UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:             811-21349 
 
 
BlackRock Limited Duration Income Trust

(Exact name of Registrant as specified in charter)
   
100 Bellevue Parkway, Wilmington, DE 
19809 


(Address of principal executive offices) 
(Zip code) 

Robert S. Kapito, President
BlackRock Limited Duration Income Trust
40 East 52nd Street, New York, NY 10022

(Name and address of agent for service)
   
Registrant's telephone number, including area code:             888-825-2257
 
   
Date of fiscal year end:             October 31, 2005
 
   
Date of reporting period:             October 31, 2005
 

 


Item 1. Reports to Shareholders.
The Registrant’s annual report to shareholders is as follows:



 

 

 

 

 

 

 

 

 

FIXED INCOME

 

LIQUIDITY

 

EQUITIES

 

ALTERNATIVES

 

BLACKROCK SOLUTIONS


 

 

 

 

 

BlackRock

 

Closed-End Funds

 

Annual Report

 

 

 

OCTOBER 31, 2005

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

 

 

 

BlackRock Core Bond Trust (BHK)

 

 

 

BlackRock High Yield Trust (BHY)

 

 

 

BlackRock Income Opportunity Trust (BNA)

 

 

 

BlackRock Income Trust Inc. (BKT)

 

 

 

BlackRock Limited Duration Income Trust (BLW)

 

 

 

BlackRock Strategic Bond Trust (BHD)

 

 

 

 

 

 

 

 


 

 

 

(BLACKROCK LOGO)

NOT FDIC INSURED

 

MAY LOSE VALUE

 

NO BANK GUARANTEE

 




TABLE OF CONTENTS

 

 

 

Letter to Shareholders

 

1

 

 

 

Trusts’ Summaries

 

2

 

 

 

Portfolios of Investments

 

9

 

 

 

Financial Statements

 

 

 

 

 

Statements of Assets and Liabilities

 

60

 

 

 

Statements of Operations

 

62

 

 

 

Statements of Cash Flows

 

64

 

 

 

Statements of Changes in Net Assets

 

66

 

 

 

Financial Highlights

 

69

 

 

 

Notes to Financial Statements

 

76

 

 

 

Report of Independent Registered Public Accounting Firm

 

88

 

 

 

Directors/Trustees Information

 

89

 

 

 

Dividend Reinvestment Plans

 

92

 

 

 

Board Review of Investment Management Agreements

 

93

 

 

 

Additional Information

 

96

 

 

 

Tax Information

 

98


 

 

 

Privacy Principles of the Trusts

 

 

 

          The Trusts are committed to maintaining the privacy of shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information the Trusts collect, how we protect that information and why, in certain cases, we may share information with select other parties.

 

 

 

          Generally, the Trusts do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of shareholders may become available to the Trusts. The Trusts do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).

 

 

 

          The Trusts restrict access to non-public personal information about their shareholders to BlackRock employees with a legitimate business need for the information. The Trusts maintain physical, electronic and procedural safeguards designed to protect the non-public personal information of their shareholders.

 

 



LETTER TO SHAREHOLDERS

October 31, 2005

Dear Shareholder:

          We are pleased to report that during the annual period, the Trusts provided the opportunity to invest in various portfolios of fixed income securities. This report contains the Trusts’ audited financial statements and a listing of the portfolios’ holdings.

          The portfolio management team continuously monitors the fixed income markets and adjusts the portfolios in order to gain exposure to various issuers and security types. This strategy enables the Trusts to move among different sectors, credits and coupons to capitalize on changing market conditions.

          The following table shows the Trusts’ yields, closing market prices per share and net asset values (“NAV”) per share as of October 31, 2005.

 

 

 

 

 

 

 








Trust

Yield1

Market Price

NAV





BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

5.67

%

$ 15.86

 

$ 14.63

 








BlackRock Core Bond Trust (BHK)

6.76

 

13.69

 

14.27

 








BlackRock High Yield Trust (BHY)

9.02

 

7.36

 

7.48

 








BlackRock Income Opportunity Trust (BNA)

6.81

 

10.90

 

11.56

 








BlackRock Income Trust Inc. (BKT)

7.48

 

5.90

 

6.54

 








BlackRock Limited Duration Income Trust (BLW)

8.36

 

17.48

 

19.17

 








BlackRock Strategic Bond Trust (BHD)

8.48

 

12.45

 

13.68

 









 

 

1

Yield is based on market price. Past performance does not guarantee future results.

          BlackRock, Inc. (“BlackRock”), a world leader in asset management, has a proven commitment to managing fixed income securities. As of September 30, 2005, BlackRock managed $287 billion in fixed income securities, including 20 open-end and 48 closed-end bond funds. BlackRock is recognized for its emphasis on risk management and proprietary analytics and for its reputation managing money for the world’s largest institutional investors. BlackRock Advisors, Inc., and its affiliate, BlackRock Financial Management, Inc., which manage the Trusts, are wholly owned subsidiaries of BlackRock, Inc.

          On behalf of BlackRock, we thank you for your continued confidence and assure you that we remain committed to excellence in managing your assets.

Sincerely,

 

 

(-s- Laurence D. Fink)

(-s- Ralph L. Schlosstein)

Laurence D. Fink

Ralph L. Schlosstein

Chief Executive Officer

President

BlackRock Advisors, Inc.

BlackRock Advisors, Inc.

1


 

 

TRUST SUMMARIES
OCTOBER 31, 2005

 

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

 


Trust Information

 

 

 

 





Symbol on American Stock Exchange:

 

BCT




Initial Offering Date:

 

June 17, 1993




Closing Market Price as of 10/31/05:

 

$15.86

 





Net Asset Value as of 10/31/05:

 

$14.63

 





Yield on Closing Market Price as of 10/31/05 ($15.86):1

 

5.67

%





Current Monthly Distribution per Share:2

 

$0.075

 





Current Annualized Distribution per Share:2

 

$0.900

 





 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 






 

10/31/05

10/31/04

Change

High

Low







Market Price

$15.86

$15.80

0.38

%

$16.16

$15.25







NAV

$14.63

$15.98

(8.45

)%

$15.95

$14.63







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

 

 

 

 

 






Composition

October 31, 2005

October 31, 2004




U.S. Government and Agency Securities

46

%

63

%






Corporate Bonds

18

 

6

 






Agency Multiple Class Mortgage Pass-Throughs

16

 

13

 






Taxable Municipal Bonds

9

 

5

 






Interest Only Mortgage-Backed Securities

6

 

7

 






Inverse Floating Rate Mortgages

4

 

4

 






Mortgage Pass-Through Securities

1

 

1

 






Commercial Mortgage-Backed Securities

 

1

 







Corporate Credit Breakdown3

 

 

 

 

 




Credit Rating

October 31, 2005

October 31, 2004




AAA/Aaa

7

%

%






AA/Aa

54

 

42

 






A

23

 

43

 






BBB/Baa

15

 

13

 






CCC/Caa

1

 

2

 








 

 

3

Using the higher of Standard & Poor’s (“S&P”), Moody’s Investors Service (“Moody’s”) or Fitch Ratings (“Fitch”) rating. Corporate bonds represented approximately 15.5% and 8.7% of net assets on October 31, 2005 and October 31, 2004, respectively.

2


 

TRUST SUMMARIES
OCTOBER 31, 2005

BlackRock Core Bond Trust (BHK)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BHK

 





Initial Offering Date:

 

November 27, 2001

 





Closing Market Price as of 10/31/05:

 

 

$

13.69

 

 








Net Asset Value as of 10/31/05:

 

 

$

14.27

 

 








Yield on Closing Market Price as of 10/31/05 ($13.69):1

 

 

 

6.76

%

 








Current Monthly Distribution per Share:2

 

 

$

0.0771

 

 








Current Annualized Distribution per Share:2

 

 

$

0.9252

 

 









 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/05

 

10/31/04

 

Change

 

High

 

Low

 













Market Price

 

$13.69

 

$14.02

 

(2.35

)%

 

$14.69

 

$13.15

 


















NAV

 

$14.27

 

$15.22

 

(6.24

)%

 

$15.36

 

$14.23

 


















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

 

 

 

 

 

 

 






Composition

 

October 31, 2005

 

October 31, 2004






Corporate Bonds

 

42

%

 

45

%








U.S. Government and Agency Securities

 

31

 

 

27

 








Mortgage Pass-Through Securities

 

15

 

 

15

 








Commercial Mortgage-Backed Securities

 

6

 

 

2

 








Collateralized Mortgage Obligations

 

2

 

 

1

 








Foreign Government Bonds

 

2

 

 

7

 








Interest Only Mortgage-Backed Securities

 

1

 

 

2

 








Asset-Backed Securities

 

1

 

 

1

 








Corporate Credit Breakdown3

 

 

 

 

 

 

 






Credit Rating

 

October 31, 2005

 

October 31, 2004






AAA/Aaa

 

5

%

 

4

%








AA/Aa

 

25

 

 

21

 








A

 

13

 

 

26

 








BBB/Baa

 

13

 

 

19

 








BB/Ba

 

12

 

 

7

 








B

 

23

 

 

18

 








CCC/Caa

 

6

 

 

2

 








Not Rated

 

3

 

 

3

 








 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 53.3% and 61.6% of net assets on October 31, 2005 and October 31, 2004, respectively.

3


 

TRUST SUMMARIES
OCTOBER 31, 2005

BlackRock High Yield Trust (BHY)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BHY

 





Initial Offering Date:

 

December 23, 1998

 





Closing Market Price as of 10/31/05:

 

 

$

7.36

 

 








Net Asset Value as of 10/31/05:

 

 

$

7.48

 

 








Yield on Closing Market Price as of 10/31/05 ($7.36):1

 

 

 

9.02

%

 








Current Monthly Distribution per Share:2

 

 

$

0.055333

 

 








Current Annualized Distribution per Share:2

 

 

$

0.663996

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/05

 

10/31/04

 

Change

 

High

 

Low

 













Market Price

 

$7.36

 

$9.30

 

(20.86

)%

 

$10.15

 

$7.11

 


















NAV

 

$7.48

 

$7.95

 

(5.91

)%

 

$  8.15

 

$7.33

 


















The following charts show the porfolio composition and credit quality allocations of the Trust’s corporate bond investments:

Corporate Portfolio Composition

 

 

 

 

 

 

 






Composition

 

October 31, 2005

 

October 31, 2004






Energy

 

19

%

 

19

%








Financial Institutions

 

14

 

 

15

 








Basic Materials

 

12

 

 

14

 








Telecommunications

 

8

 

 

11

 








Media

 

7

 

 

9

 








Consumer Products

 

7

 

 

5

 








Industrials

 

6

 

 

4

 








Technology

 

5

 

 

2

 








Health Care

 

4

 

 

4

 








Transportation

 

3

 

 

4

 








Entertainment & Leisure

 

3

 

 

3

 








Building & Development

 

3

 

 

2

 








Aerospace & Defense

 

3

 

 

2

 








Containers & Packaging

 

2

 

 

2

 








Automotive

 

2

 

 

2

 








Ecological Services & Equipment

 

1

 

 

1

 








Real Estate

 

1

 

 

1

 








Corporate Credit Breakdown3

 

 

 

 

 

 

 






Credit Rating

 

October 31, 2005

 

October 31, 2004






BBB/Baa

 

3

%

 

2

%








BB/Ba

 

32

 

 

31

 








B

 

51

 

 

54

 








CCC/Caa

 

14

 

 

11

 








CC/Ca

 

 

 

1

 








Not Rated

 

 

 

1

 








 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 133.8% and 135.4% of net assets on October 31, 2005 and October 31, 2004, respectively.

4


 

TRUST SUMMARIES
OCTOBER 31, 2005

BlackRock Income Opportunity Trust (BNA)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BNA

 





Initial Offering Date:

 

December 20, 1991

 





Closing Market Price as of 10/31/05:

 

 

$

10.90

 

 








Net Asset Value as of 10/31/05:

 

 

$

11.56

 

 








Yield on Closing Market Price as of 10/31/05 ($10.90):1

 

 

 

6.81

%

 








Current Monthly Distribution per Share:2

 

 

$

0.0619

 

 








Current Annualized Distribution per Share:2

 

 

$

0.7428

 

 









 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/05

 

10/31/04

 

Change

 

High

 

Low

 













Market Price

 

$10.90

 

$11.38

 

(4.22

)%

 

$11.52

 

$10.49

 


















NAV

 

$11.56

 

$12.38

 

(6.62

)%

 

$12.37

 

$11.52

 


















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

 

 

 

 

 

 

 






Composition

 

October 31, 2005

 

October 31, 2004






U.S. Government and Agency Securities

 

37

%

 

33

%








Corporate Bonds

 

35

 

 

46

 








Mortgage Pass-Through Securities

 

13

 

 

14

 








Agency Multiple Class Mortgage Pass-Through Securities

 

5

 

 

1

 








Commercial Mortgaged-Backed Securities

 

4

 

 

 








Non-Agency Multiple Class Mortgage Pass-Through Securities

 

1

 

 

2

 








Interest Only Mortgage-Backed Securities

 

1

 

 

2

 








Interest Only Asset-Backed Securities

 

1

 

 

1

 








Federal Housing Administration

 

1

 

 

1

 








Collateralized Mortgage Obligations

 

1

 

 

 








Inverse Floating Rate Mortgage Securities

 

1

 

 

 








Corporate Credit Breakdown3

 

 

 

 

 

 

 






Credit Rating

 

October 31, 2005

 

October 31, 2004






AAA/Aaa

 

8

%

 

6

%








AA/Aa

 

17

 

 

18

 








A

 

9

 

 

21

 








BBB/Baa

 

19

 

 

27

 








BB/Ba

 

15

 

 

9

 








B

 

24

 

 

15

 








CCC/Caa

 

6

 

 

2

 








Not Rated

 

2

 

 

2

 








 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 46.6% and 71.2% of net assets on October 31, 2005 and October 31, 2004, respectively.

5


 

TRUST SUMMARIES
OCTOBER 31, 2005

BlackRock Income Trust Inc. (BKT)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BKT

 





Initial Offering Date:

 

July 22, 1988

 





Closing Market Price as of 10/31/05:

 

 

$

5.90

 

 








Net Asset Value as of 10/31/05:

 

 

$

6.54

 

 








Yield on Closing Market Price as of 10/31/05 ($5.90):1

 

 

 

7.48

%

 








Current Monthly Distribution per Share:2

 

 

$

0.036787

 

 








Current Annualized Distribution per Share:2

 

 

$

0.44144

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/05

 

10/31/04

 

Change

 

High

 

Low

 













Market Price

 

$5.90

 

$7.50

 

(21.33

)%

 

$7.62

 

$5.84

 


















NAV

 

$6.54

 

$6.95

 

(5.90

)%

 

$6.95

 

$6.53

 


















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

Portfolio Composition

 

 

 

 

 

 

 






Composition

 

October 31, 2005

 

October 31, 2004






U.S. Government and Agency Securities

 

30

%

 

32

%








Mortgage Pass-Through Securities

 

23

 

 

23

 








Agency Multiple Class Mortgage Pass-Through Securities

 

14

 

 

12

 








Collateralized Mortgage Obligations

 

13

 

 

10

 








Interest Only Mortgage-Backed Securities

 

7

 

 

10

 








Principal Only Mortgage-Backed Securities

 

5

 

 

6

 








Non Agency Multiple Class Mortgage Pass-Through Securities

 

2

 

 

 








Collateralized Mortgage Obligation Residuals

 

2

 

 

 








Federal Housing

 

2

 

 

2

 








Inverse Floating Rate Mortgage Securities

 

1

 

 

2

 








Interest Only Asset-Backed Securities

 

1

 

 

1

 








Commercial Mortgage-Backed Securities

 

 

 

2

 








6


 

TRUST SUMMARIES
OCTOBER 31, 2005

BlackRock Limited Duration Income Trust (BLW)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BLW

 





Initial Offering Date:

 

July 30, 2003

 





Closing Market Price as of 10/31/05:

 

 

$

17.48

 

 








Net Asset Value as of 10/31/05:

 

 

$

19.17

 

 








Yield on Closing Market Price as of 10/31/05 ($17.48):1

 

 

 

8.36

%

 








Current Monthly Distribution per Share:2

 

 

$

0.1218

 

 








Current Annualized Distribution per Share:2

 

 

$

1.4616

 

 









 

 

1

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

2

The distribution is not constant and is subject to change.

The table below summarizes the Trust’s market price and NAV:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/05

 

10/31/04

 

Change

 

High

 

Low

 













Market Price

 

$17.48

 

$19.95

 

(12.38

)%

 

$20.33

 

$17.30

 


















NAV

 

$19.17

 

$20.13

 

(4.77

)%

 

$20.20

 

$19.03

 


















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

 

 

 

 

 

 

 






Composition

 

October 31, 2005

 

October 31, 2004






Corporate Bonds

 

43

%

 

43

%








Bank Loans

 

32

 

 

31

 








Mortgage Pass-Through Securities

 

15

 

 

16

 








U.S. Government and Agency Securities

 

4

 

 

4

 








Foreign Government Bonds

 

2

 

 

2

 








Asset-Backed Securities

 

2

 

 

1

 








Collateralized Mortgage Obligations

 

1

 

 

2

 








Interest Only Asset-Backed Securities

 

1

 

 

1

 








Corporate Credit Breakdown3

 

 

 

 

 






Credit Rating

 

October 31, 2005

 

October 31, 2004






A

 

3

%

 

5

%








BBB/Baa

 

9

 

 

12

 








BB/Ba

 

33

 

 

28

 








B

 

43

 

 

50

 








CCC/Caa

 

8

 

 

2

 








Not Rated

 

4

 

 

3

 








 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 59.8% and 58.2% of net assets on October 31, 2005 and October 31, 2004, respectively.

7


 

TRUST SUMMARIES
OCTOBER 31, 2005

BlackRock Strategic Bond Trust (BHD)

 

Trust Information

 

 

 

 

 

 

 





Symbol on New York Stock Exchange:

 

BHD

 





Initial Offering Date:

 

February 26, 2002

 





Closing Market Price as of 10/31/05:

 

 

$

12.45

 

 








Net Asset Value as of 10/31/05:

 

 

$

13.68

 

 








Yield on Closing Market Price as of 10/31/05 ($12.45):1

 

 

 

8.48

%

 








Current Monthly Distribution per Share:2

 

 

$

0.088

 

 








Current Annualized Distribution per Share:2

 

 

$

1.056

 

 








 

 

1

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

2

The distribution is not constant and is subject to change.

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 












 

 

10/31/05

 

10/31/04

 

Change

 

High

 

Low

 













Market Price

 

$12.45

 

$16.70

 

(25.45

)%

 

$17.63

 

$12.41

 


















NAV

 

$13.68

 

$15.10

 

(9.40

)%

 

$15.14

 

$13.67

 


















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

Corporate Portfolio Composition

 

 

 

 

 

 

 






Composition

 

October 31, 2005

 

October 31, 2004






Financial Institutions

 

21

%

 

17

%








Energy

 

12

 

 

13

 








Media

 

10

 

 

13

 








Consumer Products

 

9

 

 

5

 








Telecommunications

 

8

 

 

7

 








Health Care

 

7

 

 

7

 








Aerospace & Defense

 

5

 

 

4

 








Basic Materials

 

5

 

 

6

 








Industrials

 

4

 

 

 








Technology

 

3

 

 

3

 








Entertainment & Leisure

 

3

 

 

3

 








Automotive

 

3

 

 

10

 








Real Estate

 

2

 

 

2

 








Building & Development

 

2

 

 

3

 








Transportation

 

2

 

 

1

 








Ecological Services & Equipment

 

2

 

 

3

 








Conglomerates

 

1

 

 

2

 








Containers & Packaging

 

1

 

 

1

 








Corporate Credit Breakdown3

 

 

 

 

 

 

 






Credit Rating

 

October 31, 2005

 

October 31, 2004






AAA/Aaa

 

3

%

 

4

%








AA/Aa

 

8

 

 

10

 








A

 

11

 

 

10

 








BBB/Baa

 

19

 

 

17

 








BB/Ba

 

11

 

 

11

 








B

 

36

 

 

40

 








CCC/Caa

 

9

 

 

5

 








Not Rated

 

3

 

 

3

 








 

 


3

Using the higher of S&P’s, Moody’s or Fitch’s rating. Corporate bonds represented approximately 122.7% and 134.4% of net assets on October 31, 2005 and October 31, 2004, respectively.

8


 

 

CONSOLIDATED PORTFOLIO OF INVESTMENTS

OCTOBER 31, 2005

 

BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 










 

 

 

 

 

 

 

LONG-TERM INVESTMENTS—86.4%

 

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—1.1%

 

 

 

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

$

461

 

 

5.50%, 1/01/17 - 2/01/17

 

$

464,567

 

 

 

 

 

16

 

 

6.50%, 7/01/29

 

 

16,293

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

480,860

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—13.4%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

2,168

 

 

Ser. 1510, Class G, 7.05%, 5/15/13

 

 

2,223,631

 

 

 

 

 

12

 

 

Ser. 1534, Class IG, 5.00%, 2/15/10

 

 

11,963

 

 

 

 

 

2,000

 

 

Ser. 1598, Class J, 6.50%, 10/15/08

 

 

2,046,660

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

55

2

 

Ser. 13, Class SJ, 8.75%, 2/25/09

 

 

54,958

 

 

 

 

 

41

 

 

Ser. 43, Class E, 7.50%, 4/25/22

 

 

41,920

 

 

 

 

 

1,000

 

 

Ser. 49, Class H, 7.00%, 4/25/13

 

 

1,037,610

 

 

 

 

 

217

 

 

Ser. 214, Class SK, 10.00%, 12/25/08

 

 

229,144

 

 

 

 

 

160

2

 

Government National Mortgage Assoc., Remic Trust 2000, Ser. 16, Class FD, 4.771%, 12/16/27

 

 

159,956

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

5,805,842

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Inverse Floating Rate Mortgage Securities—3.1%

 

 

 

 

AAA

 

 

 

228

2

 

Citicorp Mortgage Securities, Inc., 10.387%, 11/25/23

 

 

228,342

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

242

2

 

Ser. 1425, Class SB, 12.103%, 12/15/07

 

 

252,299

 

 

 

 

 

42

2

 

Ser. 1506, Class S, 13.658%, 5/15/08

 

 

44,446

 

 

 

 

 

106

2

 

Ser. 1515, Class S, 13.472%, 5/15/08

 

 

111,037

 

 

 

 

 

68

2

 

Ser. 1618, Class SA, 8.25%, 11/15/08

 

 

66,990

 

 

 

 

 

44

2

 

Ser. 1661, Class SB, 13.416%, 1/15/09

 

 

47,519

 

 

 

 

 

161

2

 

Ser. 1688, Class S, 9.754%, 12/15/13

 

 

163,693

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

146

2

 

Ser. 187, Class SB, 16.392%, 10/25/07

 

 

154,695

 

 

 

 

 

116

2

 

Ser. 191, Class SD, 10.508%, 10/25/08

 

 

118,205

 

 

 

 

 

156

2

 

Ser. 214, Class SH, 7.73%, 12/25/08

 

 

150,069

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Inverse Floating Rate Mortgage Securities

 

 

1,337,295

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—6.0%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

1

 

 

Ser. 65, Class I, 918.03%, 8/15/20

 

 

1,580

 

 

 

 

 

 

 

Ser. 141, Class H, 1,060.00%, 5/15/21

 

 

433

 

 

 

 

 

 

 

Ser. 1114, Class J, 1,008.00%, 7/15/06

 

 

622

 

 

 

 

 

 

 

Ser. 1285 Class M, 1,005.891%, 5/15/07

 

 

22

 

 

 

 

 

387

 

 

Ser. 1645, Class IB, 5.00%, 9/15/08

 

 

15,746

 

 

 

 

 

1,970

 

 

Ser. 2523, Class EH, 5.50%, 4/15/20

 

 

176,218

 

 

 

 

 

1,046

 

 

Ser. 2543, Class IJ, 5.00%, 10/15/12

 

 

39,596

 

 

 

 

 

702

 

 

Ser. 2543, Class IM, 5.00%, 9/15/12

 

 

12,667

 

 

 

 

 

2,165

 

 

Ser. 2633, Class PI, 4.50%, 3/15/12

 

 

75,122

 

 

 

 

 

2,166

 

 

Ser. 2672, Class TP, 5.00%, 9/15/16

 

 

42,546

 

 

 

 

 

5,605

 

 

Ser. 2739, Class PI, 5.00%, 3/15/22

 

 

542,864

 

 

 

 

 

2,550

 

 

Ser. 2775, Class UB, 5.00%, 12/15/17

 

 

115,133

 

 

 

 

 

2,800

 

 

Ser. 2976, Class KI, 5.50%, 11/15/34

 

 

262,001

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

2

 

 

Ser. 8, Class HA, 1,199.999%, 1/25/08

 

 

20,024

 

 

 

 

 

2,484

 

 

Ser. 13, Class IG, 5.00%, 10/25/22

 

 

167,034

 

 

 

 

 

205

2

 

Ser. 20, Class SL, 14.853%, 9/25/08

 

 

28,714

 

 

 

 

 

6

 

 

Ser. 49, Class L, 444.917%, 4/25/13

 

 

45,063

 

 

 

 

 

4

 

 

Ser. 51, Class K, 1,006.50%, 4/25/07

 

 

22,593

 

 

 

 

 

12,992

 

 

Ser. 70, Class ID, 5.00%, 4/25/22

 

 

933,475

 

 

 

 

 

 

 

Ser. 72, Class H, 1,183.25%, 7/25/06

 

 

911

 

 

 

 

 

661

 

 

Ser. 82, Class IR, 5.00%, 9/25/12

 

 

15,130

 

 

 

 

 

4

2

 

Ser. 174, Class S, 124.032%, 9/25/22

 

 

13,296

 

 

 

 

 

25

 

 

Ser. 194, Class PV, 6.50%, 6/25/08

 

 

152

 

 

 

 

 

152

2

 

Ser. 208, Class S, 3.438%, 2/25/23

 

 

2,551

 

 

 

 

 

114

 

 

Ser. 223, Class PT, 6.50%, 10/25/23

 

 

9,405

 

 

 

 

 

 

 

Ser. G-21, Class L, 949.50%, 7/25/21

 

 

6,399

 

 

 

 

 

18,214

2

 

Vendee Mortgage Trust, Ser. 1, Class IO, 0.04%, 10/15/31

 

 

36,975

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

2,586,272

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

9


BlackRock Broad Investment Grade 2009 Term Trust Inc. (BCT) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 











 

 

 

 

 

 

 

Principal Only Mortgage-Backed Security—0.1%

 

 

 

 

Aaa

 

 

$

30

3

 

Salomon Brothers Mortgage Securities, Inc. VI, Ser. 3, Class A, 12.50%, 10/23/17

 

$

26,758

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Asset-Backed Securities—0.0%

 

 

 

 

NR

 

 

 

235

2,4,5,6

 

Global Rated Eligible Asset Trust, 7.33%, 3/15/06

 

 

23

 

 

 

 

 

 

 

 

Structured Mortgage Asset Residential Trust,

 

 

 

 

NR

 

 

 

568

2,5,6

 

Ser. 2, 8.24%, 3/15/06

 

 

57

 

NR

 

 

 

629

2,5,6

 

Ser. 3, 8.724%, 4/15/06

 

 

63

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Asset-Backed Securities

 

 

143

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Corporate Bonds—15.5%

 

 

 

 

Caa2

 

 

 

100

 

 

American Airlines, Inc., 10.44%, 3/04/07

 

 

94,500

 

Aa2

 

 

 

500

 

 

Bank America Corp., 4.75%, 10/15/06

 

 

499,385

 

A1

 

 

 

500

 

 

Conoco Funding Co., 5.45%, 10/15/06 (Canada)

 

 

503,195

 

AAA

 

 

 

500

 

 

General Electric Capital Corp., 2.75%, 9/25/06

 

 

491,675

 

BB

 

 

 

500

 

 

General Motors Acceptance Corp., 6.125%, 9/15/06

 

 

494,495

 

AA-

 

 

 

500

 

 

Goldman Sachs Group, Inc., 2.85%, 10/27/06

 

 

490,305

 

BBB+

 

 

 

500

4

 

Israel Electric Corp., Ltd., 7.25%, 12/15/06 (Israel)

 

 

511,870

 

A+

 

 

 

500

 

 

Lehman Brothers Holdings, Inc., 7.50%, 9/01/06

 

 

510,530

 

Aa3

 

 

 

1,000

7

 

Morgan Stanley Group, Inc., 10.00%, 6/15/08

 

 

1,120,030

 

A+

 

 

 

500

 

 

SLM Corp., 3.50%, 9/30/06

 

 

495,635

 

Aa3

 

 

 

500

 

 

Suntrust Bank, 7.25%, 9/15/06

 

 

509,990

 

Aa1

 

 

 

500

 

 

U.S. Bank NA, 2.85%, 11/15/06

 

 

489,055

 

AA-

 

 

 

500

 

 

Wachovia Corp., 4.95%, 11/01/06

 

 

500,390

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Corporate Bonds

 

 

6,711,055

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

U.S. Government and Agency Securities—39.9%

 

 

 

 

 

 

 

 

192

 

 

Small Business Investment Cos., 6.12%, 2/01/08

 

 

196,712

 

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

 

 

 

 

3,200

 

 

3.50%, 11/15/06

 

 

3,172,249

 

 

 

 

 

1,700

 

 

5.75%, 11/15/05

 

 

1,701,129

 

 

 

 

 

2,000

 

 

6.00%, 8/15/09

 

 

2,107,344

 

 

 

 

 

385

 

 

6.625%, 5/15/07

 

 

398,024

 

 

 

 

 

10,000

 

 

U.S. Treasury Strip, Zero Coupon, 8/15/06

 

 

9,690,600

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

17,266,058

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Taxable Municipal Bonds—7.3%

 

 

 

 

AAA

 

 

 

500

 

 

Fresno California Pension Oblig., 7.80%, 6/01/14

 

 

569,020

 

AAA

 

 

 

500

 

 

Kern County California Pension Oblig., 6.98%, 8/15/09

 

 

536,180

 

 

 

 

 

 

 

 

Los Angeles County California Pension Oblig.,

 

 

 

 

AAA

 

 

 

1,000

 

 

Ser. A, 8.62%, 6/30/06

 

 

1,025,800

 

AAA

 

 

 

500

 

 

Ser. D, 6.97%, 6/30/08

 

 

526,350

 

AAA

 

 

 

500

 

 

Orleans Parish Louisiana School Board, 6.60%, 2/01/08

 

 

517,491

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Taxable Municipal Bonds

 

 

3,174,841

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Long-Term Investments (cost $38,020,098)

 

 

37,389,124

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENT—13.2%

 

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Zero Coupon Security—13.2%

 

 

 

 

 

 

 

 

5,700

 

 

FNMA Discount Notes, 3.72%, 11/01/058 (cost $5,700,000)

 

 

5,700,000

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total investments—99.6% (cost $43,720,0359)

 

$

43,089,124

 

 

 

 

 

 

 

 

Other assets in excess of liabilities—0.4%

 

 

186,880

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Net Assets—100%

 

$

43,276,004

 

 

 

 

 

 

 

 

 

 



 

 

 

 


 

1

Using the higher of S&P’s, Moody’s or Fitch’s rating.

2

Rate shown is interest rate as of October 31, 2005.

3

Rate shown is interest rate or effective yield as of October 31, 2005 of the underlying collateral.

4

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2005, the Trust held 1.2% of its net assets, with a current market value of $511,893, in securities restricted as to resale.

5

Security is fair valued.

6

Illiquid security. As of October 31, 2005, the Trust held less than 0.1% of its net assets, with a current market value of $143.

7

Entire or partial principal amount pledged as collateral.

8

Rate shown is the yield to maturity as of October 31, 2005.

9

Cost for Federal income tax purposes is $43,720,035. The net unrealized depreciation on a tax basis is $630,911, consisting of $580,134 gross unrealized appreciation and $1,211,045 gross unrealized depreciation.

See Notes to Financial Statements.

10


 

 

PORTFOLIO OF INVESTMENTS

 

OCTOBER 31, 2005

 

BlackRock Core Bond Trust (BHK)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 













 

 

 

 

 

 

 

LONG-TERM INVESTMENTS—127.5%

 

 

 

 

 

 

 

 

 

 

 

Mortgage Pass-Through Securities—12.0%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

$

1,875

 

 

3.01%, 4/19/07

 

$

1,830,731

 

 

 

 

 

92

 

 

5.00%, 8/01/33

 

 

88,416

 

 

 

 

 

3,215

 

 

5.50%, 11/01/18 - 6/01/35

 

 

3,224,845

 

 

 

 

 

249

 

 

5.985%, 5/01/32

 

 

252,464

 

 

 

 

 

3,678

 

 

6.00%, 2/01/13 - 12/01/18

 

 

3,759,822

 

 

 

 

 

37

 

 

7.00%, 9/01/31

 

 

38,908

 

 

 

 

 

5,200

 

 

TBA, 5.50%, 11/30/35

 

 

5,131,750

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

870

 

 

1.75%, 6/16/06

 

 

855,976

 

 

 

 

 

6,805

 

 

2.35%, 4/29/06 - 4/05/07

 

 

6,655,161

 

 

 

 

 

59

 

 

4.50%, 2/01/20

 

 

56,893

 

 

 

 

 

1,280

 

 

4.75%, 2/21/13

 

 

1,251,814

 

 

 

 

 

13,291

 

 

5.00%, 11/01/17

 

 

13,088,163

 

 

 

 

 

3,920

 

 

5.50%, 1/01/18

 

 

3,881,268

 

 

 

 

 

32

 

 

6.00%, 8/01/29 - 5/01/33

 

 

31,774

 

 

 

 

 

470

 

 

7.00%, 1/01/31 - 7/01/32

 

 

490,524

 

 

 

 

 

400

 

 

TBA, 5.00%, 11/30/20

 

 

394,500

 

 

 

 

 

1,700

 

 

TBA, 5.50%, 11/30/35

 

 

1,676,625

 

 

 

 

 

397

 

 

Government National Mortgage Assoc., 5.50%, 8/15/33

 

 

396,846

 

 

 

 

 

 

 

 

Small Business Administration,

 

 

 

 

 

 

 

 

964

 

 

Ser. P10B, Class 1, 4.754%, 8/01/14

 

 

946,772

 

 

 

 

 

2,169

 

 

Ser. P10B, Class 1, 5.136%, 8/01/13

 

 

2,179,519

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Mortgage Pass-Through Securities

 

 

46,232,771

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Federal Housing Administration Security—0.3%

 

 

 

 

 

 

 

 

1,072

 

 

FHA Hebre Home Hospital, 6.25%, 9/01/28

 

 

1,104,518

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Agency Multiple Class Mortgage Pass-Through Securities—6.8%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

2,664

 

 

Ser. 82, Class HJ, 5.50%, 9/25/32

 

 

2,669,709

 

 

 

 

 

1,566

 

 

Ser. 2825, Class VP, 5.50%, 6/15/15

 

 

1,576,404

 

 

 

 

 

1,300

 

 

Ser. 2883, Class DR, 5.00%, 11/15/19

 

 

1,248,208

 

 

 

 

 

3,686

 

 

Ser. 2922, Class GA, 5.50%, 5/15/34

 

 

3,687,626

 

 

 

 

 

1,948

 

 

Ser. 2927, Class BA, 5.50%, 10/15/33

 

 

1,952,321

 

 

 

 

 

1,921

 

 

Ser. 2933, Class HD, 5.50%, 2/15/35

 

 

1,926,999

 

 

 

 

 

1,600

 

 

Ser. 2968, Class EG, 6.00%, 10/15/34

 

 

1,646,032

 

 

 

 

 

 

 

 

Federal National Mortgage Assoc.,

 

 

 

 

 

 

 

 

1,670

 

 

Ser. 3, Class AP, 5.50%, 2/25/35

 

 

1,673,323

 

 

 

 

 

3,668

 

 

Ser. 5, Class PK, 5.00%, 12/25/34

 

 

3,609,861

 

 

 

 

 

2,211

 

 

Ser. 27, Class PC, 5.50%, 5/25/34

 

 

2,208,899

 

 

 

 

 

2,228

 

 

Ser. 70, Class NA, 5.50%, 8/25/35

 

 

2,226,696

 

 

 

 

 

1,923

 

 

Ser. 118, Class FD, 4.438%, 12/25/33

 

 

1,931,352

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Agency Multiple Class Mortgage Pass-Through Securities

 

 

26,357,430

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Interest Only Asset-Backed Securities—1.3%

 

 

 

 

 

 

 

 

 

 

 

Sterling Coofs Trust,

 

 

 

 

 

 

 

 

33,862

 

 

Ser. 1, 2.362%, 4/15/29

 

 

2,793,627

 

 

 

 

 

30,350

 

 

Ser. 2, 1.00%, 3/30/30

 

 

2,314,188

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Interest Only Asset-Backed Securities

 

 

5,107,815

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Interest Only Mortgage-Backed Securities—1.0%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

3,232

 

 

Ser. 2579, Class HI, 5.00%, 8/15/17

 

 

411,038

 

 

 

 

 

7,881

 

 

Ser. 2611, Class QI, 5.50%, 9/15/32

 

 

1,431,598

 

 

 

 

 

34,378

 

 

Federal National Mortgage Assoc., 2.663%, 11/25/34

 

 

1,855,039

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Interest Only Mortgage-Backed Securities

 

 

3,697,675

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities—8.0%

 

 

 

 

 

 

 

 

 

 

 

Banc of America Commercial Mortgage, Inc.,

 

 

 

 

AAA

 

 

 

2,190

 

 

Ser. 1, Class A2, 6.503%, 4/15/36

 

 

2,302,829

 

AAA

 

 

 

2,180

 

 

Ser. 1, Class A4, 5.034%, 11/10/42

 

 

2,177,362

 

AAA

 

 

 

1,748

 

 

Ser. 11, Class 2CB1, 6.00%, 12/25/34

 

 

1,733,057

 

AAA

 

 

 

2,271

 

 

Commercial Mortgage Acceptance Corp., 6.03%, 9/15/30

 

 

2,304,811

 

AAA

 

 

 

2,720

 

 

CS First Boston Mortgage Securities Corp., 4.94%, 12/15/35

 

 

2,672,090

 

AAA

 

 

 

1,922

 

 

GMAC Commercial Mortgage Securities, Inc., 7.179%, 8/15/36

 

 

2,037,621

 

AAA

 

 

 

2,776

 

 

GS Mortgage Securities Corp. II, 6.135%, 10/18/30

 

 

2,831,937

 

AAA

 

 

 

1,677

 

 

Heller Financial Commercial Mortgage Asset Co., 6.847%, 5/15/31

 

 

1,746,897

 

See Notes to Financial Statements.

11


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

 

Description

 

Value

 










 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

JP Morgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

AAA

 

 

$

2,140

 

 

Ser. C1, Class A3, 5.857%, 10/12/35

 

$

2,220,828

 

AAA

 

 

 

2,180

 

 

Ser. CBX, Class A4, 4.529%, 1/12/37

 

 

2,115,886

 

AAA

 

 

 

1,790

 

 

JP Morgan Commercial Mortgage Finance Corp., 7.371%, 8/15/32

 

 

1,928,993

 

AAA

 

 

 

2,797

 

 

Morgan Stanley Cap. Trust I, 6.48%, 11/15/30

 

 

2,886,180

 

AAA

 

 

 

3,500

 

 

Salomon Brothers Mortgage Securities VII, 7.52%, 12/18/09

 

 

3,785,150

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Commercial Mortgage-Backed Securities

 

 

30,743,641

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Collateralized Mortgage Obligations—2.8%

 

 

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp.,

 

 

 

 

 

 

 

 

1,377

 

 

Ser. 2582, Class TB, 3.50%, 10/15/21

 

 

1,370,775

 

 

 

 

 

3,271

 

 

Ser. 2806, Class VC, 6.00%, 12/15/19

 

 

3,324,874

 

AAA

 

 

 

3,150

 

 

First Union National Bank Commercial Mortgage, 6.423%, 8/15/33

 

 

3,323,124

 

AAA

 

 

 

2,928

 

 

Structured Asset Secs. Corp., 3.45%, 2/25/32

 

 

2,640,833

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Collateralized Mortgage Obligations

 

 

10,659,606

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Corporate Bonds—53.3%

 

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—2.5%

 

 

 

 

NR

 

 

 

365

 

 

Aero Invest, 10.634%, 3/22/15 (Luxembourg) (EUR)

 

 

432,338

 

B+

 

 

 

30

 

 

Armor Holdings, Inc., 8.25%, 8/15/13

 

 

32,400

 

B-

 

 

 

2,220

 

 

BE Aerospace, Inc., 8.875%, 5/01/11

 

 

2,336,550

 

 

 

 

 

 

 

 

Lockheed Martin Corp.,

 

 

 

 

BBB+

 

 

 

380

 

 

7.20%, 5/01/36

 

 

453,397

 

BBB+

 

 

 

1,175

 

 

8.50%, 12/01/29

 

 

1,592,055

 

 

 

 

 

 

 

 

Northrop Grumman Corp.,

 

 

 

 

BBB+

 

 

 

615

 

 

4.079%, 11/16/06

 

 

610,591

 

BBB+

 

 

 

380

 

 

7.125%, 2/15/11

 

 

414,135

 

BBB+

 

 

 

960

 

 

7.875%, 3/01/26

 

 

1,198,143

 

NR

 

 

 

1,190

 

 

Raytheon Co., 7.00%, 5/15/06

 

 

1,242,324

 

BB

 

 

 

90

 

 

Sequa Corp., 8.875%, 4/01/08

 

 

92,925

 

A+

 

 

 

1,125

 

 

United Technologies Corp., 4.875%, 5/01/15

 

 

1,103,580

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

9,508,438

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Automotive—0.8%

 

 

 

 

B-

 

 

 

240

 

 

Accuride Corp., 8.50%, 2/01/15

 

 

226,800

 

BB+

 

 

 

75

 

 

Arvinmeritor, Inc., 8.75%, 3/01/12

 

 

70,875

 

A3

 

 

 

660

 

 

DaimlerChrysler NA Holding Corp., 7.45%, 3/01/27

 

 

695,571

 

Caa1

 

 

 

1,500

 

 

Delco Remy Intl., Inc., 11.00%, 5/01/09

 

 

723,750

 

B-

 

 

 

100

 

 

Goodyear Tire & Rubber Co., 7.857%, 8/15/11

 

 

96,250

 

CCC+

 

 

 

300

2

 

Metaldyne Corp., 11.00%, 11/01/13

 

 

269,250

 

BB

 

 

 

170

 

 

Navistar Intl. Corp., 6.25%, 3/01/12

 

 

152,575

 

BB-

 

 

 

742

 

 

TRW Automotive, Inc., 9.375%, 2/15/13

 

 

797,650

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

3,032,721

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Basic Materials—2.8%

 

 

 

 

BB-

 

 

 

220

 

 

Abitibi-Consolidated, Inc., 8.375%, 4/01/15 (Canada)

 

 

204,050

 

B-

 

 

 

80

2

 

BCI US Finance Corp/Borden 2 Nova Scotia Finance ULC, 9.65%, 7/15/10

 

 

80,800

 

B-

 

 

 

4,330

 

 

Caraustar Industries, Inc., 9.875%, 4/01/11

 

 

4,210,925

 

BB-

 

 

 

150

 

 

Donohue Forest Products, 7.625%, 5/15/07 (Canada)

 

 

151,875

 

B

 

 

 

66

 

 

Huntsman LLC, 11.50%, 7/15/12

 

 

74,580

 

BB

 

 

 

70

 

 

IMC Global, Inc., 10.875%, 6/01/08

 

 

78,225

 

CCC+

 

 

 

1,045

2

 

Innophos, Inc., 9.125%, 8/15/14

 

 

1,058,062

 

BBB

 

 

 

130

 

 

Ispat Inland ULC, 9.75%, 4/01/14 (Canada)

 

 

147,550

 

BB-

 

 

 

3,600

 

 

Lyondell Chemical Co., 9.50%, 12/15/08

 

 

3,771,000

 

CCC+

 

 

 

380

 

 

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

 

 

347,700

 

B-

 

 

 

150

2

 

PQ Corp., 7.50%, 2/15/13

 

 

136,500

 

 

 

 

 

 

 

 

Rhodia SA (France),

 

 

 

 

CCC+

 

 

 

260

 

 

8.875%, 6/01/11

 

 

245,050

 

B3

 

 

 

25

 

 

10.25%, 6/01/10

 

 

26,563

 

BBB-

 

 

 

150

2

 

Southern Peru Copper Corp., 7.50%, 7/27/35

 

 

145,875

 

BBB

 

 

 

275

 

 

Teck Cominco Ltd., 6.125%, 10/01/35 (Canada)

 

 

259,498

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

10,938,253

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

12


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

 

Description

 

Value

 













 

 

 

 

 

 

 

Building & Development—1.7%

 

 

 

 

B-

 

 

$

75

2

 

Ahern Rentals,Inc., 9.25%, 8/15/13

 

$

76,594

 

B2

 

 

 

200

2

 

Compression Polymers Corp., 10.50%, 7/01/13

 

 

182,000

 

B-

 

 

 

730

2

 

Goodman Global Holding Co., Inc., 7.875%, 12/15/12

 

 

689,850

 

BB+

 

 

 

3,000

 

 

Hovnanian Enterprises, Inc., 10.50%, 10/01/07

 

 

3,225,000

 

BB+

 

 

 

1,120

 

 

Hovnanian K Enterprises, Inc., 6.25%, 1/15/16

 

 

1,002,400

 

BB+

 

 

 

775

 

 

KB Home, 6.25%, 6/15/15

 

 

728,500

 

B

 

 

 

175

 

 

North American Energy Partners, Inc., 9.00%, 6/01/10 (Canada)

 

 

182,000

 

BBB+

 

 

 

455

 

 

Pulte Homes, Inc., 6.00%, 2/15/35

 

 

394,749

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

6,481,093

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Conglomerates—0.0%

 

 

 

 

BB-

 

 

 

30

 

 

Stena AB, 7.00%, 12/01/16 (Sweden)

 

 

27,750

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Consumer Products—2.2%

 

 

 

 

B3

 

 

 

90

 

 

ALH Finance LLC, 8.50%, 1/15/13

 

 

81,450

 

 

 

 

 

 

 

 

Cenveo Corp.,

 

 

 

 

B3

 

 

 

250

 

 

7.875%, 12/01/13

 

 

230,625

 

B1

 

 

 

175

 

 

9.625%, 3/15/12

 

 

184,625

 

BB+

 

 

 

440

 

 

Delhaize America, Inc., 9.00%, 4/15/31

 

 

494,459

 

BBB+

 

 

 

530

 

 

Federated Dept. Stores, Inc., 6.79%, 7/15/27

 

 

539,201

 

B2

 

 

 

480

 

 

Finlay Fine Jewelry Corp., 8.375%, 6/01/12

 

 

408,000

 

B2

 

 

 

80

 

 

Gold Kist, Inc., 10.25%, 3/15/14

 

 

90,400

 

 

 

 

 

 

 

 

GSC Holdings Corp.,

 

 

 

 

Ba3

 

 

 

60

2

 

7.875%, 10/01/11

 

 

60,375

 

Ba3

 

 

 

120

2

 

8.00%, 10/01/12

 

 

117,000

 

B-

 

 

 

690

2

 

Knowledge Learning Corp., Inc., 7.75%, 2/01/15

 

 

641,700

 

B-

 

 

 

330

 

 

Lazydays RV Center, Inc., 11.75%, 5/15/12

 

 

343,200

 

B

 

 

 

385

 

 

Levi Strauss & Co., 8.804%, 4/01/12

 

 

382,594

 

 

 

 

 

 

 

 

May Dept. Stores Co.,

 

 

 

 

BBB+

 

 

 

25

 

 

6.70%, 7/15/34

 

 

25,555

 

BBB+

 

 

 

230

 

 

7.875%, 3/01/30

 

 

267,833

 

B3

 

 

 

720

 

 

Movie Gallery, Inc., 11.00%, 5/01/12

 

 

576,000

 

B-

 

 

 

1,000

 

 

Pantry, Inc., The, 7.75%, 2/15/14

 

 

982,500

 

BB-

 

 

 

200

2

 

Quiksilver, Inc., 6.875%, 4/15/15

 

 

185,500

 

B-

 

 

 

865

2

 

Rite Aid Corp., 6.125%, 12/15/08

 

 

813,100

 

CCC+

 

 

 

235

2

 

Rural/Metro Corp., 9.875%, 3/15/15

 

 

245,575

 

B

 

 

 

2,100

 

 

Sonic Automotive, Inc., 8.625%, 8/15/13

 

 

1,989,750

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

8,659,442

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Containers & Packaging—0.8%

 

 

 

 

 

 

 

 

 

 

 

Crown European Holdings SA,

 

 

 

 

B+

 

 

 

200

 

 

9.50%, 3/01/11 (France)

 

 

220,000

 

B

 

 

 

800

 

 

10.875%, 3/01/13 (France)

 

 

944,000

 

CCC+

 

 

 

60

 

 

Graham Packaging Co., Inc., 9.875%, 10/15/14

 

 

56,850

 

B

 

 

 

1,500

 

 

Owens Brockway, 8.25%, 5/15/13

 

 

1,526,250

 

CCC+

 

 

 

170

2

 

Pregis Corp., 12.375%, 10/15/13

 

 

166,600

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

2,913,700

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Ecological Services & Equipment—0.1%

 

 

 

 

BB-

 

 

 

230

 

 

Allied Waste NA, Inc., 5.75%, 2/15/11

 

 

213,900

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Energy—6.0%

 

 

 

 

BBB+

 

 

 

565

 

 

Anadarko Finance Co. Ser. B, 7.50%, 5/01/31 (Canada)

 

 

678,599

 

 

 

 

 

 

 

 

ANR Pipeline Co.,

 

 

 

 

B1

 

 

 

260

 

 

7.375%, 2/15/24

 

 

270,725

 

B1

 

 

 

810

 

 

9.625%, 11/01/21

 

 

980,100

 

B2

 

 

 

1,365

 

 

Aquila Finance Corp., 7.75%, 6/15/11 (Canada)

 

 

1,392,300

 

 

 

 

 

 

 

 

Calpine Corp.,

 

 

 

 

B-

 

 

 

80

2

 

8.50%, 7/15/10

 

 

56,200

 

B

 

 

 

150

2

 

9.625%, 9/30/14

 

 

152,250

 

CCC

 

 

 

30

 

 

Calpine Energy Finance ULC (Canada), 8.50%, 5/01/08 (Canada)

 

 

16,275

 

CCC+

 

 

 

260

 

 

Calpine Generating Co. LLC, 11.50%, 4/01/11

 

 

237,575

 

B-

 

 

 

250

2

 

Clayton Williams Energy, Inc., 7.75%, 8/01/13

 

 

241,250

 

See Notes to Financial Statements.

13


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

 

Energy—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

CMS Energy Corp.,

 

 

 

 

BB-

 

 

$

30

 

 

7.50%, 1/15/09

 

$

31,050

 

BB-

 

 

 

100

 

 

9.875%, 10/15/07

 

 

107,500

 

Ba3

 

 

 

160

2

 

Compagnie Generale de Geophysique SA, 7.50%, 5/15/15 (France)

 

 

166,400

 

BBB

 

 

 

1,980

 

 

Devon Financing Corp. LLC, 7.875%, 9/30/31

 

 

2,429,500

 

BBB+

 

 

 

400

 

 

Dominion Resources, Inc./VA, 5.95%, 6/15/35

 

 

381,972

 

B2

 

 

 

690

 

 

Dresser, Inc., 9.375%, 4/15/11

 

 

719,325

 

 

 

 

 

 

 

 

Dynegy Holdings, Inc.,

 

 

 

 

B+

 

 

 

70

2

 

9.875%, 7/15/10

 

 

75,250

 

B+

 

 

 

1,125

2

 

10.125%, 7/15/13

 

 

1,237,500

 

 

 

 

 

 

 

 

El Paso CGP Co.,

 

 

 

 

B-

 

 

 

250

 

 

7.42%, 2/15/37

 

 

226,250

 

B-

 

 

 

65

 

 

9.625%, 5/15/12

 

 

71,256

 

B-

 

 

 

150

 

 

10.75%, 10/01/10

 

 

163,688

 

B-

 

 

 

100

 

 

El Paso Corp., 7.80%, 8/01/31

 

 

99,125

 

 

 

 

 

 

 

 

El Paso Natural Gas Co.,

 

 

 

 

B1

 

 

 

850

 

 

7.625%, 8/01/10

 

 

888,250

 

B1

 

 

 

225

 

 

8.375%, 6/15/32

 

 

248,062

 

B1

 

 

 

265

 

 

8.625%, 1/15/22

 

 

296,800

 

Ba2

 

 

 

130

 

 

Elwood Energy LLC, 8.159%, 7/05/26

 

 

144,035

 

A-

 

 

 

350

 

 

EnCana Corp., 6.50%, 8/15/34 (Canada)

 

 

383,701

 

BBB-

 

 

 

925

 

 

Enterprise Products Operating LP, 5.75%, 3/01/35

 

 

825,698

 

B

 

 

 

70

 

 

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

 

 

71,400

 

BBB-

 

 

 

665

 

 

FirstEnergy Corp., 7.375%, 11/15/31

 

 

757,277

 

 

 

 

 

 

 

 

Florida Power & Light Co.,

 

 

 

 

AA-

 

 

 

525

 

 

4.95%, 6/01/35

 

 

468,541

 

AA-

 

 

 

100

 

 

5.40%, 9/01/35

 

 

95,626

 

BBB

 

 

 

175

 

 

Halliburton Co., 7.60%, 8/15/96

 

 

201,212

 

 

 

 

 

 

 

 

Hilcorp Energy I LP/Hilcorp Finance Corp.,

 

 

 

 

B

 

 

 

90

2

 

7.75%, 11/01/15

 

 

90,000

 

B

 

 

 

49

2

 

10.50%, 9/01/10

 

 

54,880

 

 

 

 

 

 

 

 

KCS Energy, Inc.,

 

 

 

 

B-

 

 

 

60

 

 

7.125%, 4/01/12

 

 

61,050

 

B-

 

 

 

110

2

 

7.125%, 4/01/12

 

 

112,200

 

A-

 

 

 

700

 

 

Midamerican Energy Co., 5.75%, 11/01/35

 

 

687,725

 

B+

 

 

 

99

 

 

Midwest Generation LLC, 8.56%, 1/02/16

 

 

108,287

 

B2

 

 

 

590

 

 

Mission Energy Holdings Co., 13.50%, 7/15/08

 

 

685,875

 

A-

 

 

 

360

 

 

Occidental Petroleum Corp., 7.20%, 4/01/28

 

 

431,438

 

B2

 

 

 

130

 

 

Orion Power Holdings, Inc., 12.00%, 5/01/10

 

 

154,050

 

BBB+

 

 

 

790

 

 

Peco Energy Cap. Trust IV, 5.75%, 6/15/33

 

 

728,092

 

Baa1

 

 

 

1,650

2

 

Pemex Project Funding Master Trust, 9.625%, 12/02/08

 

 

1,866,562

 

BBB

 

 

 

720

 

 

Petro Canada, 5.95%, 5/15/35 (Canada)

 

 

704,628

 

B

 

 

 

25

 

 

Range Resources Corp., 6.375%, 3/15/15

 

 

25,063

 

BB-

 

 

 

40

 

 

Reliant Energy, Inc., 6.75%, 12/15/14

 

 

37,100

 

Aa1

 

 

 

290

2

 

SP PowerAssets Ltd., 5.00%, 10/22/13

 

 

287,912

 

A-

 

 

 

295

 

 

Suncor Energy, Inc., 5.95%, 12/01/34 (Canada)

 

 

305,612

 

B2

 

 

 

320

2

 

Targa Resources, Inc., 8.50%, 11/01/13

 

 

324,800

 

AA

 

 

 

1,050

 

 

Texaco Cap. Inc., 8.875%, 9/01/21

 

 

1,431,171

 

BB+

 

 

 

20

 

 

Transcontinental Gas Pipe Line Corp., 7.25%, 12/01/26

 

 

21,625

 

A3

 

 

 

725

 

 

Virginia Electric & Power Co., 5.75%, 3/31/06

 

 

728,349

 

B2

 

 

 

45

2

 

Whiting Petroleum Corp., 7.00%, 2/01/14

 

 

45,113

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

23,006,224

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Entertainment & Leisure—0.7%

 

 

 

 

B1

 

 

 

1,000

 

 

Circus & Eldorado Joint Venture, 10.125%, 3/01/12

 

 

1,045,000

 

B-

 

 

 

150

 

 

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

 

 

144,000

 

B

 

 

 

110

 

 

Poster Financial Group, Inc., 8.75%, 12/01/11

 

 

112,200

 

B

 

 

 

1,000

 

 

Resorts Intl. Hotel & Casino, Inc., 11.50%, 3/15/09

 

 

1,112,500

 

B+

 

 

 

100

2

 

San Pasqual Casino, 8.00%, 9/15/13

 

 

100,000

 

BB-

 

 

 

260

2

 

Seneca Gaming Corp., 7.25%, 5/01/12

 

 

266,500

 

B+

 

 

 

115

 

 

Wynn Las Vegas LLC/Wynn Las Vegas Cap. Corp., 6.625%, 12/01/14

 

 

109,537

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

2,889,737

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

14


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 













 

 

 

 

 

 

 

Financial Institutions—19.6%

 

 

 

 

AA

 

 

$

550

2,3

 

Allstate Financial Global Funding II, 2.625%, 10/22/06

 

$

536,833

 

BB

 

 

 

320

2

 

American Real Estate Partners LP/American Real Estate Finance Corp., 7.125%, 2/15/13

 

 

310,400

 

 

 

 

 

 

 

 

Bank of America Corp.,

 

 

 

 

Aa2

 

 

 

765

 

 

3.25%, 8/15/08

 

 

733,222

 

Aa2

 

 

 

1,640

 

 

3.375%, 2/17/09

 

 

1,566,315

 

Aa2

 

 

 

1,645

 

 

4.50%, 8/01/10

 

 

1,607,905

 

Aa2

 

 

 

325

 

 

Bank One Corp., 3.70%, 1/15/08

 

 

317,194

 

Aa2

 

 

 

1,400

 

 

BankBoston NA, 6.375%, 3/25/08-4/15/08

 

 

1,445,869

 

 

 

 

 

 

 

 

Barclays Bank PLC,

 

 

 

 

NR

 

 

 

240

 

 

6.278%, 12/15/49

 

 

227,475

 

AA

 

 

 

170

2

 

6.86%, 9/29/49 (United Kingdom)

 

 

181,050

 

B-

 

 

 

60

 

 

BCP Crystal US Holdings Corp., 9.625%, 6/15/14 (Luxembourg)

 

 

66,000

 

AA

 

 

 

350

2

 

Belvoir Land LLC, 5.27%, 12/15/47

 

 

329,088

 

 

 

 

 

 

 

 

Berkshire Hathaway Finance Corp.,

 

 

 

 

AAA

 

 

 

1,200

 

 

3.40%, 7/02/07

 

 

1,172,080

 

AAA

 

 

 

1,440

 

 

4.125%, 1/15/10

 

 

1,397,563

 

AAA

 

 

 

1,175

 

 

4.75%, 5/15/12

 

 

1,155,671

 

B-

 

 

 

75

2

 

Borden US Finance Corp./Nova Scotia Finance ULC, 9.00%, 7/15/14

 

 

73,875

 

AA+

 

 

 

600

 

 

CitiFinancial, 6.25%, 1/01/08

 

 

616,842

 

 

 

 

 

 

 

 

Citigroup, Inc.,

 

 

 

 

AA+

 

 

 

3,010

 

 

3.625%, 2/09/09

 

 

2,894,536

 

AA+

 

 

 

5,470

 

 

4.125%, 2/22/10

 

 

5,290,857

 

AA+

 

 

 

1,960

 

 

4.25%, 7/29/09

 

 

1,913,666

 

AA+

 

 

 

325

 

 

5.85%, 12/11/34

 

 

329,696

 

AA

 

 

 

185

 

 

6.00%, 10/31/33

 

 

187,856

 

AA+

 

 

 

525

 

 

6.875%, 2/15/98

 

 

586,903

 

BB

 

 

 

1,080

 

 

Crum & Forster Hldgs. Corp., 10.375%, 6/15/13

 

 

1,155,600

 

AAA

 

 

 

2,150

2

 

Depfa ACS Bank, 4.25%, 8/16/10 (Ireland)

 

 

2,093,567

 

AA-

 

 

 

900

 

 

Deutsche Bank AG Ny, 3.843%, 3/15/07

 

 

893,430

 

B+

 

 

 

120

2

 

E*Trade Financial Corp., 7.375%, 9/15/13

 

 

118,200

 

BB

 

 

 

200

 

 

Fairfax Financial Holdings Ltd., 7.75%, 4/26/12 (Canada)

 

 

182,000

 

AAA

 

 

 

3,625

3

 

General Electric Capital Corp., 3.45%, 1/15/08

 

 

3,591,142

 

 

 

 

 

 

 

 

HBOS Treasury Services PLC,

 

 

 

 

AA+

 

 

 

855

2

 

3.60%, 8/15/07 (United Kingdom)

 

 

838,165

 

AA+

 

 

 

825

2

 

3.75%, 9/30/08

 

 

800,159

 

AA-

 

 

 

1,820

 

 

Household Fin. Corp., 4.75%, 5/15/09

 

 

1,799,707

 

AA-

 

 

 

635

 

 

Household Finance Corp., 6.375%, 8/01/10

 

 

667,379

 

 

 

 

 

 

 

 

HSBC Bank USA, Inc.,

 

 

 

 

AA

 

 

 

430

 

 

3.875%, 9/15/09

 

 

413,871

 

AA-

 

 

 

775

 

 

5.875%, 11/01/34

 

 

778,038

 

AA

 

 

 

1,500

2

 

Irwin Land LLC, 5.40%, 12/15/47

 

 

1,413,975

 

 

 

 

 

 

 

 

JP Morgan Chase & Co.,

 

 

 

 

Aa3

 

 

 

965

 

 

5.25%, 5/30/07

 

 

971,726

 

Aa3

 

 

 

600

 

 

5.35%, 3/01/07

 

 

604,284

 

B-

 

 

 

255

 

 

K&F Acquisition, Inc., 7.75%, 11/15/14

 

 

255,000

 

BBB

 

 

 

825

2

 

Liberty Mutual Group, 6.50%, 3/15/35

 

 

766,084

 

AA

 

 

 

1,150

2

 

Metropolitan Global Funding I, 4.25%, 7/30/09

 

 

1,117,834

 

A

 

 

 

1,505

 

 

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

 

 

1,449,420

 

AA-

 

 

 

2,125

2

 

Nationwide Building Society, 3.50%, 7/31/07 (United Kingdom)

 

 

2,078,569

 

B-

 

 

 

410

2

 

Nell AF, 8.375%, 8/15/15 (Luxembourg)

 

 

393,600

 

AAA

 

 

 

850

2

 

New York Life Global Funding, 3.875%, 1/15/09

 

 

823,659

 

 

 

 

 

 

 

 

Prudential Funding LLC,

 

 

 

 

A

 

 

 

500

 

 

5.40%, 6/13/35

 

 

461,455

 

AA-

 

 

 

1,000

2

 

6.60%, 5/15/08

 

 

1,039,490

 

 

 

 

 

 

 

 

Rainbow National Services LLC,

 

 

 

 

B+

 

 

 

200

2

 

8.75%, 9/01/12

 

 

210,000

 

B+

 

 

 

1,230

2

 

10.375%, 9/01/14

 

 

1,356,075

 

AA

 

 

 

650

 

 

Royal Bank of Scotland Group PLC, 7.648%, 8/31/49 (United Kingdom)

 

 

768,645

 

A+

 

 

 

4,220

 

 

SLM Corp., 3.625%, 3/17/08

 

 

4,101,587

 

B-

 

 

 

450

 

 

Standard Aero Holdings, Inc., 8.25%, 9/01/14

 

 

428,625

 

NR

 

 

 

3,511

 

 

Structured Asset Receivable Trust, 1.649%, 1/21/10

 

 

3,516,526

 

See Notes to Financial Statements.

15


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

 

Financial Institutions—(cont’d)

 

 

 

 

A2

 

 

$

800

2

 

Sumitomo Mitsui Banking Corp., 5.625%, 12/31/49 (Japan)

 

$

782,478

 

Aa2

 

 

 

1,265

 

 

SunTrust Bank, Inc., 4.415%, 6/15/09

 

 

1,241,092

 

 

 

 

 

 

 

 

SunTrust Banks, Inc.,

 

 

 

 

Aa3

 

 

 

1,635

 

 

3.625%, 10/15/07

 

 

1,597,738

 

Aa3

 

 

 

995

 

 

4.00%, 10/15/08

 

 

970,344

 

AAA

 

 

 

235

2

 

TIAA Global Markets, Inc., 3.875%, 1/22/08

 

 

230,067

 

Aa2

 

 

 

375

 

 

U.S. Bancorp, 3.95%, 8/23/07

 

 

369,383

 

B-

 

 

 

50

 

 

Universal City Florida Hldg. Co. I/II, 9.00%, 5/01/10

 

 

51,000

 

 

 

 

 

 

 

 

US Bank National Assoc.,

 

 

 

 

Aa1

 

 

 

1,380

 

 

2.87%, 2/01/07

 

 

1,347,598

 

Aa2

 

 

 

2,790

 

 

6.50%, 2/01/08

 

 

2,884,609

 

AAA

 

 

 

495

2

 

USAA Capital Corp., 4.00%, 12/10/07

 

 

487,040

 

AA-

 

 

 

4,200

 

 

Wachovia Corp., 3.50%, 8/15/08

 

 

4,056,780

 

 

 

 

 

 

 

 

Wells Fargo & Co.,

 

 

 

 

Aa1

 

 

 

1,031

 

 

3.12%, 8/15/08

 

 

983,955

 

Aa1

 

 

 

680

 

 

4.00%, 8/15/08

 

 

665,570

 

Aa1

 

 

 

355

 

 

4.20%, 1/15/10

 

 

344,361

 

Aa1

 

 

 

1,665

 

 

4.625%, 8/09/10

 

 

1,636,728

 

BB-

 

 

 

50

 

 

Western Financial Bank, 9.625%, 5/15/12

 

 

56,625

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

75,734,076

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Health Care—1.0%

 

 

 

 

CCC

 

 

 

20

 

 

Curative Health Services, Inc., 10.75%, 5/01/11

 

 

13,500

 

B

 

 

 

340

2

 

Elan Finance Corp., 7.75%, 11/15/11 (Ireland)

 

 

299,200

 

B

 

 

 

420

2

 

Insight Health Services Corp., 9.174%, 11/01/11

 

 

397,950

 

 

 

 

 

 

 

 

Tenet Healthcare Corp.,

 

 

 

 

B

 

 

 

70

 

 

6.375%, 12/01/11

 

 

61,075

 

B

 

 

 

475

 

 

9.875%, 7/01/14

 

 

463,125

 

B3

 

 

 

2,000

 

 

United Surgical Partners Intl., Inc., 10.00%, 12/15/11

 

 

2,165,000

 

B-

 

 

 

410

 

 

Universal Hospital Services, Inc., 10.125%, 11/01/11

 

 

414,100

 

BBB+

 

 

 

85

 

 

WellPoint, Inc., 5.95%, 12/15/34

 

 

86,334

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

3,900,284

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Industrials—1.7%

 

 

 

 

B-

 

 

 

70

2

 

Chart Industries, Inc., 9.125%, 10/15/15

 

 

69,125

 

Caa1

 

 

 

1,340

2

 

DI Finance/DynCorp. Intl., 9.50%, 2/15/13

 

 

1,386,900

 

B-

 

 

 

635

 

 

ERICO Intl. Corp., 8.875%, 3/01/12

 

 

654,050

 

Caa1

 

 

 

360

2

 

Hydrochem Industrial Services, 9.25%, 2/15/13

 

 

328,500

 

B-

 

 

 

390

 

 

NationsRent Cos., Inc., 9.50%, 5/01/15

 

 

404,625

 

CCC+

 

 

 

420

 

 

Park-Ohio Inds., Inc., 8.375%, 11/15/14

 

 

366,450

 

B3

 

 

 

480

2

 

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

 

 

484,800

 

B

 

 

 

2,000

 

 

Terex Corp., 9.25%, 7/15/11

 

 

2,130,000

 

CCC+

 

 

 

375

 

 

Trimas Corp., 9.875%, 6/15/12

 

 

305,625

 

Caa1

 

 

 

305

 

 

United Rentals NA, Inc., 7.00%, 2/15/14

 

 

277,550

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

6,407,625

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Media—4.4%

 

 

 

 

B-

 

 

 

430

 

 

Allbritton Communications Co., 7.75%, 12/15/12

 

 

427,850

 

CCC+

 

 

 

340

 

 

American Media Operations, Inc., 10.25%, 5/01/09

 

 

323,000

 

 

 

 

 

 

 

 

AOL Time Warner, Inc.,

 

 

 

 

BBB+

 

 

 

90

 

 

6.625%, 5/15/29

 

 

90,837

 

BBB+

 

 

 

3,040

 

 

7.57%, 2/01/24

 

 

3,388,810

 

BBB+

 

 

 

205

 

 

7.625%, 4/15/31

 

 

232,478

 

BBB+

 

 

 

85

 

 

7.70%, 5/01/32

 

 

97,256

 

BBB

 

 

 

725

2

 

BSKYB Finance UK PLC, 6.50%, 10/15/35 (United Kingdom)

 

 

710,319

 

NR

 

 

 

510

 

 

Cablecom SCA, 4.935%, 4/30/12 (Luxembourg) (EUR)

 

 

617,064

 

CCC+

 

 

 

2,799

2

 

CCH I LLC, 11.00%, 10/01/15

 

 

2,522,599

 

CCC+

 

 

 

810

 

 

Charter Communications Holdings II, LLC/Charter Communications Holdings II Cap. Corp., 10.25%, 9/15/10

 

 

812,025

 

BBB+

 

 

 

1,535

 

 

Comcast Corp., 7.05%, 3/15/33

 

 

1,642,834

 

BB-

 

 

 

125

 

 

Echostar DBS Corp., 7.304%, 10/01/08

 

 

127,187

 

B

 

 

 

250

 

 

General Cable Corp., 9.50%, 11/15/10

 

 

263,125

 

CCC+

 

 

 

100

2

 

iesy Repository GmbH, 10.375%, 2/15/15 (Germany)

 

 

107,250

 

See Notes to Financial Statements.

16


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

 

Media—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

News America Holdings, Inc.,

 

 

 

 

BBB

 

 

$

985

 

 

7.625%, 11/30/28

 

$

1,095,330

 

BBB

 

 

 

825

 

 

7.70%, 10/30/25

 

 

921,335

 

BBB

 

 

 

735

 

 

News America, Inc., 6.20%, 12/15/34

 

 

713,119

 

B3

 

 

 

160

 

 

Nexstar Finance, Inc., 7.00%, 1/15/14

 

 

141,600

 

B2

 

 

 

440

 

 

Primedia, Inc., 9.715%, 5/15/10

 

 

448,800

 

B

 

 

 

200

 

 

Sinclair Broadcast Group, Inc., 8.75%, 12/15/11

 

 

211,000

 

 

 

 

 

 

 

 

TCI Communications, Inc.,

 

 

 

 

BBB+

 

 

 

200

 

 

7.125%, 2/15/28

 

 

213,190

 

BBB+

 

 

 

620

 

 

7.875%, 8/01/13 - 2/15/26

 

 

710,705

 

 

 

 

 

 

 

 

Vertis, Inc.,

 

 

 

 

Caa1

 

 

 

655

 

 

10.875%, 6/15/09

 

 

609,150

 

Caa2

 

 

 

90

2

 

13.50%, 12/07/09

 

 

69,300

 

Caa1

 

 

 

670

 

 

Young Broadcasting, Inc., 10.00%, 3/01/11

 

 

629,800

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

17,125,963

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Real Estate—1.8%

 

 

 

 

BB

 

 

 

3,165

 

 

American Real Estate Partners, 8.125%, 6/01/11

 

 

3,252,037

 

 

 

 

 

 

 

 

AvalonBay Communities, Inc.,

 

 

 

 

BBB+

 

 

 

350

 

 

6.625%, 9/15/11

 

 

370,955

 

BBB+

 

 

 

775

 

 

8.25%, 7/15/08

 

 

834,512

 

 

 

 

 

 

 

 

Rouse Co.,

 

 

 

 

BB+

 

 

 

895

 

 

3.625%, 3/15/09

 

 

832,780

 

BB+

 

 

 

1,650

 

 

5.375%, 11/26/13

 

 

1,554,498

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

6,844,782

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Technology—0.8%

 

 

 

 

B

 

 

 

250

 

 

Celestica, Inc. (Canada), 7.625%, 7/01/13 (Canada)

 

 

241,875

 

BB-

 

 

 

805

 

 

Lucent Technologies, Inc., 6.50%, 1/15/28

 

 

684,250

 

Ba3

 

 

 

100

 

 

MagnaChip Semiconductor SA/Magna Semiconductor Finance Co., 7.12%, 12/15/11 (Luxembourg)

 

 

97,500

 

B+

 

 

 

100

 

 

Sanmina-SCI Corp., 6.75%, 3/01/13

 

 

94,250

 

BB

 

 

 

40

 

 

Stats Chippac Ltd., 7.50%, 7/19/10 (Singapore)

 

 

40,200

 

 

 

 

 

 

 

 

Sungard Data Systems, Inc.,

 

 

 

 

B-

 

 

 

110

2

 

8.525%, 8/15/13

 

 

113,300

 

B-

 

 

 

350

2

 

9.125%, 8/15/13

 

 

357,875

 

B-

 

 

 

425

2

 

10.25%, 8/15/15

 

 

420,750

 

B

 

 

 

835

 

 

Superior Essex Communications LLC/Essex Group, Inc., 9.00%, 4/15/12

 

 

826,650

 

B-

 

 

 

310

 

 

UGS Corp., 10.00%, 6/01/12

 

 

339,450

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

3,216,100

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Telecommunications—4.9%

 

 

 

 

A

 

 

 

2,000

2

 

Bellsouth Corp., 4.258%, 4/26/21

 

 

1,994,620

 

A

 

 

 

1,700

 

 

Bellsouth Telecommunications, 4.258%, 4/26/06

 

 

843,914

 

BB-

 

 

 

210

 

 

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

 

 

218,925

 

A-

 

 

 

25

 

 

Deutsche Telekom Intl. Finance BV, 8.75%, 6/15/30

 

 

31,526

 

B-

 

 

 

190

2

 

Hawaiian Telcom Communications, Inc., 9.948%, 5/01/13

 

 

187,625

 

 

 

 

 

 

 

 

Intelsat Ltd.,

 

 

 

 

Caa1

 

 

 

175

 

 

5.25%, 11/01/08

 

 

159,250

 

B2

 

 

 

65

2

 

8.25%, 1/15/13

 

 

65,163

 

B2

 

 

 

405

2

 

8.625%, 1/15/15

 

 

411,075

 

B2

 

 

 

325

2

 

8.695%, 1/15/12

 

 

329,875

 

BB-

 

 

 

180

 

 

Lucent Technologies, Inc., 6.45%, 3/15/29

 

 

153,900

 

B-

 

 

 

70

 

 

Nortel Networks Corp., 6.875%, 9/01/23 (Canada)

 

 

63,700

 

 

 

 

 

 

 

 

Qwest Corp.,

 

 

 

 

BB+

 

 

 

470

2

 

7.12%, 6/15/13

 

 

492,325

 

BB+

 

 

 

200

 

 

7.875%, 9/01/11

 

 

210,000

 

BB

 

 

 

375

 

 

Qwest Services Corp., 13.50%, 12/15/10

 

 

427,969

 

BB+

 

 

 

155

 

 

Rogers Wireless, Inc., 7.25%, 12/15/12

 

 

163,138

 

Caa1

 

 

 

730

 

 

Rural Cellular Corp., 9.875%, 2/01/10

 

 

759,200

 

A

 

 

 

780

 

 

SBC Communications, Inc., 6.45%, 6/15/34

 

 

786,380

 

See Notes to Financial Statements.

17


BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 









 

 

 

 

 

 

 

Telecommunications—(cont’d)

 

 

 

 

 

 

 

 

 

 

 

Sprint Capital Corp.,

 

 

 

 

A-

 

 

$

1,715

 

 

6.875%, 11/15/28

 

$

1,832,495

 

A-

 

 

 

675

 

 

8.75%, 3/15/32

 

 

872,890

 

A-

 

 

 

1,875

 

 

Telecom Italia Capital SA, 6.00%, 9/30/34 (Luxembourg)

 

 

1,793,662

 

A-

 

 

 

725

 

 

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

 

 

803,583

 

A+

 

 

 

70

 

 

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

 

 

80,877

 

A+

 

 

 

125

 

 

Verizon Maryland Incorporated, 5.125%, 6/15/33

 

 

104,366

 

 

 

 

 

 

 

 

Verizon New Jersey, Inc.,

 

 

 

 

A+

 

 

 

230

 

 

7.85%, 11/15/29

 

 

264,196

 

A+

 

 

 

335

 

 

Ser. A, 5.875%, 1/17/12

 

 

337,807

 

A+

 

 

 

3,150

 

 

Verizon Virginia Inc., 4.625%, 3/15/13

 

 

2,937,469

 

A+

 

 

 

2,504

 

 

Vodafone Group PLC, 7.75%, 2/15/10 (United Kingdom)

 

 

2,756,328

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

19,082,258

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Transportation—1.5%

 

 

 

 

A-

 

 

 

350

 

 

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

 

 

381,927

 

BBB

 

 

 

1,450

 

 

Canadian Pacific Railway Ltd., 6.25%, 10/15/11 (Canada)

 

 

1,535,521

 

B

 

 

 

355

2

 

CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)

 

 

356,775

 

B

 

 

 

50

 

 

CHC Helicopter Corp., 7.375%, 5/01/14 (Canada)

 

 

50,437

 

B3

 

 

 

47

 

 

Horizon Lines LLC, 9.00%, 11/01/12

 

 

49,879

 

BBB+

 

 

 

1,300

 

 

Norfolk Southern Corp., 7.05%, 5/01/37

 

 

1,528,202

 

B+

 

 

 

90

 

 

OMI Corp., 7.625%, 12/01/13

 

 

92,475

 

B

 

 

 

1,635

 

 

Sea Containers Ltd., 10.50%, 5/15/12

 

 

1,635,000

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

5,630,216

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Corporate Bonds

 

 

205,612,562

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

U.S. Government and Agency Securities—39.7%

 

 

 

 

AAA

 

 

 

1,670

 

 

Aid to Israel, 5.50%, 4/26/24-9/18/33

 

 

1,677,055

 

AAA

 

 

 

1,050

 

 

Resolution Funding Corp., Zero Coupon, 7/15/18-10/15/18

 

 

557,109

 

 

 

 

 

 

 

 

Tennessee Valley Authority,

 

 

 

 

AAA

 

 

 

1,655

 

 

Ser. C, 5.88%, 4/01/36

 

 

1,827,683

 

AAA

 

 

 

2,650

 

 

Ser. D, 4.875%, 12/15/16

 

 

2,680,449

 

 

 

 

 

 

 

 

U.S. Treasury Bonds,

 

 

 

 

AAA

 

 

 

49,140

4

 

6.125%, 11/15/27

 

 

57,716,404

 

AAA

 

 

 

8,540

 

 

6.50%, 11/15/26

 

 

10,401,464

 

AAA

 

 

 

21,680

4

 

7.125%, 2/15/23

 

 

27,455,769

 

AAA

 

 

 

10,855

4

 

8.50%, 2/15/20

 

 

14,983,265

 

 

 

 

 

 

 

 

U.S. Treasury Notes,

 

 

 

 

AAA

 

 

 

830

 

 

3.625%, 6/30/07

 

 

819,625

 

AAA

 

 

 

20,025

 

 

4.00%, 8/31/07-9/30/07

 

 

19,881,023

 

AAA

 

 

 

9,475

4

 

4.125%, 8/15/08

 

 

9,403,937

 

AAA

 

 

 

6,005

 

 

4.25%, 8/15/15

 

 

5,858,658

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

153,262,441

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Taxable Municipal Bond—0.1%

 

 

 

 

AA

 

 

 

350

 

 

Ohana Military Communities LLC, 6.193%, 4/01/49

 

 

377,758

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Foreign Government Bonds—2.2%

 

 

 

 

 

 

 

 

 

 

 

Germany Federal Republic,

 

 

 

 

AAA

 

 

 

2,325

 

 

4.00%, 1/04/37 (EUR)

 

 

2,895,224

 

AAA

 

 

 

525

 

 

4.75%, 7/04/34 (EUR)

 

 

735,694

 

Aaa

 

 

 

1,700

 

 

Japan Finance Corp. for Municipal Enterprises, 4.625%, 4/21/15

 

 

1,647,283

 

 

 

 

 

 

 

 

United Mexican States,

 

 

 

 

Baa1

 

 

 

400

 

 

6.75%, 9/27/34

 

 

415,000

 

Baa1

 

 

 

2,255

 

 

8.00%, 9/24/22

 

 

2,680,066

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total Foreign Government Bonds

 

 

8,373,267

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Total investments before outstanding options written—127.5% (cost $502,449,8995)

 

 

491,529,484

 

 

 

 

 

 

 

 

 

 



 

See Notes to Financial Statements.

18



 

 

BlackRock Core Bond Trust (BHK) (continued)

 


 

 

 

 

 

 

 

 

Contracts/
Notional
Amount
(000)

 

Description

 

Value

 







 

 

 

OUTSTANDING OPTIONS WRITTEN—(0.7)%

 

 

 

 

 

 

 

Interest Rate Swaps,

 

 

 

 

(5,300)

 

 

Trust pays 5.135%, Trust receives 3-month LIBOR, expires 4/21/18

 

$

(191,463

)

(5,300)

 

 

Trust pays 3-month LIBOR, Trust receives 5.135%, expires 4/21/18

 

 

(237,705

)

(11,500)

 

 

Trust pays 3-month LIBOR, Trust Receives 5.67%, expires 1/04/10

 

 

(422,018

)

(11,500)

 

 

Trust pays 5.67%, Trust Receives 3-month LIBOR, expires 1/04/10

 

 

(671,009

)

(13,300)

 

 

Trust pays 3-month LIBOR, Trust Receives 4.725%, expires 6/13/07

 

 

(707,959

)

(13,300)

 

 

Trust pays 4.725%, Trust Receives 3-month LIBOR, expires 6/13/07

 

 

(273,182

)

(70)

 

 

U.S. Treasury Notes Future, expiring 2/24/06

 

 

(37,734

)

 

 

 

 

 



 

 

 

Total Outstanding Options Written (premium received $2,716,753)

 

 

(2,541,070

)

 

 

 

 



 

 

 

Total investments net of outstanding options written—126.8%

 

$

488,988,414

 

 

 

Liabilities in excess of other assets—(26.8)%

 

 

(103,474,625

)

 

 

 

 



 

 

 

Net Assets—100%

 

$

385,513,789

 

 

 

 

 



 

 

 


1

Using the higher of S&P’s, Moody’s or Fitch’s rating.

2

Security is not registered under the Securities Act of 1933. These securities may be resold in transactions in accordance with Rule 144A under that Act, to qualified institutional buyers. As of October 31, 2005, the Trust held 9.6% of its net assets, with a current market value of $37,031,132, in securities restricted as to resale.

3

Security, or a portion thereof, pledged as collateral with a value of $1,504,194 on 57 long U.S. Treasury Note futures contracts expiring December 2005, 568 long U.S. Treasury Bond futures contracts expiring December 2005, 1,176 short U.S. Treasury Note futures contracts expiring December 2005, 208 short Eurodollar futures contracts expiring March 2006 to September 2007 and 101 short Germany Federal Republic Bonds futures contracts expiring December 2005. The notional value of such contracts on October 31, 2005 was ($117,883,226), with an unrealized gain of $49,189.

4

Entire or partial principal amount pledged as collateral for reverse repurchase agreements. See Note 4 in the Notes to Financial Statements for details of open reverse repurchase agreements.

5

Cost for Federal income tax purposes is $503,678,690. The net unrealized depreciation on a tax basis is $12,149,206, consisting of $2,454,277 gross unrealized appreciation and $14,603,483 gross unrealized depreciation.

A category in the Coporate Bonds section may contain multiple industries as defined by the SEC’s Standard Industry Codes.

 

 

KEY TO ABBREVIATIONS

 

EUR – European Monetary Unit

TBA – To Be Announced           

 

See Notes to Financial Statements.

19



 

 

PORTFOLIO OF INVESTMENTS

OCTOBER 31, 2005

BlackRock High Yield Trust (BHY)

 


 

 

 

 

 

 

 

 

 

 

 

 

Rating1
(unaudited)

 

Principal
Amount
(000)

 

Description

 

Value

 











 

 

 

 

 

 

 

LONG-TERM INVESTMENTS—136.2%

 

 

 

 

 

 

 

 

 

 

 

Corporate Bonds—133.8%

 

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense—4.5%

 

 

 

 

 

 

 

 

 

 

 

AAR Corp.,

 

 

 

 

BB-

 

 

$

435

 

 

6.875%, 12/15/07

 

$

442,612

 

NR

 

 

 

350

 

 

Ser. A2, 8.39%, 5/15/11

 

 

357,000

 

B

 

 

 

275

 

 

Argo-Tech Corp., 9.25%, 6/01/11

 

 

284,625

 

B+

 

 

 

125

 

 

Armor Holdings, Inc., 8.25%, 8/15/13

 

 

135,000

 

 

 

 

 

 

 

 

BE Aerospace, Inc.,

 

 

 

 

B+

 

 

 

520

 

 

8.50%, 10/01/10

 

 

557,700

 

B-

 

 

 

320

 

 

8.875%, 5/01/11

 

 

336,800

 

NR

 

 

 

1,500

2

 

Condor Systems, Inc., 11.875%, 5/01/09

 

 

 

 

 

 

 

 

 

 

Sequa Corp.,

 

 

 

 

BB

 

 

 

40

 

 

9.00%, 8/01/09

 

 

41,650

 

BB

 

 

 

19

 

 

Ser. B, 8.875%, 4/01/08

 

 

19,618

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

2,175,005

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Automotive—2.7%

 

 

 

 

B-

 

 

 

200

 

 

Accuride Corp., 8.50%, 2/01/15

 

 

189,000

 

BB+

 

 

 

65

 

 

Arvinmeritor, Inc., 8.75%, 3/01/12

 

 

61,425

 

B2

 

 

 

150

 

 

Delco Remy Intl., Inc., 8.15%, 4/15/09

 

 

142,500

 

B-

 

 

 

60

 

 

Goodyear Tire & Rubber Co., 7.857%, 8/15/11

 

 

57,750

 

CCC+

 

 

 

315

3

 

Metaldyne Corp., 11.00%, 11/01/13

 

 

282,713

 

BB

 

 

 

310

 

 

Navistar Intl. Corp., 6.25%, 3/01/12

 

 

278,225

 

B-

 

 

 

300

 

 

Stanadyne Corp., 10.00%, 8/15/14

 

 

292,500

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

1,304,113

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Basic Materials—15.6%

 

 

 

 

BB-

 

 

 

150

 

 

Abitibi-Consolidated, Inc., 8.375%, 4/01/15 (Canada)

 

 

139,125

 

B-

 

 

 

205

 

 

Alpha Natural Resources LLC/Alpha Natural Resources Capital Corp., 10.00%, 6/01/12

 

 

227,294

 

BB-

 

 

 

150

 

 

Arch Western Finance LLC, 6.75%, 7/01/13

 

 

150,750

 

B-

 

 

 

70

3

 

BCI US Finance Corp./Borden 2 Nova Scotia Finance ULC, 9.65%, 7/15/10

 

 

70,700

 

BB-

 

 

 

315

 

 

Bowater Canada Finance Corp., 7.95%, 11/15/11 (Canada)

 

 

302,400

 

B-

 

 

 

600

 

 

Caraustar Industries, Inc., 9.875%, 4/01/11

 

 

583,500

 

BB+

 

 

 

325

 

 

Cascades, Inc., 7.25%, 2/15/13 (Canada)

 

 

290,875

&n