 

 

 

 

 

Elwood Energy LLC, 8.16%, 7/05/26

 

 

25

 

 

24,173

 

Intergen NV, 9.00%, 6/30/17 (b)

 

 

155

 

 

158,100

 

Progress Energy, Inc., 7.75%, 3/01/31

 

 

1,000

 

 

1,183,250

 

 

 

 

 

 




 

 

 

 

 

 

1,365,523

 









Electronic Equipment, Instruments & Components — 0.1%

 

 

 

 

 

 

 

Jabil Circuit, Inc., 7.75%, 7/15/16

 

 

120

 

 

124,200

 









Energy Equipment & Services — 1.3%

 

 

 

 

 

 

 

Compagnie Générale de Géophysique-Veritas:

 

 

 

 

 

 

 

7.50%, 5/15/15

 

 

65

 

 

63,700

 

7.75%, 5/15/17

 

 

70

 

 

68,600

 

Expro Finance Luxembourg SCA, 8.50%,
12/15/16 (b)

 

 

740

 

 

736,300

 

North American Energy Alliance LLC, 10.88%,
6/01/16 (b)

 

 

255

 

 

270,300

 

North American Energy Partners, Inc., 8.75%,
12/01/11

 

 

65

 

 

64,675

 

 

 

 

 

 




 

 

 

 

 

 

1,203,575

 









Food & Staples Retailing — 0.5%

 

 

 

 

 

 

 

Duane Reade, Inc., 11.75%, 8/01/15

 

 

70

 

 

88,200

 

Rite Aid Corp.:

 

 

 

 

 

 

 

9.75%, 6/12/16

 

 

170

 

 

181,475

 

10.25%, 10/15/19

 

 

195

 

 

206,213

 

 

 

 

 

 




 

 

 

 

 

 

475,888

 









Food Products — 1.4%

 

 

 

 

 

 

 

Kraft Foods, Inc.:

 

 

 

 

 

 

 

6.13%, 8/23/18

 

 

250

 

 

275,575

 

5.38%, 2/10/20

 

 

1,000

 

 

1,034,585

 

 

 

 

 

 




 

 

 

 

 

 

1,310,160

 









Health Care Equipment & Supplies — 1.5%

 

 

 

 

 

 

 

CareFusion Corp., 6.38%, 8/01/19

 

 

425

 

 

467,081

 

DJO Finance LLC:

 

 

 

 

 

 

 

10.88%, 11/15/14

 

 

650

 

 

695,500

 

10.88%, 11/15/14 (b)

 

 

230

 

 

246,100

 

 

 

 

 

 




 

 

 

 

 

 

1,408,681

 










 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 









Health Care Providers & Services — 2.6%

 

 

 

 

 

 

 

Community Health Systems, Inc., Series WI, 8.88%,
7/15/15

 

USD

95

 

$

98,325

 

HCA, Inc., 9.13%, 11/15/14

 

 

335

 

 

352,169

 

LifePoint Hospitals, Inc., 3.50%, 5/15/14 (c)

 

 

40

 

 

36,650

 

Tenet Healthcare Corp. (b):

 

 

 

 

 

 

 

9.00%, 5/01/15

 

 

555

 

 

581,362

 

10.00%, 5/01/18

 

 

225

 

 

247,500

 

8.88%, 7/01/19

 

 

90

 

 

94,950

 

WellPoint, Inc., 5.95%, 12/15/34

 

 

1,000

 

 

1,001,182

 

 

 

 

 

 




 

 

 

 

 

 

2,412,138

 









Health Care Technology — 0.8%

 

 

 

 

 

 

 

IMS Health, Inc., 12.50%, 3/01/18 (b)

 

 

660

 

 

759,000

 









Hotels, Restaurants & Leisure — 2.1%

 

 

 

 

 

 

 

Greektown Holdings, LLC, 10.75%,
12/01/13 (a)(b)(g)

 

 

166

 

 

9,960

 

Harrah’s Operating Co., Inc., 11.25%, 6/01/17

 

 

400

 

 

415,000

 

Icahn Enterprises LP (b):

 

 

 

 

 

 

 

7.75%, 1/15/16

 

 

200

 

 

188,000

 

8.00%, 1/15/18

 

 

860

 

 

808,400

 

MGM Mirage:

 

 

 

 

 

 

 

13.00%, 11/15/13

 

 

95

 

 

108,300

 

10.38%, 5/15/14 (b)

 

 

195

 

 

206,700

 

Pinnacle Entertainment, Inc., 8.63%, 8/01/17 (b)

 

 

245

 

 

232,750

 

Tropicana Entertainment LLC, Series WI, 9.63%,
12/15/14 (a)(g)

 

 

50

 

 

31

 

 

 

 

 

 




 

 

 

 

 

 

1,969,141

 









Household Durables — 1.3%

 

 

 

 

 

 

 

Beazer Homes USA, Inc.:

 

 

 

 

 

 

 

12.00%, 10/15/17 (b)

 

 

280

 

 

312,200

 

4.63%, 6/15/24 (d)

 

 

125

 

 

120,625

 

KB Home:

 

 

 

 

 

 

 

6.38%, 8/15/11

 

 

14

 

 

14,245

 

9.10%, 9/15/17

 

 

90

 

 

93,375

 

Standard Pacific Corp.:

 

 

 

 

 

 

 

6.25%, 4/01/14

 

 

40

 

 

36,000

 

7.00%, 8/15/15

 

 

55

 

 

49,500

 

10.75%, 9/15/16

 

 

565

 

 

589,012

 

 

 

 

 

 




 

 

 

 

 

 

1,214,957

 









Household Products — 0.1%

 

 

 

 

 

 

 

Libbey Glass, Inc., 10.00%, 2/15/15 (b)

 

 

50

 

 

51,750

 









Independent Power Producers & Energy Traders — 1.4%

 

 

 

 

 

 

 

AES Eastern Energy LP, Series 99-B, 9.67%, 1/02/29

 

 

250

 

 

270,938

 

AES Ironwood LLC, 8.86%, 11/30/25

 

 

94

 

 

92,206

 

Calpine Construction Finance Co. LP, 8.00%,
6/01/16 (b)

 

 

515

 

 

521,437

 

Energy Future Holdings Corp.:

 

 

 

 

 

 

 

11.25%, 11/01/17 (e)

 

 

59

 

 

41,230

 

10.00%, 1/15/20 (b)

 

 

245

 

 

249,900

 

NRG Energy, Inc., 7.25%, 2/01/14

 

 

125

 

 

125,938

 

 

 

 

 

 




 

 

 

 

 

 

1,301,649

 









Industrial Conglomerates — 1.4%

 

 

 

 

 

 

 

Sequa Corp. (b):

 

 

 

 

 

 

 

11.75%, 12/01/15

 

 

460

 

 

450,800

 

13.50%, 12/01/15 (e)

 

 

854

 

 

856,395

 

 

 

 

 

 




 

 

 

 

 

 

1,307,195

 









Insurance — 1.0%

 

 

 

 

 

 

 

Lincoln National Corp., 8.75%, 7/01/19

 

 

575

 

 

693,292

 

Metropolitan Life Global Funding I, 5.13%, 6/10/14 (b)

 

 

250

 

 

268,299

 

 

 

 

 

 




 

 

 

 

 

 

961,591

 










 

 

 

See Notes to Financial Statements.

 


70

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

Par
(000)

 

Value

 







Internet & Catalog Retail — 0.2%

 

 

 

 

 

 

 

NetFlix, Inc., 8.50%, 11/15/17

 

USD

135

 

$

141,413

 









Internet Software & Services — 0.2%

 

 

 

 

 

 

 

Equinix, Inc., 8.13%, 3/01/18 (h)

 

 

160

 

 

160,000

 









IT Services — 0.7%

 

 

 

 

 

 

 

First Data Corp.:

 

 

 

 

 

 

 

9.88%, 9/24/15

 

 

5

 

 

4,325

 

11.25%, 3/31/16

 

 

350

 

 

287,000

 

iPayment, Inc., 9.75%, 5/15/14

 

 

175

 

 

152,687

 

iPayment Investors LP, 11.63%, 7/15/14 (b)(e)

 

 

204

 

 

163,510

 

 

 

 

 

 




 

 

 

 

 

 

607,522

 









Leisure Equipment & Products — 1.0%

 

 

 

 

 

 

 

Brunswick Corp., 11.25%, 11/01/16 (b)

 

 

740

 

 

823,250

 

Easton-Bell Sports, Inc., 9.75%, 12/01/16 (b)

 

 

105

 

 

108,938

 

 

 

 

 

 




 

 

 

 

 

 

932,188

 









Machinery — 1.3%

 

 

 

 

 

 

 

AGY Holding Corp., 11.00%, 11/15/14

 

 

220

 

 

176,000

 

Accuride Corp., 7.50%, 2/26/20 (d)(e)

 

 

2

 

 

3,151

 

Navistar International Corp.:

 

 

 

 

 

 

 

3.00%, 10/15/14 (d)

 

 

190

 

 

194,275

 

8.25%, 11/01/21

 

 

400

 

 

406,000

 

Sunstate Equipment Co. LLC, 10.50%, 4/01/13 (b)

 

 

440

 

 

381,700

 

 

 

 

 

 




 

 

 

 

 

 

1,161,126

 









Marine — 0.9%

 

 

 

 

 

 

 

Horizon Lines, Inc., 4.25%, 8/15/12 (d)

 

 

595

 

 

492,362

 

Navios Maritime Holdings, Inc., 8.88%, 11/01/17 (b)

 

 

190

 

 

193,325

 

Trico Shipping AS, 11.88%, 11/01/14 (b)

 

 

125

 

 

121,094

 

 

 

 

 

 




 

 

 

 

 

 

806,781

 









Media — 12.4%

 

 

 

 

 

 

 

Affinion Group, Inc., 10.13%, 10/15/13

 

 

810

 

 

818,100

 

CCH II LLC, 13.50%, 11/30/16

 

 

289

 

 

341,888

 

CCO Holdings LLC, 8.75%, 11/15/13

 

 

60

 

 

60,900

 

CMP Susquehanna Corp., 3.20%, 5/15/14 (b)

 

 

40

 

 

800

 

Clear Channel Worldwide Holdings, Inc., 9.25%,
12/15/17 (b)

 

 

1,583

 

 

1,625,452

 

DISH DBS Corp., 7.00%, 10/01/13

 

 

201

 

 

205,523

 

Gannett Co., Inc., 8.75%, 11/15/14 (b)

 

 

380

 

 

397,575

 

Lions Gate Entertainment, Inc., 10.25%,
11/01/16 (b)

 

 

145

 

 

145,363

 

Network Communications, Inc., 10.75%, 12/01/13

 

 

325

 

 

149,500

 

News America, Inc., 6.20%, 12/15/34

 

 

1,500

 

 

1,511,211

 

Nielsen Finance LLC, 10.00%, 8/01/14

 

 

435

 

 

451,312

 

Rainbow National Services LLC (b):

 

 

 

 

 

 

 

8.75%, 9/01/12

 

 

210

 

 

214,200

 

10.38%, 9/01/14

 

 

1,455

 

 

1,529,569

 

Seat Pagine Gialle SpA, 10.50%, 1/31/17 (b)

 

EUR

317

 

 

399,574

 

TCI Communications, Inc., 7.88%, 2/15/26

 

USD

1,000

 

 

1,151,574

 

TL Acquisitions, Inc., 10.50%, 1/15/15 (b)

 

 

925

 

 

842,906

 

Time Warner Cable, Inc., 6.75%, 6/15/39

 

 

400

 

 

424,989

 

UPC Germany GmbH (b):

 

 

 

 

 

 

 

8.13%, 12/01/17

 

EUR

410

 

 

488,807

 

9.63%, 12/01/19

 

 

375

 

 

515,727

 

UPC Holding BV, 9.88%, 4/15/18 (b)

 

USD

200

 

 

208,000

 

 

 

 

 

 




 

 

 

 

 

 

11,482,970

 









Metals & Mining — 3.2%

 

 

 

 

 

 

 

Aleris International, Inc., 10.00%, 12/15/16 (a)(g)

 

 

315

 

 

6,694

 

Drummond Co., Inc.:

 

 

 

 

 

 

 

9.00%, 10/15/14 (b)

 

 

285

 

 

285,000

 

7.38%, 2/15/16

 

 

95

 

 

88,588

 

FMG Finance Property Ltd., 10.63%, 9/01/16 (b)

 

 

390

 

 

434,850

 


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

 

Value

 









Metals & Mining (concluded)

 

 

 

 

 

 

 

GoldCorp., Inc., 2.00%, 8/01/14 (b)(d)

 

USD

70

 

$

78,400

 

McJunkin Red Man Corp., 9.50%, 12/15/16 (b)

 

 

465

 

 

466,162

 

Murray Energy Corp., 10.25%, 10/15/15 (b)

 

 

320

 

 

320,400

 

New World Resources NV, 7.38%, 5/15/15

 

EUR

65

 

 

78,772

 

Newmont Mining Corp., 5.13%, 10/01/19

 

USD

225

 

 

227,178

 

Novelis, Inc., 11.50%, 2/15/15

 

 

275

 

 

292,187

 

Steel Dynamics, Inc., 7.38%, 11/01/12

 

 

145

 

 

147,538

 

Teck Resources Ltd.:

 

 

 

 

 

 

 

10.25%, 5/15/16

 

 

130

 

 

155,025

 

10.75%, 5/15/19

 

 

290

 

 

356,700

 

 

 

 

 

 




 

 

 

 

 

 

2,937,494

 









Multi-Utilities — 0.4%

 

 

 

 

 

 

 

DTE Energy Co., 7.05%, 6/01/11

 

 

250

 

 

264,900

 

Dominion Resources, Inc., 5.70%, 9/17/12

 

 

100

 

 

109,073

 

 

 

 

 

 




 

 

 

 

 

 

373,973

 









Multiline Retail — 0.9%

 

 

 

 

 

 

 

Dollar General Corp., 11.88%, 7/15/17 (e)

 

 

590

 

 

685,875

 

Saks, Inc., 9.88%, 10/01/11

 

 

115

 

 

119,313

 

 

 

 

 

 




 

 

 

 

 

 

805,188

 









Oil, Gas & Consumable Fuels — 6.2%

 

 

 

 

 

 

 

Arch Coal, Inc., 8.75%, 8/01/16 (b)

 

 

125

 

 

129,375

 

Atlas Energy Operating Co. LLC:

 

 

 

 

 

 

 

12.13%, 8/01/17

 

 

425

 

 

478,125

 

10.75%, 2/01/18

 

 

25

 

 

27,063

 

Berry Petroleum Co., 8.25%, 11/01/16

 

 

100

 

 

100,250

 

Bill Barrett Corp., 9.88%, 7/15/16

 

 

100

 

 

105,875

 

Chesapeake Energy Corp.:

 

 

 

 

 

 

 

6.38%, 6/15/15

 

 

45

 

 

43,538

 

2.25%, 12/15/38 (c)

 

 

275

 

 

204,187

 

ConocoPhillips, 6.00%, 1/15/20

 

 

150

 

 

167,632

 

Crosstex Energy LP, 8.88%, 2/15/18 (b)

 

 

365

 

 

370,475

 

Denbury Resources, Inc., 8.25%, 2/15/20

 

 

315

 

 

326,025

 

Encore Acquisition Co., 6.00%, 7/15/15

 

 

30

 

 

30,225

 

Forest Oil Corp., 7.25%, 6/15/19

 

 

150

 

 

147,000

 

Massey Energy Co., 3.25%, 8/01/15 (d)

 

 

770

 

 

693,000

 

Niska Gas US LLC, 8.88%, 3/15/18 (h)

 

 

755

 

 

755,000

 

OPTI Canada, Inc., 9.00%, 12/15/12 (b)

 

 

505

 

 

513,837

 

Petrobras International Finance Co.:

 

 

 

 

 

 

 

5.88%, 3/01/18

 

 

200

 

 

205,540

 

7.88%, 3/15/19

 

 

100

 

 

115,165

 

6.88%, 1/20/40

 

 

25

 

 

25,465

 

Roseton-Danskammer 2001, Series B, 7.67%,
11/08/16

 

 

700

 

 

675,500

 

Sabine Pass LNG LP, 7.50%, 11/30/16

 

 

305

 

 

267,637

 

Whiting Petroleum Corp.:

 

 

 

 

 

 

 

7.25%, 5/01/12

 

 

15

 

 

15,075

 

7.25%, 5/01/13

 

 

300

 

 

303,000

 

 

 

 

 

 




 

 

 

 

 

 

5,698,989

 









Paper & Forest Products — 4.3%

 

 

 

 

 

 

 

Boise Paper Holdings LLC, 9.00%, 11/01/17 (b)

 

 

145

 

 

149,350

 

Clearwater Paper Corp., 10.63%, 6/15/16 (b)

 

 

160

 

 

177,600

 

Georgia-Pacific LLC, 8.25%, 5/01/16 (b)

 

 

355

 

 

374,525

 

Glatfelter, 7.13%, 5/01/16 (b)

 

 

80

 

 

76,800

 

International Paper Co., 7.30%, 11/15/39

 

 

225

 

 

239,855

 

NewPage Corp.:

 

 

 

 

 

 

 

10.00%, 5/01/12

 

 

220

 

 

126,500

 

11.38%, 12/31/14

 

 

2,280

 

 

2,177,400

 

Verso Paper Holdings LLC:

 

 

 

 

 

 

 

11.50%, 7/01/14 (b)

 

 

140

 

 

147,000

 

4.00%, 8/01/14 (f)

 

 

626

 

 

505,495

 

 

 

 

 

 




 

 

 

 

 

 

3,974,525

 










 

 

 

See Notes to Financial Statements.

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

71



 

 



 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Corporate Bonds

 

 

Par
(000)

 

Value

 









Pharmaceuticals — 1.7%

 

 

 

 

 

 

 

Elan Corp. Plc, 8.75%, 10/15/16 (b)

 

USD

285

 

$

276,450

 

Novasep Holding SAS, 9.63%, 12/15/16 (b)

 

EUR

385

 

 

484,920

 

Valeant Pharmaceuticals International, 8.38%,
6/15/16 (b)

 

USD

225

 

 

232,875

 

Wyeth, 6.50%, 2/01/34

 

 

500

 

 

561,721

 

 

 

 

 

 




 

 

 

 

 

 

1,555,966

 









Real Estate Investment Trusts (REITs) — 0.4%

 

 

 

 

 

 

 

iStar Financial, Inc., 5.65%, 9/15/11

 

 

500

 

 

390,000

 









Road & Rail — 0.6%

 

 

 

 

 

 

 

Canadian National Railway Co., 6.90%, 7/15/28

 

 

500

 

 

573,935

 









Semiconductors & Semiconductor Equipment — 0.3%

 

 

 

 

 

 

 

Advanced Micro Devices, Inc., 8.13%, 12/15/17 (b)

 

 

295

 

 

298,688

 









Software — 0.1%

 

 

 

 

 

 

 

BMS Holdings, Inc., 7.89%, 2/15/12 (b)(e)

 

 

76

 

 

1,520

 

JDA Software Group, Inc., 8.00%, 12/15/14 (b)

 

 

64

 

 

65,920

 

 

 

 

 

 




 

 

 

 

 

 

67,440

 









Specialty Retail — 1.8%

 

 

 

 

 

 

 

General Nutrition Centers, Inc., 10.75%, 3/15/15

 

 

175

 

 

176,969

 

Group 1 Automotive, Inc., 2.25%, 6/15/36 (c)(i)

 

 

50

 

 

39,125

 

Limited Brands, Inc., 8.50%, 6/15/19

 

 

320

 

 

342,800

 

Sonic Automotive, Inc., Series B, 8.63%, 8/15/13

 

 

1,100

 

 

1,102,750

 

 

 

 

 

 




 

 

 

 

 

 

1,661,644

 









Textiles, Apparel & Luxury Goods — 0.4%

 

 

 

 

 

 

 

Levi Strauss & Co., 8.63%, 4/01/13

 

EUR

200

 

 

273,693

 

Quiksilver, Inc., 6.88%, 4/15/15

 

USD

100

 

 

85,250

 

 

 

 

 

 




 

 

 

 

 

 

358,943

 









Tobacco — 0.1%

 

 

 

 

 

 

 

Altria Group, Inc., 9.25%, 8/06/19

 

 

105

 

 

130,059

 









Wireless Telecommunication Services — 3.4%

 

 

 

 

 

 

 

Cricket Communications, Inc.:

 

 

 

 

 

 

 

9.38%, 11/01/14

 

 

135

 

 

134,325

 

10.00%, 7/15/15

 

 

310

 

 

313,875

 

7.75%, 5/15/16

 

 

530

 

 

538,613

 

Digicel Group Ltd. (b):

 

 

 

 

 

 

 

8.88%, 1/15/15

 

 

570

 

 

544,350

 

9.13%, 1/15/15 (e)

 

 

439

 

 

428,025

 

iPCS, Inc., 2.37%, 5/01/13 (f)

 

 

20

 

 

18,400

 

MetroPCS Wireless, Inc., 9.25%, 11/01/14

 

 

835

 

 

832,912

 

Nextel Communications, Inc.:

 

 

 

 

 

 

 

6.88%, 10/31/13

 

 

210

 

 

201,600

 

5.95%, 3/15/14

 

 

30

 

 

27,225

 

Sprint Capital Corp., 6.88%, 11/15/28

 

 

200

 

 

151,500

 

 

 

 

 

 




 

 

 

 

 

 

3,190,825

 









Total Corporate Bonds — 88.6%

 

 

 

 

 

82,038,492

 









 

 

 

 

 

 

 

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

 

 

 

 

 

 









Aerospace & Defense — 0.1%

 

 

 

 

 

 

 

Hawker Beechcraft Acquisition Co., New Term Loan,
10.50%, 3/26/14

 

 

100

 

 

91,084

 









Auto Components — 1.2%

 

 

 

 

 

 

 

Allison Transmission, Inc., Term Loan, 2.98% – 3.00%,
8/07/14

 

 

1,079

 

 

988,041

 

Dana Holding Corp., Term Advance, 4.48% – 6.50%,
1/30/15

 

 

142

 

 

137,745

 

 

 

 

 

 




 

 

 

 

 

 

1,125,786

 









 

 

 

 

 

 

 

 

Floating Rate Loan Interests (f)

 

 

Par
(000)

 

 

Value

 









Automobiles — 2.7%

 

 

 

 

 

 

 

Ford Motor Co., Tranche B-1 Term Loan,
3.24% – 3.26%, 12/15/13

 

USD

2,671

 

$

2,495,068

 









Chemicals — 0.2%

 

 

 

 

 

 

 

Solutia Inc., Loan, 7.25%, 2/28/14

 

 

148

 

 

149,397

 









Construction & Engineering — 0.8%

 

 

 

 

 

 

 

Safway Services, LLC, Last Out Term Loan,
13.00%, 12/14/17

 

 

750

 

 

750,000

 









Consumer Finance — 0.8%

 

 

 

 

 

 

 

Chrysler Financial Corp., Return of Capital, 8/03/12

 

 

375

 

 

361,406

 

DaimlerChrysler Financial Services Americas LLC,
Term Loan (First Lien), 4.24% – 6.25%, 8/03/12

 

 

405

 

 

399,685

 

 

 

 

 

 




 

 

 

 

 

 

761,091

 









Food & Staples Retailing — 0.6%

 

 

 

 

 

 

 

Rite Aid Corp., Tranche 4 Term Loan, 9.50%,
6/10/15

 

 

500

 

 

518,000

 









Independent Power Producers & Energy Traders — 1.9%

 

 

 

 

 

 

 

Dynegy Holdings Inc.:

 

 

 

 

 

 

 

Letter of Credit Facility Term Loan, 3.98%,
4/02/13

 

 

166

 

 

161,585

 

Tranche B Term Loan, 3.98%, 4/02/13

 

 

9

 

 

9,080

 

NRG Energy, Inc.:

 

 

 

 

 

 

 

Credit-Linked Deposit, 0.15% – 1.85%, 2/01/13

 

 

82

 

 

79,383

 

Term Loan, 1.97% – 2.00%, 2/01/13

 

 

140

 

 

135,109

 

Texas Competitive Electric Holdings Co., LLC (TXU):

 

 

 

 

 

 

 

Initial Tranche B-1 Term Loan, 3.73% – 3.75%,
10/10/14

 

 

992

 

 

797,754

 

Initial Tranche B-2 Term Loan, 3.73% – 3.75%,
10/10/14

 

 

739

 

 

593,979

 

 

 

 

 

 




 

 

 

 

 

 

1,776,890

 









Machinery — 0.2%

 

 

 

 

 

 

 

Accuride Corp., Term Advance, 10.00%, 1/31/12

 

 

225

 

 

224,531

 









Media — 1.3%

 

 

 

 

 

 

 

Cengage Learning Acquisitions, Inc. (Thomson
Learning), Tranche 1 Incremental Term Loan,
7.50%, 7/03/14

 

 

493

 

 

487,575

 

Newsday, LLC, Fixed Rate Term Loan, 10.50%,
8/01/13

 

 

500

 

 

534,375

 

Worldcolor Press Inc. and Worldcolor (USA)
Corp. (fka Quebecor World, Inc.), Advance,
9.00%, 7/23/12

 

 

199

 

 

201,271

 

 

 

 

 

 




 

 

 

 

 

 

1,223,221

 









Multiline Retail — 0.1%

 

 

 

 

 

 

 

The Neiman Marcus Group Inc., Term Loan, 2.26%, 4/06/13

 

 

49

 

 

44,143

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Claire’s Stores Inc., Term B Loan, 3.00%, 5/29/14

 

 

114

 

 

94,554

 









Total Floating Rate Loan Interests — 10.0%

 

 

 

 

 

9,253,765

 









 

 

 

 

 

 

 

 









 

Foreign Agency Obligations

 

 

 

 

 

 

 









Qatar Government International Bond, 4.00%,
1/20/15 (b)

 

 

200

 

 

202,000

 

Republic of Indonesia, 5.88%, 3/13/20 (b)

 

 

200

 

 

206,750

 









Total Foreign Agency Obligations — 0.4%

 

 

 

 

 

408,750

 










 

 

 

See Notes to Financial Statements.


72

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Other Interests (j)

 

Beneficial
Interest
(000)

 

Value

 







Auto Components — 1.5%

 

 

 

 

 

 

 

Delphi DIP Holding Co. LLP, Class B,
Membership Interests

 

USD

(k)

$

1,404,053

 









Health Care Providers & Services — 0.0%

 

 

 

 

 

 

 

Critical Care Systems International, Inc.

 

 

(k)

 

191

 









Media — 0.0%

 

 

 

 

 

 

 

Adelphia Recovery Trust Escrow (a)

 

 

400

 

 

5,040

 









Total Other Interests — 1.5%

 

 

 

 

 

1,409,284

 

 

 

 

 

 

 

 

 









Preferred Securities

 

 

 

 

 

 

 









Capital Trusts

 

 

Par
(000)

 

 

 

 









Commercial Banks — 0.9%

 

 

 

 

 

 

 

Barclays Bank Plc, 8.55%, (b)(f)(l)

 

 

650

 

 

633,750

 

USB Capital XIII Trust, 6.63%, 12/15/39

 

 

225

 

 

223,668

 

 

 

 

 

 




 

 

 

 

 

 

857,418

 









Consumer Finance — 0.3%

 

 

 

 

 

 

 

Capital One Capital V, 10.25%, 8/15/39

 

 

215

 

 

243,862

 









Total Capital Trusts — 1.2%

 

 

 

 

 

1,101,280

 









Preferred Stocks

 

 

Shares

 

 

 

 









Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

GMAC, Inc. (b)

 

 

250

 

 

176,945

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp. (a)(b)

 

 

9,328

 

 

 









Specialty Retail — 0.1%

 

 

 

 

 

 

 

Lazydays RV Center, Inc. (a)

 

 

55

 

 

54,912

 









Total Preferred Stocks — 0.3%

 

 

 

 

 

231,857

 









Total Preferred Securities — 1.5%

 

 

 

 

 

1,333,137

 









 

 

 

 

 

 

 

 









 

Warrants (m)

 

 

 

 

 

 

 









Construction & Engineering — 0.0%

 

 

 

 

 

 

 

Safway US LLC (expires 12/14/17)

 

 

138

 

 

 









Media — 0.0%

 

 

 

 

 

 

 

CMP Susquehanna Radio Holdings Corp.
(expires 3/26/19)

 

 

10,660

 

 

 









Total Warrants — 0.0%

 

 

 

 

 

 









Total Long-Term Investments
(Cost — $93,277,373) — 102.7%

 

 

 

 

 

95,102,102

 









 

 

 

 

 

 

 

 









 

Short-Term Securities

 

 

 

 

 

 

 









BlackRock Liquidity Funds, TempFund, Institutional
Class, 0.10% (n)(o)

 

 

110,326

 

 

110,326

 









Total Short-Term Securities
(Cost — $110,326) — 0.1%

 

 

 

 

 

110,326

 










 

 

 

 

 

 

 

 

 

 

Options Purchased

 

 

Contracts

 

Value

 

 









 

Over-the-Counter Call Options — 0.0%

 

 

 

 

 

 

 

 

Marsico Parent Superholdco LLC, Strike Price $942.86,
Expires 12/01/19, Broker Goldman Sachs Bank USA

 

 

6

 

$

1,140

 

 









 

Total Options Purchased
(Cost — $5,867) — 0.0%

 

 

 

 

 

1,140

 

 









 

Total Investments
(Cost — $93,393,566*) — 102.8%

 

 

 

 

 

95,213,568

 

 

Liabilities in Excess of Other Assets — (2.8)%

 

 

 

 

 

(2,554,969

)

 

 

 

 

 

 




 

Net Assets — 100.0%

 

 

 

 

$

92,658,599

 

 

 

 

 

 

 





 

 

 


*

The cost and unrealized appreciation (depreciation) of investments as of February 28, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

 

 

Aggregate cost

 

$

93,529,553

 

 

 

 




 

Gross unrealized appreciation

 

$

4,629,588

 

 

Gross unrealized depreciation

 

 

(2,945,573

)

 

 

 




 

Net unrealized appreciation

 

$

1,684,015

 

 

 

 





 

 

(a)

Non-income producing security.

 

 

(b)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

(c)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(d)

Convertible security.

 

 

(e)

Represents a payment-in-kind security which may pay interest/dividends in additional face/shares.

 

 

(f)

Variable rate security. Rate shown is as of report date.

 

 

(g)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

 

(h)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 







 

Citigroup Global

 

$

160,000

 

 

 

 

Morgan Stanley Capital Services, Inc.

 

$

755,000

 

 

 

 










 

 

(i)

Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date.

 

 

(j)

Other interests represent beneficial interest in liquidation trusts and other reorganization entities and are non-income producing.

 

 

(k)

Amount is less than $1,000.

 

 

(l)

Security is perpetual in nature and has no stated maturity date.

 

 

(m)

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.

 

 

(n)

Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:


 

 

 

 

 

 

 

 

 

 

Affiliate

 

Net
Activity

 

Income

 

 







 

BlackRock Liquidity Funds, TempFund,
Institutional Class

 

$

(4,045,560)

 

$

1,701

 

 










 

 

(o)

Represents the current yield as of report date.


 

 

 

See Notes to Financial Statements.

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

73



 

 



 

 

Schedule of Investments (continued)

BlackRock Strategic Bond Trust (BHD)


 

 

Financial futures contracts purchased as of February 28,2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 











Contracts

 

Issue

 

Expiration
Date

 

Notional
Value

 

Unrealized
Appreciation

 











62

 

 

10-Year U.S. Treasury Bond

 

June 2010

 

$

7,189,519

 

$

94,512

 

2

 

 

30-Year U.S. Treasury Bond

 

June 2010

 

$

231,645

 

 

3,730

 













Total

 

 

 

 

 

 

 

 

$

98,242

 

 

 

 

 

 

 

 

 

 





 

 

Foreign currency exchange contracts as of February 28,2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 











Currency
Purchased

 

Currency
Sold

 

Counter-party

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 











EUR

474,000

 

USD

646,677

 

Citibank NA

 

3/03/10

 

$

(1,258

)

USD

3,123,966

 

EUR

2,191,500

 

Citibank NA

 

3/24/10

 

 

140,039

 














Total

 

 

 

 

 

 

 

 

 

$

138,781

 

 

 

 

 

 

 

 

 

 

 





 

 

Credit default swaps on single-name issues — buy protection outstanding as of February 28, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 













Issuer

 

Pay
Fixed
Rate

 

Counterparty

 

Expiration

 

Notional
Amount
(000)

 

Unrealized
Appreciation
(Depreciation)

 













iStar Financial, Inc.

 

5.00%

 

Morgan Stanley Capital Services, Inc.

 

September 2011

 

USD

500

 

$

(5,203

)

Limited Brands, Inc.

 

1.00%

 

JPMorgan Chase Bank NA

 

September 2014

 

USD

440

 

 

(15,114

)

Brunswick Corp.

 

5.00%

 

Morgan Stanley Capital Services, Inc.

 

December 2016

 

USD

500

 

 

4,470

 















Total

 

 

 

 

 

 

 

 

 

 

$

(15,847

)

 

 

 

 

 

 

 

 

 

 

 





 

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. This definition may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments, which are as follows:

 

 

 

Level 1 — price quotations inactive markets/exchanges for identical assets and liabilities

 

 

 

 

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the face value of investments)

 

 

 

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 2010 in determining the investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 

 

 



Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks

 

$

585,123

 

$

46,800

 

$

26,751

 

$

658,674

 

Corporate Bonds

 

 

 

 

82,020,698

 

 

17,794

 

 

82,038,492

 

Floating Rate Loan Interests

 

 

 

 

5,289,927

 

 

3,963,838

 

 

9,253,765

 

Foreign Agency Obligations

 

 

 

 

408,750

 

 

 

 

408,750

 

Other Interests

 

 

 

 

5,040

 

 

1,404,244

 

 

1,409,284

 

Preferred Securities

 

 

 

 

1,278,225

 

 

54,912

 

 

1,333,137

 

Short-Term Securities

 

 

110,326

 

 

 

 

 

 

110,326

 

 

 













Total

 

$

695,449

 

$

89,049,440

 

$

5,467,539

 

$

95,212,428

 

 

 













 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Other Financial Instruments1

 

 

 



Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 











Assets

 

$

98,242

 

$

145,649

 

 

 

$

243,891

 

Liabilities

 

 

 

 

(21,575

)

$

(21,577

)

 

(43,152

)

 

 













Total

 

$

98,242

 

$

124,074

 

$

(21,577

)

$

200,739

 

 

 













 

 

 

 

1

Other financial instruments are swaps, financial futures contracts, unfunded loan commitments and options. Swap, unfunded loan commitments and financial futures contracts are shown at the unrealized appreciation/depreciation on the instrument, options are shown at value.


 

 

 

See Notes to Financial Statements.

 




74

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

 

Schedule of Investments (concluded)

BlackRock Strategic Bond Trust (BHD)

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





 

 

Investments in Securities

 

 

 



Valuation Inputs

 

Common
Stocks

 

Corporate
Bonds

 

Floating Rate
Loan Interests

 

Other
Interest

 

Preferred
Securities

 

Total

 















Balance, as of August 31, 2009

 

 

 

$

804,535

 

$

3,501,727

 

$

191

 

 

 

$

4,306,453

 

Accrued discounts/ premiums

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss)

 

 

 

 

(1,674

)

 

94,684

 

 

 

 

 

 

93,010

 

Change in unrealized appreciation/depreciation2

 

 

 

 

1,325,181

 

 

(237,776

)

 

 

 

 

 

1,087,405

 

Net purchases (sales)

 

 

 

 

(1,594,781

)

 

1,363,994

 

 

 

 

 

 

(230,787

)

Net transfers in/out of Level 3

 

$

26,751

 

 

(515,467

)

 

(758,791

)

 

1,404,053

 

$

54,912

 

 

211,458

 

 

 



















Balance, as of February 28, 2010

 

$

26,751

 

$

17,794

 

$

3,963,838

 

$

1,404,244

 

$

54,912

 

$

5,467,539

 

 

 



















 

 

 

 

2

Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on securities still held at February 28, 2010 was $38,484.

The following table is a reconciliation of Level 3 other financial instruments for which significant unobservable inputs were used to determine fair value:

 

 

 

 

 





 

 

Other Financial
Instruments3

 





 

 

Liabilities

 

 

 



Balance, as of August 31, 2009

 

$

(123,220

)

Accrued discounts/premiums

 

 

 

Realized gain (loss)

 

 

(2,512

)

Change in unrealized appreciation/depreciation

 

 

(37,362

)

Net purchases (sales)

 

 

163,094

 

Net transfers in/out of Level 3

 

 

(21,577

)

 

 




Balance, as of February 28, 2010

 

$

(21,577

)

 

 




 

 

 

 

3

Other financial instruments are interest rate floors and unfunded loan commitments.


 

 

 

See Notes to Financial Statements.

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

75



 


 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 28, 2010 (Unaudited)

 

BlackRock
Core Bond
Trust
(BHK)

 

BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)

 

BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)

 

BlackRock
High Income
Shares
(HIS)

 

BlackRock
High Yield
Trust
(BHY)

 












 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















 

Investments at value — unaffiliated1

 

$

565,778,590

 

$

462,334,454

 

$

479,529,334

 

$

137,324,644

 

$

47,808,348

 

Investments at value — affiliated2

 

 

116,959

 

 

4,339,566

 

 

3,355,746

 

 

1,479,980

 

 

1,781,022

 

Unrealized appreciation on foreign currency exchange contracts

 

 

782,895

 

 

2,199,139

 

 

2,300,529

 

 

276,678

 

 

 

Unrealized appreciation on swaps

 

 

2,111,122

 

 

7,679

 

 

9,795

 

 

 

 

 

Unrealized appreciation on unfunded loan commitments

 

 

16,468

 

 

116

 

 

116

 

 

 

 

 

Foreign currency at value3

 

 

372,136

 

 

1,282,700

 

 

1,477,451

 

 

271,628

 

 

 

Cash

 

 

818,478

 

 

 

 

 

 

357,346

 

 

220,131

 

Cash pledged as collateral in connection with swaps

 

 

 

 

 

 

 

 

 

 

 

Cash pledged as collateral in connection with financial futures contracts

 

 

1,239,000

 

 

 

 

 

 

 

 

 

TBA sale commitments receivable

 

 

51,591,977

 

 

 

 

 

 

 

 

 

Investments sold receivable

 

 

132,356,898

 

 

14,343,100

 

 

15,693,306

 

 

4,625,692

 

 

1,776,011

 

Interest receivable

 

 

6,136,172

 

 

8,484,762

 

 

8,960,042

 

 

2,760,698

 

 

931,611

 

Swap premiums paid

 

 

835,166

 

 

322,538

 

 

244,823

 

 

 

 

18,328

 

Swaps receivable

 

 

214,262

 

 

210,535

 

 

215,882

 

 

 

 

 

Margin variation receivable

 

 

182,050

 

 

 

 

 

 

 

 

 

Dividends receivable

 

 

 

 

29,028

 

 

16,000

 

 

 

 

1,600

 

Commitment fees receivable

 

 

16,575

 

 

71

 

 

67

 

 

6

 

 

 

Principal paydown receivable

 

 

2,515

 

 

409,721

 

 

327,312

 

 

149,546

 

 

57,570

 

Income receivable — affiliated

 

 

173

 

 

226

 

 

267

 

 

49

 

 

41

 

Prepaid expenses

 

 

36,064

 

 

110,991

 

 

118,055

 

 

44,382

 

 

16,805

 

Other assets

 

 

41,691

 

 

57,040

 

 

60,214

 

 

8,468

 

 

9,231

 

 

 















 

Total assets

 

 

762,649,191

 

 

494,131,666

 

 

512,308,939

 

 

147,299,117

 

 

52,620,698

 

 

 















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Borrowed bonds4

 

 

19,178,736

 

 

 

 

 

 

 

 

 

TBA sale commitments at value5

 

 

51,657,494

 

 

 

 

 

 

 

 

 

Options written at value6

 

 

6,712,184

 

 

 

 

 

 

 

 

 

Loan payable

 

 

11,805,458

 

 

109,000,000

 

 

104,000,000

 

 

26,000,000

 

 

9,000,000

 

Bank overdraft

 

 

 

 

 

 

 

 

 

 

 

Unrealized depreciation on swaps

 

 

3,064,948

 

 

629,247

 

 

510,410

 

 

 

 

9,702

 

Unrealized depreciation on foreign currency exchange contracts

 

 

7,052

 

 

25,648

 

 

28,448

 

 

 

 

 

Unrealized depreciation on unfunded loan commitments

 

 

 

 

170,722

 

 

87,781

 

 

4,922

 

 

9,722

 

Interest rate floors at value

 

 

 

 

 

 

 

 

 

 

 

Reverse repurchase agreements

 

 

148,650,609

 

 

 

 

 

 

 

 

 

Cash held as collateral in connection with swaps

 

 

 

 

 

 

 

 

 

 

 

Investments purchased payable

 

 

169,009,615

 

 

13,411,989

 

 

16,769,331

 

 

4,372,327

 

 

1,145,885

 

Swaps premiums received

 

 

 

 

 

 

 

 

 

 

 

Swaps payable

 

 

475,093

 

 

59,199

 

 

56,744

 

 

 

 

1,769

 

Margin variation payable

 

 

 

 

 

 

 

 

 

 

 

Investment advisory fees payable

 

 

219,285

 

 

215,689

 

 

258,019

 

 

79,719

 

 

40,664

 

Interest expense payable

 

 

92,719

 

 

173,593

 

 

164,076

 

 

41,331

 

 

19,349

 

Income dividends payable

 

 

44,523

 

 

84,550

 

 

92,586

 

 

31,793

 

 

5,620

 

Officer’s and Trustees’ fees payable

 

 

43,093

 

 

50,508

 

 

53,056

 

 

9,751

 

 

9,585

 

Deferred income

 

 

16,468

 

 

 

 

 

 

 

 

 

Administration fees payable

 

 

 

 

 

 

 

 

 

 

3,884

 

Other affiliates payable

 

 

1,346

 

 

1,316

 

 

1,162

 

 

400

 

 

 

Other accrued expenses payable

 

 

86,728

 

 

160,706

 

 

168,465

 

 

125,453

 

 

80,255

 

Other liabilities

 

 

363,231

 

 

 

 

 

 

 

 

 

 

 















 

Total liabilities

 

 

411,428,582

 

 

123,983,167

 

 

122,190,078

 

 

30,665,696

 

 

10,326,435

 

 

 















 

Net Assets

 

$

351,220,609

 

$

370,148,499

 

$

390,118,861

 

$

116,633,421

 

$

42,294,263

 

 

 















 

1  Investments at cost — unaffiliated

 

$

558,317,321

 

$

469,959,557

 

$

488,544,841

 

$

140,434,885

 

$

49,911,662

 

 

 















 

2  Investments at cost — affiliated

 

$

116,959

 

$

4,339,566

 

$

3,355,746

 

$

1,479,980

 

$

1,781,022

 

 

 















 

3  Foreign currency at cost

 

$

374,318

 

$

1,278,020

 

$

1,473,579

 

$

276,832

 

 

 

 

 















 

4  Proceeds from borrowed bonds

 

$

18,909,571

 

 

 

 

 

 

 

 

 

 

 















 

5  Proceeds from TBA sale commitments

 

$

51,591,977

 

 

 

 

 

 

 

 

 

 

 















 

6  Premiums received

 

$

8,941,330

 

 

 

 

 

 

 

 

 

 

 















 


See Notes to Financial Statements.

 

 

 




76

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 28, 2010 (Unaudited)

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 








 

Assets

 

 

 

 

 

 

 

 

 

 











 

Investments at value — unaffiliated1

 

$

596,211,999

 

$

913,499,013

 

$

95,103,242

 

Investments at value — affiliated2

 

 

 

 

209,674,729

 

 

110,326

 

Unrealized appreciation on foreign currency exchange contracts

 

 

571,797

 

 

 

 

140,039

 

Unrealized appreciation on swaps

 

 

6,445,305

 

 

31,192,148

 

 

4,470

 

Unrealized appreciation on unfunded loan commitments

 

 

 

 

 

 

 

Foreign currency at value3

 

 

375,886

 

 

 

 

70,840

 

Cash

 

 

 

 

5,734

 

 

459,444

 

Cash pledged as collateral in connection with swaps

 

 

236,000

 

 

1,100,000

 

 

 

Cash pledged as collateral in connection with financial futures contracts

 

 

 

 

 

 

130,000

 

TBA sale commitments receivable

 

 

108,949,059

 

 

116,021,457

 

 

 

Investments sold receivable

 

 

102,456,858

 

 

253,202,857

 

 

2,480,138

 

Interest receivable

 

 

5,410,190

 

 

2,696,933

 

 

1,661,261

 

Swap premiums paid

 

 

580,520

 

 

 

 

149,040

 

Swaps receivable

 

 

762,302

 

 

2,312,557

 

 

 

Margin variation receivable

 

 

190,556

 

 

 

 

22,813

 

Dividends receivable

 

 

 

 

 

 

 

Commitment fees receivable

 

 

 

 

 

 

 

Principal paydown receivable

 

 

2,282

 

 

93,661

 

 

85,364

 

Income receivable — affiliated

 

 

267

 

 

332

 

 

30

 

Prepaid expenses

 

 

36,824

 

 

36,646

 

 

7,652

 

Other assets

 

 

64,482

 

 

1,761,917

 

 

7,506

 

 

 









 

Total assets

 

 

822,294,327

 

 

1,531,597,984

 

 

100,432,165

 

 

 









 

 

 

 

 

 

 

 

 

 

 

 











 

Liabilities

 

 

 

 

 

 

 

 

 

 











 

Borrowed bonds4

 

 

28,022,765

 

 

5,393,438

 

 

 

TBA sale commitments at value5

 

 

109,000,650

 

 

115,829,765

 

 

 

Options written at value6

 

 

5,952,351

 

 

1,547,807

 

 

 

Loan payable

 

 

11,805,458

 

 

11,775,941

 

 

 

Bank overdraft

 

 

615,885

 

 

 

 

 

Unrealized depreciation on swaps

 

 

3,221,880

 

 

22,898,186

 

 

20,317

 

Unrealized depreciation on foreign currency exchange contracts

 

 

7,061

 

 

 

 

1,258

 

Unrealized depreciation on unfunded loan commitments

 

 

 

 

 

 

21,577

 

Interest rate floors at value

 

 

 

 

5,332,450

 

 

 

Reverse repurchase agreements

 

 

123,522,005

 

 

 

 

5,407,969

 

Cash held as collateral in connection with swaps

 

 

 

 

 

 

 

Investments purchased payable

 

 

188,698,007

 

 

892,688,349

 

 

2,180,182

 

Swaps premiums received

 

 

 

 

1,242,611

 

 

 

Swaps payable

 

 

579,902

 

 

4,368,199

 

 

10,578

 

Margin variation payable

 

 

 

 

261,965

 

 

 

Investment advisory fees payable

 

 

158,481

 

 

222,633

 

 

50,735

 

Interest expense payable

 

 

65,829

 

 

56,211

 

 

873

 

Income dividends payable

 

 

50,793

 

 

50,918

 

 

11,472

 

Officer’s and Trustees’ fees payable

 

 

66,180

 

 

82,074

 

 

8,905

 

Deferred income

 

 

 

 

 

 

 

Administration fees payable

 

 

26,443

 

 

53,918

 

 

 

Other affiliates payable

 

 

 

 

 

 

705

 

Other accrued expenses payable

 

 

101,937

 

 

140,965

 

 

58,995

 

Other liabilities

 

 

538,740

 

 

237,840

 

 

 

 

 









 

Total liabilities

 

 

472,434,367

 

 

1,062,183,270

 

 

7,773,566

 

 

 









 

Net Assets

 

$

349,859,960

 

$

469,414,714

 

$

92,658,599

 

 

 









 

1  Investments at cost — unaffiliated

 

$

591,021,417

 

$

915,619,521

 

$

93,283,240

 

 

 









 

2  Investments at cost — affiliated

 

 

 

$

209,674,729

 

$

110,326

 

 

 









 

3  Foreign currency at cost

 

$

379,762

 

 

 

$

70,818

 

 

 









 

4  Proceeds from borrowed bonds

 

$

27,619,845

 

$

5,309,863

 

 

 

 

 









 

5  Proceeds from TBA sale commitments

 

$

108,949,059

 

$

116,021,457

 

 

 

 

 









 

6  Premiums received

 

$

7,234,066

 

$

1,358,915

 

 

 

 

 









 


 

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

77




 


 

Statements of Assets and Liabilities (concluded)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 28, 2010 (Unaudited)

 

BlackRock
Core Bond
Trust
(BHK)

 

BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)

 

BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)

 

BlackRock
High Income
Shares
(HIS)

 

BlackRock
High Yield
Trust
(BHY)

 













Net Assets Consist of

 

 

 

 

 

 

 

 

 

 

 













Paid-in capital7,8,9

 

$

378,671,939

 

$

469,820,161

 

$

505,022,200

 

$

287,354,813

 

$

71,941,565

 

Cost of shares held in treasury10

 

 

 

 

 

 

 

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

4,869,821

 

 

(16,226

)

 

884,015

 

 

1,387,017

 

 

(171,765

)

Accumulated net realized loss

 

 

(40,966,157

)

 

(93,399,950

)

 

(108,437,625

)

 

(169,261,839

)

 

(27,353,552

)

Net unrealized appreciation/depreciation

 

 

8,645,006

 

 

(6,255,486

)

 

(7,349,729

)

 

(2,846,570

)

 

(2,121,985

)

 

 
















Net Assets

 

$

351,220,609

 

$

370,148,499

 

$

390,118,861

 

$

116,633,421

 

$

42,294,263

 

 

 
















Net asset value

 

$

13.00

 

$

11.24

 

$

11.06

 

$

2.14

 

$

6.58

 

 

 
















     7 Par value per share

 

$

0.001

 

$

0.100

 

$

0.100

 

 

 

$

0.001

 

 

 
















     8 Shares outstanding

 

 

27,023,027

 

 

32,944,087

 

 

35,286,436

 

 

54,620,873

 

 

6,427,525

 

 

 
















     9 Shares authorized

 

 

unlimited

 

 

200 million

 

 

200 million

 

 

unlimited

 

 

unlimited

 

 

 
















    10 Shares held in treasury

 

 

 

 

 

 

 

 

 

 

 

 

 
















 

 

 

 

 

 

See Notes to Financial Statements.

 


78

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 



 

 

 

 

 

 

 

 

 

 

 

February 28, 2010 (Unaudited)

 

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

 

$

402,924,496

 

$

479,325,999

 

$

98,450,652

 

Cost of shares held in treasury10

 

 

(17,377,850

)

 

 

 

 

Undistributed (distributions in excess of) net investment income

 

 

3,075,310

 

 

1,688,352

 

 

792,959

 

Accumulated net realized loss

 

 

(47,959,432

)

 

(12,808,122

)

 

(8,603,399

)

Net unrealized appreciation/depreciation

 

 

9,197,436

 

 

1,208,485

 

 

2,018,387

 

 

 










Net Assets

 

$

349,859,960

 

$

469,414,714

 

$

92,658,599

 

 

 










Net asset value

 

$

10.15

 

$

7.34

 

$

13.13

 

 

 










     7 Par value per share

 

$

0.010

 

$

0.010

 

$

0.001

 

 

 










     8 Shares outstanding

 

 

34,456,370

 

 

63,942,536

 

 

7,058,402

 

 

 










     9 Shares authorized

 

 

200 million

 

 

200 million

 

 

unlimited

 

 

 










    10 Shares held in treasury

 

 

1,757,400

 

 

 

 

 

 

 











 

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

79



 


 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended February 28, 2010 (Unaudited)

 

BlackRock
Core Bond
Trust
(BHK)

 

BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)

 

BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)

 

BlackRock
High Income
Shares
(HIS)

 

BlackRock
High Yield
Trust
(BHY)

 


















Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Interest

 

$

14,085,023

 

$

18,544,704

 

$

20,005,144

 

$

6,057,329

 

$

2,025,568

 

Dividends

 

 

 

 

79,195

 

 

16,000

 

 

14,692

 

 

1,600

 

Income — affiliated

 

 

3,021

 

 

2,344

 

 

4,288

 

 

1,703

 

 

1,577

 

Facility and other fees

 

 

123,285

 

 

421,601

 

 

498,780

 

 

182,620

 

 

45,060

 

 

 
















Total income

 

 

14,211,329

 

 

19,047,844

 

 

20,524,212

 

 

6,256,344

 

 

2,073,805

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Investment advisory

 

 

1,356,132

 

 

1,245,258

 

 

1,515,653

 

 

482,239

 

 

240,860

 

Professional

 

 

54,618

 

 

62,107

 

 

62,207

 

 

44,286

 

 

33,819

 

Printing

 

 

51,575

 

 

24,324

 

 

26,704

 

 

27,211

 

 

9,996

 

Accounting services

 

 

43,673

 

 

52,480

 

 

56,147

 

 

13,374

 

 

8,459

 

Custodian

 

 

25,443

 

 

19,697

 

 

20,756

 

 

10,304

 

 

6,060

 

Officer and Trustees

 

 

21,895

 

 

22,594

 

 

24,734

 

 

6,800

 

 

3,176

 

Transfer agent

 

 

5,710

 

 

21,198

 

 

22,663

 

 

14,510

 

 

6,253

 

Registration

 

 

4,297

 

 

5,375

 

 

5,928

 

 

9,000

 

 

4,596

 

Borrowing costs1

 

 

 

 

190,935

 

 

200,082

 

 

60,100

 

 

25,196

 

Administration

 

 

 

 

 

 

 

 

 

 

22,939

 

Miscellaneous

 

 

61,051

 

 

39,890

 

 

40,329

 

 

25,046

 

 

22,117

 

 

 
















Total expenses excluding interest expense

 

 

1,624,394

 

 

1,683,858

 

 

1,975,203

 

 

692,870

 

 

383,471

 

Interest expense

 

 

400,354

 

 

384,282

 

 

363,350

 

 

105,757

 

 

33,339

 

 

 
















Total expenses

 

 

2,024,748

 

 

2,068,140

 

 

2,338,553

 

 

798,627

 

 

416,810

 

Less fees waived by advisor

 

 

(509

)

 

(942

)

 

(1,047

)

 

(657

)

 

(563

)

Less fees paid indirectly

 

 

 

 

 

 

 

 

 

 

(128

)

 

 
















Total expenses after fees waived and paid indirectly

 

 

2,024,239

 

 

2,067,198

 

 

2,337,506

 

 

797,970

 

 

416,119

 

 

 
















Net investment income

 

 

12,187,090

 

 

16,980,646

 

 

18,186,706

 

 

5,458,374

 

 

1,657,686

 

 

 
















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


















Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

4,012,625

 

 

(1,423,666

)

 

(5,705,463

)

 

(590,001

)

 

(1,669,683

)

Financial futures contracts

 

 

221,903

 

 

 

 

 

 

 

 

 

Swaps

 

 

(127,952

)

 

(677,185

)

 

(676,124

)

 

 

 

5,871

 

Foreign currency transactions

 

 

174,171

 

 

(490,368

)

 

(438,915

)

 

(99,140

)

 

 

Options written

 

 

1,926,463

 

 

 

 

 

 

 

 

 

Borrowed bonds

 

 

(258,118

)

 

 

 

 

 

 

 

 

Interest rate floors

 

 

 

 

 

 

 

 

 

 

 

 

 
















 

 

 

5,949,092

 

 

(2,591,219

)

 

(6,820,502

)

 

(689,141

)

 

(1,663,812

)

 

 
















Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

6,019,870

 

 

50,151,239

 

 

52,722,955

 

 

15,151,699

 

 

6,864,519

 

Financial futures contracts

 

 

(992,477

)

 

 

 

 

 

 

 

 

Swaps

 

 

64,400

 

 

2,575,277

 

 

506,226

 

 

 

 

(13,644

)

Foreign currency transactions

 

 

776,450

 

 

453,929

 

 

2,721,272

 

 

373,353

 

 

 

Options written

 

 

4,104,451

 

 

 

 

 

 

 

 

 

Unfunded loan commitments

 

 

16,468

 

 

(170,606

)

 

(87,665

)

 

(4,922

)

 

(9,722

)

Borrowed bonds

 

 

(269,165

)

 

 

 

 

 

 

 

 

Interest rate floors

 

 

 

 

 

 

 

 

 

 

 

 

 
















 

 

 

9,719,997

 

 

53,009,839

 

 

55,862,788

 

 

15,520,130

 

 

6,841,153

 

 

 
















Total realized and unrealized gain

 

 

15,669,089

 

 

50,418,620

 

 

49,042,286

 

 

14,830,989

 

 

5,177,341

 

 

 
















Net Increase in Net Assets Resulting from Operations

 

$

27,856,179

 

$

67,399,266

 

$

67,228,992

 

$

20,289,363

 

$

6,835,027

 

 

 

















 

 

 

 

1

See Note 8 of the Notes to Financial Statements for details of short-term borrowings.


 

 

 

See Notes to Financial Statements.


80

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 


 


 

 

 

 

 

 

 

 

 

 

 

Six Months Ended February 28, 2010 (Unaudited)

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 

BlackRock
Income
Trust, Inc.
(BKT)

 

BlackRock
Strategic Bond
Trust
(BHD)

 









Investment Income

 

 

 

 

 

 

 

 

 

 












Interest

 

$

12,247,969

 

$

7,186,699

 

$

3,856,401

 

Dividends

 

 

 

 

 

 

9,081

 

Income — affiliated

 

 

4,472

 

 

160,353

 

 

2,066

 

Facility and other fees

 

 

 

 

 

 

63,887

 

 

 










Total income

 

 

12,252,441

 

 

7,347,052

 

 

3,931,435

 

 

 










 

 

 

 

 

 

 

 

 

 

 












Expenses

 

 

 

 

 

 

 

 

 

 












Investment advisory

 

 

1,034,284

 

 

1,495,378

 

 

336,519

 

Professional

 

 

58,483

 

 

50,220

 

 

26,727

 

Printing

 

 

55,157

 

 

75,757

 

 

14,553

 

Accounting services

 

 

41,133

 

 

55,789

 

 

9,059

 

Custodian

 

 

24,468

 

 

30,430

 

 

7,863

 

Officer and Trustees

 

 

24,419

 

 

32,136

 

 

5,754

 

Transfer agent

 

 

10,947

 

 

32,736

 

 

5,770

 

Registration

 

 

5,586

 

 

10,382

 

 

4,478

 

Borrowing costs1

 

 

 

 

 

 

 

Administration

 

 

172,381

 

 

345,087

 

 

 

Miscellaneous

 

 

53,740

 

 

41,780

 

 

22,528

 

 

 










Total expenses excluding interest expense

 

 

1,480,598

 

 

2,169,695

 

 

433,251

 

Interest expense

 

 

353,885

 

 

228,666

 

 

1,009

 

 

 










Total expenses

 

 

1,834,483

 

 

2,398,361

 

 

434,260

 

Less fees waived by advisor

 

 

(576

)

 

(73,734

)

 

(23,119

)

Less fees paid indirectly

 

 

 

 

 

 

(1,393

)

 

 










Total expenses after fees waived and paid indirectly

 

 

1,833,907

 

 

2,324,627

 

 

409,748

 

 

 










Net investment income

 

 

10,418,534

 

 

5,022,425

 

 

3,521,687

 

 

 










 

 

 

 

 

 

 

 

 

 

 












Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 












Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

Investments

 

 

3,014,030

 

 

16,301,308

 

 

1,355,535

 

Financial futures contracts

 

 

(1,029,593

)

 

(132,016

)

 

(153,187

)

Swaps

 

 

6,362,701

 

 

744,185

 

 

(119,009

)

Foreign currency transactions

 

 

158,496

 

 

 

 

36,291

 

Options written

 

 

666,414

 

 

1,314,397

 

 

(2,512

)

Borrowed bonds

 

 

(472,695

)

 

 

 

 

Interest rate floors

 

 

 

 

(2,392,766

)

 

 

 

 










 

 

 

8,699,353

 

 

15,835,108

 

 

1,117,118

 

 

 










Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

Investments

 

 

4,254,744

 

 

1,629,251

 

 

5,554,379

 

Financial futures contracts

 

 

(1,574,780

)

 

(754,309

)

 

109,425

 

Swaps

 

 

(4,526,508

)

 

(1,920,863

)

 

(120,783

)

Foreign currency transactions

 

 

549,197

 

 

 

 

137,567

 

Options written

 

 

3,914,805

 

 

1,644,994

 

 

(37,363

)

Unfunded loan commitments

 

 

 

 

 

 

(21,577

)

Borrowed bonds

 

 

(402,920

)

 

(83,575

)

 

 

Interest rate floors

 

 

 

 

1,720,881

 

 

 

 

 










 

 

 

2,214,538

 

 

2,236,379

 

 

5,621,648

 

 

 










Total realized and unrealized gain

 

 

10,913,891

 

 

18,071,487

 

 

6,738,766

 

 

 










Net Increase in Net Assets Resulting from Operations

 

$

21,332,425

 

$

23,093,912

 

$

10,260,453

 

 

 











 

 

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

81



 


 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Core Bond Trust (BHK)

 

BlackRock Corporate
High Yield Fund V, Inc. (HYV)

 

 

 


 


 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

Year Ended
August 31,
2009

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

Year Ended
August 31,
2009

 











Operations

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

$

12,187,090

 

$

21,687,724

 

$

16,980,646

 

$

35,228,086

 

Net realized gain (loss)

 

 

5,949,092

 

 

(17,850,763

)

 

(2,591,219

)

 

(65,434,566

)

Net change in unrealized appreciation/depreciation

 

 

9,719,997

 

 

10,169,044

 

 

53,009,839

 

 

(3,440,186

)

 

 






 






 

Net increase (decrease) in net assets resulting from operations

 

 

27,856,179

 

 

14,006,005

 

 

67,399,266

 

 

(33,646,666

)

 

 






 





















Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 








 






 

Net investment income

 

 

(16,159,770

)

 

(20,703,556

)

 

(17,295,646

)

 

(39,697,493

)

 

 






 






 















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 















Reinvestment of common dividends

 

 

 

 

45,125

 

 

 

 

 

 

 






 






 















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 















Total increase (decrease) in net assets

 

 

11,696,409

 

 

(6,652,426

)

 

50,103,620

 

 

(73,344,159

)

Beginning of period

 

 

339,524,200

 

 

346,176,626

 

 

320,044,879

 

 

393,389,038

 

 

 






 






 

End of period

 

$

351,220,609

 

$

339,524,200

 

$

370,148,499

 

$

320,044,879

 

 

 






 






 

Undistributed (distributions in excess of) net investment income

 

$

4,869,821

 

$

8,842,501

 

$

(16,226

)

$

298,774

 

 

 






 






 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
High Yield Trust (BHY)

 

BlackRock
Income Opportunity Trust (BNA)

 

 

 


 


 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

Year Ended
August 31,
2009

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

Year Ended
August 31,
2009

 















Operations

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

$

1,657,686

 

$

3,283,416

 

$

10,418,534

 

$

20,450,608

 

Net realized gain (loss)

 

 

(1,663,812

)

 

(5,522,049

)

 

8,699,353

 

 

(28,555,821

)

Net change in unrealized appreciation/depreciation

 

 

6,841,153

 

 

(923,193

)

 

2,214,538

 

 

17,777,805

 

 

 






 






 

Net increase (decrease) in net assets resulting from operations

 

 

6,835,027

 

 

(3,161,826

)

 

21,332,425

 

 

9,672,592

 

 

 






 






 















Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

 

(1,677,584

)

 

(3,522,285

)

 

(16,573,514

)

 

(21,085,255

)

Tax return of capital

 

 

 

 

(118,809

)

 

 

 

 

 

 






 






 

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(1,677,584

)

 

(3,641,094

)

 

(16,573,514

)

 

(21,085,255

)

 

 






 






 















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 















Reinvestment of dividends

 

 

 

 

42,959

 

 

 

 

58,090

 

 

 






 






 















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 















Total increase (decrease) in net assets

 

 

5,157,443

 

 

(6,759,961

)

 

4,758,911

 

 

(11,354,573

)

Beginning of period

 

 

37,136,820

 

 

43,896,781

 

 

345,101,049

 

 

356,455,622

 

 

 






 






 

End of period

 

$

42,294,263

 

$

37,136,820

 

$

349,859,960

 

$

345,101,049

 

 

 






 






 

Undistributed (distributions in excess of) net investment income

 

$

(171,765

)

$

(151,867

)

$

3,070,757

 

$

9,230,290

 

 

 






 






 


 

 

 

 

 

 

See Notes to Financial Statements.

 


82

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010



 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Corporate
High Yield Fund VI, Inc. (HYT)

 

BlackRock
High Income Shares (HIS)

 

 

 


 


 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

Year Ended
August 31,
2009

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

Year Ended
August 31,
2009

 











Operations

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

$

18,186,706

 

$

37,172,718

 

$

5,458,374

 

$

10,431,902

 

Net realized gain (loss)

 

 

(6,820,502

)

 

(70,303,662

)

 

(689,141

)

 

(17,141,802

)

Net change in unrealized appreciation/depreciation

 

 

55,862,788

 

 

(2,935,241

)

 

15,520,130

 

 

(2,717,262

)

 

 






 






 

Net increase (decrease) in net assets resulting from operations

 

 

67,228,992

 

 

(36,066,185

)

 

20,289,363

 

 

(9,427,162

)

 

 






 






 















Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

 

(18,525,379

)

 

(42,020,500

)

 

(4,577,228

)

 

(11,459,895

)

 

 






 






 















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 















Reinvestment of common dividends

 

 

 

 

 

 

 

 

 

 

 






 






 















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 















Total increase (decrease) in net assets

 

 

48,703,613

 

 

(78,086,685

)

 

15,712,135

 

 

(20,887,057

)

Beginning of period

 

 

341,415,248

 

 

419,501,933

 

 

100,921,286

 

 

121,808,343

 

 

 






 






 

End of period

 

$

390,118,861

 

$

341,415,248

 

$

116,633,421

 

$

100,921,286

 

 

 






 






 

Undistributed (distributions in excess of) net investment income

 

$

884,015

 

$

1,222,688

 

$

1,387,017

 

$

505,871

 

 

 






 






 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock
Income Trust, Inc. (BKT)

 

BlackRock
Strategic Bond Trust (BHD)

 

 

 


 


 

Increase (Decrease) in Net Assets:

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

Year Ended
August 31,
2009

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

Year Ended
August 31,
2009

 











Operations

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

$

5,022,425

 

$

17,678,751

 

$

3,521,687

 

$

6,555,930

 

Net realized gain (loss)

 

 

15,835,108

 

 

54,373,285

 

 

1,117,118

 

 

(7,297,137

)

Net change in unrealized appreciation/depreciation

 

 

2,236,379

 

 

(42,161,969

)

 

5,621,648

 

 

2,434,562

 

 

 






 






 

Net increase (decrease) in net assets resulting from operations

 

 

23,093,912

 

 

29,890,067

 

 

10,260,453

 

 

1,693,355

 

 

 






 






 















Dividends and Distributions to Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 















Net investment income

 

 

(9,207,725

)

 

(18,415,450

)

 

(3,183,339

)

 

(6,204,335

)

Tax return of capital

 

 

 

 

 

 

 

 

 

 

 






 






 

Decrease in net assets resulting from dividends and distributions to shareholders

 

 

(9,207,725

)

 

(18,415,450

)

 

(3,183,339

)

 

(6,204,335

)

 

 






 






 















Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 















Reinvestment of dividends

 

 

 

 

 

 

 

 

 

 

 






 






 















Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 















Total increase (decrease) in net assets

 

 

13,886,187

 

 

11,474,617

 

 

7,077,114

 

 

(4,510,980

)

Beginning of period

 

 

455,528,527

 

 

444,053,910

 

 

85,581,485

 

 

90,092,465

 

 

 






 






 

End of period

 

$

469,414,714

 

$

455,528,527

 

$

92,658,599

 

$

85,581,485

 

 

 






 






 

Undistributed (distributions in excess of) net investment income

 

$

1,688,352

 

$

5,873,652

 

$

792,959

 

$

454,611

 

 

 






 






 


 

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

83




 


 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months Ended February 28, 2010 (Unaudited)

 

BlackRock
Core Bond
Trust
(BHK)

 

BlackRock
Corporate
High Yield
Fund V, Inc.
(HYV)

 

BlackRock
Corporate
High Yield
Fund VI, Inc.
(HYT)

 

BlackRock
High Income
Shares
(HIS)

 

BlackRock
High Yield
Trust
(BHY)

 

BlackRock
Income
Opportunity
Trust, Inc.
(BNA)

 















Cash Used for Operating Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net increase in net assets resulting from operations

 

$

27,856,179

 

$

67,399,266

 

$

67,228,992

 

$

20,289,363

 

$

6,835,027

 

$

21,332,425

 

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Increase in interest receivable

 

 

(1,204,513

)

 

(372,852

)

 

(493,698

)

 

(123,723

)

 

(95,535

)

 

(1,285,602

)

Increase (decrease) in swap receivable

 

 

1,384,229

 

 

(129,922

)

 

(129,638

)

 

 

 

 

 

3,217,620

 

Increase (decrease) in margin variation receivable

 

 

74,950

 

 

 

 

 

 

 

 

 

 

71,069

 

Increase (decrease) in dividends receivable

 

 

 

 

(29,028

)

 

(16,112

)

 

5,000

 

 

(1,600

)

 

 

Decrease in commitment fees receivable

 

 

(16,575

)

 

(71

)

 

(67

)

 

(6

)

 

 

 

 

Increase (decrease) in income receivable — affiliated

 

 

43

 

 

(200

)

 

 

 

(37

)

 

23

 

 

55

 

Decrease in prepaid expenses

 

 

(1

)

 

 

 

 

 

 

 

 

 

 

Decrease (increase) in other assets

 

 

2,941

 

 

(14,197

)

 

(2,649

)

 

176

 

 

369

 

 

9,556

 

Decrease (increase) in investment advisor payable

 

 

24,201

 

 

25,478

 

 

20,471

 

 

6,238

 

 

5,911

 

 

(14,537

)

Decrease (increase) in interest expense payable

 

 

78,251

 

 

112,491

 

 

97,929

 

 

24,850

 

 

16,873

 

 

38,676

 

Decrease (increase) in administration fees payable

 

 

 

 

 

 

 

 

 

 

570

 

 

(2,397

)

Decrease in other affiliates payable

 

 

32

 

 

172

 

 

(76

)

 

64

 

 

 

 

 

Decrease (increase) in accrued expenses payable

 

 

(76,148

)

 

48,483

 

 

53,548

 

 

 

 

(12,492

)

 

(78,839

)

Increase in swaps payable

 

 

(29,286

)

 

(42,157

)

 

(42,896

)

 

 

 

(26

)

 

(613,006

)

Increase (decrease) in cash held as collateral in connection with swaps

 

 

(1,401,000

)

 

 

 

 

 

 

 

 

 

(1,336,000

)

Increase (decrease) in other liabilities

 

 

 

 

 

 

 

 

8,509

 

 

 

 

(2,842

)

Decrease (increase) in Officer’s and Trustees’ payable

 

 

(2,647

)

 

14,242

 

 

14,962

 

 

108

 

 

(71

)

 

(2,333

)

Net periodic and termination payments of swaps

 

 

(1,207,361

)

 

(296,584

)

 

(286,007

)

 

 

 

11,802

 

 

3,325,954

 

Net realized and unrealized loss

 

 

(13,801,456

)

 

(51,152,118

)

 

(51,725,105

)

 

(14,933,875

)

 

(5,099,555

)

 

(10,330,307

)

Amortization of premium and discount on investments

 

 

(452,938

)

 

(2,345,860

)

 

(2,419,001

)

 

(770,320

)

 

(134,666

)

 

111,042

 

Paid-in-kind Income

 

 

 

 

(711,374

)

 

960,074

 

 

(289,374

)

 

(100,658

)

 

(69,702

)

Premiums received from options written

 

 

10,955,575

 

 

 

 

 

 

 

 

 

 

8,381,283

 

Proceeds from sales and paydowns of long-term securities

 

 

1,854,670,006

 

 

180,927,152

 

 

178,273,045

 

 

60,393,570

 

 

17,347,960

 

 

2,190,532,714

 

Purchases of long-term securities

 

 

(1,918,991,608

)

 

(229,208,540

)

 

(216,443,179

)

 

(67,273,999

)

 

(22,320,924

)

 

(2,250,215,626

)

Net purchases of short-term investments

 

 

(17,526,537

)

 

(2,142,475

)

 

(1,088,492

)

 

(229,786

)

 

 

 

 

Net proceeds from sales of short-term investments

 

 

 

 

 

 

 

 

 

 

399,171

 

 

2,052,223

 

Premiums paid on closing options written

 

 

(10,188,594

)

 

 

 

 

 

 

 

 

 

(7,623,118

)

 

 



















Cash used for operating activities

 

 

(69,852,257

)

 

(37,918,094

)

 

(25,997,899

)

 

(2,893,242

)

 

(3,147,821

)

 

(42,501,692

)

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash Provided by Financing Activities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash receipts from borrowings

 

 

579,165,205

 

 

140,000,000

 

 

147,000,000

 

 

39,000,000

 

 

16,000,000

 

 

819,742,456

 

Cash payments from borrowings

 

 

(493,281,273

)

 

(85,000,000

)

 

(101,000,000

)

 

(31,000,000

)

 

(11,000,000

)

 

(761,889,183

)

Cash dividends paid to shareholders

 

 

(16,157,980

)

 

(17,300,392

)

 

(18,529,748

)

 

(4,579,867

)

 

(1,671,964

)

 

(16,576,860

)

Increase in custodian bank payable

 

 

 

 

 

 

 

 

 

 

 

 

615,885

 

 

 



















Cash provided by financing activities

 

 

69,725,952

 

 

37,699,608

 

 

27,470,252

 

 

3,420,133

 

 

3,328,036

 

 

41,892,298

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash Impact from Foreign Exchange Fluctuations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash impact from foreign exchange fluctuations

 

 

(2,199

)

 

19,112

 

 

3,873

 

 

(8,227

)

 

 

 

(3,880

)

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net increase (decrease) in cash

 

 

(128,503

)

 

(199,374

)

 

1,476,226

 

 

518,664

 

 

180,215

 

 

(613,274

)

Cash and foreign currency at beginning of period

 

 

1,319,117

 

 

1,482,074

 

 

1,225

 

 

110,310

 

 

39,916

 

 

989,160

 

 

 



















Cash and foreign currency at end of period

 

$

1,190,614

 

$

1,282,700

 

$

1,477,451

 

$

628,974

 

$

220,131

 

$

375,886

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash Flow Information

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Cash paid for interest

 

$

365,522

 

$

271,791

 

$

265,421

 

$

80,907

 

$

16,466

 

$

315,209

 

 

 



















          A Statement of Cash Flows is presented when a fund had a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to total assets.

 

 

 

See Notes to Financial Statements.

 




84

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010



 

 


 

 

Financial Highlights

BlackRock Core Bond Trust (BHK)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

Year Ended
August 31,
2009

 

Period
November 1,

2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 

 



 

 

 

 

 

2007

 

2006

 

2005

 

2004

 
























Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Net asset value, beginning of period

 

$

12.56

 

$

12.81

 

$

13.63

 

$

13.82

 

$

14.27

 

$

15.22

 

$

14.75

 

 

 






















Net investment income

 

 

0.45

1

 

0.80

1

 

0.50

1

 

0.74

 

 

0.66

 

 

0.78

 

 

0.92

 

Net realized and unrealized gain (loss)

 

 

0.59

 

 

(0.28

)

 

(0.69

)

 

(0.13

)

 

0.11

 

 

(0.37

)

 

0.66

 

 

 






















Net increase (decrease) from investment operations

 

 

1.04

 

 

0.52

 

 

(0.19

)

 

0.61

 

 

0.77

 

 

0.41

 

 

1.58

 

 

 






















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.60

)

 

(0.77

)

 

(0.61

)

 

(0.61

)

 

(0.93

)

 

(1.01

)

 

(0.86

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.29

)

 

(0.35

)

 

(0.25

)

Tax return of capital

 

 

 

 

 

 

(0.02

)

 

(0.19

)

 

 

 

 

 

 

 

 






















Total dividends and distributions

 

 

(0.60

)

 

(0.77

)

 

(0.63

)

 

(0.80

)

 

(1.22

)

 

(1.36

)

 

(1.11

)

 

 






















Net asset value, end of period

 

$

13.00

 

$

12.56

 

$

12.81

 

$

13.63

 

$

13.82

 

$

14.27

 

$

15.22

 

 

 






















Market price, end of period

 

$

12.17

 

$

11.98

 

$

11.51

 

$

12.23

 

$

12.86

 

$

13.69

 

$

14.02

 

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Based on net asset value

 

 

8.73

%3

 

5.28

%

 

(1.00

)%3

 

5.04

%

 

6.20

%

 

3.18

%

 

11.79

%

 

 






















Based on market price

 

 

6.72

%3

 

11.76

%

 

(0.87

)%3

 

1.29

%

 

3.07

%

 

7.46

%

 

11.93

%

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Total expenses

 

 

1.17

%4

 

1.06

%

 

2.29

%4

 

1.60

%

 

1.08

%

 

1.50

%

 

1.32

%

 

 






















Total expenses after fees waived and paid indirectly

 

 

1.17

%4

 

1.06

%

 

2.29

%4

 

1.60

%

 

1.08

%

 

1.50

%

 

1.32

%

 

 






















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.94

%4

 

0.83

%

 

0.89

%4

 

0.78

%

 

0.77

%

 

0.85

%

 

0.92

%

 

 






















Net investment income

 

 

7.07

%4

 

7.09

%

 

4.55

%4

 

5.36

%

 

4.78

%

 

5.20

%

 

6.20

%

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Net assets, end of period (000)

 

$

351,221

 

$

339,524

 

$

346,177

 

$

368,335

 

$

373,518

 

$

385,514

 

$

411,163

 

 

 






















Borrowings outstanding, end of period (000)

 

$

160,456

 

$

74,572

 

$

107,690

 

$

103,354

 

$

3,911

 

$

86,876

 

$

102,474

 

 

 






















Average borrowings outstanding, during the period (000)

 

$

154,465

 

$

73,467

 

$

134,784

 

$

44,786

 

$

25,340

 

$

91,130

 

$

145,094

 

 

 






















Portfolio turnover

 

 

268

%5

 

315

%6

 

598

%7

 

122

%

 

88

%

 

220

%

 

398

%

 

 






















Asset coverage, end of period per $1,000

 

$

3,189

 

$

5,553

 

$

4,215

 

$

4,564

 

$

96,502

 

$

5,438

 

$

5,012

 

 

 























 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.

 

 

 

 

5

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 212%.

 

 

 

 

6

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%.

 

 

 

 

7

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 337%.


 

 

 

See Notes to Financial Statements.

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

85



 

 


 

 

Financial Highlights

BlackRock Corporate High Yield Fund V, Inc. (HYV)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 



 

 

 

2009

 

2008

 

2007

 

2006

 

2005

 















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net asset value, beginning of period

 

$

9.71

 

$

11.94

 

$

13.83

 

$

14.10

 

$

15.19

 

$

16.15

 

 

 



















Net investment income1

 

 

0.52

 

 

1.07

 

 

1.18

 

 

1.20

 

 

1.22

 

 

1.47

 

Net realized and unrealized gain (loss)

 

 

1.54

 

 

(2.10

)

 

(1.85

)

 

(0.33

)

 

(0.50

)

 

0.19

 

 

 



















Net increase (decrease) from investment operations

 

 

2.06

 

 

(1.03

)

 

(0.67

)

 

0.87

 

 

0.72

 

 

1.66

 

 

 



















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.53

)

 

(1.20

)

 

(1.17

)

 

(1.14

)

 

(1.25

)

 

(1.64

)

Net realized gain

 

 

 

 

 

 

(0.05

)

 

 

 

(0.56

)

 

(0.98

)

 

 



















Total dividends and distributions

 

 

(0.53

)

 

(1.20

)

 

(1.22

)

 

(1.14

)

 

(1.81

)

 

(2.62

)

 

 



















Net asset value, end of period

 

$

11.24

 

$

9.71

 

$

11.94

 

$

13.83

 

$

14.10

 

$

15.19

 

 

 



















Market price, end of period

 

$

10.74

 

$

9.32

 

$

10.15

 

$

12.24

 

$

12.81

 

$

15.04

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

21.73

%3

 

(3.83

)%

 

(3.99

)%

 

6.76

%

 

6.37

%

 

11.03

%

 

 



















Based on market price

 

 

21.19

%3

 

8.59

%

 

(7.78

)%

 

4.00

%

 

(2.40

)%

 

14.99

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

1.18

%4

 

1.84

%

 

2.11

%

 

3.20

%

 

2.87

%

 

1.99

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

1.18

%4

 

1.84

%

 

2.11

%

 

3.20

%

 

2.87

%

 

1.99

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.96

%4

 

1.16

%

 

0.97

%

 

0.99

%

 

0.98

%

 

0.97

%

 

 



















Net investment income

 

 

9.68

%4

 

13.00

%

 

9.16

%

 

8.23

%

 

8.49

%

 

9.38

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

370,148

 

$

320,045

 

$

393,389

 

$

455,710

 

$

464,453

 

$

500,303

 

 

 



















Borrowings outstanding, end of period (000)

 

$

109,000

 

$

54,000

 

$

94,700

 

$

127,700

 

$

200,100

 

$

188,500

 

 

 



















Average borrowings outstanding, during the period (000)

 

$

64,674

 

$

65,403

 

$

106,140

 

$

188,373

 

$

183,484

 

$

184,650

 

 

 



















Portfolio turnover

 

 

47

%

 

65

%

 

46

%

 

51

%

 

64

%

 

48

%

 

 



















Asset coverage, end of period per $1,000

 

$

4,396

 

$

6,927

 

$

5,154

 

$

4,569

 

$

3,321

 

$

3,654

 

 

 




















 

 

1

Based on average shares outstanding.

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

3

Aggregate total investment return.

 

 

4

Annualized.


 

 

 

See Notes to Financial Statements.

 


86

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 


 

 

Financial Highlights

BlackRock Corporate High Yield Fund VI, Inc. (HYT)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended August 31,

 

 

 

 


 

 

 

 

2009

 

2008

 

2007

 

2006

 

2005

 















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

9.68

 

$

11.89

 

$

13.81

 

$

14.12

 

$

15.08

 

$

15.71

 

 

 



















Net investment income1

 

 

0.52

 

 

1.05

 

 

1.16

 

 

1.18

 

 

1.16

 

 

1.37

 

Net realized and unrealized gain (loss)

 

 

1.39

 

 

(2.07

)

 

(1.87

)

 

(0.39

)

 

(0.49

)

 

0.19

 

 

 



















Net increase (decrease) from investment operations

 

 

1.91

 

 

(1.02

)

 

(0.71

)

 

0.79

 

 

0.67

 

 

1.56

 

 

 



















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.53

)

 

(1.19

)

 

(1.21

)

 

(1.10

)

 

(1.17

)

 

(1.49

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.46

)

 

(0.70

)

 

 



















Total dividends and distributions

 

 

(0.53

)

 

(1.19

)

 

(1.21

)

 

(1.10

)

 

(1.63

)

 

(2.19

)

 

 



















Net asset value, end of period

 

$

11.06

 

$

9.68

 

$

11.89

 

$

13.81

 

$

14.12

 

$

15.08

 

 

 



















Market price, end of period

 

$

10.67

 

$

9.47

 

$

10.14

 

$

12.15

 

$

12.48

 

$

14.32

 

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Based on net asset value

 

 

20.12

%3

 

(4.03

)%

 

(4.30

)%

 

6.29

%

 

6.29

%

 

11.28

%

 

 



















Based on market price

 

 

18.45

%3

 

10.09

%

 

(7.24

)%

 

5.80

%

 

(1.07

)%

 

14.34

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Total expenses

 

 

1.25

%4

 

2.01

%

 

2.24

%

 

3.35

%

 

2.89

%

 

2.09

%

 

 



















Total expenses after fees waived and paid indirectly

 

 

1.25

%4

 

2.01

%

 

2.24

%

 

3.35

%

 

2.89

%

 

2.09

%

 

 



















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.06

%4

 

1.28

%

 

1.10

%

 

1.12

%

 

1.11

%

 

1.11

%

 

 



















Net investment income

 

 

9.76

%4

 

12.82

%

 

9.02

%

 

8.03

%

 

8.11

%

 

8.91

%

 

 



















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















Net assets, end of period (000)

 

$

390,119

 

$

341,415

 

$

419,502

 

$

487,251

 

$

498,096

 

$

532,031

 

 

 



















Borrowings outstanding, end of period (000)

 

$

104,000

 

$

58,000

 

$

110,900

 

$

135,900

 

$

216,200

 

$

185,200

 

 

 



















Average borrowings outstanding, during the period (000)

 

$

60,796

 

$

73,784

 

$

113,996

 

$

202,705

 

$

184,070

 

$

188,044

 

 

 



















Portfolio turnover

 

 

45

%

 

60

%

 

45

%

 

51

%

 

62

%

 

48

%

 

 



















Asset coverage, end of period per $1,000

 

$

4,751

 

$

6,886

 

$

4,783

 

$

4,585

 

$

3,304

 

$

3,873

 

 

 




















 

 

1

Based on average shares outstanding.

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

3

Aggregate total investment return.

 

 

4

Annualized.


 

 

 

See Notes to Financial Statements.

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

87




 

 



 

 

Financial Highlights

BlackRock High Income Shares (HIS)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

Year Ended
August 31,
2009

 

Period
January 1,
2008 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 

 


 

 

 

 

 

 

2007

 

2006

 

2005

 

20041

 
























Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Net asset value, beginning of period

 

$

1.85

 

$

2.23

 

$

2.47

 

$

2.68

 

$

2.61

 

$

2.87

 

$

2.86

 

 

 






















Net investment income

 

 

0.10

2

 

0.19

2

 

0.15

2

 

0.24

 

 

0.22

 

 

0.24

 

 

0.28

3

Net realized and unrealized gain (loss)

 

 

0.27

 

 

(0.36

)

 

(0.26

)

 

(0.21

)

 

0.08

 

 

(0.23

)

 

0.03

 

 

 






















Net increase (decrease) from investment operations

 

 

0.37

 

 

(0.17

)

 

(0.11

)

 

0.03

 

 

0.30

 

 

0.01

 

 

0.31

 

 

 






















Dividends from net investment income

 

 

(0.08

)

 

(0.21

)

 

(0.13

)

 

(0.24

)

 

(0.23

)

 

(0.27

)

 

(0.30

)

 

 






















Net asset value, end of period

 

$

2.14

 

$

1.85

 

$

2.23

 

$

2.47

 

$

2.68

 

$

2.61

 

$

2.87

 

 

 






















Market price, end of period

 

$

1.93

 

$

1.68

 

$

1.88

 

$

2.14

 

$

2.55

 

$

2.33

 

$

2.90

 

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Total Investment Return4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Based on net asset value

 

 

20.93

%5

 

(3.01

)%

 

(4.00

)%5

 

1.58

%

 

12.32

%

 

0.43

%

 

11.46

%

 

 






















Based on market price

 

 

20.10

%5

 

4.47

%

 

(6.59

)%5

 

(7.51

)%

 

19.70

%

 

(11.28

)%

 

12.24

%

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Total expenses

 

 

1.44

%6

 

2.01

%

 

1.98

%6

 

3.56

%

 

3.78

%

 

3.04

%

 

2.23

%

 

 






















Total expenses after fees waived and paid indirectly

 

 

1.44

%6

 

2.01

%

 

1.98

%6

 

3.55

%

 

3.77

%

 

3.04

%

 

2.23

%

 

 






















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.25

%6

 

1.41

%

 

1.05

%6

 

1.27

%

 

1.34

%

 

1.37

%

 

1.39

%

 

 






















Net investment income

 

 

9.85

%6

 

12.06

%

 

9.52

%6

 

8.89

%

 

8.42

%

 

8.82

%

 

9.70

%

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Net assets, end of period (000)

 

$

116,633

 

$

100,921

 

$

121,808

 

$

135,098

 

$

146,538

 

$

142,457

 

$

155,298

 

 

 






















Borrowings outstanding, end of period (000)

 

$

26,000

 

$

18,000

 

$

27,000

 

$

46,000

 

$

62,000

 

$

66,000

 

$

69,000

 

 

 






















Average borrowings outstanding, during the period (000)

 

$

17,884

 

$

21,220

 

$

27,069

 

$

55,868

 

$

62,838

 

$

65,992

 

$

64,081

 

 

 






















Portfolio turnover

 

 

51

%

 

55

%

 

25

%

 

69

%

 

83

%

 

115

%

 

56

%

 

 






















Asset coverage, end of period per $1,000

 

$

5,486

 

$

6,607

 

$

5,512

 

$

3,937

 

$

3,364

 

$

3,158

 

$

3,251

 

 

 























 

 

 

 

1

Audited by other Independent Registered Public Accounting Firm.

 

 

 

 

2

Based on average shares outstanding.

 

 

 

 

3

Net investment income per share has been recalculated in accordance with Securities and Exchange Commission requirements, with the exception that end-of-the-year accumulated undistributed/(overdistributed) net investment income has not been adjusted to reflect current year permanent differences between financial and tax accounting.

 

 

 

 

4

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

5

Aggregate total investment return.

 

 

 

 

6

Annualized.

 

 

 

 

The performance set forth in this table is the financial data of BlackRock High Income Shares. BlackRock Advisors, LLC began managing the Trust on March 2, 2005.


 

 

 

See Notes to Financial Statements.




88

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 

 



 

 

Financial Highlights

BlackRock High Yield Trust (BHY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

Year Ended
August 31,
2009

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 

 


 

 

 

 

 

 

2007

 

2006

 

2005

 

2004

 
























Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Net asset value, beginning of period

 

$

5.78

 

$

6.84

 

$

7.91

 

$

7.85

 

$

7.48

 

$

7.95

 

$

6.96

 

 

 






















Net investment income

 

 

0.26

1

 

0.51

1

 

0.50

1

 

0.63

 

 

0.66

 

 

0.68

 

 

0.92

 

Net realized and unrealized gain (loss)

 

 

0.80

 

 

(1.00

)

 

(1.06

)

 

0.04

 

 

0.36

 

 

(0.36

)

 

1.02

 

 

 






















Net increase (decrease) from investment operations

 

 

1.06

 

 

(0.49

)

 

(0.56

)

 

0.67

 

 

1.02

 

 

0.32

 

 

1.94

 

 

 






















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.26

)

 

(0.55

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

 

(0.79

)

 

(0.92

)

Tax return of capital

 

 

 

 

(0.02

)

 

 

 

 

 

 

 

 

 

(0.03

)

 

 






















Total dividends and distributions

 

 

(0.26

)

 

(0.57

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

 

(0.79

)

 

(0.95

)

 

 






















Net asset value, end of period

 

$

6.58

 

$

5.78

 

$

6.84

 

$

7.91

 

$

7.85

 

$

7.48

 

$

7.95

 

 

 






















Market price, end of period

 

$

6.23

 

$

5.84

 

$

5.96

 

$

6.92

 

$

7.77

 

$

7.36

 

$

9.30

 

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Based on net asset value

 

 

18.78

%3

 

(5.30

)%

 

(6.47

)%3

 

9.03

%

 

14.25

%

 

2.85

%

 

26.24

%

 

 






















Based on market price

 

 

11.31

%3

 

9.81

%

 

(6.85

)%3

 

(3.63

)%

 

14.93

%

 

(13.49

)%

 

0.28

%

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Total expenses

 

 

2.07

%4

 

2.61

%

 

2.61

%4

 

4.16

%

 

4.50

%

 

3.52

%

 

2.69

%

 

 






















Total expenses after fees waived and paid indirectly

 

 

2.07

%4

 

2.61

%

 

2.61

%4

 

4.14

%

 

4.49

%

 

3.51

%

 

2.68

%

 

 






















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

1.90

%4

 

2.16

%

 

1.77

%4

 

2.10

%

 

2.19

%

 

2.10

%

 

1.96

%

 

 






















Net investment income

 

 

8.23

%4

 

10.22

%

 

8.34

%4

 

7.84

%

 

8.74

%

 

8.71

%

 

12.16

%

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Net assets, end of period (000)

 

$

42,294

 

$

37,137

 

$

43,897

 

$

50,782

 

$

50,385

 

$

47,924

 

$

50,914

 

 

 






















Borrowings outstanding, end of period (000)

 

$

9,000

 

$

4,000

 

$

6,250

 

$

9,250

 

$

20,250

 

$

20,750

 

$

19,250

 

 

 






















Average borrowings outstanding, during the period (000)

 

$

5,641

 

$

5,223

 

$

7,443

 

$

17,710

 

$

20,621

 

$

20,425

 

$

19,250

 

 

 






















Portfolio turnover

 

 

43

%

 

54

%

 

34

%

 

69

%

 

85

%

 

102

%

 

156

%

 

 






















Asset coverage, end of period per $1,000

 

$

5,699

 

$

10,284

 

$

8,023

 

$

6,490

 

$

3,488

 

$

3,310

 

$

3,645

 

 

 























 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


See Notes to Financial Statements.

 

 

 

 





 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

89



 

 


 

 

Financial Highlights

BlackRock Income Opportunity Trust, Inc. (BNA)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

 

 

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended
August 31,
2009

 

 

Year Ended October 31,

 

 

 

 

 

 



 

 

 

 

 

2007

 

2006

 

2005

 

2004

 
























Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Net asset value, beginning of period

 

$

10.02

 

$

10.35

 

$

11.02

 

$

11.17

 

$

11.56

 

$

12.38

 

$

11.93

 

 

 






















Net investment income

 

 

0.30

1

 

0.59

1

 

0.53

1

 

0.62

 

 

0.57

 

 

0.72

 

 

0.76

 

Net realized and unrealized gain (loss)

 

 

0.31

 

 

(0.31

)

 

(0.69

)

 

(0.11

)

 

0.01

 

 

(0.45

)

 

0.53

 

 

 






















Net increase (decrease) from investment operations

 

 

0.61

 

 

0.28

 

 

(0.16

)

 

0.51

 

 

0.58

 

 

0.27

 

 

1.29

 

 

 






















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.48

)

 

(0.61

)

 

(0.51

)

 

(0.61

)

 

(0.65

)

 

(0.81

)

 

(0.84

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.26

)

 

(0.28

)

 

 

Tax return of capital

 

 

 

 

 

 

 

 

(0.05

)

 

(0.06

)

 

 

 

 

 

 






















Total dividends and distributions

 

 

(0.48

)

 

(0.61

)

 

(0.51

)

 

(0.66

)

 

(0.97

)

 

(1.09

)

 

(0.84

)

 

 






















Net asset value, end of period

 

$

10.15

 

$

10.02

 

$

10.35

 

$

11.02

 

$

11.17

 

$

11.56

 

$

12.38

 

 

 






















Market price, end of period

 

$

9.60

 

$

9.65

 

$

9.82

 

$

10.19

 

$

10.58

 

$

10.90

 

$

11.38

 

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Based on net asset value

 

 

6.52

%3

 

3.90

%

 

(1.07

)%3

 

5.11

%

 

5.76

%

 

2.95

%

 

11.90

%

 

 






















Based on market price

 

 

4.61

%3

 

5.46

%

 

1.51

%3

 

2.62

%

 

6.27

%

 

5.53

%

 

12.04

%

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Total expenses

 

 

1.06

%4

 

0.95

%

 

2.25

%4

 

2.01

%

 

1.61

%

 

1.72

%

 

1.11

%

 

 






















Total expenses after fees waived and paid indirectly

 

 

1.06

%4

 

0.95

%

 

2.25

%4

 

2.00

%

 

1.61

%

 

1.72

%

 

1.11

%

 

 






















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.86

%4

 

0.85

%

 

0.83

%4

 

0.87

%

 

0.89

%

 

0.87

%

 

0.84

%

 

 






















Net investment income

 

 

6.04

%4

 

6.45

%

 

5.89

%4

 

5.68

%

 

5.11

%

 

5.97

%

 

6.29

%

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Net assets, end of period (000)

 

$

349,860

 

$

345,101

 

$

356,456

 

$

379,605

 

$

384,850

 

$

398,078

 

$

426,643

 

 

 






















Borrowings outstanding, end of period (000)

 

$

135,327

 

$

77,474

 

$

100,740

 

$

105,262

 

$

34,326

 

$

120,179

 

$

94,644

 

 

 






















Average borrowings outstanding, during the period (000)

 

$

137,195

 

$

49,573

 

$

131,462

 

$

68,241

 

$

59,691

 

$

122,457

 

$

97,264

 

 

 






















Portfolio turnover

 

 

299

%5

 

270

%6

 

441

%7

 

196

%

 

131

%

 

396

%

 

300

%

 

 






















Asset coverage, end of period per $1,000

 

$

3,585

 

$

5,454

 

$

4,538

 

$

4,606

 

$

12,212

 

$

4,312

 

$

5,508

 

 

 























 

 

1

Based on average shares outstanding.

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

3

Aggregate total investment return.

 

 

4

Annualized.

 

 

5

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 242%.

 

 

6

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 165%.

 

 

7

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 168%.


 

 

 

See Notes to Financial Statements.


90

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010



 

 


 

 

Financial Highlights

BlackRock Income Trust, Inc. (BKT)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months

 

 

 

Period

 

 

 

 

 

 

 

 

 

 

 

Ended

 

 

 

November 1,

 

 

 

 

 

February 28,

 

Year Ended

 

2007 to

 

Year Ended October 31,

 

 

 

2010

 

August 31,

 

August 31,

 


 

 

 

(Unaudited)

 

2009

 

2008

 

2007

 

2006

 

2005

 

2004

 
















 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 























 

Net asset value, beginning of period

 

$

7.12

 

$

6.94

 

$

6.53

 

$

6.48

 

$

6.54

 

$

6.95

 

$

7.21

 

 

 





















 

Net investment income

 

 

0.08

1

 

0.28

1

 

0.26

1

 

0.30

 

 

0.32

 

 

0.44

 

 

0.51

 

Net realized and unrealized gain (loss)

 

 

0.28

 

 

0.19

 

 

0.40

 

 

0.12

 

 

0.05

 

 

(0.30

)

 

(0.16

)

 

 





















 

Net increase from investment operations

 

 

0.36

 

 

0.47

 

 

0.66

 

 

0.42

 

 

0.37

 

 

0.14

 

 

0.35

 

 

 





















 

Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.14

)

 

(0.29

)

 

(0.25

)

 

(0.29

)

 

(0.34

)

 

(0.48

)

 

(0.61

)

Tax return of capital

 

 

 

 

 

 

 

 

(0.08

)

 

(0.09

)

 

(0.07

)

 

 

 

 





















 

Total dividends and distributions

 

 

(0.14

)

 

(0.29

)

 

(0.25

)

 

(0.37

)

 

(0.43

)

 

(0.55

)

 

(0.61

)

 

 





















 

Net asset value, end of period

 

$

7.34

 

$

7.12

 

$

6.94

 

$

6.53

 

$

6.48

 

$

6.54

 

$

6.95

 

 

 





















 

Market price, end of period

 

$

6.53

 

$

6.53

 

$

6.07

 

$

5.81

 

$

6.07

 

$

5.90

 

$

7.50

 

 

 





















 























 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 























 

Based on net asset value

 

 

5.42

%3

 

7.64

%

 

10.82

%3

 

7.06

%

 

6.06

%

 

2.12

%

 

5.01

%

 

 





















 

Based on market price

 

 

2.26

%3

 

12.87

%

 

8.94

%3

 

1.69

%

 

10.18

%

 

(14.63

)%

 

5.97

%

 

 





















 























 

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 























 

Total expenses

 

 

1.04

%4

 

1.09

%

 

1.63

%4

 

2.77

%

 

2.85

%

 

2.80

%

 

1.37

%

 

 





















 

Total expenses after fees waived and before fees paid indirectly

 

 

1.01

%4

 

1.08

%

 

1.63

%4

 

2.77

%

 

2.85

%

 

2.80

%

 

1.37

%

 

 





















 

Total expenses after fees waived and paid indirectly

 

 

1.01

%4

 

1.08

%

 

1.63

%4

 

2.76

%

 

2.84

%

 

2.79

%

 

1.37

%

 

 





















 

Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.91

%4

 

0.93

%

 

0.91

%4

 

0.98

%

 

1.00

%

 

0.99

%

 

0.97

%

 

 





















 

Net investment income

 

 

2.18

%4

 

4.09

%

 

4.67

%4

 

4.60

%

 

4.92

%

 

6.54

%

 

7.13

%

 

 





















 























 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 























 

Net assets, end of period (000)

 

$

469,415

 

$

455,529

 

$

444,054

 

$

417,651

 

$

414,460

 

$

418,390

 

$

442,635

 

 

 





















 

Borrowings outstanding, end of period (000)

 

$

11,776

 

$

11,815

 

 

 

$

33,895

 

$

70,691

 

$

149,558

 

$

223,736

 

 

 





















 

Average borrowings outstanding, during the period (000)

 

$

12,736

 

$

537

 

$

61,777

 

$

93,325

 

$

104,393

 

$

180,553

 

$

158,278

 

 

 





















 

Portfolio turnover

 

 

450

%5

 

700

%6

 

263

%7

 

250

%

 

80

%

 

60

%

 

120

%

 

 





















 

Asset coverage, end of period per $1,000

 

$

40,862

 

$

39,555

 

 

 

$

13,322

 

$

6,863

 

$

3,798

 

$

2,978

 

 

 





















 


 

 

1

Based on average shares outstanding.

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

3

Aggregate total investment return.

 

 

4

Annualized.

 

 

5

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 63%.

 

 

6

Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 184%.

 

 

7

Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 0%.


See Notes to Financial Statements.

 

 

 

 





 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

91




 

 


 

Financial Highlights

BlackRock Strategic Bond Trust (BHD)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Six Months
Ended
February 28,
2010
(Unaudited)

 

Year Ended
August 31,
2009

 

Period
November 1,
2007 to
August 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended October 31,

 

 

 

 

 

 



 

 

 

 

 

2007

 

2006

 

2005

 

2004

 

















Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Net asset value, beginning of period

 

$

12.12

 

$

12.76

 

$

13.80

 

$

13.83

 

$

13.68

 

$

15.10

 

$

15.07

 

 

 






















Net investment income

 

 

0.50

1

 

0.93

1

 

0.76

1

 

0.95

 

 

0.99

 

 

1.10

 

 

1.39

 

Net realized and unrealized gain (loss)

 

 

0.96

 

 

(0.69

)

 

(1.03

)

 

(0.06

)

 

0.18

 

 

(1.13

)

 

0.25

 

 

 






















Net increase (decrease) from investment operations

 

 

1.46

 

 

0.24

 

 

(0.27

)

 

0.89

 

 

1.17

 

 

(0.03

)

 

1.64

 

 

 






















Dividends and distributions from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.45

)

 

(0.88

)

 

(0.77

)

 

(0.92

)

 

(0.98

)

 

(1.12

)

 

(1.61

)

Tax return of capital

 

 

 

 

 

 

 

 

 

 

(0.04

)

 

(0.27

)

 

 

 

 






















Total dividends and distributions

 

 

(0.45

)

 

(0.88

)

 

(0.77

)

 

(0.92

)

 

(1.02

)

 

(1.39

)

 

(1.61

)

 

 






















Net asset value, end of period

 

$

13.13

 

$

12.12

 

$

12.76

 

$

13.80

 

$

13.83

 

$

13.68

 

$

15.10

 

 

 






















Market price, end of period

 

$

12.33

 

$

11.43

 

$

10.85

 

$

11.88

 

$

12.85

 

$

12.45

 

$

16.70

 

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Based on net asset value

 

 

12.44

%3

 

3.99

%

 

(1.19

)%3

 

7.26

%

 

9.58

%

 

(0.49

)%

 

11.35

%

 

 






















Based on market price

 

 

11.96

%3

 

15.34

%

 

(2.40

)%3

 

(0.62

)%

 

11.87

%

 

(18.11

)%

 

21.54

%

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Ratios to Average Net Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Total expenses

 

 

0.97

%4

 

1.00

%

 

0.93

%4

 

1.45

%

 

2.25

%

 

2.14

%

 

1.49

%

 

 






















Total expenses after fees waived and before fees paid indirectly

 

 

0.92

%4

 

0.92

%

 

0.82

%4

 

1.27

%

 

2.25

%

 

2.14

%

 

1.49

%

 

 






















Total expenses after fees waived and paid indirectly

 

 

0.92

%4

 

0.92

%

 

0.82

%4

 

1.27

%

 

2.00

%

 

1.87

%

 

1.23

%

 

 






















Total expenses after fees waived and paid indirectly and excluding interest expense

 

 

0.92

%4

 

0.92

%

 

0.81

%4

 

0.87

%

 

0.94

%

 

0.92

%

 

0.89

%

 

 






















Net investment income

 

 

7.89

%4

 

8.67

%

 

6.85

%4

 

6.86

%

 

7.26

%

 

7.58

%

 

9.23

%

 

 






















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
























 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets, end of period (000)

 

$

92,659

 

$

85,581

 

$

90,092

 

$

97,410

 

$

97,614

 

$

96,546

 

$

106,433

 

 

 






















Borrowings outstanding, end of period (000)

 

$

5,408

 

 

 

$

1,571

 

$

413

 

$

14,951

 

$

31,883

 

$

13,188

 

 

 






















Average borrowings outstanding, during the period (000)

 

$

502

 

$

303

 

$

391

 

$

7,240

 

$

21,104

 

$

30,406

 

$

27,562

 

 

 






















Portfolio turnover

 

 

45

%

 

61

%

 

27

%

 

34

%

 

56

%

 

51

%

 

31

%

 

 






















Asset coverage, end of period per $1,000

 

$

18,134

 

 

 

$

58,347

 

$

236,789

 

$

7,529

 

$

4,028

 

$

9,071

 

 

 























 

 

 

 

1

Based on average shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Annualized.


 

 

 

See Notes to Financial Statements.

 




92

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010



 


 

Notes to Financial Statements (Unaudited)

1. Organization and Significant Accounting Policies:

BlackRock Core Bond Trust (“BHK”), BlackRock Corporate High Yield Fund V, Inc. (“HYV”), BlackRock Corporate High Yield Fund VI, Inc. (“HYT”), BlackRock High Income Shares (“HIS”), BlackRock High Yield Trust (“BHY”), BlackRock Income Opportunity Trust, Inc. (“BNA”), BlackRock Income Trust, Inc. (“BKT”) and BlackRock Strategic Bond Trust (“BHD”) (collectively the “Trusts” or individually as the “Trust”) are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as diversified, closed-end management investment companies. HYV, HYT, BNA and BKT are organized as Maryland corporations. BHK, BHY and BHD are organized as Delaware statutory trusts. HIS is organized as a Massachusetts business trust. The Trusts’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America, which may require the use of management accruals and estimates. Actual results may differ from these estimates. The Boards of Directors and Boards of Trustees of the Trusts are referred to throughout this report as the “Board of Trustees” or the “Board.” The Trusts determine and make available for publication the net asset value of their Common Shares on a daily basis.

The following is a summary of significant accounting policies followed by the Trusts:

Valuation: The Trusts’ policy is to fair value their financial instruments at market value. The Trusts value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services selected under the supervision of each Trust’s Board. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establishes a benchmark yield and develops an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. To be announced (“TBA”) commitments are valued at the current market value of the underlying securities. Swap agreements are valued utilizing quotes received daily by the Trusts’ pricing service or through brokers, which are derived using daily swap curves and trades of underlying securities. Investments in open-end investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

Equity investments traded on a recognized securities exchange or the NASDAQ Global Market System are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that such prior day’s price no longer reflects the fair value of the security.

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 mid 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 day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and swaptions are valued by an independent pricing service using a mathematical model which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or is not available, the investment will be valued by a method approved by each Trust’s Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Trust’s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the Board or by the investment advisor using a pricing service and/or procedures approved by the Board.

Foreign Currency Transactions: Foreign currency amounts are translated into United States dollars on the following basis: (i) market value of investment securities, assets and liabilities at the current rate of exchange; and (ii) purchases and sales of investment securities, income and expenses at the rates of exchange prevailing on the respective dates of such transactions.

The Trusts report foreign currency related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.

 

 

 

 





 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

93




 


 

Notes to Financial Statements (continued)

Asset-Backed and Mortgaged-Backed Securities: Certain Trusts may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If a Trust has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

Certain Trusts may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by the Government National Mortgage Association (“GNMA”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by the Federal Home Loan Mortgage Corporation (“FHLMC”) and Federal National Mortgage Association (“FNMA”), including FNMA guaranteed Mortgage Pass-Through Certificates which are solely the obligations of the FNMA, are not backed by or entitled to the full faith and credit of the United States and are supported by the right of the issuer to borrow from the Treasury.

Certain Trusts invest a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedule 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.

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 GNMA, US government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes 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 investment is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying mortgage assets experience greater than anticipated pre-payments of principal, the Trusts may not fully recoup its initial investment in IOs.

Capital Trusts: These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities can have a rating that is slightly below that of the issuing company’s senior debt securities.

Preferred Stock: Certain Trusts may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loans: Certain Trusts may invest in floating rate loans, which are generally non-investment grade, made by banks, other financial institutions, and privately and publicly offered corporations. Floating rate loans are senior in the debt structure of a corporation. Floating rate loans generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally (i) the lending rate offered by one or more European banks, such as LIBOR (London Inter Bank Offered Rate), (ii) the prime rate offered by one or more US banks or (iii) the certificate of deposit rate. The Trusts consider these investments to be investments in debt securities for purposes of their investment policies.

The Trusts earn and/or pay facility and other fees on floating rate loans. Other fees earned/paid include commitment, amendment, consent and prepayment penalty fees. Facility, commitment and amendment fees are typically

 

 

 




94

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 


 

Notes to Financial Statements (continued)

amortized over the term of the loan. Consent fees and various other fees are recorded as income. Prepayment penalty fees are recorded as realized gains. When a Trust buys a floating rate loan it may receive a facility fee and when it sells a floating rate loan it may pay a facility fee. On an ongoing basis, the Trusts may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a floating rate loan. In certain circumstances, the Trusts may receive a prepayment penalty fee upon the prepayment of a floating rate loan by a borrower. Other fees received by the Trusts may include covenant waiver fees and covenant modification fees.

The Trusts may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loans are usually freely callable at the issuer’s option. The Trusts may invest in such loans in the form of participations in loans (“Participations”) and assignments of all or a portion of loans from third parties. Participations typically will result in the Trusts having a contractual relationship only with the lender, not with the borrower. The Trusts will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower.

In connection with purchasing Participations, the Trusts generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loans, nor any rights of offset against the borrower, and the Trusts may not benefit directly from any collateral supporting the loan in which it has purchased the Participation.

As a result, the Trusts will assume the credit risk of both the borrower and the lender that is selling the Participation. The Trusts’ investments in loan participation interests involve the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Trusts may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower.

Borrowed Bond Agreements: In a borrowed bond agreement, a Trust borrows securities from a third party, with the commitment that they will be returned to the lender on an agreed-upon date. Borrowed bond agreements are primarily entered into to settle short positions. In a borrowed bond agreement, the Trust’s prime broker or third party broker takes possession of the underlying collateral securities or cash to settle such short positions. The value of the underlying collateral securities or cash approximates the principal amount of the borrowed bond transaction, including accrued interest. To the extent that borrowed bond transactions exceed one business day, the value of the collateral with any counterparty is marked to market on a daily basis to ensure the adequacy of the collateral. If the lender defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the lender of the security, realization of the collateral by the Trust may be delayed or limited.

Mortgage Dollar Roll Transactions: Certain Trusts may sell mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed-upon price. During the period between the sale and repurchase, the Trusts will not be entitled to receive interest and principal payments on the securities sold. The Trusts account for dollar roll transactions as purchases and sales and realize gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that the Trusts are required to purchase may decline below the agreed upon repurchase price of those securities.

Treasury Roll Transactions: A treasury roll transaction involves the sale of a Treasury security, with an agreement to repurchase the same security at an agreed upon price and date. Treasury rolls constitute a borrowing and the difference between the sale and repurchase price represents interest expense at an agreed upon rate. Whether such a transaction produces a positive impact on performance depends upon whether the income and gains on the securities purchased with the proceeds received from the sale of the security exceeds the interest expense incurred by the Master Portfolio. Treasury rolls are not considered purchases and sales and any gains or losses incurred on the treasury rolls will be deferred until the Treasury securities are disposed.

Treasury roll transactions involve the risk that the market value of the securities that the Trusts are required to purchase may decline below the agreed upon purchase price of those securities. If investment performance of securities purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the treasury roll, the use of this technique will adversely impact the investment performance of the Trusts

Reverse Repurchase Agreements: Certain Trusts may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Trusts sell securities to a bank or broker-dealer and agrees to repurchase the securities at a mutually agreed upon date and price. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Trusts may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Trusts are obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Trusts’ use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Trusts’ obligation to repurchase the securities.

TBA Commitments: Certain Trusts may enter into TBA commitments to purchase or sell securities for a fixed price at a future date. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Trusts’ other assets.

Zero-Coupon Bonds: Each Trust 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.

 

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

95




 


 

Notes to Financial Statements (continued)

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the SEC require that the Trusts either delivers collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBAs beyond normal settlement, financial futures contracts, foreign currency exchange contracts, swaps, short sales and written options), or certain borrowings (e.g., reverse repurchase agreements, treasury rolls and loan payable) each Trust will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or other liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit securities as collateral for certain investments.

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 Trust has determined the ex-dividend date. Interest income is recognized on the accrual basis. The Trusts amortizes all premiums and discounts on debt securities. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statements of Operations.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital.

Income Taxes: It is each Trust’s policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on BHK, BHY, BNA, BKT and BHD’s US federal tax returns remains open for the two years ended October 31, 2007, the period ended August 31, 2008 and the year ended August 31, 2009. The statute of limitations on BHK and HIS’s US federal tax returns remains open for the two years ended December 31, 2007, the period ended August 31, 2008 and the year ended August 31, 2009. The statute of limitations on the HYV and HYT’s tax returns remains open for the four years ended August 31, 2009. The statutes of limitations on the Trusts’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Recent Accounting Standards: In June 2009, amended guidance was issued by the Financial Accounting Standards Board (“FASB”) for transfers of financial assets. This guidance is intended to improve the relevance, representational faithfulness and comparability of the information that a reporting entity provides in its financial statements about a transfer of financial assets; the effects of a transfer on its financial position, financial performance, and cash flows; and a transferor’s continuing involvement, if any, in transferred financial assets. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after November 15, 2009. Earlier application is prohibited. The recognition and measurement provisions of this guidance must be applied to transfers occurring on or after the effective date. Additionally, the enhanced disclosure provisions of the amended guidance should be applied to transfers that occurred both before and after the effective date of this guidance. The impact of this guidance on the Trusts’ financial statements and disclosures, if any, is currently being assessed.

In January 2010, the FASB issued amended guidance to improve disclosure about fair value measurements which will require additional disclosures about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. The impact of this guidance on the Trusts’ financial statements and disclosures is currently being assessed.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, non-interested Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of other certain BlackRock Closed-End Funds selected by the Independent Trustees. This has approximately the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in other certain BlackRock Closed-End Funds.

The deferred compensation plan is not funded and obligations there under represent general unsecured claims against the general assets of each Trust. Each Trust may, however, elect to invest in common shares of other certain BlackRock Closed-End Funds selected by the Independent Trustees in order to match its deferred compensation obligations. Investments to cover each Trust’s deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Funds investments under the plan are included in income — affiliated in the Statements of Operations.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods. 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

 

 

 




96

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 


 

Notes to Financial Statements (continued)

imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

Each Trust may engage in various portfolio investment strategies both to increase the returns of the Trusts and to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying instrument or if the counterparty does not perform under the contract. The Trusts may mitigate counterparty risk through master netting agreements included within an International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreement between a Trust and each of its counterparties. The ISDA Master Agreement allows each Trust to offset with its counterparty certain derivative financial instrument’s payables and/or receivables with collateral held with each counterparty. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Trusts from their counterparties are not fully collateralized contractually or otherwise, the Trusts bear the risk of loss from counterparty non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices.

The Trust’s maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain in excess of any collateral pledged by the counterparty to the Trusts. For OTC options purchased, the Trusts bears the risk of loss in the amount of the premiums paid and change in market value of the options should the counterparty not perform under the contracts. Options written by the Trusts do not give rise to counterparty credit risk, as options written obligate the Trusts to perform and not the counter-party. 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. Counterparty risk related to exchange-traded financial futures contracts and options is minimal because of the protection against defaults provided by the exchange on which they trade.

Financial Futures Contracts: The Trusts may purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are contracts for delayed delivery of securities or currencies at a specific future date and at a specific price or yield. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recognized by the Trusts as unrealized gains or losses. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures transactions involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Foreign Currency Exchange Contracts: The Trusts may enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio positions (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Trusts, help to manage the overall exposure to the currency backing some of the investments held by the Trusts. The contract is marked-to-market daily and the change in market value is recorded by the Trusts as an unrealized gain or loss. When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the US dollar.

Options: The Trusts may purchase and write call and put options to increase or decrease their exposure to underlying instruments (equity risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying instrument at the exercise price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise price at any time or at a specified time during the option period. When a Trust purchases (writes) an option, an amount equal to the premium paid (received) by a Trust 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 a Trust enters into a closing transaction), a Trust realizes a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premium received or paid). When a Trust writes a call option, such option is “covered,” meaning that a Trust holds the underlying instrument subject to being called by the option counterparty, or cash in an amount sufficient to cover the obligation. When a Trust writes a put option, such option is covered by cash in an amount sufficient to cover the obligation.

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 at any time before the expiration of the option.

The Portfolios may 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. When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold. Such transactions may be effected with respect to hedges on non-US dollar

 

 

 

 





 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

97




 


 

Notes to Financial Statements (continued)

denominated securities owned by the Portfolios but not yet delivered, or committed or anticipated to be purchased by the Portfolios.

In purchasing and writing options, a Trust bears the risk of an unfavorable change in the value of the underlying instrument or the risk that a Trust may not be able to enter into a closing transaction due to an illiquid market. Exercise of an option written could result in a Trust purchasing or selling a security at a price different from the current market value. The Trusts may execute transactions in both listed and OTC options.

Swaps: Each Trust may enter into swap agreements, in which a Trust and a counterparty agree to make periodic net payments on a specified notional amount. These periodic payments received or made by the Trusts are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Trust will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Trust’s basis in the contract, if any. Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counter-party to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

 

 

Credit default swaps — The Trusts may enter into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it is not otherwise exposed (credit risk). The Trusts enter into credit default agreements to provide a measure of protection against the default of an issuer (as buyer protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Trust may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign) or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, a Trust will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising of an index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising of an index. As a seller (writer), if an underlying credit event occurs, a Trust will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising of an index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising of an index.

 

 

Interest rate swaps — Each Trust may enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Interest rate floors, which are a type of interest rate swap, are agreements in which one party agrees to make payments to the other party to the extent that interest rates fall below a specified rate or floor in return for a premium. In more complex swaps, the notional principal amount may decline (or amortize) over time.

 

 

Total return swaps — Each Trust may enter into total return swaps to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party commits to pay interest in exchange for the total return (coupons plus capital gains/losses) of an underlying asset. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Trust will receive a payment from or make a payment to the counterparty.


 

 

 




98

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010



 


 

Notes to Financial Statements (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Instruments Categorized by Risk Exposure:

 

 

 

 


 

 

 

Values of Derivative Instruments as of February 28, 2010

 


 

 

 

Asset Derivatives

 

 

 


 

 

 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 

 

 


 

 

 

Statements of Assets and
Liabilities Location

 

Value

 


 

Interest rate contracts

 

Net unrealized appreciation/depreciation*; Unrealized appreciation on swaps; Investments at value — unaffiliated**

 

$

7,295,685

 

 

 

 

 

 

 

 

 

$

10,247,918

 

$

32,060,399

 

$

98,242

 

Foreign currency exchange contracts

 

Unrealized appreciation on foreign currency exchange contracts

 

 

782,895

 

$

2,199,139

 

$

2,300,529

 

$

276,678

 

 

 

 

571,797

 

 

 

 

140,039

 

Credit contracts

 

Unrealized appreciation on swaps

 

 

33,395

 

 

7,679

 

 

10,305

 

 

 

 

 

 

 

 

 

 

4,470

 

Equity contracts

 

Investments at value — unaffiliated**

 

 

 

 

 

 

 

 

 

$

570

 

 

 

 

 

 

1,140

 





























Total

 

 

 

$

8,111,975

 

$

2,206,818

 

$

2,310,834

 

$

276,678

 

$

570

 

$

10,819,715

 

$

32,060,399

 

$

243,891

 

 

 

 

 


























 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

Liability Derivatives

 

 

 


 

 

 

 

BHK

 

HYV

 

HYT

 

BHY

 

BNA

 

BKT

 

BHD

 

 

 


 

 

Statements of Assets and
Liabilities Location

 

Value

 


Interest rate contracts

 

Net unrealized appreciation/depreciation*; Unrealized depreciation on swaps; Options written at value; Floors at value

 

$

9,844,908

 

 

 

 

 

 

 

$

9,343,333

 

$

30,730,218

 

 

 

Foreign currency exchange contracts

 

Unrealized depreciation on foreign currency exchange contracts

 

 

7,052

 

$

25,648

 

$

28,448

 

 

 

 

7,061

 

 

 

$

1,258

 

Credit contracts

 

Unrealized depreciation on swaps

 

 

613,350

 

 

629,247

 

 

510,920

 

$

9,702

 

 

596,738

 

 

 

 

20,317

 


























Total

 

 

 

$

10,465,310

 

$

654,895

 

$

539,368

 

$

9,702

 

$

9,947,132

 

$

30,730,218

 

$

21,575

 

 

 

 

 























 

 

 

*

 

Includes cumulative unrealized appreciation/depreciation of financial futures contracts as reported in the Schedules of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.

 

 

 

**

 

Includes options purchased at value as reported in the Schedules of Investments.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


The Effect of Derivative Instruments on the Statements of Operations
Six Months Ended February 28, 2010


 

 

Net Realized Gain (Loss) from

 

 

 


 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 


Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

221,903

 

 

 

 

 

 

 

 

 

$

(1,029,593

)

$

(132,016

)

$

(153,187

)

Swaps

 

 

(42,053

)

 

 

 

 

 

 

 

 

 

6,549,900

 

 

(1,648,581

)

 

 

Options***

 

 

1,291,471

 

 

 

 

 

 

 

 

 

 

1,665,158

 

 

703,444

 

 

(7,751

)

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency transactions

 

 

337,074

 

$

(604,651

)

$

(570,339

)

$

(101,805

)

 

 

 

290,432

 

 

 

 

25,962

 

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

(85,899

)

 

(677,185

)

 

(676,124

)

 

 

$

5,871

 

 

(187,199

)

 

 

 

(119,009

)

Options

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(2,512

)


Total

 

$

1,722,496

 

$

(1,281,836

)

$

(1,246,463

)

$

(101,805

)

$

5,871

 

$

7,288,698

 

$

(1,077,153

)

$

(256,497

)

 

 

























 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

Net Change in Unrealized Appreciation/Depreciation on

 

 

 


 

 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 


Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

(992,477

)

 

 

 

 

 

 

 

 

$

(1,574,780

)

$

(754,309

)

$

109,425

 

Swaps

 

 

107,152

 

 

 

 

 

 

 

 

 

 

(4,503,213

)

 

(199,982

)

 

 

Options***

 

 

2,553,177

 

 

 

 

 

 

 

 

 

 

2,202,271

 

 

1,420,943

 

 

 

Foreign currency exchange contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign currency transactions

 

 

793,473

 

$

2,624,082

 

$

2,769,370

 

$

386,737

 

 

 

 

563,055

 

 

 

 

138,781

 

Credit contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Swaps

 

 

(42,752

)

 

453,929

 

 

506,226

 

 

 

$

(13,644

)

 

(23,295

)

 

 

 

(120,783

)

Options

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(37,363

)

Equity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options***

 

 

 

 

 

 

 

 

 

 

(2,430

)

 

 

 

 

 

(4,859

)


Total

 

$

2,418,573

 

$

3,078,011

 

$

3,275,596

 

$

386,737

 

$

(16,074

)

$

(3,335,962

)

$

466,652

 

$

85,201

 

 

 


























 

 

***

Options purchased are included in the net realized gain (loss) from investments and/or net change in unrealized appreciation/depreciation on investments.


 

 

 


SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

99



 


 

Notes to Financial Statements (continued)

For the six months ended February 28, 2010, the average quarterly balance of outstanding derivative financial instruments was as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



























 

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 



















Financial futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts purchased

 

 

729

 

 

 

 

 

 

 

 

 

 

947

 

 

276

 

 

32

 

Average number of contracts sold

 

 

921

 

 

 

 

 

 

 

 

 

 

1,270

 

 

893

 

 

9

 

Average notional value of contracts purchased

 

$

87,654,031

 

 

 

 

 

 

 

 

 

$

13,068,969

 

$

32,505,421

 

$

3,710,582

 

Average notional value of contracts sold

 

$

132,351,180

 

 

 

 

 

 

 

 

 

$

2,225,054

 

$

163,129,622

 

$

1,012,462

 

Foreign currency transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — US dollars purchased

 

 

6

 

 

9

 

 

9

 

 

3

 

 

 

 

4

 

 

 

 

5

 

Average number of contracts — US dollars sold

 

 

1

 

 

2

 

 

2

 

 

 

 

 

 

1

 

 

 

 

1

 

Average US dollar amounts purchased

 

$

16,954,478

 

$

36,954,018

 

$

38,730,836

 

$

5,716,835

 

 

 

$

13,068,969

 

 

 

$

2,443,861

 

Average US dollar amounts sold

 

$

2,191,098

 

$

1,394,634

 

$

1,458,205

 

 

 

 

 

$

2,225,054

 

 

 

$

323,338

 

Options purchased:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts

 

 

582

 

 

 

 

 

 

 

 

3

 

 

500

 

 

27

 

 

6

 

Average premium

 

$

5,951,580

 

 

 

 

 

 

 

$

2,933

 

$

3,516,739

 

$

1,072,630

 

$

5,867

 

Credit default swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — buy protection

 

 

24

 

 

14

 

 

14

 

 

 

 

3

 

 

22

 

 

 

 

5

 

Average number of contracts — sell protection

 

 

 

 

4

 

 

4

 

 

 

 

 

 

 

 

 

 

 

Average notional value — buy protection

 

$

14,874,500

 

$

11,213,375

 

$

11,275,250

 

 

 

$

335,000

 

$

10,841,000

 

 

 

$

1,290,000

 

Average notional value — sell protection

 

 

 

$

1,125,000

 

$

1,406,250

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts — pays fixed rate

 

 

11

 

 

 

 

 

 

 

 

 

 

6

 

 

10

 

 

 

Average number of contracts — receives fixed rate

 

 

10

 

 

 

 

 

 

 

 

 

 

10

 

 

10

 

 

 

Average notional value — pays fixed rate

 

$

46,000,000

 

 

 

 

 

 

 

 

 

$

48,600,000

 

$

296,030,000

 

 

 

Average notional value — receives fixed rate

 

$

84,745,000

 

 

 

 

 

 

 

 

 

$

140,505,000

 

$

287,111,600

 

 

 



























          See Note 4, Investments, for options written transactions for the period.

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”), Bank of America Corporation (“BAC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but BAC and Barclays are not.

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services for BHK, HYV, HYT, HIS, and BHD.

The following Trusts’ investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trust’s average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

 

 

 

 





BHK

 

0.55%

 

HIS

 

0.75% of the first
$200 million and
0.50% thereafter

 

BHY

 

1.05%

 

BHD

 

0.75%

 





The following Trusts’ investment advisory fee paid to the Manager is computed daily and payable monthly based on an annual rate of each Trust’s average total assets (including any assets attributable to borrowings) minus the sum of total liabilities (other than debt representing financial leverage):

 

 

 

 





HYV

 

0.60%

 

HYT

 

0.70%

 





The following Trusts’ investment advisory fee paid to the Manager is computed weekly and payable monthly based on an annual rate of each Trust’s average net assets:

 

 

 

 





BNA

 

0.60%

 

BKT

 

0.65%

 





The Manager has voluntarily agreed to waive a portion of the investment advisory fees or other expenses on BHD by 0.05% of its average weekly managed assets through February 28, 2010. This amount is included in fees waived by advisor on the Statements of Operations. For the six months ended February 28, 2010, the amount waived by BHD was $22,435.

BHY, BNA and BKT each have an Administration Agreement with the Manager. The administration fee paid to the Manager is computed weekly and payable monthly based on an annual rate, 0.10% for BNA, and 0.15% for BKT, of each Trust’s average net assets and 0.10% for BHY of the Trust’s average weekly managed assets.

 

 

 


100

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010



 


 

Notes to Financial Statements (continued)

The Manager has voluntarily agreed to waive its advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds, however the Manager does not waive its advisory fees by the amount of investment advisory fees through its investment in other affiliated investment companies. These amounts are included in fees waived by advisor in the Statements of Operations. For the six months ended February 28, 2010, the amounts waived were as follows:

 

 

 

 

 


 

 

Fees Waived
by Manager

 


BHK

 

$

509

 

HYV

 

$

942

 

HYT

 

$

1,047

 

HIS

 

$

657

 

BHY

 

$

563

 

BNA

 

$

576

 

BKT

 

$

73,734

 

BHD

 

$

684

 






The Manager has entered into a separate sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager, with respect to BHK, HYV, HYT, HIS, and BHD, under which the Manager pays BFM for services it provides, a monthly fee that is a percentage of the investment advisory fee paid by the Trust to the Manager.

For the six months ended February 28, 2010, certain Trusts reimbursed the Manager for certain accounting services, which are included in accounting services in the Statements of Operations.

 

 

 

 

 

 

 


 

 

Reimbursement

 


BHK

 

 

$

3,781

 

 

HYV

 

 

$

3,809

 

 

HYT

 

 

$

3,520

 

 

HIS

 

 

$

1,199

 

 

BHD

 

 

$

836

 

 








Certain officers and/or trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for compensation paid to the Trusts’ Chief Compliance Officer.

4. Investments:

Purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities and US government securities for the six months ended February 28, 2010, were as follows:

 

 

 

 

 

 

 

 


 

 

Purchases

 

Sales

 


BHK

 

$

819,220,600

 

$

753,094,510

 

HYV

 

$

237,056,131

 

$

194,637,909

 

HYT

 

$

231,884,805

 

$

193,162,235

 

HIS

 

$

71,172,590

 

$

64,673,293

 

BHY

 

$

23,352,016

 

$

18,918,019

 

BNA

 

$

824,799,735

 

$

709,160,623

 

BKT

 

$

3,134,705,560

 

$

2,822,393,209

 

BHD

 

$

47,909,177

 

$

39,424,787

 









Purchases and sales of US government securities for the six months ended February 28, 2010, were as follows:

 

 

 

 

 

 

 

 


 

 

Purchases

 

Sales

 


BHK

 

$

568,531,790

 

$

576,912,773

 

BNA

 

$

721,430,530

 

$

679,387,191

 

BKT

 

$

135,064,167

 

$

138,294,562

 

BHD

 

 

 

$

437,599

 









For the six months ended February 28, 2010, purchases and sales of mortgage dollar rolls were as follows:

 

 

 

 

 

 

 

 


 

 

Purchases

 

Sales

 


BHK

 

$

276,778,785

 

$

277,061,375

 

BNA

 

$

264,132,408

 

$

264,265,523

 

BKT

 

$

2,539,882,742

 

$

2,548,178,609

 









Transactions in options written for the six months ended February 28, 2010, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Calls

 

Puts

 

 


 



 

 

Contracts*

 

Premiums
Received

 

Contracts*

 

Premiums
Received










BHK

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options written, beginning of period

 

 

126

 

$

5,356,030

 

 

129

 

$

5,504,520

 

Options written

 

 

102

 

 

4,322,760

 

 

507

 

 

6,632,815

 

Options expired

 

 

(40

)

 

(1,618,407

)

 

(129

)

 

(1,164,152

)

Options closed

 

 

(111

)

 

(4,794,118

)

 

(121

)

 

(5,298,118

)

 

 



 



 



 



 

Outstanding options written, end of period

 

 

77

 

$

3,266,265

 

 

386

 

$

5,675,065

 

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















BNA

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options written, beginning of period

 

 

73

 

$

3,488,657

 

 

76

 

$

3,653,658

 

Options written

 

 

103

 

 

3,947,060

 

 

470

 

 

5,270,201

 

Options expired

 

 

(13

)

 

(569,440

)

 

(120

)

 

(927,163

)

Options exercised

 

 

(17

)

 

(835,977

)

 

 

 

 

Options closed

 

 

(71

)

 

(3,132,465

)

 

(81

)

 

(3,660,465

)

 

 



 



 



 



 

Outstanding options written, end of period

 

 

75

 

$

2,897,835

 

 

345

 

$

4,336,231

 

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 















BKT

 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options written, beginning of period

 

 

40

 

$

1,740,902

 

 

40

 

$

1,740,907

 

Options written

 

 

31

 

 

1,284,150

 

 

31

 

 

1,284,150

 

Options exercised

 

 

(17

)

 

(839,719

)

 

 

 

 

Options expired

 

 

(5

)

 

(221,725

)

 

(17

)

 

(839,725

)

Options closed

 

 

(31

)

 

(1,284,150

)

 

(36

)

 

(1,505,875

)

 

 



 



 



 



 

Outstanding options written, end of period

 

 

18

 

$

679,458

 

 

18

 

$

679,457

 

 

 



 



 



 



 


 

 

*

One contract represents a notional amount of $1 million or $2,500.


 

 

 

 





 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

101



 


 

Notes to Financial Statements (continued)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Calls

 

Puts

 

 

 


 


 

 

 

Contracts*

 

Premiums
Received

 

Contracts*

 

Premiums
Received

 











BHD

 

 

 

 

 

 

 

 

 

 

 

Outstanding options written, beginning of period

 

8

 

$

77,409

 

8

 

$

83,174

 

Options written

 

 

 

 

 

 

 

Options expired

 

 

 

 

(8

)

 

(83,174

)

Options exercised

 

 

 

 

 

 

 

Options closed

 

(8

)

 

(77,409

)

 

 

 

 

 


 



 


 



 

 

 

 

 

 

 

 

 

 

 

 

 

Outstanding options written, end of period

 

 

 

 

 

 

 

 

 


 



 


 



 


 

 

 

 

*

One contract represents a notional amount of $1 million.

5. Commitments:

Certain Trusts may invest in floating rate loans. In connection with these investments, the Trusts may also enter into unfunded corporate loans (“commitments”). Commitments may obligate the Trusts to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Trusts earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is classified in the Statements of Operations as facility and other fees, is recognized ratably over the commitment period. As of February 28, 2010, the following commitments were:

 

 

 

 

 

 

 

 







Borrower

 

Unfunded
Commitment

 

Value of
Underlying Loans

 







BHK

 

 

 

 

 

 

 









Cox Enterprises

 

$

1,950,000

 

$

1,966,468

 









HYV

 

 

 

 

 

 

 









Delphi International Holdings

 

$

1,277,361

 

$

1,106,639

 

New Vision, Exit Term Loan

 

$

23,191

 

$

23,307

 









HYT

 

 

 

 

 

 

 









Delphi International Holdings

 

$

656,788

 

$

569,007

 

New Vision, Exit Term Loan

 

$

23,191

 

$

23,307

 









HIS

 

 

 

 

 

 

 









Delphi International Holdings

 

$

36,830

 

$

31,908

 









BHY

 

 

 

 

 

 

 









Delphi International Holdings

 

$

72,738

 

$

63,016

 









BHD

 

 

 

 

 

 

 









Delphi International Holdings

 

$

161,436

 

$

139,859

 









6. Capital Loss Carryforwards:

As of August 31, 2009, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



















Expires August 31,

 

BHK

 

HYV

 

HYT

 

HIS

 

BHY

 

BNA

 

BKT

 

BHD

 



















2010

 

 

 

 

 

 

 

$

102,576,339

 

$

8,468,860

 

 

 

 

 

 

 

2011

 

 

 

 

 

 

 

 

28,467,396

 

 

4,771,417

 

 

 

 

 

 

 

2012

 

 

 

 

 

 

 

 

2,339,279

 

 

316,410

 

 

 

 

 

 

 

2014

 

$

4,880,373

 

 

 

$

2,291,195

 

 

7,043,976

 

 

2,060,533

 

$

2,451,626

 

 

 

$

447,113

 

2015

 

 

 

 

 

 

564,489

 

 

 

 

2,467,772

 

 

2,342,921

 

$

8,384,779

 

 

 

2016

 

 

17,415,494

 

$

950,802

 

 

1,125,717

 

 

10,829,322

 

 

2,039,760

 

 

14,734,497

 

 

20,304,187

 

 

2,036,040

 

2017

 

 

7,416,000

 

 

37,231,421

 

 

40,815,806

 

 

3,140,056

 

 

916,541

 

 

7,369,088

 

 

 

 

930,008

 

 

 

























Total

 

$

29,711,867

 

$

38,182,223

 

$

44,797,207

 

$

154,396,368

 

$

21,041,293

 

$

26,898,132

 

$

28,688,966

 

$

3,413,161

 

 

 

























7. Market and Credit Risk:

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Trusts may be exposed to counterparty risk, or the risk that an entity with which the Trusts have unsettled or open transactions may default. Financial assets, which potentially expose the Trusts to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Trusts’ exposure to credit and counterparty risks with respect to these financial assets is generally approximated by their value recorded in the Trusts’ Statements of Assets and Liabilities, less any collateral held by the Trusts.

8. Capital Share Transactions:

There are 200 million of $0.01 par value shares authorized for BNA and BKT. There are an unlimited number of $0.001 par value shares authorized for BHK, BHY and BHD. There are an unlimited number of no par value shares authorized for HIS. There are 200 million of $0.10 par value shares authorized for HYV and HYT.

 

 

 




102

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010



 


 

Notes to Financial Statements (continued)

During the six months ended February 28, 2010 and the year ended August 31, 2009, the shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

 

 

 

 

 

 

 







 

 

Six Months
Ended
February 28,
2010

 

Year Ended
August 31,
2009

 







BHK

 

 

— 

 

 

4,253

 

BHY

 

 

— 

 

 

8,666

 

BNA

 

 

— 

 

 

6,677

 









Shares issued and outstanding remained constant during the six months ended February 28, 2010 and the year ended August 31, 2009 for HYV, HYT, HIS, BKT and BHD.

9. Borrowings:

On March 5, 2009, HYV, HVT, HIS and BHY entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). The Trusts have granted a security interest in substantially all of their assets to SSB. The agreement allowed for the maximum commitment amounts:

 

 

 

 

 





 

 

Commitment
Amount

 





HYV

 

$

127,000,000

 

HYT

 

$

135,000,000

 

HIS

 

$

41,000,000

 

BHY

 

$

16,000,000

 






Advances are made by SSB to the Trusts, at the Trusts’ option of (a) the higher of (i) 1.0% above the Fed Effective Rate and (ii) 1.0% above the Overnight LIBOR or (b) 1.0% above 7-day, 30-day, 60-day or 90-day LIBOR. In addition, the Trusts pay a facility fee and a commitment fee based upon SSB’s total commitment to the Trusts. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Trusts as of February 28, 2010 are shown in the Statements of Assets and Liabilities as loan payable. The SSB Agreement was renewed for 364 days under substantially the same terms effective March 4, 2010. In addition, BHD entered into the SSB Agreement. The agreement allows for the following maximum commitment amounts:

 

 

 

 

 





 

 

Commitment
Amount

 





HYV

 

$

140,000,000

 

HYT

 

$

145,000,000

 

HIS

 

$

45,000,000

 

BHY

 

$

18,000,000

 

BHD

 

$

30,000,000

 






The Trusts may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

On August 28, 2009, BHK, BNA and BKT borrowed under the Term Asset-Backed Securities Loan Facility (“TALF”). The TALF program was launched by the U.S. Department of Treasury and the Federal Reserve Board as a credit facility designed to restore liquidity to the market for asset-backed securities. The Federal Reserve Bank of New York (“FRBNY”) will provide up to $1 trillion in non-recourse loans to support the issuance of certain AAA-rated asset-backed securities and commercial mortgage-backed securities (“Eligible Securities”). Each Trust posted as collateral already-held Eligible Securities, which were all commercial mortgage-backed securities, in return for non-recourse, 5-year term loans (“TALF loans”) in an amount equal to approximately 85% of the value of such Eligible Securities. The TALF loans are shown as loans payable on the Statements of Assets and Liabilities. The following is a summary of the outstanding TALF loans and related information as of February 28, 2010:

 

 

 

 

 

 

 

 

 

 

 

 

 

 













 

 

Number
of Loans

 

Aggregate
Amount
of Loans

 

Maturity
Date(s)

 

Interest
Rates

 

Value of
Eligible
Securities

 













BHK

 

1

 

$

11,805,458

 

8/28/14

 

3.87%

 

$

14,417,848

 

BNA

 

1

 

$

11,805,458

 

8/28/14

 

3.87%

 

$

14,417,848

 

BKT

 

1

 

$

11,775,941

 

8/28/14

 

3.87%

 

$

14,476,036

 















The non-recourse provision of the TALF loans allows the Trusts to satisfy loan obligations with Eligible Securities, subject to certain conditions, even if the value of the Eligible Securities falls below the outstanding amount of the loan. The Trusts can repay TALF loans prior to the maturity dates with no penalty. Principal and interest due on the loans will typically be paid with principal paydowns and interest received from the Eligible Securities. Credit agreements underlying each loan contain provisions to address instances in which interest payments on Eligible Securities fall short of amounts due to the FRBNY. The Trusts paid to the FRBNY a one time administration fee of 0.20% of the amount borrowed, which was expensed as incurred in the current period by the Trusts and is included in borrowing costs in the Statements of Operations. Each Trust also pays a financing fee equal to the 5-year LIBOR swap rate plus 1.00% on the outstanding loan amount payable monthly, which is included in interest expense in the Statements of Operations.

Since the Trusts have the ability to potentially satisfy TALF loan obligations by surrendering Eligible Securities, potential losses by the Trusts associated with the TALF loans are limited to the difference between the amount of Eligible Securities posted at the time of loan initiation and the loan proceeds received by the Trusts.

The Trusts have elected to account for the outstanding TALF loans at fair value. The Trusts elected to fair value its TALF loans to more closely align changes in the value of the TALF loans with changes in the value of the Eligible Securities and to reduce the potential volatility in the Statements of Operations which could result if only the Eligible Securities were fair valued. In fair valuing TALF loans, the Trusts considers various factors such as observable market transactions, if available, changes in the value of Eligible Securities, interest rate movements, and the potential likelihood and timing of loan repayments. Any change in unrealized gain or loss associated with fair valuing TALF loans will be reflected in the Statements of Operations. As of February 28, 2010, the fair value of each Trust’s TALF loan obligation was determined to be equal to its face value and as a result there were no unrealized gains or losses recorded by the Trusts.

 

 

 




SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

103



 


 

Notes to Financial Statements (concluded)

For the six months ended February 28, 2010, the daily weighted average interest rates for funds with reverse repurchase agreements, treasury rolls and TALF loans were as follows:

 

 

 

 

 






 

 

Daily Weighted
Average
Interest Rate

 






BHK

 

 

0.47%

 

BNA

 

 

0.45%

 

BKT

 

 

3.58%

 






For the six months ended February 28, 2010, the daily weighted average interest rates for funds with loans under the revolving credit agreements were as follows:

 

 

 

 

 






 

 

Daily Weighted
Average
Interest Rate

 






HYV

 

 

1.20%

 

HYT

 

 

1.21%

 

HIS

 

 

1.19%

 

BHY

 

 

1.19%

 






For the six months ended February 28, 2010, the daily weighted average interest rates for funds with reverse repurchase agreements were as follows:

 

 

 

 

 






 

 

Daily Weighted
Average
Interest Rate

 






BHD

 

 

0.41%

 






10. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

Each Trust paid a net investment income dividend on March 31, 2010 to Common Shareholders of record on March 15, 2010 as follows:

 

 

 

 

 






BHK

 

$

0.0670

 

HYV

 

$

0.0825

 

HYT

 

$

0.0825

 

HIS

 

$

0.0142

 

BHY

 

$

0.0435

 

BNA

 

$

0.0510

 

BKT

 

$

0.0240

 

BHD

 

$

0.0745

 







 

 

 



104

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 


 

Officers and Trustees


 

 

 

Richard E. Cavanagh, Chairman of the Board and Trustee
Karen P. Robards, Vice Chair of the Board, Chair of the Audit Committee and Trustee

G. Nicholas Beckwith, III, Trustee

Richard S. Davis, Trustee

Kent Dixon, Trustee and Member of the Audit Committee

Frank J. Fabozzi, Trustee and Member of the Audit Committee

Kathleen F. Feldstein, Trustee

James T. Flynn, Trustee and Member of the Audit Committee

Henry Gabbay, Trustee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee and Member of the Audit Committee

Anne Ackerley, Trust President and Chief Executive Officer

Brendan Kyne, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Brian Kindelan, Chief Compliance Officer of the Trusts

Howard Surloff, Secretary

 

Investment Advisor

 

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Sub-Advisor

 

BlackRock Financial Management, Inc.

New York, NY 10055

 

Custodian

 

State Street Bank and Trust Company

Boston, MA 02111

 

Transfer Agent

 

Common Stock:

Computershare Trust Company, N.A.

Providence, RI 02940

 

Accounting Agent

 

State Street Bank and Trust Company

Princeton, NJ 08540

 

Independent Registered Public Accounting Firm

 

Deloitte & Touche LLP

Princeton, NJ 08540

 

Legal Counsel

 

Skadden, Arps, Slate, Meagher & Flom LLP

New York, NY 10036

 

Address of the Trusts

 

BlackRock Closed-End Funds

c/o BlackRock Advisors, LLC

100 Bellevue Parkway

Wilmington, DE 19809

 

 


 

 

 

Effective January 1, 2010, Kent Dixon, a Trustee of the Trusts, retired.

 

 

 

 

 

Effective March 31, 2010, G. Nicholas Beckwith, III, a Trustee of the Trusts, resigned.

 

 

 

 

 

The Trusts’ Board of Trustees wishes both Mr. Dixon and Mr. Beckwith well.

 

 

 


 


 

 

 

 





 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

105



 


 

Additional Information


 


Dividend Policy


 

The Trusts’ dividend policy is to distribute all or a portion of their net investment income to their shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.


 


General Information


 

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

 

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charter or by-laws that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. Other than as disclosed below, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolio.

 

Quarterly performance, semi-annual and annual reports and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website into this report.

 

Electronic Delivery

 

Electronic copies of most financial reports are available on the Trusts’ website or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Trusts’ electronic delivery program.

 

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

 

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

 

Householding

 

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call (800) 441-7762.

 

Availability of Quarterly Schedule of Investments

 

Each Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling (202) 551-8090. Each Trust’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

 

Availability of Proxy Voting Policies and Procedures

 

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

 

Availability of Proxy Voting Record

 

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.


 

 

 


106

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010




 


 

Additional Information (concluded)


 


Section 19(a) Notices


 

These reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Trust’s investment experience during the year and may be subject to changes based on the tax regulations. Each Trust will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income tax purposes.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

February 28, 2010

 

 






 

 

Total Cumulative Distributions
for the Fiscal Year-to-Date

 

% Breakdown of the Total Cumulative Distributions
for the Fiscal Year-to-Date

 

 


 


 

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share

 

Net
Investment
Income

 

Net
Realized
Capital
Gains

 

Return
of
Capital

 

Total Per
Common
Share


















BHY

 

$

0.24931

 

 

$

0.01169

 

$

0.26100

 

96%

 

 

4%

 

100%





















Each Trust estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Trust is returned to the shareholder. A return of capital does not necessarily reflect a Trust’s investment performance and should not be confused with ‘yield’ or ‘income.’

 


BlackRock Privacy Principles


 

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

 

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

 

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

 

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

 

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.


 

 

 

 





 

SEMI-ANNUAL REPORT

FEBRUARY 28, 2010

107



This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

 

(PAPERLESS LOGO)

(BLACKROCK LOGO)

 

 


 

#CEF-1-8-02/10


Item 2 –

Code of Ethics – Not Applicable to this semi-annual report

   

Item 3 –

Audit Committee Financial Expert – Not Applicable to this semi-annual report

   

Item 4 –

Principal Accountant Fees and Services – Not Applicable to this semi-annual report

   

Item 5 –

Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

   

Item 6 –

Investments

 

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.

 

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

   

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

   

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies – Not Applicable to this semi-annual report

   

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

   

Item 10 –

Submission of Matters to a Vote of Security Holders – The registrant’s Nominating and Governance Committee will consider nominees to the board of directors recommended by shareholders when a vacancy becomes available. Shareholders who wish to recommend a nominee should send nominations that include biographical information and set forth the qualifications of the proposed nominee to the registrant’s Secretary. There have been no material changes to these procedures.

   

Item 11 –

Controls and Procedures

   

11(a) –

The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13(a)-15(b) under the Securities Exchange Act of 1934, as amended.

   

11(b) –

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

   

Item 12 –

Exhibits attached hereto

   

12(a)(1) –

Code of Ethics – Not Applicable to this semi-annual report

   

12(a)(2) –

Certifications – Attached hereto

   

12(a)(3) –

Not Applicable


12(b) –

Certifications – Attached hereto

   

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

   

 

BlackRock Income Trust, Inc.

   
  By: /s/ Anne F. Ackerley  
    Anne F. Ackerley
    Chief Executive Officer of
    BlackRock Income Trust, Inc.
   
  Date: April 28, 2010
   
  Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
   
  By: /s/ Anne F. Ackerley  
    Anne F. Ackerley
    Chief Executive Officer (principal executive officer) of
    BlackRock Income Trust, Inc.
   
  Date: April 28, 2010
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Income Trust, Inc.
     
  Date: April 28, 2010